Daily historical price ranges of Wheat, Corn and Oats futures
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The dataset contains daily price ranges calculated from the daily high and low prices for Chicago Wheat, Corn, and Oats futures contracts, starting in 1877. The data is manually extracted from the ``Annual Reports of the Trade and Commerce of Chicago'' (today, the Chicago Board of Trade, CBOT, which is part of the CME group). The price range is calculated as Range<sub>t</sub> = ln(H<sub>t</sub>) - ln(L<sub>t</sub>), where H<sub>t</sub> and L<sub>t</sub> are the highest and lowest price observed on trading day t. Description of the dataset: Date: The trading day, format dd-mm-yyyy Range_W_F1: Price range Wheat futures, First expiration (nearby contract) Range_W_F2: Price range Wheat futures, Second expiration Range_C_F1: Price range Corn futures, First expiration (nearby contract) Range_C_F2: Price range Corn futures, Second expiration Range_O_F1: Price range Oats futures, First expiration (nearby contract) Range_O_F2: Price range Oats futures, Second expiration
