What is a Market On Close Imbalance?
Each trading day the major exchanges have to close and set a closing price. The NYSE uses the market on close orders to do that, the Nasdaq uses a crossing mechanism. These orders need to be entered before 15:50 ET after which they cannot be canceled. A market on close imbalance occurs a larger number of market on close orders on the buy or sell side. If a trader wants to execute a MOC past the 15:50 deadline they must enter an order opposite the imbalance. For instance, if stock A has a buy imbalance then only a sell MOC will be accepted.
For traders closing around the close, the Market Imbalance Meter (MiM) blends both the Nasdaq cross and NYSE market on close imbalance data. The MiM aggregates and produces a unique view for traders. Closing price action begins at 14:00 until the 16:00 cash close. Traders should keep the Final-2 hours in mind while trading.
January 10, 2021
Imbalance
Markets rose strong during the final 2 hours. Our early data was locked on as a buy showing over $700M to buy pre 15:50 reveal. The reveal was $1.2B but no real lean. The 15:55 dquotes sold about $1.5B into the buy imbalance and bought about $800M of the sell side. They remain bearish and continue to use the MOC to exit positions.
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Top Buy and Sell Symbols
Mastercard, AMD, and United Health all had healthy buy imbalances with tech giant Microsoft, Home Depot, and Walmart on the other end of the measuring stick.
Sectors
No selling sectors again but Financial Services were being bought along with Basic Materials, Energy, and Consumer Cyclical.
If you are interested in joining our trading community and gaining access to our opening and closing data as well as our developing tape sniffing products, head here: https://mrtopstep.com/l/mim
Don’t trade the market cash Open and Close without some type of insight. At least understand what is mechanically happening at 8:00 to 9:30 am ET and 14:00 to 16:15. These are very volatile trading windows. See you in the room.
Marlin
