March 15, 2023
The NYSE Closing Auction remains the largest liquidity event in the equities market, with an average notional value traded of more than $18bn per day during the full year of 2022. Closing Auction informational imbalance messages (often referred to as the closing imbalance feed) provide traders with crucial information in the minutes leading up to the close. These data provide users with vital details about the Closing Auction order flow and the potential closing price of a security.
To enhance visibility and understanding of the Closing Auction process, NYSE is introducing a graphical interface with a trailing three months of closing imbalance feed historical data for the 1,000 largest daily Closing Auctions.
NYSE historical imbalance auction data categorized by symbol and trade date are available here and below.
Enter a symbol and date below to see the imbalance data:
Once a symbol and date are entered, three charts will be displayed as in the static example below for IBM on 03/02/2023:
To enhance visibility and understanding of the Closing Auction process, NYSE has introduced a graphical interface with a trailing three months of closing imbalance feed historical data for the 1,000 largest daily Closing Auctions.
NYSE research reviewed option usage trends to end 2022 and start 2023: 2022 options market activity was generally aligned with equity market moves. Average monthly put-call volume ratio in 2022 was higher than 2021 but declined sharply at beginning of 2023. In 2022, floor traded a higher put premium relative to call but a much lower put premium in 2023. Moreover, electronic trading saw more activity in SPY and QQQ, while floor trading saw most activity in HYG. Also, floor trading had a significantly higher put-call ratio than electronic trading for days around FOMC meetings and CPI announcements over most of this period.
PIMCO’s Active Bond ETF (NYSE: BOND) recently transferred to the NYSE. Since the transfer, intra-day liquidity has improved, and auctions have experienced better pricing compared to key benchmarks.