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2018issue C1058

Ranking futures by liquidity, open interest, and equal-dollar cost

A historical futures ranking scored relative contract liquidity from point value, a three-year price range, open interest, and a volume factor. It then listed equal-dollar contracts and effective percent margin so each market could be compared on size and capital use.

  • The liquidity filter ranked listed futures by how readily size could be transacted, rather than by the attractiveness of a price pattern.
  • Open interest analysis used outstanding contracts, together with a volume factor usually from 1 to 4, as the depth input in that score.
  • Equal-dollar contracts stated how many contracts of each market were needed to match the same three-year maximum dollar move.
  • Futures contract selection compared relative contract liquidity, equal-dollar size, and effective percent margin before choosing a listed market.
Entries in this reading3 entries
Liquidity filter46 readingsOpen interest analysis46 readingsCurrent trackFutures contract selection51 readings

What the ranking measured

A historical futures ranking scored relative contract liquidity as contract point value times a three-year maximum price move times open interest times a volume adjustment. The volume factor was usually from 1 to 4.

Relative activity was shown as a descending mark count. One or no marks indicated little activity.

A second specification of the liquidity score

Relative contract liquidity was also specified as contracts-to-trade times total open interest times a volume factor. Contracts-to-trade equaled tick dollar value times the three-year maximum price excursion. The volume factor equaled the greater of 1 or the exponential of the natural log of volume divided by the natural log of 5000, minus 2.

Equal-dollar contracts and effective percent margin

An equal-dollar column stated how many contracts of each market were required to match the same three-year maximum dollar move, so every entry in that column represented equal dollar value.

Effective percent margin equaled dollar margin divided by the three-year range of the contract's dollar value, then multiplied by 100.

How to read the columns

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

In the 2018 snapshot, several equity-index minis needed 1 or 2 contracts for equal-dollar comparison, while corn needed 21 and Eurodollar needed 14.

A stock turnover proxy

For listed stocks, period volume as a percentage of shares outstanding was presented as a turnover-rate proxy for trading liquidity.

Equal-dollar futures size, October 2018 liquidity ranking

The same three-year dollar range is one Russell 2000 or Nasdaq 100 E-mini, but 21 corn contracts and 19 Mexican peso contracts. Use this as a size screen after liquidity: a one-lot idea in an index future is a much larger ticket in grains or the peso. Counts are the magazine table’s contracts-to-trade-for-equal-dollar-profit column, not the liquidity-dot ranking.
The same three-year dollar range is one Russell 2000 or Nasdaq 100 E-mini, but 21 corn contracts and 19 Mexican peso contracts. Use this as a size screen after liquidity: a one-lot idea in an index future is a much larger ticket in grains or the peso. Counts are the magazine table’s contracts-to-trade-for-equal-dollar-profit column, not the liquidity-dot ranking.Listed U.S. futures in the October 2018 ranking · October 2018 snapshot, three-year price lookback

The source scaled every listed future equally by multiplying contract value by the maximum price change over the prior three years. Relative liquidity was shown only as dots and is not converted into a numeric series here.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
44 of 51 in the Futures contract selection track
201958-58 pp.Next on Futures contract selectionRanking futures liquidity before contract selectionRelative contract liquidity orders listed futures from easiest to hardest to transact using the equal-dollar-profit contract count, total open interest, and a volume factor.
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 year201810 readings
All 51 readings tagged Futures contract selection
Also on Futures contract selection5 readings
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