From Bank of America
Vol liquidity is in shatters. Lower absolute vol levels have led to a phantom perception that market liquidity has recovered from last month’s stress. Nothing could be farther from the truth.
While top of the book spreads are tighter, there is no depth to support the market in anything larger than social amounts.
Combination of reduced investor activity and skeleton staffing in dealing rooms means the pool of participants in implied space is appreciably smaller. Publicly reported volumes support this argument. For example, in March volumes were ~ +27% higher from the same time last year. Based on MTD data April is projected to be ~-19% lower than 2019!
If you are fortunate to have the right price for the position you want consider it a gift. It’s never a good time to be ‘penny-wise’ and ‘dollar-foolish’ – not the least now.
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