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 22, 2021
Imbalance
The early MiM was showing a sell-side but other indicators were on a buy so at 15:45 we called for a likely buy on the 15:50 reveal. That was a bit better than we or the market thought and prices squeezed into the highs of the day. It is tough to short Santa’s Rally as trade volume becomes thin and weak hands become dominant. The Dquotes at 15:55 sold just a bit into the imbalance as prices ran higher.
The tape was sideways at 14:00 and at 14:27 a sell program and 3-minute recovery on a small sell program was a warning to shorts that liquidity was low. The tape began to rise into the close. In the 15:48 minute, two sell programs fired off and again drove the tape done but this time triggered a flurry of buys. The strong buy MOC only exacerbated the pain of the bears and drove prices higher on the close.
Top Buy and Sell Symbols
Tesla, Alibaba (where is Ma?) and Google were all on the buy side with none having triple-digit buys. Same on the sell-side as Comcast, Aptiv, and Workday anchored the sell-side.
Sectors
Basic material was the only strong lean with a sell-side symbol lean of 70%
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
