Nanex Research

 Nanex ~ 28-Dec-2012 ~ Record Low Liquidity

Our eMini Depth of Book indicator has proven to be an excellent early warning signal for extreme intraday volatility. It is based on the number of orders resting in the nearest 10 levels of depth for the active Electronic S&P 500 Futures Contract (symbol ES), also referred to as the "eMini".

Starting the week of December 26, 2012, the depth of book has sunk, dropping to levels last recorded in the wild trading days of August 2011.

See also: HFT is Killing the EMini

The following chart shows the total number of contracts for all 10 depth of book levels averaged over each minute of the day between January 2010 (dark purple) and December 28, 2012 (bright red). Older days colored towards the violet end of the spectrum, while more recent days colored towards the red end.

Nanex Research