The study sheds light on how traders allocate the risk of their equity portfolios throughout a trading day. They tend to contract risk around the market close, providing a central clearinghouse(CCP) with a ”natural hedge”. CCP members mostly trade stocks that have the largest impact on the daily margin requested from a clearinghouse. They sell stocks with the highest marginal risk and buy stocks that decrease the total portfolio risk the most. As our measure of portfolio risk corresponds with what the CCP uses for the estimations of daily margin requirements, we conclude that the risk-reduction behavior is driven by reluctance to provide end-of-day margin contributions to the CCP. Such trading in the direction of risk contraction distorts closing stock prices: for the top 10% most traded stocks, a pricing error at the close reaches 58 basis points.