The cost of immediately executable transactions in the Bund market increased in the period around the Bund tantrum as the bid-ask spreads have doubled in the relative bid-ask spread, from 40 to roughly 80 basis points.
Also, the market’s order book depth also showed signs of deterioration over this period, falling by more than a third over the sixmonth period, from € million to roughly € million in ultra-long-term German bonds. Chart 8: Volatility and liquidity during the “Bund tantrum”  Realised volatility is calculated as the daily (maximum midpoint–minimum midpoint)/average price.