Self-Regulatory Organizations; The Nasdaq Stock Market LLC; Notice of Filing of Amendment No. 1 and Order Granting Accelerated Approval of a Proposed Rule Change, as Modified by Amendment No. 1, To Amend Certain Cutoff Times for On-Close Orders Entered for Participation in the Nasdaq Closing Cross and Adopt a Second Reference Price for Limit-On-Close Orders, 53783-53786 [2019-21883]
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Federal Register / Vol. 84, No. 195 / Tuesday, October 8, 2019 / Notices
FOR FURTHER INFORMATION CONTACT:
David A. Trissell, General Counsel, at
202–789–6820.
SUPPLEMENTARY INFORMATION:
Table of Contents
I. Introduction
II. Docketed Proceeding(s)
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I. Introduction
The Commission gives notice that the
Postal Service filed request(s) for the
Commission to consider matters related
to negotiated service agreement(s). The
request(s) may propose the addition or
removal of a negotiated service
agreement from the market dominant or
the competitive product list, or the
modification of an existing product
currently appearing on the market
dominant or the competitive product
list.
Section II identifies the docket
number(s) associated with each Postal
Service request, the title of each Postal
Service request, the request’s acceptance
date, and the authority cited by the
Postal Service for each request. For each
request, the Commission appoints an
officer of the Commission to represent
the interests of the general public in the
proceeding, pursuant to 39 U.S.C. 505
(Public Representative). Section II also
establishes comment deadline(s)
pertaining to each request.
The public portions of the Postal
Service’s request(s) can be accessed via
the Commission’s website (https://
www.prc.gov). Non-public portions of
the Postal Service’s request(s), if any,
can be accessed through compliance
with the requirements of 39 CFR
3007.301.1
The Commission invites comments on
whether the Postal Service’s request(s)
in the captioned docket(s) are consistent
with the policies of title 39. For
request(s) that the Postal Service states
concern market dominant product(s),
applicable statutory and regulatory
requirements include 39 U.S.C. 3622, 39
U.S.C. 3642, 39 CFR part 3010, and 39
CFR part 3020, subpart B. For request(s)
that the Postal Service states concern
competitive product(s), applicable
statutory and regulatory requirements
include 39 U.S.C. 3632, 39 U.S.C. 3633,
39 U.S.C. 3642, 39 CFR part 3015, and
39 CFR part 3020, subpart B. Comment
deadline(s) for each request appear in
section II.
Add Priority Mail Express & Priority
Mail Contract 100 to Competitive
Product List and Notice of Filing
Materials Under Seal; Filing Acceptance
Date: October 2, 2019; Filing Authority:
39 U.S.C. 3642, 39 CFR 3020.30 et seq.,
and 39 CFR 3015.5; Public
Representative: Christopher C. Mohr;
Comments Due: October 10, 2019.
This Notice will be published in the
Federal Register.
Darcie S. Tokioka,
Acting Secretary.
[FR Doc. 2019–21963 Filed 10–7–19; 8:45 am]
BILLING CODE 7710–FW–P
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[Release No. 34–87198; File No. SR–
NASDAQ–2019–064]
Self-Regulatory Organizations; The
Nasdaq Stock Market LLC; Notice of
Filing of Amendment No. 1 and Order
Granting Accelerated Approval of a
Proposed Rule Change, as Modified by
Amendment No. 1, To Amend Certain
Cutoff Times for On-Close Orders
Entered for Participation in the Nasdaq
Closing Cross and Adopt a Second
Reference Price for Limit-On-Close
Orders
I. Introduction
RAILROAD RETIREMENT BOARD
Sunshine Act Meetings
TIME AND DATE:
8:00 a.m., October 17,
2019.
8th Floor Board Conference
Room, 844 North Rush Street, Chicago,
Illinois 60611.
PLACE:
This meeting will be open to
the public.
STATUS:
MATTERS TO BE CONSIDERED:
(1) Consideration of the Management
Member’s proposal relating to the
Chief Medical Officer position
(2) Update from the Chief Actuary on
Wisconsin Central
(3) Procedural issues related to hiring
and Board approval/notification
CONTACT PERSON FOR MORE INFORMATION:
Stephanie Hillyard, Secretary to the
Board, Phone No. 312–751–4920.
Authority: 5 U.S.C. 552b.
Dated: October 4, 2019.
Stephanie Hillyard,
Secretary to the Board.
BILLING CODE 7905–01–P
PO 00000
On July 31, 2019, The Nasdaq Stock
Market LLC (‘‘Exchange’’ or ‘‘Nasdaq’’)
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 amend certain cutoff times for
on-close orders entered for participation
in the Nasdaq Closing Cross and adopt
a Second Reference Price for limit-onclose orders. The proposed rule change
was published for comment in the
Federal Register on August 19, 2019.3
On September 6, 2019, the Exchange
filed Amendment No. 1 to the proposed
rule change, which amended and
superseded the proposed rule change as
originally filed.4 The Commission
received no comment letters on the
proposed rule change. The Commission
is publishing this notice to solicit
comments on Amendment No. 1 from
interested persons, and is approving the
proposed rule change, as modified by
Amendment No. 1, on an accelerated
basis.
II. Description of the Proposal
[FR Doc. 2019–22113 Filed 10–4–19; 4:15 pm]
The Nasdaq Closing Cross is the
Exchange’s process for determining the
price at which orders would be
executed at the close and for executing
those orders.5 Currently, the Exchange
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 See Securities Exchange Act Release No. 86642
(August 13, 2019), 84 FR 42964.
