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 8, 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.
As on the previous day, the early MIM held no indication of a large directional imbalance. Price action during the Final-2 hours of trading was quite bullish with buy programs dominating the tape in an upside direction. A large sell program triggered around 15:22 and reversed the buying party down into the reveal. The 15:50 candle had a 3-point pop on the release of the MOC data and the minutes began to trade higher until the 15:55 Dquotes took us lower into the close.
Semiconductors dominated the buy-side leader board with Intel (INTC), Microsoft (MSFT), Nvidia (NVDA), and Qualcomm (QCOM) all on the buy-side. Energy stocks Marathon (MPC) and Targa Resources (TRGP) found themselves anchoring the sell-side.
Tech was a selective buy with only 54% of symbols with buy imbalances but those symbols out-bought the sells by $540M. Some large trades into tech. The largest sentiment goes to Financial Services with 68 symbols having buy imbalances.
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.