The NYSE Closing Auction
NYSE Auctions

The Closing Auction

The New York Stock Exchange closing auction is the single largest liquidity event of the day – trading $18.9 billion per day, on average, and representing about 7% of daily volume in NYSE-listed securities.

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The NYSE closing auction is the primary liquidity event for institutional and retail investors. The closing price is crucial as it represents the universal market data reference price for all equity-linked products including mutual funds, Exchange Trade Products (ETPs) and derivatives.

Benefits

  • Single largest liquidity event of the day: NYSE closing auction trades $8.9 billion per day, on average, representing about 7% of daily volume in NYSE-listed securities. On major option expiration and index rebalance days, the close can account for over 20% of daily volume.
  • Significant block activity at stable closing prices: Significant liquidity and anonymity at the close help to minimize the market impact costs of large trades. On average, comparing the closing price to the Volume Weighted Average Price (VWAP) of the last two minutes, S&P 500 stocks have a price change of less than 0.053% with an average auction size of $37 million per security.
  • Large floor participation: The community of floor brokers and Designated Market Makers (DMMs) contribute over 35% of close liquidity, on average.
  • Transparency: Between 3:50pm and 4:00:00pm, auction information is disseminated every second, including pair-off volume, order imbalance volume, closing-only interest price, and indicative closing prices. This information is available through major data providers, including Bloomberg® and Thomson Reuters®.

Additional Facts

  • DMMs commit capital and improve fills on market and marketable limit orders
  • Market-On-Close and Limit-On-Close orders can be entered without restriction between 6:30am and 3:50pm
  • Market-On-Close and Limit-On-Close orders can be entered between 3:50pm and 3:59:59pm to offset any Regulatory Imbalance of 50,000 shares or greater
  • Unexecuted limit orders on the book are eligible to trade in the closing auction
  • Closing offset limit orders can be entered to offset any imbalance

Hear what our Floor Brokers have to say about delivering value to NYSE customers