Liquidity of Futures Options

Discussion in 'Options' started by CPTrader, Apr 12, 2006.

  1. Does anybody have a list/ranking of the most liquid futures options or at least a best-guess estimate of the most liquid futures options among the following market complexes - stock indices, currencies, metals, energy complex, rates, etc.

  2. Also a ranking of index options liquidity would be great.

    Any general thoughts on the liquidity of equity inex options versus that of futures options, are also welcome.
  3. Trader13


    You can usually find volume figures for options contracts on the web sites of each futures exchange (CME, CBOT, EUREX, ... ). I'm not aware of a more convenient source that combines the options contracts across exchanges and ranks them by volume.

    However, volume on the option contracts rank somewhat relative to the volume on the underlying futures contract (not ALWAYS true, but close). So you might start with a volume ranking of the futures contracts which is easier to find. Monthly magazines like TASC and Active Trader both publish a table of futures contracts ranked by volume.

    The FIA reports annual volume figures for the Top 20 derivative contracts, some of which are options contracts. Here is a link to one of their reports (as of the date of this post):

    Hope this helps.
  4. 1000


    YM, ES, NQ
  5. Thx, Trader 13. Good points.

    It seems the most liquid futures options are SP, ZB, ZN, CL, EC, JY
    ...not including the foreign markets EuroStoxx & KOSPI.

  6. Options on the min contracts are relatively illiguid. The ES may be Ok, but the YM is virtually dead.
  7. Trader13


    Don't give up on an options contract because the options volume is low. If the underlying futures contract has high volume, then you might get a liquid options market with fair bid/ask spreads in any case. Worth looking at the bid/ask spread along with the volume figures, as I'm assuming the motive behind your question is to get decent execution without taking a big hit on the bid/ask spread.

    I haven't looked at YM options in a while, but they are traded on an electronic exchange (not pit-traded) and may be priced favorably.
  8. Good points! Thanks, Trader13
  9. ktm


    I traded the YM options up until about a year ago. They were not very liquid but the spreads were decent and you could get filled for a decent quantity between bid/ask most of the time. I notice now that there are 50 point increments with near the money strikes. That was always an issue having strikes 100 points apart...maybe I will give them another look.
  10. Ahem, CME publishes all the exact raw volume data daily (called Daily Bulletin), the volume are separated by strike price. The monthly summary is also available.

    The monthly volume summary data is at:

    There is no need to guess, just get the raw data and sort on your own.
    #10     Apr 12, 2006