XJO - Bear Posts only (Factors which might cause the markets to fall), page-22674

"I just watched one of the most ridiculous match-outs ever. Multiple large stocks moving 1-2%, billions of volume."

End-of-month rebalancing. It happens at the end of every month. Big volumes being bid and offered by big players. Don't ask me why. It seems to just be the way that some funds or big traders choose to do things.

It doesn't happen to all stocks every month. By carefully observing which stocks have unusually large parcels being bid and offered in that ten-minute match-out window at the end of the month, it can provide an opportunity to buy or sell stocks at a price that is mis-priced. The one or two per cent movement that you noticed can sometimes be bigger. The mis-pricing happens because sometimes there are not enough bids or offers on each side of the match-out. Surprisingly, even though volumes are unusually large, often the final match price is not much different from the traded price before the match-out, indicating that there may be other hidden forces at work. But, as you have noticed, occasionally the differences are big.