S&P 500 futures liquidity is 61% lower than the historical average

On March 15, according to The Kobeissi Letter, S&P 500 futures liquidity rapidly dropped to $5.1 million, which is 61% lower than the historical average of $13 million and is approaching the lowest level since "Liberation Day" in April 2025. Data from Goldman Sachs shows that liquidity below $7 million is a signal of market stress, and orders worth several million dollars can trigger volatility in the S&P 500 index.