The data indicated that during Feb. 5-9, program trading amounted to 31.0 percent of NYSE average daily volume of 3,195.6 million shares1, or 990.1 million program shares traded per 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.
For the first quarter of 2007, the NYSE’s program-trading report includes profiles of program trading whenever the New York Stock Exchange Composite Index (NYA) moves 180 points or more in a single direction during any one-hour period. During Feb. 5-9, there were no such periods.
In all markets, program trading by member firms averaged 2,076.8 million shares a day during Feb. 5-9. About 47.7 percent of program trading took place on the NYSE, 5.7 percent in non-U.S. markets and 46.7 percent in other domestic markets, including Nasdaq, the American Stock Exchange and regional markets.
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.
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