SEC Form 4

FORM 4		UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 STATEMENT OF CHANGES IN BENEFICIAL OWNERSHIP Filed pursuant to Section 16(a) of the Securities Exchange Act of 1934 or Section 30(h) of the Investment Company Act of 1940	OMB APPROVAL OMB Number: 3235-0287 Estimated average burden hours per response: 0.5
X	Check this box if no longer subject to Section 16. Form 4 or Form 5 obligations may continue. See Instruction 1(b).

1. Name and Address of Reporting Person* LAZAROWITZ ROBERT M (Last) (First) (Middle) KNIGHT CAPITAL GROUP, INC. 545 WASHINGTON BOULEVARD (Street) JERSEY CITY NJ 07310 (City) (State) (Zip)	2. Issuer Name and Ticker or Trading Symbol KNIGHT CAPITAL GROUP, INC. [ NITE ]	5. Relationship of Reporting Person(s) to Issuer (Check all applicable) Director 10% Owner Officer (give title below) X Other (specify below) Former Director
	3. Date of Earliest Transaction (Month/Day/Year) 10/06/2009
	4. If Amendment, Date of Original Filed (Month/Day/Year)	6. Individual or Joint/Group Filing (Check Applicable Line) X Form filed by One Reporting Person Form filed by More than One Reporting Person

Table I - Non-Derivative Securities Acquired, Disposed of, or Beneficially Owned
1. Title of Security (Instr. 3)	2. Transaction Date (Month/Day/Year)	2A. Deemed Execution Date, if any (Month/Day/Year)	3. Transaction Code (Instr. 8)		4. Securities Acquired (A) or Disposed Of (D) (Instr. 3, 4 and 5)			5. Amount of Securities Beneficially Owned Following Reported Transaction(s) (Instr. 3 and 4)	6. Ownership Form: Direct (D) or Indirect (I) (Instr. 4)	7. Nature of Indirect Beneficial Ownership (Instr. 4)
			Code	V	Amount	(A) or (D)	Price
Class A Common Stock	10/06/2009		M		16,000	A	$16.43	17,878	D
Class A Common Stock	10/06/2009		M		8,000	A	$6.135	25,878	D
Class A Common Stock	10/06/2009		M		7,000	A	$4.565	32,878	D
Class A Common Stock	10/06/2009		M		15,000	A	$6.06	47,878	D
Class A Common Stock	10/06/2009		S		46,000	D	$21.37(1)(2)	1,878	D
Class A Common Stock	10/07/2009		M		15,000	A	$11.07	16,878	D
Class A Common Stock	10/07/2009		M		15,000	A	$7.98	31,878	D
Class A Common Stock	10/07/2009		S		30,000	D	$21.75(2)(3)	1,878	D
Class A Common Stock (Previously Reported)								1,400(4)	I	Family
Class A Common Stock (Previously Reported)								81,206	I	Family Trust
Class A Common Stock (Previously Reported)								2,014,000	I	LLC

Table II - Derivative Securities Acquired, Disposed of, or Beneficially Owned (e.g., puts, calls, warrants, options, convertible securities)
1. Title of Derivative Security (Instr. 3)	2. Conversion or Exercise Price of Derivative Security	3. Transaction Date (Month/Day/Year)	3A. Deemed Execution Date, if any (Month/Day/Year)	4. Transaction Code (Instr. 8)		5. Number of Derivative Securities Acquired (A) or Disposed of (D) (Instr. 3, 4 and 5)		6. Date Exercisable and Expiration Date (Month/Day/Year)		7. Title and Amount of Securities Underlying Derivative Security (Instr. 3 and 4)		8. Price of Derivative Security (Instr. 5)	9. Number of derivative Securities Beneficially Owned Following Reported Transaction(s) (Instr. 4)	10. Ownership Form: Direct (D) or Indirect (I) (Instr. 4)	11. Nature of Indirect Beneficial Ownership (Instr. 4)
				Code	V	(A)	(D)	Date Exercisable	Expiration Date	Title	Amount or Number of Shares
Stock Option (Right to Buy)	$16.43	10/06/2009		M			16,000	05/17/2005	05/17/2011	Class A Common Stock	16,000	$16.43	90,000(5)	D
Stock Option (Right to Buy)	$6.135	10/06/2009		M			8,000	05/23/2006	05/23/2012	Class A Common Stock	8,000	$6.135	82,000(5)	D
Stock Option (Right to Buy)	$4.565	10/06/2009		M			7,000	07/26/2006	07/26/2012	Class A Common Stock	7,000	$4.565	75,000(5)	D
Stock Option (Right to Buy)	$6.06	10/06/2009		M			15,000	05/15/2007	05/15/2013	Class A Common Stock	15,000	$6.06	60,000(5)	D
Stock Option (Right to Buy)	$11.07	10/07/2009		M			15,000	05/13/2008	05/13/2014	Class A Common Stock	15,000	$11.07	45,000(5)	D
Stock Option (Right to Buy)	$7.98	10/07/2009		M			15,000	05/12/2008	05/12/2015	Class A Common Stock	15,000	$7.98	30,000(5)	D

Explanation of Responses:

1. Represents the sale (after the exercise of options) of 46,000 shares in 30 separate transactions at prices ranging from $21.06 to $21.58 per share, resulting in a weighted average sale price per share of $21.37.

2. Reporting person undertakes to provide the SEC, the Issuer, or security holder full information pertaining to the number of shares sold at each separate price.

3. Represents the sale (after the exercise of options) of 30,000 shares in five separate transactions at prices ranging from $21.72 to $21.78 per share, resulting in a weighted average sale price per share of $21.75.

4. Represents shares previously held for the benefit of minors which are no longer attributable to the reporting person that will not be reported in future filings.

5. Aggregate amount represents previously granted stock option awards with different exercise prices, and exercisable and expiration dates.

	/s/ Robert M. Lazarowitz	10/08/2009
	** Signature of Reporting Person	Date
Reminder: Report on a separate line for each class of securities beneficially owned directly or indirectly.
* If the form is filed by more than one reporting person, see Instruction 4 (b)(v).
** Intentional misstatements or omissions of facts constitute Federal Criminal Violations See 18 U.S.C. 1001 and 15 U.S.C. 78ff(a).
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