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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 Nov. 27-Dec. 1.
The data indicated that during Nov. 27-Dec. 1, program trading amounted to 30.8 percent of NYSE average daily volume of 3,667.4 million shares1, or 1,130.9 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 fourth quarter of 2006, the NYSE’s program-trading report includes profiles of program trading whenever the New York Stock Exchange Composite Index (NYA) moves 160 points or more in a single direction during any one-hour period. During Nov. 27-Dec. 1, there were no such periods.
In all markets, program trading by member firms averaged 2,479.5 million shares a day during Nov. 27-Dec. 1. About 45.6 percent of program trading took place on the NYSE, 11.0 percent in non-U.S. markets and 43.4 percent in other domestic markets, including Nasdaq, the American Stock Exchange and regional markets.
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