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.
January 3, 2021
Imbalance
Early data was a buy into the close with a bit of lean. The early size with lack of selling is not always good for predicting the 15:50 reveal. Yesterday was not the case as the 15:50 reveal was a decent 2.7B to buy with a decent lean. The Dquotes sold into most of the imbalance selling 2.2B into the buy-side and buying just $38M of the sell-side. That had the markets fall into the close.
A bullish run back up during the final-2 hours of trading, started off with a decent buy program at 14:00. The 15:50 lock and release of MOC data showed 2.7B to buy and popped price into the high of the afternoon. Traders took advantage of selling into the move and prices closed lower.
Top Buy and Sell Symbols
Amazon, Nvidia, and Facebook topped the buyers’ list in triple digits. There were no triple sellers as Intel, Amgen, and Google led the losers list but missed the century mark.
Sectors
No selling sectors again but Utilities and Real Estate headed the top of the lean with Financial Services, Consumer Defensive, and Healthcare all making the cut for buy-side lean.
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