4 In Amendment No. 1, the Exchange revised the
proposal to: (1) Specify the time during which
market-on-close orders can be cancelled or
modified; (2) remove proposed changes to the
Nasdaq Pricing Schedule in Equity 7, Section 118;
(3) include additional description, examples, and
justification related to the proposed rule change;
and (4) make technical, clarifying, and conforming
changes. Amendment No. 1 is available at https://
www.sec.gov/comments/sr-nasdaq-2019-064/
srnasdaq2019064-6088461-191827.pdf.
5 See Rule 4754(a)(6).
2 17
1 See Docket No. RM2018–3, Order Adopting
Final Rules Relating to Non-Public Information,
June 27, 2018, Attachment A at 19–22 (Order No.
4679).
21:50 Oct 07, 2019
SECURITIES AND EXCHANGE
COMMISSION
October 2, 2019.
II. Docketed Proceeding(s)
1. Docket No(s).: MC2020–1 and
CP2020–1; Filing Title: USPS Request to
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Federal Register / Vol. 84, No. 195 / Tuesday, October 8, 2019 / Notices
disseminates the Order Imbalance
Indicator (‘‘NOII’’) for the Nasdaq
Closing Cross beginning at 3:55 p.m. ET
or five minutes prior to the early closing
time on a day when the Exchange closes
early.6 The NOII is an electronically
disseminated message containing
information about market-on-close
(‘‘MOC’’),7 limit-on-close (‘‘LOC’’),8 and
imbalance only (‘‘IO’’) 9 orders, as well
as close eligible interest 10 and the price
at which those orders would execute at
the time of the NOII dissemination.11
The Exchange recently also adopted
rules for the early order imbalance
indicator (‘‘EOII’’), which the Exchange
will begin disseminating at 3:50 p.m. ET
or ten minutes prior to the early closing
time on a day when the Exchange closes
early 12 and will contain a subset of the
information comprising the NOII.13 The
Exchange intends to implement the EOII
in conjunction with the changes in the
current proposal.14
Currently, pursuant to Rule
4702(b)(11)(A), MOC orders can be
entered, cancelled, or modified between
4:00 a.m. ET and immediately prior to
3:55 p.m. ET. Between 3:55 p.m. ET and
immediately prior to 3:58 p.m. ET, a
MOC order can be cancelled or modified
only if the participant requests that the
Exchange correct a legitimate error in
the order.15 MOC orders cannot be
cancelled or modified at or after 3:58
p.m. ET for any reason. The Exchange
proposes to amend this rule to provide
that MOC orders can be cancelled or
modified between 4:00 a.m. ET and
immediately prior to 3:50 p.m. ET and
that, between 3:50 p.m. ET and
immediately prior to 3:58 p.m. ET, a
MOC order can be cancelled or modified
6 See
Rule 4754(b)(1)(B).
MOC order is an order entered without a price
that can be executed only during the Nasdaq
Closing Cross. See Rule 4702(b)(11).
8 A LOC order is an order entered with a price
that can be executed only in the Nasdaq Closing
Cross, and only if the price determined by the
Nasdaq Closing Cross is equal to or better than the
price at which the LOC order was entered. See Rule
4702(b)(12).
9 An IO order is an order entered with a price that
can be executed only in the Nasdaq Closing Cross
and only against MOC orders or LOC orders. See
Rule 4702(b)(13).
10 Close eligible interest is any quotation or any
order that can be entered into the system and
designated with a time-in-force of SDAY, SGTC,
MDAY, MGTC, SHEX, or GTMC. See Rule
4754(a)(1).
11 See Rule 4754(a)(7).
12 See Rule 4754(b)(1)(A).
13 See Securities Exchange Act Release No. 85292
(March 12, 2019), 84 FR 9848 (March 18, 2019) (SR–
NASDAQ–2019–010).
14 See Amendment No. 1, supra note 4, at 4.
15 A legitimate error for a MOC, LOC, or IO order
includes an error in the side, size, symbol, or price,
or the duplication of an order, as set forth in the
applicable rule for each order type. See id. at 5 n.9.
See also Rule 4702(b)(11)(A), (12)(A), and (13)(A).
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only if the participant requests that the
Exchange correct a legitimate error in
the order.
Currently, pursuant to Rule
4702(b)(13)(A), an IO order can be
entered between 4:00 a.m. ET until the
time of execution of the Nasdaq Closing
Cross, but cannot be cancelled or
modified at or after 3:55 p.m. ET.
Between 3:55 p.m. ET and immediately
prior to 3:58 p.m. ET, however, an IO
order can be cancelled or modified if the
participant requests that the Exchange
correct a legitimate error in the order. IO
orders cannot be cancelled or modified
at or after 3:58 p.m. ET for any reason.
The Exchange proposes to amend this
rule to provide that IO orders cannot be
cancelled or modified at or after 3:50
p.m. ET, except that, between 3:50 p.m.
ET and immediately prior to 3:58 p.m.
ET, an IO order can be cancelled or
modified if the participant requests that
the Exchange correct a legitimate error
in the order.
Currently, pursuant to Rule
4702(b)(12)(A), LOC orders can be
entered, cancelled, or modified between
4:00 a.m. ET and immediately prior to
3:55 p.m. ET. A LOC order can be
entered between 3:55 p.m. ET and
immediately prior to 3:58 p.m. ET
(‘‘Late LOC order’’) provided that there
is a First Reference Price.16 Between
3:55 p.m. ET and immediately prior to
3:58 p.m. ET, LOC orders can be
cancelled (but not modified) only if the
participant requests that the Exchange
correct a legitimate error in the order.
