Joint Industry Plan; Notice of Filing of Amendment No. 5 to the Plan for the Purpose of Developing and Implementing Procedures Designed To Facilitate the Listing and Trading of Standardized Options To Adopt a Penny Interval Program, 68960-68985 [2019-26816]
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68960
Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
mind, we seek the public’s input on the
following questions:
1. What policies and practices are
most beneficial in fostering a culture of
safe and inclusive research
environments? Where applicable, please
provide information on:
a. Organizational leadership actions
that create a culture of inclusivity;
b. Best practices for preventing
harassment from beginning;
c. Best practices for prohibiting
retaliation against those who report
harassment;
d. Best practices for re-integrating
those who have been accused of
harassment but found to be innocent;
e. Whether your organization has a
common code of ethics applicable to
researchers, and whether that code is
highlighted and actively promoted in
training, research practice, etc;
f. How institution-based procedures
for reporting cases of sexual harassment
and non-sexual harassment (or toxic
climate) differ, and if there are aspects
of one set of policies that would be
beneficial for broader inclusion.
2. What barriers does your
organization face in the recruitment and
retention of diverse researchers? Where
applicable, please provide information
on:
a. The setting to which it applies (i.e.,
academic, industry, etc.);
b. Whether your organization has best
practices or challenges specific to
recruitment and retention of global
talent;
c. Solutions your organization has
used to successfully increase
recruitment or retention of diverse and/
or international researchers;
d. Best practices to promote bold
thinking and enable collegiality in
debate.
3. Are Federal agency policies on
harassment complimentary or
conflicting with regard to state or
organizational policies? Where
applicable, please provide information
on:
a. What aspects are in conflict, along
with the associated agency policy;
b. What aspects are most protective
and make policy reasonable to
implement;
c. What processes have effectively
streamlined the administrative
workload associated with
implementation, compliance, or
reporting.
4. What metrics can the Federal
government use to assess progress in
promoting safer and more inclusive
research environments? Where
applicable, please provide information
on:
a. What methods your organization
uses to assess workplace climate;
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b. What systems within your
organization were developed to enforce
and/or report back to agencies;
c. What metrics does your
organization uses to assess effectiveness
of safe and inclusive practices;
d. What actions does your
organization take communicate climate
survey results, both within your
organization and to external
stakeholders?
Sean Bonyun,
Chief of Staff, Office of Science and
Technology Policy.
[FR Doc. 2019–27165 Filed 12–16–19; 8:45 am]
BILLING CODE 3270–F9–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–87681; File No. 4–443]
Joint Industry Plan; Notice of Filing of
Amendment No. 5 to the Plan for the
Purpose of Developing and
Implementing Procedures Designed To
Facilitate the Listing and Trading of
Standardized Options To Adopt a
Penny Interval Program
December 9, 2019.
I. Introduction
Pursuant to Section 11A(a)(3) of the
Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 608 thereunder,2
notice is hereby given that on July 18,
2019, BOX Exchange LLC; Cboe BZX
Exchange, Inc.; Cboe C2 Exchange, Inc.;
Cboe Exchange, Inc.; Cboe EDGX
Exchange, Inc.; Miami International
Securities Exchange, LLC; MIAX
Emerald, LLC; MIAX PEARL, LLC;
Nasdaq BX, Inc.; Nasdaq GEMX, LLC;
Nasdaq ISE, LLC; Nasdaq MRX, LLC;
Nasdaq PHLX LLC; The Nasdaq Stock
Market LLC; NYSE American, LLC;
NYSE Arca, Inc. (collectively,
‘‘Exchanges’’); and The Options Clearing
Corporation (‘‘OCC’’ and together with
OCC, ‘‘Plan Sponsors’’) filed
Amendment No. 5 to the Plan for the
Purpose of Developing and
Implementing Procedures to Facilitate
the Listing and Trading of Standardized
Options (‘‘OLPP’’).3 The proposal
1 15
U.S.C. 78k–1(a)(3).
CFR 242.608.
3 See Letter from BOX Exchange LLC, CBOE BZX
Exchange, Inc., CBOE Exchange, Inc., CBOE C2
Exchange, Inc, CBOE EDGX Exchange, Inc., Miami
International Securities Exchange, LLC, MIAX
Emerald, LLC, MIAX PEARL, LLC, NASDAQ BX,
Inc., NASDAQ GEMX, LLC, NASDAQ ISE, LLC,
NASDAQ MRX, LLC, NASDAQ PHLX, LLC, The
NASDAQ Stock Market LLC, NYSE American, LLC,
NYSE Arca, Inc., and the OCC, to Vanessa
Countryman, Secretary, Commission, dated July 18,
2019. On July 6, 2001, the Commission approved
2 17
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reflects changes unanimously approved
by the Plan Sponsors. The Amendment
No. 5 proposes to adopt provisions that
(i) establish a Program for quoting
certain classes in penny increments; (ii)
establish an annual review process to
add to and/or remove option classes
from the Penny Program; (iii) allow an
option class to be added to the Penny
Program if it is a newly listed option
class and it meets certain criteria; (iv)
allow an option class with significant
growth in activity to be added to the
Penny Program if it meets certain
criteria; (v) provide that if a corporate
action involves one or more option
classes in the Penny Program, all
adjusted and unadjusted series of the
option class shall be included in the
Penny Program; (vi) provide that any
series in an option class participating in
the Penny Program in which the
underlying security has been delisted,
or are identified by OCC as ineligible for
opening customer transactions, will
continue to quote pursuant to the rules
of the Penny Program until all such
options have expired; and (vii) establish
an amendment process for the Penny
Program. A copy of a report submitted
by the Exchanges in support of the
Amendment is attached as Exhibit A
hereto. A copy of the Plan, as proposed
to be amended, is attached as Exhibit B
hereto. The Commission is publishing
this notice to solicit comments from
interested persons on the Amendment
No. 5.4
the OLPP, which was proposed by the American
Stock Exchange LLC, Chicago Board Options
Exchange, Incorporated, International Securities
Exchange LLC, OCC, Philadelphia Stock Exchange,
Inc., and Pacific Exchange, Inc. See Securities
Exchange Act Release No. 44521, 66 FR 36809 (July
13, 2001). See also Securities Exchange Act Release
Nos. 49199 (February 5, 2004), 69 FR 7030
(February 12, 2004) (adding Boston Stock Exchange,
Inc. as a Plan Sponsor); 57546 (March 21, 2008), 73
FR 16393 (March 27, 2008) (adding The Nasdaq
Stock Market, LLC as a Plan Sponsor); 61528
(February 17, 2010), 75 FR 8415 (February 24, 2010)
(adding BATS Exchange, Inc. as a Plan Sponsor);
63162 (October 22, 2010), 75 FR 66401 (October 28,
2010) (adding C2 Options Exchange Incorporated as
a Plan Sponsor); 66952 (May 9, 2012), 77 FR 28641
(May 15, 2012) (adding BOX Options Exchange LLC
as a Plan Sponsor); 67327 (June 29, 2012), 77 FR
40125 (July 6, 2012) (adding Nasdaq OMX BX, Inc.
as a Plan Sponsor); 70765 (October 28, 2013), 78 FR
65739 (November 1, 2013) (adding Topaz Exchange,
LLC as a Plan Sponsor); 70764 (October 28, 2013),
78 FR 65733 (November 1, 2013) (adding Miami
International Securities Exchange, LLC as a Plan
Sponsor); 76822 (January 1, 2016), 81 FR 1251
(January 11, 2016) (adding EDGX Exchange, Inc. as
a Plan Sponsor); 77323 (March 8, 2016), 81 FR
13433 (March 14, 2016) (adding ISE Mercury, LLC
as a Plan Sponsor); 79897 (January 30, 2017), 82 FR
9263 (February 3, 2017) (adding MIAX PEARL, LLC
as a Plan Sponsor); and 85228 (March 1, 2019), 84
FR 8355 (March 7, 2019) (adding MIAX Emerald,
LLC as a Plan Sponsor).
4 17 CFR 242.608. All capitalized and undefined
terms used in this letter have the same meanings
assigned to them in the OLPP.
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II. Description of the Plan
Set forth in this Section I is the
statement of the purpose and summary
of Amendment No. 5, along with the
information required by Rule 608(a)(4)
and (5) under the Exchange Act,5
prepared and submitted by the Plan
Sponsors to the Commission.6
A. Statement of Purpose and Summary
of the Plan Amendment
The Plan Sponsors have agreed to
amend the OLPP to govern the listing of
option classes that quote in one-cent
increments and five-cent increments
under a Penny Interval Program (‘‘Penny
Program’’).7 In particular, the
Amendment proposes to adopt a new
Section 3.1 that includes provisions to
(i) establish an annual review process to
add to and/or remove option classes
from the Penny Program; (ii) allow an
option class to be added to the Penny
Program if it is a newly listed option
class and it meets certain criteria; (iii)
allow an option class with significant
growth in activity to be added to the
Penny Program if it meets certain
criteria; (iv) provide that if a corporate
action involves one or more option
classes in the Penny Program, all
adjusted and unadjusted series of the
option class shall be included in the
Penny Program; (v) provide that any
series in an option class participating in
the Penny Program in which the
underlying security has been delisted,
or are identified by OCC as ineligible for
opening customer transactions, will
continue to quote pursuant to the rules
of the Penny Program until all such
options have expired; and (vi) establish
an amendment process for the Penny
Program.
The Plan Sponsors propose to
establish the Penny Program as a
permanent replacement to the current
5 See
17 CFR 242.608(a)(4) and (a)(5).
Transmittal Letter, supra note 3.
7 This Amendment No. 5 also seeks to make
administrative changes in Section 4 of the OLPP to
replace references to the adjustment panel with
OCC. On November 9, 2018, the Commission
approved a Supplement to the Options Disclosure
Document. The Supplement provided for the
implementation of modifications to the OCC ByLaws that transferred the authority to make contract
adjustment determinations from adjustment panels,
consisting of representatives from option
exchanges, to OCC. The proposed modification to
Section 4 of the OLPP coincides with these changes
to the OCC By-Laws to reflect that contract
adjustment determinations are now made by OCC.
See Securities Exchange Act Release No. 84565
(November 9, 2018), 83 FR 57778 (November 16,
2018) (SR–ODD–2018–01). See also Securities
Exchange Act Release No. 69977 (July 11, 2013), 78
FR 42815 (July 17, 2013) (SR–OCC–2013–05). This
Amendment further seeks to make non-substantive
ministerial changes to update the names and
addresses of certain Plan Sponsors, as set forth in
Section 9 of the OLPP.
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6 See
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Penny Pilot Program (‘‘Penny Pilot’’).8
The Penny Program will provide for
such designated option classes to be
quoted in $0.01 increments (for all
series in such option classes with a
price of less than $3.00) and $0.05
increments (for all series in such option
classes with a price of $3.00 or higher).
All option series in QQQ (PowerShares
QQQ TrustSM, Series 1), SPY (SPDR
S&P 500 ETF) and IWM (iShares Russell
2000 Index Fund) will continue to quote
in $0.01 increments, regardless of price.
Initial Selection of Penny Program
Classes
The Penny Program will initially
apply only to the 363 9 most actively
traded multiply listed option classes,
based on OCC’s National Cleared
Volume 10 in the six full calendar
months ending in the month of
8 On January 26, 2007, the six options exchanges
commenced the Penny Pilot to quote and trade
options on 13 stocks and ETFs in penny increments
after Chairman Cox of the Commission encouraged
the options exchanges in a letter dated June 6, 2006
to begin quoting a limited number of options in
pennies. See Securities Exchange Act Release Nos.
55153 (January 23, 2007), 72 FR 4553 (January 31,
2007) (SR–Phlx–2006–74); 55154 (January 23,
2007), 72 FR 4743 (February 1, 2007) (SR–CBOE–
2006–92); 55162 (January 24, 2007), 72 FR 4738
(February 1, 2007) (SR–Amex–2006–106); 55161
(January 24, 2007), 72 FR 4754 (January 24, 2007)
(SR–ISE–2006–62); 55156 (January 23, 2007), 72 FR
4759 (February 1, 2007) (SR–NYSEArca–2006–73);
and 55155 (January 23, 2007), 72 FR 4741 (February
1, 2007) (SR–BSE–2006–49). The Penny Pilot was
subsequently expanded to include additional
option classes. Most notably, the Penny Pilot was
expanded by 22 option classes on September 28,
2007 and 28 option classes on March 28, 2008. The
Penny Pilot was last expanded in 2009 to include
the next 300 most actively traded, multiply-listed
option classes that were not yet included in the
Penny Pilot, excluding options with high
premiums. See Securities Exchange Act Release
Nos. 60711 (September 23, 2009), 74 FR 49419
(September 28, 2009) (SR–NYSEArca–2009–44);
60865 (October 22, 2009), 74 FR 55880 (October 29,
2009) (SR–ISE–2009–82); 60864 (October 22, 2009),
74 FR 55876 (October 29, 2009) (SR–CBOE–2009–
076); 60874 (October 23, 2009), 74 FR 56682
(November 2, 2009) (SR–NASDAQ–2009–091);
60873 (October 23, 2009), 74 FR 56675 (November
2, 2009) (SR–Phlx–2009–91); 60886 (October 27,
2009), 74 FR 56897 (November 3, 2009) (SR–BX–
2009–067); and 61106 (December 3, 2009), 74 FR
65193 (December 9, 2009) (SR–NYSEAmex–2009–
74). Through these expansions, the Penny Pilot now
consists of 363 option classes.
