Program Trading Averaged 36.8 Percent Of NYSE Volume During Dec. 17-21

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 Dec. 17-21.

The data indicated that during Dec. 17-21, program trading amounted to 36.8 percent of NYSE average daily volume of 4,014.4 million shares¹, or 1,478.7 million program shares traded per day.  This included program trading associated with the December 21 quarterly expiration of stock-index options, futures and options on index futures.

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. 

In all markets, program trading by member firms averaged 3,257.8 million shares a day during Dec. 17-21.  About 45.4 percent of program trading took place on the NYSE, 1.6 percent in non-U.S. markets and 53.0 percent in other domestic markets, including Nasdaq, the American Stock Exchange 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.