Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Extend the Pilot Period of Rule 4753(c), 53518-53521 [2011-21855]
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Federal Register / Vol. 76, No. 166 / Friday, August 26, 2011 / Notices
commitments established during the
pilot program demonstrates that the
Exchange has mechanisms that protect
the independence of the Exchange’s
regulatory responsibility with respect to
Arca Securities, as well as demonstrate
that Arca Securities cannot use any
information it may have because of its
affiliation with the Exchange to its
advantage.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will impose
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
No written comments were solicited
or received with respect to the proposed
rule change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of
publication of this notice in the Federal
Register or within such longer period
(i) as the Commission may designate up
to 90 days of such date if it finds such
longer period to be appropriate and
publishes its reasons for so finding or
(ii) as to which the self-regulatory
organization consents, the Commission
will:
(A) By order approve or disapprove
the proposed rule change, or
(B) Institute proceedings to determine
whether the proposed rule change
should be disapproved.
emcdonald on DSK2BSOYB1PROD with NOTICES
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
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–NYSEAmex–2011–64 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.
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All submissions should refer to File
Number SR–NYSEAmex–2011–64. 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 rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change 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 the
Exchange. 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
publicly available. All submissions
should refer to File Number SR–
NYSEAmex–2011–64 and should be
submitted on or before September 16,
2011.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.11
Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011–21870 Filed 8–25–11; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
12, 2011, The NASDAQ Stock Market
LLC (the ‘‘Exchange’’ or ‘‘NASDAQ’’),
filed with the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change as described in
Items I and II below, which Items have
been prepared by NASDAQ. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
NASDAQ proposes to extend the pilot
period of Rule 4753(c), NASDAQ’s
‘‘Volatility Guard,’’ so that the pilot will
now expire on the earlier of January 31,
2012 or the date on which, if approved,
a limit up/limit down mechanism to
address extraordinary market volatility,
is approved.
The text of the proposed rule change
is below. Proposed new language is
italicized; proposed deletions are in
brackets.
*
*
*
*
*
4753. Nasdaq Halt and Imbalance Crosses
(a)–(b) No change.
(c) For a pilot period ending the earlier of
January 31, 2012 or the date on which, if
approved, a limit up/limit down mechanism
to address extraordinary market volatility, is
approved [six months after the date of
Commission approval of SR–NASDAQ–
2010–074], between 9:45 a.m. and 3:35 p.m.
EST, the System will automatically monitor
System executions to determine whether the
market is trading in an orderly fashion and
whether to conduct an Imbalance Cross in
order to restore an orderly market in a single
Nasdaq Security.
(1) An Imbalance Cross shall occur if the
System executes a transaction in a Nasdaq
Security at a price that is beyond the
Threshold Range away from the Triggering
Price for that security. The Triggering Price
for each Nasdaq Security shall be the price
of any execution by the System in that
security within the prior 30 seconds. The
Threshold Range shall be determined as
follows:
[Release No. 34–65176; File No. SR–
NASDAQ–2011–117]
Self-Regulatory Organizations; The
NASDAQ Stock Market LLC; Notice of
Filing and Immediate Effectiveness of
Proposed Rule Change To Extend the
Pilot Period of Rule 4753(c)
August 19, 2011.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on August
11 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
PO 00000
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Execution price
$1.75 and under ...................
Over $1.75 and up to $25 ....
Over $25 and up to $50 .......
Over $50 ...............................
Threshold
range away
from triggering
price
(percent)
15
10
5
3
(2) If the System determines pursuant to
subsection (1) above to conduct an Imbalance
Cross in a Nasdaq Security, the System shall
automatically cease executing trades in that
security for a 60-second Display Only Period.
During that 60-second Display Only Period,
the System shall:
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Federal Register / Vol. 76, No. 166 / Friday, August 26, 2011 / Notices
(A) Maintain all current quotes and orders
and continue to accept quotes and orders in
that System Security; and
(B) Disseminate by electronic means an
Order Imbalance Indicator every 5 seconds.
(3) At the conclusion of the 60-second
Display Only Period, the System shall reopen the market by executing the Nasdaq
Halt Cross as set forth in subsection (b)(2)–
(4) above.
(4) If the opening price established by the
Nasdaq Halt Cross pursuant to subsection
(b)(2)(A)–(D) above is outside the
benchmarks established by Nasdaq by a
threshold amount, the Nasdaq Halt Cross will
occur at the price within the threshold
amounts that best satisfies the conditions of
subparagraphs (b)(2)(A) through (D) above.
Nasdaq management shall set and modify
such benchmarks and thresholds from time
to time upon prior notice to market
participants.
(d) No change.
*
*
*
*
*
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission,
NASDAQ included statements
concerning the purpose of and basis for
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below.
