Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Extending the Pilot Period Applicable to Rule 6.65A(c), Obvious and Catastrophic Errors, Until October 23, 2015, 10187-10189 [2015-03816]
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Federal Register / Vol. 80, No. 37 / Wednesday, February 25, 2015 / Notices
submissions. You should submit only
information that you wish to make
available publicly. All submissions
should refer to File Number SR–BX–
2015–010, and should be submitted on
or before March 18, 2015.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.29
Brent J. Fields,
Secretary.
[FR Doc. 2015–03819 Filed 2–24–15; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
[Release No. 34–74308; File No. SR–
NYSEArca–2015–07]
Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change Extending the Pilot
Period Applicable to Rule 6.65A(c),
Obvious and Catastrophic Errors, Until
October 23, 2015
February 19, 2015.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (the
‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on February
18, 2015, NYSE Arca, Inc. (the
‘‘Exchange’’ or ‘‘NYSE Arca’’) 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 the self-regulatory
organization. The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
asabaliauskas on DSK5VPTVN1PROD with NOTICES
I. Self-Regulatory Organization’s
Statement of the Terms of the Substance
of the Proposed Rule Change
The Exchange proposes to extend the
pilot period applicable to Rule 6.65A(c),
which addresses how the Exchange
treats Obvious and Catastrophic Errors
during periods of extreme market
volatility, until October 23, 2015. The
pilot period is currently set to expire on
February 20, 2015. 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.
29 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
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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,
of the most significant parts of such
statements.
1. Purpose
The Exchange proposes to extend the
pilot period applicable to Rule 6.65A(c),
which addresses how the Exchange
treats Obvious and Catastrophic Errors
during periods of extreme market
volatility, until October 23, 2015. The
pilot period is currently set to expire on
February 20, 2015.
In April 2013, in connection with the
Plan to Address Extraordinary Market
Volatility Pursuant to Rule 608 of
Regulation NMS (the ‘‘Plan’’),3 the
Exchange adopted Rule 6.65A(c) to
provide that options executions would
not be adjusted or nullified if the
execution occurs during periods of
extreme market volatility.4 Specifically,
Rule 6.65A(c) provides that, during the
pilot period, electronic transactions in
options that overlay an NMS Stock that
occur during a Limit State or a Straddle
State (as defined by the Plan) are not
subject to review under Rule 6.87(a) for
Obvious Errors or Rule 6.87(d) for
Catastrophic Errors. Nothing in Rule
6.65A(c) prevents electronic
transactions in options that overlay an
NMS Stock that occur during a Limit
State or a Straddle State from being
reviewed on Exchange motion pursuant
to 6.87(b)(3).
The Plan has been amended several
times since inception and was not
implemented until February 24, 2014.
The Participants to the Plan recently
filed to extend the Plan’s pilot period
until October 23, 2015 (the ‘‘Eighth
3 See Securities Exchange Act Release No. 67091
(May 31, 2012), 77 FR 33498 (June 6, 2012) (File
No. 4–631) (Order Approving, on a Pilot Basis, the
Plan). The Plan is designed to prevent trades in
individual NMS Stocks from occurring outside of
specified Price Bands, which are described in more
detail in the Plan.
4 See Securities and Exchange Act Release No.
69340 (April 8, 2013), 78 FR 22004 (April 12, 2013)
(SR–NYSEArca–2013–10) (‘‘Approval Order’’).
PO 00000
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Fmt 4703
Sfmt 4703
10187
Amendment’’).5 The purpose of this
proposed extension is to provide time
for the Participants to prepare a
supplemental assessment and
recommendation regarding the Plan and
for the public to comment on such
assessment for the purpose of
determining whether there should be
any modifications to the Plan.
In order to align the pilot period for
Rule 6.65A(c) with the proposed pilot
period for the Plan, the Exchange
similarly proposes to extend the pilot
period until October 23, 2015. The
Exchange believes the benefits afforded
to market participants under Rule
6.65A(c) should continue on a pilot
basis during the same period as the Plan
pilot. The Exchange continues to believe
that adding certainty to the execution of
orders in Limit or Straddle States would
encourage market participants to
continue to provide liquidity to the
Exchange, and thus, promote a fair and
orderly market during those periods.
Thus, the Exchange believes that the
protections of current Rule 6.65A(c)
should continue while the industry
gains further experience operating the
Plan. In addition, the Exchange believes
that extending the pilot period for Rule
6.65A(c) would allow the Exchange to
continue to collect and evaluate data, as
well as to conduct further data analyses,
related to this provision.
