The Wall Street Journal-20080126-Program Trading
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Program Trading
NEW YORK -- Program trading in the week ended Jan. 18 amounted to 26% of New York Stock Exchange average daily volume of 5.0342 billion shares, or 1.3039 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 3.2053 billion shares a day during the past week. About 40.7% of program trading took place on the NYSE, 0.7% in non-U.S. markets and 58.6% 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 for the week ended
Jan. 18, 2008
INDEX DERIVATIVE- OTHER
TOP 15 FIRMS ARBITRAGE RELATED* STRATEGIES TOTAL
Lehman Brothers 25.8 ..... 973.9 999.7
Goldman Sachs ..... ..... 959.3 959.3
Morgan Stanley 16.3 ..... 666.7 683.0
Credit Suisse 20.8 ..... 602.8 623.6
Merrill Lynch ..... ..... 594.1 594.1
Deutsche Bank Sec. 79.6 ..... 323.6 403.2
RBC Capital Markets 102.9 ..... 284.1 387.0
UBS Sec. ..... ..... 347.2 347.2
Bear Stearns 9.2 ..... 317.6 326.8
BNP Paribas Bkrg. Srvs. ..... ..... 283.2 283.2
Banc of America Sec. 9.3 ..... 186.7 196.0
SIG Brokerage ..... ..... 100.2 100.2
Interactive Brokers ..... ..... 77.9 77.9
SG Americas Sec. 7.1 ..... 70.6 77.7
Schon-EX ..... ..... 73.0 73.0
OVERALL TOTAL 331.4 ..... 6,187.9 6,519.3
*Other derivative-related strategies besides index arbitrage
Source: New York Stock Exchange
