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Does anyone know about the end of day volatility in the ES contract. Everyday at 3:50pm EST the price moves and jumps 10-15 ticks very quickly. Can somebody shed some light on this phenomenon. I think it has something to do with imbalances but can't find much info about it.
Can you help answer these questions from other members on NexusFi?
Public feed on buy and sell imbalances becomes available at 3:50pm EST. The HFT algos jump on it instantly with large volume to take the winning side and profit from the imbalance before closing their position at 4pm EST. This is what causes the volatility.
