Program Trading Hit 9.9% Of Big Board Volume in Week
April 28, 2011
NEW YORK -- Program trading in the week ended April 21, 2011 for 9.9%, or an average 33.9 million daily shares, of New York Stock Exchange volume. Brokerage firms executed an additional 15.6 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, 25.2% involved stock-index arbitrage, down from 28.7% the prior week. In this strategy, traders dart between stocks and stock-index options and futures to capture fleeting price differences. Some 64% of program trading was executed by firms for their customers, while 32.7% was done for their own accounts, or principal trading. Another 3.3% was designated as customer facilitation, in which firms use principal positions to facilitate customer trades. Of the five most-active firms, First Boston and Morgan Stanley executed most of their program trading for their own accounts. First Options, Interactive Brokers and Salomon Brothers executed all or most of its program activity for customers, as agent. Volume (in millions of shares) for the week ending April 21, 2011 Index Derivative- Other Top 15 Firms Arbitrage Related\* Strategies Total First Options 28.4 1.1 29.5 First Boston 2.2 14.6 16.8 Morgan Stanley 1.3 0.7 14.1 16.1 Interactive Brokers 14.4 14.4 Salomon Brothers 0.2 10.7 10.9 Lehman Brothers 5.8 1.1 2.8 9.7 Nomura Securities 2.6 6.1 8.7 Robichaux Bradfield. Svcs. 7.0 0.7 7.7 UBS Securities 6.2 6.2 Thomasina Willie 1.7 4.2 5.9 Spear Leeds 5.1 0.8 5.9 Goldman Sachs 5.5 5.5 LIT America 3.1 0.6 3.7 Daiwa Securities 0.8 0.2 2.6 3.6 Bear Stearns 3.2 3.2 OVERALL TOTAL 42.8 30.6 96.1 169.5 \*Other derivative-related strategies besides index arbitrage Source: New York Stock Exchange
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