9 This figure is taken from the current number of
option classes in the Penny Pilot. See supra note
8.
10 Under the current parameters of the Penny
Pilot, whether for expansion of the Penny Pilot from
2007 to 2010, or for semi-annual replacements, new
issues were selected based on total national contract
volume cleared at OCC (i.e., ‘‘National Cleared
Volume’’) over a six month period. In discussions
amongst the Plan Sponsors in creating a permanent
Penny Program with an annual review, it was
agreed to continue to rank issues based on National
Cleared Volume. National Cleared Volume includes
FLEX transactions and all listed series transactions,
regardless of clearing account type.
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approval,11 that (i) currently quote in
penny increments (i.e., are already in
the Penny Pilot) or, (ii) if not in the
Penny Pilot, overlie securities priced
below $200, or any index at an index
level below $200.12 Eligibility for
inclusion in the Penny Program will be
determined at the close of trading on the
monthly expiration Friday of the second
full month following Commission
approval of the proposed Amendment.
The changes made pursuant to this
initial selection process will become
effective on the first trading day of the
third full calendar month following
Commission approval of the proposed
Amendment.13 Option classes that are
in the Penny Pilot but are not selected
for inclusion in the Penny Program
following the initial selection will be
subject to the minimum trading
increment as described in the rules of
the Exchanges, effective on the first
trading day of the third full calendar
month following the Amendment’s
approval date. Once an option class is
in the Penny Program, it will remain in
the Penny Program until it is no longer
among the 425 most actively traded
multiply listed option classes at the
time of annual review. Option classes
will be replaced pursuant to the annual
review process described below.
Annual Review
The Plan Sponsors agree on an annual
review process by which eligible option
classes may be added to the Penny
Program, or ineligible option classes
may be removed from the Penny
Program based on objective criteria.
Specifically, on an annual basis
commencing in December 2020 and
each December thereafter, OCC will
rank all multiply listed option classes
based on National Cleared Volume for
the six full calendar months from June
1 through November 30 for
determination of the most actively
traded option classes. Any option class
not yet in the Penny Program that is
among the 300 most actively traded
multiply listed option classes overlying
11 For example, if the proposal is approved on
November 6, the volume test for the initial selection
into the Penny Program will include six months of
National Cleared Volume beginning in June up to
and including the month of November.
12 Certain option classes that currently quote in
penny increments pursuant to the Penny Pilot that
are not among the 363 most actively traded
multiply listed option classes at the time of the
initial selection will not be eligible to quote in
penny increments under the Penny Program.
13 For example, if the proposal is approved on
November 6, the price determinant for inclusion
into the Penny Program will be the expiration
Friday in January (the second full month following
approval). The changes from the initial selection
process will become effective on the first trading
day in February.
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securities priced below $200, or an
index at an index level below $200, will
be added to the Penny Program.
Following the annual review, option
classes to be added to the Penny
Program will begin quoting in $0.01
increments (for all series in such option
classes with a price of less than $3.00)
and $0.05 increments (for all series in
such option classes with a price of $3.00
or higher) on the first trading day of
January.
In addition, following the annual
review, any option class in the Penny
Program that falls outside the 425 most
actively traded multiply listed option
classes will be removed from the Penny
Program.14 Option classes that are
removed from the Penny Program
following an annual review will be
subject to the minimum trading
increment as described in the rules of
the Exchanges, effective the first trading
day of April. Each Exchange will
announce via bulletin if orders in their
respective order books in option classes
being removed from the Penny Program
will be cancelled or if they will be
converted to another order type.15 The
Plan Sponsors believe that these time
periods would give investors and
traders sufficient time to prepare for the
change in quoting increments. Further,
the Plan Sponsors believe that the
proposed annual review process
provides an objective framework to add
and remove option classes from the
Penny Program in a manner that is
designed to promote just and equitable
principles of trade, to remove
impediments to and perfect the
14 The Plan Sponsors actively discussed the
parameters of the annual review process, and
determined that consideration of the top 425 issues
struck the appropriate balance between
guaranteeing inclusion of the most active issues
(i.e., top 300) in the Penny Program while
maintaining a buffer (of additional eligible issues)
to ensure the least disruptive means for the annual
rebalancing for those issues that were included in
the Penny Program (which included the top 363
issues) that fall below the top 300. It was noted that
the relative rankings of issues may increase or
decrease by 20 to 30 spots from year to year, and
that automatically including the top 300 (rather
than 363), would allow the Penny Program to
always include the most active issues, while
maintaining the eligibility of an issue that is still
active, although not as relatively active because of
normal fluctuations in investor interest. Provided
the issue was not less active than the next 62 most
active (i.e., not among the top 425) such issues
would remain in the Program. If the activity level
declines to where it is not in the top 425, however,
it should be phased out of the Penny Program. The
proposed framework is therefore designed to allow
for consistency and prevent high turnovers for
issues that are removed from the Penny Program.
15 Each Exchange will disseminate a
memorandum which will detail how open orders
will be handled on its trading platform for all series
on an option class removed from the Penny
Program, since all the Exchanges do not employ the
same process for cancellation of such orders.
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mechanism of a free and open market
and a national market system, and, in
general, to protect investors and the
public interest. As noted above, the
proposed parameters of the annual
review process are designed to ensure
that the most active eligible issues (i.e.,
top 300) are included while preventing
high turnovers for issues that are
removed from the Penny Program (i.e.,
issues that fall outside the top 425). The
Plan Sponsors believe that the proposed
framework would thus promote
consistency in the implementation of
the Penny Program, thereby aiding in
the maintenance of a fair and orderly
options market system. Following
Commission approval of the proposed
Amendment, the Exchanges will
continue to monitor the 300, 363 and
425 option class thresholds going
forward to determine if they are set at
appropriate levels.
Newly Listed Option Classes
In addition to the annual review
described above, the Plan Sponsors
agree to allow option classes to be
added to the Penny Program if they are
a newly listed option class that meets
certain criteria. Specifically, the
Exchanges may add a newly listed
option class to the Penny Program,
provided that (i) it is among the 300
most actively traded multiply listed
option classes, as ranked by National
Cleared Volume at OCC, in its first full
calendar month of trading, and (ii) the
underlying security is priced below
$200 or the underlying index is at an
index level below $200. Any option
class added under this provision will be
added on the first trading day of the
month after it qualifies.16 Any option
class so added shall remain in the
Penny Program for one full calendar
year, after which it will be subject to the
annual review. The Plan Sponsors
believe that the proposed trading
volume threshold and initial price test,
as described herein, provide objective
criteria by which the Exchanges can add
new option classes to the Penny
Program in issues with the most
demonstrated trading interest from
market participants and investors on an
expedited basis prior to the annual
review, in a manner that will benefit
market participants and investors by
allowing them to trade these new option
16 For example, a new issue that began trading on
the 20th of October will have its volume for the
month of November evaluated and ranked. If that
issue is among the 300 most actively traded
multiply listed option classes for November, and
the underlying security is priced below $200 or the
underlying index is at an index level below $200,
it will be added to the Penny Program on the first
trading day of December.
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classes that quote and trade in a finer
trading increment.
Option Classes With Significant Growth
in Activity
In addition to the annual review
described above, the Plan Sponsors
agree to allow an option class to be
added to the Penny Program if it is an
option class that has a significant
growth in activity. Specifically, the
Exchanges may add any option class to
the Penny Program, provided that (i) it
is among the 75 most actively traded
multiply listed option classes, as ranked
by National Cleared Volume at OCC, for
six full calendar months of trading, and
(ii) the underlying security is priced
below $200 or the underlying index is
at an index level below $200. Any
option class added under this provision
will be added on the first trading day of
the second full month after it
qualifies.17 The option class will then
remain in the Penny Program for the rest
of the calendar year, after which it will
be subject to the annual review.18
The Plan Sponsors believe that a
provision to allow for option classes to
be added to the Penny Program outside
of the annual review process is
beneficial to market participants
because of the rare instances when an
option class that has been listed for
some time becomes very active for an
extended period of time, such as after
the development of a new product.
While some issues may become active
for a month or two, the six month
activity requirement and the higher
qualification level (among the 75 most
active) ensures that only those option
classes with widespread investor
interest are added to the Penny Program
outside of the regular process.
The Plan Sponsors also believe that
option classes added outside of the
regular process should be subject to the
17 For example, if an issue is among the 75 most
actively traded multiply listed option classes for six
months ending February 28 (for the period
September 1 to February 28), and the underlying
security is priced below $200 or the underlying
index is at an index level below $200, it will be
added to the Penny Program on the first trading day
of April.
18 Thus, for example, if an issue was added to the
Penny Program under this provision in October
2020, it would be subject to the next annual review
in December 2020. In contrast, if a new issue was
added to the Penny Program in October 2020 under
the process described above for newly listed
options, it would be up for annual review in
December 2021 (i.e., it would remain in the Penny
Program for one full calendar year, after which it
would be subject to the annual review). As
discussed below, the Plan Sponsors believe that it
is appropriate for issues added under this provision
to have a shorter lookback period as any issue that
was already listed and was active enough to qualify
under the more stringent requirements in this
provision should be active enough to continue to
qualify for the Penny Program.
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next annual review, as any option class
that was active enough to qualify
outside of the regular process under this
provision should be active enough to
continue to qualify for the Penny
Program. The Plan Sponsors believe that
the proposed trading volume threshold
and initial price test, as described
herein, provide objective criteria by
which the Exchanges can add an option
class to the Penny Program in issues
with the most demonstrated trading
interest from market participants and
investors on an expedited basis prior to
the annual review, in a manner that will
benefit market participants and
investors by allowing them to trade
these new option classes that quote and
trade in a finer trading increment.
Corporate Actions
The Plan Sponsors agree to provide
that if a corporate action involves one or
more option classes in the Penny
Program, all adjusted and unadjusted
series of the option class shall be
included in the Penny Program.19 No
trading volume threshold shall apply
and the initial price test shall not apply
to the option class added to the Penny
Program as a result of the corporate
action. The newly added adjusted and
unadjusted series of the option class
shall remain in the Penny Program for
one full calendar year. After such time,
the option class will be subject to the
annual review. The Plan Sponsors
believe that the proposal to allow such
new option classes to be included in the
Penny Program will ensure the
continuality of liquidity in the option
classes post-corporate action to the
benefit of market participants and
investors in a manner that it is designed
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.
Delisted or Ineligible Option Classes
The Plan Sponsors agree to provide
that any series in an option class
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19 For example, if Company A acquires Company
B and Company A is not in the Penny Program but
Company B is in the Penny Program, once the
merger is consummated and an options contract
adjustment is effective, then Company A will be
added to the Penny Program and remain unchanged
for one calendar year.
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18:15 Dec 16, 2019
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participating in the Penny Program in
which the underlying has been delisted,
or is identified by OCC as ineligible for
opening customer transactions, will
continue to quote pursuant to the terms
of the Penny Program until all options
series have expired. The Plan Sponsors
believe that the proposal to allow
delisted or ineligible option classes to
stay in the Penny Program until they
expire will encourage market
participants to continue to provide
liquidity in these issues in a manner
that is designed 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.
Multiply Listed Option Classes; Penny
Program Amendments
The Plan Sponsors agree that
references to multiply listed option
classes in proposed Section 3.1 of the
OLPP will apply only to option classes
in the Penny Program, and to no other
sections of the OLPP.
