"Market depth has recently deteriorated across a range of market depth has decreased since late 2021 for the interdealer U .S . Treasury securities, S&P 500 E-mini futures, and West Texas Intermediate crude oil futures markets . Initially, in Treasury and equity markets, the decline in depth reflected rising uncertainty about the outlook for monetary policy; in the Treasury market, the decreases in depth were greatest for bonds with shorter maturities because the prices of those securities are more sensitive to expectations for monetary policy over the near term . In oil markets, depth has declined particularly sharply in recent months as a result of the elevated level of uncertainty and volatility associated with the Russian invasion of Ukraine .
Recently, depth in these markets has been lower than is typical even after taking into account thelevel of volatility, as shown for the oil market . This markedly low depth could indicate that liquidity providers are being particularly cautious, and liquidity may be more fragile than usual . Declining depth at times of rising uncer-tainty and volatility could result in a negative feed-back loop, as lower liquidity in turn may cause prices to be more volatile..." (goes on to talk about bid-ask spread activity)
"...In conclusion, quoted depth is currently low in Treasury, equity, and oil markets, but there have been no reports of severe market functioning problems, and the effect on trading costs for many investors has likely been limited . Thus, the current state of liquidity in these key markets does not appear to be a substantial barrier to efficient capital allocation and risk management within the economy . However, the low level of depth means that liquidity provision remains fragile due to heavier reliance on suffi -ciently rapid quote replenishment to meet trading demands without resulting in sharp price moves . This dependence on higher-velocity quote replenishment when depth is low could pose an important vulnerability in these markets, as it suggests that there is a higher-than-normal risk that a signifi cant deterioration in liquidity provision could make prices even more volatile and lead to market dysfunction."
Otherwise, check out section 4.2 for a look at commodities.