Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change Amending Rule 6.60 To Enhance the Functionality of the Trade Collar Protection Mechanism, 67488-67491 [2014-26842]
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67488
Federal Register / Vol. 79, No. 219 / Thursday, November 13, 2014 / Notices
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.12
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2014–26841 Filed 11–12–14; 8:45 am]
BILLING CODE 8011–01–P
of the most significant parts of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–73543; File No. SR–
NYSEArca-2014–14]
Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing of Proposed
Rule Change Amending Rule 6.60 To
Enhance the Functionality of the Trade
Collar Protection Mechanism
November 6, 2014.
Pursuant to Section 19(b)(1) 1 of the
Securities Exchange Act of 1934 (the
‘‘Act’’) 2 and Rule 19b–4 thereunder,3
notice is hereby given that, on October
24, 2014, NYSE Arca, Inc. (the
‘‘Exchange’’ or ‘‘NYSE Arca’’) filed with
the Securities and Exchange
Commission (the ‘‘Commission’’) the
proposed rule change as described in
Items I, II, and III below, which Items
have been prepared by the selfregulatory organization. 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 the Substance
of the Proposed Rule Change
The Exchange proposes to amend
Rule 6.60 to enhance the functionality
of the trade collar protection
mechanism. The text of the proposed
rule change is available on the
Exchange’s Web site at www.nyse.com,
at the principal office of the Exchange,
and at the Commission’s Public
Reference Room.
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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
self-regulatory organization 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 those statements may be examined at
the places specified in Item IV below.
The Exchange has prepared summaries,
set forth in sections A, B, and C below,
12 17
CFR 200.30–3(a)(12).
1 15 U.S.C. 78s(b)(1).
2 15 U.S.C. 78a.
3 17 CFR 240.19b–4.
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The Exchange is proposing to amend
Rule 6.60(a) to clarify and conform with
the functionality of the trade collar
protection mechanism in use on the
Exchange. The Exchange’s amendment
is to specify (a) how marketable Limit
Orders behave when received in a wide
market, (b) how subsequently-arriving
Market Orders effect collared orders,
and (c) the values associated with a
Trading Collar. The Exchange also seeks
to make non-substantive wording
changes to Rule 6.60(a) and fix a
typographical error in Rule 6.37(b)(1)(E).
Background
Pursuant to Rule 6.60(a), the
Exchange applies a ‘‘Trade Collar
Protection’’ mechanism that prevents
the immediate execution of certain
orders at prices outside of a specified
parameter (referred to as a ‘‘Trading
Collar’’).4 Pursuant to Rule 6.60(a)(3),
the Trade Collar Protection mechanism
is not available for quotes or for orders
with execution conditions IOC, AON,
FOK and NOW.
Trading Collars are determined by the
Exchange on a class-by-class basis and,
unless announced otherwise via Trader
Update, are the same value as the bidask differential guidelines established
pursuant to Rule 6.37(b)(1), as set forth
in Rule 6.60(a)(2). For example, Rule
6.37(b)(1) sets the bid-ask differential for
an option priced less than $2.00 at
$0.25. For any option that has a bid less
than $2.00, the Trading Collar will be
$0.25. Accordingly, if the National Best
Bid and Offer (‘‘NBBO’’) for XYZ is
$0.75 bid and $1.75 offer, certain orders
the Exchange receives will be subject to
a $0.25 Trading Collar.5 If necessary to
preserve a fair and orderly market, the
Exchange may, with the approval of two
Trading Officials,6 widen or narrow the
4 The Exchange adopted Rule 6.60 governing
Trade Collar Protection in 2013. See, Exchange Rule
6.60 (Securities Exchange Act Release No. 70038)
(July 25, 2013), 78 FR 46392 (July 31, 2013)
(NYSEArca-2013–72).
5 The bid-ask differential changes as the price
increases. Rule 6.37(b)(1) sets the bid-ask
differential at no more than $0.40 where the bid is
$2.00 or more but does not exceed $5.00.
Accordingly, if the NBBO for XYZ is $3.00 bid and
$3.50 offer, certain orders the Exchange receives
will be subject to a $0.40 Trading Collar Protection.
6 A Trading Official, as defined by Rule 6.1(b)(34)
is an officer or employee of the Exchange. Trading
Officials are not affiliated with OTP Holders.
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Trading Collar for one or more option
series.
Trade Collar Protection applies to two
scenarios. First, pursuant to Rule
6.60(a)(1)(i), Trade Collar Protection
prevents executions of certain orders
when the difference between the
National Best Offer (‘‘NBO’’) and the
National Best Bid (‘‘NBB’’) is greater
than one Trading Collar. Second,
pursuant to Rule 6.60(a)(1)(ii), Trade
Collar Protection prevents the execution
of the balance of an eligible buy order
if it were to execute at a price that is the
NBO plus a Trading Collar (or a price
that is the NBB minus a Trading Collar
for an eligible sell orders).
Pursuant to Rule 6.60(a)(1)(i), if the
difference between the NBO and the
NBB is greater than one Trading Collar,
the Exchange will prevent execution or
routing of certain orders. Instead,
pursuant to Rule 6.60(a)(4)(A), the
Exchange will display the order at a
price equal to the NBO minus one
Trading Collar for sell orders or the NBB
plus one Trading Collar for buy orders
(the ‘‘collared order’’). The Exchange
will then attempt to execute or route the
collared order to buy (sell) against any
contra interest priced within one
Trading Collar above (below) the
displayed price of the collared order.7
As set forth in Rule 6.60(a)(4)(C)(iii),
should market conditions prevent the
order from trading or recalculating for a
period of one second, the order will
improve its displayed price by an
amount equal to an additional Trading
Collar.
