"like it will be a 'forced' buy-in on Recon. Day itself? "
Index funds are not required to buy in all at once on the same day. Index fund managers are measured primarily on what's called "tracking error" which is the extent their fund performance deviates from the performance of the index - either above or below performance is bad. Tracking error arises out of transaction costs they bear which the index does not, as well as timing differences between changes to the index and changes to the fund. But transaction costs are much higher on recon day (including the cost of artificially inflated pricing) so managers will try to manage tracking error by trading off transaction costs with timing differences and adjust before or after recon day. Also not all index funds have to buy all the stocks in the index. Some will try to get a sample basket of the index based on industry, mkt cap and etc., primarily to minimize transaction costs. Don't forget index funds are always trading if only to manage their cash levels from inflow and outflows.
End result, add in arbs and it is quite possible the stock won't move too much on recon day as the volume suggests a lot of the adjustments are already done. Though, there could be a lot of speculators out there trying to work over recon day, so who knows.
AI
