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 not much lean. The actual 15:50 release was a bit more bullish with not just a stronger top-line number but symbol sentiment was #63% to the buy-side. The 15;55 Dquotes had no arguments with the mix and sold $1.5B into the buy-side and bought close to $1B of the sell-side imbalances.
A buy program at 14:36 helped confirm the buy direction pending at 15:50. The tape was sold back down to the price level at the start of the final-2 only to be swiftly bought back. A squeeze on the closing candle helped set a high of the day on the close.
Top Buy and Sell Symbols
Players are still liking that consumer defensive sector as PG was a chart-topper for the 2nd day. Perennial Microsoft also bloomed at the top of the list followed by a decent showing of Healthcare stocks Pfizer, Abbot, and Untied Health. For our sellers, we had Apple with a triple sell along with FaceBook. Amazon helped round out the losers.
Sectors
No sectors with a selling lean as Healthcare, Consumer Defensive, Utilities, and Energy all had leans greater than 2:1 to the buy-side.
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