NASDAQ has prepared summaries, set
forth in Sections A, B, and C below, of
the most significant aspects of such
statements.
emcdonald on DSK2BSOYB1PROD with NOTICES
A. Self-Regulatory Organization’s
Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule
Change
1. Purpose
NASDAQ is proposing to extend the
operative period of the pilot under Rule
4753(c), NASDAQ’s ‘‘Volatility Guard,’’
so that it will expire the earlier of
January 31, 2012 or the date on which,
if approved, a limit up/limit down
mechanism to address extraordinary
market volatility, is approved, yet hold
the implementation of Rule 4753(c) in
abeyance until that point.
On March 11, 2011, the Commission
approved Rule 4753(c) (the ‘‘Volatility
Guard’’), a volatility-based pause in
trading in individual NASDAQ-listed
securities traded on NASDAQ
(‘‘NASDAQ Securities’’), as a six month
pilot applied to the NASDAQ 100 Index
securities.3 The Volatility Guard
3 See Securities Exchange Act Release No. 64071
(March 11, 2011), 76 FR 14699 (March 17, 2011)
(SR–NASDAQ–2010–074). Amendment 1 to SR–
NASDAQ–2010–074 designated the NASDAQ 100
Index as the 100 pilot securities.
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automatically suspends trading in
individual NASDAQ Securities that are
the subject of abrupt and significant
intraday price movements between 9:30
a.m. and 4 p.m. Eastern Standard Time
(‘‘EST’’), which was subsequently
amended to 9:45 a.m. and 3:35 p.m. EST
to avoid potential interference with the
opening and closing crosses.4 Volatility
Guard is triggered automatically when
the execution price of a pilot security
moves more than a fixed amount away
from a pre-established ‘‘triggering price’’
for that security. The triggering price for
each pilot security is the price of any
execution by the system in that security
within the previous 30 seconds. For
each pilot security, the system
continually compares the price of each
execution in the system against the
prices of all system executions in that
security over the 30 seconds. Once
triggered, NASDAQ institutes a formal
trading halt during which time
NASDAQ systems are prohibited from
executing orders. Members, however,
may continue to enter quotes and
orders, which are queued during a 60second Display Only Period. At the
conclusion of the Display Only Period,
the queued orders are executed at a
single price, pursuant to NASDAQ’s
Halt Cross mechanism.5
NASDAQ determined to adopt
Volatility Guard as a six month pilot in
response to the unprecedented aberrant
volatility witnessed on May 6, 2010, and
the limited effect that NASDAQ’s
market collars had in dampening such
volatility. NASDAQ believed that the
Rule 4753(c) halt process was needed to
protect its listed securities and market
participants from such volatility in the
future. In proposing the six month pilot,
NASDAQ noted that another market had
adopted a process whereby the market’s
listed securities each may be
temporarily removed from automatic
trading when the trading exceeds
certain average daily volume-, price-,
and volatility-based criteria.
Accordingly, NASDAQ believed that
adopting its own process would serve to
protect its market from aberrant
volatility, like that experienced on May
6, 2011.
During the time that the Volatility
Guard pilot was progressing through the
notice and comment process with the
Commission, NASDAQ together with
the other national securities exchanges
4 See Securities Exchange Act Release No. 64268
(April 8, 2011), 76 FR 20742 (April 15, 2011) (SR–
NASDAQ–2011–051).
5 The Nasdaq Halt Cross is ‘‘the process for
determining the price at which Eligible Interest
shall be executed at the open of trading for a halted
security and for executing that Eligible Interest.’’
See Nasdaq Rule 4753(a)(3).
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53519
and FINRA (‘‘SROs’’) and in
consultation with the Commission,
worked diligently to implement changes
to the markets to prevent another event
like May 6, 2010 from occurring. In this
regard, the SROs have expanded their
existing circuit breaker pilots 6 to cover
all NMS stocks,7 clarified rules
concerning clearly erroneous
processes,8 and have made great strides
in developing a limit up/limit down
system to replace the circuit breakers
currently in place. With respect to this
last effort, on April 5, 2011, the SROs
filed with the Commission a national
market system plan to address
extraordinary market volatility, which
proposed a market-wide limit up/limit
down system applicable to all NMS
stocks (the ‘‘Plan’’).9 The period to
submit comments on the Plan ended on
June 22, 2011, and the Commission
stated that it will determine whether to
approve it shortly after the expiration of
the comment period.10 The SROs
propose implementing the Plan 120
calendar days following the publication
of the Commission’s order approving
the proposed Plan in the Federal
Register.
Important to the implementation of
Volatility Guard, NASDAQ notes that
6 On June 10, 2010, the Commission approved the
Circuit Breaker Pilot, which instituted new circuit
breaker rules that pause trading for five minutes in
a security included in the S&P 500 Index if its price
moves ten percent or more over a five-minute
period. See Securities Exchange Act Release Nos.
62251 (June 10, 2010), 75 FR 34183 (June 16, 2010)
(SR–FINRA–2010–025); 62252 (June 10, 2010), 75
FR 34186 (June 16, 2010) (SR–NASDAQ–2010–061,
et al.). On September 10, 2010, the Circuit Breaker
Pilot was expanded to include securities in the
Russell 1000 Index and certain exchange-traded
products. See Securities Exchange Act Release Nos.
62883 (September 10, 2010), 75 FR 56608
(September 16, 2010) (SR–FINRA–2010–033); 62884
(September 10, 2010), 75 FR 56618 (September 16,
2010) (SR–NASDAQ–2010–079, et al.). The Circuit
Breaker Pilot is scheduled to expire on August 11,
2011. See e.g., Securities Exchange Act Release No.
64174 (April 4, 2011), 76 FR 19819 (April 8, 2011)
(SR–NASDAQ–2011–042).
7 On June 23, 2011, the Commission granted
accelerated approval to SRO proposals to expand
the Circuit Breaker Pilot to all NMS securities. See
Securities Exchange Act Release No. 64735 (June
23, 2011), 76 FR 38243 (June 29, 2011) (SR–
NASDAQ–2011–067, et al.). The term ‘‘NMS
stocks’’ is defined in Rule 600(b)(47) of Regulation
NMS under the Act. See 17 CFR 242.600(b)(47).
8 See Securities Exchange Act Release No. 62886
(September 10, 2010), 75 FR 56613 (September 16,
2010) (SR–NASDAQ–2010–076, et al.); see also
Securities Exchange Act Release No. 64238 (April
7, 2011), 76 FR 20780 (April 13, 2011) (SR–
NASDAQ–2011–043).
9 See Securities Exchange Act Release No. 64547
(May 25, 2011), 76 FR 31647 (June 1, 2011) (File
No. 4–631).
10 See https://www.sec.gov/news/press/2011/2011–
84.htm. NASDAQ understands that, given the
number of comments received, the Commission will
need a reasonable time to consider the comments
provided. Rule 608(b) of Regulation NMS governs
the effectiveness of national market system plans.
See 17 CFR 242.608.
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Federal Register / Vol. 76, No. 166 / Friday, August 26, 2011 / Notices
the Commission stated that it may find
exchange-specific volatility moderators
inconsistent with the Act once a
uniform, cross-market mechanism to
address aberrant volatility is adopted. In
approving Volatility Guard, the
Commission emphasized:
emcdonald on DSK2BSOYB1PROD with NOTICES
[T]hat it is continuing to work diligently
with the exchanges and FINRA to develop an
appropriate consistent cross-market
mechanism to moderate excessive volatility
that could be applied widely to individual
exchange-listed securities and to address
commenters’ concerns regarding the
complexity and potential confusion of
exchange-specific volatility moderators. To
the extent the Commission approves such a
mechanism, whether it be an expanded
circuit breaker with a limit up/limit down
feature or otherwise, the Commission may no
longer be able to find that exchange-specific
volatility moderators—including both
Nasdaq’s Volatility Guard and the NYSE’s
LRPs—are consistent with the Act.11
NASDAQ calculates that the Plan, if
approved, may be implemented by the
end of 2011 or early 2012.12 It is against
this backdrop that NASDAQ is seeking
to extend the pilot period of Volatility
Guard.
NASDAQ believes that a limit up/
limit down system, as proposed in the
Plan, would be preferable to disparate
individual market solutions to aberrant
volatility. Given the progress made
toward adopting a uniform limit up/
limit down system and the
Commission’s statement that exchangespecific volatility moderators be
abandoned once a consistent crossmarket mechanism is adopted,
NASDAQ believes that implementing
Volatility Guard at this time may be
confusing and onerous to market
participants.
NASDAQ is proposing to extend the
pilot rather than eliminate it so that
NASDAQ may continue to have the
option to implement Volatility Guard
should the Plan not be approved. As a
primary market, NASDAQ takes
seriously its responsibility to both its
listed companies and the investing
public. NASDAQ continues to believe
that an individual solution like
Volatility Guard, may be necessary in
the event the Plan is not approved,
much like NYSE-listed stocks may be
protected by the LRP mechanism if it
remains in place. NASDAQ believes that
extending the Volatility Guard pilot, but
holding its implementation in abeyance
until such time that the Plan is
approved will best serve these groups by
allowing NASDAQ to retain the ability
11 See
Securities Exchange Act Release No. 64071
(March 11, 2011), 76 FR 14699, at 14701 (March 17,
2011) (SR–NASDAQ–2010–074, as amended)
(emphasis added).
