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 can not 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 19, 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.
Quad witching Opex’s pretty much dictate the close and their effect on the market is controlled all day long as trillions of hedge trades are being unwound going into the close. The MiM, while entertaining, is not very useful as the expiration owns the markets.
Seeing early multiple billion imbalances is never a surprise on 4xOPEX. They never developed a symbol percentage (#%) lean, a major indication of sentiment going into the close. A read above 66% for a buy or -66% for sell imbalance is a 2:1 ratio and indicates an aligned interest in buying or selling. Friday never crossed that threshold so while the notational size was quite large, there was no 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
