Program Trading Averaged 32.9 Percent of NYSE Volume during July
13-17
View the Top 15 Most Active (pdf format)
EDITORS AND REPORTERS: PLEASE SEE IMPORTANT ADVISORY AT BOTTOM
OF THIS PRESS RELEASE.
NEW YORK, July 23, 2009 -- The New York Stock Exchange, a
subsidiary of NYSE Euronext (NYX), today released its weekly
program-trading data compiled from member firms' executed volume
from NYSE's orders database. The report includes trading on the
NYSE for July 13-17.
The data indicated that during July 13-17, program trading
amounted to 32.9 percent of NYSE average daily volume of 2,474.1
million shares1, or 814.9 million program shares traded per day.
This included program trading associated with the July 17 monthly
expiration of stock-index options and futures.
Program trading encompasses a wide range of portfolio-trading
strategies involving the purchase or sale of a basket of at least
15 stocks.
1 The NYSE calculates program trading as the sum of shares
bought, sold and sold short in program trades. The total of these
shares is divided by the sum of shares bought, sold and sold short
on the NYSE including its crossing sessions.
Press Advisory About Changes in the Program-Trading News
Release
As discussed in the press advisory accompanying the July 16,
2009 program-trading news release, the New York Stock Exchange is
continuing on a weekly basis to produce a weekly press release
about program trading and an accompanying table of member firms
with the highest level of program-trading activity. However,
beginning with today's release, the release reflects a different
data source, in the interests of providing greater accuracy and
eliminating duplication, as explained below.
Editors and reporters should please note the following in
connection with this change:
· The data in the new press release is a more accurate
representation of program-trading activity because it is be based
on the NYSE's audit-trail information that is collected
contemporaneously with the submission of each order, instead of an
after-the-fact calculation reported to the NYSE by the various
member firms as has been done historically. As a result, data
reported before and after this change is not comparable.
· As the new press release is based on audit-trail information
the NYSE receives about orders entering its market, the release
continues to include data about program trading on the NYSE but no
longer reports on program trades taking place in other markets, as
the NYSE has no audit or other control on that data.
· The chart of member-firm data is expanded to include data for
20 firms instead of 15, to provide more information and allow
greater ability to track data from firms with smaller program
activity that did not always make the chart on a week-to-week
basis.
Additional background:
· Since 1988, the NYSE has required member firms to submit a
report reflecting their program- trading activity on the NYSE and
other markets. The NYSE has been the only market with this
requirement.
· The NYSE has recently eliminated the requirement, in the
interests of 1) using the more accurate audit-trail data that
accompanies every order, and 2) eliminating the duplication that
resulted from firms entering information on each order and later
having to calculate and report their program trading after the
fact. The Securities and Exchange Commission has approved the
change to basing the data on the audit-trail information.
Editors and reporters can contact Ray Pellecchia at 212.656.2001
or rpellecchia@nyx.com with any questions.
Contact: Ray Pellecchia
Phone: 212.656.2001
Email: rpellecchia@nyx.com