Ranking listed futures by liquidity and equal-dollar size

What the ranking measures

Relative contract liquidity is a cross-market ranking of how readily a listed futures book can be transacted. It is built from an equal-dollar contract count, outstanding open interest, and a volume adjustment.

Open interest is the stock of outstanding futures contracts and is the size input when judging how much of a market can actually be bought or sold. A liquidity filter is a pre-trade screen that keeps only markets whose activity, size, and implementation-cost inputs support an executable order over the life of that order.

Equal-dollar contract count

An equal-dollar contract count is formed by combining a contract’s tick dollar value with its three-year maximum price excursion so that each market is scaled to the same potential dollar move.

That count is the number of contracts of one futures market needed so that its multi-year maximum dollar excursion matches the same dollar scale used for other listed markets in the comparison.

How the rank is assembled

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

Relative contract liquidity can also be written as that equal-dollar contract count times total open interest times a volume factor. The volume factor is a multiplier that raises or lowers a contract when volume is unusually thin or unusually heavy relative to a fixed activity base.

In that ranking the volume factor is the greater of 1 and an exponential transform of volume relative to a 5,000-contract base, specifically exp(ln(volume) / ln(5000) - 2).

Effective percent margin

Effective percent margin is posted margin dollars divided by the three-year dollar range of the contract, then multiplied by 100. The result lets margin use be compared across markets that do not share the same raw margin rate.

Reading a comparison table

A dot-count display of relative liquidity treats more marks as higher activity and treats one mark or none as thin activity that is harder to execute.

Each column in such a comparison is a proportional measure and is meaningful only against other contracts in the same column. Markets at the top of the relative-liquidity order are those whose outstanding contracts are easiest to transact, and markets at the bottom are the most difficult.

A parallel turnover proxy for shares

For listed shares, period volume as a percentage of shares outstanding is presented as a parallel turnover proxy for trading liquidity. That share construction is distinct from the futures construction that uses open interest and an equal-dollar size scaler.