Screen futures liquidity with open interest and volume

Rank the book before the chart

A futures ranking can be read as a pre-trade screen. The historical workflow first converts every listed market to a common dollar swing, then asks how easily those contracts can be bought or sold.

That screen is a liquidity filter: it keeps only markets whose activity, depth, and cost profile can support an executable order. Attractiveness of the chart is a later question.

Scale every market to the same dollar swing

Contracts to trade for equal dollar profit equal tick dollar value times the three-year maximum price excursion. That count scales listed futures to the same dollar swing.

A futures liquidity rank then multiplies contract point value by the largest three-year price move, by open interest, and by a volume factor so markets can be ordered by how easily contracts can be bought or sold.

Relative contract liquidity states the same construction as a product: the equal-dollar contract count times total open interest times a volume factor. The volume factor is defined as the greater of 1 or exp(ln(volume)/ln(5000) - 2). It is usually a number from 1 to 4 that adjusts the rank for low or very high traded volume.

Use open interest and volume as the filter

Open interest analysis reads outstanding futures positions as a capacity input when ranking how easily a contract can be bought or sold. A large open book is not enough on its own.

Volume confirmation uses traded volume, often as that volume factor, to confirm that listed open interest is actually turning over. Thin volume down-weights the rank. Very high volume can lift it.

Together they decide whether the equal-dollar size you just computed can be worked. The rank is a filter on executability, not a score of how interesting the market looks.

Read each column only against itself

Each column in the ranking is a proportional comparison and is meaningful only against other values in the same column. A figure that looks large in isolation is not a stand-alone verdict.

Markets marked with one or no activity dots are presented as low-activity and harder to trade than markets with many dots. That mark is part of the liquidity filter, not a comment on the chart pattern.

Effective percent margin is margin dollars divided by the three-year dollar range of the contract, then multiplied by one hundred. It expresses capital lock-up so posted margin can be compared across markets that have already been scaled to the same dollar swing.

Compare stocks with share turnover

For equities, trading activity is treated as a liquidity proxy equal to period volume as a percentage of shares outstanding. That share turnover is the stock-market analogue of the futures volume check: it asks whether listed shares are actually changing hands.

The futures side still leans on open interest as the capacity input and on the volume factor as confirmation. The equity side has no open-interest column, so share turnover carries the liquidity question alone.