Currently, a Late LOC order will be
accepted at its limit price, unless its
limit price is higher (lower) than the
First Reference Price for a Late LOC
order to buy (sell), in which case the
Late LOC order will be handled
consistent with the participant’s
instruction that the Late LOC order is to
be either: (1) Rejected; or (2) re-priced
to the First Reference Price, provided
that if the First Reference Price is not at
a permissible minimum increment, the
First Reference Price will be rounded (i)
to the nearest permitted minimum
increment (with midpoint prices being
16 ‘‘First Reference Price’’ is currently defined as
‘‘the Current Reference Price in the first Order
Imbalance Indicator disseminated at or after 3:55
p.m. ET.’’ See Rule 4754(a)(9). ‘‘Current Reference
Price’’ means: (i) The single price that is at or
within the current Nasdaq market center best bid
and offer at which the maximum number of shares
of MOC, LOC, and IO orders can be paired; (ii) if
more than one price exists under (i), the price that
minimizes any imbalance; (iii) if more than one
price exists under (ii), the entered price at which
shares will remain unexecuted in the cross; and (iv)
if more than one price exists under (iii), the price
that minimizes the distance from the bid-ask
midpoint of the inside quotation prevailing at the
time of the order imbalance indicator
dissemination. See Rule 4754(a)(7)(A).
PO 00000
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rounded up) if there is no imbalance, (ii)
up if there is a buy imbalance, or (iii)
down if there is a sell imbalance.17
The Exchange proposes to amend
Rule 4702(b)(12)(A) to provide that LOC
orders can be cancelled or modified
between 4:00 a.m. ET and immediately
prior to 3:50 p.m. ET. Between 3:50 p.m.
ET and immediately prior to 3:55 p.m.
ET, a LOC order can be entered but can
only be cancelled or modified if the
participant requests that the Exchange
correct a legitimate error in the order.
Between 3:55 p.m. ET and immediately
prior to 3:58 p.m. ET, a LOC order can
only be cancelled or modified if the
participant requests that the Exchange
correct a legitimate error in the order.
The Exchange also proposes to amend
Rule 4702(b)(12)(A) to permit a Late
LOC order to be entered if there is either
a First Reference Price or a Second
Reference Price. In connection with this
proposed change, the Exchange
proposes to amend the definition of
First Reference Price in Rule 4754(a)(9)
to refer to the Current Reference Price in
the EOII disseminated at 3:50 p.m. ET,
or ten minutes prior to the early closing
time on a day the Exchange closes early.
The Exchange also proposes to add a
new definition of Second Reference
Price in Rule 4754(a)(11) to refer to the
Current Reference Price in the NOII
disseminated at 3:55 p.m. ET, or five
minutes prior to the early closing time
on a day the Exchange closes early.
Moreover, the Exchange proposes to
amend Rule 4702(b)(12)(A) to provide
that a Late LOC order to buy (sell) will
be accepted at its limit price, unless its
limit price is higher (lower) than the
higher (lower) of the First Reference
Price and the Second Reference Price, in
which case the Late LOC order will be
handled consistent with the
participant’s instruction that the Late
LOC order is to be either: (1) Rejected;
or (2) re-priced to the higher (lower) of
the First Reference Price and the Second
Reference Price.18 If the First Reference
Price for a security is zero, Late LOC
orders to buy (sell) will be priced at the
lower (higher) of the Second Reference
Price and the order’s limit price. If the
17 The default configuration for participants that
do not specify otherwise is to have Late LOC orders
re-priced rather than rejected. See Rule
4702(b)(12)(A).
18 If either the First Reference Price or the Second
Reference Price is not at a permissible minimum
increment, the First Reference Price or the Second
Reference Price, as applicable, will be rounded: (i)
To the nearest permitted minimum increment (with
midpoint prices being rounded up) if there is no
imbalance; (ii) up if there is a buy imbalance; or (iii)
down if there is a sell imbalance. See proposed Rule
4702(b)(12)(A). As is currently the case, the default
configuration for participants that do not specify
otherwise will be to have Late LOC orders re-priced
rather than rejected. See id.
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Second Reference Price for a security is
zero, Late LOC orders to buy (sell) will
be priced at the lower (higher) of the
First Reference Price and the order’s
limit price. If both the First Reference
Price and Second Reference Price are
zero, all Late LOC orders to buy or sell
will be rejected.19
Finally, the Exchange proposes to
replace the term ‘‘Eligible Interest’’ with
the defined term ‘‘Close Eligible
Interest’’ in the definition of ‘‘Near
Clearing Price’’ in Rule 4754(a)(7)(E)(ii)
to correct an inadvertent error.20
III. Discussion and Commission
Findings
After careful review, the Commission
finds that the proposed rule change, as
modified by Amendment No. 1, is
consistent with the requirements of the
Act and the rules and regulations
thereunder applicable to a national
securities exchange.21 In particular, the
Commission finds that the proposed
rule change is consistent with Section
6(b)(5) of the Act,22 which requires,
among other things, that the rules of a
national securities exchange be
designed to prevent fraudulent and
manipulative acts and practices, to
promote just and equitable principles of
trade, to foster cooperation and
coordination with persons engaged in
facilitating transactions in securities, to
remove impediments to and perfect the
mechanism of a free and open market
and a national market system, and, in
general, to protect investors and the
public interest.
As discussed above, the Exchange
proposes to expand the time periods
during which MOC, LOC, and IO orders
can be cancelled or modified only if the
participant requests that the Exchange
correct a legitimate error in the order
(i.e., from between 3:55 p.m. ET and
immediately prior to 3:58 p.m. ET, to
between 3:50 p.m. ET and immediately
prior to 3:58 p.m. ET). The Commission
believes that the proposal could reduce
the possibility of large price movements
in the Nasdaq Closing Cross process that
may result from modifications and
cancellations of MOC, LOC, and IO
orders starting at 3:50 p.m. ET in
response to the EOII.23 The Commission
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19 See
Amendment No. 1, supra note 4, for
additional description and examples of the
proposed rule change.
20 See id. at 10.
21 In approving this proposed rule change, the
Commission has considered the proposed rule’s
impact on efficiency, competition, and capital
formation. See 15 U.S.C. 78c(f).
22 15 U.S.C. 78f(b)(5).
23 The proposal could also result in an increased
number of MOC, LOC, and IO orders that
participate in the Nasdaq Closing Cross because it
restricts the cancellation and modification of these
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also notes that the time periods for
entering MOC, LOC, and IO orders
remain unchanged, and participants
may consider information in the EOII
and NOII, as applicable, in entering
these orders.
In addition, as discussed above, the
Exchange proposes to permit the entry
of Late LOC orders provided that there
is either a First Reference Price or a
Second Reference Price, and to permit a
Late LOC order to be priced at the more
aggressive of the First Reference Price,
Second Reference Price, or its limit
price. The Commission believes that the
proposal may encourage additional
participation in the Nasdaq Closing
Cross by allowing participants to
consider the information disseminated
in both the EOII and NOII in making
decisions with respect to the use of Late
LOC orders. Moreover, the proposal may
increase participation in the Nasdaq
Closing Cross because, under the
proposal, a Late LOC order with a limit
price that is more aggressive than the
Second Reference Price would not be
rejected or re-priced if its limit price is
less aggressive than the First Reference
Price.24
The Commission also believes the
proposal to replace the term ‘‘Eligible
Interest’’ with the defined term ‘‘Close
Eligible Interest’’ in the definition of
‘‘Near Clearing Price’’ in Rule
4754(a)(7)(E)(ii) is consistent with the
Act because using a defined term would
render the rule text more precise and
accurate.
IV. Solicitation of Comments on
Amendment No. 1 to the Proposed Rule
Change
Interested persons are invited to
submit written data, views, and
arguments concerning whether
Amendment No. 1 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–
NASDAQ–2019–064 on the subject line.
Paper Comments
• Send paper comments in triplicate
to Secretary, Securities and Exchange
orders by providing for a longer period of time
during which these orders can only be cancelled or
modified if the participant requests that the
Exchange correct a legitimate error in the order.
24 Currently, a Late LOC order with a limit price
that is more aggressive than the Second Reference
Price (which is currently defined as the ‘‘First
Reference Price’’) is either rejected or re-priced to
the Second Reference Price.
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53785
Commission, 100 F Street NE,
Washington, DC 20549–1090.
All submissions should refer to File
Number SR–NASDAQ–2019–064. 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 website (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 website 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 the
filing also will be available for
inspection and copying at the principal
office of the Exchange. All comments
received will be posted without change.
Persons submitting comments are
cautioned that we do not redact or edit
personal identifying information from
comment submissions. You should
submit only information that you wish
to make available publicly. All
submissions should refer to File
Number SR–NASDAQ–2019–064, and
should be submitted on or before
October 29, 2019.
V. Accelerated Approval of Proposed
Rule Change, as Modified by
Amendment No. 1
The Commission finds good cause to
approve the proposed rule change, as
modified by Amendment No. 1, prior to
the thirtieth day after the date of
publication of notice of the filing of
Amendment No. 1 in the Federal
Register. As discussed above, in
Amendment No. 1, the Exchange
revised the proposal to: (1) Specify the
time during which MOC orders can be
cancelled or modified; (2) remove
proposed changes to the Nasdaq Pricing
Schedule in Equity 7, Section 118; (3)
include additional description,
examples, and justification related to
the proposed rule change; and (4) make
technical, clarifying, and conforming
changes. The Commission believes that
Amendment No. 1 does not raise any
novel regulatory issues or make any
significant substantive changes to the
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Federal Register / Vol. 84, No. 195 / Tuesday, October 8, 2019 / Notices
original proposal, which was subject to
a full notice and comment period during
which no comments were received. The
Commission also notes that Amendment
No. 1 provides additional accuracy,
clarity, and justification to the proposal.
Accordingly, the Commission finds
good cause, pursuant to Section 19(b)(2)
of the Act,25 to approve the proposed
rule change, as modified by Amendment
No. 1, on an accelerated basis.
VI. Conclusion
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act,26 that the
proposed rule change (SR–NASDAQ–
2019–064), as modified by Amendment
No. 1, be, and hereby is, approved on an
accelerated basis.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.27
Jill M. Peterson,
Assistant Secretary.
[FR Doc. 2019–21883 Filed 10–7–19; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–87199; File No. SR–MIAX–
2019–37]
Self-Regulatory Organizations; Miami
International Securities Exchange,
LLC; Order Approving a Proposed
Rule Change To Amend Exchange
Rule 518, Complex Orders, To Adopt
New Interpretation and Policy .07,
SPIKES Combo Orders
October 2, 2019.
I. Introduction
On August 9, 2019, Miami
International Securities Exchange, LLC
(‘‘MIAX’’ 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
provide for the trading of SPIKES
Combo Orders.3 The proposed rule
change was published for comment in
the Federal Register on August 20,
25 15
U.S.C. 78s(b)(2).
26 Id.
27 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 SPIKES Combo Orders are comprised of
multiple series of SPIKESTM Index (‘‘SPIKES’’)
options. The SPIKES Index measures expected 30day volatility of the SPDR S&P 500 ETF Trust
(‘‘SPY’’). See Securities Exchange Act Release No.
84417 (October 12, 2018), 83 FR 52865 (October 18,
2018) (File No. SR–MIAX–2018–14) (approving the
listing and trading of SPIKES Index options).
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2019.4 The Commission received no
comment letters regarding the proposed
rule change. This order approves the
proposed rule change.
II. Description of the Proposed Rule
Change
The Exchange proposes to amend
MIAX Rule 518, Complex Orders, to
adopt new Interpretation and Policy .07
to provide for the trading of SPIKES
Combo Orders. A SPIKES Combo Order
is an order to purchase or sell one or
more SPIKES option series and the
offsetting number of SPIKES
Combinations defined by the delta.5 A
SPIKES Combination is a purchase
(sale) of a SPIKES call option and the
sale (purchase) of a SPIKES put option
having the same expiration date and
strike price.6 The delta is the positive
(negative) number of SPIKES
Combinations that must be sold
(purchased) to establish a market
neutral hedge with one or more SPIKES
option series.7
Under the proposed rule, a SPIKES
Combo Order may not have a ratio
greater than eight options to one Spikes
Combination.8 In addition, a SPIKES
Combo Orders will be subject to all of
the provisions in MIAX Rule 518 that
are applicable to complex orders, other
than the requirement that the
component legs of a complex order have
a ratio that is equal to or greater than
one-to-three and less than or equal to
three-to-one.9 The proposal is designed
4 See Securities Exchange Act Release No. 86682
(August 14, 2019), 84 FR 43212 (‘‘Notice’’).
5 See proposed MIAX Rule 518, Interpretation
and Policy .07(a)(3).
6 See proposed MIAX Rule 518, Interpretation
and Policy .07(a)(1).
7 See proposed MIAX Rule 518, Interpretation
and Policy .07(a)(2). The delta is a measure of the
change in an option’s price resulting from a change
in the underlying security. See Notice, 84 FR at
43212.
8 See proposed MIAX Rule 518, Interpretation
and Policy .07(a)(4). MIAX notes that its rules
governing stock-option orders currently permit the
trading of stock-option orders with an 8:1 ratio,
where the ratio represents the number of option
contracts to the underlying security. See Notice, 84
FR at 43214. See also MIAX Rule 518(a)(5) (defining
stock-option order as an order to buy or sell a stated
number of units of an underlying security (stock or
Exchange Traded Fund Share) or a security
convertible into the underlying stock (‘‘convertible
security’’) coupled with the purchase or sale of
options contract(s) on the opposite side of the
market representing either (i) the same number of
units of the underlying security or convertible
security, or (ii) the number of units of the
underlying stock necessary to create a delta neutral
position, but in no case in a ratio greater than eightto-one (8.00), where the ratio represents the total
number of units of the underlying security or
convertible security (i.e., contracts) in the option leg
to the total number of units of the underlying
security (i.e., 100 shares) or convertible security in
the stock leg).
9 See proposed MIAX Rule 518, Interpretation
and Policy .07(a)(4)(i). MIAX’s rules defines a
PO 00000
Frm 00115
Fmt 4703
Sfmt 4703
to facilitate delta neutral hedging for
SPIKES options.10 MIAX states that
delta hedging aims to reduce the risk
associated with price movements in the
underlying asset.11 MIAX notes that an
options position may be delta hedged
with other options 12 or with shares of
the underlying stock.13 Although
SPIKES options, which are based on an
index, do not have an underlying stock
that may serve as a hedge, a SPIKES
Combination Order creates a synthetic
underlying position that is the
functional equivalent of the stock leg of
a stock-option order.14 MIAX believes
that permitting SPIKES Combo Orders
with an 8:1 ratio will align the treatment
of SPIKES Combo Orders with the
treatment of stock-option orders and
permit additional hedging
opportunities.15
MIAX states that it has the system
capacity and capability to handle the
potential increase in transaction rates
that could result from the trading of
SPIKES Combo Orders.16 In addition,
MIAX states that it will have
surveillance to monitor compliance
with the Exchange’s rules, specifically
as they pertain to delta neutral
transactions.17
III. Discussion and Commission
Findings
After careful review, the Commission
finds that the proposed rule change is
consistent with the requirements of the
Act,18 and the rules and regulations
thereunder applicable to a national
securities exchange.19 In particular, the
Commission finds that the proposed
rule change is consistent with Section
complex order as any order involving the
concurrent purchase and/or sale of two or more
different options in the same underlying security
(the ‘‘legs’’ or ‘‘components’’ of the complex order),
for the same account, in a ratio that is equal to or
greater than one-to-three (.333) and less than or
equal to three-to-one (3.00) and for the purposes of
executing a particular investment strategy. See
MIAX Rule 518(a)(5).
10 See Notice, 84 FR at 43214.
11 See id. at 43213.
12 For example, a call option with a delta of 0.50
could be hedged by a put option with a delta of
¥0.50, resulting in a position with a delta of zero.
See id.
13 See id.
14 See id. at 43214.
15 MIAX notes that market participants that
transact in SPIKES options currently may submit
complex orders that are delta neutral as long as the
ratio for the component legs of the transaction
conforms to the current 1:3/3:1 ratio applicable to
complex orders. See id.
16 See id. at 43215.
17 See id.
18 15 U.S.C. 78f.
19 In approving this proposed rule change, the
Commission has considered the proposed rule’s
impact on efficiency, competition, and capital
formation. See 15 U.S.C. 78c(f).
E:\FR\FM\08OCN1.SGM
08OCN1
]]>Agencies
[Federal Register Volume 84, Number 195 (Tuesday, October 8, 2019)]
[Notices]
[Pages 53783-53786]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-21883]
=======================================================================
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-87198; File No. SR-NASDAQ-2019-064]
Self-Regulatory Organizations; The Nasdaq Stock Market LLC;
Notice of Filing of Amendment No. 1 and Order Granting Accelerated
Approval of a Proposed Rule Change, as Modified by Amendment No. 1, To
Amend Certain Cutoff Times for On-Close Orders Entered for
Participation in the Nasdaq Closing Cross and Adopt a Second Reference
Price for Limit-On-Close Orders
October 2, 2019.
I. Introduction
On July 31, 2019, The Nasdaq Stock Market LLC (``Exchange'' or
``Nasdaq'') 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 amend certain cutoff times for on-close orders
entered for participation in the Nasdaq Closing Cross and adopt a
Second Reference Price for limit-on-close orders. The proposed rule
change was published for comment in the Federal Register on August 19,
2019.\3\ On September 6, 2019, the Exchange filed Amendment No. 1 to
the proposed rule change, which amended and superseded the proposed
rule change as originally filed.\4\ The Commission received no comment
letters on the proposed rule change. The Commission is publishing this
notice to solicit comments on Amendment No. 1 from interested persons,
and is approving the proposed rule change, as modified by Amendment No.
1, on an accelerated basis.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ See Securities Exchange Act Release No. 86642 (August 13,
2019), 84 FR 42964.
\4\ In Amendment No. 1, the Exchange revised the proposal to:
(1) Specify the time during which market-on-close orders can be
cancelled or modified; (2) remove proposed changes to the Nasdaq
Pricing Schedule in Equity 7, Section 118; (3) include additional
description, examples, and justification related to the proposed
rule change; and (4) make technical, clarifying, and conforming
changes. Amendment No. 1 is available at https://www.sec.gov/comments/sr-nasdaq-2019-064/srnasdaq2019064-6088461-191827.pdf.
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II. Description of the Proposal
The Nasdaq Closing Cross is the Exchange's process for determining
the price at which orders would be executed at the close and for
executing those orders.\5\ Currently, the Exchange
[[Page 53784]]
disseminates the Order Imbalance Indicator (``NOII'') for the Nasdaq
Closing Cross beginning at 3:55 p.m. ET or five minutes prior to the
early closing time on a day when the Exchange closes early.\6\ The NOII
is an electronically disseminated message containing information about
market-on-close (``MOC''),\7\ limit-on-close (``LOC''),\8\ and
imbalance only (``IO'') \9\ orders, as well as close eligible interest
\10\ and the price at which those orders would execute at the time of
the NOII dissemination.\11\ The Exchange recently also adopted rules
for the early order imbalance indicator (``EOII''), which the Exchange
will begin disseminating at 3:50 p.m. ET or ten minutes prior to the
early closing time on a day when the Exchange closes early \12\ and
will contain a subset of the information comprising the NOII.\13\ The
Exchange intends to implement the EOII in conjunction with the changes
in the current proposal.\14\
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\5\ See Rule 4754(a)(6).
\6\ See Rule 4754(b)(1)(B).
\7\ A MOC order is an order entered without a price that can be
executed only during the Nasdaq Closing Cross. See Rule 4702(b)(11).
\8\ A LOC order is an order entered with a price that can be
executed only in the Nasdaq Closing Cross, and only if the price
determined by the Nasdaq Closing Cross is equal to or better than
the price at which the LOC order was entered. See Rule 4702(b)(12).
\9\ An IO order is an order entered with a price that can be
executed only in the Nasdaq Closing Cross and only against MOC
orders or LOC orders. See Rule 4702(b)(13).
\10\ Close eligible interest is any quotation or any order that
can be entered into the system and designated with a time-in-force
of SDAY, SGTC, MDAY, MGTC, SHEX, or GTMC. See Rule 4754(a)(1).
\11\ See Rule 4754(a)(7).
\12\ See Rule 4754(b)(1)(A).
\13\ See Securities Exchange Act Release No. 85292 (March 12,
2019), 84 FR 9848 (March 18, 2019) (SR-NASDAQ-2019-010).
\14\ See Amendment No. 1, supra note 4, at 4.
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Currently, pursuant to Rule 4702(b)(11)(A), MOC orders can be
entered, cancelled, or modified between 4:00 a.m. ET and immediately
prior to 3:55 p.m. ET. Between 3:55 p.m. ET and immediately prior to
3:58 p.m. ET, a MOC order can be cancelled or modified only if the
participant requests that the Exchange correct a legitimate error in
the order.\15\ MOC orders cannot be cancelled or modified at or after
3:58 p.m. ET for any reason. The Exchange proposes to amend this rule
to provide that MOC orders can be cancelled or modified between 4:00
a.m. ET and immediately prior to 3:50 p.m. ET and that, between 3:50
p.m. ET and immediately prior to 3:58 p.m. ET, a MOC order can be
cancelled or modified only if the participant requests that the
Exchange correct a legitimate error in the order.
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\15\ A legitimate error for a MOC, LOC, or IO order includes an
error in the side, size, symbol, or price, or the duplication of an
order, as set forth in the applicable rule for each order type. See
id. at 5 n.9. See also Rule 4702(b)(11)(A), (12)(A), and (13)(A).
