S&P Futures Surge 20 Points In One Tick On $2BN MOC Buy Imbalance

In a mirror image of yesterday’s last 10 minutes action, when the S&P dumped by 40 points in seconds, when a $2.4BN “market on close” sale imbalance was announced at 3:50pm ET…

… moments ago, the market on close imbalance was unveiled, and at $2 billion to buy, it was enough to send the Emini surging higher by 20 points, from 2732 to 2752, which was also the session high.

As a reminder, this is at least the 4th time in the past two weeks – it started on March 26 – that the MOC imbalance announcement has led to outsized moves in the market, a striking phenomenon which is attributable to one simple thing: there is absolutely no liquidity in the market, and as a result the headline MOC announcement is sufficient to send the entire market surging or tumbling just due to the end of day rebalance, which as we reported last night, is now wreaking havoc on both option pricing and realized volatility.