Index Rebalancing and Auction Imbalance: Keen to find the Balance?
This Euronext Equities Espresso study examines the effects of Index Rebalancing Days on Euronext stocks, including trading activity, volume trends, and Auction Imbalances.
Executive Summary
1. How large is the ‘volumes multiplier’ on Rebalancing Days?
The Average Daily Value traded on Euronext-listed stocks is €27.5bn on Rebalancing Days, almost 2x higher than the €14.0bn daily notional on Standard Days. Closing Auction drives most of such growth, capturing €14.8 billion average daily turnover on Rebalancing Days.
2. How does Market Structure evolve on Rebalancing Days?
The average weight of Closing Auction (in percentage of total on-book value traded for Euronext stocks) increases from 25% on Standard Days to 54% on Rebalancing Days.
3. What happens to volumes of stocks entering an Index?
Almost all stocks recently entering CAC40, AEX or FTSE MIB benefited from significant volumes uptick in the 6 months since their index inclusion, with peaks of over +100% increase in Lit Continuous and Auctions turnover.
4. Auction Imbalance: is it a large proportion of Auction volumes?
Auction Imbalance represented 10.1% of Opening turnover and 3.8% of Closing turnover across Euronext stocks in 2024. In nominal terms, the untapped liquidity within Auction Imbalance is equivalent to over €7.0bn monthly unexecuted notional in 2025 YTD.
5. Closing Auction Imbalance: is it larger on Rebalancing Days?
In 2025 YTD, the Auction Imbalance on Euronext was more than double on Rebalancing Days (€713 million daily unexecuted notional) compared to Standard Days (€315 million).
