Several major Wall Street brokerages are believed to be subjects of investigation, which is looking into whether information about big trades is being leaked to certain clients such as hedge fund managers.
Investigators want to determine whether or not the illegal use of such confidential information is a widespread practice.
The information could potentially provide clients with big profits, as they are able to pre-empt big changes in stock price resulting from mergers.
According to a the New York Times, letters requesting information have been sent by the SEC to several big-name banks, including Merrill Lynch, Morgan Stanley, UBS and Deutsche Bank.
The commission is apparently requesting all stock and option trading data for the last two weeks of September.
The inquiry is being conducted by the SEC's office of compliance inspections and examinations.