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Market on Close (MOC)

Have you ever wondered why there are sometimes wild price swings in the last 10 minutes of trading? 


These swings stem from the Market on Close (MOC) auction, which offers the opportunity to be filled at the market's closing price. This period stands out as the most liquid during the stock market session and is utilized by investment funds, end-of-day algorithmic traders, and for index rebalancing. Major players use this auction to manage orders that might not have been executed based on trading VWAP (volume-weighted average price) and/or to reduce slippage and volatility impact.


The Market on Close (MOC) window closes daily at 3:50 PM ET. This means orders to be filled at the closing price must be placed before this time. Typically, there's an MOC imbalance on either the buy-side or the sell-side.


An imbalance significantly larger than the norm, for instance, over a billion, can impact market prices. When a substantial buy (or sell) imbalance is announced, the S&P 500 immediately adjusts (300ms on average), moving up (or down) by roughly that amount. The larger the imbalance the greater the market impact. That’s consistent with Impact Cost Research and also consistent with the economics of supply and demand. Demand more, and prices rise more.


Prior to the final figure at 3:50 PM ET and the market reaction, there's also the Early MOC imbalance, at 3:30 PM ET, 3:40 PM ET and 3:45 PM ET.



These early figures can provide an indication of the imbalance direction, either buy-side or sell-side. This information can be helpful if holding a position or seeking end-of-scalp opportunities, aiming to capitalize on the MOC move.


Overall, repricing occurs immediately, and the early MOC imbalance is often much smaller than the final figure at 3:50 PM ET, and sometimes even points in the wrong direction. That being said, it's not necessarily consistently tradable, but it poses a risk we must be aware of. 


The MOC data is available daily through our Breaking News Feed.


If you wish to explore this order type and understand its limitations, see the Fact Sheet from the NYSE. 


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