Specifically, in connection with the
adoption of Rule 6.65A(c), the Exchange
committed to review the operation of
this provision and to analyze the impact
of Limit and Straddle States
accordingly.6 The Exchange agreed to
and has been providing to the
Commission and the public data for
each Straddle State and Limit State in
NMS Stocks underlying options traded
on the Exchange beginning in April
2013, limited to those option classes
that have at least one (1) trade on the
Exchange during a Straddle State or
Limit State.7 For each of those option
classes affected, each data record
contains the following information:
• Stock symbol, option symbol, time
at the start of the Straddle or Limit
5 See Securities Exchange Act Release No. 74110
(January 21, 2015), 80 FR 4321 (January 27, 2015)
(File No. 4–631) (notice of proposed Eighth
Amendment to the Plan).
6 Specifically, the Exchange committed to: ‘‘(1)
Evaluate the options market quality during Limit
States and Straddle States; (2) assess the character
of incoming order flow and transactions during
Limit States and Straddle States; and (3) review any
complaints from members and their customers
concerning executions during Limit States and
Straddle States.’’ See Approval Order, 78 FR at
22008.
7 See Securities Exchange Act Release No. 71869
(April 4, 2014), 79 FR 19689 (April 9, 2014) (SR–
NYSEArca–2014–36).
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Federal Register / Vol. 80, No. 37 / Wednesday, February 25, 2015 / Notices
asabaliauskas on DSK5VPTVN1PROD with NOTICES
State, an indicator for whether it is a
Straddle or Limit State.
• For activity on the Exchange:
• executed volume, time-weighted
quoted bid-ask spread, time-weighted
average quoted depth at the bid, timeweighted average quoted depth at the
offer;
• high execution price, low execution
price;
• number of trades for which a
request for review for error was received
during Straddle and Limit States;
• an indicator variable for whether
those options outlined above have a
price change exceeding 30% during the
underlying stock’s Limit or Straddle
state compared to the last available
option price as reported by OPRA before
the start of the Limit or Straddle State
(1 if observe 30% and 0 otherwise).
Another indicator variable for whether
the option price within five minutes of
the underlying stock leaving the Limit
or Straddle state (or halt if applicable)
is 30% away from the price before the
start of the Limit or Straddle state.
In addition, the Exchange has
committed to provide to the
Commission by May 29, 2015
assessments relating to the impact of the
operation of the Obvious Error rules
during Limit and Straddle States as
follows: (1) Evaluate the statistical and
economic impact of Limit and Straddle
States on liquidity and market quality in
the options markets; and (2) Assess
whether the lack of Obvious Error rules
in effect during the Straddle and Limit
States are problematic. The Exchange
notes that, to date, there have not been
any requests for review of Obvious Error
of options trades that occur during a
Limit or Straddle State in the
underlying security.
The Exchange believes that the
extension of the pilot period of Rule
6.65A(c) would allow the Exchange to
continue to observe the operation of the
pilot and conduct its assessments
relating to the impact of the operation
of the Rule during Limit and Straddle
States, which information will continue
to be shared with the Commission and
the public as set forth above.
system and, in general, to protect
investors and the public interest.
Specifically, the proposal to extend
the pilot program of Rule 6.65A(c) until
October 23, 2015 would align that pilot
program with the Pilot Period for the
Plan, as proposed in the Eighth
Amendment to the Plan. The Exchange
believes that aligning the pilot periods
would ensure that trading in options
that overlay NMS Stocks continues to be
appropriately modified to reflect market
conditions that occur during a Limit
State or a Straddle State in a manner
that promotes just and equitable
principles of trade and removes
impediments to, and perfects the
mechanism of, a free and open market
and a national market system. The
Exchange believes that the extension of
Rule 6.65A(c) would help encourage
market participants to continue to
provide liquidity during extraordinary
market volatility.
Moreover, the Exchange believes that
extending the pilot period for Rule
6.65A(c) would remove impediments to,
and perfect the mechanisms of, a free
and open market because it would
enable the Exchange to continue to
continue to conduct its assessments
relating to the impact of the operation
of the Obvious Error rules during Limit
and Straddle States as set forth above,
which, in turn, provides the Exchange
with more information from which to
assess the impact of Rule 6.65A(c).
