Naz S&P issues on listed Exchange

Discussion in 'Order Execution' started by Don Bright, Mar 3, 2004.

  1. The Amex has their test program in place, and is reporting results. I got this email today.


    S&P Pilot Program Closing Report - Day 2 - Tuesday, March 2, 2004

    Standard & Poor's initiated the pilot program for the S&P 500 in response to
    the investment community's demands for more efficiency and reliability in
    pricing procedures for Nasdaq securities. Standard & Poor's will use the
    pilot to determine whether the Amex auction market system provides better
    results for index users than the Nasdaq dealer system.

    On the second day of the S&P Pilot Program, Starbucks (SBUX) closed on the
    Amex with a trade of 75,600 shares. This trade was the largest print of the
    day in SBUX representing 2.7% of consolidated SBUX volume for the day.

    In SBUX, a 'Sell' imbalance of 47,700 was disseminated at both 3:40 and
    3:50. The specialist satisfied this imbalance at the close (along with a
    27,900 pair-off) with very little market impact at a price of $37.32. This
    price was only 3¢ lower than the consolidated VWAP during trading from

    In Genzyme, the Amex official closing price (AOCP) was $49.08. The 4:00.02
    predicate trade in the Nasdaq marketplace was $49.18, which was later
    adjusted by Nasdaq to $49.08 (the AOCP price) and disseminated at 4:01.30.

    The Amex closing print in Staples (SPLS) was set with 27,400 shares.


    On March 8, six additional Nasdaq stocks will be added to the pilot program
    to use Amex closing prices.

    For more information, please call (800 )932 1332 or e-mail:

    <<Closing Report 2004-03-02.pdf>>

    Curious to see how this plays out. I like the idea of having published imbalances, and hope that they may offer some opening only plays as well.