Don, maybe this is what's going on...
May 14, 2004
Program Trading Accounts
For 52.3% of NYSE Volume
By a WSJ Staff Reporter
May 14, 2004; Page C5
NEW YORK -- Program trading in the week ended May 7 accounted for 52.3%, or an average of 847.3 million shares daily, of New York Stock Exchange volume. Brokerage firms executed an additional 171.2 million daily shares of program trading away from the NYSE, with 5.1% of the overall total on foreign markets. Program trading is the simultaneous purchase or sale of at least 15 different stocks with a total value of $1 million or more.
Of the program total on the NYSE, 11.5% involved stock-index arbitrage. In this strategy, traders dart between stocks and stock-index options and futures to capture fleeting price differences. Another 0.1% involved derivative product-related strategies. Index arbitrage can be executed only in a stabilizing manner when the Dow Jones Industrial Average moves 200 points or more from its previous day's close.
Some 53.7% of program trading was executed by firms for their clients, while 40.6% was done for their own accounts, or principal trading. An additional 5.7% was designated as customer facilitation, in which firms use principal positions to facilitate customer trades.
Of the five most-active firms overall for the week, UBS AG's UBS Securities, and Lehman Brothers Holdings Inc. executed most of their program trading as principal for their own accounts. Morgan Stanley and Deutsche Bank AG's Deutsche Bank Securities executed most of their program-trading activity for customers, as agent. Goldman Sachs Group Inc. split its activity between its own accounts and those of its customers |