12 Supra note 9.
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to implement Volatility Guard if
necessary, while also allowing market
participants to make preparations in
light of the limit up/limit down system,
as proposed in the Plan. As such,
market participants will not needlessly
expend energy changing, and testing,
their systems to account for the
Volatility Guard pilot in addition to the
changes required to implement the Plan.
Accordingly, NASDAQ is proposing
to extend the Volatility Guard pilot to
the earlier of January 31, 2012 or the
date on which, if approved, a limit up/
limit down mechanism to address
extraordinary market volatility, is
approved. Should the Plan not be
adopted by the expiration of the pilot,
NASDAQ may consider further
extension of Volatility Guard, consistent
with the extension proposed herein.
2. Statutory Basis
NASDAQ believes that the proposed
rule change is consistent with the
provisions of Section 6 of the Act,13 in
general and with Sections 6(b)(5) of the
Act,14 in particular in that it is designed
to prevent fraudulent and manipulative
acts and practices, to promote just and
equitable principles of trade, to foster
cooperation and coordination with
persons engaged in regulating, clearing,
settling, processing information with
respect to, and facilitating transactions
in securities, to remove impediments to
and perfect the mechanism of a free and
open market and a national market
system, and, in general, to protect
investors and the public interest.
NASDAQ believes that the proposed
rule continues to meet these
requirements in that it promotes the
adoption of the Plan’s uniform, crossmarket limit up/limit down process to
address aberrant volatility, while also
allowing NASDAQ to retain an
important alternative tool to deal with
such volatility should approval of the
Plan be delayed.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
NASDAQ does not believe that the
proposed rule change will result in any
burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act, as amended.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
Written comments were neither
solicited nor received.
13 15
14 15
PO 00000
U.S.C. 78f.
U.S.C. 78f(b)(5).
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III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
The Exchange has filed the proposed
rule change pursuant to Section
19(b)(3)(A)(iii) of the Act 15 and Rule
19b–4(f)(6) thereunder.16 Because the
proposed rule change does not: (i)
Significantly affect the protection of
investors or the public interest; (ii)
impose any significant burden on
competition; and (iii) become operative
prior to 30 days from the date on which
it was filed, or such shorter time as the
Commission may designate, if
consistent with the protection of
investors and the public interest, the
proposed rule change has become
effective pursuant to Section 19(b)(3)(A)
of the Act 17 and Rule 19b–4(f)(6)(iii)
thereunder.18
At any time within 60 days of the
filing of the proposed rule change, the
Commission summarily may
temporarily suspend such rule change if
it appears to the Commission that such
action is necessary or appropriate in the
public interest, for the protection of
investors, or otherwise in furtherance of
the purposes of the Act.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
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
No. SR–NASDAQ–2011–117 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 No.
SR–NASDAQ–2011–117. This file
15 15
U.S.C. 78s(b)(3)(A)(iii).
CFR 240.19b–4(f)(6).
17 15 U.S.C. 78s(b)(3)(A).
18 17 CFR 240.19b–4(f)(6). In addition, Rule 19b–
4(f)(6)(iii) requires the Exchange to give the
Commission written notice of the Exchange’s intent
to file the proposed rule change along with a brief
description and text of the proposed rule change,
at least five business days prior to the date of filing
of the proposed rule change, or such shorter time
as designated by the Commission. The Exchange
has satisfied this requirement.
16 17
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Federal Register / Vol. 76, No. 166 / Friday, August 26, 2011 / Notices
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 rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change 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 the
Exchange. 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 No. SR–NASDAQ–
2011–117 and should be submitted on
or before September 16, 2011.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.19
Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011–21855 Filed 8–25–11; 8:45 am]
proposed rule change as described in
Items I, II, and III below, which Items
have been prepared by the Exchange.
The Commission is publishing this
notice to solicit comments on the
proposed rule change from interested
persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–65180; File No. SR–
NASDAQ–2011–111]
Self-Regulatory Organizations; The
NASDAQ Stock Market LLC; Notice of
Filing and Immediate Effectiveness of
Proposed Rule Change Relating to
Access Services Fees
August 22, 2011.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on August
10, 2011, The NASDAQ Stock Market
LLC (‘‘NASDAQ’’ or ‘‘Exchange’’) filed
with the Securities and Exchange
Commission (‘‘Commission’’) the
The Exchange proposes to modify
Exchange Rule 7053, entitled ‘‘NASDAQ
Options Market—Access Services,’’
related to fees governing pricing for
NASDAQ members using the NASDAQ
Options Market (‘‘NOM’’), NASDAQ’s
facility for executing and routing
standardized equity and index options.
While fee changes pursuant to this
proposal are effective upon filing, the
Exchange has designated these changes
to be operative on August 26, 2011.
The text of the proposed rule change
is set forth below. Proposed new text is
in italics and deleted text is in brackets.