The Plan Sponsors further agree to an
amendment process that would only
apply to changes to the Penny Program
provisions set forth in proposed Section
3.1 of the OLPP. Currently, any
amendments to the OLPP other than to
add new Plan Sponsors must be
approved unanimously by the Plan
Sponsors.20 As proposed, the Plan
Sponsors agree to a separate amendment
process to govern any changes to
Section 3.1. Specifically, not sooner
than 60 months following Commission
approval of the proposed Amendment, a
super-majority (2⁄3) of the Plan Sponsors
may vote to make changes to the Penny
Program. At any time before 60 months
have passed since the adoption of the
Penny Program, any changes must be
unanimously approved by the Plan
Sponsors. Any changes to the Penny
Program will be subject to SEC review
pursuant to Section 11A(a)(3) of the
Securities Exchange Act of 1934 and
Rule 608 thereunder.
20 Section 7 of the OLPP sets forth a discrete
process to effect amendments adding new Plan
Sponsors, including requirements that the Eligible
Exchange, as defined therein, execute a copy of the
OLPP and provide each then-current Plan Sponsor
with a copy of such executed Plan.
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Summary of Penny Pilot Reports
The Plan Sponsors agree to adopt the
Penny Program based on results of the
numerous previously published studies
regarding the Penny Pilot, and the most
recent data presented in the Report on
Activity in Option Classes Added to the
Penny Pilot summarized below. Plan
Sponsors note that the various markets
and market participants have previously
studied the Penny Pilot, in 2009 and
2010, when the Penny Pilot was
expanded. The Exchanges have also
studied the Penny Pilot throughout the
duration of the program, and
consistently found that as an overall
program, the Penny Pilot was of
significant benefit to investors and other
market participants and had a minimal
negative impact on the industry.21
Through these studies, the options
industry gained, and shared with the
Commission, an understanding of the
benefits to investors and other market
participants of the Penny Pilot and the
burdens on quote traffic and capacity
caused by this program. Over the
duration of the Penny Pilot, the
Exchanges have studied quote traffic
with an expectation that quote traffic
would increase because of more quoting
price points. However, this would be
offset by benefits to the investing public
due to narrowed spreads and more price
points, along with the expectation that
the increased quote traffic would
provide increased trading activity.
Overall, the Plan Sponsors agree these
benefits remain true and that the Penny
Pilot, as a whole, has largely met these
expectations.
21 For example, the Exchanges’ earlier Penny Pilot
reports have generally found the National Best Bid
and Offer (‘‘NBBO’’) spread width has narrowed,
size available at the NBBO has declined, quote
traffic has increased, and industry volumes have
increased. See e.g., Chicago Board Options
Exchange, Penny Pilot Report dated March 4, 2008;
International Securities Exchange Penny Pilot
Analysis Phase 2, dated November 27, 2007;
Philadelphia Stock Exchange Options Penny
Pricing Pilot Report, dated February 29, 2007;
American Stock Exchange Penny Pilot Report,
dated November 2, 2007; New York Stock Exchange
Arca Options: Understanding Economic and
Capacity Impact of the Options Penny Pilot, dated
November 14, 2007. The Exchanges’ Penny Pilot
reports are also available at: https://www.cboe.org/
general-info/hybrid-reg-penny-pilot-program;
https://boxoptions.com/regulatory/governingdocuments-related-information-nms-plans/pilotreports/penny/; and https://www.nyse.com/
markets/american-options/reports.
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In addition, the Commission’s
Division of Economic and Risk Analysis
(‘‘DERA’’) recently contracted with
Cornerstone Research (‘‘Cornerstone’’)
to conduct an independent analysis of
the impact of the Penny Pilot on market
quality, using quoted and effective
spreads as measures of market quality
(‘‘Cornerstone Analysis’’).22 The
Cornerstone Analysis is based on data
on options added to the Penny Pilot
between January 26, 2007 and January 5,
2016, and thus covers a time period
from the inception of the Penny Pilot.
Overall, the Cornerstone Analysis finds
that relative to the control sample of
options that were not included in the
Penny Pilot, there is a statistically
significant decrease in effective and
quoted spreads for the most liquid
option classes included in the Penny
Pilot.23 However, for less liquid Penny
Pilot option classes, especially in the
later years (the period 2012—2015), the
results do not indicate that inclusion in
the Penny Pilot has a significant effect
on market quality.24
Report on Activity in Option Classes
Added to the Penny Pilot 25
Most recently, on behalf of the U.S.
options exchanges participating in the
Penny Pilot, NYSE Group, together with
its subsidiary markets, NYSE American
Options and NYSE Arca Options,
studied option quote and trade activity
in the eight option classes listed in the
table below (the ‘‘Study Group’’). The
study examined trading activity for this
Study Group during two time periods:
the Third and Fourth Quarters of 2014
(i.e., before the selected issues were
added to the Penny Pilot (the ‘‘pre- Pilot
period’’)) and the Third and Fourth
Quarters of 2015 (i.e., after the selected
issues were added to the Penny Pilot
(the ‘‘Pilot period’’)).26
OPTION CLASSES IN THE STUDY GROUP
Underlying security
BABA .................
CBS ...................
FEYE .................
GPRO ................
HYG ..................
OIH ....................
RAD ...................
RSX ...................
Alibaba Group Holding Ltd ...............................................................................................................................
CBS Corp ..........................................................................................................................................................
FireEye Inc ........................................................................................................................................................
GoPro Inc ..........................................................................................................................................................
iShares iBoxx $ High Yield Corporate Bond ETF ............................................................................................
Market Vectors Oil Service ETF .......................................................................................................................
Rite Aid Corp ....................................................................................................................................................
Market Vectors Russia ETF ..............................................................................................................................
Jan. 5, 2015.
Jan. 5, 2015.
July 6, 2015.
July 6, 2015.
July 6, 2015.
July 6, 2015.
July 6, 2015.
July 6, 2015.
reduction in quoted spreads, especially
for lower-priced options, which is
beneficial to the investing public by
lowering the costs of entering and
exiting the market and thus consistent
with the Act.
Spread width is a measure of the
benefit to investors, as the costs of
entering and exiting the market are
reduced by a narrower spread.28
As shown in Figures 1 and 3 of the
Report, the study found that the average
spread width for issues in the Study
Group was reduced during the Pilot
period as compared to the pre-Pilot
period. The results indicated a more
consistent reduction in spread width in
the lower-priced options (i.e., that
typically quote and trade below $3.00)
than in the higher-priced options (i.e.,
that typically quote and trade at or
above $3.00).
The study also examined the median
width of all of the quotes on issues in
the Study Group to determine whether
the average spread width was distorted
by higher-priced options in the Study
Group. As Figures 4–5 show, the results
indicated a reduced median spread
width for lower-priced options during
the Pilot period, while the results did
not indicate as consistent a reduction in
the median spread width for higherpriced options during the same period.
The Exchanges still believe that the
findings support making the Penny Pilot
a permanent program because of the
22 DERA Memorandum on Cornerstone Analysis,
December 18, 2017, https://www.sec.gov/files/
DERA_Memo_on_a_Cornerstone_Penny_Pilot_
Analysis.pdf.
23 Id. at 1.
24 Id. at 2.
25 The report setting forth the data for these
studies, entitled ‘‘Report on Activity in Options
Classes Added to the Penny Pilot’’ (‘‘Report’’), is
submitted as Exhibit A as part of this Amendment
No. 5.
26 For avoidance of doubt, the phrase, ‘‘Pilot
period’’ as used herein refers to solely the limited
time period studied for purposes of the Report and
does not include trading activity that is occurring
in the ongoing Penny Pilot.
27 Generally, rules on Trading Differentials refer
to ‘‘trading at less than $3.00’’ or ‘‘trading at $3.00
or above.’’ To accurately evaluate the effect of
quotations in one cent increments, both the bid and
the offer (ask) must be in one cent increments,
which requires offers to be at or below $3.00.
Markets in Pilot Issues with an offer above $3.00 are
at least $0.05 wide by rule.
28 Spread width for this study was calculated by
subtracting the National Best Bid from the National
Best Offer.
The data for the Study Group was
compiled based on trading activity that
occurred on each Wednesday during the
pre-Pilot, and Pilot period (n=27), in an
effort to minimize disruption from
options expirations, which occur on
Fridays, and/or the additions of new
series, which often occur on Mondays.
The quote data was compiled across
all series and expirations for options on
each of the eight underlying securities
in the Study Group. To focus on the
effect of quoting in $0.01 increments,
the quotes in the Study Group were
segregated by those with an offer value
less than or equal to $3.00, and those
with an offer greater than $3.00.27
Option classes that are not in the Penny
Pilot quote in $0.05 increments below
$3.00 and $0.10 increments at or above
$3.00, whereas option classes in the
Penny Pilot quote in $0.01 increments
below $3.00, and $0.05 increments at or
above $3.00.
1. Spread Width
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2. Liquidity; Trades by Quote Width
The study also examined the number
of contracts in the Study Group offered
at the National Best Offer. While most
markets submitted to options exchanges
are symmetrical in the number of
contracts bid for, and the number of
contracts offered, the common presence
of quotes without a bid in out-of-themoney option series would distort the
average bid size for a given option. With
that in mind, the study focused solely
on offer sizes.
Since the beginning of the Penny Pilot
in 2007, there was a focus on whether
the benefit of a reduced spread would
be offset by a decrease in liquidity
available at the National Best Bid/Offer
(‘‘NBBO’’). As shown in Figure 6 and
Table 2 of the Report, the study found
that while there was a reduction in the
number of contracts offered at the NBBO
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for the Study Group during the Pilot
period, the available size at the NBBO
for the Study Group was, on average,
greater than 99% of all options trades
during this same time period.
As Table 3 shows, an examination of
the Study Group trades during the prePilot and Pilot period also indicated a
sizeable percentage of transactions
occurred between the NBBO (i.e.,
between 36.1% and 44.0%), a result
seen more frequently during the prePilot period than during the Pilot
period.29 While the Exchanges
recognize that the foregoing results
show that there has been a reduction in
displayed size available at the NBBO in
the Study Group issues, the Exchanges
believe the study still supports making
the pilot permanent, especially since the
results also show (in Table 2) that the
available size at the NBBO for the Study
Group was, on average, greater than
99% of all options trades during the
Pilot period.
As shown in Figures 7–14 in the
Report, further examination of the Study
Group data also demonstrated that
having price points available under
$0.10 resulted in trading that was
concentrated on narrower spreads even
if this trend did not result in a
significant narrowing of spreads across
the universe of series in an underlying
class. The data also indicated that after
being added to the Penny Pilot, all but
two classes in the Study Group
experienced more than 50% of trading
occurred when the spread width was
$0.05 or less. The other two classes (e.g.,
HYG and RSX) still experienced a
noticeable increase in trading in that
spread width bucket.
3. Quote Traffic Data
One portion of the quote traffic
analysis also observed the same Study
Group and covered time pre-Pilot and
Pilot periods of 2014 and 2015,
respectively. As Figure 15 of the Report
shows, nearly all of the issues showed
an increase in number of quotes once it
was included with the Penny Pilot.30 On
average, the quote traffic increase
between the two time periods was
121%.31
Additionally, further analysis was
conducted on a second study group to
evaluate quote traffic for Penny Pilot
issues that were added to the Penny
Pilot in July 2017 (see option classes
below, ‘‘July 2017 Study Group’’).
jbell on DSKJLSW7X2PROD with NOTICES
OPTION CLASSES IN JULY 2017 STUDY GROUP
Date added to
Pilot
Symbol
Underlying security
FEZ ...................
HPE ...................
ILG ....................
JNUG ................
MBLY ................
MPC ..................
PANW ...............
SDRL .................
SNAP ................
UCO ..................
YELP .................
SPDR EURO STOXX 50 ETF ..........................................................................................................................
Hewlett Packard Enterprise Co .........................................................................................................................
ILG Inc ..............................................................................................................................................................
Direxion Daily Jr. Gold Miners Index Bull 3X Shares .......................................................................................
Mobileye N.V .....................................................................................................................................................
Marathon Petroleum Corp ................................................................................................................................
Palo Alto Networks Inc ......................................................................................................................................
Seadrill Ltd ........................................................................................................................................................
Snap Inc ............................................................................................................................................................
ProShares Ultra Bloomberg Crude Oil .............................................................................................................
Yelp Inc .............................................................................................................................................................
Jul
Jul
Jul
Jul
Jul
Jul
Jul
Jul
Jul
Jul
Jul
5,
5,
5,
5,
5,
5,
5,
5,
5,
5,
5,
2017.
2017.
2017.
2017.
2017.
2017.
2017.
2017
2017.
2017.
2017.
Figure 16 in the Report compares two
time periods (January–June 2017 and
January–June 2018) for the July 2017
Study Group, which represents the time
before and after their inclusion into the
Penny Pilot. As shown in Figure 16, of
the July 2017 Study Group issues, only
two (2) experienced a decrease in quote
traffic (e.g., MBLY and SDRL), and such
issues are the only issues that have
eventually been delisted from a National
Market System.32 On average, the July
2017 Study Group issues have
experienced an increase in quote traffic
of over 140% between the two time
periods.
