FAST FIVE: S&P Futures Explode 40 Points Higher In One Tick On $7 Billion Market On Close Imbalance

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S&P Futures Explode 40 Points Higher In One Tick On $7 Billion Market On Close Imbalance How do you make sure that an extremely illiquid market trades like a penny stock.

By accumulating enough shares to build up a market on close imbalance of over $7 billion, and wait for the exchange to disclose what the MOC was.

Here is a chart of what happened at precisely 3:50pm when we learned that there was a $7 billion market on close imbalance, most likely the result of the previously discussed $850 billion in month and quarter end pension fund rebalance.

And now you know just how much “liquidity” there is in this market.

Find out right after the close.

Categories: ZH