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NYSE Program Trading Activity Explodes

Chopshop's picture




 

Program trading as a percentage of total
NYSE volume exploded last week into 2010's first quadruple-witching day (Friday, March 19th).  Last week's daily average of 809.6
million shares, (33.7% of average total volume of 2.41 billion shares)
increased 65.43% from the week prior, which saw an average of 489.4
million shares traded (23.1% of average total volume of 2.12 billion
shares).

 

Week-over-week, program trading as a %
of total NYSE buy + sell volume leapt 45.9% higher.

 

Index Arbitrage activity across the 20
most active member firms increased 1,190%, from 28.6 million shares to
340.5 million ... with RBC and JP Morgan accounting for 53.55% of all reporting
member firm activity.

 

Crossing Session II volumes jumped 146% from 187.4 million shares to
461.9 million ... with Barclays, Goldman and Morgan Stanley accounting
for 91.61% of all reporting member firm activity. *

 

Principal activity rose 71.39%, from
just over a billion shares traded to 1.7619 billion ... with
significantly escalated volumes for everyone but Goldman.

 

 

 

NYSE Program Trades  3.15 - 3.19 

 

 

NYSE Program Trades  3.8 - 3.12

 


 

 * Crossing Session II - specifications

For NYSE and NYSE Amex equity
trading license holders, the Exchange currently offers a crossing
session in its Off-Hours Trading Facility (OFHT). 

On the dates the
Trading Floor will close at 1:00 p.m., Crossing Session II order entry
will begin at 1:00 p.m. for continuous executions until 1:30 p.m.

Time
of Operations
Functionality
Crossing

Session II

4:00
- 6:30 p.m.
A program trade consists of 15 names,
regardless
of value

On the dates the
Trading Floor will close at 1:00 p.m., Crossing Session II order entry
will begin at 1:00 p.m. for continuous executions until 1:30 p.m.

 

CROSSING SESSIONS (shares)

 

24 Mar 2010

 

25
Mar 2010

Crossing
Session II
33,900,968 19,071,464

 

Crossing
Session II (Program Trades)

Accommodates the trading of
baskets of at least 15 NYSE securities regardless of value. Members
that have either facilitated a basket trade or have paired two
customers' baskets can submit aggregate information to the Exchange
for execution.

Reports of execution are available via the web-based
electronic platform (EFP) shortly after the trade is entered. At 6:30
p.m., the NYSE prints the aggregate information of all baskets executed
in this session to the consolidated tape.On the third day after the
trade date (T+3), individual component stocks executed as part of a
basket trade are printed in aggregate form in the NYSE Daily Sales
Report.

Source: http://www.nyse.com/equities/nyseequities/1167176215661.html#cs2

 

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Fri, 03/26/2010 - 12:47 | 277090 El Hosel
El Hosel's picture

Dubai or Greece or Spain or California or Illinois or FDIC or FRE or FNM or AIG or LEH or CFC or ABK.....

   Quite a party.

Fri, 03/26/2010 - 12:37 | 277059 Leo Kolivakis
Leo Kolivakis's picture

Bubble Ben wants all of you to know that the reflation trade is still on. The big hedge funds were happy to steal your shares as you all wondered whether Dubai or Greece will bring down the global financial system. Once again, pensions are late to figure things out, and are now chasing after indexes. It never ceases to amaze me...like a hot knife through butter!

Fri, 03/26/2010 - 13:56 | 277211 gratefultraveller
gratefultraveller's picture

Pass the butter?

Fri, 03/26/2010 - 13:52 | 277204 the grateful un...
the grateful unemployed's picture

somebody thinks thats margarine

Fri, 03/26/2010 - 11:59 | 277001 the grateful un...
the grateful unemployed's picture

No one mentioned the reversal day yesterday, up triple digits on the Dow midday, and finished flat. Fear among the bulls might be the automatic reaction, in candlestick chart terminology the signal is a shooting star. Shooting stars are really a good thing, if you keep two things in mind, the shadow of any daily price record is where the market wants to go. Confirmation is required, usually a day or two. So today we have half of yesterdays high, back, but let's see where we finish, if we finish down on the day, and down again Monday, the bullish signal is reversed. If we return to yesterdays high, in the next two days, the bull is still on. That's my read..

Fri, 03/26/2010 - 13:50 | 277199 the grateful un...
the grateful unemployed's picture

the Koreans are shooting at each other, but basing market movement on geo-political news is even less likely than TA. TA doesn't work very well in a printing press economy. the rally from 2003 to the high was one broken bear market signal after another.

The one signal that does seem to work on the downside is consecutive down days, each a degree greater than the other. so down ten dow points one day, fifty the next, get on the trade. everything is backwards, try to catch the falling knife, low volume is the weapon of the bull, etc etc.

Fri, 03/26/2010 - 13:50 | 277198 the grateful un...
the grateful unemployed's picture

the Koreans are shooting at each other, but basing market movement on geo-political news is even less likely than TA. TA doesn't work very well in a printing press economy. the rally from 2003 to the high was one broken bear market signal after another.

The one signal that does seem to work on the downside is consecutive down days, each a degree greater than the other. so down ten dow points one day, fifty the next, get on the trade. everything is backwards, try to catch the falling knife, low volume is the weapon of the bull, etc etc.

Fri, 03/26/2010 - 12:23 | 277022 El Hosel
El Hosel's picture

  +1

  We had two consecutive very high tick readings during the week as well, pretty good capitulation type indicators after major moves.  1510 on Tuesday and  1175 on Thursday

http://www.marketweb.com/ord/sell.htm

http://www.youtube.com/watch?v=VRhyWZnGjyc

Fri, 03/26/2010 - 11:44 | 276957 bugs_
bugs_'s picture

Sell in May and go away.

Do NOT follow this link or you will be banned from the site!