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This is an update on the eMini Depth of Book drop-off we noted earlier. The depth of book has still not recovered to July levels.
The chart below shows the minimum of either the sum of the 10 bid levels or sum of the 10 ask levels in the active eMini futures contract depth of book for each minute of every trading day since June 1, 2011. The thick red line is yesterday. The peak between 12:45 and 12:50 is fascinating because it occurred shortly before the Bernanke speech at 13:15. Before market impacting news, eMini liquidity always drops like a rock -- note the down spike at 10:00 when most major economic news is released. The other feature of interest: liquidity nearly always surges higher into the close, but yesterday, it remained flat.