From the rulebook,
highlighted the relevant part.
Quote:
Combat Air Patrol (CAP): Only fighters and fighter-bombers can choose this action. Take an action test for the formation and if it passes set up the formation touching your own side’s table edge to show where it will enter play.
A formation on combat air patrol may choose to carry out an interception action in reaction to an enemy ground attack. No initiative test is required to carry out the interception. It takes place after the enemy ground attack formation has made its approach move, but before flak is fired at the ground attackers or they make their own attack. Formations that are on CAP remain on CAP until they make an interception. If they haven't made an Interception by the end of the turn, then they can either stand down and return to base normally, or remain on CAP into the following turn.
No more than one formation that is on CAP may intercept a formation that makes a ground attack mission. In effect CAP allows you to interrupt an enemy ground attack action and ‘bounce’ the enemy aircraft before they make their attack. The interception follows the normal rules, effectively being an ‘action within an action’. After the interception has been carried out play returns to the ground attack action.