2015issue C0456

Filter futures contracts by open interest and volume

A liquidity filter ranks listed futures by equal-dollar contract count, total open interest, and a volume factor. Markets at the top of the relative-liquidity list are presented as easier to buy and sell, and markets at the bottom as harder to trade. Effective-percent-margin then places posted margin on the same three-year dollar-range scale.

A liquidity filter ranks listed futures by how readily size can be bought or sold, using range, volume, and related trading-cost inputs so an order is placed only where implementation is feasible.
Relative-contract-liquidity multiplies the equal-dollar contract count by total open interest and a volume factor that is at least 1 and otherwise rises from a logarithmic comparison of volume against a 5,000-contract reference.
Each ranking column is a proportional measure and is meant to be read only against other entries in that same column. Markets at the top of the relative-liquidity list are presented as easier to buy and sell.
Effective-percent-margin equals margin dollars divided by the three-year dollar range of the contract, then multiplied by 100, so capital lock-up can be compared across products.

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Liquidity filter118 readings Current trackOpen interest analysis118 readings

Futures selection as an execution decision

Editorial view: treat futures selection as an execution decision before a setup is tradable. Run a liquidity filter that folds open interest, volume, and equal-dollar contract count into one comparability score, then read margin on the same scale so the contract you choose is one you can enter and exit.

In the archive workflow, a liquidity filter is a screen that ranks listed futures by how readily size can be bought or sold. It uses range, volume, and related trading-cost inputs so an order is placed only where implementation is feasible.

How relative-contract-liquidity is built

A futures liquidity ranking can be formed by multiplying contract point value by a three-year maximum price move, by open interest, and by a volume adjustment factor.

The same ranking is also stated as the equal-dollar contract count times total open interest times a volume factor. That product is relative-contract-liquidity, a comparative score that orders futures by ease of trading.

The volume factor is at least 1 and otherwise rises from a logarithmic comparison of volume against a 5,000-contract reference.

The equal-dollar contract count equals tick dollar value times the three-year maximum price excursion, so products can be compared on one potential-range scale. That count is the contracts-to-trade-for-equal-dollar-profit figure: the number of contracts of one futures product needed to match another product on a common three-year dollar range.

Open-interest analysis uses outstanding contract count, together with volume and an equal-dollar sizing factor, to judge how much existing positioning a market can support through the life of an order.

How to read the ranking

Markets at the top of the relative-liquidity list are presented as easier to buy and sell. Markets at the bottom are presented as harder to trade.

Margin on the same three-year scale

Effective percent margin equals margin dollars divided by the three-year dollar range of the contract, then multiplied by 100. Expressed that way, posted margin can be compared across products as capital lock-up on the same range scale.

Editorial view: read effective-percent-margin next to the liquidity rank so the contract you keep is one you can fund as well as enter and exit.

Posted versus effective percent margin, futures ranked by relative liquidity

Names at the left of this ranking were the futures the April 2015 table treated as easiest to buy and sell; names at the right were the hardest. The bars put posted percent margin next to effective percent margin so a tiny looking bond or Eurodollar haircut can still consume a large share of the three-year dollar range. Every figure is taken from the Trading Liquidity: Futures table, not from the trading-floor photograph.Listed commodity and financial futures · April 2015 monthly ranking

The source ranks contracts by relative contract liquidity (equal-dollar contract count times open interest times a volume factor). That score is printed only as a ranking, so bar order follows the published list. Effective percent margin is margin dollars divided by the three-year range of contract dollar value, times 100.

A turnover proxy for listed shares

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

Educational research material, not investment advice. Historical source context does not establish present-day performance.

12 of 20 in the Open interest analysis track

201556-56 pp.Next on Open interest analysisScreen listed futures for executable liquidity firstA liquidity filter keeps only contracts with enough activity, open interest, and comparable size to enter and exit at an acceptable implementation cost.

All readings on this track · 20 readings

By fieldLiquidity and costs119 readings By year201585 readings

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