Holistic Liquidity Measures During Covid-19
In late February and early March 2020, global markets experienced an unprecedented health crisis which increased both economic uncertainty and market volatility.
Leading up to the crisis, quarterly economic growth forecasts for the remainder of the year were between 1% to 4%. Now we are seeing forecasts of -20% to -34% in the second quarter alone. The crisis and the rapid change in expectations has created the highest level of economic uncertainty in decades. This situation caused the largest spike in volatility since the financial crisis of 2008-9. Implied volatility on the E-mini S&P 500, shown below, which can be viewed as a proxy for broader market volatility, surged to the highest level in more than 13 years in early March amid the spread of Covid-19.
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