Definition. Resting orderbook liquidity within a chosen price band around mid (both bid and ask sides, in quote currency) expressed as a fraction of the contract's open interest. A normalised liquidity measure: how much of the outstanding positioning could be absorbed by the book at that depth.

Interpretation. Higher values mean the book is deep relative to open positioning, so large flows can be absorbed with less price impact; low values flag thin liquidity relative to the size of the market and elevated liquidation/squeeze risk.

Technical. (time-weighted bid depth + ask depth in quote currency within the chosen bps band of mid) / instrument open interest in USD, over the resolution bucket.

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