Program Trading Averaged 33.6 Percent Of NYSE Volume During July 6-10

The New York Stock Exchange, a subsidiary of NYSE Euronext (NYX), 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 July 6-10.

The data indicated that during July 6-10, program trading amounted to 33.6 percent of NYSE average daily volume of 2,341.7 million shares¹, or 786.8 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. 

In all markets, program trading by member firms averaged 2,731.5 million shares a day during July 6-10.  About 28.8 percent of program trading took place on the NYSE, 0.6 percent in non-U.S. markets and 70.6 percent in other domestic markets, including Nasdaq, NYSE Amex and regional markets.

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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.

Advisory About Upcoming Changes in the 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 July 23, 2009, the press release will reflect a different data source, in the interests of providing greater accuracy and eliminating duplication, as explained below.

Important Background Information:

·     The data in the new press release will be a more accurate representation of program-trading activity, because it will 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 will not be comparable. 

·     As the press release will be based on audit-trail information the NYSE receives about orders entering its market, the release will continue to include data about program trading on the NYSE but will no longer report 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 will be 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.