Friday, July 24, 2009

Goldman Sachs Principal Transactions Update: 798 Million Shares And An Overall PT Market Update

There has been (finally) a lot of attention to program trading, a theme Zero Hedge has been focusing on for 4 months. This week, the NYSE finally switched over to its new methodology of providing program trading, which, as Zero Hedge announced previously, involves the , HFT of the DPTR and the delay/cancellation of implementation of "the proposed redefined program trading account type indicators (J and K)."

While Zero Hedge is comparing this data with historical ones, it is notable that the weekly public disclosure again provides Index Arbitrage stock data partitioning. We were curious why this is included and sent a query to NYSE's Ray Pellecchia. Here is his response:

"Tyler -- Index arbitrage has been reported since the release was started in 1988; the reason at the time was that there was discussion that index arbitrage accelerated the market's fall in the crash of October 1987, so it was determined to provide some additional disclosure on it."

It is good to know that the exchange is concerned about a data set that was relevant and deemed important the last time the market collapsed 20% in one day, and will be included going forward in weekly program trading disclosure.

Also, as it has been a while since we did a longitudinal analysis on NYSE program data, I provide an updated chart of several key data segments, all of which solidify the conclusion that Goldman's domination of NYSE program trading started exclusively with the inception of the NYSE mandated and SEC approved Supplemental Liquidity Provider program.

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