---------------------------------------------------------------------------
Currently, pursuant to Rule 4702(b)(13)(A), an IO order can be
entered between 4:00 a.m. ET until the time of execution of the Nasdaq
Closing Cross, but cannot be cancelled or modified at or after 3:55
p.m. ET. Between 3:55 p.m. ET and immediately prior to 3:58 p.m. ET,
however, an IO order can be cancelled or modified if the participant
requests that the Exchange correct a legitimate error in the order. IO
orders cannot be cancelled or modified at or after 3:58 p.m. ET for any
reason. The Exchange proposes to amend this rule to provide that IO
orders cannot be cancelled or modified at or after 3:50 p.m. ET, except
that, between 3:50 p.m. ET and immediately prior to 3:58 p.m. ET, an IO
order can be cancelled or modified if the participant requests that the
Exchange correct a legitimate error in the order.
Currently, pursuant to Rule 4702(b)(12)(A), LOC orders can be
entered, cancelled, or modified between 4:00 a.m. ET and immediately
prior to 3:55 p.m. ET. A LOC order can be entered between 3:55 p.m. ET
and immediately prior to 3:58 p.m. ET (``Late LOC order'') provided
that there is a First Reference Price.\16\ Between 3:55 p.m. ET and
immediately prior to 3:58 p.m. ET, LOC orders can be cancelled (but not
modified) only if the participant requests that the Exchange correct a
legitimate error in the order. Currently, a Late LOC order will be
accepted at its limit price, unless its limit price is higher (lower)
than the First Reference Price for a Late LOC order to buy (sell), in
which case the Late LOC order will be handled consistent with the
participant's instruction that the Late LOC order is to be either: (1)
Rejected; or (2) re-priced to the First Reference Price, provided that
if the First Reference Price is not at a permissible minimum increment,
the First Reference Price will be rounded (i) to the nearest permitted
minimum increment (with midpoint prices being rounded up) if there is
no imbalance, (ii) up if there is a buy imbalance, or (iii) down if
there is a sell imbalance.\17\
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\16\ ``First Reference Price'' is currently defined as ``the
Current Reference Price in the first Order Imbalance Indicator
disseminated at or after 3:55 p.m. ET.'' See Rule 4754(a)(9).
``Current Reference Price'' means: (i) The single price that is at
or within the current Nasdaq market center best bid and offer at
which the maximum number of shares of MOC, LOC, and IO orders can be
paired; (ii) if more than one price exists under (i), the price that
minimizes any imbalance; (iii) if more than one price exists under
(ii), the entered price at which shares will remain unexecuted in
the cross; and (iv) if more than one price exists under (iii), the
price that minimizes the distance from the bid-ask midpoint of the
inside quotation prevailing at the time of the order imbalance
indicator dissemination. See Rule 4754(a)(7)(A).
\17\ The default configuration for participants that do not
specify otherwise is to have Late LOC orders re-priced rather than
rejected. See Rule 4702(b)(12)(A).
---------------------------------------------------------------------------
The Exchange proposes to amend Rule 4702(b)(12)(A) to provide that
LOC orders can be cancelled or modified between 4:00 a.m. ET and
immediately prior to 3:50 p.m. ET. Between 3:50 p.m. ET and immediately
prior to 3:55 p.m. ET, a LOC order can be entered but can only be
cancelled or modified if the participant requests that the Exchange
correct a legitimate error in the order. Between 3:55 p.m. ET and
immediately prior to 3:58 p.m. ET, a LOC order can only be cancelled or
modified if the participant requests that the Exchange correct a
legitimate error in the order.
The Exchange also proposes to amend Rule 4702(b)(12)(A) to permit a
Late LOC order to be entered if there is either a First Reference Price
or a Second Reference Price. In connection with this proposed change,
the Exchange proposes to amend the definition of First Reference Price
in Rule 4754(a)(9) to refer to the Current Reference Price in the EOII
disseminated at 3:50 p.m. ET, or ten minutes prior to the early closing
time on a day the Exchange closes early. The Exchange also proposes to
add a new definition of Second Reference Price in Rule 4754(a)(11) to
refer to the Current Reference Price in the NOII disseminated at 3:55
p.m. ET, or five minutes prior to the early closing time on a day the
Exchange closes early.
Moreover, the Exchange proposes to amend Rule 4702(b)(12)(A) to
provide that a Late LOC order to buy (sell) will be accepted at its
limit price, unless its limit price is higher (lower) than the higher
(lower) of the First Reference Price and the Second Reference Price, in
which case the Late LOC order will be handled consistent with the
participant's instruction that the Late LOC order is to be either: (1)
Rejected; or (2) re-priced to the higher (lower) of the First Reference
Price and the Second Reference Price.\18\ If the First Reference Price
for a security is zero, Late LOC orders to buy (sell) will be priced at
the lower (higher) of the Second Reference Price and the order's limit
price. If the
[[Page 53785]]
Second Reference Price for a security is zero, Late LOC orders to buy
(sell) will be priced at the lower (higher) of the First Reference
Price and the order's limit price. If both the First Reference Price
and Second Reference Price are zero, all Late LOC orders to buy or sell
will be rejected.\19\
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\18\ If either the First Reference Price or the Second Reference
Price is not at a permissible minimum increment, the First Reference
Price or the Second Reference Price, as applicable, will be rounded:
(i) To the nearest permitted minimum increment (with midpoint prices
being rounded up) if there is no imbalance; (ii) up if there is a
buy imbalance; or (iii) down if there is a sell imbalance. See
proposed Rule 4702(b)(12)(A). As is currently the case, the default
configuration for participants that do not specify otherwise will be
to have Late LOC orders re-priced rather than rejected. See id.
\19\ See Amendment No. 1, supra note 4, for additional
description and examples of the proposed rule change.
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Finally, the Exchange proposes to replace the term ``Eligible
Interest'' with the defined term ``Close Eligible Interest'' in the
definition of ``Near Clearing Price'' in Rule 4754(a)(7)(E)(ii) to
correct an inadvertent error.\20\
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\20\ See id. at 10.
