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2010issue C1293

Ranking futures by open interest and equal-dollar liquidity

A listed-futures liquidity rank multiplies contract point value, a three-year maximum conceivable price move, open interest, and a volume adjustment. Contracts-to-trade for equal dollar profit puts every market on the same historical dollar range, and relative contract liquidity then orders how readily those books can be traded.

  • A listed-futures liquidity rank multiplies contract point value, a three-year maximum conceivable price move, open interest, and a volume adjustment usually between 1 and 4.
  • Contracts-to-trade for equal dollar profit scales each market so every count represents the same historical dollar range, then relative contract liquidity orders those books by how readily they can be traded.
  • Contracts marked with one activity indicator or none are treated as thinly traded, and a liquidity filter drops them before a directional idea is treated as interchangeable with more active names.
  • Effective percent margin places posted dollar margin on that shared three-year dollar range so it can be compared with ordinary percent margin.
Entries in this reading3 entries
Liquidity filter46 readingsOpen interest analysis46 readingsCurrent trackFutures contract selection51 readings

Forming a listed-futures liquidity rank

A listed-futures liquidity rank can be formed by multiplying contract point value, a three-year maximum conceivable price move, open interest, and a volume adjustment usually between 1 and 4.

The open-interest weight is the outstanding-contract count. It stands for the size of the book that must be absorbed when ranking how executable a future is.

The volume factor is a multiplier, typically from 1 to 4, that down-weights very thin or extremely heavy volume when the liquidity rank is formed.

Contracts to trade for equal dollar profit

Contracts-to-trade for equal dollar profit scales each market by tick dollar value times the three-year maximum price excursion so every count in that column represents the same historical dollar range.

Contracts to trade for equal three-year dollar profit

How many listed futures you must hold so each name spans the same three-year dollar range. Eurodollar and short sterling need five and six contracts; two-year Schatz needs 27. Values are the published December 2010 column, not a redraw of the liquidity-dot bars.
How many listed futures you must hold so each name spans the same three-year dollar range. Eurodollar and short sterling need five and six contracts; two-year Schatz needs 27. Values are the published December 2010 column, not a redraw of the liquidity-dot bars.Listed futures (TASC December 2010 liquidity table) · three-year maximum price excursion · 2007-12-01T00:00:00.000Z to 2010-12-31T00:00:00.000Z

Contracts to trade equals tick dollar value times the three-year maximum price excursion, so every name is scaled to the same historical dollar range. Relative-contract-liquidity dots are a separate ranking and are not plotted here.

Relative contract liquidity

Relative contract liquidity is defined as the equal-dollar contract count times total open interest times a volume factor equal to the greater of 1 or exp(ln volume / ln 5000) minus 2.

Each liquidity comparison is a proportional measure. Names at the top of the relative-liquidity column are easier to buy and sell than those at the bottom, and a figure is meaningful only against other entries in the same column.

A liquidity filter for thin names

On that rank, contracts marked with one activity indicator or none are treated as thinly traded and therefore less suitable when a speculator must enter and exit.

A liquidity filter is a pre-trade screen that drops thinly marked contracts before a directional futures idea is treated as interchangeable with more active names.

Posted margin on the same dollar range

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

Percent margin and effective percent margin are offered as a side-by-side comparison of how posted margin maps onto that shared three-year dollar range.

A turnover proxy in listed shares

For listed shares, period volume as a percentage of shares outstanding is treated as a turnover-rate proxy for trading liquidity.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
8 of 51 in the Futures contract selection track
201177-77 pp.Next on Futures contract selectionLiquidity filter for futures contract selectionA liquidity filter ranks listed futures by combining dollar sensitivity, a multi-year price excursion, activity, and a volume adjustment so thin names can be excluded before an order is placed.
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 year20109 readings
All 51 readings tagged Futures contract selection
Also on Futures contract selection5 readings
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