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 cancelled. An imbalance in a stock can occur when there are too many shares to trade on the buy-side or the sell-side. If a trader wants to participate in the closing auction, they can enter a MOC order on the deficit side of the imbalance.
The MiM, or market imbalance meter, combines both the Nasdaq data and Nyse data to produce an overall look at the imbalances providing traders with a unique view of the closing auction.
March 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.
Last Friday was 4xOPEX and left us with a very large $5B buy imbalance. That was to be ignored as far as an indicator of cash entering or exiting the market. Yesterday was our first day post-Opex and our 15:50 market on close imbalance reveal was to the sell-side by -1.4B. Our early MiM was of very little help guessing a directional move into the close. The SpyGate, however, did gives us some clues with two sell programs setting price direction.
We also have this program that fires fairly consistently just before at 15:49:59 whcih so far has called the direction correctly. There was a small scalp to be had but most of the selling for the imbalance was wrung out during the 15:00 to 15:30 selloff.
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.