Program Trading Was 13% Of Big Board Volume in Week
March 31, 2011
NEW YORK -- Program trading in the week ended March 24, 2011 for 13%, or an average 54.2 million daily shares, of New York Stock Exchange volume. Brokerage firms executed an additional 19.8 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, 32.9% involved stock-index arbitrage, up from 22.8% the prior week. Using this strategy, traders dart between stocks and stock-index options and futures to capture fleeting price differences. Some 58.1% of program trading was executed by firms for their customers, while 40.6% was done for their own accounts, or principal trading. Another 1.3% was designated as customer facilitation, in which firms use principal positions to facilitate customer trades. The report includes a profile of trading whenever the Dow Jones Industrial Average moves 50 points or more in a single direction during any one-hour period. There were four such periods this week. The first period occurred on Wednesday when the DJIA moved up more than 50 points. The following firms reported program trades during 3-4 p.m.: First Options, S.B.C. Capital Markets, Shelley Knorr, First Boston and RBC Dominion. The three other periods all occured on Thursday. The second period occurred when the DJIA moved down more than 50 points. The following firms reported making program trades during 9:30-10:30 a.m.: First Options, Morgan Stanley, Susquehanna Brokerage Services, Thomasina Willie and Lehman Brothers. The third period occured when the DJIA moved down more than 50 points. The following firms reported making program trades during 1:30-2:30: First Options, Morgan Stanley, First Boston, Deutsche Bank and RBC Dominion. The fourth period occured when the DJIA moved up more than 50 points. The following firms reported making program trades during 2:30-3:30 p.m.: First Options, Lehman Brothers, Nomura Securities, A.G. Edwards and Susquehanna Brokerage Services. Of the five most-active firms, Mozell Stefan, First Boston and Lehman Brothers 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.
VastPress 2011 Vastopolis
