Morning Opening Imbalances for April, Study

Commentary, MiM

I have never really done much with the opening data.  It is there each day starting at 8:00 am and running into the cash-open at 9:30 am ET.  The chart below takes the last MiM reading just before the open and the computers start chiseling away at them.  Unlike the close, there isn’t much carry through into the trading day.  The numbers in the middle of the chart are what the price action from the open has been 3,5,8,13… minutes post open.  The one take away there for April was a trade in the direction of the market at the start of the 3-minute mark and hold until 13 minutes (a ten-minute trade) seemed to do very well.

This is on the same spreadsheet I shared yesterday on tab 2 so you can also play with this April data.  Just to run through hat 10-minute trade,  take April 2nd, at 9:33 the SPX was 0.40  higher than the open, buying at that time and selling on the 13th minutes would have made 1.1 points.  That’s not much but it is a profit, assuming you could get those fills of course.  The next day on April 3rd the market is down 1.70 points.  Since it is down, if you took a short there and again sold on the 13th minute you would have lost 1.5 points.  Oh well.  Carry that down through the month and it adds up pretty nicely.

Another interesting observation here for April is that 21 minutes into the day, the price is quite close to the day’s opening price.  Worth taking a look at?

On the right side is the closing imbalance for the day.  I get asked how they match up, “if the open is a big sell is the close a big sell too?”,  It appears not.

Thank you for all the kind feedback on yesterday’s posts.  As always if you have questions, ask.

If you want to play with the spreadsheet click here: April MiM Spreadsheet 

April 2018 Closing MiM study

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