John Roque highlights the changes in NYSE volume:

“Volume has been a curiosity for most and a problem for others. On an absolute basis, 2010 volume is averaging about 4.7 billion shares/day. This is down 15% vs. the 2009 average NYSE volume of 5.5 billion shares/day. Yet 2010′s average volume is only slightly less than the 2008 average of 4.96 billion shares/ day.”

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Category: Technical Analysis, Trading

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20 Responses to “NYSE Volume Changes”

  1. marek says:

    assume this excludes the mega vol programme trades that have ballooned in recent yrs/months?

  2. TrendWatcher says:

    Theory: the spike for 2009 may be due to the huge volumes on the bank stocks like C & BAC when the price per share dropped to the low single digits.

    The high value for 2008 relative to previous years could also be due to the late 2008 drop in prices for these and other similar issues.

    Looking at dollar value of shares traded per day would be an interesting check on this theory

  3. peter north says:

    Barry – could the low volume of this rally be mainly attributed to most financial firms not ramping up their portfolio leverage? Hard for me to comprehend, but I understand some firms were levered 40x going into the crisis. Thanks.

  4. VennData says:

    Bankers would rather relax margin to a quantitative hedgie…

    …rather than a local small businesses that: sells Polaroid film; rents hair-band CDs; or crafts hand-made, studded covers for Palm Pilots.

    Leverage isn’t like deviance, it’s being defined upward.

  5. flipspiceland says:

    How much of the volume is being generated by just a few entitties? vs 2008

    How much of the volume is concentrated in Citibank? vs 20o8

  6. IvoZ says:

    Wait, I thought it is a “low volume rally” – is this a contradictory information? What am I missing?

  7. tagyoureit says:

    The recently unemployed are no longer contributing to their 401(k), 529, IRA and ROTH IRA plans? Firms cutback their contributions to retirement plans at he onset of the great recession?

    44k x .06 ÷ 12 x 8M= $1.76B not buying NYSE per month

    Why would a large firm purchase NYSE if they can’t turn around and sell it to ‘the little guy’ for a profit? You know, for the little guy’s secure retirement.

  8. crunched says:

    Right now SPY is overbought on the 15 min, 30 min, 60 min, Daily, Weekly, and Monthly time frame. Imagine the difference between say, 1999, and now. Then, there was the euphoria of an entirely new burgeoning sector. Technology and the internet. You could glimpse the possibilities, if not have them pounded into your head by CNBC. And now? Someone help me… where is the new sector? Oh, now I remember, the new sector is PROGRAM TRADING. Computers driving the market higher simply because they can and because our President wants them to.

  9. Scott says:

    I think BR is trying to point to the actual, factual evidence that this really isn’t a low volume rally.

    I think it’s reasonable to say that the conditions of 2008/2009 were not exactly normal.

    The charts show a pretty clear uptrend in volume and 2010 so far is averaging the third highest NYSE volume ever. These stats are not consistent with a low volume rally.

    Lower volume than 2008/2009 yes, but not low volume.

    Flipspiceland has a pretty good question though. How much of the volume is related to C,FNM,or FRE? That could skew the figures a bit.

  10. crunched says:

    None of these points mean anything because the proliferation of HFT and Program trading has expanded beyond measure SINCE 2008. If you factor out all the computers trading against each other for the sole purpose of rebates, every hedge fund inching the market higher based on their latest algo, the Trading desk at the Federal Reserve spending all our tax dollars pumping up name-brand ETFs so Joe Sixpack will buy stocks again… there isn’t much volume left. Hardly any, in fact.

  11. Bokolis says:

    Take a look at NYSE volume as compared to NASDAQ volume (50-day MA, go back to 2005).

    Since you’re a smarter man than I am- and because I don’t look at stocks with less than fourletters in their ticker symbols- maybe you can let us know what you make of that. Because, to me, it indicates somebody knew something way back…then even more somebodies were fighting awfully hard to protect something.

  12. Bala says:

    Crunched has a good point regarding HFT and Algos.

    I think good sized volume is frequently around but just disguised.

  13. thatsabet says:

    I would think it would make more sense to see $$ VALUE TRADED compared to SHARE VOLUME TRADED seeing there are so many “fallen angels” distorting the volume picture. If people are allocating ever larger sums of capital to the equity mkts it will show up in $$ not shares.

    The symbol on BBG is NYSEVALU index

    Just a thought

  14. jason in charlotte says:

    “I think BR is trying to point to the actual, factual evidence that this really isn’t a low volume rally.”

    Not in terms of raw data, however, it is the first Y/Y decline in at least 18 years.

    Also, it has been mentioned that 2/3 of the volume are computer driven, HFT trades. Those trades, to my understanding, are primarily arbitrage trades taking advantage of spreads. I assume that HFT trade volume is included in the charts above, but I don’t know that to be the case.

    Lastly, there have been days in which a stock like C comprises 20 present of average daily volume.

  15. Lamont says:

    Per data I have, volume on the NYSE has been averaging around 1 billion shares a day, no where close to 4.7 billion. In 2009 there was often 2-2.5 billion shares traded. In contrast, volume in 2007 was 1.5 billion shares most days and in 2006 there was often 2-2.5 billion shares traded per day.

  16. alfred e says:

    I would say the comments about HFT are dead on.

    Funded by the Fed at 0% interest.

    Jack the interest rate up to 5% from zero and see what happens.

    J6P is in no hurry to jump into the water about to start boiling again.

  17. Bala says:

    Having had a bit more time to think about it, here’s my best guess:

    Volume levels are substantially higher during down days because its easier spook out weak hands with heavy selling. The Algos are primarily off during these periods while selling pressure is often broad based. From a psychological perspective, it makes sense. When these Algos are programmed to get back in (which will surely be before the weaker hands) they can do so at better prices (however marginal).

    Volume is thin on up days because the Algorithms are ‘turned back on’. I’ve come to learn, they have a distinctive characteristic of suppressing or truncating volatility (and volume) when active. The essentially hold price in a very tight range while the orders execute. My guess is this is what we’re seeing on up days.

    Of course I have nothing to base this on other than casual observation. Regardless, it hasn’t done any good analyzing volume on higher time frames other than intra-day (and even then, there are nuances).

    Anyhow, just a thought.

  18. Brooklyn Prep says:

    Here is a link to the NYSEVALU which thatsabet mentioned.

    The value traded for the trailing 12 months is flat.

    http://www.bloomberg.com/apps/cbuilder?ticker1=NYSEVALU%3AIND

  19. alfred e says:

    @Bala: Thanks for the thoughts.

    But how does that contrast with all those “market saving days” when prices were tanking only to be rescued towards the end of the day by “relatively light trading”? PPT. Volume was still low for the entire day as I recall.

  20. Mike S says:

    is this normalized for trading in C? Take out trading in C and what happens?