Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed Amendment To Revise Section 4.04 of the Data Recipient Interface Specification and Section 4.15 of the Participant Interface Specification and Make Conforming Changes to Appendix D, 76058-76059 [2010-30575]

Download as PDF 76058 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Notices change is consistent with the Act. Comments may be submitted by any of the following methods: Electronic Comments • Use the Commission’s Internet comment form (https://www.sec.gov/ rules/sro.shtml); or • Send an e-mail to rulecomments@sec.gov. Please include File Number SR–NYSEArca–2010–105 on the subject line. Paper Comments • Send paper comments in triplicate to Elizabeth M. Murphy, Secretary, Securities and Exchange Commission, 100 F Street, NE., Washington, DC 20549–1090. SECURITIES AND EXCHANGE COMMISSION interested persons on the proposed OPRA Plan amendment. [Release No. 34–63400; File No. SR–OPRA– 2010–04) I. Description and Purpose of the Plan Amendment The purpose of this filing is to revise Sections 4.04 and 4.15 of the OPRA Spec, which set forth message type codes indicating the characteristics of particular disseminated options quotations, in order to add codes specifying that either the bid side or the offer side, but not both sides, of a quotation is not firm. Under Sections 4.04 and 4.15 as currently in effect, code ‘‘F’’ is appended to a quotation where both the bid side and the offer side are not firm. This code may be used, for example, where systems or communications problems at an exchange prevent that exchange from sending firm quotes to OPRA for dissemination, but where the exchange is capable of providing non-firm quotes to indicate some sense of its market notwithstanding its systems problems. Even if an exchange is not having systems problems, it might use code ‘‘F’’ to indicate that its quotes are not available for automatic execution because, for example, the quotes are disseminated outside of the hours when automatic execution facilities are in use. However, there are no codes in Sections 4.04 and 4.15 to indicate that one side of a quote is not firm while the other side is firm. This situation could arise, for example, when an exchange is in the process of collecting liquidity, either during an auction or when there is a price-driven integrity pause. In this situation, OPRA believes it would be more useful to OPRA subscribers if the affected exchange and OPRA could indicate that one side of a quote is firm and the other side is not firm rather than not displaying the quote at all or displaying it under the ‘‘F’’ code, which would incorrectly indicate that neither side of the quote is firm. In the absence of a one-side only nonfirm code, in accordance with the current OPRA Spec, exchanges have displayed a zero value for the price and size of that side of a quote that is not firm while showing the actual price and size of the firm side of the quote. This has proved to be a less than optimal solution because it does not provide a way to indicate that there is bid or offer interest even if it is not available for automatic execution at that time. Bidding or offering at zero price and zero size means that no offer side or no bid side interests exists, which may not correctly reflect the actual state of the market. For this reason, OPRA is now proposing to add to Sections 4.04 and 4.15 of the OPRA Spec two new codes: Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed Amendment To Revise Section 4.04 of the Data Recipient Interface Specification and Section 4.15 of the Participant Interface Specification and Make Conforming Changes to Appendix D November 30, 2010. emcdonald on DSK2BSOYB1PROD with NOTICES Pursuant to Section 11A of the Securities Exchange Act of 1934 (‘‘Act’’) 1 and Rule 608 thereunder,2 notice is hereby given that on November 9, 2010, the Options Price Reporting Authority (‘‘OPRA’’) submitted to the All submissions should refer to File Securities and Exchange Commission Number SR–NYSEArca–2010–105. This (‘‘Commission’’) an amendment to the file number should be included on the Plan for Reporting of Consolidated subject line if e-mail is used. To help the Options Last Sale Reports and Commission process and review your Quotation Information (‘‘OPRA Plan’’).3 comments more efficiently, please use The proposed amendment would make only one method. The Commission will identical changes to Section 4.04 of post all comments on the Commission’s OPRA’s Data Recipient Interface Internet Web site (https://www.sec.gov/ Specification and Section 4.15 of its