The Russell reconstitution on Friday sparked some interesting moves in some of the components being added or deleted.
Many issues that were going to be added to the index sold off sharply on Friday's close, while some issues being deleted spiked higher. Stocks being added need to be bought and stocks being deleted need to be sold.
If a trader was paying close attention to the NYSE imbalances disseminated at 3:45 p.m. or the Nasdaq imbalances at 3:50 p.m., the moves were telegraphed.
During the last few reconstitutions, traders were reluctant to take the data at face value, since many of the imbalances flipped at the last second and traders had to scramble to cover and or reverse positions.
But on Friday, the imbalances stayed true to form, leaving traders wanting to participate from the event to fade the closing prints and wait to cover in after-hours or