View From The Feed - Futures

Liquidity below average in equity index and commodity futures, above in rates

Liquidity at the top of book in the week to 3 July sat well below its six-month weekly average in most equity index and commodity futures (FDAX -53%, S&P 500 -42%, STOXX 600 -38%, Wheat -37%), while government bond futures ran above their average (Gilt +18%, 30-Year Bond +7%, 10-Year Note +4%). Intraday volatility ran above average in S&P 500 (+10%), Nasdaq 100 (+11%) and FDAX (+11%), and below average in Euro-Bund (-17%) and STOXX 600 (-17%). Mean resting time sat roughly half its six-month average in S&P 500 (-52%), 37-38% below average in FDAX and STOXX 600, and above average in Gilt (+35%) and Crude Oil WTI (+16%).

Using BMLL’s granular Level 3 Data, explore the micro-structure for a variety of future assets. The metrics used to describe the market state include Liquidity, Volatility, Iceberg order (CME), and more. You can access the full picture of an individual future product, in a six month time span (each bar represents one week) up to the end of the previous month.

To understand how these metrics are generated, please scroll to the foot of the page.

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