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 11, 2021
Imbalance
The market continued to rally after the first week’s sell-off. The early MiM was a small sell and while that was off at the reveal, it did indicate to us that the MOC was likely to be small. We only had 80 symbols up that met our criteria in size so not many large imbalances on the stocks. The 15:50 reveal was a smallish 456M to the buy-side. Symbol lean was just 51% to buy. IThe Dquotes weren’t very bearish pairing the imbalance down to 200M and not flipping it.
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Price action during the final two hours followed the day’s trends. The selling from a lackluster MOC failed after the 15:55 imbalance recalculation wasn’t enough to help the trapped shorts and the market squeezed into the close.
Top Buy and Sell Symbols
No triples on the imbalance. Berkshire B, Zoetis (animal vaccine mfg), and JP Morgan headed up the buy-side. Paypal, Amazon, and Humana were the sell-side leaders.
Sectors
Only one sector with a lean and that was the Financial Sector which is a bullish flag.
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
