The Wall Street Journal-20080111-Program Trading
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Program Trading
NEW YORK -- Program trading in the week ended Jan. 4 amounted to 31.2% of New York Stock Exchange average daily volume of 3.53 billion shares, or 1.1 billion program shares traded per day.
Program trading encompasses a range of portfolio-trading strategies involving the purchase or sale of a basket of at least 15 stocks with a total value of $1 million or more. The program-trading level is buying-and-selling volume as a percent of all NYSE reported volume.
In all markets, program trading by member firms averaged 2.65 billion shares a day during the past week. About 41.4% of program trading took place on the NYSE, 0.5% in non-U.S. markets and 58.1% in other domestic markets, including Nasdaq, the American Stock Exchange and regional markets.
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NYSE PROGRAM TRADING
Volume in millions of shares in the week ended
Jan. 4, 2008
INDEX DERIVATIVE- OTHER
TOP 15 FIRMS ARBITRAGE RELATED* STRATEGIES TOTAL
Lehman Brothers 15.3 ..... 719.5 734.8
Goldman Sachs 0.4 ..... 596.5 596.9
Merrill Lynch ..... ..... 595.1 595.1
Morgan Stanley 4.9 ..... 460.4 465.3
Credit Suisse 12.8 ..... 316.9 329.7
Deutsche Bank Sec. 32.9 ..... 216.2 249.1
RBC Capital Markets 66.6 ..... 174.1 240.7
UBS Sec. ..... ..... 188.4 188.4
Bear Stearns 7.1 ..... 164.5 171.6
Banc of America Sec. 2.6 ..... 159.4 162.0
BNP Paribas Bkrg. Srvs. ..... ..... 121.9 121.9
Citigroup Global Mkts ..... ..... 102.9 102.0
SIG Brokerage ..... ..... 77.7 77.7
JP Morgan Sec. ..... ..... 54.1 54.1
Schon-EX ..... ..... 48.2 48.2
OVERALL TOTAL 173.0 ..... 4220.9 4393.9
*Other derivative-related strategies besides index arbitrage
Source: New York Stock Exchange