The Report also compares the effect
on quote traffic for the potential
removals and additions to the Penny
Pilot for the time period between
January 2018 and June 2018, as shown
in Figure 17. Over the six months of
2018, the issues which would be
additions to the Penny Pilot generated
nearly 103 billion quotes, and issues
which would be removed generated
about 77 billion quotes over the same
time period. Thus by comparison, the
additions generated approximately 26
billion more quotes than the removals
during January to June timeframe (or an
average of over 4 billion quotes each
month). While the foregoing findings
demonstrate that the increase in quote
traffic has been appreciable, the
capacities of the Exchanges’ systems
and Options Price Reporting Authority
(‘‘OPRA’’) have been sufficiently
adequate in handling the quote traffic
increase resulting from the Penny Pilot.
In addition, the Exchanges believe that
their respective and OPRA’s systems
have sufficient quote capacity going
forward to accommodate the projected
increase in quote traffic that will result
from the initial selection and annual
review process proposed above.
29 For purposes of this study, all reported trades
were included, regardless of trade condition,
including Complex Trades. Complex Trades are
priced at a total or net debit or credit, with the
possibility of each component of the Complex
Trade being priced between the National Best Bid
and the National Best Offer. The observed variation
in the percentage of transactions that occurred
between the NBBO in the pre-Pilot and Pilot period
could have been, in part, driven by the variation in
the proportion of Complex Trades over the two
periods.
30 Alibaba Group Holding (BABA) shows an
extreme traffic increase of 403%, which
significantly overshadows the amount of quote
traffic increase of the other additions. This is, in
large part, due to its IPO in September 2014; when
it was the largest IPO in history at that time. Over
the two periods, historically, there were days of
higher quote traffic around earnings
announcements. Further, over each of the last two
months of 2015, BABA quote traffic exceeded 2
billion quotes, which was nearly as much as it
experienced, in total, over it first three months of
trading.
31 Due to the considerable influence of the BABA
traffic increase, if the percentage increase in quote
traffic was calculated without BABA’s quote data,
then the value would fall to 81%.
32 Symbol MBLY was voluntarily delisted from
NYSE on September 6, 2017, in connection with a
tender offer from Intel (INTC) and subsequently
listed on the OTC market. Symbol SDRL filed for
Chapter 11 Bankruptcy on September 12, 2017.
Subsequent to the bankruptcy filing, SDRL was
delisted from NYSE and listed on an OTC market.
When a security moves to the OTC market, many
options exchanges seek to delist the security as it
is not in compliance with continued listings
standards for options. Due to its removal from
nearly all options exchanges, quoting in this
security is drastically reduced and are typically
present only when (or if) a customer looks to close
out an open options position.
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I. Method of Determination and
Imposition, and Amount of, Fees and
Charges
Not applicable.
B. Governing or Constitutional
Documents
Not applicable.
C. Description of Amendment
Implementation
The OLPP, as amended, will become
effective upon Commission approval.
The Plan Sponsors will implement the
OLPP, as amended, pursuant to the
terms of this Amendment No. 5 upon
Commission approval.
D. Development and Implementation
Phases
Not applicable.
E. Analysis of Impact on Competition
The proposed OLPP, as amended,
does not impose any burden on
competition that is not necessary or
appropriate in furtherance of the
purposes of the Act. The Plan Sponsors
do not believe that this Amendment No.
5 introduces terms that are
unreasonably discriminatory for the
purposes of Section 11A(c)(1)(D) of the
Act.33 The Plan Sponsors believe that
making the Penny Pilot a permanent
program will allow for continued
competition between market
participants trading similar products as
their counterparts across the options
exchanges, while at the same time
allowing options exchanges to continue
to compete for order flow in option
classes trading as part of the Penny
Program.
F. Written Understandings or
Agreements Relating to Interpretation
of, or Participation in, the OLPP
Not applicable.
G. Approval by Plan Sponsors
This Amendment No. 5 has been
approved by the Plan Sponsors in
accordance with the OLPP. The Plan
Sponsors have each executed a signed
copy of the Amendment.
H. Terms and Conditions of Access
Not applicable.
J. Method and Frequency of Processor
Evaluation
Not applicable.
K. Dispute Resolution
Not applicable.
III. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the amendment is
consistent with the Act. Comments may
be submitted by any of the following
methods:
Electronic Comments
• Use the Commission’s internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number 4–
443 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 4–443.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
plan amendment that are filed with the
Commission, and all written
communications relating to the
amendment between the Commission
and any person, other than those that
may be withheld from the public in
accordance with the provisions of 5
U.S.C. 552, will be available for 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 such filing also will be
available for inspection and copying at
the Participants’ offices. 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 4–443 and should be submitted
on or before January 7, 2020.
By the Commission.
Jill M. Peterson,
Assistant Secretary.
Exhibit A to Amendment No. 5
Report on Activity in Option Classes
Added to the Penny Pilot
March 8, 2019
Executive Summary
On behalf of the U.S. options
exchanges participating in the Penny
Pilot program (the ‘‘Penny Pilot’’ or
‘‘Pilot’’), NYSE Group, together with its
subsidiary markets, NYSE American
Options and NYSE Arca Options,
studied option quote and trade activity
in the eight option classes listed in the
table below (the ‘‘Study Group’’). The
study examined trading activity for this
Study Group during two time periods:
The Third and Fourth Quarters of 2014
(i.e., before the selected issues were
added to the Pilot (the ‘‘pre- Pilot
period’’) and the Third and Fourth
Quarters of 2015 (i.e., after the selected
issues were added to the Pilot (the
‘‘Pilot period’’).1 The changes in market
conditions could affect quote activity
and market quality measures such as
spread width and trading activity
examined in this report. This report
utilizes the level and changes in market
volatility measured by Cboe Volatility
index (‘‘VIX’’) to gauge market condition
during the pre-Pilot period and the Pilot
period. In general, an increase in market
volatility could lead to an increase in
quote activity, wider spread widths, and
higher trading volume for options.
jbell on DSKJLSW7X2PROD with NOTICES
TABLE 1—OPTION CLASSES IN THE STUDY GROUP
Symbol
Underlying security
BABA ................
CBS ...................
FEYE .................
GPRO ...............
Alibaba Group Holding Ltd ...................................................................................................................
CBS Corp .............................................................................................................................................
FireEye Inc ...........................................................................................................................................
GoPro Inc .............................................................................................................................................
33 15
U.S.C. 78k–1(c)(1)(D).
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Date added to pilot
1 For avoidance of doubt, the phrase, ‘‘Pilot
period’’ as used herein refers to solely the limited
time period studied for purposes of this report and
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Jan. 5, 2015.
Jan. 5, 2015.
July 6, 2015.
July 6, 2015.
does not include trading activity that is occurring
in the ongoing Pilot.
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TABLE 1—OPTION CLASSES IN THE STUDY GROUP—Continued
Symbol
Underlying security
Date added to pilot
HYG ..................
OIH ....................
RAD ..................
RSX ...................
iShares iBoxx $ High Yield Corporate Bond ETF ................................................................................
Market Vectors Oil Service ETF ...........................................................................................................
Rite Aid Corp ........................................................................................................................................
Market Vectors Russia ETF .................................................................................................................
July
July
July
July
6,
6,
6,
6,
2015.
2015.
2015.
2015.
The data for the Study Group was
compiled based on trading activity that
occurred on each Wednesday during the
pre-Pilot, and Pilot period (n=27), in an
effort to minimize disruption from
options expirations, which occur on
Fridays, and/or the addition of new
series, which often occur on Mondays.
The quote data was compiled across
all series and expirations for options on
each of the eight underlying securities
in the Study Group. To focus on the
effect of quoting in $0.01 increments,
the quotes in the Study Group were
segregated by those with an offer value
less than or equal to $3.00, and those
with an offer greater than $3.00.2 Option
classes that are not in the Pilot quote in
$0.05 increments below $3 and $0.10
increments at or above $3.00, whereas
option classes in the Pilot quote in $0.01
increments below $3.00, and $0.05
increments at or above $3.00. Spread
width is a measure of benefit to
investors, as the costs of entering and
exiting the market are reduced by a
narrower spread.3
The study found that the average
spread width for issues in the Study
Group was reduced during the Pilot
period as compared to the pre-Pilot
period. The results indicated a more
consistent reduction in spread width in
the lower-priced options (i.e., that
typically quote and traded below $3)
than in the higher-priced options (i.e.,
that typically quote and traded at or
above $3.00). The study also examined
the median width of all of the quotes on
issues in the Study Group to determine
whether the average spread width was
distorted by higher-priced options in the
Study Group. The results indicated a
reduced median spread width for lowerpriced options during the Pilot period,
while the results did not indicate as
consistent a reduction in the median
spread width for higher-priced options
during the same period.
The study also examined the number
of contracts in the Study Group offered
at the National Best Offer. While most
markets submitted to options exchanges
are symmetrical in the number of
contracts bid for, and the number of
contracts offered, the common presence
of quotes without a bid in out-of-themoney option series would distort the
average bid size for a given option. With
that in mind, the study focused solely
on offer sizes.
Since the beginning of the Pilot in
2007, there was a focus on whether the
benefit of a reduced spread would be
offset by a decrease in liquidity
available at the National Best Bid/Offer
(‘‘NBBO’’). The study found that while
there was a reduction in the number of
contracts offered at the NBBO for the
Study Group during the Pilot period, the
size traded at the NBBO for the Study
Group still vastly exceeded the available
size at the NBBO during this same time
period. An examination of the Study
Group trades during the pre-Pilot and
Pilot period also indicated a sizeable
percentage of transactions occurred
between the NBBO (i.e., between 36.1%
and 44.0%), a result seen more
frequently during the pre-Pilot period
than during the Pilot period. This
finding of a reduced effective spread
demonstrates that exchanges have used
alternative mechanisms such as price
improvement auctions to offset the
artificial spread width caused by the
lower minimum quote increments.4
Further examination of the Study
Group data also demonstrated that
having price points available under
$0.10 resulted in trading that was
concentrated on narrower spreads even
if this trend did not result in a
significant narrowing of spreads across
the universe of series in an underlying
class. The data also indicated that after
being added to the Pilot, all but two
classes experienced more than 50% of
trading occurred when the spread width
was $0.05 or less. The other two classes
(e.g., HYG and RSX) still showed a
noticeable increase in trading in that
spread width bucket.
The Participants feel the Report
demonstrates the benefit to the investing
public of pricing active options classes
in $0.01 increments below $3.00, and
$0.05 increments above $3.00. The
Report is consistent with findings from
earlier Penny Pilot Reports from 2007 to
2012: The NBBO spread has narrowed,
size available at the NBBO has declined,
quote traffic has increased and industry
volumes have increased.
These findings are also consistent
with those of Cornerstone Research,5
that inclusion in the Pilot is associated
with a decrease in quoted spreads.
*
*
*
*
*
2 Generally, rules on Trading Differentials refer to
‘‘trading at less than $3’’ or ‘‘trading at $3 or
above.’’ To accurately evaluate the effect of
quotations in one cent increments, both the bid and
the offer (ask) must be in one cent increments,
which requires offers to be at or below $3. Markets
in Pilot Issues with an offer above $3 are at least
$0.05 wide by rule.
3 Spread width for this study was calculated by
subtracting the National Best Bid from the National
Best Offer.
4 For purposes of this study, all reported trades
were included, regardless of trade condition,
including Complex Trades. Complex Trades are
priced at a total or net debit or credit, with the
possibility of each component of the Complex
Trade being priced between the National Best Bid
and the National Best Offer. The observed variation
in the percentage of transactions that occurred
between the NBBO in the pre-Pilot and Pilot period
could have been, in part, driven by the variation in
the proportion of complex trades over the two
periods.
5 Division of Economic and Risk Analysis
(‘‘DERA’’) of the U.S. Securities and Exchange
Commission contracted with Cornerstone Research
(‘‘Cornerstone’’), an economic and financial
consulting firm, to conduct analyses related to
investigating the effects on market quality of the
continuing Pilot that allows certain exchangetraded options to be quoted in reduced price
increments. See DERA Memorandum on
Cornerstone Analysis, December 18, 2017, https://
www.sec.gov/files/DERA_Memo_on_a_Cornerstone_
Penny_Pilot_Analysis.pdf.
