Chincarini [2006, 2007] also found that contracts whose open interest was much higher on August 31, 2006, than the historical normalized value experienced larger negative returns. In particular, every 10 units more open interest than the normalized average led to an extra decline of 2.6% for that particular futures contract. Given that Amaranth was the main source of this extra open interest in certain contracts, the events of September were adverse from a liquidity perspective as well.