I want to choose where to trade sugar futures based on liquidity (although fundamentals could also be a consideration). There seem to be three possibilities:
1. raw sugar no. 11 on the NYBOT/NYMEX
2. raw sugar no. 14 on the NYBOT/NYMEX
3. white (refined) sugar on LIFFE.
According to Ronald Spurga's "Commodity Funadamentals" book (2006) "The most actively traded sugar contract is NYBOT's no. 11."
However, according to Bloomberg, the total open interest of the no. 11 (for all maturities) is just 370 contracts, as compared to 83,000 for LIFFE's refined sugar contract.
Does anyone have an idea why no. 11 appears to be so illiquid, or any other thoughts about how to choose the between these three sugar trading vehicles?
I position-trade Sugar #11 on NYBOT and also White Sugar #5 on LIFFE without liquidity troubles. Run some backtests with #5 in your portfolio, you may be pleasantly surprised.