I'm beginning to see charts & other signals pointing to slowly dwindling market liquidity. I haven't fully made sense of it yet, but the trend is worth watching closely.
Posting the charts/signals I find on a rolling basis below:
Posting the charts/signals I find on a rolling basis below:
CME's e-mini S&P 500 futures saw abnormally low top-of-book depth during March 2021, even after adjusting for volatility. Order book depth as a standalone metric has been low since March 2020.
March's quarterly SPX expiry had is lowest OI print in "at least a decade" as short interest sinks to new lows.
$IWM spreads have been widening throughout 2021 even as the VIX drops below 20 - could be impact of passive focusing on large cap names over small cap?
The number of 5-sigma moves in S&P 500 daily returns vs. their trailing 30 day avg has been rising even since 2019. I'm sure this chart looks even crazier updated through 2021:
Spreads of even the top 5 largest, most liquid names have seen spreads trend upward since March 2020, with material spikes during selloffs: