I have been trying to figure out what it means when it says: Blank Co (BC) Mkt On Close Buy Imbalance: Shrs 70600 This has been happening consistently on a stock I have been watching and no one seems to be able to explain it to me. Especially confusing is if there is a shortage of shares, how can the price be going down?
This is the specialist being unable to match the institutional blocks of stock. 70k share on a high volume stock that trades 100m shares isn't much. On a million shares traded stock, on the other hand, is significant and will gap the stock up/down the following day. That outstanding balance will show up on the specialists book the following day and will impact the opening price. Sell imbalance and the stock gaps down (depending on how many bids are in the book the following day) Another example; mrkt futures open up +200 the next day and that imbalance won't matter.