CASE-08 · 16 min

Exiting into thin liquidity

Type of case study: Constructed scenario with invented figures. No real incident, no real protocol.

Scenario

A position is to be unwound. The quoted price looks unchanged and the pool is reported as deep enough. The question is what actually arrives on selling this particular size — and from what amount the answer starts depending on the order in which it is sold.

Data

Position
USD 1.8m of value
Reported pool depth
USD 24m
Share of depth inside the tight band
about 15 % of the USD 24m
Largest single address in the pool
38 % of the depth
Daily volume, median
USD 2.1m
Second venue for the same pair
exists, roughly a third of the depth

Questions

Why does “USD 24m of depth” not support the statement “1.8m can be sold without trouble”?

State the exit condition for this position so it is observable.

Analysis dimensions exercised

Sources

Institutional perspectives

Asset management · Bank

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