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2019issue C0958

Screening futures by equal-dollar liquidity

Listed futures can be compared on an equal-dollar lot count, then ordered by relative contract liquidity using open interest and a volume adjustment factor. Effective percent margin restates posted margin against the same multi-year dollar range.

  • Place every futures product on the same three-year dollar range by counting how many lots match that common opportunity.
  • Order relative contract liquidity from the equal-dollar lot count, open interest, and a volume adjustment factor usually set between one and four.
  • Compare margin percentages, lot counts, and liquidity ranks only against other contracts in the same field.
  • Editorial: use the rank to keep implementable names, not to forecast direction.
Entries in this reading3 entries
Liquidity filter46 readingsOpen interest analysis46 readingsCurrent trackFutures contract selection51 readings

An equal-dollar footing

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

Futures can be placed on an equal-dollar footing by counting how many lots of each product match the same three-year dollar range, so every entry in that comparison represents the same dollar opportunity. That equal-dollar lot count is defined as tick dollar value multiplied by the three-year maximum price excursion.

Relative contract liquidity

Relative tradability is then ordered by multiplying the equal-dollar lot count by total open interest and by a volume factor equal to the greater of 1 and the exponential of log volume over log 5000, minus 2.

Open interest supplies the size input for whether that ranked lot count is actually executable. It is the stock of outstanding futures positions. The volume adjustment factor then scales the rank down for sparse activity and up for very heavy activity.

Effective percent margin

Effective percent margin equals posted margin dollars divided by the contract's three-year dollar price range, then multiplied by 100. Capital intensity can then be compared after the same range normalization.

Margin percentages, equal-dollar lot counts, and liquidity ranks are described as proportional measures that are meaningful only when one contract is compared with others in the same field.

A September 2019 snapshot

In the September 2019 snapshot, the S&P 500 mini required 2 lots for the equal-dollar comparison, showed a 4.6 percent posted margin and a 13.9 percent effective margin, and sat at the top of the relative-liquidity order.

A single activity mark, or none, is used to flag low-activity futures at the difficult-to-trade end of the ranking.

Equal-dollar lot counts, September 2019 futures

Each bar is how many contracts it takes to own the same three-year dollar swing the table uses for every name. Rows keep the source liquidity ranking, so size and tradability can be read together: Nasdaq 100 E-Mini and Palladium both size to one lot, but only the former sits among the most liquid names. Figures are the September 2019 contracts-to-trade column, not a reading of the decorative photograph.
Each bar is how many contracts it takes to own the same three-year dollar swing the table uses for every name. Rows keep the source liquidity ranking, so size and tradability can be read together: Nasdaq 100 E-Mini and Palladium both size to one lot, but only the former sits among the most liquid names. Figures are the September 2019 contracts-to-trade column, not a reading of the decorative photograph.US-listed commodity and financial futures · September 2019 · 2019-09-01T00:00:00.000Z to 2019-09-30T00:00:00.000Z

The source scales each name by tick-dollar value times the prior three-year maximum price excursion. Relative liquidity (open interest times a volume factor) sets the row order and is not plotted as a number.

Share turnover and contract choice

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

Editorial interpretation: once the liquidity filter has removed names that cannot absorb the common dollar size, futures contract selection is the later step that puts the remaining trade into a diversified or regime-aware context. The historical ranking does not itself assign that context.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
47 of 51 in the Futures contract selection track
202058-58 pp.Next on Futures contract selectionBuilding an equal-dollar futures liquidity screenEqual-dollar ranking multiplies contract value by the largest price change observed over the prior three years so every contracts-to-trade figure represents the same dollar profit potential.
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
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All 51 readings tagged Futures contract selection
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