The collared order will re-price before
the expiration of one second as a result
of certain changes in the market.
Pursuant to Rule 6.60(a)(4)(C)(i), an
update to the NBBO (based on another
market center or a quote or order on the
Exchange) that improves the same side
of the market as the collared order will
cause the collared order to be
redisplayed at the same price as the
updated NBBO. In accordance with Rule
6.60(a)(4)(C)(ii), a Limit Order (which is
not an IOC Order, AON Order, FOK
Order or NOW Order) on the same side
of the market priced better than one
Trading Collar from the collared order
will also become subject to Trade Collar
Protection and will cause the collared
order to improve by one Trading Collar
(which will redisplay at the new price
and additional size of the new Limit
Order).8
7 See,
Rule 6.60(a)(4)(B).
6.60(a)(4)(C)(iv) states that a new Market
Order on the same side as a collared order will not
cause the order subject to Trade Collar Protection
to be recalculated (but will redisplay with the
additional size of the new Market Order).
8 Rule
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As set forth in Rule 6.60(a)(1)(ii),
when the difference between the NBB
and NBO is within the bid-ask
differential guidelines, orders execute
against the NBB or NBO, but Trade
Collar Protection prevents execution of
the balance of certain order at prices
that are a Trading Collar above the NBO
for buy orders (or at prices that are a
Trading Collar below the NBB for sell
orders). Essentially, the Exchange will
permit the immediate execution of a
Market Order or a marketable Limit
Order (together a ‘‘marketable order’’)
up to a Trading Collar away from the
NBBO. Pursuant to Rule 6.60(a)(5), the
balance of the partially executed order
will be subject to Trade Collar
Protection and will display at the last
sale price. However, if there is an
opportunity for trading within one
Trading Collar of the last sale price, the
order will continue to be displayed at
the NBB (NBO) established at the time
of the initial execution. Once subject to
Trade Collar Protection, the order will
follow the re-pricing mechanism
described above.
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Proposed Change
The Exchange seeks to clarify and
correct Rule 6.60 so as to conform to
current functionality. Pursuant to the
language of Rule 6.60(a)(1)(i), the
Exchange will prevent the immediately
[sic] execution of ‘‘Market Orders or
marketable Limit Orders’’ if the width of
the bid-ask differential of the NBBO is
greater than one Trading Collar.
However, during wide market
conditions, the Exchange only prevents
the immediate execution of Market
Orders. Orders with limit prices that are
executable against the NBB or NBO,
regardless of the width of the bid-ask
differential of the NBBO, immediately
execute.9 The Exchange believes that
Market Orders need this additional level
of protection as such orders do not
suggest that the submitting market
participant is aware of the market (or
the dislocation associated therewith).
Conversely, the Exchange believes that
an order with a limit price evidences
specific interest at which the submitting
market participant is willing to trade.
While marketable Limit Orders are
immediately executable in situations
where the bid-ask differential of the
NBBO is greater than one Trading
Collar, they nonetheless remain subject
to the protections of the Limit Order
Filter of 6.60(b).
9 Rule 6.60(a)(4)(C)(ii) and 6.60(b) explain two
scenarios where marketable Limit Orders might not
immediately execute: (1) When there is already a
collared order or (2) when the Limit Order is priced
significantly through the contra-side BBO.
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The Exchange also seeks to delete
6.60(a)(4)(C)(iv), which states that a
Market Order that arrives while another
order is being displayed due to Trade
Collar Protection will join the collared
order and display at the same price.
While the Exchange believes this
behavior beneficial to the market, it has
not yet deployed the functionality.
While it intends to incorporate such an
enhancement in the near future, the
Exchange is deleting (a)(4)(C)(iv) in
order for its rules to comply with
current functionality. Market Orders
that arrive while another order is
displayed due to Trade Collar Protection
will behave in the same manner as laterarriving marketable Limit Orders.
Specifically, the later-arriving Market
Order will join the already collared
order and both will display at a price
one Trading Collar above (below) the
previous displayed price. The Exchange
intends to make another filing to reestablishing the language of (a)(4)(C)(iv)
once the functionality is available.
The Exchange also proposes to amend
Rule 6.60(a) to add language that
clarifies the current operation of the
trading collar mechanism. In particular,
the Exchange proposes to delete the
reference to Rule 6.37(b)(1) and instead
codify the values of the Trading Collar
directly in Rule 6.60(a). Rule 6.37(b)(1)
sets the bid-ask differentials based
exclusively on the bid price. The trading
collar mechanism employs the same
values for determining the Trading
Collar. However, while those values are
based upon the NBB for buy orders, the
value of the Trading Collar for sell
orders is based upon the NBO. The
Exchange uses the NBB for buy orders
because it believes that a market
participant who is looking to buy would
derive its price off of what other market
participants are willing to pay (i.e. the
prevailing bid). Similarly, the Exchange
uses the NBO for sell orders because it
believes that a market participant who
is looking to sell would derive its price
off of what other market participants are
willing to sell (i.e. the prevailing offer).
