Ten months of daily observations on stock market volatility and program trading on the NYSE reveal no relation between volatility and program trading intensity. The days on which volatility was high were not, systematically, the days on which program trading intensity was high. This is evident both from casual observation of the data and from analyses of the correlation and regression results.
There does appear to be, however, a positive relation between the intensity of DOT volume (relative to NYSE volume) and volatility. There also appears to be a positive relation between the intensity of non-program DOT volume (relative to NYSE volume) and volatility. This suggests that very volatile days are also days when the retail-customer-generated DOT order flow is large, relative to institutional block trades (which are not DOT-delivered).