Program Trading Averaged 30.5 Percent Of NYSE Volume During April 22-April 26, 2002

The New York Stock Exchange today released its weekly program-trading data submitted by its member firms. The report includes trading in all markets as reported to the NYSE for April 22-26, 2002.

The data indicated that during April 22-26, 2002, program trading amounted to 30.5 percent of NYSE average daily volume of 1,375.2 million shares, or 420.1 million shares a day.

Program trading encompasses a wide 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. Program trading is calculated as the sum of the shares bought, sold and sold short in program trades. The total of these shares is divided by total reported volume.

This is not the only way to measure program trading. Three alternatives for April 22-26, 2002 would be to:

examine buy programs as a percentage of total purchases (15.4 percent);
examine sell programs as a percentage of total sales (15.1 percent);
examine program purchases and sales as a percentage of total purchases and sales or twice total volume (15.3 percent).

For the second quarter of 2002, the NYSE's program-trading report includes profiles of program trading whenever the Dow Jones Industrial Average moves 210 points or more in a single direction during any one-hour period. During April 22-26, 2002, there were no such periods.

In all markets, program trading averaged 733.4 million shares a day during April 22-26, 2002. About 57.3 percent of program trading took place on the NYSE, 13.2 percent in non-U.S. markets and 29.5 percent in other domestic markets, including Nasdaq, the American Stock Exchange and regional markets.

In aggregate, program volume executed on the NYSE by firms as agent, for non-member customers, amounted to 61.1 percent during April 22-26, 2002. Program volume executed as principal, for their own accounts, amounted to 32.0 percent of program volume.

Another 6.9 percent was designated as customer facilitation, in which a member firm established or liquidated a principal position to facilitate a program order initiated by a customer.

Of the five member firms reporting the most program trading activity on the NYSE, UBS Warburg and Morgan Stanley executed most of their program trading as principal, for their own accounts. Deutsche Banc Alex Brown, Goldman Sachs and BNP Paribas Brokerage Services executed most or all of their program trading activity for customers, as agent.

During April 22-26, 2002, 8.7 percent of program volume executed by NYSE member firms related to index arbitrage. Index arbitrage is defined as the purchase or sale of a basket of stocks in conjunction with the sale or purchase of a derivative product such as stock-index futures, to profit from the price difference between the basket and the derivative product.