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Strategies & Market Trends : The Epic American Credit and Bond Bubble Laboratory

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From: Joe Stocks	7/2/2007 7:58:04 AM
	of 110194

Program Trading at new record high. (see chart) The new methodology is that the NYSE started calculating program trading using just the one side of the trade of the program trade itself. The buyer or seller volume of those program traded stocks is not included as it use to be. NYSE volume is calculated by looking at all the volume of the buys, and all that of the sells. If you buy one share of stock the volume would be 2 because the sell of that stock is included. Program trading reporting was changed in June of last year. Previously the NYSE calculated program trading the same way. Interesting that the NYSE removed all the old reports recently from their archives. It is also interesting that the calculation change was done the week last year that program trading would have jumped to 92%. Under the new calculation they reported 46%. Back in 1987 when we had the October crash much was made of the effects of program trading. The volume studies showed at the peak of program trading on the largest down day that just 16% of the shares traded were in program trades. Now average program trading volume per day runs 65 - 70%. Thanks Dan!

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