Index funds must balance at the close each day. They calculate the approx. # of shs. they will need to buy or sell & place a MOC order which needs to be in before about 3:40pm approx. Let's say the mkt. at close is 4.40 bid & 4.41 offered but there is only 2000 offered at 4.41. Next offering is 2000 at 4.42 & there is 6000 offered at 4.45. The MOC orders are for 10,000. The MOC orders all get filled at 4.45 which includes the stock at 4.41 & 4.42. So they get 4.45 rather than 4.41 & 4.42. Believe this is also known as a "Dutch Auction".

Regards

Joltin