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Seth Golden posted an update 4 years, 7 months ago
S&P futures top-of-book depth stands at ~$8mm currently vs. ~$21mm as of Wednesday’s close. This is an important indicator to monitor now, as weakening liquidity can make incremental trades move markets more, pushing up volatility further. This move lower in liquidity will likely accentuate any talks of “short gamma” in the market as well, as worse liquidity tends to increase the cost of liquidity (market impact of a given trade) and exacerbate price action. Overall – the road ahead will likely continue to be very choppy and feature very high vol of vol.
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