15th Percentile S&P Futures Liquidity Is Potential Land Mine In Selloff

In the event another steep selloff in risk assets comes calling, it's likely to be exacerbated by a lack of market depth. At this point, that's a statement that only bears repeating because the majority of market participants still do not appreciate the extent to which a dearth of liquidity contributes to exaggerated price swings. In February of 2018 and then again in October and December, S&P futures depth was severely impaired, likely making things worse as stocks careened lower. In a n