Liquidity Landscape March 30, 2020

As outlined in the 23 March Liquidity Landscape report, despite the recent rapid fall in market indices, the structure of the market and liquidity formation remains steady. The spike in SI activity on March 20th was due to quadruple witching and clients trading more global baskets looking for “guaranteed VWAP”. Subsequent activity reverted to an almost identical pattern to how liquidity formed in February – despite the significant jump in overall volume we saw in March.

 Read the report here

Compiled by Rebecca Healey, Global Head of Market Structure + Strategy, Gareth Exton and Joe Fields, Global Execution + Quantitative Services