Zeev's Turnips Patch-No Politics (ZEEV)

[Joe Stocks]

>> the percentage applies strictly to component-index arbitrage, it does not even attempt to capture the multitudinous array of other arbitrage opportunities.<<

During Nov. 8-12, 11.1 percent of program volume executed by NYSE member firms related to index arbitrage. Index arbitrage is defined as the purchase or sale of a basket of stocks in conjunction with the sale or purchase of a derivative product such as stock-index futures, to profit from the price difference between the basket and the derivative product.

Another 1.4 percent involved derivative product-related strategies (besides index arbitrage) that are subject to Rule 80A. The rule provides that derivative-related program strategies be executed only in a stabilizing manner after the DJIA moves 200 points or more from the previous day’s close.

In addition to index arbitrage, such strategies include customer facilitations, liquidation of facilitations, index substitutions, liquidation of error accounts, risk modifications, and liquidation of exchange-for-physicals stock positions.

All other types of portfolio-trading strategies combined accounted for 87.6percent of member firms’ program-trading volume during Nov. 8-12.<