7053. NASDAQ Options Market—Access
Services
Part A: The following charges are assessed
by Nasdaq for connectivity to the NASDAQ
Options Market [.]for NOM 1.0:
(a) Financial Information Exchange (FIX)
Ports
Quantity
FIX Trading Port ...................................................................
First 25 ports ........................................................................
Additional ports above 25 ....................................................
First 25 ports ........................................................................
Additional ports above 25 ....................................................
FIX Port for Services Other than Trading ............................
(b) TradeInfo
• Members not subscribing to the Nasdaq
Workstation using TradeInfo will be charged
a fee of $95 per user per month.
(c) Other Port Fees
The following port fees shall apply in
connection with the use of other trading
telecommunication protocols:
First 25 ports ................................
emcdonald on DSK2BSOYB1PROD with NOTICES
Additional ports above 25 .............
$500 per
month for
each port
pair.
$250 per
month for
each port
pair.
Part B: The following charges are assessed
by Nasdaq for connectivity to the NASDAQ
Options Market for NOM 2.0 as of August 26,
2011 through September 30, 2011:
(a) TradeInfo
• Members not subscribing to the Nasdaq
Workstation using TradeInfo will be charged
a fee of $95 per user per month.
19 17
CFR 200.30–3(a)(12).
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19:37 Aug 25, 2011
(b) Port Fees, per port per month, as
follows:
Order Entry Port Fee ....................
CTI Port Fee .................................
OTTO Port Fee .............................
ITTO Port Fee ..............................
Order Entry DROP Port Fee ........
OTTO DROP Port Fee .................
SQF Port Fee ...............................
1 15
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U.S.C. 78s(b)(1).
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$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
* As of October 3, 2011, the fees in Parts
A and B shall no longer apply. All NOM
Participants will be assessed the fees in Part
C.
The text of the proposed rule change
is available on the Exchange’s Web site
at https://www.nasdaq.
cchwallstreet.com, at the principal
office of the Exchange, and at the
Commission’s Public Reference Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
Exchange included statements
concerning the purpose of and basis for
$500.00
$500.00 the proposed rule change and discussed
$500.00 any comments it received on the
$500.00 proposed rule change. The text of these
$500.00 statements may be examined at the
$500.00 places specified in Item IV below. The
2 17
Sfmt 4703
$500/port/month.
$250/port/month.
$500/port/month.
$250/port/month.
SQF Port Fee ...............................
Part C: The following charges* are assessed
by Nasdaq for connectivity to the NASDAQ
Options Market as of October 3, 2011:
(a) TradeInfo
• Members not subscribing to the Nasdaq
Workstation using TradeInfo will be charged
a fee of $95 per user per month.
(b) Port Fees, per port per month, as
follows:
Order Entry Port Fee ....................
CTI Port Fee .................................
OTTO Port Fee .............................
ITTO Port Fee ..............................
Order Entry DROP Port Fee ........
OTTO DROP Port Fee .................
Price
E:\FR\FM\26AUN1.SGM
CFR 240.19b–4.
26AUN1
]]>Agencies
[Federal Register Volume 76, Number 166 (Friday, August 26, 2011)]
[Notices]
[Pages 53518-53521]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2011-21855]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-65176; File No. SR-NASDAQ-2011-117]
Self-Regulatory Organizations; The NASDAQ Stock Market LLC;
Notice of Filing and Immediate Effectiveness of Proposed Rule Change To
Extend the Pilot Period of Rule 4753(c)
August 19, 2011.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on August 12, 2011, The NASDAQ Stock Market LLC (the ``Exchange'' or
``NASDAQ''), filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I and
II below, which Items have been prepared by NASDAQ. The Commission is
publishing this notice to solicit comments on the proposed rule change
from interested persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
NASDAQ proposes to extend the pilot period of Rule 4753(c),
NASDAQ's ``Volatility Guard,'' so that the pilot will now expire on the
earlier of January 31, 2012 or the date on which, if approved, a limit
up/limit down mechanism to address extraordinary market volatility, is
approved.
The text of the proposed rule change is below. Proposed new
language is italicized; proposed deletions are in brackets.
* * * * *
4753. Nasdaq Halt and Imbalance Crosses
(a)-(b) No change.
(c) For a pilot period ending the earlier of January 31, 2012 or
the date on which, if approved, a limit up/limit down mechanism to
address extraordinary market volatility, is approved [six months
after the date of Commission approval of SR-NASDAQ-2010-074],
between 9:45 a.m. and 3:35 p.m. EST, the System will automatically
monitor System executions to determine whether the market is trading
in an orderly fashion and whether to conduct an Imbalance Cross in
order to restore an orderly market in a single Nasdaq Security.
(1) An Imbalance Cross shall occur if the System executes a
transaction in a Nasdaq Security at a price that is beyond the
Threshold Range away from the Triggering Price for that security.
