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.
June 10, 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 early MiM was a small buy that reversed and came to a selling imbalance as we approached the MOC lock and release at 15:50. The locked MOC was a $500M buy which seemed to surprise the market as the ES put in a 5-point candle with 4 buy programs trading against two sells during that minute. The Dquotes at 15:55 sold into the buys and paired the moving MOC down below $200M.
Tech names continued to lead the buy-side as Apple (AAPL), Microsoft (MSFT), Facebook (FB), and Intel (INTC) lead the way. Why is Uber considered a tech stock? Our losers were Pfizer (PFE) and Gilead (GILD) in the drugs business.
Big buys in big tech but overall the sentiment was just 58% on the symbols, the buys were concentrated in a few symbols in the sector. Energy led the downside. The strongest sentiment was on the financial services with a 70% bias on the 100 symbols covered, even though an aggregated sector was to the buy-side.
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.