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Strategies & Market Trends : The Epic American Credit and Bond Bubble Laboratory
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To: CalculatedRisk who wrote (67004)7/28/2006 3:19:48 PM
From: ild  Read Replies (5) of 110194
 
Another stunning chart:



It just so happens that we saw a spike above 90% in late June. So far we'd label that an anomaly. What's clear is that really since 2004, weekly NYSE volume driven by program trading has been very roughly hovering around the 60% demarcation line, lifting a bit as of late. A massive and marked departure from what was the case at the turn of the century.

...

(Before leaving this subject entirely, we want to relay one quick note regarding the program trading chart we showed you above, and have used in the past. The NYSE is now calling this the old methodology for calculating program trading data. Their new methodology shows numbers that are roughly one-half what you see in the chart above. Here’s the deal. The supposed “old” methodology used price and volume. In other words, it was calculated based on the dollar volume of activity done. The “new” method only takes into account the share count. In our minds, it’s the supposed “old” data that is the most meaningful. After all, should we count 1 share at $1 as being equally meaningful to 1 share at $100? Of course not. We just wanted you to know in case you see this data presented differently than we have shown you above.)

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