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.
December 30, 2021
Imbalance
Early data issues again with lack of floor traders. Our data finally came in just before the 15:50 reveal so that was not a surprise at $1.8B. The issue was that the market had already run higher and finding sellers for the buy imbalance was not an issue. The Dquotes took their turn at 15:55 and sold about $2B into the $2.8B worth of sells and only bought $130M of the sell-side. That flattened out the imbalance going into the close.
The buy imbalance was traded from 15:30 until the 15:50 reveal as prices ran to new highs. The reveal was a selling event that returned us to the 15:30 prices.
Top Buy and Sell Symbols
Texas Instruments, Oracle, Moderna, and Amazon were all triple-digit buy imbalances. For the sell-side, Micron Technology was the only seller in triples with Union Pacific and Back of America coming in close.
Sectors
Communication Services was the only buying sector with a symbol lean at 73%. For the sell-side, we only had Utilities with a stronger 77% lean.
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
