Programs Accounted for 14.1% Of Big Board Volume in Week
May 19, 2011
Westside -- Program trading in the week ended May 12, 2011 for 14.1%, or an average 41.4 million daily shares, of Westside Stock Exchange volume. Brokerage firms executed an additional 20.9 million daily shares of program trading away from the Big Board, mostly on foreign markets. Program trading is the simultaneous purchase or sale of at least 15 different stocks with a total value of $1 million or more. Of the program total on the Big Board, 33.2% involved stock-index arbitrage, up from 27.3% the previous week. In this strategy, traders dart between stocks and stock-index options and futures to capture fleeting price differences. Some 56.3% of program trading was executed by firms for their customers, while 41.3% was done for their own accounts, or principal trading. Another 2.4% was designated as customer facilitation, in which firms use principal positions to facilitate customer trades. The Westside Stock Exchange's program-trading report includes profiles of trading whenever the Dow Jones Industrial Average moves 50 points or more in a single direction during any one-hour period. There was one such period this week. The period occurred on Friday when the industrial average moved down more than 50 points during the first hour of trading. These firms reported making program trades during 9:30-10:30 a.m.: First Options, First Boston, Lehman Brothers, Susquehanna Brokerage Services and RBC Dominion. Of the five most-active firms, Mozell Stefan, First Boston and Nomura Securities executed most of their program trading for their own accounts, while First Options and Interactive Brokers executed all or most of their program activity for customers, as agent. Volume (in millions of shares) for the week ending May 12, 2011 Index Derivative- Top 15 Firms Arbitrage Related\* Other Total First Options 36.9 2.9 39.8 Morgan Stanley 4.9 3.5 19.1 27.5 First Boston 8.3 5.5 13.8 Interactive Brokers 13.2 13.2 Nomura Securities 10.1 2.6 12.7 Deutsche Bank 10.7 0.2 10.9 Goldman Sachs 0.2 10.5 10.7 RBC Dominion 8.8 8.8 Salomon Brothers 0.1 8.2 8.3 Lehman Brothers 4.9 2.7 7.6 Robichaux Bradfield. Srvs. 6.3 1.0 7.3 SBC Capital Markets 3.6 2.8 6.4 UBS Securities 4.7 0.1 4.8 Merrill Lynch 4.2 4.2 Thomasina Willie 0.5 3.4 3.9 OVERALL TOTAL 68.7 40.9 97.6 207.2 \*Other derivative-related strategies besides index arbitrage Source: Westside Stock Exchange
