Archive for the ‘NYSE’ category

Today was one volatile day. The market fell sharply at the open, came roaring right back (producing cheers on the trading floor), fell right back, and swung hundreds of points in negative territory most of the day, moods and fortunes swinging right along with it. There was a fleeting rally into positive territory shortly before the close, but the market ended up slightly lower for the day.

NYSE traded 2.95 billion shares as of the close, which is a record for a non-expiration day (that is, for a day that doesn’t include the quarterly expiration of stock-index futures and options).

The overall record remains 2.99 billion, on 19 Sept.2008, which was a quarterly expiration day and also a volatile day: the day the short-sale ban was implemented.

Today was a disappointing but fitting end to the week, I guess. May the week be better for everyone in the market.


Catching up on a few items from overnight and the last day or so:

NYSE Euronext launches pan-european MTF with support from EuroCCP (NYSEEuronext.com) — Here’s one for your European desks: NYSE Euronext…today announced it has appointed EuroCCP, a wholly-owned subsidiary of the Depository Trust & Clearing Corporation (DTCC) based in London, as clearer from day one of the launch of its Multilateral Trading Facility (MTF). EuroCCP will act as a Central Counterparty (CCP), enabling anonymous post-trade processing, providing netting and a full range of risk management services to NYSE Euronext’s new pan-European MTF. The MTF is scheduled to be launched in November this year. In addition, NYSE Euronext has committed to provide access to its trade feed to all four pan-European clearing providers for its MTF once these CCPs have established the necessary interoperability.

NYSE Euronext Business Summary for September 2008 (NYSE.com) — Just recapping: September saw record a month, week and days for U.S. cash equities, as well as for all derivatives under the NYSE Euronext umbrella. It also was the second-busiest month for European cash equities.

NYSE executive says market nearing ‘bottom,’ warns of tough times (BostonHerald.com) — At a speech in Boston, Duncan says the economic situation could be dire if the credit markets don’t loosen up. From the same speech, Dow Jones Newswires (no link available) reported:”Nothing regarding short-selling rules is likely to change on Thursday beyond the lifting of a temporary Securities and Exchange Commission-implemented ban, Duncan Niederauer, chief executive of NYSE Euronext (NYX), said Tuesday. He is in favor of re-implementing an uptick rule that would prevent a short sale - or positions that bet on declining share prices - unless a share price is higher than the last trade. But other exchanges don’t support this, and the SEC doesn’t seem to want to go in that direction either, Niederauer said.

NYSE Liffe Announces its Board of Directors; James J. McNulty Chairs Highly Experienced Board (NYSE.com) — McNulty is the former chairman and CEO of the Chicago Merc. That got my attention.

No time at the moment for the usual trivia. Talk to you soon.


Catching up on a few items from overnight and the last day or so:

NYSE Euronext launches pan-european MTF with support from EuroCCP (NYSEEuronext.com) — Here’s one for your European desks: NYSE Euronext…today announced it has appointed EuroCCP, a wholly-owned subsidiary of the Depository Trust & Clearing Corporation (DTCC) based in London, as clearer from day one of the launch of its Multilateral Trading Facility (MTF). EuroCCP will act as a Central Counterparty (CCP), enabling anonymous post-trade processing, providing netting and a full range of risk management services to NYSE Euronext’s new pan-European MTF. The MTF is scheduled to be launched in November this year. In addition, NYSE Euronext has committed to provide access to its trade feed to all four pan-European clearing providers for its MTF once these CCPs have established the necessary interoperability.

NYSE Euronext Business Summary for September 2008 (NYSE.com) — Just recapping: September saw record a month, week and days for U.S. cash equities, as well as for all derivatives under the NYSE Euronext umbrella. It also was the second-busiest month for European cash equities.

NYSE executive says market nearing ‘bottom,’ warns of tough times (BostonHerald.com) — At a speech in Boston, Duncan says the economic situation could be dire if the credit markets don’t loosen up. From the same speech, Dow Jones Newswires (no link available) reported:”Nothing regarding short-selling rules is likely to change on Thursday beyond the lifting of a temporary Securities and Exchange Commission-implemented ban, Duncan Niederauer, chief executive of NYSE Euronext (NYX), said Tuesday. He is in favor of re-implementing an uptick rule that would prevent a short sale - or positions that bet on declining share prices - unless a share price is higher than the last trade. But other exchanges don’t support this, and the SEC doesn’t seem to want to go in that direction either, Niederauer said.

NYSE Liffe Announces its Board of Directors; James J. McNulty Chairs Highly Experienced Board (NYSE.com) — McNulty is the former chairman and CEO of the Chicago Merc. That got my attention.

