OFX has now been removed from the MSCI Australian Small Caps...

OFX has now been removed from the MSCI Australian Small Caps Index. A majority of the recent turnover has been a TWAP algorithm selling approximately 500-1000 shares per minute which has a material effect on the stock price especially in the middle hours of the trading day where there is barely any interest in the stock. Hoping the selling belonged to an index tracking fund which is now complete.

Generally, an index fund will not simply execute their entire size in an exiting stock in the last closing auction (for obvious reasons) - they will outsource the execution to another party such as an investment bank's execution desk weeks/months in advance who will guarantee the sale of shares at the closing auction price before removal from index (which turned out to be 1.345 in OFX's case). The execution desk can make a profit if they can sell at a higher price in the weeks/months leading up to the final closing auction.