Accordingly, the Exchange proposes
new sections (a)(2)(A) and (a)(2)(B) to
Rule 6.60, which specifies the values
based upon whether the order subject to
Trade Collar Protection is to buy or sell.
As an example, the NBBO for XYZ is
$1.00 bid and $6.00 offer. Based upon
Rule 6.60’s reference to Rule 6.37(b)(1),
it could be interpreted that the Trading
Collar would be $0.25 regardless of
whether the Exchange received an order
to buy or sell (based upon the bid being
less than $2.00). However, collared sell
orders currently derive their Trading
Collar and display price from the NBO.
Accordingly, a Market Order to buy
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67489
would display at $1.25 (i.e., the $1.00
NBB plus the $0.25 Trading Collar
(based upon the NBB being less than
$2.00)) and would attempt to execute
against any contra interest (on any
market) priced $1.50 or less (i.e., $1.25
bid plus the $0.25 Trading Collar).
However, a Market Order to sell would
display at $5.50 (i.e., the $6.00 NBO
minus the $0.50 Trading Collar (based
upon the NBO being more than $5.00
but does not exceed $10.00)) and would
attempt to execute against any contra
interest (on any market) priced $5.00 or
greater (i.e., $5.50 offer minus the $0.50
Trading Collar).
As a further example, the NBBO for
XYZ is $1.45 × 200 bid and $2.10 × 200
offer with a $0.05 MPV. If the Exchange
receives a market order to buy 100
contracts, the Trading Collar would be
$0.25 (pursuant to new section
(a)(2)(B)(i)). Accordingly, the order will
be displayed at $1.70 (i.e., $1.45 bid
plus the $0.25 Trading Collar). For a
period of one second, the Exchange will
attempt to execute the buy order against
any contra interest (on any market)
priced $1.95 or less (i.e., $1.70 plus the
$0.25 Trading Collar). Under Rule
6.60(a)(4)(C)(iii), at the expiration of one
second, the Exchange will attempt to
redisplay the market buy order subject
to Trade Collar Protection at $1.95 (i.e.,
$1.70 plus the $0.25 Trading Collar).
However, since the $2.10 NBO
represents contra interest priced $2.20
or less (i.e. $1.95 plus the $0.25 Trading
Collar), the market buy order would
execute its 100 contracts against the
NBO at $2.10. In comparison, in the
same market for XYZ, if the Exchange
receives a market order to sell 100
contracts, the Trading Collar would be
$0.40 (pursuant to new section
(a)(2)(B)(ii)). Accordingly, the Exchange
will attempt to display the market sell
order at $1.70 (i.e., $2.10 offer minus the
$0.40 Trading Collar). However, since
the $1.45 NBB represents contra interest
priced $1.45 or greater, (i.e. $1.70 minus
the $0.25 Trading Collar), the market
sell order would execute its 100
contracts against the NBB at $1.45.
The Exchange also proposes to amend
Rule 6.60(a) to strike the extraneous
term ‘‘inbound’’ from the rule, which
could cause confusion as to when Trade
Collar Protection is available because
the trade collar mechanism continues to
apply to resting orders. In addition, the
Exchange proposes to delete the
reference in 6.60(a)(3) to the
cancellation of IOC Orders, AON
Orders, FOK Orders and NOW Orders if
not immediately executed, as such is
not the behavior of AON Orders. The
Exchange also proposes to capitalize the
term ‘‘limit order’’ as used in Rule
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6.60(a)(4)(D) to conform with its use in
the rest of the rule. Further, the
Exchange proposes to make nonsubstantive changes to Rule
6.60(a)(4)(C)(i) and (ii) to better clarify
behavior in situations where there
already exists an already collared order.
Finally, the Exchange seeks to amend
Rule 6.37(b)(1)(E) to rectify a
typographical error. Specifically, the
rule currently states that the bid-ask
differentials should be no more than $1
when the last bid is $20.10 or more. The
rule should instead refer to the last bid
being $20.01 or more.
2. Statutory Basis
The statutory basis for the proposed
rule change is Section 6(b)(5) of the
Securities Exchange Act of 1934 (the
‘‘Act’’), in general, and furthers the
objectives of Section 6(b)(5) 10 which
requires the rules of an exchange to
promote just and equitable principles of
trade, 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. The
proposed rule change also is designed to
support the principles of Section
11A(a)(1) 11 of the Act in that it seeks to
assure fair competition among brokers
and dealers and among exchange
markets. The Exchange believes that the
proposed rule amendments relating to
the behavior of Limit Orders in a wide
market and the effect on Market Orders
on already collared orders assist with
the maintenance of fair and orderly
markets and protects investors by
correcting inaccurate language and
clarifying existing functionality so that
market participants better understand
how the Exchange handles certain
orders in times of market dislocation.
The Exchange also believes that it
promotes just and equitable principles
of trade to allow marketable Limit
Orders received in a wide market to
immediately execute against contra-side
interest before receiving Trade Collar
Protection because Limit Orders provide
evidence of prices for which market
participants are willing to trade.
Accordingly, to the extent contra-side
interest exists at the NBBO, the
Exchange believes it is appropriate to
permit such executions before providing
Trade Collar Protection for potential
subsequent executions at inferior prices.
Furthermore, the Exchange believes that
it assists in the fair and orderly market
to have Market Orders advance an
already collared order in the same
fashion as marketable Limit Orders as
10 15
U.S.C. 78f(b)(5).
