Here’s an interesting statistic: According to the WSJ, "Program trading in the week ended Aug. 5 accounted for 54.5%, or an average of 833.7 million shares daily, of New York Stock Exchange volume. Brokerage firms executed an additional 574.1 million daily shares of program trading away from the NYSE, with 0.8% of the overall total 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."

Astounding.

NYSE PROGRAM TRADING

Volume in millions of shares for the week ended Aug. 5, 2005.

TOP 15 FIRMS INDEX ARBITRAGE DERIVATIVE- RELATED* OTHER STRATEGIES TOTAL
UBS Securities ….. ….. 671.9 671.9
Morgan Stanley 4.0 0.3 635.8 640.1
Lehman Brothers 6.0 ….. 407.8 413.8
Goldman Sachs 4.1 ….. 344.6 348.7
Deutsche Bank Sec. 112.9 ….. 210.3 323.2
Credit Suisse 9.8 ….. 313.3 323.1
Merrill Lynch ….. ….. 313.7 313.7
Banc of America Sec. 0.6 ….. 213.1 213.7
Bear Stearns 3.2 ….. 123.5 126.7
J.P. Morgan ….. ….. 119.2 119.2
Citigroup Global Markets ….. ….. 95.3 95.3
RBC Capital Markets 46.5 ….. 47.4 93.9
CIBC World Markets 46.6 ….. 31.0 77.6
Nomura Securities 35.1 ….. 36.8 71.9
Interactive Brokers LLC ….. ….. 51.6 51.6
OVERALL TOTAL 329.0 0.3 3838.8 4168.1

*Other derivative-related strategies besides index arbitrage

Source: New York Stock Exchange

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Source:
Program Trading Accounts For 54.5% of NYSE Volume
WALL STREET JOURNAL Staff Reporter
August 11, 2005; Page C5
http://online.wsj.com/article/0,,SB112381033214711608,00.html

Category: Trading

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