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Closing auction

The auction at 16:00 that sets the official closing price, and the single most liquid moment of the day because index funds and benchmarked traders execute there.

The close is the price funds are measured against, so anyone tracking a benchmark wants to trade at exactly that price. That concentrates enormous volume into one print, commonly a tenth or more of a stock's entire daily volume. Imbalance information is published from around 15:50 and moves prices into the bell.

This is where index-inclusion and index-rebalance trades happen, and it is why rebalance days show closing prints far from the last regular-way trade.

Example: a stock trades 8M shares on the day, of which 1.3M print in the closing auction. On a reconstitution Friday the same stock trades 40M shares with 22M in the close alone.

Related: opening-auction, index-rebalance, index-inclusion, market-on-close, reopening-auction

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