2. Statutory Basis
The Exchange believes the proposed
rule change is consistent with Section
6(b) of the Act 8 in general, and furthers
the objectives of Section 6(b)(5),9 in
particular, in that it is designed to
promote just and equitable principles of
trade, remove impediments to and
perfect the mechanisms of, a free and
open market and a national market
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.
8 15
9 15
U.S.C. 78f(b).
U.S.C. 78f(b)(5).
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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. The
proposed changes will not impose any
burden on competition and will instead
provide certainty regarding the
treatment and execution of options
orders, specifically the treatment of
Obvious and Catastrophic Errors during
periods of extraordinary volatility in the
underlying NMS Stock, and will
facilitate appropriate liquidity during a
Limit State or Straddle State.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Because the proposed rule change
does not (i) significantly affect the
PO 00000
Frm 00145
Fmt 4703
Sfmt 4703
protection of investors or the public
interest; (ii) impose any significant
burden on competition; and (iii) become
operative for 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 10 and Rule 19b–4(f)(6)(iii)
thereunder.11
The Exchange has asked the
Commission to waive the 30-day
operative delay so that the proposal may
become operative immediately upon
filing. The Commission believes that
waiving the 30-day operative delay is
consistent with the protection of
investors and the public interest, as it
will allow the obvious error pilot
program to continue uninterrupted
while the industry gains further
experience operating under the Plan,
and avoid any investor confusion that
could result from a temporary
interruption in the pilot program. For
this reason, the Commission designates
the proposed rule change to be operative
upon filing.12
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. If the
Commission takes such action, the
Commission shall institute proceedings
to determine whether the proposed rule
should be approved or 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
10 15
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(6)(iii). As required under
Rule 19b–4(f)(6)(iii), the Exchange provided the
Commission with written notice of its intent to file
the proposed rule change, along with a brief
description and the 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.
12 For purposes only of waiving the 30-day
operative delay, the Commission has also
considered the proposed rule’s impact on
efficiency, competition, and capital formation. See
15 U.S.C. 78c(f).
11 17
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Federal Register / Vol. 80, No. 37 / Wednesday, February 25, 2015 / Notices
• Send an email to rulecomments@sec.gov. Please include File
Number SR–NYSEArca–2015–07 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–2015–07. 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
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–2015–07, and should be
submitted on or before March 18, 2015.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.13
Brent J. Fields,
Secretary.
asabaliauskas on DSK5VPTVN1PROD with NOTICES
[FR Doc. 2015–03816 Filed 2–24–15; 8:45 am]
BILLING CODE 8011–01–P
13 17
CFR 200.30–3(a)(12).
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SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–74303; File No. SR–
NASDAQ–2014–127]
Self-Regulatory Organizations; The
NASDAQ Stock Market LLC; Order
Granting Approval of Proposed Rule
Change Relating to the Listing and
Trading of the Shares of the Tuttle
Tactical Management U.S. Core ETF of
ETFis Series Trust I
February 19, 2015.
I. Introduction
On December 19, 2014, The NASDAQ
Stock Market LLC (‘‘Nasdaq’’ or
‘‘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
list and trade the shares (‘‘Shares’’) of
the Tuttle Tactical Management U.S.
Core ETF (‘‘Fund’’) under Nasdaq Rule
5735. The proposed rule change was
published for comment in the Federal
Register on January 6, 2015.3 The
Commission received no comments on
the proposal. This order grants approval
of the proposed rule change.
II. Description of the Proposed Rule
Change
The Exchange proposes to list and
trade Shares of the Fund under Nasdaq
Rule 5735, which governs the listing
and trading of Managed Fund Shares on
the Exchange. The Shares will be
offered by ETFis Series Trust I
(‘‘Trust’’), which is registered with the
Commission as an investment
company.4 The Fund is a series of the
Trust.
Etfis Capital LLC will be the
investment adviser (‘‘Adviser’’), and
Tuttle Tactical Management, LLC will
be the investment sub-adviser (‘‘SubAdviser’’), to the Fund. ETF Distributors
LLC will be the principal underwriter
and distributor of the Fund’s Shares,
and Bank of New York Mellon will act
as the administrator, accounting agent,
custodian, and transfer agent to the
Fund.
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 See Securities Exchange Act Release No. 73960
(Dec. 30, 2014), 80 FR 540 (‘‘Notice’’).
4 According to the Exchange, the Trust has filed
a registration statement on Form N–1A
(‘‘Registration Statement’’) with the Commission.
