Screen listed futures by liquidity, open interest, and margin

Rank listed futures before the ticket

The archive describes a historical workflow that ranks listed futures by how readily size can be transacted. The construction combines a dollarized historical range, a volume-scaled activity factor, and open interest so thin markets can be dropped before an order is chosen.

Editorial interpretation: treat the rank as a pre-ticket execution screen. Implementation cost, not the signal, is what the screen is built to judge when deciding whether an order should be sent.

Dollar-normalize the contract

A listed-futures liquidity rank can be formed by multiplying contract point value, a three-year maximum price motion, open interest, and a volume factor.

Relative contract liquidity can also be stated as the equal-dollar contract count times total open interest times a volume factor. The equal-dollar contract count equals tick dollar value times the three-year maximum price excursion, so every entry in that column shares the same dollar scale.

That shared scale is what contracts-to-trade records: the number of contracts of one listing needed to match the same three-year dollar excursion as another, so different tick values become comparable.

Multiply by open interest and a volume factor

Open interest analysis uses outstanding contract interest as a multiplier in the liquidity score, so markets with more standing positions rank as easier to enter and exit.

The volume factor is a scalar applied when activity is unusually low or unusually high. It is typically an integer from 1 to 4. It can also be the greater of 1 and an exponential transform of volume versus a five-thousand-contract baseline.

Listings marked with one activity unit or none are treated as thinly transacted and therefore weaker candidates when the screen is for ready execution.

Read margin against the three-year range

Commission analysis is a side-by-side reading of posted percent margin and effective percent margin. Effective percent margin equals posted margin dollars divided by the three-year dollar range of the contract, then multiplied by 100.

Used this way, effective percent margin compares how much capital a trade locks up relative to historical excursion, listing against listing.

Compare only inside the same column

Each column is a proportional comparison and is meaningful only against other rows in the same column. Relative contract liquidity is the product of the equal-dollar contract count, total open interest, and a volume factor, and it is used only as a ranking against other listings in the same table.

On cash equities, period volume divided by shares outstanding is used as a turnover-style proxy for trading liquidity. That proxy belongs to a different market and is not mixed into the listed-futures rank.