Market liquidity so far this August has been worse than usual in Equities, Treasuries and FX. However, not in Credit, German Bunds and Oil.

by WSBConsensus

Liquidity by asset class in August 2020 relative to annual averages since 2010.

Proxies for liquidity: in US Equities (average number of contracts on the bid/offer in ES1); US HG Credit (Trace daily value as % of market outstandings); US Treasuries (average of top 3 bids and offers on Brokertec); global FX (size of top 5 bids and offers on order book across pairs); and Oil (Brent and WTI front contract volume as % of daily physical production).

 

 

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