Normally during regular trading hours you see about 10000 contracts 5 accumulative levels deep in the market depth for the E-mini S&P but always at 16:00 NY time there is a sudden liquidity increase to about 15000 to 20000 contracts 5 accumulative levels deep. this happens every day Any reason for that ?
markets closed. so if somone still wants to cover a huge pos out of the money they can easy money for the person on the level2. my guess.
Partly due to daytraders that need to exit positions before 4:15pm EST. If you are a day trader and need out, the clock is ticking.