11 15 U.S.C. 78k–1(a)(1).
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both are subsequent orders representing
executable interest. The Exchange
believes that its proposal to clarify that
Trading Collar values are based upon
the NBB for buy orders and the NBO for
sell orders removes impediments to and
perfects the mechanism of a free and
open market by basing the Trading
Collar upon the benchmark from which
a market participant would most likely
derive its price. The Exchange
recognizes that there could be potential
market conditions that result in
different Trading Collar values
depending on whether the order
submitted is to buy or sell. However, the
Exchange believes that any such
differences are outweighed by meeting
the expectations of market participants
who submit buy orders based upon the
price of the prevailing NBB and sell
orders based upon the price of the
prevailing NBO. Further, the Exchange
believes that clearly setting forth these
benchmarks removes impediments to
and perfects the mechanism of a free
and open market by ensuring that
market participants better understand
the functionality of the trade collar
mechanism on the Exchange and the
execution opportunities afforded their
orders in certain market conditions. The
Exchange also believes that making nonsubstantive wording changes enhances
the description of Trade Collar
Protection will add transparency and
clarity to the Exchange’s rules. Finally,
the Exchange believes that fixing a
typographical error found in Rule
6.37(b)(1)(E) will protect investors and
the public interest by reducing
confusion that the error would
otherwise create.
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 not
necessary or appropriate in furtherance
of the purposes of the Act. The
Exchange believes the proposal will
provide market participants with clarity
relating to how the Exchange systems
provides protection from anomalous
executions. Thus, the Exchange does not
believe the proposal creates any
significant impact on competition.
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.
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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.
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 email to rule-comments@
sec.gov. Please include File Number SR–
NYSEArca–2014–14 on the subject line.
Paper Comments
• Send paper comments in triplicate
to Brent J. Fields, Secretary, Securities
and Exchange Commission, 100 F Street
NE., Washington, DC 20549–1090.
All submissions should refer to File
Number SR–NYSEArca–2014–14. This
file number should be included on the
subject line if email 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
10:00 a.m. and 3:00 p.m. Copies of such
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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 Number SR–
NYSEArca–2014–14, and should be
submitted on or before December 4,
2014.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.12
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2014–26842 Filed 11–12–14; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–73553; File No. SR–NYSE–
2014–40]
Self-Regulatory Organizations; New
York Stock Exchange LLC; Notice of
Amendment No. 1 and Order Granting
Accelerated Approval to a Proposed
Rule Change, as Modified by
Amendment No. 1, To Establish the
NYSE Best Quote & Trades Data Feed
November 6, 2014.
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I. Introduction
On July 21, 2014, New York Stock
Exchange LLC (‘‘NYSE’’ or the
‘‘Exchange’’) filed with the Securities
and Exchange Commission
(‘‘Commission’’), pursuant to Section
19(b)(1) of the Securities Exchange Act
of 1934 (‘‘Act’’) 1 and Rule 19b–4
thereunder,2 a proposed rule change to
establish the NYSE Best Quote & Trades
(‘‘NYSE BQT’’) data feed. The NYSE
BQT data feed would provide a unified
view of best bid and offer (‘‘BBO’’) and
last sale information for the Exchange
and its affiliates, NYSE Arca Equities,
Inc. (‘‘NYSE Arca’’) and NYSE MKT
LLC (‘‘NYSE MKT’’). The proposed rule
change was published for comment in
the Federal Register on August 8, 2014.3
Two comment letters on the proposal
have been received: One letter opposing
the proposal,4 and a letter from the
Exchange responding to the opposing
12 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 See Securities Exchange Act Release No. 72750
(August 4, 2014), 79 FR 46494.
4 See Letter from Ira D. Hammerman, General
Counsel, SIFMA, to Kevin M. O’Neill, Deputy
Secretary, Commission, dated August 28, 2014
(‘‘SIFMA Letter’’).
1 15
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comment letter.5 On September 18,
2014, the Commission extended the
time to act on the proposal until
November 6, 2014.6 On October 31,
2014, the Exchange filed Amendment
No. 1 to the proposed rule change.7 The
Commission is publishing this Notice
and Order to solicit comment on
Amendment No. 1 and to approve the
proposed rule change, as modified by
Amendment No. 1, on an accelerated
basis.
II. Description of the Proposal
The Exchange proposes to establish
the NYSE BQT data feed, a data feed
consisting of certain data elements from
six existing market data feeds: NYSE
Trades, NYSE BBO, NYSE Arca Trades,
NYSE Arca BBO, NYSE MKT Trades,
and NYSE MKT BBO.8 The NYSE BQT
data feed would have three channels:
One channel for the last sale data (the
‘‘last sale channel’’); another channel for
the BBO data (the ‘‘best quotes
channel’’); and a third channel for
consolidated volume data (the
‘‘consolidated volume channel’’).
The last sale channel would provide
an aggregation of the same data that is
available through NYSE Trades, NYSE
Arca Trades, and NYSE MKT Trades.
The best quotes channel would
provide the ‘‘NYSE BQT BBO,’’ which
would be the best quote from among the
NYSE BBO, NYSE Arca BBO, and NYSE
MKT BBO based on the following
criteria, in order:
5 See Letter from Martha Redding, Chief Counsel,
NYSE, dated October 31, 2014 (‘‘NYSE Letter’’).
