Deep liquidity is essential to execute trades efficiently.
This paper explores the impact of the October U.S. employment data release throughout the E-mini S&P 500 futures session, as traders worked to digest the report and understand portfolio implications.
As volatility typically escalates after a data release, liquidity is critical for managing risk effectively. Orders and quantities have generally remained elevated throughout the CME Globex session. Traders have seen significant liquidity both before and after the news of unemployment figures was announced. A look at related implementation costs by hour shows that, post-report, costs have barely moved off the 1 tick minimum.
Dive into how macroeconomic events affect CME Group futures liquidity, in bid-ask spread, book depth and cost to trade terms.