Liquidity Term Structure

EUR/USD

Hourly liquidity profile

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• In the recent market conditions, the average liquidity for EUR/USD is highest around London close and New York open. This is similar to pre-COVID market conditions.
• We notice an immediate and sharp drop in recent liquidity around Sydney open (between 22:00 and 23:00 GMT), relative to pre-COVID market conditions.
• Liquidity in EUR/USD also drops off sharply between 21:00 and 22:00 GMT (going into New York close) in the recent market conditions, relative to pre-COVID market conditions.
• We also notice an immediate and sharp drop in recent liquidity after London fixing hour (between 16:00 and 17:00 GMT), relative to pre-COVID market conditions.
• The difference in the liquidity scores could have been influenced by a significant increase in market impact between 21:00 and 22:00 GMT and a large drop in flow imbalance between 20:00 and 21:00 GMT. The model factors are explained on the methodology page.
• In the recent period, the liquidity has generally improved, relative to the COVID peak period.