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.
April 1st, 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.
The expectation for the MOC was for a positive buy into the first day of the month. It is unusual that the first day was going into a 3-day weekend where one of the days the Fed was not closed and March Jobs Report data was going to be released. We did get our expected positive MOC but it was quite small so expectations are for more buying today. Early MiM data was up and down with a MOC imbalance reveal at 15:50 of about 700M to buy with no real lean.
The final move of the day again started at 15:30 and was a nice 15-point rise into the close.
Our 15:49:59 SpyGate detected program trade showed up and guessed long. There were even earlier buy programs starting at 15:35, in total 11 buy programs fired as the S&P rose into 15:50.
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.