Where did all the liquidity of the mini ES go a few years ago?

trader221

trader221

Where did all the liquidity of the mini ES go a few years ago?

When I started trading in 2016, the mini ES was a contract with a super liquid DOM (minimum limit orders of 500).

But I noticed that this liquidity is more and more low.

I noticed the same thing on the EUROSTOXX50 contract.
What is the reason?
 
your information about ES doesn't look correct.

In 2016, average es volume was around 100 million / quarter.
In 1H 2020 average es volume was around 120 million / quarter.

in terms of volatility, there has been big change to the range.

In 2016, average quarter range was around 150 points.
In 1H 2020, it was around 1000 points.


Similarly your information about stoxx50 is also incorrect.
 
Last edited:
maxinger said:
your information about ES doesn't look correct.

In 2016, average es volume was around 100 million / quarter.
In 1H 2020 average es volume was around 120 million / quarter.

in terms of volatility, there has been big change to the range.

In 2016, average quarter range was around 150 points.
In 1H 2020, it was around 1000 points.


Similarly your information about stoxx50 is also incorrect.
More...

however the results that you published differ from your words.
average 100 million orders for 150 points with 120 million for 1000 points. It clearly indicates that there is less liquidity.
Conclusion: es is more and more volatile even before covid.

The ancients even say that it was much much more solid long before
 
It comes and it goes is what I have seen. One time when the EURO was getting going, it really shrank and it seemed everyone was on FOREX based instruments. I stopped using it for awhile while I and IT adjusted into some equilibrium. I would assume with Asia having so much money bouncing around now, it would suck up some of the activity from the US futures too.
 
Past few weeks have been slow compared to the previous few months but nothing out of the "norm" for summer trading. ES pre corona would average like 20 or so pts a day.
 
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