Why Is a Low-Liquidity Asset More Vulnerable to a Settlement Window Attack?

A low-liquidity asset is more vulnerable because an attacker requires less capital to significantly move its price. In a thin market, a relatively small buy or sell order can create a large price change.

If this happens during the settlement window, the final average price can be easily skewed, allowing the attacker to profit from their derivative position with minimal investment compared to a high-liquidity asset.