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Th e underlying commodity is the cash commodity underlying a futures contract, forward contract, commodity or futures contract, whereby a commodity option is established and should be accepted or delivered when the option is exercised (Rogers, 2004; Spurga, 2006). Th e cash commodity is furthermore specifi ed by the minimum quality of the delivered goods (see also Deliverable grade, p. 135) and by the delivery location. Due to this relationship there is a high correlation between the market price of the future/forward contract and the spot market price of the underlying commodity. Deviations from the perfect correlation lead to the so-called basis risk. Indexes can have several underlying commodities, using same commodity classes, for example, grain or diff erent commodity classes like agriculture and energy.