Scratching Heads

"Every fundamentally oriented trader/investor is scratching their head," Nicholas Colas, the New York-based chief market strategist at ConvergEx Group, said in an e-mail. "These are high-dollar stocks, and major weightings, relatively speaking, in indexes such as the Dow and S&P 500."

About 10.4 million shares of IBM changed hands yesterday, twice the daily average of the past 12 months, data compiled by Bloomberg show. About 9.03 million shares of Coke changed hands, 25 percent more than the three-month average. The total number of shares traded in McDonald's yesterday was 7.43 million, 13 percent more than the three-month average, data compiled by Bloomberg show.

"Volume was significantly higher in most of those names yesterday, which combined with the exaggerated price moves would indicate that there were large orders placed in the algo," said Mark Turner, head of U.S. sales trading at New York-based Instinet Inc., which accounts for almost 5 percent of daily U.S. equities volume, said in an e-mail.

Highs, Lows

Coca-Cola's intraday low was $76.50 at 9:58 a.m. The stock rose to $77.25 at 10:28, fell 0.7 percent to $76.71 at 11 a.m., rose 0.9 percent to $77.40 at 11:29 a.m., and fell 0.8 percent to $76.79 at 11:59 a.m. It hit successive highs at 12:29 p.m., 1:22 p.m. and 2:29 p.m., data compiled by Bloomberg show.

IBM, whose earnings topped analyst estimates, closed up 3.8 percent at $195.34, the biggest gain in the Dow. During the day, the stock climbed 0.77 percent or more to an intraday high six times, each time losing almost all of its gain in an hour. The shares reached highs of $196.59 at 12:28 p.m., $196.44 at 1:27 p.m. and $196.49 at 2:29 p.m., data compiled by Bloomberg show.

"It's conceivable there was an algo involved but most don't run on the half hour," said Bernard Donefer, a professor at Baruch College who wrote the April 2010 article "Algos Gone Wild" for the Journal of Trading. "They run every couple of minutes, or seconds or even faster. That doesn't make any sense. It doesn't seem like something you would see with a normal algo."

Audit Trail

The SEC voted last week to require exchanges and the Financial Industry Regulatory Authority to build a single system to monitor and analyze trading activity on U.S. equity and options markets. The rule mandates a so-called consolidated audit trail to expedite surveillance across 13 equity exchanges, 10 options markets and more than 200 broker-dealers that execute stock trades away from public venues.