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ArtD
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Joined: November 6th, 2008, 3:01 pm

Commodity liquidity measures

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.
 
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nazzdack
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Commodity liquidity measures

November 18th, 2008, 6:34 am

Look inside the back cover of Technical Analysis of Stocks and Commodities magazine. They have a liquidity ranking for different markets.