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In recent weeks we have repeatedly directed attention to the woeful liquidity in the e-mini S&P future, arguably the most important contract behind the broader US equity market, where book depth has collapsed to levels last seen during the March 2020 crash when just an order size of just 4 million could move the contract by 1 tick. This has translated into violent and often painful swings in the S&P, leading to a surge in intraday volatility which has reflexively reinforced the market's sharp downdraft in the past month, which in turn has led to even less liquidity, and so on. Yet while stocks have seen a surge in volatility in the past month coupled with a collapse in liquidity, bond markets have remained relatively resilient despite the Fed's upcoming quantitative tightening. That's about to change. As Bloomberg's Edward Bolingbroke  writes , liquidity in the world's (normally) deepest and most liquid market, that of U.S. Treasuries,  is eroding again, as

See TME's daily newsletter email below. Even Worried Wilson seems to think that we are "almost there"... At least judging from this quote: ..."From our standpoint, the set-up is becoming more clear. Stocks have been de-rating for almost a year now as investors began to anticipate the inevitable tightening from the Fed given the robustness of the recovery and building imbalances...we think this de-rating is about 80% done at the stock level with the S&P 500 P/E still about 10% too high (19.5x versus our 18x target). In other words, the de-rating is more complete at the stock level than at the index level, at least for the high quality S&P 500." Never a good idea to hold on for that last 10% on the downside...(Wilson, Morgan Stanley Equity Strategy) "Hedges only cost money bro" Well, if you buy puts at local market lows, hedges tend to lose value quickly, especially as the crowd tends to overpay for protection in terms of volatility (and get the