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

On March 15th, according to The Kobeissi Letter, the liquidity of S&P 500 futures quickly fell to $5.1 million, 61% lower than the historical average of $13 million, and close to the lowest level since Liberation Day in April 2025. Goldman Sachs data shows that liquidity below $7 million is a signal of market pressure, and orders worth millions of dollars can drive fluctuations in the S&P 500 index.