# Liquidity measures for Commodities Futures

I would like to find a way to measure Liquidity for Commodities Futures. I found the following 4 papers/definitions:

The first 3 only refer to Stocks.

Are the above measures applicable both to Stocks and to Commodities?

Can they be applied to Future Contracts?

Would they be equally valid on daily basis vs a monthly or yearly basis?

• What is your goal in measuring liquidity? Mar 11 '21 at 23:26
• ADV (average daily volume) and OI (open interest) are the usual ones... but what are you trying to measure here? Mar 12 '21 at 0:23
• @user42108 My goal in measuring liquidity is to understand how liquid a future contract is compared to the others. Mar 12 '21 at 7:42
• @demully I'm trying to measure liquidity of future commodity contracts. Mar 12 '21 at 7:43
• "My goal in measuring liquidity is to understand how liquid a future contract is compared to the others" - different liquidity measures will give you different answers to that question, which is why I asked. In addition, commodity futures are likely to be different and probably more complicated than stocks when it comes to liquidity measurement as they are often traded via calendars or cross-market spreads (e.g. crack, crush...) which are an important source of liquidity. Mar 12 '21 at 14:06

Therefore, you can define the liquidity using the average daily volume in a recent time window as suggested by this answer adding some additional constraints/penalty, such as a minimum number of days with at least $$N$$ trades.