A futures liquidity ranking as a screen for executable orders

What the published ranking combines

A published futures liquidity ranking is built by combining contract point value, a three-year maximum conceivable price move, open interest, and a low-volume adjustment factor. The chart is framed as a speculator reference that compares per-contract profit potential with how easily contracts can be bought or sold.

Each column is meaningful only relative to other entries in that column. Relative-contract-liquidity is a descending ranking of listed futures by how readily their contracts can be bought and sold, shown as a proportional dot count rather than a standalone score.

Relative liquidity as dots

Relative-contract-liquidity is displayed as a descending dot count so markets at the top of the list are presented as easier to buy and sell than markets at the bottom. The dots are a comparative screen for whether an order looks executable, not a score that can be read in isolation.

Size, open interest, and the volume factor

Contracts-to-trade-for-equal-dollar-profit is a size-normalization that asks how many contracts of one market are needed to match another market's potential dollar move, using tick value and a multi-year maximum price excursion. In the published table it equals tick dollar value times the three-year maximum price excursion, so listed markets are size-normalized to a common dollar-profit unit.

The ranking multiplies that contracts-to-trade figure by total open interest and by a volume-factor. Open-interest-weight is the outstanding contract inventory used inside the rank, so markets with more standing positions rank as easier to trade than equally sized but thinner books.

The volume-factor is a low-activity adjustment, usually a small integer or an exponential of volume versus a 5,000-contract reference, that down-weights quiet futures in the ranking. It is defined as the greater of 1 or exp(ln volume - 2) / ln 5000.

Posted margin versus three-year range

Nominal percent margin and effective-percent-margin are shown side by side so a trader can compare posted margin against three-year dollar range rather than treating headline margin rates as comparable across products.

Effective-percent-margin is margin dollars divided by the three-year range of contract dollar value, then scaled to a percent. The column compares how efficiently posted margin covers historical range across markets with different volatility.

A July 2016 listing and a stock analogue

In the July 2016 listing, equity-index and energy contracts such as E-mini S&P 500, 10-year T-note, and WTI crude occupy the densest liquidity rows, while several agricultural and lesser metals contracts sit near the bottom with one dot or none. That snapshot is historical source context, not a statement about present-day liquidity.

For stocks, share-turnover defines trading activity as period volume as a percentage of shares outstanding and is offered as a turnover-rate proxy for trading liquidity, analogous to the futures activity measures in the ranking.