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Liquidity Lapse: Don’t Say You Weren’t Warned
Back in the summer of 2015, UBS released a note that highlighted an interesting trend.
Treasury market participants, the bank observed, were eschewing the cash market in favor of futures. Specifically, UBS looked at turnover in the cash market versus futs turnover. What they discovered wasn't surprising, although it was slightly disconcerting if you care about market liquidity.
Here are some excerpts and a visual from the note:
For the past three months, daily average futures volume stands at
Yes, this is happening, alas, I hope it doesn’t last longer than I can remain solvent.
What type of trade “might” work besides the Ratio Speads I already have scattered about?
Which dog kennel?
Mark