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 14, 2021
Imbalance
Large down days usually force selling into the MOC. That did not happen yesterday. Yesterday’s selloff was very orderly and seen more as a buying opportunity than a selling one. The early MiM was indicating a buy and we were predicting that the MOC would be a small buy despite the down day. The 15:50 MOC was 221M to buy, basically neutral. The Dquotes came in at 15:55 and added sell-side by selling $2B worth of stocks into buy-side imbalances, barely touching the sell-side.
Buy program got the ball rolling into the close. The absence of large program selling was a tell that price was going to do some recovering into the close. A 15:30 shift of direction had the tape relax a bit. The 15:50 five-minute candle sold at the reveal only to be retraced at the 15:55 release.
Top Buy and Sell Symbols
Apple, Home Depot, and Salesforce led the top of the charts with Apple having a big bite at $407M to buy. For sellers Google, Microsoft, and Pfizer all had decent sells.
Sectors
No sentiment lean either way on the close. Tech was a notational winner with Apple stacking the chips despite 61% of tech symbols having sell imbalances. It was a rotational day and lots of money came into the market seeking quality stocks.
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
