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2017issue C0958

Filter futures by liquidity, open interest, and equal-dollar size

Listed futures can be screened as an execution menu. A liquidity filter multiplies equal-dollar size, open interest, and a volume factor so thinner books fall down the list before a contract is chosen.

  • A liquidity filter is a pre-trade screen that ranks listed futures by how easily a full book can be bought and sold, using range, volume, and outstanding contracts rather than a directional view.
  • Relative contract liquidity equals the equal-dollar contracts-to-trade count times total open interest times a volume factor, so thinner books rank lower for execution.
  • Contracts-to-trade multiplies tick dollar value by the three-year maximum price excursion so every listed figure represents the same dollar opportunity.
  • Each liquidity comparison column is meaningful only against other contracts in the same column, and markets with one liquidity mark or none are characterized as having little activity.
Entries in this reading3 entries
Liquidity filter46 readingsOpen interest analysis46 readingsCurrent trackFutures contract selection51 readings

An execution menu, not an idea list

TradersWeek editorial note: treat listed futures as an execution menu rather than an idea list. First discard books that cannot be entered and exited cleanly, then use open interest and a three-year equal-dollar rescale to pick the contract that can actually carry the trade.

The archive workflow applies a liquidity filter. That pre-trade screen ranks listed futures by how easily a full book can be bought and sold, using range, volume, and outstanding contracts rather than a directional view.

How the liquidity score is built

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

Relative contract liquidity equals the equal-dollar contracts-to-trade count times total open interest times a volume factor. It is a descending comparative rank of how easily all contracts in a market can be traded. Higher ranks are easier to execute and lower ranks are harder.

The volume factor is a floor-at-one adjustment, usually in a narrow integer band, that scales a liquidity score for unusually low or high volume against a fixed contract-count baseline. In the archive construction, it is the greater of 1 and an exponential transform of volume relative to a 5,000-contract baseline.

Futures ranked by relative contract liquidity

Traders should treat this as an execution screen, not a trade-idea list: S&P 500 E-Mini, WTI crude, and the 10-year note sit at the top of the book, while feeder cattle, NZ dollar, and the GSCI sit at the bottom. The bars are the table’s relative-liquidity scores, counted from the published dots (and > marks) so thinner books fall down the list before a contract is chosen.
Traders should treat this as an execution screen, not a trade-idea list: S&P 500 E-Mini, WTI crude, and the 10-year note sit at the top of the book, while feeder cattle, NZ dollar, and the GSCI sit at the bottom. The bars are the table’s relative-liquidity scores, counted from the published dots (and > marks) so thinner books fall down the list before a contract is chosen.Listed US futures, September 2017 front months · September 2017 snapshot (TASC Trading Liquidity: Futures) · 2017-09-01T00:00:00.000Z to 2017-09-30T00:00:00.000Z

Relative Contract Liquidity = contracts to trade for equal dollar profit × open interest × a volume factor of max(1, exp(ln(volume)/ln(5000) − 2)). Equal-dollar size uses a three-year maximum price excursion. Snapshot is September 2017 front months as printed. Dot counts are exact integer tallies from the source table; the published score is a proportional rank, not a dollar volume.

Equal-dollar tickets, open interest, and margin

Contracts-to-trade is tick dollar value times the three-year maximum price excursion, so every listed figure represents the same dollar opportunity. That equal-dollar contract count is how many contracts of one market must be traded to match the three-year dollar opportunity of another market.

Open interest analysis uses outstanding contract inventory as a multiplier in a liquidity score so thinner books rank lower for execution.

Effective percent margin is dollar margin divided by the three-year dollar range of the contract, then multiplied by one hundred. The figure is posted margin dollars against the contract’s three-year dollar price range, expressed as a percentage.

Futures contract selection then chooses among listed futures by comparing tradability, equal-dollar ticket size, and margin efficiency so one trade sits in a liquidity-aware market context.

Thin books and an equity turnover proxy

Markets with one liquidity mark or none are characterized as having little activity and weaker conditions for speculative execution.

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

Educational research material, not investment advice. Historical source context does not establish present-day performance.
35 of 51 in the Futures contract selection track
201758-58 pp.Next on Futures contract selectionRank futures liquidity before contract selectionA futures liquidity score multiplies contract point value, three-year maximum price motion, open interest, and a volume factor usually set between 1 and 4.
All readings on this track · 51 readings
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  2. 2007Ethanol futures liquidity lagged the policy boom
  3. 2010Relative liquidity ranking for futures contract selection
  4. 2010A liquidity filter for executable futures contract selection
  5. 2010Screening futures by liquidity, open interest, and equal-dollar size
  6. 2010Ranking futures liquidity for executable contract choice
  7. 2010Liquidity and open interest screens for futures selection
  8. 2010Ranking futures by open interest and equal-dollar liquidity
  9. 2011Liquidity filter for futures contract selection
  10. 2011Futures liquidity rank as an execution filter
  11. 2011Silver contract-selection by size, hours, and carry
  12. 2011Filtering futures by liquidity, open interest and equal-dollar size
  13. 2011Liquidity and open interest as a screen for futures selection
  14. 2011A futures liquidity filter for equal-dollar execution
  15. 2012Ranking futures liquidity before choosing a contract
  16. 2013Liquidity-first futures contract selection
  17. 2013Equal-dollar liquidity filter for futures contract choice
  18. 2013Futures liquidity filters for executable contract selection
  19. 2013Filter listed futures by liquidity and open interest first
  20. 2013Ranking listed futures by liquidity and equal-dollar size
  21. 2013A pre-trade liquidity filter for futures contract selection
  22. 2014Why commodity futures are trades, not long-horizon holdings
  23. 2014Rank futures liquidity before selecting the contract
  24. 2014Filter futures by equal-dollar liquidity and open interest
  25. 2015Filter futures contracts by liquidity and open interest
  26. 2015A two-stage liquidity filter for futures contract selection
  27. 2015Screen futures contracts by liquidity and open interest
  28. 2015Equal-dollar futures choice as a liquidity filter
  29. 2016Evaluate futures liquidity before contract selection
  30. 2016Ranking futures liquidity before you pick the contract
  31. 2016Filter listed futures by relative liquidity and open interest
  32. 2017Evaluating futures liquidity for executable contract selection
  33. 2017A relative liquidity rank for choosing an executable futures contract
  34. 2017Constructing a futures liquidity filter for contract selection
  35. 2017Filter futures by liquidity, open interest, and equal-dollar size
  36. 2017Rank futures liquidity before contract selection
  37. 2017Build a futures liquidity filter from open interest
  38. 2018Evaluating futures liquidity for executable contract choice
  39. 2018Volume-confirmed pivots versus unregulated spot exposure
  40. 2018Executable futures selection from a 2018 liquidity board
  41. 2018Evaluate futures liquidity before contract selection
  42. 2018Open-interest liquidity filter for futures contract selection
  43. 2018Construct a futures liquidity filter from open interest and range
  44. 2018Ranking futures by liquidity, open interest, and equal-dollar cost
  45. 2019Ranking futures liquidity before contract selection
  46. 2019Ranking futures liquidity before you pick a contract
  47. 2019Screening futures by equal-dollar liquidity
  48. 2020Building an equal-dollar futures liquidity screen
  49. 2020Use liquidity and open interest as a futures execution screen
  50. 2020Compact index futures as diversified contract selection
  51. 2020Filter futures by range-scaled liquidity and open interest
By fieldLiquidity and costs46 readingsBy year201710 readings
All 51 readings tagged Futures contract selection
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