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 27, 2021
Imbalance
After some data issues, the MiM began getting data. Early data indicated a sell-side imbalance as did some of our other indicators. The 15:50 MOC release flipped the MiM’s imbalance and the MOC was 1.3B to the buy-side, no lean. The Dquotes left about half of it on the boards for the final 5 minutes so prices had to climb higher to find sellers to pair off the close.
A reverse close of Friday as the 15:50 reveal added upside momentum and the Dquotes at 15:55 did not ruin the bullish party and the markets closed on the highs of the day.
Top Buy and Sell Symbols
Amazon, Microsoft, Google, and Facebook were all buy leaders at the 15:50 release. There were no triple-digit imbalances on the buy-side. On the sell-side, Voya financial was the sole triple-digit sell at $278M. Marsh & McLennan and Target held the other low spots on the list.
Sectors
Unlike the plethora of bullish sector leans on the day before the Christmas break, this positive day after imbalance had just a few including Financial Services at 70% along with Consumer Defensive and Energy both with 66% plus leans.
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
