Yes, the liquidity risk seems the more interesting piece. He seems to say that if you have trillions of dollars in ETFs, you should be seeing more volume in th

Yes, the liquidity risk seems the more interesting piece. He seems to say that if you have trillions of dollars in ETFs, you should be seeing more volume in the shares in these indexes than we actually observe. So some of this cash is going toward synthetics -- mathematical models that are supposed to mimic the underlying securities -- and not the actual stocks in the index. In a general rout, the synthetics won't perform like you'd expect them to. Prices might eventually clear, but it's not "as good as cash" like many investors assume.