A three-part liquidity screen before a futures idea is executable

Rank first, then decide whether size can be placed

The archive formed a futures liquidity rank by multiplying contract point value, a three-year maximum price-motion estimate, open interest, and a volume adjustment usually set between 1 and 4.

That construction is a liquidity filter: a pre-trade screen of how readily a contract can be entered and exited, using those inputs rather than chart pattern alone.

Inventory, turnover, and an equal-dollar scale

Open interest analysis reads outstanding contract inventory as a capacity input. Higher open interest, when combined with the equal-dollar contract count, supports a higher relative-liquidity rank.

Volume profile is a turnover overlay on that inventory. Thin or extreme volume is compressed or boosted with a volume factor so a large open-interest book is not treated as liquid if little is actually trading. The volume factor is the greater of 1 and exp(ln(volume) / ln(5000) - 2).

The equal-dollar contract count, which is also the contracts-to-trade figure, equals tick dollar value times the three-year maximum price excursion. Every entry in that column represents the same dollar exposure: the number of contracts of one market needed to match another market's dollar exposure.

Relative contract liquidity equals the equal-dollar contract count times total open interest times the volume factor. The score is meaningful only against other contracts on the same scale.

What the December 2017 list showed

In the December 2017 ranking, the S&P 500 E-Mini, the 10-year Treasury note, and WTI crude occupied the most liquid end of the list.

Contracts marked with one or no liquidity dots were treated as low-activity markets and therefore harder to enter and exit.

Margin and a listed-stock parallel

Effective percent margin equals margin dollars divided by the three-year range of contract dollar value, then multiplied by 100, so posted margin can be compared with the capital that historically moved.

For listed stocks, share turnover uses period volume as a percentage of shares outstanding as a turnover proxy for trading liquidity, a parallel to futures open interest and volume.