On the MiM:

The MiM was a bit squirrely yesterday and I still struggle to hone my skills in explaining my understanding of the MiM and to share clearly how I trade it.  I see comments that the MiM was wrong or why is the MiM broken?  I understand what those commenters mean but I want to be certain that everyone understands that the MiM is just data.  To me it is like saying the RSI is incorrect when a trade goes bad, it is the interpretation or the trade around the data that is incorrect. The reason I bring this up is that if the MiM is broken (and it has been in the past.. but not yesterday) you can’t fix that, you can just throw your hands up and say it is broken and walk away.  If, on the other hand, your understanding of the how to trade the data is incorrect, that now becomes a part of a learning process and you dig in and do research and look again and deeper and form a hypothesis and trade with new knowledge.  That is what trading is about.  It is hard work.

Yesterday on the MiM into the 3:45pm reveal 78.8% of the symbols were on the buy side and 88% of the imbalance dollars were also on the buy side and there was $765M more buy side imbalance dollars then sell side dollars.  That is not a lie or mis-direction.  Those symbols entered into the closing auction at that time. Locked in. Unchangeable.

Before 3:45pm ET, only a few of us have a big picture view of how the 3:45pm lock up is shaping up and that is because we have the MiM.  That is the advantage we are seeking and paying for, a foreshadowing of what the MOC orders are likely to look like and from that we are trying to gain an edge.  

The way I trade the MiM is to find a pre-reveal (before 3:45pm ET) entry and trade in the direction of a strong MiM.  The MiM does not help with that entry,  it is up to me as a trader to find that optimal entry and I tend to look for my entry between 3:20pm ET and 3:30pm ET, that guide line is just based on experience of past successes and failures.  I am in the batting cages everyday.

So here is a look at yesterday:

That first yellow background band for yesterday was the entry zone where I look.   I took the entry too close to 3:20pm and was hit with the Syria news and got pulled down into the downdraft.  That happens.   News trumps MiM.   I then watched the MiM for reaction (orders pulled) and seeing none and knowing that the MiM was still strong buy side and that we had a nice squeeze the last couple of days post cash close I added and put stops in at 48.50.  There was a very nice pre-reveal trade for those skilled enough to catch it, that wasn’t me as I pulled off just +1 on the trade.

My reading from the MiM yesterday was that we had a nice buy data indication on the MiM during a day with  monster move of 20 points off the day’s lows and trading into the highs on the closing hour. To me it was worth a shot to see if the closing imbalance could move us higher on the day, it didn’t but it was still strong enough to shake off the Syrian news and hold up overnight, in addition that post cash squeeze happened again.   

I am watching anxiously today for the close to see if a pattern of buying is being established.

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