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2011issue C0477

Futures liquidity rank as an execution filter

The archive ranks listed futures by how readily a full book can be transacted. Relative contract liquidity combines a size-normalized three-year range, open interest, and a volume factor so that contracts can be compared only after they are placed on a common scale.

  • Relative contract liquidity scores how readily a listed futures book can be bought and sold, using a size-normalized price range, open interest, and a volume factor.
  • Contracts to trade for equal dollar profit put every listed market on one three-year dollar-range scale so that contract counts can be compared.
  • Each ranking column is a proportional measure and is meaningful only next to other contracts in the same column.
  • Editorial reading: use the rank as a liquidity filter before a contract is treated as eligible for margin or dollar-range comparison.
Entries in this reading3 entries
Liquidity filter46 readingsOpen interest analysis46 readingsCurrent trackFutures contract selection51 readings

How readily a listed book can be transacted

A futures liquidity rank can be formed by combining contract point value, a three-year maximum price range, open interest, and a volume adjustment. Relative contract liquidity is the comparative score of how readily a listed futures book can be bought and sold.

The ranking orders contracts by how readily their full listed books can be transacted. The top of the list is easiest to buy and sell. The bottom is the most difficult.

Size, open interest, and volume in one rank

The contracts-to-trade-for-equal-dollar-profit figure scales every listed market to the same dollar value by using contract value times the largest price change observed over three years. That equal-profit contract count is specified as tick dollar value multiplied by the three-year maximum price excursion.

Relative contract liquidity is the equal-profit contract count times total open interest times a volume factor. Open interest is the stock of outstanding futures positions used as a size input. The volume factor is a multiplier, floored at one, that lifts the rank when traded volume is large relative to a fixed volume benchmark.

Effective percent margin is initial margin dollars expressed as a percentage of the same three-year dollar range of the contract. In the archive workflow it is margin dollars divided by the three-year range of contract dollar value, stated as a percent.

Compare columns, not isolated scores

Relative liquidity is presented comparatively. The densest activity marks identify the most active contracts, while one mark or none identify thinly traded contracts.

Each column is a proportional measure that is meaningful only when compared with other contracts in the same column.

Share turnover on the same page

On the same page, equity trading activity is treated as a liquidity proxy equal to period volume as a percentage of shares outstanding. That proxy is described as a share-turnover rate.

Contracts needed for equal dollar profit

How many listed futures of each name must be traded to match the same three-year dollar profit as the others. The source table ranks books by relative liquidity; this series is the exact “Contracts to Trade for Equal Dollar Profit” column, so a trader can see which names need a fat stack of contracts and which need only one or two before comparing them on margin. Eurodollar, Euribor, and Fed funds sit at the liquid, low-count end; Schatz, notes, and bonds sit at the high-count end.
How many listed futures of each name must be traded to match the same three-year dollar profit as the others. The source table ranks books by relative liquidity; this series is the exact “Contracts to Trade for Equal Dollar Profit” column, so a trader can see which names need a fat stack of contracts and which need only one or two before comparing them on margin. Eurodollar, Euribor, and Fed funds sit at the liquid, low-count end; Schatz, notes, and bonds sit at the high-count end.Listed commodity and financial futures · three-year maximum price excursion, as of the April 2011 listing · 2008-04-01T00:00:00.000Z to 2011-04-30T00:00:00.000Z

The source defines Contracts to Trade as tick dollar value times the three-year maximum price excursion, so every name is scaled to the same dollar profit. Relative liquidity dots and percent-margin columns are omitted here because they are not a recoverable numeric series. Sample is the April 2011 TASC listing.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
10 of 51 in the Futures contract selection track
201137-37 pp.Next on Futures contract selectionSilver contract-selection by size, hours, and carrySilver views were described as implementable through exchange-traded funds, foreign-exchange products, futures, futures options, or physical bullion, each with different access and cost constraints.
All readings on this track · 51 readings
  1. 2002Single-stock futures and the sleeve that belongs on the ticket
  2. 2007Ethanol futures liquidity lagged the policy boom
  3. 2010Relative liquidity ranking for futures contract selection
  4. 2010A liquidity filter for executable futures contract selection
  5. 2010Screening futures by liquidity, open interest, and equal-dollar size
  6. 2010Ranking futures liquidity for executable contract choice
  7. 2010Liquidity and open interest screens for futures selection
  8. 2010Ranking futures by open interest and equal-dollar liquidity
  9. 2011Liquidity filter for futures contract selection
  10. 2011Futures liquidity rank as an execution filter
  11. 2011Silver contract-selection by size, hours, and carry
  12. 2011Filtering futures by liquidity, open interest and equal-dollar size
  13. 2011Liquidity and open interest as a screen for futures selection
  14. 2011A futures liquidity filter for equal-dollar execution
  15. 2012Ranking futures liquidity before choosing a contract
  16. 2013Liquidity-first futures contract selection
  17. 2013Equal-dollar liquidity filter for futures contract choice
  18. 2013Futures liquidity filters for executable contract selection
  19. 2013Filter listed futures by liquidity and open interest first
  20. 2013Ranking listed futures by liquidity and equal-dollar size
  21. 2013A pre-trade liquidity filter for futures contract selection
  22. 2014Why commodity futures are trades, not long-horizon holdings
  23. 2014Rank futures liquidity before selecting the contract
  24. 2014Filter futures by equal-dollar liquidity and open interest
  25. 2015Filter futures contracts by liquidity and open interest
  26. 2015A two-stage liquidity filter for futures contract selection
  27. 2015Screen futures contracts by liquidity and open interest
  28. 2015Equal-dollar futures choice as a liquidity filter
  29. 2016Evaluate futures liquidity before contract selection
  30. 2016Ranking futures liquidity before you pick the contract
  31. 2016Filter listed futures by relative liquidity and open interest
  32. 2017Evaluating futures liquidity for executable contract selection
  33. 2017A relative liquidity rank for choosing an executable futures contract
  34. 2017Constructing a futures liquidity filter for contract selection
  35. 2017Filter futures by liquidity, open interest, and equal-dollar size
  36. 2017Rank futures liquidity before contract selection
  37. 2017Build a futures liquidity filter from open interest
  38. 2018Evaluating futures liquidity for executable contract choice
  39. 2018Volume-confirmed pivots versus unregulated spot exposure
  40. 2018Executable futures selection from a 2018 liquidity board
  41. 2018Evaluate futures liquidity before contract selection
  42. 2018Open-interest liquidity filter for futures contract selection
  43. 2018Construct a futures liquidity filter from open interest and range
  44. 2018Ranking futures by liquidity, open interest, and equal-dollar cost
  45. 2019Ranking futures liquidity before contract selection
  46. 2019Ranking futures liquidity before you pick a contract
  47. 2019Screening futures by equal-dollar liquidity
  48. 2020Building an equal-dollar futures liquidity screen
  49. 2020Use liquidity and open interest as a futures execution screen
  50. 2020Compact index futures as diversified contract selection
  51. 2020Filter futures by range-scaled liquidity and open interest
By fieldLiquidity and costs46 readingsBy year20118 readings
All 51 readings tagged Futures contract selection
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