Depth has been draining out of the parts of the market that make the rest of it work. It rarely announces itself: spreads widen a little, fills get worse, and the desks that notice first are the ones trading size in instruments nobody writes about.
Where the pressure shows up
The pattern is familiar to anyone who has traded through a regime change. Headline volumes stay respectable because the same inventory turns over more often, while the resting size behind each price gets thinner.
That distinction matters because risk models tend to read volume as depth. When the two diverge, position sizing quietly becomes more aggressive than intended.
What to watch next
Watch the ratio of executed size to quoted size, not the volume print. Watch how quickly the book refills after a large trade. And watch what happens in the last thirty minutes of the session, where thin books are least forgiving.
