Evaluating futures contract liquidity before execution

What the ranking measures

A futures liquidity ranking can be built from contract point value, a three-year maximum price range, open interest, and a volume adjustment, then shown as a descending activity scale.

Names near the top of the ranking are characterized as easier to buy and sell. Names at the bottom are characterized as the hardest to execute. Contracts with little or no activity marks are treated as less suitable for speculative execution because they lack tradable depth.

Apply a liquidity filter first

A liquidity filter is a descending activity ranking that screens listed futures by how readily contracts can be bought or sold, so an order is considered only when the book looks executable.

TradersWeek editorial interpretation: the ranking is the first screen on whether a name looks executable, not a list of ideas to evaluate.

Confirm depth with open interest and volume

Open interest analysis uses outstanding contract inventory as a multiplicative weight so markets with larger open books rank as more executable than thin ones.

Volume confirmation is an activity adjustment, typically floored at one and scaled from recent volume against a 5,000-contract reference, that checks whether open interest is accompanied by actual turnover. The volume factor is the greater of 1 or an exponential transform of volume relative to a 5,000-contract reference.

Relative contract liquidity is defined as the equal-dollar contract count multiplied by total open interest and a volume factor. Higher scores sit nearer the top of the list.

Restack survivors on an equal-dollar count

The equal-dollar contract count scales each listed market by contract value and the largest three-year price excursion so the column is comparable across names. It is the number of contracts needed so each market is scaled to the same three-year dollar range, using tick dollar value times the three-year maximum price excursion.

Effective percent margin is posted margin divided by the three-year dollar range of the contract, then expressed as a percentage. Posted margin dollars are divided by that three-year dollar range and multiplied by 100 so margin consumption can be compared relative to historical range.

TradersWeek editorial interpretation: after names that fail the liquidity filter are set aside, restack the survivors on this equal-dollar count so size and margin load are visible before any setup is judged.

Read columns as proportions only

Figures in each column are meaningful only as proportional comparisons with other entries in the same column.

For listed shares, period volume as a percentage of shares outstanding is offered as a turnover-rate proxy for trading liquidity.