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Except for a two 6 week period where
the Pilot period spread was higher than
or equal to the Pre-Pilot period spread,
the Pilot led to narrower markets across
the Study Group in option series quoted
in penny increments. As observed in
Figure 2, the levels of market volatility
measured by VIX are similar during the
pre-Pilot and Pilot period. We observed
narrower spreads during the Pilot
period compared to those during the
pre-Pilot period. The two week period
where the Pilot period spread was
higher than or equal to the pre-Pilot
period spread is associated with higher
and increasing market volatility.
represents the arithmetic average of all National
Best Bid/Offer (‘‘NBBO’’) quotes in the Study Group
with an offer equal to or less than $3, while Figure
3 represents the arithmetic average of all NBBO
quotes in the Study Group with an offer greater than
$3.
The periods where VIX increased
correlated to increased spread widths.
6 Spread width for this study was calculated by
subtracting the National Best Bid from the National
Best Offer. No weighting was applied. Figure 1
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EN17DE19.005</GPH>
68968
Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
68969
The study did not demonstrate a
consistently narrower market for higherpriced options.
EN17DE19.008</GPH>
demonstrated a consistent reduction in
the average spread width.
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An examination of the median of all
the spreads of lower-priced options in
the Study Group during the Pilot
68970
Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
An examination of the median of all
spread widths of higher-priced options
in the Study Group did not demonstrate
as consistent a reduction in spread
width.
TABLE 2—TRANSACTIONS GROUPED BY TRADE SIZE (‘‘TRADE BUCKETS’’)
0–10 .................................................................................................................
11 to 50 ............................................................................................................
51 to 100 ..........................................................................................................
101 to 500 ........................................................................................................
501 to 1,000 .....................................................................................................
>1,000 ..............................................................................................................
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Q4—2014
Q3—2015
Q4—2015
64,935
13,298
1,688
1,094
254
308
276,275
47,541
5,950
2,587
204
197
158,229
31,656
4,277
1,880
144
136
216,690
36,690
4,486
1,994
143
193
81,577
332,754
196,322
260,196
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Q3—2014
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Trade size
68971
Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
While the data 7 indicated a reduction
in available liquidity at the NBBO for
options traded in the Study Group
during the Pilot period, the quoted size
at the NBBO for the Study Group issues
was, on average, greater than 99% of all
options trades during the Pilot period.
Only the trade bucket for the very
largest trades (>1,000 Contracts) were in
excess of the average offer size.
TABLE 3—BREAKDOWN OF TRADES EXECUTED ON BID, OFFER, OR BETWEEN BID AND OFFER
Total trades
Q3—2014 .........................................................................................................
Q4—2014 .........................................................................................................
Q3—2015 .........................................................................................................
Q4—2015 .........................................................................................................
Trades by Quote Width 8
$0.00–$0.05
$0.06–$0.10
$0.11–$0.20
$0.21–$0.40
>$0.40
A review of the data indicates that
significantly higher percentage of Study
jbell on DSKJLSW7X2PROD with NOTICES
Transactions in the Study Group for
the pre-Pilot and Pilot periods were
analyzed by segregating such
transactions into the following
‘‘buckets’’ of quote widths:
7 As noted above, the study focused solely on
offer sizes because most markets submitted to
options exchanges are symmetrical (i.e., number of
contracts bid for generally equals the number of
contracts offered), and the common presence of
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81,577
........................
332,754
........................
196,322
........................
260,196
........................
quotes without a bid in out-of-the-money option
series would distort the average bid size for a given
option. Figure 6 represents an arithmetic average of
all NBBO offer sizes in the Study Group.
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At bid
At ask
18,378
22.5%
69,451
20.9%
54,692
27.9%
78,171
30.0%
21,881
26.8%
76,552
23.0%
57,840
29.5%
79,544
30.6%
Between
35,917
44.0%
152,661
45.9%
75,908
38.7%
93,862
36.1%
Group transactions occurred in the
bucket with the narrowest quote width
(i.e., $0.00 to $0.05) following an issue
being added to the Pilot.
BILLING CODE 8011–01–P
8 Quote width for this study was calculated by
subtracting the National Best Bid from the National
Best Offer. The quote used for each trade is the
NBBO at the time of trade reporting.
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68972
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68973
EN17DE19.012</GPH>
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Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
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68974
As the Plan Sponsors look to amend
the Pilot, one of the modifications to the
program will be the inauguration of an
annual review. This review will be
conducted every December to allow
eligible issues to be added to the
program, while ineligible issues will be
removed from the program. Currently,
there are 363 issues in the Pilot.
However, it is assumed that the current
issues are not the top 363 issues in the
industry based upon volume. The
exchanges performed a test to assess
what the impact would be if the annual
review would be conducted present day
versus waiting until December to do so.
This would examine not only the issues
added/removed, but also how OPRA
quote traffic would be impacted with all
changes to the program. For this
projection, the analysis looked at
options volume from January through
July 2018 to set the industry’s top 363
issues. There were 107 current Penny
Pilot issues which did not rank within
the top 363 industry issues. Conversely,
there were 96 issues that are currently
not in the Pilot, however, that rank in
the top 363 industry issues. There are 11
issues that are within the top 363 issues,
but would not qualify for the Pilot due
to the underlying price being greater
than $200.
The analysis looked at the basket of
recent additions to the Penny Pilot
(basket of 8 stocks from earlier analysis)
from the years 2014–2015. As evidenced
by the chart below, nearly all of the
issues showed an increase in number of
quotes once it was included with the
Pilot.10 On average, the quote traffic
increase during the time periods was
121%.11
9 The changes in quote traffic could have been
due to factors unrelated to penny increment pricing.
Changes in quote traffic could have been, in part,
driven by differences in market conditions and/or
corporate actions during the pre-Pilot and Pilot
period. For example, when markets are more
volatile we would expect market participants to
update or revise quotes more frequently resulting in
higher levels of quote traffic.
10 Alibaba Group Holding (BABA) shows an
extreme traffic increase of 403%, which
significantly overshadows the amount of quote
traffic increase of the other additions. This is, in
large part, due to its IPO in September 2014; when
it was the largest IPO in history at that time. Over
the two periods, historically, there were days of
higher quote traffic around earnings
announcements. Further, over each of the last two
months of 2015, BABA quote traffic exceeded 2
billion quotes, which was nearly as much as it
experienced, in total, over it first three months of
trading.
11 Due to the considerable influence of the BABA
traffic increase, if the percentage increase in quote
traffic was calculated without BABA’s quote data,
then the value would fall to 81%.
This data demonstrates that having
price points available under $0.10
resulted in trading that was
concentrated on narrower spreads even
if this trend did not result in a
significant narrowing of spreads across
the universe of series in an underlying
class. The data also indicated that after
being added to the Pilot, all but two
classes experienced more than 50% of
trading occurred when the spread width
was $0.05 or less. The other two classes
(e.g., HYG and RSX) still showed a
noticeable increase in trading in that
spread width bucket.
Quote Traffic Analysis and Projection 9
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68975
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EN17DE19.014</GPH>
Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
Using a different sample set, the
analysis examined the quote traffic for
the eleven (11) issues that were added
to the Pilot in July 2017 (‘‘July 2017
Study Group’’). The below chart depicts
the change in quote traffic based on
quote totals from January to June 2017
vs January to June 2018. There were
only two issues which did not
experience an increase in quote traffic
for the comparative time periods.12 On
average, these issues show that once
added to the Penny pilot, there was an
increase of 143% in quotes to the
market.
When analyzing the two study groups
above, each of them showed a quote
traffic increase over comparative time
periods. The average increase between
the samples is 132%.13 In looking at the
quote traffic data from the first six
months of 2018, there were 107 issues
which fell outside of the top 363 issues,
and had a total of nearly 77.5 billion
quotes (or an average of approximately
13 billion quotes per month over a six
month period). On the other hand, there
are 96 securities that are currently not
on the Penny Pilot but are within the
top 363 issues. These 96 issues totaled
close to 103 billion quotes (or an
average of about 17 billion quotes per
month over a six month period). The
chart below details the month to month
activity of the issues which would be
removed and added as a result of a
review.
12 Symbol MBLY was voluntarily delisted from
NYSE on September 6, 2017, in connection with a
tender offer from Intel (INTC) and subsequently
listed on the OTC market. Symbol SDRL filed for
Chapter 11 Bankruptcy on September 12, 2017.
Subsequent to the bankruptcy filing, SDRL was
delisted from NYSE and listed on an OTC market.
When a security moves to the OTC market, many
options exchanges seek to delist the security as it
is not in compliance with continued listings
standards for options. Due to its removal from
nearly all options exchanges, quoting in this
security is drastically reduced and are typically
present only when (or if) a customer looks to close
out an open options position.
13 If BABA’s large effect of the total quote traffic
was not used, it would drop the average increase
between the samples to 111%.
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EN17DE19.015</GPH>
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68976
68977
Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
BILLING CODE 8011–01–C
When comparing the January to June
2018 quote traffic for the potential
removals and potential additions to the
Penny Pilot, there is an increase in
traffic for each of the six months. It
ranges from a 28% increase in March to
a 44% increase in June. The monthly
traffic increase over the six month
period averages out to nearly 33%.14
Over the six months of 2018, the issues
which would be additions to the Penny
Pilot generated nearly 103 billion
quotes. Conversely, the issues which
would be removed generated about 77
billion quotes over the same time
period. Therefore, by comparison, the
additions generated approximately 26
billion more quotes than the removals in
the January to June timeframe (or an
average of slightly over 4 billion quotes
each month).15 Hence, if the 96 new
issues were added to the program, it can
be reasonably concluded that the Penny
Pilot would see an increase in total
quote traffic; even while removing the
other 107 issues which would no longer
qualify for the program.
TABLE 4—REFERENCE DATA TABLE
Quote date
Spread avg:
Ask <=3.00
Underlying symbol
Spread avg:
Ask >3.00
Appx. median
spread:
Ask <=3.00
Appx. median
spread:
Ask >3.00
Avg. ask size
7/2/2014 ..............................
7/2/2014 ..............................
7/2/2014 ..............................
7/2/2014 ..............................
7/2/2014 ..............................
7/2/2014 ..............................
7/9/2014 ..............................
7/9/2014 ..............................
7/9/2014 ..............................
7/9/2014 ..............................
7/9/2014 ..............................
7/9/2014 ..............................
7/9/2014 ..............................
7/16/2014 ............................
7/16/2014 ............................
7/16/2014 ............................
7/16/2014 ............................
7/16/2014 ............................
7/16/2014 ............................
7/16/2014 ............................
7/23/2014 ............................
7/23/2014 ............................
CBS ....................................
FEYE ..................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
CBS ....................................
FEYE ..................................
14 This figure does not represent a constant
growth rate of quote traffic into perpetuity.
Historically, there have been issues in the Penny
Pilot program which suffer a decrease in quote
traffic over the years, with some even getting
delisted at some point in the future. For example,
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0.34
0.25
0.16
0.10
0.11
0.10
0.71
0.27
0.12
0.27
0.11
0.15
0.11
0.17
0.25
0.38
0.23
0.14
0.10
0.11
0.31
0.19
1.15
1.36
1.81
0.84
0.37
0.79
2.04
1.18
0.66
2.31
1.18
0.38
0.75
0.71
1.01
1.51
1.23
0.56
0.27
0.55
1.17
0.88
issues such as GPRO and RAD have seen their quote
numbers decrease by 83% and 53%, respectively,
since their inclusion in the Penny Pilot from 2014.
15 When comparing on a month to month basis for
January to June 2018, the quote traffic differences
between the added and removed issues are as
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0.30
0.25
0.10
0.05
0.10
0.10
0.60
0.25
0.10
0.25
0.10
0.15
0.10
0.15
0.25
0.30
0.20
0.10
0.10
0.10
0.25
0.15
1.10
1.10
0.80
0.60
0.30
0.50
1.90
1.00
0.40
2.20
0.70
0.40
0.50
0.50
1.00
1.40
0.50
0.50
0.20
0.40
1.00
0.80
1,091
2,364
1,519
1,949
6,617
1,837
591
2,270
523
2,228
2,011
7,739
2,174
1,755
2,840
1,647
1,652
2,654
6,388
2,330
2,879
2,629
follows: January 2018—3,261,431,336; February
2018—3,617,834,797; March 2018—3,685,135,946;
April 2018—4,144,730,113, May 2018—
4,688,087,205, June 2018—5,990,971,122. The total
quote traffic difference is 25,388,190,519 more
quotes generated by the potential 96 issues.
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Summary Quote Data for Pre-Pilot period (i.e., Third and Fourth Quarter 2014)
68978
Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
jbell on DSKJLSW7X2PROD with NOTICES
TABLE 4—REFERENCE DATA TABLE—Continued
Spread avg:
Ask <=3.00
Quote date
Underlying symbol
7/23/2014 ............................
