Executable futures selection from a 2018 liquidity board

The board as a liquidity screen

The archive records a listed-futures liquidity rank and a May 2018 board. A liquidity filter turns order-book, spread, volume, auction, and trading-cost inputs over seconds to the order life cycle into a yes-or-no screen for an executable order and its implementation cost.

Open-interest analysis uses outstanding contracts, with volume and cost context, to judge how readily a listing can be bought or sold across the order life cycle. Relative contract liquidity is the cross-market rank of how readily an entire futures listing can be traded, formed from an equal-dollar contract count, total open interest, and a volume adjustment.

How the liquidity rank was built

A listed-futures liquidity rank can be formed by multiplying contract point value, a three-year maximum price move, open interest, and a volume adjustment that typically ranges from 1 to 4.

Relative contract liquidity is defined as the equal-dollar contracts-to-trade count times total open interest times a volume factor. The volume factor is the greater of 1 and exp(ln(volume) divided by ln(5000), minus 2).

Contracts to trade for equal dollar profit equal tick dollar value times the three-year maximum price excursion, so every figure in that column shares the same dollar scale. Effective percent margin is dollar margin divided by the three-year dollar price range of the contract, then multiplied by 100.

What the May 2018 snapshot showed

In the May 2018 snapshot, the June 2018 S&P 500 E-mini ranked first, with a 4.9 percent margin, a 15.6 percent effective margin, and two contracts on the equal-dollar scale. In the same snapshot, April 2018 Bitcoin Cboe futures sat at the bottom of the rank, with a 48.7 percent margin and a 29.8 percent effective margin.

Listings with one activity mark or none were treated as thinly traded and harder to buy or sell than those at the top of the rank. Column values were presented as proportional measures that are meaningful only when compared with other listings in the same column.

For equities, period volume as a percentage of shares outstanding was presented as a turnover-rate proxy for trading liquidity.