The Triggering Price for each Nasdaq Security shall be the price of
any execution by the System in that security within the prior 30
seconds. The Threshold Range shall be determined as follows:
------------------------------------------------------------------------
Threshold
range away
from
Execution price triggering
price
(percent)
------------------------------------------------------------------------
$1.75 and under......................................... 15
Over $1.75 and up to $25................................ 10
Over $25 and up to $50.................................. 5
Over $50................................................ 3
------------------------------------------------------------------------
(2) If the System determines pursuant to subsection (1) above to
conduct an Imbalance Cross in a Nasdaq Security, the System shall
automatically cease executing trades in that security for a 60-
second Display Only Period. During that 60-second Display Only
Period, the System shall:
[[Page 53519]]
(A) Maintain all current quotes and orders and continue to
accept quotes and orders in that System Security; and
(B) Disseminate by electronic means an Order Imbalance Indicator
every 5 seconds.
(3) At the conclusion of the 60-second Display Only Period, the
System shall re-open the market by executing the Nasdaq Halt Cross
as set forth in subsection (b)(2)-(4) above.
(4) If the opening price established by the Nasdaq Halt Cross
pursuant to subsection (b)(2)(A)-(D) above is outside the benchmarks
established by Nasdaq by a threshold amount, the Nasdaq Halt Cross
will occur at the price within the threshold amounts that best
satisfies the conditions of subparagraphs (b)(2)(A) through (D)
above. Nasdaq management shall set and modify such benchmarks and
thresholds from time to time upon prior notice to market
participants.
(d) No change.
* * * * *
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, NASDAQ included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. NASDAQ has prepared summaries, set forth in Sections A,
B, and C below, of the most significant aspects of such statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule Change
1. Purpose
NASDAQ is proposing to extend the operative period of the pilot
under Rule 4753(c), NASDAQ's ``Volatility Guard,'' so that it will
expire the earlier of January 31, 2012 or the date on which, if
approved, a limit up/limit down mechanism to address extraordinary
market volatility, is approved, yet hold the implementation of Rule
4753(c) in abeyance until that point.
On March 11, 2011, the Commission approved Rule 4753(c) (the
``Volatility Guard''), a volatility-based pause in trading in
individual NASDAQ-listed securities traded on NASDAQ (``NASDAQ
Securities''), as a six month pilot applied to the NASDAQ 100 Index
securities.\3\ The Volatility Guard automatically suspends trading in
individual NASDAQ Securities that are the subject of abrupt and
significant intraday price movements between 9:30 a.m. and 4 p.m.
Eastern Standard Time (``EST''), which was subsequently amended to 9:45
a.m. and 3:35 p.m. EST to avoid potential interference with the opening
and closing crosses.\4\ Volatility Guard is triggered automatically
when the execution price of a pilot security moves more than a fixed
amount away from a pre-established ``triggering price'' for that
security. The triggering price for each pilot security is the price of
any execution by the system in that security within the previous 30
seconds. For each pilot security, the system continually compares the
price of each execution in the system against the prices of all system
executions in that security over the 30 seconds. Once triggered, NASDAQ
institutes a formal trading halt during which time NASDAQ systems are
prohibited from executing orders. Members, however, may continue to
enter quotes and orders, which are queued during a 60-second Display
Only Period. At the conclusion of the Display Only Period, the queued
orders are executed at a single price, pursuant to NASDAQ's Halt Cross
mechanism.\5\
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\3\ See Securities Exchange Act Release No. 64071 (March 11,
2011), 76 FR 14699 (March 17, 2011) (SR-NASDAQ-2010-074). Amendment
1 to SR-NASDAQ-2010-074 designated the NASDAQ 100 Index as the 100
pilot securities.
\4\ See Securities Exchange Act Release No. 64268 (April 8,
2011), 76 FR 20742 (April 15, 2011) (SR-NASDAQ-2011-051).
\5\ The Nasdaq Halt Cross is ``the process for determining the
price at which Eligible Interest shall be executed at the open of
trading for a halted security and for executing that Eligible
Interest.'' See Nasdaq Rule 4753(a)(3).
---------------------------------------------------------------------------
NASDAQ determined to adopt Volatility Guard as a six month pilot in
response to the unprecedented aberrant volatility witnessed on May 6,
2010, and the limited effect that NASDAQ's market collars had in
dampening such volatility. NASDAQ believed that the Rule 4753(c) halt
process was needed to protect its listed securities and market
participants from such volatility in the future. In proposing the six
month pilot, NASDAQ noted that another market had adopted a process
whereby the market's listed securities each may be temporarily removed
from automatic trading when the trading exceeds certain average daily
volume-, price-, and volatility-based criteria. Accordingly, NASDAQ
believed that adopting its own process would serve to protect its
market from aberrant volatility, like that experienced on May 6, 2011.
