Filter futures by open interest and relative liquidity

Start with an execution screen

In the historical workflow, open interest is the stock of outstanding futures contracts and the capacity term in the liquidity score. It is not used here as a directional signal.

Relative contract liquidity is a comparative score of how easily a futures market can be bought and sold. It is built from the equal-dollar contract count, outstanding open interest, and a volume adjustment.

How the ranking is built

A futures liquidity ranking can be built by multiplying contract point value, a three-year maximum price move, open interest, and a volume adjustment usually scaled from 1 to 4.

Relative contract liquidity can be defined as contracts to trade times total open interest times a volume factor equal to the greater of 1 or exp(ln(volume)/ln(5000) - 2). That volume factor is a floor-and-scale adjustment that leaves thin volume near one and lifts highly active contracts, so the ranking is not driven by open interest alone.

Equal-dollar size and effective percent margin

An equal-dollar column can state how many contracts of each market are needed for the same potential dollar move, using tick dollar value times the three-year maximum price excursion, so every entry in that column has the same dollar value. That count is the number of contracts of one market needed to match another market’s potential dollar move.

Effective percent margin can be calculated as margin dollars divided by the three-year range of contract dollar value, then multiplied by one hundred, and read beside the posted percent margin. It expresses initial margin as a share of the contract’s multi-year dollar range and is used to compare how efficiently margin is used across markets.

How to read the columns

Relative tradability can be shown as a descending visual scale in which many marks mean high activity and one mark or none means a thinner, harder-to-execute contract.

Each liquidity column is a proportional comparison and is meaningful only against other contracts in the same column. Markets at the top of the relative-liquidity list are easier to buy and sell than those at the bottom.

A turnover proxy for shares

For listed shares, period volume as a percentage of shares outstanding can be used as a turnover-rate proxy for trading liquidity. That equity turnover proxy is treated as a stand-in for how readily the name can be traded.