What nobody is mentioning here is that the frequency of these events are increasing. Something like BREXIT or Chf is supposed to be a 10 or 15 year event. Yet we have Chf, BREXIT, Turkey, Gpb all in a very short period of time.
It's telling you something.....
There is a difference between market volume and liquidity. Liquidity is the willingness for someone to take the other side of the trade (for example Bank X is asked to quote in EUR500million, makes the price and takes the trade without being able to offset the trade immediately.
Liquidity is falling because of;
- Electronic price matching
- Electronic trading and things like 'riskless' market making
- All the electronic stuff means there are fewer people in the system, and somewhat ironically it has reduced the level of tradecraft among dealers so guys and they are less able to deal with very big moves.
Things will get worse over time and the gaps will be bigger.
If you like it, buy it. If you don't sell it.