I'm sure you are aware of this and decided not to go into the details, but for the benefit of others it's even a bit more convoluted than that. The index does not "buy" anything, there's a company that manages the index and just decides on the weights of each stock. There are then several mutual funds and ETFs that track that index who will actually have to buy/sell stock. So 3) is really 3a) how much the index weights will change 3b) which funds are tracking the index, and what's their total market cap 3c) what are the net outflows into each stock resulting from previous 2.

And sometimes a stock might be entering an index but leaving another (e.g., moving from Russell 2000 to Russell 1000), so the net result might be opposite to what you'd naively expect.

So yes, it is possible to make money doing this, but it's not a sure thing.