Into the Close: Unpacking U.S. Closing Auction Dynamics and the Impact of the Russell Reconstitution
First published by Traders Magazine, 24June, 2025
With the 2025 Russell Reconstitution just around the corner, market participants are once again preparing for one of the most intense liquidity events of the trading year. By analysing auction imbalance and level 3 data, we compare the U.S. closing auction on different exchanges, focusing on how price discovery unfolds in the final minutes of trading and the pivotal role exchange-specific features (such as D-Orders on the NYSE) have on the close. We then analyse the 2024 Russell Reconstitution to explore how auction volume and analysis metrics changed dramatically during the closing auction. For anyone trading this year’s Russell Reconstitution, understanding how these auctions behave and the impact the rebalance could have is essential.
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