It turns out that despite the ongoing collapse in cross-asset volatility that's naturally accompanied 2019's "everything rally", liquidity has stopped improving.
"Liquidity" is a somewhat amorphous concept that most investors still struggle to get their heads around. That's understandable, as it can mean different things in different contexts. Despite what you may have heard, there is no single, unifying definition of "liquidity".
For our purposes here, I'm talking about market depth, which became extremely impaired following the February 2018 VIX event and only managed to stage a meager, half-hearted recovery before disappearing again during Q4's