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.