U.S. Treasury and equity futures market liquidity has recently deteriorated

I

imjohn

Some recent discussion in the Fed financial stability report (November 2019), released a few days ago.

https://www.federalreserve.gov/publications/files/financial-stability-report-20191115.pdf

See pages 14-16 for thread title discussion, "What Has Been Happening to the Liquidity of U.S. Treasury and Equity Futures Markets?"

Report is about 10-15 minute read. Includes sections on:

-Asset Valuations
-Borrowing by Businesses and Households
-Leverage in the Financial Sector
-Funding Risk
-Near-Term Risks to the Financial System
-What Has Been Happening to the Liquidity of US Treasury and Equity Futures Markets?
-The Recent Decline in Interest Rates and Implications for Financial Stability
 
it's just an EXCUSE to ask the central bank to issue and create more money to 'support the market' and keep the ponzi scheme going.

that is the 'FREE MARKET' nobody wants to pay your asking price. or it's too high NO OFFER.

this is the market
offer is $1 and
ask is $2 kind of market...and no volume.

it's an illiquid market and shorts are shorting and ILLIQUID MARKET

another trading rule: NEVER EVER short an illiquid market unless you have cheap shares from insiders to cover your ass. like market makers.

illiquid market,,,there is no sell orders in the 'market'

zero buy orders and zero sell orders in an ILLiquid market. sick market.


imjohn said:
Some recent discussion in the Fed financial stability report (November 2019), released a few days ago.

https://www.federalreserve.gov/publications/files/financial-stability-report-20191115.pdf

See pages 14-16 for thread title discussion, "What Has Been Happening to the Liquidity of U.S. Treasury and Equity Futures Markets?"

Report is about 10-15 minute read. Includes sections on:

-Asset Valuations
-Borrowing by Businesses and Households
-Leverage in the Financial Sector
-Funding Risk
-Near-Term Risks to the Financial System
-What Has Been Happening to the Liquidity of US Treasury and Equity Futures Markets?
-The Recent Decline in Interest Rates and Implications for Financial Stability
More...
 
trader5.0 said:
it's just an EXCUSE to ask the central bank to issue and create more money to 'support the market' and keep the ponzi scheme going.

that is the 'FREE MARKET' nobody wants to pay your asking price. or it's too high NO OFFER.

this is the market
offer is $1 and
ask is $2 kind of market...and no volume.

it's an illiquid market and shorts are shorting and ILLIQUID MARKET

another trading rule: NEVER EVER short an illiquid market unless you have cheap shares from insiders to cover your ass. like market makers.

illiquid market,,,there is no sell orders in the 'market'

zero buy orders and zero sell orders in an ILLiquid market. sick market.
More...
My aren't you a fountainhead of gobbelygook today!
 
I read the report, and I am quite skeptical about the origins of their "liquidity index" - it relies more upon subjective dealer opinions than actual exchange traded volume. For example - dealers cited a decline in HF traders (PTF's) as making liquidity "more fragile" (page 16 of the report). The Fed quite literally blamed the Flash Crash on high frequency traders - they can't have it both ways...

There are four big problems with the author's "market liquidity index"... 1. It ignores volume traded at the best bid and best offer, 2. It factors in Depth of Market volume, which has logically gone down since the CME has clamped down fiercely on market 'spoofing', 3. It ignores exchange daily volume trends, and 4. As I mentioned previously, it includes a subjective dealer questionnaire.

The authors admit that measuring market liquidity is challenging, and their index is very poorly conceived in my learned opinion.
 
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