No time at the moment for the usual trivia. Talk to you soon.


In the last few weeks we have seen a number of swings of hundreds of points in the market indexes. How does the current/recent volatility rank in historical terms? Here are two perspectives.

Dr. Brett Steenbarger, measuring the dfferences among daily highs, lows and closes of the S&P 500 cash index, finds October 2008 to be the third most volatile month/pair of months since 1962. “As we can see, the current level of price volatility is not without precedent, but is at very significant levels…” Dr. Steenbarger, an author and psychologist who tracks market patterns and counsels traders, says on his blog.

Bill Rempel, a value investor and blogger, examines the number of 2-percent-move days in the S&P 500 and the Dow Jones Industrial Average. On the S&P measure, 2008 has the eighth-highest volatility since 1950. On the Dow measure, 2008 comes in at 30th highest since 1900 — not as high as the others, but not insignificant, and bear in mind the Dow is a very different market indicator than the S&P 500.

Any way you slice it, today’s volatility, as Dr. Steenbarger put it, appears to be “…at very significant levels…”


Good morning, and may today be not nearly as bad as the futures and overseas markets are indicating. Couple of quick things:

Rule 48 will be in effect for the opening today; pre-opening indications are not required. Here’s the overview of the rule.

IF — and I emphasize, IF — we were to declare Rule 48 for the close, that would be a separate decision and announcement later today. Here’s the background on 48 for the close, which was also discussed here on Exchanges last week. Some of you asked some questions on that, and I’ll be getting back to you later today.

The SEC’s Emergency Order on short selling is set to expire this Wednesday night. Here’s the SEC’s statement. More to follow on this, I’m sure.

As the sergeant used to say on “Hill Street Blues,” “Hey — be careful out there!”


NYSE is amending NYSE Rule 48 to provide the Exchange with the ability to suspend certain requirements at the close when extremely high market volatility could negatively affect the ability to ensure a fair and orderly close. The new capability is effective immediately and will expire on 31 Dec. 2008.

Excerpt from our filing with the SEC:

Based on what the markets have experienced in the past month, and in particular, at the close on September 29, 2008, the Exchange believes that in addition to the open, an extreme market volatility condition can also impact the close at the Exchange. In particular, the Exchange believes that in an extreme market volatility condition at the close, the Exchange should be able to permit orders to be entered after 4:00 p.m. for the purpose of offsetting an imbalance that may exist as of that time and to cancel or reduce a market-on-close or limit-on-close order that is a legitimate error and would cause significant price dislocation at the close.

There’s a great deal more detail in the filing, which I recommend reading if you’re in the business (at least the first several pages of it).

Duncan and Larry mentioned in the Webcast earlier this week (about two-thirds of the way through) that reaching out to trading desks at the close to solicit stabilizing interest had made a significant, positive impact on the close. They emphasized that at the close, it was particularly important to get the price right, not just get it fast. This filing formalizes the practice.

Your thoughts welcome, as always.


Leaders Lead, While Others…

October 3rd, 2008

Presented without comment:

24 Sept. — Duncan Niederauer and Rick Ketchum, CEOs of NYSE Euronext and NYSE Regulation, respectively, conduct a Webcast to issuers to discuss the SEC’s Emergency Order on short selling and its impact on the market.

1 Oct. — Duncan, Rick and Larry Leibowitz, our head of U.S. Markets and Global Technology, conduct another Webcast to issuers, including updates on the Emergency Order, the Amex acquisition, enhancements to the NYSE market model and issuer services, and the recent market turmoil.

2 Oct. — Duncan e-mail listed issuers with an update on the SEC’s extension of the Emergency Order that occurred the night before.

2 Oct. — Nasdaq OMX CEO Robert Greifeld conducts a teleconference with issuers and discusses the short-selling ban.


On Wednesday, 1 October, the first day of the doubled ranges for Liquidity Replenishment Points (LRPs), the amount of time that NYSE quotes were “slow” dropped 68 percent from the average of the previous month.

That’s a promising start, and I understand from colleagues that we’re going to keep an eye on this, because LRPs might still be kicking in too often.

Slow quotes can be useful in the event of dramatic price swings, to give auction-market participants an opportunity to add some liquidity and stability to the market. But if LRPs are triggered too frequently, bad things happen: executions don’t go off on NYSE as they should, and other markets can trade through ours at inferior prices. We’re trying to find the right balance between the brakes coming on too often versus no brakes at all.

Question for you market participants out there: have you noticed a difference?

May it be a happy Friday for you. Among the things that happened On This Day in history (NYTimes.com):

1863: President Abraham Lincoln declared the last Thursday in November as Thanksgiving Day. (My favorite holiday.)

