Stats › Intraday et microstructure de marché › Treasury liquidity
The two year note shows 308 million dollars at the best price and the thirty year shows three
| Security | Quoted spread, ticks | Depth at the best bid | Depth at the best offer |
|---|---|---|---|
| Two year note | 1.03 | 308 m dollars | 300 m |
| Three year note | 1.14 | 77 m | 77 m |
| Five year note | 1.18 | 31 m | 31 m |
| Seven year note | 1.33 | 37 m | 36 m |
| Ten year note | 1.15 | 26 m | 26 m |
| Thirty year bond | 2.66 | 3 m | 3 m |
Full session averages from 07:00 to 17:30 eastern time on the main electronic inter dealer platform, 2 January 2010 to 31 December 2011 across 500 trading days, with about 62,000 five minute snapshots per security. No standard errors or t statistics are reported for spreads or depth; the paper states that spread differences are statistically significant without giving any test statistic.
Visible depth at the best price in on the run Treasuries runs from 308 million dollars in the two year note to three million in the thirty year bond. Quoted spreads run from 1.03 ticks to 2.66 across the same range.
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