Evaluate futures liquidity with open interest and equal-dollar filters

Contract selection as an execution screen

A liquidity-filter is a pre-trade accept-or-reject screen. It uses volume, spread-related cost columns, and a ranked activity scale to decide whether a contract is executable over the life of an order.

Open-interest-analysis weights a market by outstanding contracts so the liquidity rank reflects how much size is already on, not only recent prints. TradersWeek editorial reading: a name that cannot absorb intended size on that measure is discarded before any equal-dollar comparison.

Compare survivors on an equal-dollar scale

An equal-dollar-contract-count states how many contracts of one market are needed to match the same three-year dollar excursion as another market. The equal-dollar column builds that figure from tick dollar value times the three-year maximum price excursion.

Relative-contract-liquidity is the cross-market rank formed by combining that equal-dollar-contract-count, total open interest, and a volume adjustment.

How the rank is assembled

A futures liquidity rank can be built by multiplying contract point value, a three-year maximum price excursion, open interest, and a volume-factor that usually falls between 1 and 4.

A relative-liquidity score is the equal-dollar-contract-count times total open interest times a volume-factor. That volume-factor equals the greater of 1 or an exponential of log volume over log 5000, reduced by 2. In both constructions, the volume-factor is a multiplier, typically in a one-to-four range, that boosts or damps the rank for unusually thin or heavy volume.

How to read each column

Relative activity is shown as a descending mark count. The densest row is the most active, and a row with one mark or none is the least active.

Effective-percent-margin equals dollar margin divided by the three-year range of the contract’s dollar value, then multiplied by 100, so capital lock-up can be compared across markets.

For listed stocks, period volume as a percentage of shares outstanding is treated as a turnover-rate stand-in for trading liquidity.

Each ranking column is a proportional comparison and is meant to be read only against other values in that same column.

A late-2018 snapshot

In the late-2018 snapshot, the S&P 500 e-mini sat at the top of the liquidity scale, while two bitcoin futures sat at the bottom with effective-percent-margin figures of 51 and 55.6.