See Registration Statement on Form N–1A for the
Trust filed on July 24, 2014 (File Nos. 333–187668
and 811–22819). In addition, the Exchange states
that the Trust has obtained certain exemptive relief
under the 1940 Act. See Investment Company Act
Release No. 30607 (July 23, 2013) (‘‘Exemptive
Order’’).
2 17
PO 00000
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10189
The Exchange represents that the
Adviser and Sub-Adviser are not
registered as broker-dealers, and the
Sub-Adviser it not affiliated with a
broker-dealer; however, the Exchange
represents that the Adviser is affiliated
with a broker-dealer. The Exchange
states that the Adviser has implemented
a fire wall with respect to its broker
dealer affiliate regarding access to
information concerning the composition
of or changes to the portfolio.5 The
Exchange also represents that the Shares
will be subject to Nasdaq Rule 5735,
which sets forth the initial and
continued listing criteria applicable to
Managed Fund Shares, and that for
initial and continued listing, the Fund
must be in compliance with Rule 10A–
3 under the Act.6
The Exchange has made the following
representations and statements in
describing the Fund and its investment
strategy, including, among other things,
portfolio holdings and investment
restrictions.
A. Principal Investments of the Fund
According to the Exchange, the
Fund’s investment objective will be to
provide long-term capital appreciation,
while maintaining a secondary
emphasis on capital preservation,
primarily through investments in the
U.S. equity market. The Sub-Adviser
will employ four tactical models in
seeking to achieve the Fund’s
investment objective: ‘‘S&P 500
Absolute Momentum,’’ ‘‘Relative
Strength Equity,’’ ‘‘Beta Opportunities,’’
and ‘‘Short-Term S&P 500 Counter
Trend.’’ While the Sub-Adviser will
generally seek to maintain an equal
weighting among these four tactical
models, market movements may result
in the Fund being overweight or
underweight one or more of the tactical
models. The Fund will be an actively
managed exchange-traded fund (‘‘ETF’’)
that seeks to achieve its investment
objective by utilizing a long-only, multistrategy, tactically-managed exposure to
the U.S. equity market. To obtain such
exposure, the Sub-Adviser will invest,
under normal circumstances, not less
5 See Nasdaq Rule 5735(g). The Exchange states
that, in the event (a) the Adviser or the Sub-Adviser
becomes newly affiliated with a broker-dealer or
registers as a broker-dealer, or (b) any new adviser
or sub-adviser is a registered broker-dealer or
becomes affiliated with a broker-dealer, the
Adviser, the Sub-Adviser, or any new adviser or
sub-adviser, as the case may be, will implement a
fire wall with respect to its relevant personnel and
its broker-dealer affiliate, as applicable, regarding
access to information concerning the composition
of or changes to the portfolio, and will be subject
to procedures designed to prevent the use and
dissemination of material, non-public information
regarding the portfolio.
6 See 17 CFR 240.10A–3.
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]]>Agencies
[Federal Register Volume 80, Number 37 (Wednesday, February 25, 2015)]
[Notices]
[Pages 10187-10189]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2015-03816]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-74308; File No. SR-NYSEArca-2015-07]
Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
and Immediate Effectiveness of Proposed Rule Change Extending the Pilot
Period Applicable to Rule 6.65A(c), Obvious and Catastrophic Errors,
Until October 23, 2015
February 19, 2015.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that on February 18, 2015, NYSE Arca, Inc. (the ``Exchange'' or ``NYSE
Arca'') 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 the self-regulatory
organization. The Commission is publishing this notice to solicit
comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of the
Substance of the Proposed Rule Change
The Exchange proposes to extend the pilot period applicable to Rule
6.65A(c), which addresses how the Exchange treats Obvious and
Catastrophic Errors during periods of extreme market volatility, until
October 23, 2015. The pilot period is currently set to expire on
February 20, 2015. 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 proposes to extend the pilot period applicable to Rule
6.65A(c), which addresses how the Exchange treats Obvious and
Catastrophic Errors during periods of extreme market volatility, until
October 23, 2015. The pilot period is currently set to expire on
February 20, 2015.
