Tracking MOC vs SPY (also potential Long Signal)
First off, MOC and MOC Imbalances are two things I am still in the process of learning and understanding better, so I am not claiming to be an expert on the topic. Please chime in if I have wrote anything incorrect or if you have something valuable to contribute!
A Market-On-Close (or "MOC") order is an order sent to trigger near the market close. We see this pretty routinely trigger 10 minutes before the closing bell, and it often produces some fireworks with sudden, spiky moves in one direction or the other. There is often an imbalance in one direction-- Buy, or Sell-- which can sometimes seem random, but when smoothed can help show flows into the market or out.
I took a little bit of time to just color the periods on SPY in the last year or so for the 4 scenarios of the 20 day moving average of MOC imbalance. They are as follows-
I think you could generally say these phases of the MOC Imbalance correlate with SPY. The two phases of Light Red and Light Green (moving from a Sell Imbalance to Buy Imbalance) have generally shown to be good old fashioned bull fun. Dark green often is a profit taking phase. Dark red is usually when its too late or just the start of the descent.
Here are crude measurements of the light red and light green phases, their gains and length of time-
+4.39% in 44 days
+7.27% in 50 days
+4.22% in 30 days
+4.50% in 24 days
+4.55% in 45 days
+25.00% in 31 days
+15% in 24 days
Presently, so far: +4.15% in 15 days
The times I did not include, which are obviously the recent outlier, is from February to early March. If you had a good chart of the 20sma MOC in front of you like I do, you could see there were a couple times when it looked like the MOC had reached its bottom and was going to start reversing and heading towards a Buy Imbalance, only to get rejected and keep selling. The actual confirmed bottom never happened until March 20th, so you could say that was the true start of this light red colored area, but I felt it was relevant to still color those as if it was a real-time scenario. It also helps show how that crash really manifested itself, with a lot of traders/investors thinking the end of February is just a dip or buying opportunity, to manifest into a rug pull.
Myself and others have been thinking this week and last that a melt-up is on its way, and the MOC turning above 0 today to a Buying Imbalance could be a great bit of data to possibly confirm this.
Where do you find MOC Reports? I only started looking at them recently from Market Chameleon so unfortunately I do not have any great resources to point people towards other than Market Chameleon. I hear that its publicly disseminated information, though.
Here's their -free- daily report- marketchameleon.com/...OrderImbalanceReport
They also have a more aggregated report, which is what I used, but that is behind a pay wall.
A Market-On-Close (or "MOC") order is an order sent to trigger near the market close. We see this pretty routinely trigger 10 minutes before the closing bell, and it often produces some fireworks with sudden, spiky moves in one direction or the other. There is often an imbalance in one direction-- Buy, or Sell-- which can sometimes seem random, but when smoothed can help show flows into the market or out.
I took a little bit of time to just color the periods on SPY in the last year or so for the 4 scenarios of the 20 day moving average of MOC imbalance. They are as follows-
- DARK RED MOC is Below 0 and Increasing in that direction --> Sell Imbalance
- LIGHT RED MOC is Below 0 and Decreasing/Reversing
- LIGHT GREENMOC is Above 0 and Increasing in that direction --> Buy Imbalance
- DARK GREEN MOC is Above 0 and Decreasing/Reversing
I think you could generally say these phases of the MOC Imbalance correlate with SPY. The two phases of Light Red and Light Green (moving from a Sell Imbalance to Buy Imbalance) have generally shown to be good old fashioned bull fun. Dark green often is a profit taking phase. Dark red is usually when its too late or just the start of the descent.
Here are crude measurements of the light red and light green phases, their gains and length of time-
+4.39% in 44 days
+7.27% in 50 days
+4.22% in 30 days
+4.50% in 24 days
+4.55% in 45 days
+25.00% in 31 days
+15% in 24 days
Presently, so far: +4.15% in 15 days
The times I did not include, which are obviously the recent outlier, is from February to early March. If you had a good chart of the 20sma MOC in front of you like I do, you could see there were a couple times when it looked like the MOC had reached its bottom and was going to start reversing and heading towards a Buy Imbalance, only to get rejected and keep selling. The actual confirmed bottom never happened until March 20th, so you could say that was the true start of this light red colored area, but I felt it was relevant to still color those as if it was a real-time scenario. It also helps show how that crash really manifested itself, with a lot of traders/investors thinking the end of February is just a dip or buying opportunity, to manifest into a rug pull.
Myself and others have been thinking this week and last that a melt-up is on its way, and the MOC turning above 0 today to a Buying Imbalance could be a great bit of data to possibly confirm this.
Where do you find MOC Reports? I only started looking at them recently from Market Chameleon so unfortunately I do not have any great resources to point people towards other than Market Chameleon. I hear that its publicly disseminated information, though.
