Recent Volatility and Changes In Futures Market Microstructure

April 10, 2018 - Market microstructure and liquidity profiles have important implications for the price impact and slippage of client orders. We study the changes in the market microstructure of futures markets on account of the recent rise in volatility, by examining key proxies of liquidity such as bid–ask size, trade size, realized volatility and the Amihud illiquidity measure (Amihud, 2002), Goyenka et al, 2009) of March, 2018 e-mini S&P 500 (ESH8) and ten-year bond futures (ZNH8). We focus on the time period from from Dec 2017 to Mar 2018, when VIX surged after being at historically low levels for several years. We find significant changes in the futures market microstructure in the period before and after Feb 5, 2018.

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