Liquidity Term Structure

USD/CHF

Hourly liquidity profile

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• In the recent market conditions, the average liquidity for USD/CHF is highest around Tokyo close and London open. This is different to pre-COVID market conditions when the highest average liquidity is observed a few hours into the London session.
• We notice an immediate and sharp spike in recent liquidity around Sydney open (between 22:00 and 23:00 GMT), relative to pre-COVID market conditions.
• We also notice an immediate and sharp spike in recent liquidity around Tokyo open (between 0:00 and 1:00 GMT), relative to pre-COVID market conditions.
• Liquidity in USD/CHF also increases sharply between 5:00 and 6:00 GMT (going into Tokyo close and London open) in the recent market conditions, 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 increase in percent gross volume between 15:00 and 16:00 GMT. The model factors are explained on the methodology page.
• There was a sustained and significant change in market impact between 21:00 and 0:00 GMT.
• In the recent period, the liquidity has generally improved, relative to the COVID peak period.