rules/sro.shtml). Copies of the Participant Interface Specification (both submission, all subsequent Specifications are collectively referred amendments, all written statements to herein as the ‘‘OPRA Spec’’), which with respect to the proposed rule govern the format in which options change that are filed with the market information is input to and Commission, and all written disseminated from the OPRA Processor, communications relating to the in order to add message type codes proposed rule change between the specifying that either the bid side or the Commission and any person, other than offer side, but not both sides, of a those that may be withheld from the quotation is not firm. OPRA also public in accordance with the proposes to make a conforming change provisions of 5 U.S.C. 552, will be to Appendix D of the OPRA Spec available for Web site viewing and describing Best Bid and Offer (BBO) printing in the Commission’s Public calculations. Sections 4.04 and 4.15 and Reference Room, on official business Appendix D of the OPRA Spec, marked days between the hours of 10 a.m. and to show the changes proposed to be 3 p.m. Copies of the filing also will be made, are attached as Exhibits 1.1, 1.2 available for inspection and copying at and 1.3, respectively, to the OPRA Plan the principal office of the Exchange. All amendment. comments received will be posted The Commission is publishing this without change; the Commission does notice to solicit comments from not edit personal identifying information from submissions. You 1 15 U.S.C. 78k–1. should submit only information that 2 17 CFR 242.608. 3 The OPRA Plan is a national market system plan you wish to make available publicly. All approved by the Commission pursuant to Section submissions should refer to File 11A of the Act and Rule 608 thereunder (formerly Number SR–NYSEArca–2010–105 and Rule 11Aa3–2). See Securities Exchange Act should be submitted on or before Release No. 17638 (March 18, 1981), 22 S.E.C. December 28, 2010. Docket 484 (March 31, 1981). The full text of the For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.20 Florence E. Harmon, Deputy Secretary. [FR Doc. 2010–30574 Filed 12–6–10; 8:45 am] BILLING CODE 8011–01–P 20 17 CFR 200.30–3(a)(12). VerDate Mar<15>2010 18:39 Dec 06, 2010 Jkt 223001 OPRA Plan is available at https:// www.opradata.com. The OPRA Plan provides for the collection and dissemination of last sale and quotation information on options that are traded on the participant exchanges. The nine participants to the OPRA Plan are BATS Exchange, Inc., Chicago Board Options Exchange, Incorporated, C2 Options Exchange, Incorporated, International Securities Exchange, LLC, NASDAQ OMX BX, Inc., NASDAQ OMX PHLX, Inc., NASDAQ Stock Market LLC, NYSE Amex, Inc., and NYSE Arca, Inc. PO 00000 Frm 00107 Fmt 4703 Sfmt 4703 E:\FR\FM\07DEN1.SGM 07DEN1 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Notices ‘‘X’’ to indicate that the offer side of a quote is not firm while the bid side is firm, and ‘‘Y’’ to indicate that the bid side of a quote is not firm while the offer side is firm. The use of ‘‘X’’ and ‘‘Y’’ in these circumstances is similar to the use of ‘‘E’’ and ‘‘F’’ by the CQS network in respect of stock quotations (the letter ‘‘F’’ is already used by OPRA and thus is unavailable for this purpose), so the concept should be familiar to most OPRA subscribers. Consistent with the addition of these two new codes to Sections 4.04 and 4.15, Appendix D of the OPRA Spec, which describes how options Best Bids and Offers (BBOs) are determined, is proposed to be revised to provide that when one side of a quote is indicated as not firm, that side will not be considered for the purpose of determining what is the BBO in the subject option, but the firm side of the quote will be so considered. The text of the proposed amendment to the OPRA Plan is available at OPRA, the Commission’s Public Reference Room, https://opradata.com, and on the Commission’s Web site at https:// www.sec.gov. emcdonald on DSK2BSOYB1PROD with NOTICES II. Implementation of the OPRA Plan Amendment OPRA designated this amendment as qualified to be put into effect upon filing with the Commission in accordance with clause (iii) of paragraph (b)(3) of Rule 608 under the Act 4 since the proposed changes to the Data Recipient Interface Specification and Participant Interface Specification are solely technical or ministerial in nature. OPRA intends to implement the revised OPRA Spec in late January or early February, 2011, when the necessary systems work is expected to be completed by OPRA’s Processor. As required by OPRA’s Vendor and Subscriber Agreements, OPRA will provide its Vendors and Subscribers with not less than sixty days notice of this change. The Commission may summarily abrogate the amendment within sixty days of its filing and require refiling and approval of the amendment by Commission order pursuant to Rule 608(b)(2) under the Act 5 if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or the maintenance of fair and orderly markets, to remove impediments to, and perfect the mechanisms of, a national 4 17 5 17 CFR 242.608(b)(3)(iii). CFR 242.608(b)(2). VerDate Mar<15>2010 18:39 Dec 06, 2010 market system, or otherwise in furtherance of the purposes of the Act. III. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed OPRA Plan amendment is consistent with the Act. Comments may be submitted by any of the following methods: For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.6 Florence E. Harmon, Deputy Secretary. [FR Doc. 2010–30575 Filed 12–6–10; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION Electronic Comments • Use the Commission’s Internet comment form (https://www.sec.gov/ rules/sro.shtml); or • Send an e-mail to rulecomments@sec.gov. Please include File No. SR–OPRA–2010–04 on the subject line. [Release No. 34–63403; File No. SR–BATS– 2010–034] Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of Filing of a Proposed Rule Change To Create a Directed Order Program December 1, 2010. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the ‘‘Act’’),1 and Rule 19b–4 thereunder,2 • Send paper comments in triplicate notice is hereby given that on November to Elizabeth M. Murphy, Secretary, 19, 2010, BATS Exchange, Inc. (the Securities and Exchange Commission, ‘‘Exchange’’ or ‘‘BATS’’) filed with the 100 F Street, NE., Washington, DC Securities and Exchange Commission 20549–1090. (‘‘Commission’’) the proposed rule All submissions should refer to File change as described in Items I and II Number SR–OPRA–2010–04. This file below, which Items have been prepared number should be included on the subject line if e-mail is used. To help the by the Exchange. The Commission is publishing this notice to solicit Commission process and review your comments on the proposed rule change comments more efficiently, please use only one method. The Commission will from interested persons. post all comments on the Commission’s I. Self-Regulatory Organization’s Internet Web site (https://www.sec.gov/ Statement of the Terms of Substance of rules/sro.shtml). Copies of the the Proposed Rule Change submission, all subsequent The Exchange is filing with the amendments, all written statements Commission a proposal for the BATS with respect to the proposed plan Exchange Options Market (‘‘BATS amendment that are filed with the Options’’) to create new BATS Rule Commission, and all written 21.1(d)(13), entitled ‘‘Market Maker communications relating to the Price Improving Orders,’’ create new proposed plan amendment between the BATS Rule 21.1(d)(14), entitled Commission and any person, other than ‘‘Directed Orders,’’ and amend existing those that may be withheld from the BATS Rule 21.1(d)(2), entitled ‘‘Price public in accordance with the Improving Orders.’’ provisions of 5 U.S.C. 552, will be The text of the proposed rule change available for Web site viewing and is available at the Exchange’s Web site printing in the Commission’s Public at https://www.batstrading.com, at the Reference Room, 100 F Street, NE., principal office of the Exchange, and at Washington, DC 20549, on official the Commission’s Public Reference business days between the hours of 10 Room. a.m. and 3 p.m. Copies of such filing also will be available for inspection and II. Self-Regulatory Organization’s copying at the principal office of OPRA. Statement of the Purpose of, and Statutory Basis for, the Proposed Rule All comments received will be posted Change without change; the Commission does not edit personal identifying In its filing with the Commission, the information from submissions. You Exchange included statements should submit only information that concerning the purpose of and basis for you wish to make available publicly. All the proposed rule change and discussed submissions should refer to File any comments it received on the Number SR–OPRA–2010–04 and should proposed rule change. The text of these be submitted on or before December 28, statements may be examined at the 2010. Paper Comments 1 15 6 17 Jkt 223001 76059 PO 00000 CFR 200.30–3(a)(29). Frm 00108 Fmt 4703 2 17 Sfmt 4703 E:\FR\FM\07DEN1.SGM U.S.C. 78s(b)(1). CFR 240.19b–4. 07DEN1

Agencies

[Federal Register Volume 75, Number 234 (Tuesday, December 7, 2010)]
[Notices]
[Pages 76058-76059]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2010-30575]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-63400; File No. SR-OPRA-2010-04)


 Options Price Reporting Authority; Notice of Filing and 
Immediate Effectiveness of Proposed Amendment To Revise Section 4.04 of 
the Data Recipient Interface Specification and Section 4.15 of the 
Participant Interface Specification and Make Conforming Changes to 
Appendix D

November 30, 2010.
    Pursuant to Section 11A of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 608 thereunder,\2\ notice is hereby given that 
on November 9, 2010, the Options Price Reporting Authority (``OPRA'') 
submitted to the Securities and Exchange Commission (``Commission'') an 
amendment to the Plan for Reporting of Consolidated Options Last Sale 
Reports and Quotation Information (``OPRA Plan'').\3\ The proposed 
amendment would make identical changes to Section 4.04 of OPRA's Data 
Recipient Interface Specification and Section 4.15 of its Participant 
Interface Specification (both Specifications are collectively referred 
to herein as the ``OPRA Spec''), which govern the format in which 
options market information is input to and disseminated from the OPRA 
Processor, in order to add message type codes specifying that either 
the bid side or the offer side, but not both sides, of a quotation is 
not firm. OPRA also proposes to make a conforming change to Appendix D 
of the OPRA Spec describing Best Bid and Offer (BBO) calculations. 
Sections 4.04 and 4.15 and Appendix D of the OPRA Spec, marked to show 
the changes proposed to be made, are attached as Exhibits 1.1, 1.2 and 
1.3, respectively, to the OPRA Plan amendment.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78k-1.
    \2\ 17 CFR 242.608.
    \3\ The OPRA Plan is a national market system plan approved by 
the Commission pursuant to Section 11A of the Act and Rule 608 
thereunder (formerly Rule 11Aa3-2). See Securities Exchange Act 
Release No. 17638 (March 18, 1981), 22 S.E.C. Docket 484 (March 31, 
1981). The full text of the OPRA Plan is available at https://www.opradata.com.
     The OPRA Plan provides for the collection and dissemination of 
last sale and quotation information on options that are traded on 
the participant exchanges. The nine participants to the OPRA Plan 
are BATS Exchange, Inc., Chicago Board Options Exchange, 
Incorporated, C2 Options Exchange, Incorporated, International 
Securities Exchange, LLC, NASDAQ OMX BX, Inc., NASDAQ OMX PHLX, 
Inc., NASDAQ Stock Market LLC, NYSE Amex, Inc., and NYSE Arca, Inc.
---------------------------------------------------------------------------

    The Commission is publishing this notice to solicit comments from 
interested persons on the proposed OPRA Plan amendment.

I. Description and Purpose of the Plan Amendment

    The purpose of this filing is to revise Sections 4.04 and 4.15 of 
the OPRA Spec, which set forth message type codes indicating the 
characteristics of particular disseminated options quotations, in order 
to add codes specifying that either the bid side or the offer side, but 
not both sides, of a quotation is not firm. Under Sections 4.04 and 
4.15 as currently in effect, code ``F'' is appended to a quotation 
where both the bid side and the offer side are not firm. This code may 
be used, for example, where systems or communications problems at an 
exchange prevent that exchange from sending firm quotes to OPRA for 
dissemination, but where the exchange is capable of providing non-firm 
quotes to indicate some sense of its market notwithstanding its systems 
problems. Even if an exchange is not having systems problems, it might 
use code ``F'' to indicate that its quotes are not available for 
automatic execution because, for example, the quotes are disseminated 
outside of the hours when automatic execution facilities are in use. 
However, there are no codes in Sections 4.04 and 4.15 to indicate that 
one side of a quote is not firm while the other side is firm. This 
situation could arise, for example, when an exchange is in the process 
of collecting liquidity, either during an auction or when there is a 
price-driven integrity pause. In this situation, OPRA believes it would 
be more useful to OPRA subscribers if the affected exchange and OPRA 
could indicate that one side of a quote is firm and the other side is 
not firm rather than not displaying the quote at all or displaying it 
under the ``F'' code, which would incorrectly indicate that neither 
side of the quote is firm.
    In the absence of a one-side only non-firm code, in accordance with 
the current OPRA Spec, exchanges have displayed a zero value for the 
price and size of that side of a quote that is not firm while showing 
the actual price and size of the firm side of the quote. This has 
proved to be a less than optimal solution because it does not provide a 
way to indicate that there is bid or offer interest even if it is not 
available for automatic execution at that time. Bidding or offering at 
zero price and zero size means that no offer side or no bid side 
interests exists, which may not correctly reflect the actual state of 
the market. For this reason, OPRA is now proposing to add to Sections 
4.04 and 4.15 of the OPRA Spec two new codes:

[[Page 76059]]

``X'' to indicate that the offer side of a quote is not firm while the 
bid side is firm, and ``Y'' to indicate that the bid side of a quote is 
not firm while the offer side is firm. The use of ``X'' and ``Y'' in 
these circumstances is similar to the use of ``E'' and ``F'' by the CQS 
network in respect of stock quotations (the letter ``F'' is already 
used by OPRA and thus is unavailable for this purpose), so the concept 
should be familiar to most OPRA subscribers.
    Consistent with the addition of these two new codes to Sections 
4.04 and 4.15, Appendix D of the OPRA Spec, which describes how options 
Best Bids and Offers (BBOs) are determined, is proposed to be revised 
to provide that when one side of a quote is indicated as not firm, that 
side will not be considered for the purpose of determining what is the 
BBO in the subject option, but the firm side of the quote will be so 
considered.
    The text of the proposed amendment to the OPRA Plan is available at 
OPRA, the Commission's Public Reference Room, https://opradata.com, and 
on the Commission's Web site at https://www.sec.gov.

II. Implementation of the OPRA Plan Amendment

    OPRA designated this amendment as qualified to be put into effect 
upon filing with the Commission in accordance with clause (iii) of 
paragraph (b)(3) of Rule 608 under the Act \4\ since the proposed 
changes to the Data Recipient Interface Specification and Participant 
Interface Specification are solely technical or ministerial in nature. 
OPRA intends to implement the revised OPRA Spec in late January or 
early February, 2011, when the necessary systems work is expected to be 
completed by OPRA's Processor. As required by OPRA's Vendor and 
Subscriber Agreements, OPRA will provide its Vendors and Subscribers 
with not less than sixty days notice of this change.
---------------------------------------------------------------------------

    \4\ 17 CFR 242.608(b)(3)(iii).
---------------------------------------------------------------------------

    The Commission may summarily abrogate the amendment within sixty 
days of its filing and require refiling and approval of the amendment 
by Commission order pursuant to Rule 608(b)(2) under the Act \5\ if it 
appears to the Commission that such action is necessary or appropriate 
in the public interest, for the protection of investors, or the 
maintenance of fair and orderly markets, to remove impediments to, and 
perfect the mechanisms of, a national market system, or otherwise in 
furtherance of the purposes of the Act.
---------------------------------------------------------------------------

    \5\ 17 CFR 242.608(b)(2).
---------------------------------------------------------------------------

III. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed OPRA 
Plan amendment is consistent with the Act. Comments may be submitted by 
any of the following methods:

Electronic Comments

     Use the Commission's Internet comment form (https://www.sec.gov/rules/sro.shtml); or
     Send an e-mail to rule-comments@sec.gov. Please include 
File No. SR-OPRA-2010-04 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street, NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-OPRA-2010-04. This file 
number should be included on the subject line if e-mail is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (https://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed plan amendment that are 
filed with the Commission, and all written communications relating to 
the proposed plan amendment between the Commission and any person, 
other than those that may be withheld from the public in accordance 
with the provisions of 5 U.S.C. 552, will be available for Web site 
viewing and printing in the Commission's Public Reference Room, 100 F 
Street, NE., Washington, DC 20549, on official business days between 
the hours of 10 a.m. and 3 p.m. Copies of such filing also will be 
available for inspection and copying at the principal office of OPRA. 
All comments received will be posted without change; the Commission 
does not edit personal identifying information from submissions. You 
should submit only information that you wish to make available 
publicly. All submissions should refer to File Number SR-OPRA-2010-04 
and should be submitted on or before December 28, 2010.
---------------------------------------------------------------------------

    \6\ 17 CFR 200.30-3(a)(29).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\6\
Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010-30575 Filed 12-6-10; 8:45 am]
BILLING CODE 8011-01-P
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