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III. Discussion and Commission Findings
After careful review, the Commission finds that the proposed rule
change, as modified by Amendment No. 1, is consistent with the
requirements of the Act and the rules and regulations thereunder
applicable to a national securities exchange.\21\ In particular, the
Commission finds that the proposed rule change is consistent with
Section 6(b)(5) of the Act,\22\ which requires, among other things,
that the rules of a national securities exchange be designed to prevent
fraudulent and manipulative acts and practices, to promote just and
equitable principles of trade, to foster cooperation and coordination
with persons engaged in facilitating transactions in securities, to
remove impediments to and perfect the mechanism of a free and open
market and a national market system, and, in general, to protect
investors and the public interest.
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\21\ In approving this proposed rule change, the Commission has
considered the proposed rule's impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
\22\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
As discussed above, the Exchange proposes to expand the time
periods during which MOC, LOC, and IO orders can be cancelled or
modified only if the participant requests that the Exchange correct a
legitimate error in the order (i.e., from between 3:55 p.m. ET and
immediately prior to 3:58 p.m. ET, to between 3:50 p.m. ET and
immediately prior to 3:58 p.m. ET). The Commission believes that the
proposal could reduce the possibility of large price movements in the
Nasdaq Closing Cross process that may result from modifications and
cancellations of MOC, LOC, and IO orders starting at 3:50 p.m. ET in
response to the EOII.\23\ The Commission also notes that the time
periods for entering MOC, LOC, and IO orders remain unchanged, and
participants may consider information in the EOII and NOII, as
applicable, in entering these orders.
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\23\ The proposal could also result in an increased number of
MOC, LOC, and IO orders that participate in the Nasdaq Closing Cross
because it restricts the cancellation and modification of these
orders by providing for a longer period of time during which these
orders can only be cancelled or modified if the participant requests
that the Exchange correct a legitimate error in the order.
---------------------------------------------------------------------------
In addition, as discussed above, the Exchange proposes to permit
the entry of Late LOC orders provided that there is either a First
Reference Price or a Second Reference Price, and to permit a Late LOC
order to be priced at the more aggressive of the First Reference Price,
Second Reference Price, or its limit price. The Commission believes
that the proposal may encourage additional participation in the Nasdaq
Closing Cross by allowing participants to consider the information
disseminated in both the EOII and NOII in making decisions with respect
to the use of Late LOC orders. Moreover, the proposal may increase
participation in the Nasdaq Closing Cross because, under the proposal,
a Late LOC order with a limit price that is more aggressive than the
Second Reference Price would not be rejected or re-priced if its limit
price is less aggressive than the First Reference Price.\24\
---------------------------------------------------------------------------
\24\ Currently, a Late LOC order with a limit price that is more
aggressive than the Second Reference Price (which is currently
defined as the ``First Reference Price'') is either rejected or re-
priced to the Second Reference Price.
---------------------------------------------------------------------------
The Commission also believes the proposal to replace the term
``Eligible Interest'' with the defined term ``Close Eligible Interest''
in the definition of ``Near Clearing Price'' in Rule 4754(a)(7)(E)(ii)
is consistent with the Act because using a defined term would render
the rule text more precise and accurate.
IV. Solicitation of Comments on Amendment No. 1 to the Proposed Rule
Change
Interested persons are invited to submit written data, views, and
arguments concerning whether Amendment No. 1 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 [email protected]. Please include
File Number SR-NASDAQ-2019-064 on the subject line.
Paper Comments
Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.
All submissions should refer to File Number SR-NASDAQ-2019-064. 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 website (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 website 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 the filing also will be available for inspection
and copying at the principal office of the Exchange. All comments
received will be posted without change. Persons submitting comments are
cautioned that we do not redact or edit personal identifying
information from comment submissions. You should submit only
information that you wish to make available publicly. All submissions
should refer to File Number SR-NASDAQ-2019-064, and should be submitted
on or before October 29, 2019.
V. Accelerated Approval of Proposed Rule Change, as Modified by
Amendment No. 1
The Commission finds good cause to approve the proposed rule
change, as modified by Amendment No. 1, prior to the thirtieth day
after the date of publication of notice of the filing of Amendment No.
1 in the Federal Register. As discussed above, in Amendment No. 1, the
Exchange revised the proposal to: (1) Specify the time during which MOC
orders can be cancelled or modified; (2) remove proposed changes to the
Nasdaq Pricing Schedule in Equity 7, Section 118; (3) include
additional description, examples, and justification related to the
proposed rule change; and (4) make technical, clarifying, and
conforming changes. The Commission believes that Amendment No. 1 does
not raise any novel regulatory issues or make any significant
substantive changes to the
[[Page 53786]]
original proposal, which was subject to a full notice and comment
period during which no comments were received. The Commission also
notes that Amendment No. 1 provides additional accuracy, clarity, and
justification to the proposal. Accordingly, the Commission finds good
cause, pursuant to Section 19(b)(2) of the Act,\25\ to approve the
proposed rule change, as modified by Amendment No. 1, on an accelerated
basis.
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\25\ 15 U.S.C. 78s(b)(2).
---------------------------------------------------------------------------
VI. Conclusion
It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\26\ that the proposed rule change (SR-NASDAQ-2019-064), as
modified by Amendment No. 1, be, and hereby is, approved on an
accelerated basis.
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\26\ Id.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\27\
---------------------------------------------------------------------------
\27\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Jill M. Peterson,
Assistant Secretary.
[FR Doc. 2019-21883 Filed 10-7-19; 8:45 am]
BILLING CODE 8011-01-P
