Systems and methods for providing a liquidity-based commodities index

1. A system comprising:

memory operable to store at least one program; and

at least one processor communicatively coupled to the memory, in which the at least one program when executed b the at least one processor causes the at least one processor to:

receive liquidity related data for a commodity, said liquidity related data including a historical daily dollar value of contracts traded for said commodity;

calculate a liquidity for said commodity based on an average daily dollar value of contracts traded for said commodity;

set a liquidity threshold for including said commodity in an index;

select said commodity for inclusion in said index based on a comparison of said calculated liquidity to said liquidity threshold;

calculate a liquidity factor for said selected commodity; and

weight said selected commodity based on said liquidity factor of said commodity.

2. The system of claim 1 , wherein said average daily dollar value of contracts traded for said commodity equals an average of a sum of: (a closing price of a contract) multiplied by (a daily reported trading volume of said contract) multiplied by (a fixed number of units in said contract).

3. The system of claim 1 , wherein the at least one processor, further, evaluates said liquidity across a plurality of contracts for said commodity and a plurality of settlement dates for said commodity on more than one commodity futures exchange.

4. The system of claim 1 , wherein said liquidity factor (LF) is calculated using a formula:

LF

=

DVCT

PrevNovME

Price

2

⁢

ndBusinessDay

,

wherein

DVCT PrevNovME is a trailing three-year average dollar value of contracts traded for an index-eligible contract as of a 30th day of November of a previous year, and

Price 2ndBusinessDay is a prompt contract closing price of said commodity, as of a second index business day of a year.

5. The system of claim 1 , wherein weighting said selected commodity is performed on a periodic basis.

6. The system of claim 1 , wherein weighting said selected commodity based on said liquidity factor of said commodity is performed using a formula:

W

b

,

i

=

LF

i

*

P

b

,

i

∑

(

LF

*

P

b

)

CI

wherein,

W b,i is a beginning of day index weight for a commodity i,

LF i is a liquidity factor for said commodity i,

P b,i is a beginning of day index price for said commodity i

Σ(LF*P b ) CI is a sum of (LF*P) for each of one or more commodities in said index.

7. The system of claim 1 , wherein said liquidity threshold is defined by a user.

8. The system of claim 1 , wherein the at least one processor further:

identifies an expiring contract for said commodity;

incrementally rolls said expiring contract for a later dated contract;

calculates a second liquidity for a rolling contract based on a price of said expiring contract and a price of said later dated contract;

calculates a second liquidity factor of said rolling contract; and

reweights said commodity based on said second liquidity factor of said commodity.

9. The system of claim 8 , wherein incrementally rolling said expiring contract is performed over a period, said period defined by a user.

10. The system of claim 8 , wherein incrementally rolling said expiring contract comprises: selling on a first day a first portion of an expiring contract and purchasing a corresponding first portion of said later dated contract; and selling on a second day a second portion of said expiring contract and purchasing a corresponding second portion of said later dated contract;

wherein reweighting said commodity based on said second liquidity factor of said commodity is based on a price of said expiring contract on said second day and a price of said later dated contract on said second day.

11. The system of claim 8 , wherein said expiring contract is defined by a user.

12. The system of claim 1 , wherein said calculated liquidity of each of said plurality of commodities is based on a trading volume of a contract for each of said plurality of commodities over a trailing period.

13. A computer readable medium having stored thereon computer executable instructions that, when executed on a computer, configure the computer to perform a method comprising:

receiving liquidity related data for a commodity, said liquidity related data including a historical daily dollar value of contracts traded for said commodity;

calculating with a processor a liquidity for said commodity based on an average daily dollar value of contracts traded for said commodity;

setting a liquidity threshold for including said commodity in an index;

selecting said commodity for inclusion in said index based on a comparison of said calculated liquidity to said liquidity threshold;

calculating with a processor a liquidity factor for said selected commodity; and

weighting said selected commodity based on said liquidity factor of said commodity.

14. The computer readable medium of claim 13 , wherein said average daily dollar value of contracts traded for said commodity equals an average of a sum of: (a closing price of a contract) multiplied by (a daily reported trading volume of said contract) multiplied by (a fixed number of units in said contract).

15. The computer readable medium of claim 13 , said method further comprising evaluating said liquidity across a plurality of contracts for said commodity and a plurality of settlement dates for said commodity on more than one commodity futures exchange.

16. The computer readable medium of claim 13 , wherein said liquidity factor (LF) is calculated using a formula:

LF

=

DVCT

PrevNovME

Price

2

⁢

ndBusinessDay

,

wherein

DVCT PrevNovME is a trailing three-year average dollar value of contracts traded for an index-eligible contract as of a 30th day of November of a previous year, and

Price 2ndBusinessDay is a prompt contract closing price of said commodity, as of a second index business day of a year.

17. The computer readable medium of claim 13 , wherein weighting said selected commodity is performed on a periodic basis.

18. The computer readable medium of claim 13 , wherein weighting said selected commodity based on said liquidity factor of said commodity is performed using a formula:

W

b

,

i

=

LF

i

*

P

b

,

i

∑

(

LF

*

P

b

)

CI

wherein,

W b,i is a beginning of day index weight for a commodity i,

LF i is a liquidity factor for said commodity i,

P b,i is a beginning of day index price for said commodity i

Σ(LF*P b ) CI is a sum of (LF*P) for each of one or more commodities in said index.

19. The computer readable medium of claim 13 wherein said liquidity threshold is defined by a user.

20. The computer readable medium of claim 13 , said method further comprising:

identifying an expiring contract for said commodity;

incrementally rolling said expiring contract for a later dated contract;

calculating with a processor a second liquidity for a rolling contract based on a price of said expiring contract and a price of said later dated contract;

calculating with a processor a second liquidity factor of said rolling contract; and

reweighting said commodity based on said second liquidity factor of said commodity.

21. The computer readable medium of claim 20 , wherein incrementally rolling said expiring contract is performed over a period, said period defined by a user.

22. The computer readable medium of claim 20 , wherein incrementally rolling said expiring contract comprises: selling on a first day a first portion of an expiring contract and purchasing a corresponding first portion of said later dated contract; and selling on a second day a second portion of said expiring contract and purchasing a corresponding second portion of said later dated contract;

wherein reweighting said commodity based on said second liquidity factor of said commodity is based on a price of said expiring contract on said second day and a price of said later dated contract on said second day.

23. The computer readable medium of claim 20 , wherein said expiring contract is defined by a user.

24. The computer readable medium of claim 13 , wherein said calculated liquidity of each of said plurality of commodities is based on a trading volume of a contract for each of said plurality of commodities over a trailing period.