The most interesting day so far this year?

A second observation and another building block

To complement longer posts, I will start adding shorter formats where I outline a particular observation, or a developing idea. Here’s a short update from keeping an eye on the ID-markets filed under (short market notes).

We previously looked at High-VWAP spreads while thinking about liquidity. Another look leads naturally to the addition of a further indicator. The largest spread of the year over the first 7 days of the year happened at