Cave Bay (Coordinates: ) is a cove, 0.3 nautical miles (0.6 km) wide, which has been formed by the erosion of an extinct volcanic crater of which Mount Andree forms the north side, indenting the west side of Heard Island between West Bay and South West Bay. The cove is roughly charted on an American sealer's sketch map prepared during the 1860–70 period. It was more accurately charted and first named on a geological sketch map illustrating the 1929 work of the British Australian New Zealand Antarctic Research Expedition under Douglas Mawson.
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