S&P Futures Crater 40 Points In One Tick On Huge For Sell Closing Imbalance

It's not just skyward that stocks can gap at 350pm when, 10 minutes before the close, the market on close imbalance is revealed.

Regular readers recall two weeks ago when on Thursday, March 26 amid the furious pension frontrunning frenzy, Eminis soared 40 points in one tick when it was revealed that there was a $7BN market on close imbalance.

(Click on image to enlarge)

Turns out easy come easy go because moments ago, at that precise timeslot of 350pm again, Eminis plunged 40 points in one tick - again - when today's market on close was revealed, and this time it was a sizable and unexpected, in light of today's market action, for sale imbalance amounting to over $2.4BN.

The result: this.

A 40 point move on a simple MOC announcement? That's right because that's exactly how much "liquidity" there is in this market.