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.
July 20, 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.
Two stock actions on Alexion and Moderna had the MOC numbers twisted. Each had about 2.5B on either side of the tape. Coming and going we had some turbulence. I am not sure if that confusion added to the selling into the close.
Alexion and Moderna stock action was rocking the closing tape each with 2.5B either side of the tap. Outside of that the usual suspects, Apple (AAPL), Microsoft (MSFT), and Amazon (AMZN), were on the buy-side.
Tech led the sectors in notational value but the symbol direction was a slight negative with 52% of tech symbols selling on the 15:50 release. The strongest sector was healthcare with 76% of symbols with a buy. Real Estate was a sell with 78% of symbols showing negative shares, Monday they were the best of the selling 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.