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 |
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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 |