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2010issue C0493

Futures liquidity filter for equal-dollar size and open interest

A historical liquidity-filter scores listed futures from equal-dollar size, open interest, and a volume-factor so the kept books are the ones that look executable. TradersWeek editorial: treat the setup as unfinished until the three-year dollar range is a contract count and that size is checked against the book.

  • Relative-contract-liquidity is scored from contract point value, a three-year maximum price move, open interest, and a volume adjustment.
  • Contracts needed for equal dollar profit equal tick dollar value times the three-year maximum price excursion, so every figure in that column represents the same dollar opportunity.
  • The same relative-liquidity score can be written as contracts-to-trade multiplied by total open interest and then by a volume-factor.
  • Each column is a proportional comparison and is meaningful only against other markets in the same column.
Entries in this reading2 entries
Liquidity filter118 readingsCurrent trackOpen interest analysis118 readings

What the screen keeps

The archive liquidity-filter is a comparative screen that keeps only contracts whose size, range, open interest, and volume make an order realistically executable. Relative-contract-liquidity is a cross-market score of how readily an entire futures book can be traded versus other listed contracts. Relative futures liquidity is scored from contract point value, a three-year maximum price move, open interest, and a volume adjustment.

Equal-dollar contract counts

Contracts-to-trade-for-equal-dollar-profit is how many contracts of one market are required to match another market's three-year dollar range. Contracts needed for equal dollar profit equal tick dollar value times the three-year maximum price excursion, so every figure in that column represents the same dollar opportunity.

Open interest and volume

The same relative-liquidity score can be written as contracts-to-trade multiplied by total open interest and then by a volume-factor. Open-interest-analysis uses outstanding contracts as a scale factor so markets with deeper open books rank as easier to enter and exit.

The volume-factor is an adjustment that rescales a liquidity score when volume is unusually thin or heavy. It is typically between 1 and 4 and is the greater of 1 and an exponential transform of volume relative to a 5,000-contract reference.

Reading each column

Effective-percent-margin is posted margin expressed as a share of the contract's three-year dollar price range. Effective percent margin equals dollar margin divided by the contract's three-year dollar price range, then multiplied by one hundred.

Dense activity marks identify the more executable books; one mark or none indicate little activity and a thinner market. Each column is a proportional comparison and is meaningful only against other markets in the same column.

Share-turnover on listed shares

For listed shares, share-turnover is period volume divided by shares outstanding, used as an equity-market stand-in for trading liquidity. Period volume as a percentage of shares outstanding is treated as a turnover-rate proxy for trading liquidity.

Equal-dollar contract counts on the April 2010 futures liquidity screen

Each bar is how many contracts of that market were required to put on the same dollar profit potential as the rest of the board. Short-rate names sit at one to six lots, while corn, two-year Schatz and soybean oil sit above twenty. The counts are taken from the Trading Liquidity: Futures table in the April 2010 Stocks & Commodities issue, not from the relative-liquidity dots.
Each bar is how many contracts of that market were required to put on the same dollar profit potential as the rest of the board. Short-rate names sit at one to six lots, while corn, two-year Schatz and soybean oil sit above twenty. The counts are taken from the Trading Liquidity: Futures table in the April 2010 Stocks & Commodities issue, not from the relative-liquidity dots.Listed commodity and financial futures · April 2010 print, three-year price range

The source defines contracts to trade as tick dollar value times the three-year maximum price excursion, so every listed future is scaled to the same dollar-profit unit. Relative contract liquidity is a separate ranking from open interest times a volume factor and is not plotted here.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
5 of 20 in the Open interest analysis track
201085-85 pp.Next on Open interest analysisScreen futures for tradeable liquidity before sizingA liquidity filter drops contracts whose open interest and activity cannot carry speculative size before any position is sized.
All readings on this track · 20 readings
  1. 1988Wave-count consensus and open-interest confirmation
  2. 1990Calibrating volume and open interest at support and resistance
  3. 1997Grading volume and open interest after moving-average crosses
  4. 2003Constructing an expiration settlement map from listed open interest
  5. 2010Futures liquidity filter for equal-dollar size and open interest
  6. 2010Screen futures for tradeable liquidity before sizing
  7. 2011Screen futures liquidity with open interest and equal dollar size
  8. 2011Construct a daily initiator filter from lead-contract price, open interest, and volume
  9. 2012Ranking futures markets by executable liquidity
  10. 2013Equal-dollar open interest as a futures liquidity filter
  11. 2013Filter futures by open interest and relative liquidity
  12. 2015Filter futures contracts by open interest and volume
  13. 2015Screen listed futures for executable liquidity first
  14. 2015Money-flow lookback versus aggregated open interest
  15. 2016Ranking futures by executable liquidity and open interest
  16. 2018Futures liquidity and open interest as an execution filter
  17. 2019Evaluate futures liquidity with open interest and equal-dollar filters
  18. 2019Screen futures contracts by open interest and liquidity
  19. 2020Filter futures orders by liquidity and open interest
  20. 2020Ranking futures liquidity before you place the order
By fieldLiquidity and costs119 readingsBy year201075 readings
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