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. 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 28, 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.
Price action coming into the MiM was crazy as program trades began firing at 14:00. Our early MiM showed very little imbalance and with an afternoon tape alive as much as yesterday, quite a bit of the entry and exit needs for the day are taken care of in the liquid markets and not via MOCs. The price chart above shows the closing action, the MOCs were not really part of it. Check out that SpyGate action.
Microsoft (MS) led the buy-side with $78M. AMZN for the third day is on the sell side leader board.
Tech was the leader in the sectors but had no lean. Utilities, on the other hand, had a nice 76% buy lean (defensive), and Energy also with an 80% symbol lean were bullish. Real Estate was shedding some of its recent bullish buying.
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.
Marlin
