After auction trades like those can only happen if it's within...

After auction trades like those can only happen if it's within the same broker at the close price, broker book balancing. Generally this would be pre-arranged. They would in this case be part of the rebalance. However the average fund when participating in the rebalance additions and deletions is done after the bell but during the final auction between different brokers. If your charts can narrow right down to 5min increments from years past and you look at inclusion/deletion dates, you will see the massive volume is always at that time period; 4:00 to ~4:12

I missed it actually until old mate pointed it out, usually folks are all over this stuff well beforehand. Just