In April 2013, in connection with the Plan to Address Extraordinary
Market Volatility Pursuant to Rule 608 of Regulation NMS (the
``Plan''),\3\ the Exchange adopted Rule 6.65A(c) to provide that
options executions would not be adjusted or nullified if the execution
occurs during periods of extreme market volatility.\4\ Specifically,
Rule 6.65A(c) provides that, during the pilot period, electronic
transactions in options that overlay an NMS Stock that occur during a
Limit State or a Straddle State (as defined by the Plan) are not
subject to review under Rule 6.87(a) for Obvious Errors or Rule 6.87(d)
for Catastrophic Errors. Nothing in Rule 6.65A(c) prevents electronic
transactions in options that overlay an NMS Stock that occur during a
Limit State or a Straddle State from being reviewed on Exchange motion
pursuant to 6.87(b)(3).
---------------------------------------------------------------------------
\3\ See Securities Exchange Act Release No. 67091 (May 31,
2012), 77 FR 33498 (June 6, 2012) (File No. 4-631) (Order Approving,
on a Pilot Basis, the Plan). The Plan is designed to prevent trades
in individual NMS Stocks from occurring outside of specified Price
Bands, which are described in more detail in the Plan.
\4\ See Securities and Exchange Act Release No. 69340 (April 8,
2013), 78 FR 22004 (April 12, 2013) (SR-NYSEArca-2013-10)
(``Approval Order'').
---------------------------------------------------------------------------
The Plan has been amended several times since inception and was not
implemented until February 24, 2014. The Participants to the Plan
recently filed to extend the Plan's pilot period until October 23, 2015
(the ``Eighth Amendment'').\5\ The purpose of this proposed extension
is to provide time for the Participants to prepare a supplemental
assessment and recommendation regarding the Plan and for the public to
comment on such assessment for the purpose of determining whether there
should be any modifications to the Plan.
---------------------------------------------------------------------------
\5\ See Securities Exchange Act Release No. 74110 (January 21,
2015), 80 FR 4321 (January 27, 2015) (File No. 4-631) (notice of
proposed Eighth Amendment to the Plan).
---------------------------------------------------------------------------
In order to align the pilot period for Rule 6.65A(c) with the
proposed pilot period for the Plan, the Exchange similarly proposes to
extend the pilot period until October 23, 2015. The Exchange believes
the benefits afforded to market participants under Rule 6.65A(c) should
continue on a pilot basis during the same period as the Plan pilot. The
Exchange continues to believe that adding certainty to the execution of
orders in Limit or Straddle States would encourage market participants
to continue to provide liquidity to the Exchange, and thus, promote a
fair and orderly market during those periods. Thus, the Exchange
believes that the protections of current Rule 6.65A(c) should continue
while the industry gains further experience operating the Plan. In
addition, the Exchange believes that extending the pilot period for
Rule 6.65A(c) would allow the Exchange to continue to collect and
evaluate data, as well as to conduct further data analyses, related to
this provision.
Specifically, in connection with the adoption of Rule 6.65A(c), the
Exchange committed to review the operation of this provision and to
analyze the impact of Limit and Straddle States accordingly.\6\ The
Exchange agreed to and has been providing to the Commission and the
public data for each Straddle State and Limit State in NMS Stocks
underlying options traded on the Exchange beginning in April 2013,
limited to those option classes that have at least one (1) trade on the
Exchange during a Straddle State or Limit State.\7\ For each of those
option classes affected, each data record contains the following
information:
---------------------------------------------------------------------------
\6\ Specifically, the Exchange committed to: ``(1) Evaluate the
options market quality during Limit States and Straddle States; (2)
assess the character of incoming order flow and transactions during
Limit States and Straddle States; and (3) review any complaints from
members and their customers concerning executions during Limit
States and Straddle States.'' See Approval Order, 78 FR at 22008.
\7\ See Securities Exchange Act Release No. 71869 (April 4,
2014), 79 FR 19689 (April 9, 2014) (SR-NYSEArca-2014-36).
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Stock symbol, option symbol, time at the start of the
Straddle or Limit
[[Page 10188]]
State, an indicator for whether it is a Straddle or Limit State.
For activity on the Exchange:
executed volume, time-weighted quoted bid-ask spread,
time-weighted average quoted depth at the bid, time-weighted average
quoted depth at the offer;
high execution price, low execution price;
number of trades for which a request for review for error
was received during Straddle and Limit States;
an indicator variable for whether those options outlined
above have a price change exceeding 30% during the underlying stock's
Limit or Straddle state compared to the last available option price as
reported by OPRA before the start of the Limit or Straddle State (1 if
observe 30% and 0 otherwise). Another indicator variable for whether
the option price within five minutes of the underlying stock leaving
the Limit or Straddle state (or halt if applicable) is 30% away from
the price before the start of the Limit or Straddle state.
