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Liquidity_report
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Liquidity_report
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********************************************************************************
Liquidity report produced on 10/05/2024 22:58
********************************************************************************
This report reports on the liquidity of various futures contracts.
The volumes in contracts are for the expiry which currently has the highest volume, and are averaged over the last four weeks
The risk shown is the volume translated into risk in $million. We multiply the contracts by the risk per contract, as an annual $ amount
It's recommended that the minimum volume a retail trader considers is 100 contracts or $1.5m per day(*) indicates a position currently held in my own trading system
=====================================
Sorted by contracts
=====================================
contracts risk
TWD 0 0.00
SGX 0 0.00
ETHANOL 0 0.00
CLP 0 0.00
COTTON 0 0.00
RUR 0 0.00
BOVESPA 0 0.00
HOUSE-US 1 0.00
OMX 2 0.01
CZK 2 0.02
IRS 3 0.07
MILKWET 6 0.02
GASOILINE_micro 6 0.01
VNKI 8 0.00
AEX_mini 9 0.02
CNH-onshore 10 0.06
WHEY 12 0.04
COAL-GEORDIE 13 0.63
EURCAD 15 0.07
JGB-mini 16 0.03
KRWUSD 17 0.11
GICS 19 0.33
PLN 24 0.22
CH10 25 0.20
MILKDRY 25 0.16
TWD-mini 27 0.04
EURAUD 31 0.22
GBPJPY 37 0.51
BUTTER 37 0.24
AUDJPY 39 0.43
COPPER-mini 51 0.45
EPRA-EUROPE 54 0.14
TIN_LME 54 2.51
EU-DJ-TELECOM 60 0.09
SWISSLEAD 62 0.16
EU-DJ-TECH 64 0.63
GBPCHF 64 0.48
COAL 67 3.04
NOK 78 1.25
EU-MEDIA 83 0.20
EU-CHEM 83 0.57
IG 84 0.68
EUROSTX-SMALL 90 0.16
EUROSTX-LARGE 93 0.25
STEEL 97 0.31
EU-RETAIL 103 0.33
SUGAR16 106 0.45
INR 108 0.12
SGD_mini 114 0.10
CHEESE 120 0.83
HIGHYIELD 122 0.84
EU-CONSTRUCTION 122 0.52
CHFJPY 122 2.51
GAS-PEN* 129 1.70
EU-HOUSE 145 0.85
R1000 149 1.15
SEK 152 2.26
EU-DJ-OIL 188 0.46
BONO 196 1.59
SMI-MID 212 0.53
EUROSTX200-LARGE 215 0.49
EU-TRAVEL 222 0.37
EU-MID 232 0.60
US-DISCRETE 234 6.12
MSCIEMASIA 253 1.93
EU-FOOD 259 0.92
US-TECH 260 8.02
MSCIASIA 265 1.91
US-PROPERTY 268 2.00
US-MATERIAL 285 3.06
WHEAT_ICE 296 1.18
EURCHF 302 1.62
CHF_micro 312 0.24
LEAD_LME 337 2.66
US-INDUSTRY 351 4.06
JPY_mini 374 1.40
US-HEALTH 386 4.71
JP-REALESTATE 394 0.43
US-FINANCE 466 5.66
GAS-LAST 475 5.96
NICKEL_LME 481 12.11
ALUMINIUM* 486 5.04
EU-HEALTH 498 2.89
MSCIWORLD 505 1.68
OATIES 506 1.97
EU-DJ-UTIL 551 1.23
LUMBER-new 551 1.33
SGD 553 1.97
WHEAT_mini 559 0.90
BBCOMM 559 0.54
OJ 588 7.04
RICE 596 4.89
US-STAPLES 611 3.77
DJSTX-SMALL 631 1.10
HEATOIL-ICE 636 15.08
GASOILINE_ICE 638 14.07
FTSE250 662 2.99
CORN_mini 673 0.55
MILK 689 4.75
FTSEINDO 697 1.63
