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 canceled. 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. Traders should keep the Final-2 hours in mind while trading.
December 16, 2021
Imbalance
The early MiM had us on a buy but we had indications that would swap sometime after 15:00 which it did. Overall the 15:50 MOC release was balanced with just a small 300M for buyers to take. The Dquotes have been a bit negative over the past few days and at 15:55 widened the imbalance to about 600M. The closing minute itself found plenty of buyers as we traded down into the close.
Early bots traded down on the final two hours. That move reversed at 14:56 as we climbed into the release. The MOC was small and the 5-minute candle was surprisingly reactive making a ten-point plus move top to bottom with the final 5-minute candle closing in the opposite direction down to the price level just before the MOC release.
Top Buy and Sell Symbols
For the 2nd day in a row semiconductor equipment giant KLA and lululemon topped the buy list. Disney was a distant third. For sellers, we saw exits for Apple, Microsoft, and Southwest Airlines with Apple and Microsoft both having triple-digit sells.
Sectors
A directionless sector map for the MOC. Utilities came close to our lean threshold with65.7% of symbols to the buy-side. Overall a neutral close.
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
