November 17th, 2008, 1:55 pm
Is there an industry norm for the liquidity measure of commodities? I am considering using a cumulative notional open interest amount of the 12 month futures strip or perhaps some percentage of a rolling 6 month average open interest. Any thoughts or recommendations?Thanks!
Last edited by
ArtD on November 16th, 2008, 11:00 pm, edited 1 time in total.