7/23/2014 ............................
7/23/2014 ............................
7/23/2014 ............................
7/23/2014 ............................
7/30/2014 ............................
7/30/2014 ............................
7/30/2014 ............................
7/30/2014 ............................
7/30/2014 ............................
7/30/2014 ............................
7/30/2014 ............................
8/6/2014 ..............................
8/6/2014 ..............................
8/6/2014 ..............................
8/6/2014 ..............................
8/6/2014 ..............................
8/6/2014 ..............................
8/6/2014 ..............................
8/13/2014 ............................
8/13/2014 ............................
8/13/2014 ............................
8/13/2014 ............................
8/13/2014 ............................
8/13/2014 ............................
8/13/2014 ............................
8/20/2014 ............................
8/20/2014 ............................
8/20/2014 ............................
8/20/2014 ............................
8/20/2014 ............................
8/20/2014 ............................
8/20/2014 ............................
8/27/2014 ............................
8/27/2014 ............................
8/27/2014 ............................
8/27/2014 ............................
8/27/2014 ............................
8/27/2014 ............................
8/27/2014 ............................
9/3/2014 ..............................
9/3/2014 ..............................
9/3/2014 ..............................
9/3/2014 ..............................
9/3/2014 ..............................
9/3/2014 ..............................
9/3/2014 ..............................
9/10/2014 ............................
9/10/2014 ............................
9/10/2014 ............................
9/10/2014 ............................
9/10/2014 ............................
9/10/2014 ............................
9/10/2014 ............................
9/17/2014 ............................
9/17/2014 ............................
9/17/2014 ............................
9/17/2014 ............................
9/17/2014 ............................
9/17/2014 ............................
9/17/2014 ............................
9/24/2014 ............................
9/24/2014 ............................
9/24/2014 ............................
9/24/2014 ............................
9/24/2014 ............................
9/24/2014 ............................
9/24/2014 ............................
10/1/2014 ............................
10/1/2014 ............................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
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Spread avg:
Ask >3.00
0.35
0.26
0.12
0.12
0.12
0.26
0.21
0.33
0.23
0.11
0.11
0.11
0.31
0.28
0.32
0.24
0.11
0.14
0.10
0.25
0.18
0.28
0.20
0.11
0.13
0.10
0.27
0.18
0.32
0.20
0.12
0.12
0.11
0.24
0.18
0.31
0.25
0.12
0.14
0.11
0.25
0.22
0.41
0.22
0.11
0.14
0.11
0.25
0.19
0.41
0.00
0.11
0.15
0.13
0.27
0.21
0.39
0.31
0.13
0.18
0.12
0.25
0.19
0.26
0.26
0.12
0.13
0.12
0.11
0.26
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Appx. median
spread:
Ask <=3.00
Appx. median
spread:
Ask >3.00
0.30
0.25
0.10
0.10
0.10
0.25
0.20
0.25
0.15
0.10
0.10
0.10
0.25
0.20
0.30
0.20
0.10
0.10
0.10
0.25
0.15
0.25
0.15
0.10
0.15
0.10
0.25
0.15
0.25
0.20
0.10
0.10
0.10
0.25
0.15
0.25
0.25
0.10
0.15
0.10
0.25
0.20
0.25
0.20
0.10
0.10
0.10
0.25
0.15
0.30
0.00
0.10
0.10
0.10
0.25
0.20
0.35
0.30
0.10
0.15
0.10
0.25
0.15
0.15
0.25
0.10
0.05
0.10
0.10
0.25
1.20
1.30
0.80
0.30
0.50
0.80
0.70
1.30
1.30
1.10
0.30
0.60
1.10
1.40
1.20
0.70
1.40
0.40
0.50
0.90
0.80
1.40
0.80
0.60
0.30
0.50
0.70
0.80
1.60
0.60
0.60
0.30
0.40
0.70
0.90
1.20
0.60
0.90
0.30
0.50
1.10
1.00
2.10
0.80
0.70
0.40
0.60
0.90
0.70
2.30
0.00
0.90
0.40
0.70
0.80
0.80
2.20
1.20
0.80
0.70
0.80
1.10
0.80
2.60
0.90
1.10
0.60
0.80
0.60
0.80
1.45
1.61
1.27
0.30
0.54
1.22
0.71
1.47
2.02
1.31
0.39
0.93
1.35
1.46
1.43
0.95
1.57
0.38
0.74
1.13
0.85
1.63
1.06
0.94
0.29
0.60
1.16
0.86
1.70
0.81
0.76
0.32
0.50
0.80
0.91
1.53
0.89
1.26
0.32
0.71
1.24
1.39
2.00
0.96
0.85
0.61
0.87
1.13
0.98
2.07
0.00
1.31
0.49
1.13
1.43
1.22
2.10
1.47
1.10
1.01
1.38
1.25
0.82
2.24
1.14
1.31
0.57
1.22
0.77
1.02
E:\FR\FM\17DEN1.SGM
17DEN1
Avg. ask size
1,679
2,232
1,864
7,091
2,637
1,989
2,212
1,557
1,456
2,325
5,949
2,339
1,842
2,344
1,787
2,257
2,069
6,918
2,425
1,648
2,338
2,005
1,387
2,768
7,232
4,179
1,109
2,662
2,368
2,054
1,831
6,414
3,075
1,500
2,764
1,749
1,881
2,560
7,080
3,080
1,649
3,400
1,479
1,466
2,525
6,192
3,305
1,756
2,826
1,616
0
2,841
6,710
3,641
1,487
2,946
1,709
1,762
3,021
5,996
3,334
2,128
3,146
858
2,415
2,939
7,259
2,334
1,753
1,984
68979
Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
jbell on DSKJLSW7X2PROD with NOTICES
TABLE 4—REFERENCE DATA TABLE—Continued
Spread avg:
Ask <=3.00
Quote date
Underlying symbol
10/1/2014 ............................
10/1/2014 ............................
10/1/2014 ............................
10/1/2014 ............................
10/1/2014 ............................
10/1/2014 ............................
10/8/2014 ............................
10/8/2014 ............................
10/8/2014 ............................
10/8/2014 ............................
10/8/2014 ............................
10/8/2014 ............................
10/8/2014 ............................
10/8/2014 ............................
10/15/2014 ..........................
10/15/2014 ..........................
10/15/2014 ..........................
10/15/2014 ..........................
10/15/2014 ..........................
10/15/2014 ..........................
10/15/2014 ..........................
10/15/2014 ..........................
10/22/2014 ..........................
10/22/2014 ..........................
10/22/2014 ..........................
10/22/2014 ..........................
10/22/2014 ..........................
10/22/2014 ..........................
10/22/2014 ..........................
10/22/2014 ..........................
10/29/2014 ..........................
10/29/2014 ..........................
10/29/2014 ..........................
10/29/2014 ..........................
10/29/2014 ..........................
10/29/2014 ..........................
10/29/2014 ..........................
10/29/2014 ..........................
11/5/2014 ............................
11/5/2014 ............................
11/5/2014 ............................
11/5/2014 ............................
11/5/2014 ............................
11/5/2014 ............................
11/5/2014 ............................
11/5/2014 ............................
11/12/2014 ..........................
11/12/2014 ..........................
11/12/2014 ..........................
11/12/2014 ..........................
11/12/2014 ..........................
11/12/2014 ..........................
11/12/2014 ..........................
11/12/2014 ..........................
11/19/2014 ..........................
11/19/2014 ..........................
11/19/2014 ..........................
11/19/2014 ..........................
11/19/2014 ..........................
11/19/2014 ..........................
11/19/2014 ..........................
11/19/2014 ..........................
11/26/2014 ..........................
11/26/2014 ..........................
11/26/2014 ..........................
11/26/2014 ..........................
11/26/2014 ..........................
11/26/2014 ..........................
11/26/2014 ..........................
11/26/2014 ..........................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
VerDate Sep<11>2014
18:15 Dec 16, 2019
Jkt 250001
PO 00000
Frm 00105
Spread avg:
Ask >3.00
0.18
0.45
0.21
0.13
0.11
0.11
0.18
0.30
0.20
0.52
0.25
0.13
0.13
0.13
0.30
0.56
0.33
0.63
0.34
0.17
0.15
0.15
0.26
0.32
0.23
0.51
0.27
0.16
0.17
0.17
0.17
0.26
0.24
0.51
0.27
0.12
0.13
0.14
0.14
0.27
0.18
0.57
0.26
0.12
0.16
0.13
0.14
0.24
0.17
0.45
0.28
0.12
0.16
0.13
0.16
0.24
0.18
0.57
0.26
0.14
0.16
0.13
0.17
0.29
0.24
0.43
0.29
0.12
0.20
0.13
Fmt 4703
Sfmt 4703
Appx. median
spread:
Ask <=3.00
Appx. median
spread:
Ask >3.00
0.15
0.30
0.20
0.10
0.10
0.05
0.15
0.25
0.20
0.40
0.25
0.10
0.10
0.10
0.25
0.50
0.30
0.50
0.35
0.15
0.15
0.10
0.25
0.25
0.25
0.45
0.25
0.15
0.10
0.10
0.10
0.25
0.25
0.50
0.20
0.10
0.10
0.10
0.10
0.25
0.15
0.50
0.25
0.10
0.10
0.10
0.10
0.20
0.15
0.30
0.25
0.10
0.15
0.10
0.10
0.20
0.15
0.40
0.25
0.10
0.15
0.10
0.10
0.25
0.20
0.30
0.30
0.10
0.15
0.10
0.70
2.40
0.70
1.00
0.30
0.80
0.90
0.80
0.70
2.50
1.00
1.40
0.30
1.10
1.50
2.00
1.50
2.50
1.00
1.90
0.40
0.80
1.10
1.35
1.00
2.50
1.20
1.20
0.90
0.90
0.80
1.00
0.70
2.10
1.20
1.00
0.30
1.00
0.90
1.10
1.50
2.30
1.20
1.10
0.40
0.90
1.10
0.90
0.90
2.50
1.40
1.10
0.35
0.70
1.20
1.00
0.70
2.40
1.30
1.10
0.40
0.70
1.40
1.20
1.10
2.50
1.50
1.10
0.40
1.10
0.69
2.24
0.97
1.31
0.31
1.44
1.19
1.10
0.72
2.35
1.21
1.59
0.31
1.85
1.56
2.23
1.53
2.52
1.32
1.87
0.49
1.63
1.30
1.54
1.06
2.44
1.45
1.37
0.88
1.35
1.11
1.33
0.84
2.08
1.37
1.46
0.37
1.42
1.31
1.44
1.55
2.26
1.36
1.33
0.57
1.10
1.39
1.31
0.96
2.37
1.56
1.14
0.47
0.98
1.42
1.30
0.77
2.39
1.73
1.25
0.43
1.17
1.56
1.80
1.12
2.26
1.76
1.36
0.55
1.56
E:\FR\FM\17DEN1.SGM
17DEN1
Avg. ask size
2,465
1,101
2,127
2,452
7,347
2,577
2,771
1,649
4,029
2,891
2,284
2,900
6,762
3,012
2,117
1,613
3,365
1,916
1,224
1,819
6,211
2,443
2,818
2,337
3,753
1,731
2,756
3,444
6,843
3,707
1,401
2,687
2,233
1,526
2,203
2,809
6,067
3,127
1,786
1,514
1,980
1,459
2,608
3,771
6,033
3,516
1,731
1,500
2,465
1,525
3,310
3,105
5,507
3,146
2,153
1,466
2,602
901
2,980
3,119
5,212
3,207
2,320
1,301
2,484
1,281
2,461
2,115
5,462
1,951
68980
Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
TABLE 4—REFERENCE DATA TABLE—Continued
Spread avg:
Ask <=3.00
Quote date
Underlying symbol
12/3/2014 ............................
12/3/2014 ............................
12/3/2014 ............................
12/3/2014 ............................
12/3/2014 ............................
12/3/2014 ............................
12/3/2014 ............................
12/3/2014 ............................
12/10/2014 ..........................
12/10/2014 ..........................
12/10/2014 ..........................
12/10/2014 ..........................
12/10/2014 ..........................
12/10/2014 ..........................
12/10/2014 ..........................
12/10/2014 ..........................
12/17/2014 ..........................
12/17/2014 ..........................
12/17/2014 ..........................
12/17/2014 ..........................
12/17/2014 ..........................
12/17/2014 ..........................
12/17/2014 ..........................
12/17/2014 ..........................
12/24/2014 ..........................
12/24/2014 ..........................
12/24/2014 ..........................
12/24/2014 ..........................
12/24/2014 ..........................
12/24/2014 ..........................
12/24/2014 ..........................
12/24/2014 ..........................
