Market liquidity is falling amid the sell-off: Liquidity in S&P 500 futures has dropped below 4 million, the second-lowest level in 2 years. Top-of-book depth in S&P 500 futures has declined ~80% over the last few weeks. Low liquidity often exacerbates market volatility in both directions. This makes it harder for investors to execute their buy and sell orders at a desired price, particularly for the larger orders. All signs point to more volatility ahead.