6 See Securities Exchange Act Release No. 73137,
79 FR 57160 (Nov. 24, 2014).
7 In Amendment No. 1, the Exchange modified
the proposal to (i) remove language proposing
specific fee amounts for NYSE BQT, (ii) clarify that
it intended to propose fees that would be no lower
than the cost to a vendor of creating a comparable
product, including the costs of the underlying
feeds, and (iii) represent that it would not offer
NYSE BQT until after the proposal has been
approved by the Commission, the Exchange has
filed fees for NYSE BQT with the Commission, and
such fees have become effective. The Commission
notes that the Exchange submitted a comment letter
attaching Amendment No. 1 on October 31, 2013,
and, consequently, Amendment No. 1 is available
in the public comment file for SR–NYSE–2014–40
on the Commission’s Web site.
The Exchange has represented that it does not
currently offer the NYSE BQT data feed.
8 NYSE BBO, NYSE Arca BBO, and NYSE MKT
BBO are existing data feeds that distribute on a realtime basis the same BBO information that NYSE,
NYSE Arca, and NYSE MKT, respectively, report
under the Consolidated Quotation (‘‘CQ’’) Plan for
inclusion in the CQ Plan’s consolidated quotation
information data stream. NYSE Trades, NYSE Arca
Trades, and NYSE MKT Trades are existing data
feeds that distribute on a real-time basis the same
last sale information that NYSE, NYSE Arca, and
NYSE MKT, respectively, report under the
Consolidated Tape Association (‘‘CTA’’) Plan for
inclusion in the CTA Plan’s consolidated data
streams.
PO 00000
Frm 00080
Fmt 4703
Sfmt 4703
67491
• Price—the exchange with the
highest bid or the lowest offer would
have overall priority;
• Size—the largest size would take
precedence when multiple exchanges
submit the same bid or offer price; and
• Time—the earliest time would take
precedence when multiple exchanges
submit the same bid or offer price with
the same sizes.
For each security, the best quotes
channel would only include one best
bid and one best offer from among the
three exchanges. The NYSE BQT BBO
would be marked with a market center
ID identifying the exchange from which
the BBO originated. For example, if XYZ
stock were traded on both NYSE and
NYSE Arca, and the highest bid and
lowest offer according to the NYSE BBO
were 1,000 shares at $10.00 and 1,000
shares at $10.03, respectively, and the
highest bid and lowest offer for XYZ
stock according to the NYSE Arca BBO
were 1,200 shares at $9.99 and 900
shares at $10.02, respectively, then the
NYSE BQT data feed would generate the
best bid for XYZ stock as 1,000 shares
at $10.00 on NYSE and the best offer as
900 shares at $10.02 on NYSE Arca.
The consolidated volume channel
would carry consolidated volume for all
listed equities, which the Exchange
would obtain from the securities
information processors and then
distribute in a manner consistent with
the requirements for redistributing such
data as set forth in the securities
information processor plans.9
The NYSE BQT data feed would also
provide related data elements, such as
trade and security status updates (e.g.,
trade corrections and trading halts), that
are contained in the NYSE Trades,
NYSE Arca Trades, and NYSE MKT
Trades feeds.
The Exchange proposes to offer the
NYSE BQT data feed through the
Exchange’s Secure Financial
Transaction Infrastructure (‘‘SFTI’’)
network and market data vendors, as the
Exchange does with its other proprietary
market data products.
The Exchange has stated that it
believes that the NYSE BQT data feed
would provide high-quality,
comprehensive last sale and BBO data
for the Exchange, NYSE Arca, and NYSE
MKT in a unified view and would
respond to subscriber demand for such
a product. The Exchange anticipates
that an end user might use the NYSE
9 The ‘‘securities information processor plans’’
refer to the CTA Plan and Nasdaq UTP Plan. See
Telephone conversations between Leah Mesfin,
Special Counsel, Division of Trading and Markets,
Commission, and Marija Willen, Chief Counsel of
NYSE Group Inc., NYSE (July 30, 2014 and Nov. 6,
2014).
E:\FR\FM\13NON1.SGM
13NON1
]]>Agencies
[Federal Register Volume 79, Number 219 (Thursday, November 13, 2014)]
[Notices]
[Pages 67488-67491]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2014-26842]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-73543; File No. SR-NYSEArca-2014-14]
Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of Proposed Rule Change Amending Rule 6.60 To Enhance the Functionality
of the Trade Collar Protection Mechanism
November 6, 2014.
Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby
given that, on October 24, 2014, NYSE Arca, Inc. (the ``Exchange'' or
``NYSE Arca'') filed with the Securities and Exchange Commission (the
``Commission'') the proposed rule change as described in Items I, II,
and III below, which Items have been prepared by the self-regulatory
organization. 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\ 15 U.S.C. 78a.
\3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of the
Substance of the Proposed Rule Change
The Exchange proposes to amend Rule 6.60 to enhance the
functionality of the trade collar protection mechanism. The text of the
proposed rule change is available on the Exchange's Web site at
www.nyse.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 self-regulatory organization
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 those statements may be examined at
the places specified in Item IV below. The Exchange has prepared
summaries, set forth in sections A, B, and C below, of the most
significant parts of such statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange is proposing to amend Rule 6.60(a) to clarify and
conform with the functionality of the trade collar protection mechanism
in use on the Exchange. The Exchange's amendment is to specify (a) how
marketable Limit Orders behave when received in a wide market, (b) how
subsequently-arriving Market Orders effect collared orders, and (c) the
values associated with a Trading Collar. The Exchange also seeks to
make non-substantive wording changes to Rule 6.60(a) and fix a
typographical error in Rule 6.37(b)(1)(E).
