what is the daily trading liquidity of commodity futures?

[trend2009]

Hi,

I would like to know what is the daily liquidity of commodity future market. for index futures, the emini s&p500 has a volume of 2 million contract per day, each contract is 50,000 dollars, thus, the liquidity for Emini ES is around 100 billion. for stock market, the total liquidity is around 200 billion. what is the liquidity for energy, corn, wheat, etc future market?

 

[heech]

WTI crude on CME alone is about 500k contracts a day, $90k notional. ICE probably does a similar volume in Brent? A lot more than we usually need to worry about.

 

[nazzdack]

Quote from trend2009:
----daily liquidity of commodity futures market.
----the eMini S&P-500 has a volume of 2 million contract per day....
----each contract is 50,000 dollars....
----the liquidity for Emini ES is around 100 billion.
----What is the liquidity for....?

1) You're merely multiplying average daily volume by the contract size. That's not "liquidity", it's merely an arbitrary number.
2) It's better to relate the day's trading volume to the day's trading range as a better measure of liquidity/elasticity per tick.
3) For the sake of simplicity, if you assume that 15% to 20% of daily volume is commercial-oriented, that component of volume has the most market-moving influence, not the majority of daily volume from daytrading, speculative traders.