In addition, the Exchange has committed to provide to the
Commission by May 29, 2015 assessments relating to the impact of the
operation of the Obvious Error rules during Limit and Straddle States
as follows: (1) Evaluate the statistical and economic impact of Limit
and Straddle States on liquidity and market quality in the options
markets; and (2) Assess whether the lack of Obvious Error rules in
effect during the Straddle and Limit States are problematic. The
Exchange notes that, to date, there have not been any requests for
review of Obvious Error of options trades that occur during a Limit or
Straddle State in the underlying security.
The Exchange believes that the extension of the pilot period of
Rule 6.65A(c) would allow the Exchange to continue to observe the
operation of the pilot and conduct its assessments relating to the
impact of the operation of the Rule during Limit and Straddle States,
which information will continue to be shared with the Commission and
the public as set forth above.
2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
Section 6(b) of the Act \8\ in general, and furthers the objectives of
Section 6(b)(5),\9\ in particular, in that it is designed to promote
just and equitable principles of trade, remove impediments to and
perfect the mechanisms of, a free and open market and a national market
system and, in general, to protect investors and the public interest.
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\8\ 15 U.S.C. 78f(b).
\9\ 15 U.S.C. 78f(b)(5).
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Specifically, the proposal to extend the pilot program of Rule
6.65A(c) until October 23, 2015 would align that pilot program with the
Pilot Period for the Plan, as proposed in the Eighth Amendment to the
Plan. The Exchange believes that aligning the pilot periods would
ensure that trading in options that overlay NMS Stocks continues to be
appropriately modified to reflect market conditions that occur during a
Limit State or a Straddle State in a manner that promotes just and
equitable principles of trade and removes impediments to, and perfects
the mechanism of, a free and open market and a national market system.
The Exchange believes that the extension of Rule 6.65A(c) would help
encourage market participants to continue to provide liquidity during
extraordinary market volatility.
Moreover, the Exchange believes that extending the pilot period for
Rule 6.65A(c) would remove impediments to, and perfect the mechanisms
of, a free and open market because it would enable the Exchange to
continue to continue to conduct its assessments relating to the impact
of the operation of the Obvious Error rules during Limit and Straddle
States as set forth above, which, in turn, provides the Exchange with
more information from which to assess the impact of Rule 6.65A(c).
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. The proposed changes will
not impose any burden on competition and will instead provide certainty
regarding the treatment and execution of options orders, specifically
the treatment of Obvious and Catastrophic Errors during periods of
extraordinary volatility in the underlying NMS Stock, and will
facilitate appropriate liquidity during a Limit State or Straddle
State.
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
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 for 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 \10\ and Rule 19b-
4(f)(6)(iii) thereunder.\11\
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\10\ 15 U.S.C. 78s(b)(3)(A).
\11\ 17 CFR 240.19b-4(f)(6)(iii). As required under Rule 19b-
4(f)(6)(iii), the Exchange provided the Commission with written
notice of its intent to file the proposed rule change, along with a
brief description and the 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.
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The Exchange has asked the Commission to waive the 30-day operative
delay so that the proposal may become operative immediately upon
filing. The Commission believes that waiving the 30-day operative delay
is consistent with the protection of investors and the public interest,
as it will allow the obvious error pilot program to continue
uninterrupted while the industry gains further experience operating
under the Plan, and avoid any investor confusion that could result from
a temporary interruption in the pilot program. For this reason, the
Commission designates the proposed rule change to be operative upon
filing.\12\
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\12\ For purposes only of waiving the 30-day operative delay,
the Commission has also considered the proposed rule's impact on
efficiency, competition, and capital formation. See 15 U.S.C.
78c(f).
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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. If the Commission
takes such action, the Commission shall institute proceedings to
determine whether the proposed rule should be approved or 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
[[Page 10189]]
Send an email to rule-comments@sec.gov. Please include
File Number SR-NYSEArca-2015-07 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-2015-07. 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 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-2015-07, and should
be submitted on or before March 18, 2015.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\13\
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\13\ 17 CFR 200.30-3(a)(12).
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Brent J. Fields,
Secretary.
[FR Doc. 2015-03816 Filed 2-24-15; 8:45 am]
BILLING CODE 8011-01-P
