{"slug":"index-rebalance-day-closing-auction","qid":"rebalance_multiples","label":"rebalance_multiples","post_title":"index-rebalance-day-closing-auction","post_url":"/blog/index-rebalance-day-closing-auction#q-rebalance_multiples","columns":["label","close_minute_shares_mm","typical_close_shares_mm","close_volume_multiple"],"rows":[{"label":"MSFT Russell recon Jun-2026","close_minute_shares_mm":16.09,"typical_close_shares_mm":0.33,"close_volume_multiple":48.1},{"label":"AAPL S&P quarterly Dec-2025","close_minute_shares_mm":19.28,"typical_close_shares_mm":0.57,"close_volume_multiple":33.6},{"label":"AAPL Russell recon Jun-2026","close_minute_shares_mm":9.85,"typical_close_shares_mm":0.33,"close_volume_multiple":29.7},{"label":"KO Russell recon Jun-2025","close_minute_shares_mm":0.51,"typical_close_shares_mm":0.16,"close_volume_multiple":3.3},{"label":"AAPL Russell recon Jun-2025","close_minute_shares_mm":2.5,"typical_close_shares_mm":0.78,"close_volume_multiple":3.2},{"label":"AAPL S&P quarterly Mar-2026","close_minute_shares_mm":1.4,"typical_close_shares_mm":0.47,"close_volume_multiple":3},{"label":"MSFT S&P quarterly Dec-2025","close_minute_shares_mm":0.92,"typical_close_shares_mm":0.34,"close_volume_multiple":2.7},{"label":"MSFT S&P quarterly Mar-2026","close_minute_shares_mm":0.43,"typical_close_shares_mm":0.26,"close_volume_multiple":1.7},{"label":"MSFT Russell recon Jun-2025","close_minute_shares_mm":0.52,"typical_close_shares_mm":0.31,"close_volume_multiple":1.7},{"label":"KO S&P quarterly Dec-2025","close_minute_shares_mm":0.44,"typical_close_shares_mm":0.28,"close_volume_multiple":1.5},{"label":"KO S&P quarterly Mar-2026","close_minute_shares_mm":0.17,"typical_close_shares_mm":0.22,"close_volume_multiple":0.8},{"label":"KO Russell recon Jun-2026","close_minute_shares_mm":0,"typical_close_shares_mm":0.11,"close_volume_multiple":0}],"shape":"ranking","sql":"WITH close_minute AS\n(\n    SELECT\n        ticker,\n        toDate(toTimeZone(window_start, 'America/New_York')) AS session_date,\n        toFloat64(sum(volume))                               AS close_volume\n    FROM global_markets.delayed_stocks_minute_aggs\n    WHERE ticker IN ('AAPL', 'MSFT', 'KO')\n      AND window_start >= '2025-05-01'\n      AND window_start <  '2026-06-29'\n      AND toHour(toTimeZone(window_start, 'America/New_York'))   = 16\n      AND toMinute(toTimeZone(window_start, 'America/New_York')) = 0\n    GROUP BY ticker, session_date\n),\nranked AS\n(\n    SELECT\n        ticker,\n        session_date,\n        close_volume,\n        row_number() OVER (PARTITION BY ticker ORDER BY session_date) AS n\n    FROM close_minute\n),\nevents AS\n(\n    SELECT\n        ticker,\n        close_volume,\n        n,\n        multiIf(session_date = '2025-06-27', 'Russell recon Jun-2025',\n                session_date = '2025-12-19', 'S&P quarterly Dec-2025',\n                session_date = '2026-03-20', 'S&P quarterly Mar-2026',\n                                             'Russell recon Jun-2026') AS event\n    FROM ranked\n    WHERE session_date IN ('2025-06-27', '2025-12-19', '2026-03-20', '2026-06-26')\n)\nSELECT\n    concat(e.ticker, ' ', e.event)                                             AS label,\n    round(e.close_volume / 1e6, 2)                                             AS close_minute_shares_mm,\n    round(quantileDeterministic(0.5)(b.close_volume, b.n) / 1e6, 2)            AS typical_close_shares_mm,\n    round(e.close_volume / quantileDeterministic(0.5)(b.close_volume, b.n), 1) AS close_volume_multiple\nFROM events AS e\nINNER JOIN ranked AS b ON b.ticker = e.ticker\nWHERE b.n >= e.n - 20\n  AND b.n <= e.n - 1\nGROUP BY e.ticker, e.event, e.close_volume\nORDER BY close_volume_multiple DESC","computed_at":"2026-10-01T15:14:39.652290+00:00","elapsed":0.016320913}