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Friday, March 29, 2024

NYSE Program Trading Activity Explodes

Courtesy of Chopshop

Program trading as a percentage of total NYSE volume exploded last week into 2010’s first quadruple-witching day (Friday, March 19th).  Last week’s daily average of 809.6 million shares, (33.7% of average total volume of 2.41 billion shares) increased 65.43% from the week prior, which saw an average of 489.4 million shares traded (23.1% of average total volume of 2.12 billion shares).

Week-over-week, program trading as a % of total NYSE buy + sell volume leapt 45.9% higher.

Index Arbitrage activity across the 20 most active member firms increased 1,190%, from 28.6 million shares to 340.5 million … with RBC and JP Morgan accounting for 53.55% of all reporting member firm activity.

Crossing Session II volumes jumped 146% from 187.4 million shares to 461.9 million … with Barclays, Goldman and Morgan Stanley accounting for 91.61% of all reporting member firm activity. *

Principal activity rose 71.39%, from just over a billion shares traded to 1.7619 billion … with significantly escalated volumes for everyone but Goldman.


 * Crossing Session II – specifications

For NYSE and NYSE Amex equity trading license holders, the Exchange currently offers a crossing session in its Off-Hours Trading Facility (OFHT). 

On the dates the Trading Floor will close at 1:00 p.m., Crossing Session II order entry will begin at 1:00 p.m. for continuous executions until 1:30 p.m.


Time of Operations Functionality
Crossing Session II 4:00 – 6:30 p.m. A program trade consists of 15 names, regardless of value

On the dates the Trading Floor will close at 1:00 p.m., Crossing Session II order entry will begin at 1:00 p.m. for continuous executions until 1:30 p.m.

CROSSING SESSIONS (shares)

24 Mar 2010

25 Mar 2010

Crossing Session II 33,900,968 19,071,464

Crossing Session II (Program Trades)

Accommodates the trading of baskets of at least 15 NYSE securities regardless of value. Members that have either facilitated a basket trade or have paired two customers’ baskets can submit aggregate information to the Exchange for execution.



Reports of execution are available via the web-based electronic platform (EFP) shortly after the trade is entered. At 6:30 p.m., the NYSE prints the aggregate information of all baskets executed in this session to the consolidated tape.On the third day after the trade date (T+3), individual component stocks executed as part of a basket trade are printed in aggregate form in the NYSE Daily Sales Report.

Source: http://www.nyse.com/equities/nyseequities/1167176215661.html#cs2

Attachment Size
NYSE Crossing Sessions.pdf 178.37 KB
NYSE Program Trading 3.15 – 3.19.pdf 11.23 KB
NYSE Program Trading 3.8 – 3.12.pdf 11.22 KB
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