Under Inspection, Subpennies Get a Boot
Traders Magazine, March 2004
The frequency of subpenny trading and the level of subpenny clustering are about the same at all price levels. That's one of the conclusions of a memorandum from a study by the Securities and Exchange Commission's Office of Economic Analysis. The study also found that subpenny trades tend to cluster on the one-tenth penny and nine-tenth penny price points. "The data show that the overall frequency of subpenny trades and the level of sub-penny clustering is approximately the same at all price levels," according to the SEC. "For example, 10.5 percent of trades priced less than $1.00 were executed in subpenny increments compared to 11.5 percent of trades priced greater than $60."
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