Background
Pursuant to Rule 6.60(a), the Exchange applies a ``Trade Collar
Protection'' mechanism that prevents the immediate execution of certain
orders at prices outside of a specified parameter (referred to as a
``Trading Collar'').\4\ Pursuant to Rule 6.60(a)(3), the Trade Collar
Protection mechanism is not available for quotes or for orders with
execution conditions IOC, AON, FOK and NOW.
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\4\ The Exchange adopted Rule 6.60 governing Trade Collar
Protection in 2013. See, Exchange Rule 6.60 (Securities Exchange Act
Release No. 70038) (July 25, 2013), 78 FR 46392 (July 31, 2013)
(NYSEArca-2013-72).
---------------------------------------------------------------------------
Trading Collars are determined by the Exchange on a class-by-class
basis and, unless announced otherwise via Trader Update, are the same
value as the bid-ask differential guidelines established pursuant to
Rule 6.37(b)(1), as set forth in Rule 6.60(a)(2). For example, Rule
6.37(b)(1) sets the bid-ask differential for an option priced less than
$2.00 at $0.25. For any option that has a bid less than $2.00, the
Trading Collar will be $0.25. Accordingly, if the National Best Bid and
Offer (``NBBO'') for XYZ is $0.75 bid and $1.75 offer, certain orders
the Exchange receives will be subject to a $0.25 Trading Collar.\5\ If
necessary to preserve a fair and orderly market, the Exchange may, with
the approval of two Trading Officials,\6\ widen or narrow the Trading
Collar for one or more option series.
---------------------------------------------------------------------------
\5\ The bid-ask differential changes as the price increases.
Rule 6.37(b)(1) sets the bid-ask differential at no more than $0.40
where the bid is $2.00 or more but does not exceed $5.00.
Accordingly, if the NBBO for XYZ is $3.00 bid and $3.50 offer,
certain orders the Exchange receives will be subject to a $0.40
Trading Collar Protection.
\6\ A Trading Official, as defined by Rule 6.1(b)(34) is an
officer or employee of the Exchange. Trading Officials are not
affiliated with OTP Holders.
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Trade Collar Protection applies to two scenarios. First, pursuant
to Rule 6.60(a)(1)(i), Trade Collar Protection prevents executions of
certain orders when the difference between the National Best Offer
(``NBO'') and the National Best Bid (``NBB'') is greater than one
Trading Collar. Second, pursuant to Rule 6.60(a)(1)(ii), Trade Collar
Protection prevents the execution of the balance of an eligible buy
order if it were to execute at a price that is the NBO plus a Trading
Collar (or a price that is the NBB minus a Trading Collar for an
eligible sell orders).
Pursuant to Rule 6.60(a)(1)(i), if the difference between the NBO
and the NBB is greater than one Trading Collar, the Exchange will
prevent execution or routing of certain orders. Instead, pursuant to
Rule 6.60(a)(4)(A), the Exchange will display the order at a price
equal to the NBO minus one Trading Collar for sell orders or the NBB
plus one Trading Collar for buy orders (the ``collared order''). The
Exchange will then attempt to execute or route the collared order to
buy (sell) against any contra interest priced within one Trading Collar
above (below) the displayed price of the collared order.\7\ As set
forth in Rule 6.60(a)(4)(C)(iii), should market conditions prevent the
order from trading or recalculating for a period of one second, the
order will improve its displayed price by an amount equal to an
additional Trading Collar.
---------------------------------------------------------------------------
\7\ See, Rule 6.60(a)(4)(B).
---------------------------------------------------------------------------
The collared order will re-price before the expiration of one
second as a result of certain changes in the market. Pursuant to Rule
6.60(a)(4)(C)(i), an update to the NBBO (based on another market center
or a quote or order on the Exchange) that improves the same side of the
market as the collared order will cause the collared order to be
redisplayed at the same price as the updated NBBO. In accordance with
Rule 6.60(a)(4)(C)(ii), a Limit Order (which is not an IOC Order, AON
Order, FOK Order or NOW Order) on the same side of the market priced
better than one Trading Collar from the collared order will also become
subject to Trade Collar Protection and will cause the collared order to
improve by one Trading Collar (which will redisplay at the new price
and additional size of the new Limit Order).\8\
---------------------------------------------------------------------------
\8\ Rule 6.60(a)(4)(C)(iv) states that a new Market Order on the
same side as a collared order will not cause the order subject to
Trade Collar Protection to be recalculated (but will redisplay with
the additional size of the new Market Order).
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[[Page 67489]]
As set forth in Rule 6.60(a)(1)(ii), when the difference between
the NBB and NBO is within the bid-ask differential guidelines, orders
execute against the NBB or NBO, but Trade Collar Protection prevents
execution of the balance of certain order at prices that are a Trading
Collar above the NBO for buy orders (or at prices that are a Trading
Collar below the NBB for sell orders). Essentially, the Exchange will
permit the immediate execution of a Market Order or a marketable Limit
Order (together a ``marketable order'') up to a Trading Collar away
from the NBBO. Pursuant to Rule 6.60(a)(5), the balance of the
partially executed order will be subject to Trade Collar Protection and
will display at the last sale price. However, if there is an
opportunity for trading within one Trading Collar of the last sale
price, the order will continue to be displayed at the NBB (NBO)
established at the time of the initial execution. Once subject to Trade
Collar Protection, the order will follow the re-pricing mechanism
described above.
