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 cancelled. 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. Trades should keep the Final-2 hours in mind while trading.
June 22, 2021 Data:
The arrows show the time and price of buy and sell program trades going into the closing hours of the market on close trades. To understand more about them, read the daily SpyGate post.
The MiM was a sell from the start and continued to build into the close. The tape from 14:00 to 15:30 ran up to the high of the day, despite the steadfast MiM data coming in as a sell. At 15:30 the market finally reacted, shaving off about 10 SP points into the close. The Dquotes bought off some of the imbalance. The MOC was bearish with a 66% symbol lean for the sell side.
Apple (AAPL) led the buy-side with an almost $96 buy-imbalance. The sells were anchored with Microsoft with a 109M sell-imbalance.
Every sector was a sell with Real Estate leading the way with 229M to sell and a strong 81% lean to the sell side.
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.