During the time that the Volatility Guard pilot was progressing
through the notice and comment process with the Commission, NASDAQ
together with the other national securities exchanges and FINRA
(``SROs'') and in consultation with the Commission, worked diligently
to implement changes to the markets to prevent another event like May
6, 2010 from occurring. In this regard, the SROs have expanded their
existing circuit breaker pilots \6\ to cover all NMS stocks,\7\
clarified rules concerning clearly erroneous processes,\8\ and have
made great strides in developing a limit up/limit down system to
replace the circuit breakers currently in place. With respect to this
last effort, on April 5, 2011, the SROs filed with the Commission a
national market system plan to address extraordinary market volatility,
which proposed a market-wide limit up/limit down system applicable to
all NMS stocks (the ``Plan'').\9\ The period to submit comments on the
Plan ended on June 22, 2011, and the Commission stated that it will
determine whether to approve it shortly after the expiration of the
comment period.\10\ The SROs propose implementing the Plan 120 calendar
days following the publication of the Commission's order approving the
proposed Plan in the Federal Register.
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\6\ On June 10, 2010, the Commission approved the Circuit
Breaker Pilot, which instituted new circuit breaker rules that pause
trading for five minutes in a security included in the S&P 500 Index
if its price moves ten percent or more over a five-minute period.
See Securities Exchange Act Release Nos. 62251 (June 10, 2010), 75
FR 34183 (June 16, 2010) (SR-FINRA-2010-025); 62252 (June 10, 2010),
75 FR 34186 (June 16, 2010) (SR-NASDAQ-2010-061, et al.). On
September 10, 2010, the Circuit Breaker Pilot was expanded to
include securities in the Russell 1000 Index and certain exchange-
traded products. See Securities Exchange Act Release Nos. 62883
(September 10, 2010), 75 FR 56608 (September 16, 2010) (SR-FINRA-
2010-033); 62884 (September 10, 2010), 75 FR 56618 (September 16,
2010) (SR-NASDAQ-2010-079, et al.). The Circuit Breaker Pilot is
scheduled to expire on August 11, 2011. See e.g., Securities
Exchange Act Release No. 64174 (April 4, 2011), 76 FR 19819 (April
8, 2011) (SR-NASDAQ-2011-042).
\7\ On June 23, 2011, the Commission granted accelerated
approval to SRO proposals to expand the Circuit Breaker Pilot to all
NMS securities. See Securities Exchange Act Release No. 64735 (June
23, 2011), 76 FR 38243 (June 29, 2011) (SR-NASDAQ-2011-067, et al.).
The term ``NMS stocks'' is defined in Rule 600(b)(47) of Regulation
NMS under the Act. See 17 CFR 242.600(b)(47).
\8\ See Securities Exchange Act Release No. 62886 (September 10,
2010), 75 FR 56613 (September 16, 2010) (SR-NASDAQ-2010-076, et
al.); see also Securities Exchange Act Release No. 64238 (April 7,
2011), 76 FR 20780 (April 13, 2011) (SR-NASDAQ-2011-043).
\9\ See Securities Exchange Act Release No. 64547 (May 25,
2011), 76 FR 31647 (June 1, 2011) (File No. 4-631).
\10\ See https://www.sec.gov/news/press/2011/2011-84.htm. NASDAQ
understands that, given the number of comments received, the
Commission will need a reasonable time to consider the comments
provided. Rule 608(b) of Regulation NMS governs the effectiveness of
national market system plans. See 17 CFR 242.608.
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Important to the implementation of Volatility Guard, NASDAQ notes
that
[[Page 53520]]
the Commission stated that it may find exchange-specific volatility
moderators inconsistent with the Act once a uniform, cross-market
mechanism to address aberrant volatility is adopted. In approving
---------------------------------------------------------------------------
Volatility Guard, the Commission emphasized:
[T]hat it is continuing to work diligently with the exchanges
and FINRA to develop an appropriate consistent cross-market
mechanism to moderate excessive volatility that could be applied
widely to individual exchange-listed securities and to address
commenters' concerns regarding the complexity and potential
confusion of exchange-specific volatility moderators. To the extent
the Commission approves such a mechanism, whether it be an expanded
circuit breaker with a limit up/limit down feature or otherwise, the
Commission may no longer be able to find that exchange-specific
volatility moderators--including both Nasdaq's Volatility Guard and
the NYSE's LRPs--are consistent with the Act.\11\
\11\ See Securities Exchange Act Release No. 64071 (March 11,
2011), 76 FR 14699, at 14701 (March 17, 2011) (SR-NASDAQ-2010-074,
as amended) (emphasis added).
