FORM 3

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 INITIAL STATEMENT OF BENEFICIAL OWNERSHIP OF SECURITIES Filed pursuant to Section 16(a) of the Securities Exchange Act of 1934, Section 17(a) of the Public Utility Holding Company Act of 1935 or Section 30(h) of the Investment Company Act of 1940

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(Print or Type Responses)

1. Name and Address of Reporting Person *   Lehmann David 2. Date of Event Requiring Statement (Month/Day/Year) 11/01/2011 3. Issuer Name and Ticker or Trading Symbol KNIGHT CAPITAL GROUP, INC. [KCG] (Last) (First) (Middle) KNIGHT CAPITAL GROUP INC., 545 WASHINGTON BLVD. 4. Relationship of Reporting Person(s) to Issuer (Check all applicable) _____ Director _____ 10% Owner __X__ Officer (give title below) _____ Other (specify below) Managing Director 5. If Amendment, Date Original Filed(Month/Day/Year) (Street) JERSEY CITY, NJ 07310 6. Individual or Joint/Group Filing(Check Applicable Line) _X_ Form filed by One Reporting Person ___ Form filed by More than One Reporting Person (City) (State) (Zip) Table I - Non-Derivative Securities Beneficially Owned

1.Title of Security (Instr. 4) 2. Amount of Securities Beneficially Owned (Instr. 4) 3. Ownership Form: Direct (D) or Indirect (I) (Instr. 5) 4. Nature of Indirect Beneficial Ownership (Instr. 5) Class A Common Stock 7,017 D   Restricted Stock Units 25,704 (1) D Â

Reminder: Report on a separate line for each class of securities beneficially owned directly or indirectly.			SEC 1473 (7-02)
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Table II - Derivative Securities Beneficially Owned (e.g., puts, calls, warrants, options, convertible securities)

1. Title of Derivative Security (Instr. 4)	2. Date Exercisable and Expiration Date (Month/Day/Year)		3. Title and Amount of Securities Underlying Derivative Security (Instr. 4)		4. Conversion or Exercise Price of Derivative Security	5. Ownership Form of Derivative Security: Direct (D) or Indirect (I) (Instr. 5)	6. Nature of Indirect Beneficial Ownership (Instr. 5)
	Date Exercisable	Expiration Date	Title	Amount or Number of Shares
Stock Option (Right to Buy)	  (2)	  (2)	Class A Common Stock	35,000	$ (2)	D	Â

Reporting Owners

Reporting Owner Name / Address	Relationships
	Director	10% Owner	Officer	Other
Lehmann David KNIGHT CAPITAL GROUP INC. 545 WASHINGTON BLVD. JERSEY CITY, NJ 07310	Â	Â	  Managing Director	Â

Signatures

/s/ David Lehmann		11/14/2011
**Signature of Reporting Person		Date

Explanation of Responses:

*	If the form is filed by more than one reporting person, see Instruction 5(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).
(1)	Restrictions lapse pursuant to the following schedule: 12,364 on 01/31/2012; 7,386 on 01/31/2013; and 5,954 on 01/31/2014.
(2)	11,667 vested options with an exercise price of $15.84 and an expiration date of 01/31/2020; 11,667 unvested options with a vesting date of 01/31/2012, exercise price of $15.84 and an expiration date of 01/31/2020; and 11,666 unvested options with a vesting date of 01/31/2013, excercise price of $15.84 and an expiration date of 01/31/2020.

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