12/31/2014 ..........................
12/31/2014 ..........................
12/31/2014 ..........................
12/31/2014 ..........................
12/31/2014 ..........................
12/31/2014 ..........................
12/31/2014 ..........................
12/31/2014 ..........................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
Spread avg:
Ask >3.00
0.15
0.25
0.19
0.40
0.29
0.13
0.14
0.12
0.15
0.32
0.25
0.44
0.00
0.12
0.00
0.12
0.17
0.34
0.24
0.46
0.30
0.17
0.13
0.20
0.19
0.30
0.27
0.37
0.31
0.20
0.20
0.21
0.22
0.21
0.23
0.36
0.29
0.18
0.15
0.20
Appx. median
spread:
Ask <=3.00
Appx. median
spread:
Ask >3.00
0.10
0.20
0.15
0.30
0.30
0.10
0.10
0.05
0.10
0.30
0.20
0.40
0.00
0.10
0.00
0.05
0.15
0.25
0.20
0.45
0.25
0.15
0.10
0.15
0.10
0.25
0.20
0.20
0.30
0.15
0.15
0.20
0.15
0.20
0.15
0.25
0.25
0.15
0.15
0.20
1.70
1.60
1.20
1.90
1.40
1.50
0.60
0.90
0.60
1.30
0.80
2.20
0.00
1.60
0.00
1.80
0.60
1.50
0.70
2.20
1.10
2.60
0.30
1.80
0.80
1.00
1.20
1.90
1.20
1.60
0.60
0.90
1.60
0.80
1.00
1.70
1.20
1.50
0.40
1.00
Appx. median
spread:
Ask <=3.00
Appx. median
spread:
Ask >3.00
0.04
0.20
0.20
0.20
0.10
0.05
0.05
0.05
0.08
0.21
0.27
0.19
0.10
0.04
0.05
0.00
0.04
0.29
0.14
0.14
0.09
0.35
0.85
0.90
1.40
1.30
1.30
0.40
0.50
0.55
1.15
1.20
1.00
1.25
1.10
0.35
0.00
0.30
0.75
0.65
0.95
0.70
1.55
1.85
1.51
1.89
2.01
1.92
0.72
1.49
0.74
1.75
1.12
2.08
0.00
2.19
0.00
1.96
0.81
1.69
0.98
2.18
1.70
2.39
0.45
2.01
1.16
1.36
1.62
1.84
1.79
1.95
0.75
1.32
1.63
1.09
1.38
1.78
1.72
1.82
0.62
1.26
Avg. ask size
2,562
1,525
3,131
1,996
3,119
3,492
5,398
3,247
2,362
1,772
2,632
1,758
0
2,313
0
2,837
2,198
1,669
2,255
1,822
2,157
2,886
5,761
2,026
2,087
1,898
1,894
1,692
2,894
2,714
5,108
2,816
2,261
1,131
2,594
1,770
3,374
2,526
4,285
2,440
TABLE 5—SUMMARY QUOTE DATA FOR PILOT PERIOD
jbell on DSKJLSW7X2PROD with NOTICES
[i.e., third and fourth quarter 2015]
Spread avg:
Ask <=3.00
Quote date
Underlying symbol
7/1/2015 ..............................
7/1/2015 ..............................
7/1/2015 ..............................
7/1/2015 ..............................
7/1/2015 ..............................
7/1/2015 ..............................
7/1/2015 ..............................
7/1/2015 ..............................
7/8/2015 ..............................
7/8/2015 ..............................
7/8/2015 ..............................
7/8/2015 ..............................
7/8/2015 ..............................
7/8/2015 ..............................
7/8/2015 ..............................
7/8/2015 ..............................
7/15/2015 ............................
7/15/2015 ............................
7/15/2015 ............................
7/15/2015 ............................
7/15/2015 ............................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
VerDate Sep<11>2014
18:15 Dec 16, 2019
Jkt 250001
PO 00000
Frm 00106
Spread avg:
Ask >3.00
0.05
0.23
0.24
0.27
0.17
0.12
0.11
0.13
0.09
0.24
0.29
0.26
0.14
0.09
0.09
0.00
0.05
0.28
0.17
0.22
0.13
Fmt 4703
Sfmt 4703
0.33
1.29
1.11
1.64
1.63
1.56
0.45
0.94
0.60
1.44
1.38
1.27
1.49
1.54
0.37
0.00
0.31
0.80
0.88
1.22
1.25
E:\FR\FM\17DEN1.SGM
17DEN1
Avg. ask size
1,358
2,000
2,180
2,164
2,789
3,174
3,252
1,986
1,273
1,795
2,244
2,102
1,997
1,811
3,283
0
1,546
1,765
1,883
1,914
2,535
68981
Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
TABLE 5—SUMMARY QUOTE DATA FOR PILOT PERIOD—Continued
jbell on DSKJLSW7X2PROD with NOTICES
[i.e., third and fourth quarter 2015]
Spread avg:
Ask <=3.00
Quote date
Underlying symbol
7/15/2015 ............................
7/15/2015 ............................
7/15/2015 ............................
7/22/2015 ............................
7/22/2015 ............................
7/22/2015 ............................
7/22/2015 ............................
7/22/2015 ............................
7/22/2015 ............................
7/22/2015 ............................
7/22/2015 ............................
7/29/2015 ............................
7/29/2015 ............................
7/29/2015 ............................
7/29/2015 ............................
7/29/2015 ............................
7/29/2015 ............................
7/29/2015 ............................
7/29/2015 ............................
8/5/2015 ..............................
8/5/2015 ..............................
8/5/2015 ..............................
8/5/2015 ..............................
8/5/2015 ..............................
8/5/2015 ..............................
8/5/2015 ..............................
8/5/2015 ..............................
8/12/2015 ............................
8/12/2015 ............................
8/12/2015 ............................
8/12/2015 ............................
8/12/2015 ............................
8/12/2015 ............................
8/12/2015 ............................
8/12/2015 ............................
8/19/2015 ............................
8/19/2015 ............................
8/19/2015 ............................
8/19/2015 ............................
8/19/2015 ............................
8/19/2015 ............................
8/19/2015 ............................
8/19/2015 ............................
8/26/2015 ............................
8/26/2015 ............................
8/26/2015 ............................
8/26/2015 ............................
8/26/2015 ............................
8/26/2015 ............................
8/26/2015 ............................
8/26/2015 ............................
9/2/2015 ..............................
9/2/2015 ..............................
9/2/2015 ..............................
9/2/2015 ..............................
9/2/2015 ..............................
9/2/2015 ..............................
9/2/2015 ..............................
9/9/2015 ..............................
9/9/2015 ..............................
9/9/2015 ..............................
9/9/2015 ..............................
9/9/2015 ..............................
9/9/2015 ..............................
9/9/2015 ..............................
9/16/2015 ............................
9/16/2015 ............................
9/16/2015 ............................
9/16/2015 ............................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
VerDate Sep<11>2014
18:15 Dec 16, 2019
Jkt 250001
PO 00000
Frm 00107
Spread avg:
Ask >3.00
0.11
0.07
0.14
0.05
0.22
0.20
0.22
0.16
0.13
0.10
0.20
0.06
0.20
0.28
0.24
0.18
0.10
0.10
0.16
0.05
0.29
0.24
0.18
0.15
0.08
0.09
0.14
0.08
0.22
0.21
0.26
0.13
0.10
0.08
0.13
0.05
0.25
0.17
0.19
0.13
0.09
0.08
0.11
0.16
0.30
0.27
0.28
0.30
0.18
0.12
0.21
0.12
0.23
0.24
0.22
0.28
0.11
0.22
0.16
0.26
0.20
0.18
0.27
0.10
0.17
0.10
0.16
0.19
0.19
Fmt 4703
Sfmt 4703
Appx. median
spread:
Ask <=3.00
Appx. median
spread:
Ask >3.00
0.07
0.04
0.13
0.04
0.19
0.17
0.11
0.10
0.12
0.08
0.17
0.05
0.17
0.21
0.21
0.12
0.06
0.05
0.12
0.04
0.22
0.21
0.16
0.11
0.05
0.07
0.10
0.06
0.19
0.18
0.16
0.10
0.07
0.05
0.09
0.05
0.25
0.15
0.15
0.09
0.05
0.04
0.05
0.14
0.31
0.25
0.20
0.28
0.16
0.13
0.18
0.13
0.16
0.24
0.15
0.29
0.12
0.17
0.17
0.25
0.19
0.18
0.26
0.12
0.11
0.09
0.12
0.16
0.17
0.95
0.20
0.60
0.30
0.65
0.65
1.50
1.15
1.30
0.30
0.40
0.25
0.75
0.60
1.25
1.15
1.15
0.60
0.70
0.30
0.80
1.47
1.20
1.10
0.75
0.30
0.55
0.70
0.60
0.80
1.30
1.00
0.90
0.20
0.35
0.50
0.70
0.80
1.25
1.40
1.00
0.25
0.75
1.00
0.90
1.15
1.50
1.15
0.70
0.30
0.50
0.80
1.05
1.20
1.70
1.10
0.25
0.95
0.85
0.70
0.90
1.15
1.05
0.30
0.50
0.90
0.75
0.60
1.35
1.15
0.23
0.81
0.32
0.76
0.97
1.56
1.72
1.65
0.31
0.46
0.31
0.97
0.98
1.33
1.60
1.38
0.64
0.83
0.35
0.97
1.50
1.24
1.44
1.00
0.32
0.63
0.79
0.72
0.96
1.43
1.28
0.99
0.24
0.52
0.47
0.84
0.93
1.30
2.14
1.18
0.25
0.89
1.23
1.01
1.29
1.54
1.57
0.91
0.30
0.84
1.01
1.29
1.33
1.62
1.56
0.26
1.19
1.03
0.82
0.98
1.27
1.28
0.29
0.54
1.01
0.92
0.82
1.34
E:\FR\FM\17DEN1.SGM
17DEN1
Avg. ask size
1,980
2,839
2,637
1,840
1,870
2,680
1,615
2,165
3,805
3,866
2,302
1,395
1,780
1,912
2,692
2,245
3,903
3,883
2,483
1,102
1,881
1,362
1,859
2,338
2,818
1,658
2,495
1,456
2,031
2,505
1,643
2,494
2,903
2,066
2,073
2,267
1,880
2,167
2,705
1,807
2,485
2,747
2,205
1,757
1,675
1,751
2,395
1,577
2,142
1,743
1,558
2,357
1,693
2,281
1,852
2,242
3,314
2,573
2,237
1,897
2,109
2,249
1,676
3,610
2,838
1,686
1,679
1,998
1,932
68982
Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
TABLE 5—SUMMARY QUOTE DATA FOR PILOT PERIOD—Continued
jbell on DSKJLSW7X2PROD with NOTICES
[i.e., third and fourth quarter 2015]
Spread avg:
Ask <=3.00
Quote date
Underlying symbol
9/16/2015 ............................
9/16/2015 ............................
9/16/2015 ............................
9/23/2015 ............................
9/23/2015 ............................
9/23/2015 ............................
9/23/2015 ............................
9/23/2015 ............................
9/23/2015 ............................
9/23/2015 ............................
9/23/2015 ............................
9/30/2015 ............................
9/30/2015 ............................
9/30/2015 ............................
9/30/2015 ............................
9/30/2015 ............................
9/30/2015 ............................
9/30/2015 ............................
9/30/2015 ............................
10/7/2015 ............................
10/7/2015 ............................
10/7/2015 ............................
10/7/2015 ............................
10/7/2015 ............................
10/7/2015 ............................
10/7/2015 ............................
10/7/2015 ............................
10/14/2015 ..........................
10/14/2015 ..........................
10/14/2015 ..........................
10/14/2015 ..........................
10/14/2015 ..........................
10/14/2015 ..........................
10/14/2015 ..........................
10/14/2015 ..........................
10/21/2015 ..........................
10/21/2015 ..........................
10/21/2015 ..........................
10/21/2015 ..........................
10/21/2015 ..........................
10/21/2015 ..........................
10/21/2015 ..........................
10/21/2015 ..........................
10/28/2015 ..........................
10/28/2015 ..........................
10/28/2015 ..........................
10/28/2015 ..........................
10/28/2015 ..........................
10/28/2015 ..........................
10/28/2015 ..........................
10/28/2015 ..........................
11/4/2015 ............................
11/4/2015 ............................
11/4/2015 ............................
11/4/2015 ............................
11/4/2015 ............................
11/4/2015 ............................
11/4/2015 ............................
11/4/2015 ............................
11/11/2015 ..........................
11/11/2015 ..........................
11/11/2015 ..........................
11/11/2015 ..........................
