S&P Futures Surge 10 Points In One Tick On $3.2BN Market On Close Buy Imbalance

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by Tyler Durden
Tuesday, Jun 02, 2020 - 03:58 PM

It has been nearly two months since the market was so illiquid it would surge (or plunge) on news of the size of the daily market on close (MOC) imbalance. But it now appears that illiquidity is back, baby, because at exactly 350pm ET when the MOC closing imbalance is disclosed, the Emini soared 10 points in seconds when it was revealed that today's imbalance was $3.2 billion to buy.

As a reminder, we have seen similar last 10 minute ludicrous action before, notably on April 8...

... and on March 26...

... when outsized MOCs forced a buying vacuum in the last 10 minutes of trading.

Regular readers will recall that the topic of the sudden plunge in liquidity at 3:50pm prompted none other than Goldman to highlight this curious phenomenon one month ago, when the bank said that "concerns remain centered around the final minutes of US equity trading sessions."

Back in 2018, Goldman found that emini top of book depth was considerably stronger at the end of each trading day than earlier. However, in the past two months, ever since institutional investors stepped out of the market and left it to retail daytraders and systemic quants, this phenomenon has eroded considerably, leaving much less "extra" liquidity in the last half hour of trading, even before the coronacrisis. Weakened end-of-day liquidity was likely a potential contributor to the recent end-of-day volatility dislocation, Goldman concluded.