1. We have a column on our Redi quote window for imbalances. They are also dissemintated by the Specialist on Reuters and Dow Jones news.
2. www.nyse.com (not sure if they publish the imbalances there however.
Don
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Russell Imbalance on June 30th
- Thread starter XCXC007
- Start date
1. We have a column on our Redi quote window for imbalances. They are also dissemintated by the Specialist on Reuters and Dow Jones news.
2. www.nyse.com (not sure if they publish the imbalances there however.
Don
Quote from Don Bright:
Russell balancing at end of day using Market on Close orders. Traders look for the imbalances at 3:40, send in MOC orders, then short the stock (or short then send MOC)...gap after 4PM, major profits.
The better traders not only shorted, bought on MOC, the went long overnight on the MOC, and nearly doubled their profits. Too bad it doesn't happen more often.
Don
When you say they went long o/n the MOC's do you mean they bought the buy imbalance and just held it o/n or did they double cover the sell imbalance thus going long o/n?
We saw large sell imbalances, most immediately sent in sell short orders, and then when filled, placed MOC buy orders for double that amount of shares, thus being long for the opening reversal, thus making money on downside on day 1, and on the opening upside reversal.
Don
Don
kwancy wrote on 07-13-06 08:38 PM:
Hey Don, I do not quite understand the imbalance on NYSE and NASDAQ that you mention, can you articulate?? Thanks
Sure. First off, the Specialists at the NYSE receive "Market on Close" orders (MOC) all during the day until 3:40PM Eastern, this is not done the same way on the NASDAQ. . These can be very large orders where the brokers/banks/funds/institutions are willing to either buy or sell shares at the final price of the day (the "closing" price). For example, there may be 1 million shares to sell (at any price), and 500,000 shares to buy (at any price), all marked MOC. That would leave an "imbalance" of 500,000 shares extra to sell.
At 3:40 the Specialist publishes that imbalance (I have a column for that on my RediPlus screen, and they also send it out via Dow Jones and Reuter's I believe). After seeing these imbalances, traders can place MOC orders offsetting the imbalance only, they cannot add to the imbalance. In this case they could send buy orders, MOC. Knowing this, our traders place sell short orders first (in this case), right after seeing the imbalance. When filled, they then place the MOC buy order which will close that trade after the bell rings with the MOC order. Imbalances are re-published at 3:50 Eastern, and are often either lessened in share size, or they go away altogether. If the imbalance goes away at 3:50, you can no longer enter any MOC order.
Going back to June 30th when we had the Russell 2000 "re-balancing" take place (that is when the index managers add some stocks and remove others), we saw many large imbalances, so our traders did the above and made excellent money. For example, my nephew had shorted PG right after 3:40, and right after the bell at 4PM the stock price gapped down 80 cents, thus giving him a big profit. PG was just one of many that reacted in a similar manner.
Our traders always look at the imbalances for the stocks they trade on a daily basis, which gives them additional information for end of day trading even if they don't actually place MOC orders.
Hope this helps.
Don
Hey Don, I do not quite understand the imbalance on NYSE and NASDAQ that you mention, can you articulate?? Thanks
Sure. First off, the Specialists at the NYSE receive "Market on Close" orders (MOC) all during the day until 3:40PM Eastern, this is not done the same way on the NASDAQ. . These can be very large orders where the brokers/banks/funds/institutions are willing to either buy or sell shares at the final price of the day (the "closing" price). For example, there may be 1 million shares to sell (at any price), and 500,000 shares to buy (at any price), all marked MOC. That would leave an "imbalance" of 500,000 shares extra to sell.
At 3:40 the Specialist publishes that imbalance (I have a column for that on my RediPlus screen, and they also send it out via Dow Jones and Reuter's I believe). After seeing these imbalances, traders can place MOC orders offsetting the imbalance only, they cannot add to the imbalance. In this case they could send buy orders, MOC. Knowing this, our traders place sell short orders first (in this case), right after seeing the imbalance. When filled, they then place the MOC buy order which will close that trade after the bell rings with the MOC order. Imbalances are re-published at 3:50 Eastern, and are often either lessened in share size, or they go away altogether. If the imbalance goes away at 3:50, you can no longer enter any MOC order.
Going back to June 30th when we had the Russell 2000 "re-balancing" take place (that is when the index managers add some stocks and remove others), we saw many large imbalances, so our traders did the above and made excellent money. For example, my nephew had shorted PG right after 3:40, and right after the bell at 4PM the stock price gapped down 80 cents, thus giving him a big profit. PG was just one of many that reacted in a similar manner.
Our traders always look at the imbalances for the stocks they trade on a daily basis, which gives them additional information for end of day trading even if they don't actually place MOC orders.
Hope this helps.
Don
Quote from Arnie:
The Russell Indexes only get updated once a year. They do not make any adjustments, even for delistings. Over the past few years the rebalancing has coincided with a drop in the Russell Indexes between the last friday in June and the July options expiration.
Good point, yes...but we do have the S&P adds, etc. as well...they all work pretty well it seems. Wish they did it more often,' LOL.
Don
Quote from Don Bright:
kwancy wrote on 07-13-06 08:38 PM:
Hey Don, I do not quite understand the imbalance on NYSE and NASDAQ that you mention, can you articulate?? Thanks
Sure. First off, the Specialists at the NYSE receive "Market on Close" orders (MOC) all during the day until 3:40PM Eastern, this is not done the same way on the NASDAQ. . These can be very large orders where the brokers/banks/funds/institutions are willing to either buy or sell shares at the final price of the day (the "closing" price). For example, there may be 1 million shares to sell (at any price), and 500,000 shares to buy (at any price), all marked MOC. That would leave an "imbalance" of 500,000 shares extra to sell.
At 3:40 the Specialist publishes that imbalance (I have a column for that on my RediPlus screen, and they also send it out via Dow Jones and Reuter's I believe). After seeing these imbalances, traders can place MOC orders offsetting the imbalance only, they cannot add to the imbalance. In this case they could send buy orders, MOC. Knowing this, our traders place sell short orders first (in this case), right after seeing the imbalance. When filled, they then place the MOC buy order which will close that trade after the bell rings with the MOC order. Imbalances are re-published at 3:50 Eastern, and are often either lessened in share size, or they go away altogether. If the imbalance goes away at 3:50, you can no longer enter any MOC order.
Going back to June 30th when we had the Russell 2000 "re-balancing" take place (that is when the index managers add some stocks and remove others), we saw many large imbalances, so our traders did the above and made excellent money. For example, my nephew had shorted PG right after 3:40, and right after the bell at 4PM the stock price gapped down 80 cents, thus giving him a big profit. PG was just one of many that reacted in a similar manner.
Our traders always look at the imbalances for the stocks they trade on a daily basis, which gives them additional information for end of day trading even if they don't actually place MOC orders.
Hope this helps.
Don
thanks Don,
But Nobody mentioned why the gap after the close worked so well this year? I mean we had over 30 stocks that gapped over $1 after the close. I personally know of many traders that made six figures in the last 20 minutes of trading. The Russell re-balance comes out every year but never like this!!!!
Quote from XCXC007:
thanks Don,
But Nobody mentioned why the gap after the close worked so well this year? I mean we had over 30 stocks that gapped over $1 after the close. I personally know of many traders that made six figures in the last 20 minutes of trading. The Russell re-balance comes out every year but never like this!!!!
Good question, and I don't really have a good answer, LOL. Big cap stocks, a lot of shares, maybe just supply and demand (hate to be simplistic, but heck, who knows?).
Don