With stocks resuming their plunge, an old market bogeyman has emerged - the same one which Bill Blain said earlier scares him the most, namely the lack of liquidity. And unfortunately, in a perverse feedback loop, the more equities drop, the worse the overall S&P liquidity, as the following chart from Barclays show, depicting the collapsing bid/ask size in the Emini, which is now do to the lowest on record.
Don't believe Barclays? Here is Goldman showing the same median E-mini bid/ask depth, charted against the VIX:
Order - Emini - Toy - Feeling - Truth
But wait there's more: ever feel like the smallest order gets to push the Emini around like a toy? It's not just a feeling: it's the truth, because as shown below, not only is the...