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Pressure Lab: Who Owned the Close

The cleanest free read of end-of-day buying vs selling pressure: Chaikin money flow measured only over the closing window of each session, from real intraday bars. See today’s close, where it ranks in history — and an honest test of whether closing pressure actually predicts the overnight gap.

Data

How it’s built. For each session, every intraday bar in the closing window gets a close-location value — +1 if it closed at its high, −1 at its low — weighted by that bar’s volume. Summed and normalized, that is Chaikin money flow for the close: a clean number for whether buyers or sellers controlled the final minutes, when institutional and market-on-close flow is heaviest. 5-minute bars give a precise window but only about a month of history; 1-hour bars reach back two years at a coarser window.

Timing. Today’s reading only finalizes after the 4pm close — before then there is no closing window yet. During the final hour it forms live and firms up as the bell approaches. Every past session is available any time.

The honest part. This price-and-volume measure of closing pressure shows almost no reliable link to the next day’s gap on SPY — the correlation is near zero, and buying and selling closes are followed by nearly identical overnight moves. That is the real lesson: the true driver of close-to-overnight drift is dealer hedging flow (charm, gamma), which price alone can’t see. Shown for education, not investment advice.