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.
April 14th, 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.
Wednesday had a sellers’ MiM. Our early MiM data was around 500M to sell with a decent symbol lean above 71% to the sell-side. To note, the Dquotes increased the imbalance at 15:50. With that increasing negative imbalance into the close and the barrage of sell programs during the Final-2, one needs to keep their eyes open for some topping action.
Otis (OTIS) topped our buyers list. Elevators are back in need, I guess. The leader list looks more like stock picking than a trend or theme.
The breadth of the sector selling is the most concerning of our data from yesterday. Tech, Materials, Energy, Consumer, Healthcare, Industrial and Financial Services all had selling that showed breadth above 2:1 in imbalances. The symbol counts were light so, again, it looks like funds are ditching the weak links in those sectors.
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.