Proposed Change
The Exchange seeks to clarify and correct Rule 6.60 so as to
conform to current functionality. Pursuant to the language of Rule
6.60(a)(1)(i), the Exchange will prevent the immediately [sic]
execution of ``Market Orders or marketable Limit Orders'' if the width
of the bid-ask differential of the NBBO is greater than one Trading
Collar. However, during wide market conditions, the Exchange only
prevents the immediate execution of Market Orders. Orders with limit
prices that are executable against the NBB or NBO, regardless of the
width of the bid-ask differential of the NBBO, immediately execute.\9\
The Exchange believes that Market Orders need this additional level of
protection as such orders do not suggest that the submitting market
participant is aware of the market (or the dislocation associated
therewith). Conversely, the Exchange believes that an order with a
limit price evidences specific interest at which the submitting market
participant is willing to trade. While marketable Limit Orders are
immediately executable in situations where the bid-ask differential of
the NBBO is greater than one Trading Collar, they nonetheless remain
subject to the protections of the Limit Order Filter of 6.60(b).
---------------------------------------------------------------------------
\9\ Rule 6.60(a)(4)(C)(ii) and 6.60(b) explain two scenarios
where marketable Limit Orders might not immediately execute: (1)
When there is already a collared order or (2) when the Limit Order
is priced significantly through the contra-side BBO.
---------------------------------------------------------------------------
The Exchange also seeks to delete 6.60(a)(4)(C)(iv), which states
that a Market Order that arrives while another order is being displayed
due to Trade Collar Protection will join the collared order and display
at the same price. While the Exchange believes this behavior beneficial
to the market, it has not yet deployed the functionality. While it
intends to incorporate such an enhancement in the near future, the
Exchange is deleting (a)(4)(C)(iv) in order for its rules to comply
with current functionality. Market Orders that arrive while another
order is displayed due to Trade Collar Protection will behave in the
same manner as later-arriving marketable Limit Orders. Specifically,
the later-arriving Market Order will join the already collared order
and both will display at a price one Trading Collar above (below) the
previous displayed price. The Exchange intends to make another filing
to re-establishing the language of (a)(4)(C)(iv) once the functionality
is available.
The Exchange also proposes to amend Rule 6.60(a) to add language
that clarifies the current operation of the trading collar mechanism.
In particular, the Exchange proposes to delete the reference to Rule
6.37(b)(1) and instead codify the values of the Trading Collar directly
in Rule 6.60(a). Rule 6.37(b)(1) sets the bid-ask differentials based
exclusively on the bid price. The trading collar mechanism employs the
same values for determining the Trading Collar. However, while those
values are based upon the NBB for buy orders, the value of the Trading
Collar for sell orders is based upon the NBO. The Exchange uses the NBB
for buy orders because it believes that a market participant who is
looking to buy would derive its price off of what other market
participants are willing to pay (i.e. the prevailing bid). Similarly,
the Exchange uses the NBO for sell orders because it believes that a
market participant who is looking to sell would derive its price off of
what other market participants are willing to sell (i.e. the prevailing
offer). Accordingly, the Exchange proposes new sections (a)(2)(A) and
(a)(2)(B) to Rule 6.60, which specifies the values based upon whether
the order subject to Trade Collar Protection is to buy or sell.
As an example, the NBBO for XYZ is $1.00 bid and $6.00 offer. Based
upon Rule 6.60's reference to Rule 6.37(b)(1), it could be interpreted
that the Trading Collar would be $0.25 regardless of whether the
Exchange received an order to buy or sell (based upon the bid being
less than $2.00). However, collared sell orders currently derive their
Trading Collar and display price from the NBO. Accordingly, a Market
Order to buy would display at $1.25 (i.e., the $1.00 NBB plus the $0.25
Trading Collar (based upon the NBB being less than $2.00)) and would
attempt to execute against any contra interest (on any market) priced
$1.50 or less (i.e., $1.25 bid plus the $0.25 Trading Collar). However,
a Market Order to sell would display at $5.50 (i.e., the $6.00 NBO
minus the $0.50 Trading Collar (based upon the NBO being more than
$5.00 but does not exceed $10.00)) and would attempt to execute against
any contra interest (on any market) priced $5.00 or greater (i.e.,
$5.50 offer minus the $0.50 Trading Collar).
As a further example, the NBBO for XYZ is $1.45 x 200 bid and $2.10
x 200 offer with a $0.05 MPV. If the Exchange receives a market order
to buy 100 contracts, the Trading Collar would be $0.25 (pursuant to
new section (a)(2)(B)(i)). Accordingly, the order will be displayed at
$1.70 (i.e., $1.45 bid plus the $0.25 Trading Collar). For a period of
one second, the Exchange will attempt to execute the buy order against
any contra interest (on any market) priced $1.95 or less (i.e., $1.70
plus the $0.25 Trading Collar). Under Rule 6.60(a)(4)(C)(iii), at the
expiration of one second, the Exchange will attempt to redisplay the
market buy order subject to Trade Collar Protection at $1.95 (i.e.,
$1.70 plus the $0.25 Trading Collar). However, since the $2.10 NBO
represents contra interest priced $2.20 or less (i.e. $1.95 plus the
$0.25 Trading Collar), the market buy order would execute its 100
contracts against the NBO at $2.10. In comparison, in the same market
for XYZ, if the Exchange receives a market order to sell 100 contracts,
the Trading Collar would be $0.40 (pursuant to new section
(a)(2)(B)(ii)). Accordingly, the Exchange will attempt to display the
market sell order at $1.70 (i.e., $2.10 offer minus the $0.40 Trading
Collar). However, since the $1.45 NBB represents contra interest priced
$1.45 or greater, (i.e. $1.70 minus the $0.25 Trading Collar), the
market sell order would execute its 100 contracts against the NBB at
$1.45.