ZINC_LME 720 9.08
EU-INSURE 723 1.60
FTSEVIET 766 1.15
US-ENERGY 790 11.09
US-UTILS 822 6.99
GOLD-mini 845 11.85
GBPEUR 896 3.66
ETHEREUM 960 63.77
EURIBOR 984 2.14
SOYBEAN_mini 1000 1.95
MSCITAIWAN 1073 13.52
YENEUR* 1080 12.19
EU-TECH 1111 7.78
COPPER_LME 1275 41.18
EUR_mini 1468 4.66
JGB-SGX-mini 1471 3.03
US-REALESTATE 1493 7.77
CAD_micro 1520 0.51
ALUMINIUM_LME 1556 14.19
EU-AUTO 1569 9.19
ZAR 1744 4.49
GAS_US_mini* 1764 5.32
IBEX_mini 1819 2.59
GBP_micro 1917 0.81
PALLAD 1922 64.34
EU-BASIC 2085 10.89
COPPER-micro 2210 3.90
FTSECHINAH* 2509 14.12
EU-UTILS 2592 5.96
VIX_mini 2918 1.61
HANGENT_mini 3017 4.56
EU-REALESTATE 3133 3.18
BRE 3482 6.43
EU-OIL 4317 10.41
CRUDE_W_mini 4538 33.99
SARONA 4605 5.15
EU-DIV30 4631 7.68
RUBBER 4822 4.83
COCOA_LDN 4877 251.49
US3* 4939 26.15
FEEDCOW 5269 76.81
AUD_micro 5426 2.85
ETHER-micro 6183 0.82
SILVER 6325 41.03
KOSPI_mini 6629 11.51
SUGAR_WHITE 6848 30.61
IBEX 6958 98.78
MUMMY 7038 5.57
CRUDE_ICE 7161 110.49
BRENT-LAST 7184 100.64
NIKKEI400 7378 14.69
FANG 7408 64.65
AEX 8235 133.91
CHINAA-CON 8350 45.32
KRWUSD_mini 8719 11.43
EUR_micro 9427 6.00
BITCOIN* 9487 22.37
ROBUSTA 9736 104.33
SP400 10730 378.71
COCOA 12371 665.93
NZD 12752 58.24
MIB* 13339 244.61
PLAT* 13530 127.52
CHF* 13856 106.24
DX* 15545 75.46
COFFEE 18134 392.58
HEATOIL 18329 374.35
LEANHOG 18428 113.05
MSCISING 19438 42.88
COTTON2* 19572 185.01
LIVECOW 19804 152.48
REDWHEAT 20398 167.52
FED 21032 59.86
GASOILINE 21886 448.50
COPPER 22872 404.09
SMI 25561 307.02
CANOLA 25664 42.22
EUA 25785 744.41
V2X 27094 12.14
DAX* 27627 54.04
TOPIX* 27842 58.98
MSCIEAFA 28430 326.37
CRUDE_W_micro* 30128 43.42
FTSETAIWAN* 30966 291.31
HANG_mini* 31369 123.84
JGB 33140 611.69
GASOIL 33280 487.64
MILLWHEAT 34095 91.51
CAC 34240 251.10
HANGTECH 36090 231.96
WHEAT 38073 273.58
SUGAR11 38087 167.53
SPI200* 40053 493.19
CAD5 41896 118.86
HANGENT 44363 335.20
SOYOIL 44416 292.76
MXP* 44900 98.93
AUD 45109 236.16
HANG 45668 897.94
GBP 47392 201.14
SOYMEAL* 48886 342.24
CAD2 49065 47.56
CAD 49679 166.42
RUSSELL 50417 76.56
IRON* 51074 149.46
GAS_US 57341 648.53
KOSDAQ* 63941 120.62
JPY* 64985 499.92
GOLD_micro* 68253 191.24
SOYBEAN 68399 518.00
VIX* 73882 390.95
EURO600 75570 170.89
SONIA3 79919 226.75
EUR 83739 530.33
DOW 84420 146.19
KR10 86011 333.06
CNH 86510 261.92
FTSE100 88359 722.50
CORN* 91814 324.80
EURIBOR-ICE 107209 232.41
GOLD 109619 3073.81
CRUDE_W 111148 1291.90
BUXL* 113238 2162.36
DOW_mini 113942 1974.13
FTSECHINAA 115790 164.83
CAD10* 123123 641.94
EU-BANKS* 138595 144.14
SOFR 139019 314.04
RUSSELL_mini 149527 2262.59
BRENT_W 157091 2276.83
BTP3 158815 323.68
KR3 169616 198.84
OAT 191116 1577.65
US30* 201193 2780.52
BTP 209060 1833.02
GILT 223696 2125.24
