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 market on close shares to trade on the buy-side or the sell-side. If a trader wants to participate in the closing auction after the 15:50 deadline, they can enter a market on close order on the deficit side of the imbalance.
The Market Imbalance Meter (MiM) blends both the Nasdaq data and NYSE market on close imbalance data to produce unique view for traders trading around the close. Closing price action begins at 14:00 until the 16:00 cash close.
March 24, 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.
It was all downhill for yesterday’s close from 14:00 on. Our early MiM data indicated a decent lean with just ok size but the market bled out losing 25 points in the closing two hours. That 15:50 reveal was a decent 1.4B to sell but that lean on the symbols $ (#%) moved into a marginal lean to the sell-side. The weak 15:55 dquotes, which often pair off the entire imbalance, were not too hungry to buy in so the last 5 minutes of the day put the exclamation on the day.
On the sector front, almost everyone was for sale except for energy which had a decent buy lean of 67%, bullish for oils as tug boats and diggers fervently worked to unplug the Suez canal and keep 10% of the world’s oil flowing again.
Financials had some stars too with 225M to buy on $V and $GS and $TRV also showed up on our top ten buy list.
Our 15:49:59 program trade once again traded the right direction for the imbalance. Trading around the reveal had to be a quick scalp with nimble fingers in order to make the trade, but there were a couple of points there. Check out our daily SpyGate post on other trades during the day.
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.