Here's their -free- daily report- marketchameleon.com/...OrderImbalanceReport
They also have a more aggregated report, which is what I used, but that is behind a pay wall.
Comment:
Figured I would update this again. Barring a good sized MOC Buy at close, the average should probably dip below zero and move into the light red/pink zone. For what its worth, this would make it a shorter and smaller wave of Imbalance than normal. The only other times I see smaller waves were early December 2018 and early April 2018. It could mean we're in for more consolidation, or a decline. Or, maybe we'll see a flood of big MOC Buys and go up again? We'll see :)
Comment:
So trying to track the MOC average in real-time is a little tough. On the 31st I figured unless MOC was going to be a huge buy, we would dip into the light red zone. Some time after that update, MOC was a MASSIVE buy to the tune of $3.1 billion. I also realize that additional smoothing on the 20sma is needed or else in real-time you're potentially just reacting on noise.
Today was a big, $1.5 billion MOC sell, which brought the 20sma to below 0. But barely. The 20-day moving average is -$34 million. The 20th day is -$385 million so potentially tomorrow is a MOC buy and that 20th date falls off and we're back above 0 into MOC Buy imbalance.
Here's what the chart would look like updated currently--
Today was a big, $1.5 billion MOC sell, which brought the 20sma to below 0. But barely. The 20-day moving average is -$34 million. The 20th day is -$385 million so potentially tomorrow is a MOC buy and that 20th date falls off and we're back above 0 into MOC Buy imbalance.
Here's what the chart would look like updated currently--
Comment:
The amount of MOC selling and imbalance towards sell has been blood red in the last 20 days, yet until recently price kept moving up. Hard to make sense of it.. can we claim that the MOC selling by funds finally caught up? The 20sma is at a $500 billion sell imbalance, which is a significant amount that's seldom ever reached but also seems to be about the deepest the imbalances go. I think if we see a few giant MOC BUYS in coming days it would be a great long signal.
Comment:
It's probably a bit premature and I should wait another day or so for confirmation, but a possibly-way-too-early signal of MOC reversal came at close. The MOC was a very tiny sell imbalance, like practically 0, and this came following a slew of massive MOC Sells the last 2 weeks. The 20th day which fell off was a seller and thus the 20sma actually moved UP.
I am taking this that it might mean tomorrow is a very mild down day and potentially a MOC Buy, which would confirm the move to this pink/light red zone. Just gotta watch out for a repeat of February and March.
I am taking this that it might mean tomorrow is a very mild down day and potentially a MOC Buy, which would confirm the move to this pink/light red zone. Just gotta watch out for a repeat of February and March.
Comment:
Haven't updated this in a while but thought it was worth noting that something historic happened today and may be a very big signal for direction--
Today the MOC Imbalance was a $4.1 billion Sell ($5.35B sells to only $1.24B buys) which is the largest MOC Sell imbalance recorded from the data source I use (Market Chameleon, goes back to October 2015).
This $4.1B figure is $850 million more than the #2, $1.1 billion more than #3. It is truly massive. There has been a lot of churn in MOC data lately, as we saw a couple of $2B+ MOC Buy days in the last 10 days. But today and the last 2 days were big MOC sells, cumulatively almost $7 billion in MOC sells. That figure is simply so enormous that I don't think it can be ignored.
What I have found from MOC observations over time is this does not necessarily spell DOOM, but it typically means we'll be moving sideways until MOC Buys accumulate, or if they don't show, then we'll see a sharp correction.
Today the MOC Imbalance was a $4.1 billion Sell ($5.35B sells to only $1.24B buys) which is the largest MOC Sell imbalance recorded from the data source I use (Market Chameleon, goes back to October 2015).
This $4.1B figure is $850 million more than the #2, $1.1 billion more than #3. It is truly massive. There has been a lot of churn in MOC data lately, as we saw a couple of $2B+ MOC Buy days in the last 10 days. But today and the last 2 days were big MOC sells, cumulatively almost $7 billion in MOC sells. That figure is simply so enormous that I don't think it can be ignored.
What I have found from MOC observations over time is this does not necessarily spell DOOM, but it typically means we'll be moving sideways until MOC Buys accumulate, or if they don't show, then we'll see a sharp correction.
While the 20sma for MOC had technically declined on Friday and would draw up as the dark green territory, I think it is important to note that monitoring single day changes to the average is tough because even though it's smoothed, it can be noisy, and not to put too much on a single day. The 20th day included in the average is 6/26, which was a MASSIVE Sell Imbalance. So barring Monday brings a mammoth sell imbalance, the average will go UP, even if its another 'sell day'. 6/30 was a massive buy day but in a few days that will fall off the avg as well.
The TL:DR is-- today the average shows dark green, but Monday will probably 90%+ likely have us still in the light green zone.
I marked with some arrows other times when we crossed into the light green zone yet price declined.