KOSPI 238394 2085.49
US20 252340 2557.17
US10U 296565 2058.66
US2* 381796 1221.53
NASDAQ 521636 25410.18
SHATZ 573566 795.92
BOBL 645504 2784.72
EUROSTX 691855 3672.49
US5 724647 2670.05
SP500_micro 803157 2095.33
NIKKEI* 886902 3092.72
BUND* 941487 7902.63
NASDAQ_micro 1085731 5297.42
US10 1156371 6328.68
SP500 1279091 33355.80
=============================================
$m of annualised risk per day, sorted by risk
=============================================
contracts risk
TWD 0 0.00
SGX 0 0.00
VNKI 8 0.00
CLP 0 0.00
HOUSE-US 1 0.00
RUR 0 0.00
BOVESPA 0 0.00
COTTON 0 0.00
ETHANOL 0 0.00
GASOILINE_micro 6 0.01
OMX 2 0.01
CZK 2 0.02
AEX_mini 9 0.02
MILKWET 6 0.02
JGB-mini 16 0.03
WHEY 12 0.04
TWD-mini 27 0.04
CNH-onshore 10 0.06
EURCAD 15 0.07
IRS 3 0.07
EU-DJ-TELECOM 60 0.09
SGD_mini 114 0.10
KRWUSD 17 0.11
INR 108 0.12
EPRA-EUROPE 54 0.14
MILKDRY 25 0.16
SWISSLEAD 62 0.16
EUROSTX-SMALL 90 0.16
CH10 25 0.20
EU-MEDIA 83 0.20
EURAUD 31 0.22
PLN 24 0.22
BUTTER 37 0.24
CHF_micro 312 0.24
EUROSTX-LARGE 93 0.25
STEEL 97 0.31
GICS 19 0.33
EU-RETAIL 103 0.33
EU-TRAVEL 222 0.37
JP-REALESTATE 394 0.43
AUDJPY 39 0.43
COPPER-mini 51 0.45
SUGAR16 106 0.45
EU-DJ-OIL 188 0.46
GBPCHF 64 0.48
EUROSTX200-LARGE 215 0.49
GBPJPY 37 0.51
CAD_micro 1520 0.51
EU-CONSTRUCTION 122 0.52
SMI-MID 212 0.53
BBCOMM 559 0.54
CORN_mini 673 0.55
EU-CHEM 83 0.57
EU-MID 232 0.60
EU-DJ-TECH 64 0.63
COAL-GEORDIE 13 0.63
IG 84 0.68
GBP_micro 1917 0.81
ETHER-micro 6183 0.82
CHEESE 120 0.83
HIGHYIELD 122 0.84
EU-HOUSE 145 0.85
WHEAT_mini 559 0.90
EU-FOOD 259 0.92
DJSTX-SMALL 631 1.10
FTSEVIET 766 1.15
R1000 149 1.15
WHEAT_ICE 296 1.18
EU-DJ-UTIL 551 1.23
NOK 78 1.25
LUMBER-new 551 1.33
JPY_mini 374 1.40
BONO 196 1.59
EU-INSURE 723 1.60
VIX_mini 2918 1.61
EURCHF 302 1.62
FTSEINDO 697 1.63
MSCIWORLD 505 1.68
GAS-PEN* 129 1.70
MSCIASIA 265 1.91
MSCIEMASIA 253 1.93
SOYBEAN_mini 1000 1.95
SGD 553 1.97
OATIES 506 1.97
US-PROPERTY 268 2.00
EURIBOR 984 2.14
SEK 152 2.26
CHFJPY 122 2.51
TIN_LME 54 2.51
IBEX_mini 1819 2.59
LEAD_LME 337 2.66
AUD_micro 5426 2.85
EU-HEALTH 498 2.89
FTSE250 662 2.99
JGB-SGX-mini 1471 3.03
COAL 67 3.04
US-MATERIAL 285 3.06
EU-REALESTATE 3133 3.18
GBPEUR 896 3.66
US-STAPLES 611 3.77
COPPER-micro 2210 3.90
US-INDUSTRY 351 4.06
ZAR 1744 4.49
HANGENT_mini 3017 4.56
EUR_mini 1468 4.66
US-HEALTH 386 4.71
MILK 689 4.75
RUBBER 4822 4.83
RICE 596 4.89
ALUMINIUM* 486 5.04
SARONA 4605 5.15
GAS_US_mini* 1764 5.32
MUMMY 7038 5.57
US-FINANCE 466 5.66
GAS-LAST 475 5.96
EU-UTILS 2592 5.96
EUR_micro 9427 6.00
US-DISCRETE 234 6.12
BRE 3482 6.43
US-UTILS 822 6.99
OJ 588 7.04
EU-DIV30 4631 7.68
US-REALESTATE 1493 7.77
EU-TECH 1111 7.78
US-TECH 260 8.02
ZINC_LME 720 9.08
EU-AUTO 1569 9.19
