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
    3:59-4:00.

    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.

    <<...OLE_Obj...>>


    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:
    tradenasdaq@amex.com.


    <<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.

    Don