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FXLIQUIDITY

UNDERSTAND LIQUIDITY
PROFILES UNDER STRESSED
MARKET CONDITIONS (COVID-
19)
Observe major shifts in liquidity pro les between normal and stressed
(COVID-19) market conditions for di erent currency pairs. Before reading this
analysis please read our disclaimer.

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Sign in to access the free FXLiquidity analysis, including

spreads, volume and liquidity across 11 currency pairs:
USD/JPY, EUR/USD, GBP/USD, USD/CAD, AUD/USD, NZD/USD, USD/CHF,
USD/MXN, USD/ZAR, USD/HKD, USD/SGD

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WE HAVE ANALYSED 11 OF THE WORLD’S MAJOR, LATAM,

APAC & EM CURRENCIES
Volume elevation score increases signi cantly across G10 and EM currencies.
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Sample Spread Analysis:

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Spread Volume Liquidity Term

Structure
USD/JPY USD/JPY
Hourly spread (pips) Hourly volume (MM USD/JPY
Base Currency) Hourly liquidity profile
Pre-COVID Recent COVID Peak

9
Pre-COVID Recent COVID Peak Pre-COVID Recent COVID Peak
8 1
5000
7
Spread (pips)

6 0.8

Volume (MM Base CCY)

4000
5

Liquidity Score
0.6
4 3000

3
2000 0.4
2

1 1000 0.2
0 2 4 6 8 10 12 14 16 18 20 22
Hour (GMT) © Mosaic Smart Data ®

0 0
0 2 4 6 8 10 12 14 16 18 20 22 0 2 4 6 8 10 12 14 16 18 20 22
© Copyright - Mosaic Smart Data ® Hour (GMT) © Mosaic Smart Data ® Hour (GMT) © Mosaic Smart Data ®

© Copyright - Mosaic Smart Data ® © Copyright - Mosaic Smart Data ®

In the recent market
conditions, the average In the recent market For USD/JPY, the average
spread for USD/JPY is conditions, the average liquidity in pre-COVID
highest around New York volume for USD/JPY is market conditions is about
close. This is similar to pre- highest around London double the average
COVID market conditions. close and New York open. liquidity in recent market
This is similar to pre- conditions.
In the recent period, the
COVID market conditions.
spread has generally In the recent market
tightened, relative to the Volume in USD/JPY drops conditions, the average
COVID peak period. off sharply between 19:00 liquidity for USD/JPY is
and 20:00 GMT (going into highest around Sydney
New York close) in the close. This is different to
recent market conditions, pre-COVID market
relative to pre-COVID conditions when the
market conditions. highest average liquidity is
observed around Tokyo
We also notice an
close and London open.
immediate and sharp drop
in recent volume after Liquidity in USD/JPY drops
London fixing hour off sharply between 13:00
(between 16:00 and 17:00 and 14:00 GMT (going into
GMT), relative to pre- London close and New
COVID k di i Y k )i h

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Spread Volume Liquidity Term

Structure
EUR/USD EUR/USD
Hourly spread (pips) Hourly volume (MM EUR/USD
Base Currency) Hourly liquidity profile
Pre-COVID Recent COVID Peak
8

7 Pre-COVID Recent COVID Peak Pre-COVID Recent COVID Peak

1
6 9000
Spread (pips)

8000
5 0.8

Volume (MM Base CCY)

7000

Liquidity Score
4 6000
0.6
3 5000
4000
0.4
2
3000
1 2000
0.2
0 2 4 6 8 10 12 14 16 18 20 22
1000
Hour (GMT) © Mosaic Smart Data ®

0 0
0 2 4 6 8 10 12 14 16 18 20 22 0 2 4 6 8 10 12 14 16 18 20 22
© Copyright - Mosaic Smart Data ® Hour (GMT) © Mosaic Smart Data ® Hour (GMT) © Mosaic Smart Data ®

© Copyright - Mosaic Smart Data ® © Copyright - Mosaic Smart Data ®

In the recent market
conditions, the average In the recent market In the recent market
spread for EUR/USD is conditions, the average conditions, the average
highest around New York volume for EUR/USD is liquidity for EUR/USD is
close. This is similar to pre- highest around London highest around London
COVID market conditions. close and New York open. close and New York open.
This is similar to pre-COVID This is similar to pre-
For EUR/USD, we observe a
market conditions. COVID market conditions.
flattening of the recent
spread curve at around In the recent period, the We notice an immediate
16:00 GMT i.e. London volume has generally and sharp drop in recent
fixing hour, with spread decreased, relative to the liquidity around Sydney
being more equally COVID peak period. open (between 22:00 and
distributed across London 23:00 GMT), relative to pre-
trading hours during this COVID market conditions.
recent period.
Liquidity in EUR/USD also
In the recent period, the drops off sharply between
spread has generally 21:00 and 22:00 GMT
tightened, relative to the (going into New York close)
COVID peak period. in the recent market
conditions, relative to pre-
COVID market conditions.

Sign in here to access the free FXLiquidity analysis,

including spreads, volume and liquidity across 11
currency pairs:
USD/JPY, EUR/USD, GBP/USD, USD/CAD, AUD/USD, NZD/USD, USD/CHF, 

USD/MXN, USD/ZAR, USD/HKD, USD/SGD

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