2015issue C1056

Equal-dollar futures choice as a liquidity filter

A futures liquidity ranking first restates each listed contract as the lot count that matches the same three-year dollar excursion, then multiplies that count by open interest and a volume factor. Markets are ordered from most to least executable under the relative-contract-liquidity score.

Contracts-to-trade restates each futures name as the lot count implied by tick dollar value and the three-year maximum price move, so every listed size represents the same dollar excursion.
Relative-contract-liquidity multiplies that equal-dollar count by total open interest and a volume factor, then orders markets from most to least executable.
Effective percent margin is posted margin divided by the three-year dollar range, times one hundred, and is meaningful only against other entries in the same column.
In the tabulated snapshot, equal-dollar scaling assigned three contracts to the E-mini S&P 500, one to WTI crude, and 295 to eurodollar.

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Liquidity filter46 readings Open interest analysis46 readings Current trackFutures contract selection51 readings

Equal-dollar lot counts

Futures contract selection is a cross-market rescaling that states how many lots of each product are needed for the same multi-year dollar excursion. An equal-dollar-profit column rescales each market by contract value times the largest three-year price change so that every listed lot count represents the same dollar excursion.

The contracts-to-trade identity is specified as tick dollar value times the three-year maximum price excursion.

In the tabulated snapshot, equal-dollar scaling assigned three contracts to the E-mini S&P 500, one to WTI crude, and 295 to eurodollar.

Open interest and the volume factor

A liquidity filter is a pre-trade ranking that orders listed futures by how readily a comparable dollar size can be transacted, using activity density derived from contract size, open interest, and volume.

A futures liquidity ranking is formed by multiplying contract point value by a three-year extreme price move, then by open interest, then by a volume adjustment that typically ranges from one to four.

Relative-contract-liquidity is a descending score of how easily all of a product's contracts can be transacted. A relative-liquidity score multiplies the equal-dollar contract count by total open interest and by a volume factor defined as the greater of one and the exponential of log volume over log 5,000, minus two.

Open interest analysis uses outstanding contract inventory as a multiplier in the liquidity score, to test whether the listed book can support the equal-dollar size.

How the ranking is read

Markets are ordered from most to least executable under the relative-liquidity score. The densest activity markers denote the most actively traded names, and a single marker or none denotes little activity.

Each numeric column is a proportional comparison that is meaningful only against other entries in the same column.

Effective percent margin is posted margin divided by the three-year dollar range of the contract, times one hundred, so margin outlay is comparable across products.

A separate proxy for listed shares

For listed shares, share turnover is period volume as a percentage of shares outstanding. It is offered as a turnover-rate proxy for trading liquidity and as a separate liquidity proxy from the futures ranking.

Equal-dollar lot counts, ranked by futures liquidity

Bars are the table’s “contracts to trade for equal dollar profit”: how many lots of each name match the same three-year dollar excursion. Names stay in the magazine’s relative-contract-liquidity order, most executable at the left. Crude and metals often need one lot; 2-year notes, canola, eurodollar and 30-day Fed funds need dozens to hundreds — so a near-zero listed margin is not an executable book.Listed commodity futures · October 2015 TASC ranking (three-year lookback)

Lot count = tick dollar value times the three-year maximum price excursion, so every bar is the same dollar profit potential. Rank order is the unpublished score (that lot count × open interest × a 1-to-4 volume factor), not the plotted column. October 2015 TASC table.

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

28 of 51 in the Futures contract selection track

201658-58 pp.Next on Futures contract selectionEvaluate futures liquidity before contract selectionA listed-futures liquidity ranking multiplies contract point value, a three-year maximum price motion, open interest, and a volume adjustment so candidates can be compared before a contract is chosen.

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