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NASDAQ calculates that the Plan, if approved, may be implemented by
the end of 2011 or early 2012.\12\ It is against this backdrop that
NASDAQ is seeking to extend the pilot period of Volatility Guard.
---------------------------------------------------------------------------
\12\ Supra note 9.
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NASDAQ believes that a limit up/limit down system, as proposed in
the Plan, would be preferable to disparate individual market solutions
to aberrant volatility. Given the progress made toward adopting a
uniform limit up/limit down system and the Commission's statement that
exchange-specific volatility moderators be abandoned once a consistent
cross-market mechanism is adopted, NASDAQ believes that implementing
Volatility Guard at this time may be confusing and onerous to market
participants.
NASDAQ is proposing to extend the pilot rather than eliminate it so
that NASDAQ may continue to have the option to implement Volatility
Guard should the Plan not be approved. As a primary market, NASDAQ
takes seriously its responsibility to both its listed companies and the
investing public. NASDAQ continues to believe that an individual
solution like Volatility Guard, may be necessary in the event the Plan
is not approved, much like NYSE-listed stocks may be protected by the
LRP mechanism if it remains in place. NASDAQ believes that extending
the Volatility Guard pilot, but holding its implementation in abeyance
until such time that the Plan is approved will best serve these groups
by allowing NASDAQ to retain the ability to implement Volatility Guard
if necessary, while also allowing market participants to make
preparations in light of the limit up/limit down system, as proposed in
the Plan. As such, market participants will not needlessly expend
energy changing, and testing, their systems to account for the
Volatility Guard pilot in addition to the changes required to implement
the Plan.
Accordingly, NASDAQ is proposing to extend the Volatility Guard
pilot to the earlier of January 31, 2012 or the date on which, if
approved, a limit up/limit down mechanism to address extraordinary
market volatility, is approved. Should the Plan not be adopted by the
expiration of the pilot, NASDAQ may consider further extension of
Volatility Guard, consistent with the extension proposed herein.
2. Statutory Basis
NASDAQ believes that the proposed rule change is consistent with
the provisions of Section 6 of the Act,\13\ in general and with
Sections 6(b)(5) of the Act,\14\ in particular in that it is designed
to prevent fraudulent and manipulative acts and practices, to promote
just and equitable principles of trade, to foster cooperation and
coordination with persons engaged in regulating, clearing, settling,
processing information with respect to, and facilitating transactions
in securities, to remove impediments to and perfect the mechanism of a
free and open market and a national market system, and, in general, to
protect investors and the public interest. NASDAQ believes that the
proposed rule continues to meet these requirements in that it promotes
the adoption of the Plan's uniform, cross-market limit up/limit down
process to address aberrant volatility, while also allowing NASDAQ to
retain an important alternative tool to deal with such volatility
should approval of the Plan be delayed.
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\13\ 15 U.S.C. 78f.
\14\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
B. Self-Regulatory Organization's Statement on Burden on Competition
NASDAQ does not believe that the proposed rule change will result
in any burden on competition that is not necessary or appropriate in
furtherance of the purposes of the Act, as amended.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
Written comments were neither solicited nor received.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
The Exchange has filed the proposed rule change pursuant to Section
19(b)(3)(A)(iii) of the Act \15\ and Rule 19b-4(f)(6) thereunder.\16\
Because the proposed rule change does not: (i) Significantly affect the
protection of investors or the public interest; (ii) impose any
significant burden on competition; and (iii) become operative prior to
30 days from the date on which it was filed, or such shorter time as
the Commission may designate, if consistent with the protection of
investors and the public interest, the proposed rule change has become
effective pursuant to Section 19(b)(3)(A) of the Act \17\ and Rule 19b-
4(f)(6)(iii) thereunder.\18\
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\15\ 15 U.S.C. 78s(b)(3)(A)(iii).
\16\ 17 CFR 240.19b-4(f)(6).
\17\ 15 U.S.C. 78s(b)(3)(A).
\18\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii)
requires the Exchange to give the Commission written notice of the
Exchange's intent to file the proposed rule change along with a
brief description and text of the proposed rule change, at least
five business days prior to the date of filing of the proposed rule
change, or such shorter time as designated by the Commission. The
Exchange has satisfied this requirement.
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At any time within 60 days of the filing of the proposed rule
change, the Commission summarily may temporarily suspend such rule
change if it appears to the Commission that such action is necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
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 rule-comments@sec.gov. Please include
File No. SR-NASDAQ-2011-117 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 No. SR-NASDAQ-2011-117. This file
[[Page 53521]]
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 rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change 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 the Exchange. 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 No. SR-NASDAQ-2011-117 and should be
submitted on or before September 16, 2011.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\19\
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\19\ 17 CFR 200.30-3(a)(12).
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Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011-21855 Filed 8-25-11; 8:45 am]
BILLING CODE 8011-01-P
