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 23, 2021
Imbalance
The early MiM imbalance was a buy and grew toward the 15:50 lock and release. The reveal at 15:50 was a decent $2B buy with a decent lean to the buy-side. The 15:55 Dquotes sold $2B into the buy imbalances and bought $600M of the sell-side to whittle the unpaired down to a net imbalance of $480M.
The Final-2 hours of the day started with a sell program at around 14:10. Prices rallied up until 14:55 and then deteriorated into the 15:30 trend change which saw us rally into new highs on the day. The 15:50 reveal punched higher for a few minutes before the sellers saw an opportunity and began selling heavy into the close. The close itself from SpyGate was positive as buyers were willing to pick up the sellers’ offerings on the SP500 symbols.
Top Buy and Sell Symbols
Apple, Microsoft, and Broadcom all had decent triple-digit buys. Micron Technologies, JP Morgan, and Coke were on the sell-side with only Micron in the triple-digit club.
Sectors
Lots of buying sector sentiment with Energy at 83% of symbols with buy imbalances and Real Estate and Basic Material at 76%. There was selling sentiment 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