The Exchange also proposes to amend Rule 6.60(a) to strike the
extraneous term ``inbound'' from the rule, which could cause confusion
as to when Trade Collar Protection is available because the trade
collar mechanism continues to apply to resting orders. In addition, the
Exchange proposes to delete the reference in 6.60(a)(3) to the
cancellation of IOC Orders, AON Orders, FOK Orders and NOW Orders if
not immediately executed, as such is not the behavior of AON Orders.
The Exchange also proposes to capitalize the term ``limit order'' as
used in Rule
[[Page 67490]]
6.60(a)(4)(D) to conform with its use in the rest of the rule. Further,
the Exchange proposes to make non-substantive changes to Rule
6.60(a)(4)(C)(i) and (ii) to better clarify behavior in situations
where there already exists an already collared order.
Finally, the Exchange seeks to amend Rule 6.37(b)(1)(E) to rectify
a typographical error. Specifically, the rule currently states that the
bid-ask differentials should be no more than $1 when the last bid is
$20.10 or more. The rule should instead refer to the last bid being
$20.01 or more.
2. Statutory Basis
The statutory basis for the proposed rule change is Section 6(b)(5)
of the Securities Exchange Act of 1934 (the ``Act''), in general, and
furthers the objectives of Section 6(b)(5) \10\ which requires the
rules of an exchange to promote just and equitable principles of trade,
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. The proposed rule change also is
designed to support the principles of Section 11A(a)(1) \11\ of the Act
in that it seeks to assure fair competition among brokers and dealers
and among exchange markets. The Exchange believes that the proposed
rule amendments relating to the behavior of Limit Orders in a wide
market and the effect on Market Orders on already collared orders
assist with the maintenance of fair and orderly markets and protects
investors by correcting inaccurate language and clarifying existing
functionality so that market participants better understand how the
Exchange handles certain orders in times of market dislocation. The
Exchange also believes that it promotes just and equitable principles
of trade to allow marketable Limit Orders received in a wide market to
immediately execute against contra-side interest before receiving Trade
Collar Protection because Limit Orders provide evidence of prices for
which market participants are willing to trade. Accordingly, to the
extent contra-side interest exists at the NBBO, the Exchange believes
it is appropriate to permit such executions before providing Trade
Collar Protection for potential subsequent executions at inferior
prices. Furthermore, the Exchange believes that it assists in the fair
and orderly market to have Market Orders advance an already collared
order in the same fashion as marketable Limit Orders as both are
subsequent orders representing executable interest. The Exchange
believes that its proposal to clarify that Trading Collar values are
based upon the NBB for buy orders and the NBO for sell orders removes
impediments to and perfects the mechanism of a free and open market by
basing the Trading Collar upon the benchmark from which a market
participant would most likely derive its price. The Exchange recognizes
that there could be potential market conditions that result in
different Trading Collar values depending on whether the order
submitted is to buy or sell. However, the Exchange believes that any
such differences are outweighed by meeting the expectations of market
participants who submit buy orders based upon the price of the
prevailing NBB and sell orders based upon the price of the prevailing
NBO. Further, the Exchange believes that clearly setting forth these
benchmarks removes impediments to and perfects the mechanism of a free
and open market by ensuring that market participants better understand
the functionality of the trade collar mechanism on the Exchange and the
execution opportunities afforded their orders in certain market
conditions. The Exchange also believes that making non-substantive
wording changes enhances the description of Trade Collar Protection
will add transparency and clarity to the Exchange's rules. Finally, the
Exchange believes that fixing a typographical error found in Rule
6.37(b)(1)(E) will protect investors and the public interest by
reducing confusion that the error would otherwise create.
---------------------------------------------------------------------------
\10\ 15 U.S.C. 78f(b)(5).
\11\ 15 U.S.C. 78k-1(a)(1).
---------------------------------------------------------------------------
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 not necessary or appropriate in
furtherance of the purposes of the Act. The Exchange believes the
proposal will provide market participants with clarity relating to how
the Exchange systems provides protection from anomalous executions.
Thus, the Exchange does not believe the proposal creates any
significant impact on competition.
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.
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 email to rule-comments@sec.gov. Please include
File Number SR-NYSEArca-2014-14 on the subject line.
Paper Comments
Send paper comments in triplicate to Brent J. Fields,
Secretary, Securities and Exchange Commission, 100 F Street NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-NYSEArca-2014-14. This
file number should be included on the subject line if email 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
10:00 a.m. and 3:00 p.m. Copies of such
[[Page 67491]]
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 Number SR-NYSEArca-2014-14, and should be submitted on or before
December 4, 2014.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\12\
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\12\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-26842 Filed 11-12-14; 8:45 am]
BILLING CODE 8011-01-P
