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.

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.

blackgrey45 

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.

Both delta-hedging and leveraged ETF rebalancing exert economically large price pressure on end-of-day returns.

That 10-15 ticks might be just a coincidence (it might be 15-20 or 20-25). But overall the volatility is caused by algos.

Linktind 

That 10-15 ticks might be just a coincidence (it might be 15-20 or 20-25). But overall the volatility is caused by algos.

Kind of like how algos move the price when a big order gets executed.