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Trading volume has been ramping up at the very end of trading days recently.But the reason for that surge remains unclear.
UBS’s Art Cashin spent some time this morning looking at the recent jump in trading in the final 15 minutes of the day – right up till 3:59:45, when the closing bell starts to ring.
Although he can’t come up with a full reason, he believes it could have to do with ETF re-balancing.
From his note.
The “Final Fifteen” Phenomenon – We have written previously of the rather new phenomenon of a spike in trading that has been occurring in the final 15 minutes of each day’s trading. To be a bit more specific it’s the final 15 minutes of active trading, from 3:45 to 3:59:45, when the closing bell begins to ring. (That excludes market on close orders.)
On Tuesday afternoon from 3:45 until the bell started, we did 100 million shares going from 553 million to 653 million. If we did that every 15 minutes, the final volume would be something like 2.6 billion shares, so this was clearly a flurry of trading.
Yesterday, the syndrome was repeated with the final 15 minutes seeing 95 million shares cross the tape.
The next question is what drives that final 15 minute flurry. That’s not fully clear but there is some evidence that it may have something to do with a balancing or hedging of ETFs. We’ll keep digging.
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