TLDR
- S&P 500 futures top-of-book depth reached $10.8 million in the week ending Tuesday.
- Market depth rose about 440% from the roughly $2.0 million low recorded last month.
- The latest depth reading is above 84.6% of all observations from the past two years.
- The two-year peak was about $17.0 million during the post-election market rally in 2024.
- ETF trading made up about 28% of total volume, down from above 40% for most of March.
S&P 500 futures liquidity rose sharply in the week ending Tuesday and reached its highest level since January. Top-of-book depth climbed to $10.8 million from about $2.0 million last month. ETF volume also eased to 28% of total trading, near its historical average. The rebound comes after a period of thin depth linked to heightened market stress.
S&P 500 Futures Depth Rebounds From Last Month’s Low
S&P 500 futures liquidity has moved higher and reached its strongest level since January. The rise followed a sharp drop seen last month. Top-of-book depth climbed to $10.8 million in the week ending Tuesday. That marked a large recovery from the roughly $2.0 million low recorded earlier.
The move represented a gain of about 440% in one month. The latest reading also stood above 84.6% of all observations from the last two years. Over that same period, the highest level was about $17.0 million. That peak came during the market rally after President Donald Trump’s 2024 election victory.
Market liquidity is improving:
Top of book depth in the S&P 500 futures jumped to $10.8 million in the week ending Tuesday, the highest since January.
This marks a +440% increase from the ~$2.0 million low recorded last month.
The current reading is also higher than 84.6% of… pic.twitter.com/02pdNjTzWl
— The Kobeissi Letter (@KobeissiLetter) April 20, 2026
The data points to better trading conditions in the futures market. Higher depth means larger orders can be absorbed with less price movement. That does not remove risk, but it shows that market capacity has improved. The rebound also came after a period when thin liquidity raised concern across equity markets.
ETF Trading Share Returns Closer to Its Long-Term Average
ETF activity also shifted during the same period. ETFs accounted for about 28% of total volume in the week ending Tuesday. That level was in line with the historical average. It followed a stretch in March when ETF trading exceeded 40% for most of the month.
A higher ETF share often appears during periods of uncertainty and broad risk trading. A lower share can reflect more activity in individual securities. The latest change shows that broad basket trading eased as futures depth improved. It also suggests that market behavior became less concentrated than it was in March.
The decline in ETF trading share does not give a full picture by itself. Still, the move happened at the same time as a strong increase in futures depth. That combination points to a market that is functioning more smoothly than it did last month. It also shows that recent stress has faded, at least in the near term.
Recovery in Depth Does Not Remove Broader Market Risks
The rebound in liquidity has drawn attention because it came quickly. The last major drop in depth happened during a period of strong market stress. The new rise was fast and broad, and it reversed much of that decline within weeks. That pace has led many investors to watch whether the recovery can hold.
Even with stronger depth, sharp price moves can still happen if macro risks return. Better liquidity can support trading, but it does not guarantee price stability. Crowded positioning and stretched valuations can still lead to fast moves. Markets can remain sensitive even when order books look stronger.
The current reading remains below the two-year peak of about $17.0 million. That leaves room before conditions return to the strongest levels seen during the post-election rally. For now, the latest figures show that S&P 500 futures liquidity has improved. The market has regained depth, and trading conditions look steadier than they did a month ago.
