Index rebalances and reconstitution. Trillions of passive dollars trade at the close; inclusion is a permanent bid, deletion a permanent offer.
What to watch: S&P quarterly rebalance; Russell reconstitution (June); MSCI reviews. It arrives quarterly / annual, and the effect typically lasts days.
It sits in tier 3 — Flows and mechanics: Moves prices without changing anything fundamental, on horizons from hours to weeks. Who is forced to buy or sell, and when. Ignore this tier and market moves will regularly look inexplicable.
Its neighbourhood
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Also in Market mechanics, derivatives, and calendar
- Zero-days-to-expiry (0DTE) options
- Monthly and quarterly options expiration
- Month- and quarter-end rebalancing
- Seasonality and calendar effects
- Tax-loss harvesting and tax dates
- Holiday and low-liquidity sessions
- Market microstructure and liquidity
- Circuit breakers and trading halts
- Settlement, clearing, and margin requirements
- Fed communication blackout
- Corporate buyback blackout windows
- Investor conferences and analyst days
- Jackson Hole and set-piece speeches
- 24-hour and tokenised trading
- Tax refunds and payroll-day flows
- Earnings season timing and pre-announcements