1951: New York Giants third baseman Bobby Thomson hit a three-run home run in the bottom of the ninth inning to win the deciding game of a three-game playoff series against the Brooklyn Dodgers, sending the Giants into the World Series.

1955: “Captain Kangaroo” premiered on CBS and “The Mickey Mouse Club” premiered on ABC. (I was a big “Captain” kid.)

1967: Folk singer-songwriter Woody Guthrie died at age 55. (Too young and too little appreciated)

1974: Frank Robinson was named major league baseball’s first black manager as he was put in charge of the Cleveland Indians.

2001: The Senate approved an agreement normalizing trade between the United States and Vietnam.


On Wednesday, 1 October, the first day of the doubled ranges for Liquidity Replenishment Points (LRPs), the amount of time that NYSE quotes were “slow” dropped 68 percent from the average of the previous month.

That’s a promising start, and I understand from colleagues that we’re going to keep an eye on this, because LRPs might still be kicking in too often.

Slow quotes can be useful in the event of dramatic price swings, to give auction-market participants an opportunity to add some liquidity and stability to the market. But if LRPs are triggered too frequently, bad things happen: executions don’t go off on NYSE as they should, and other markets can trade through ours at inferior prices. We’re trying to find the right balance between the brakes coming on too often versus no brakes at all.

Question for you market participants out there: have you noticed a difference?

May it be a happy Friday for you. Among the things that happened On This Day in history (NYTimes.com):

1863: President Abraham Lincoln declared the last Thursday in November as Thanksgiving Day. (My favorite holiday.)

1951: New York Giants third baseman Bobby Thomson hit a three-run home run in the bottom of the ninth inning to win the deciding game of a three-game playoff series against the Brooklyn Dodgers, sending the Giants into the World Series.

1955: “Captain Kangaroo” premiered on CBS and “The Mickey Mouse Club” premiered on ABC. (I was a big “Captain” kid.)

1967: Folk singer-songwriter Woody Guthrie died at age 55. (Too young and too little appreciated)

1974: Frank Robinson was named major league baseball’s first black manager as he was put in charge of the Cleveland Indians.

2001: The Senate approved an agreement normalizing trade between the United States and Vietnam.


As you might expect, the news reports coming out of our Webcast to issuers yesterday were focused on next steps for the SEC’s short-selling ban. Here is a Wall Street Journal account, and here is the Trader Update we issued this morning, linking to last night’s SEC announcement regarding extending the emergency order.

Understandably not making the news but important to Exchanges readers were a few points about upcoming changes in the NYSE market model as well as NYSE’s differentiation amid the recent volatility.

If you couldn’t catch the Webcast and don’t have time for the replay (it’s about 25 minutes long), here are just a few main points about NYSE from Duncan Niederauer, our CEO; and Larry Leibowitz, our head of U.S. Markets:

– Summary of upcoming changes: Larry described our proposal as a series of rules and trading tools that will better enable NYSE to add value in today’s rapid trading environment. Designated Market Makers will replace specialists, with the ability to provide liquidity, act as a central point for providing information and pricing and executing large blocks, and will retain the obligation to dampen volatility. He anticipates the upcoming changes will position NYSE to more effectively add value and differentiate itself in the fast environment. [For a refresher on these initiatives, this Traders Magazine article offers a comprehensive account, and here is an Exchanges post about them.]

– Timing: Larry said the SEC had nearly completed its review of the proposal, and he anticipates approval within days. NYSE will begin rollout within days after that, he said, adding that approval probably would have come already had it not been for the “current hurricane” of events impacting Washington. [On this front, I have to apologize for telling Exchanges readers this summer that approval would come in August. Last time I make a prediction about events beyond our control!]

– Adding Liquidity: Larry said the short-selling ban and disclosure requirements have negatively impacted liquidity, resulting in large price swings on smaller trades. Our current U.S. market structure doesn’t require participants to provide liquidity, except for the obligations of NYSE specialists. As a result, in electronic markets, we’ve been seeing more anomalous trades being cancelled, and prices swinging more wildly. In contrast, NYSE has natural “governors” that, relative to electronic markets, help dampen volatility.

– Closing Thought: Duncan said that recently, in view of huge sell or buy imbalances at the close, specialists have reached out to trading desks to solicit contra-side interest. This causes stocks to close a little after 4 p.m., but it has resulted in smaller price dislocations than would have occurred otherwise, and has been received positively by traders and issuers. Better to take a little more time to get it right, Duncan explained.

These notes don’t really justice to the Webcast, but I haven’t had much time today. I strongly recommend the Webcast if/when you have a chance. Have a good night.


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