Question about MOC orders

Discussion in 'Order Execution' started by selecto, Jan 24, 2008.

  1. selecto

    selecto Guest

    I have recently been trading (long/short) the 2x inverse funds, QID, DXD, SDS. I notice that the price I see at closing sometimes is very different than the final closing price. For instance, today at the bell my platform showed 48.92, but price kept changing for several minutes and finally closed at 49.76.

    Is this a result of sorting out the market on close orders, or what am I missing?
  2. MOC prices can vary like no other. Yesterday the swings were HUGE. Today not so much
  3. MOC orders are placed all day long, both buys and sells, and the Specialist must match them At 3:40 the Specialist will publish the "Imbalance" for everyone to see. If there were a 1,000,000 shares of buy orders, and 500,000 of sell orders, you would see +500,000 imbalance. They do this because they're looking for help in accomodating these extra shares.

    Traders can put in orders to help with the imbalance as long as the published imbalance is still showing. But, at 3:50, they re-publish based on the shares entered between 3:40 and 3:50. Most often, at least half of the imbalance will go away, but many go away completely, and some even reverse.

    The MOC imbalance play is one of our most successful, FWIW.

    All the best,