EU-OIL 4317 10.41
EU-BASIC 2085 10.89
US-ENERGY 790 11.09
KRWUSD_mini 8719 11.43
KOSPI_mini 6629 11.51
GOLD-mini 845 11.85
NICKEL_LME 481 12.11
V2X 27094 12.14
YENEUR* 1080 12.19
MSCITAIWAN 1073 13.52
GASOILINE_ICE 638 14.07
FTSECHINAH* 2509 14.12
ALUMINIUM_LME 1556 14.19
NIKKEI400 7378 14.69
HEATOIL-ICE 636 15.08
BITCOIN* 9487 22.37
US3* 4939 26.15
SUGAR_WHITE 6848 30.61
CRUDE_W_mini 4538 33.99
SILVER 6325 41.03
COPPER_LME 1275 41.18
CANOLA 25664 42.22
MSCISING 19438 42.88
CRUDE_W_micro* 30128 43.42
CHINAA-CON 8350 45.32
CAD2 49065 47.56
DAX* 27627 54.04
NZD 12752 58.24
TOPIX* 27842 58.98
FED 21032 59.86
ETHEREUM 960 63.77
PALLAD 1922 64.34
FANG 7408 64.65
DX* 15545 75.46
RUSSELL 50417 76.56
FEEDCOW 5269 76.81
MILLWHEAT 34095 91.51
IBEX 6958 98.78
MXP* 44900 98.93
BRENT-LAST 7184 100.64
ROBUSTA 9736 104.33
CHF* 13856 106.24
CRUDE_ICE 7161 110.49
LEANHOG 18428 113.05
CAD5 41896 118.86
KOSDAQ* 63941 120.62
HANG_mini* 31369 123.84
PLAT* 13530 127.52
AEX 8235 133.91
EU-BANKS* 138595 144.14
DOW 84420 146.19
IRON* 51074 149.46
LIVECOW 19804 152.48
FTSECHINAA 115790 164.83
CAD 49679 166.42
REDWHEAT 20398 167.52
SUGAR11 38087 167.53
EURO600 75570 170.89
COTTON2* 19572 185.01
GOLD_micro* 68253 191.24
KR3 169616 198.84
GBP 47392 201.14
SONIA3 79919 226.75
HANGTECH 36090 231.96
EURIBOR-ICE 107209 232.41
AUD 45109 236.16
MIB* 13339 244.61
CAC 34240 251.10
COCOA_LDN 4877 251.49
CNH 86510 261.92
WHEAT 38073 273.58
FTSETAIWAN* 30966 291.31
SOYOIL 44416 292.76
SMI 25561 307.02
SOFR 139019 314.04
BTP3 158815 323.68
CORN* 91814 324.80
MSCIEAFA 28430 326.37
KR10 86011 333.06
HANGENT 44363 335.20
SOYMEAL* 48886 342.24
HEATOIL 18329 374.35
SP400 10730 378.71
VIX* 73882 390.95
COFFEE 18134 392.58
COPPER 22872 404.09
GASOILINE 21886 448.50
GASOIL 33280 487.64
SPI200* 40053 493.19
JPY* 64985 499.92
SOYBEAN 68399 518.00
EUR 83739 530.33
JGB 33140 611.69
CAD10* 123123 641.94
GAS_US 57341 648.53
COCOA 12371 665.93
FTSE100 88359 722.50
EUA 25785 744.41
SHATZ 573566 795.92
HANG 45668 897.94
US2* 381796 1221.53
CRUDE_W 111148 1291.90
OAT 191116 1577.65
BTP 209060 1833.02
DOW_mini 113942 1974.13
US10U 296565 2058.66
KOSPI 238394 2085.49
SP500_micro 803157 2095.33
GILT 223696 2125.24
BUXL* 113238 2162.36
RUSSELL_mini 149527 2262.59
BRENT_W 157091 2276.83
US20 252340 2557.17
US5 724647 2670.05
US30* 201193 2780.52
BOBL 645504 2784.72
GOLD 109619 3073.81
NIKKEI* 886902 3092.72
EUROSTX 691855 3672.49
NASDAQ_micro 1085731 5297.42
US10 1156371 6328.68
BUND* 941487 7902.63
NASDAQ 521636 25410.18
SP500 1279091 33355.80
********************************************************************************
END OF REPORT
********************************************************************************