A futures liquidity screen from range, open interest and volume

A rank that measures executability

A futures liquidity rank can be formed by multiplying contract point value, a three-year maximum price motion, open interest, and a volume factor usually described as one to four. The liquidity filter is a pre-trade screen that ranks publicly listed futures by how readily a full, range-normalized order can be placed and closed, using size, range, open interest, and a volume adjustment rather than price direction.

One three-year dollar unit

Contracts to trade for an equal dollar range equal tick dollar value times the three-year maximum price excursion, so every listed futures name is scaled to the same dollar unit. The equal-dollar-range unit asks how many contracts of each futures name are needed to span the same three-year dollar excursion, so column comparisons are made in one money unit.

Open interest and volume confirmation

Relative contract liquidity is defined as the equal-dollar contract count times total open interest times a volume factor, and is meant only for comparison down that same column. Open-interest analysis uses outstanding contract inventory as a multiplicative capacity input so a market with a large dollar range is not treated as executable unless enough open interest exists to absorb the scaled order.

Volume confirmation is a turnover check that raises or lowers the liquidity rank through a volume factor, typically bounded near one to four, so thin prints cannot masquerade as a deep book. The volume factor used in that rank is the greater of one and the exponential of the natural log of volume divided by the natural log of 5000, minus two.

Activity marks, margin and share turnover

Activity marks on the rank are a liquidity filter: the densest marks flag the most executable books for speculators, while one mark or none flags thin activity that is less desirable on execution grounds. Denser activity marks mean easier entry and exit, and sparse marks mean a weaker execution candidate.

Effective percent margin equals margin dollars divided by the three-year dollar price range of the contract, then multiplied by one hundred. That effective-percent-margin figure judges posted capital against historical travel rather than face value alone.

For listed shares, period volume as a percentage of shares outstanding is presented as a turnover-rate proxy for trading liquidity and its effect on price change. Share turnover is the equity analogue in which that percentage stands in for trading liquidity.