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 21, 2021
Imbalance
The early MiM was a sell that dwindled a bit at 15:20. Our last feed from the floor was around 15:45 and also had us on a sell, but there was no lean. Another indication for us was for a possible buy. The 15:50 release was just $375M to the sell-side with no lean. Basically a neutral MOC. That scared the shorts as the Dquotes came in at 15:55 and flipped the imbalance to the buy-side.
Closing was sideways which is the norm. The 15:30 trend change sent prices lower twenty minutes before the 15:50 reveal. The locked MOC at 15:50 was a small sell which was as good as a buy and shorts were trapped and up we headed to a new high on the close.
Top Buy and Sell Symbols
Texas Instruments, Oracle, and Moderna led the top buyers list all with triple-digit buys. For the sell-side, there was Micron Technology, Union Pacific, and Bank of America.
Sectors
Buy Communication Services and sell Utilities. No wide sector breadth selling or buying as we continue to struggle at this level.
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
