A few days ago, we brought readers' attention to the one chart which we think is the most important in setting market tone and sentiment: that of emini liquidity, or lack thereof.
5MM is all it takes to move ES 1 tick pic.twitter.com/FnTyjvain3— zerohedge (@zerohedge) May 2, 2022
This morning, Goldman's trading desk also brings attention to this most important market dynamic, and in an early note from trader Matthew Fleury, he writes that "this chart should be on everyone's radar. This is the top of book depth of S&P futures divided by 1mo ATM vol. It is flashing red. The set up for an equity market crash is as high as I have seen it."
Echoing something we repeatedly noted on Twitter last week, Fleury also observes that top of book liquidity is as low as the worst moments in 2018 and 2020...