Stats › Tradeable patterns › Rebalance dates

Index changes trade 9.5x normal volume and move nothing

NYSE normal day, Q3 2023: 17.8$bn+17.8$bnNYSE normal day, Q3 2023NYSE expiry or rebalance day, Q3 2023: 116$bn+116$bnNYSE expiry or rebalance day, Q3 2023Nasdaq, Russell recon 2025: 102.5$bn+102.5$bnNasdaq, Russell recon 2025NYSE, Russell recon 2025: 114.7$bn+114.7$bnNYSE, Russell recon 2025NYSE record, 20 Mar 2026: 230.5$bn+230.5$bnNYSE record, 20 Mar 2026Nasdaq, Russell recon 26 Jun 2026: 334$bn+334$bnNasdaq, Russell recon 26 Jun 2026

Sources: NYSE closing auction research, 11 Oct 2023, for the normal day and the expiry or rebalance day figures. CME Group for the June 2025 reconstitution split. ICE for the NYSE record of 20 Mar 2026. Nasdaq for 26 Jun 2026, where $334.027bn matched in 1.630 seconds.

Index funds must own what the index owns at the moment it changes, and that moment is a published closing auction date. An addition or deletion trades nine and a half times its normal volume that day. The abnormal return has converged to nearly zero.

9.5x normalVolume on the day
65.0%Executed in the close
$334.0bnNasdaq cross, 26 Jun 2026
nearly zeroAbnormal return

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