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2015issue C0956

Screen futures contracts by liquidity and open interest

A 2015 futures listing first scales every market to an equal-dollar contract count, then forms relative contract liquidity from that count, total open interest, and a volume factor. Activity marks separate the easiest books to trade from thinly traded names.

  • Equal-dollar contract count scales every listed future by contract value times the largest three-year price change so the counts share one dollar excursion.
  • Relative contract liquidity multiplies that count by total open interest and a volume factor, usually between 1 and 4.
  • Markets with the most activity marks are treated as easiest to buy and sell; names with one mark or none are treated as thinly traded.
  • Each column is a proportional comparison and is meaningful only against other values in the same column.
Entries in this reading3 entries
Liquidity filter46 readingsOpen interest analysis46 readingsCurrent trackFutures contract selection51 readings

Start with equal-dollar contract count

An equal-dollar column scales every listed future by contract value times the largest three-year price change so that those contract counts share the same dollar excursion. The contracts-to-trade figure is tick dollar value times the three-year maximum price excursion. It is the equal-dollar contract count: how many contracts of one market are needed to match another market’s three-year dollar price excursion, so listed counts share a common dollar scale.

Contracts needed for equal dollar profit, September 2015

Each bar is how many contracts of that market the September 2015 listing required to match the same three-year dollar range as every other name. Equity and energy minis sit at one or two contracts, while Eurodollar and 30-day Fed Funds jump to 179 and 273, so an equal-dollar book would be huge in names the liquidity column already ranks as thin. Figures are the Contracts to Trade for Equal Dollar Profit column of the magazine table.
Each bar is how many contracts of that market the September 2015 listing required to match the same three-year dollar range as every other name. Equity and energy minis sit at one or two contracts, while Eurodollar and 30-day Fed Funds jump to 179 and 273, so an equal-dollar book would be huge in names the liquidity column already ranks as thin. Figures are the Contracts to Trade for Equal Dollar Profit column of the magazine table.Listed commodity futures · September 2015 listing

The magazine defines the count as tick dollar value times the three-year maximum price excursion, so every row is scaled to the same dollar profit potential.

Form relative contract liquidity

A futures liquidity rank is formed by multiplying contract point value by a three-year maximum price move, then by open interest, then by a volume factor usually between 1 and 4. Relative contract liquidity equals the equal-dollar contract count times total open interest times that volume factor. The volume factor is the larger of 1 and e raised to (ln(volume) divided by ln(5000) minus 2). It lifts or floors activity in the liquidity rank.

Keep names the open-interest screen can carry

The ranking is ordered so that markets with the most activity marks are the easiest to buy and sell, while names with one mark or none are treated as thinly traded and less suitable for speculative execution. The open-interest screen uses outstanding contracts, together with volume, as a filter for whether a chosen futures size is likely to be executable.

Compare effective percent margin

Effective percent margin equals dollar margin divided by the contract’s three-year dollar price range, then multiplied by 100. It compares capital lock-up against historical range rather than against notional alone.

Read the 2015 listing within each column

In the 2015 listing, the E-mini S&P 500 used 2 contracts in the equal-dollar column and carried the longest activity mark, while 30-day fed funds used 273 contracts and carried no activity mark. Each column is a proportional comparison and is described as meaningful only against other values in that same column.

A share turnover proxy for stocks

For listed stocks, period volume as a percentage of shares outstanding is presented as a share turnover proxy for trading liquidity.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
27 of 51 in the Futures contract selection track
201556-56 pp.Next on Futures contract selectionEqual-dollar futures choice as a liquidity filterContracts-to-trade restates each futures name as the lot count implied by tick dollar value and the three-year maximum price move, so every listed size represents the same dollar excursion.
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 year201511 readings
All 51 readings tagged Futures contract selection
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