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 31st, 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.
That makes three days in a row with large selling MOCs. Today is the first day of April and we would expect some new money to come into the market on the close. April’s are usually bullish. Our Early MiM was on a sale right away and grew steadily into the reveal. As on Tuesday, the selling into the closing MOC started at 15:30 when the futures were down almost 10 points and continued into the 15:50 reveal. The 15:50 candle was a good 5-point short with that tricky 15:50 candle buying it all back again.
Our 15:49:59 program showed up and guessed long and wrong. The post-reveal bots at 15:50 got the short right and did it with some size.
Check out our daily SpyGate post on other trades during the day.
The only sector being bought on the close was utilities. Real Estate had a strong lean into selling with 96% of the 74 symbols in that sector having a sell imbalance.
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
