Market liquidity, as measured by proxy through the eMini S&P 500 futures contract via a proprietary measure, had improved over the last few weeks, but just deteriorated significantly. The last time it approached these levels from the downside (greater to less liquidity) was May 6. This doesn’t mean there will necessarily be another flash crash, but that it is very easy to push prices around on low volume. Caution is warranted with all positions.
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