11/11/2015 ..........................
11/11/2015 ..........................
11/11/2015 ..........................
11/11/2015 ..........................
11/18/2015 ..........................
11/18/2015 ..........................
HYG ....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
VerDate Sep<11>2014
18:15 Dec 16, 2019
Jkt 250001
PO 00000
Frm 00108
Spread avg:
Ask >3.00
0.21
0.10
0.13
0.08
0.19
0.15
0.22
0.19
0.11
0.10
0.12
0.10
0.18
0.20
0.24
0.25
0.10
0.09
0.13
0.10
0.18
0.22
0.17
0.22
0.12
0.12
0.14
0.08
0.16
0.18
0.15
0.19
0.10
0.12
0.14
0.07
0.19
0.17
0.16
0.18
0.09
0.13
0.12
0.08
0.20
0.18
0.15
0.17
0.13
0.18
0.17
0.06
0.30
0.17
0.15
0.16
0.13
0.33
0.16
0.07
0.20
0.17
0.15
0.18
0.12
0.47
0.14
0.05
0.22
Fmt 4703
Sfmt 4703
Appx. median
spread:
Ask <=3.00
Appx. median
spread:
Ask >3.00
0.17
0.08
0.07
0.06
0.16
0.13
0.19
0.13
0.07
0.12
0.07
0.09
0.16
0.19
0.21
0.23
0.05
0.06
0.09
0.06
0.17
0.22
0.13
0.18
0.06
0.11
0.08
0.06
0.14
0.17
0.12
0.15
0.06
0.10
0.08
0.05
0.16
0.16
0.13
0.12
0.06
0.11
0.08
0.05
0.18
0.16
0.09
0.10
0.08
0.04
0.12
0.04
0.24
0.16
0.12
0.09
0.08
0.25
0.10
0.05
0.16
0.14
0.13
0.08
0.08
0.16
0.09
0.03
0.17
1.30
0.25
0.55
0.60
0.70
0.80
1.30
1.00
0.68
0.30
0.40
0.85
0.65
0.95
1.50
1.65
0.60
0.20
0.35
0.40
0.80
1.05
1.35
2.00
1.05
0.30
0.50
0.40
0.75
0.95
1.00
1.85
0.80
0.30
0.50
0.35
0.80
0.85
1.10
0.80
0.75
0.30
0.45
0.45
0.70
0.65
0.80
2.70
1.10
4.33
0.70
0.35
1.80
0.65
0.80
2.60
0.85
0.55
0.75
0.35
0.95
0.95
0.75
1.60
0.90
3.35
0.55
0.30
1.05
1.80
0.29
0.59
0.67
0.83
0.89
1.27
1.27
0.77
0.31
0.45
0.92
0.77
0.96
1.50
2.23
0.70
0.22
0.41
0.50
0.80
1.05
1.38
2.21
1.24
0.37
0.51
0.55
0.85
1.24
1.08
2.15
1.02
0.41
0.61
0.46
0.80
1.05
1.23
1.49
0.86
0.31
0.53
0.66
0.99
0.84
0.97
2.47
1.30
3.56
0.72
0.50
1.89
0.89
0.93
2.49
0.99
1.27
0.86
0.56
1.27
1.19
0.87
2.13
1.04
2.88
0.60
0.44
1.33
E:\FR\FM\17DEN1.SGM
17DEN1
Avg. ask size
2,610
3,333
2,245
1,937
1,590
2,004
2,352
2,401
3,167
3,277
2,450
1,560
1,697
1,693
2,074
1,560
1,489
1,953
1,770
1,069
1,555
1,997
2,167
1,855
2,360
4,144
2,917
1,191
1,588
1,792
2,034
1,963
2,157
3,669
2,486
1,020
1,215
1,982
1,636
1,748
2,753
4,003
2,522
987
1,044
1,479
1,574
1,665
3,245
1,411
2,396
784
1,260
2,112
1,899
1,485
2,960
1,996
2,401
304
1,264
1,705
1,264
1,308
2,824
1,837
1,897
861
1,467
68983
Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
TABLE 5—SUMMARY QUOTE DATA FOR PILOT PERIOD—Continued
[i.e., third and fourth quarter 2015]
Spread avg:
Ask <=3.00
Quote date
Underlying symbol
11/18/2015 ..........................
11/18/2015 ..........................
11/18/2015 ..........................
11/18/2015 ..........................
11/18/2015 ..........................
11/18/2015 ..........................
11/25/2015 ..........................
11/25/2015 ..........................
11/25/2015 ..........................
11/25/2015 ..........................
11/25/2015 ..........................
11/25/2015 ..........................
11/25/2015 ..........................
11/25/2015 ..........................
12/2/2015 ............................
12/2/2015 ............................
12/2/2015 ............................
12/2/2015 ............................
12/2/2015 ............................
12/2/2015 ............................
12/2/2015 ............................
12/2/2015 ............................
12/9/2015 ............................
12/9/2015 ............................
12/9/2015 ............................
12/9/2015 ............................
12/9/2015 ............................
12/9/2015 ............................
12/9/2015 ............................
12/9/2015 ............................
12/16/2015 ..........................
12/16/2015 ..........................
12/16/2015 ..........................
12/16/2015 ..........................
12/16/2015 ..........................
12/16/2015 ..........................
12/16/2015 ..........................
12/16/2015 ..........................
12/23/2015 ..........................
12/23/2015 ..........................
12/23/2015 ..........................
12/23/2015 ..........................
12/23/2015 ..........................
12/23/2015 ..........................
12/23/2015 ..........................
12/23/2015 ..........................
12/30/2015 ..........................
12/30/2015 ..........................
12/30/2015 ..........................
12/30/2015 ..........................
12/30/2015 ..........................
12/30/2015 ..........................
12/30/2015 ..........................
12/30/2015 ..........................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
BABA ..................................
CBS ....................................
FEYE ..................................
GPRO .................................
HYG ....................................
OIH .....................................
RAD ....................................
RSX ....................................
Spread avg:
Ask >3.00
0.18
0.19
0.19
0.12
0.45
0.15
0.05
0.25
0.18
0.20
0.21
0.09
0.34
0.13
0.06
0.22
0.12
0.16
0.19
0.09
0.51
0.13
0.06
0.23
0.12
0.09
0.17
0.10
0.31
0.14
0.12
0.30
0.21
0.18
0.22
0.15
0.43
0.20
0.11
0.28
0.20
0.22
0.21
0.11
0.35
0.16
0.16
0.19
0.21
0.22
0.20
0.11
0.55
0.15
Appx. median
spread:
Ask <=3.00
Appx. median
spread:
Ask >3.00
0.16
0.12
0.10
0.07
0.14
0.11
0.04
0.22
0.15
0.14
0.13
0.06
0.16
0.08
0.04
0.16
0.08
0.11
0.11
0.05
0.15
0.08
0.04
0.19
0.06
0.05
0.10
0.05
0.14
0.09
0.06
0.28
0.15
0.11
0.19
0.07
0.18
0.10
0.05
0.24
0.17
0.13
0.16
0.05
0.17
0.08
0.06
0.19
0.19
0.16
0.13
0.06
0.19
0.10
0.95
1.40
2.65
0.95
4.50
0.50
0.30
0.90
0.80
0.95
2.70
1.00
4.45
0.55
0.30
1.15
0.70
0.65
1.25
1.05
3.25
0.50
0.35
1.10
0.90
0.90
1.70
1.35
4.55
0.60
0.50
1.50
0.90
1.00
3.15
1.20
4.65
1.00
0.45
1.15
1.15
0.80
3.70
0.90
4.50
0.80
0.45
1.10
0.85
0.80
1.35
1.15
4.50
0.90
0.99
1.47
2.49
1.10
3.24
0.58
0.39
1.39
1.02
1.08
2.71
1.15
3.27
0.72
0.51
1.47
1.01
0.81
1.79
1.17
3.03
0.62
0.48
1.25
1.02
1.03
2.18
1.46
3.75
0.80
0.77
1.79
1.24
1.16
2.68
1.64
4.41
1.87
0.66
1.71
1.30
0.97
3.14
1.30
4.08
1.24
0.62
1.61
1.08
0.98
1.86
1.65
4.00
1.85
jbell on DSKJLSW7X2PROD with NOTICES
Exhibit B to Amendment No. 5
AMENDMENT TO PLAN FOR THE
PURPOSE OF DEVELOPING AND
IMPLEMENTING PROCEDURES
DESIGNED TO FACILITATE THE
LISTING AND TRADING OF
STANDARDIZED OPTIONS
SUBMITTED PURSUANT TO SECTION
11A(a)(3)(B)OF THE SECURITIES
EXCHANGE ACT OF 1934.
VerDate Sep<11>2014
19:33 Dec 16, 2019
Jkt 250001
PO 00000
Frm 00109
Fmt 4703
Sfmt 4703
E:\FR\FM\17DEN1.SGM
17DEN1
Avg. ask size
2,330
1,893
2,772
2,420
1,960
1,631
859
1,064
1,691
1,769
1,291
1,572
1,320
1,667
567
1,201
1,754
1,298
1,484
1,497
1,293
1,940
503
973
1,013
693
989
2,167
853
1,853
705
1,250
1,731
947
1,539
2,458
974
2,407
663
568
949
1,306
2,071
3,149
1,271
1,892
787
772
1,059
1,295
2,193
3,080
1,132
2,120
68984
Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
Italicized language indicates
additions. [Bracketed] language
indicates deletions.
PLAN FOR THE PURPOSE OF
DEVELOPING AND IMPLEMENTING
PROCEDURES DESIGNED TO
FACILITATE THE LISTING AND
TRADING OF STANDARDIZED
OPTIONS SUBMITTED PURSUANT TO
SECTION 11A(a)(3)(B) OF THE
SECURITIES EXCHANGE ACT OF 1934
*
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3.1 Selecting Option Classes for the
Penny Interval Program (‘‘Penny
Program’’)
The registered options exchanges
agree to list option classes for the Penny
Program with the following minimum
increment quoting requirements
(‘‘penny increments’’):
(A) one cent ($0.01) for all series in
QQQ (PowerShares QQQ TrustSM,
Series 1), SPY (SPDR S&P 500 ETF) and
IWM (iShares Russell 2000 Index Fund),
regardless of price;
(B) one cent ($0.01) for all series in
such option classes included in the
Penny Program with a price of less than
$3.00;
(C) five cents ($0.05) for all series in
such option classes included in the
Penny Program with a price of $3.00 or
higher.
(a) Initial Selection. On the first
trading day of the third full calendar
month after [insert date of approval],
the Penny Program will apply only to
the 363 most actively traded multiply
listed option classes, based on OCC’s
National Cleared Volume in the six full
calendar months ending in the month of
approval, that (i) currently quote in
penny increments, or (ii) overlie
securities priced below $200, or any
index at an index level below $200.
Eligibility for inclusion in the Penny
Program will be determined at the close
of trading on the monthly Expiration
Friday of the second full month
following [insert date of approval].
(b) Annual Review. Commencing in
December 2020 and each December
thereafter, OCC will rank all multiply
listed option classes based on National
Cleared Volume for the six full calendar
months from June 1 through November
30 for determination of the most actively
traded option classes.
(1) Addition to the Penny Program.
Based on the Annual Review, any
option class not in the Penny Program
that is among the 300 most actively
traded multiply listed option classes
overlying securities priced below $200,
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19:33 Dec 16, 2019
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or an index at an index level below
$200, will be added to the Penny
Program on the first trading day of
January.
(2) Removal from the Penny Program.
Except as provided in (c), (d), (e) and (f)
below, based on the Annual Review, any
option class in the Penny Program that
falls outside the 425 most actively
traded multiply listed option classes
will be removed from the Penny
Program on the first trading day of
April.
(c) Newly Listed Option Classes. A
registered options exchange may add a
newly listed option class to the Penny
Program, provided that (i) it is among
the 300 most actively traded multiply
listed option classes, as ranked by
National Cleared Volume at OCC, in its
first full calendar month of trading and
(ii) the underlying security is priced
below $200 or the underlying index is at
an index level below $200. Any option
class added under this provision will be
added on the first trading day of the
month after it qualifies and will remain
in the Penny Program for one full
calendar year, after which it will be
subject to the Annual Review stated in
section (b) above.
(d) Classes with Significant Growth in
Activity. A registered options exchange
may add any option class to the Penny
Program, provided that (i) it is among
the 75 most actively traded multiply
listed option classes, as ranked by
National Cleared Volume at OCC, in the
past six full calendar months of trading
and (ii) the underlying security is priced
below $200 or the underlying index is at
an index level below $200. Any option
class added under this provision will be
added on the first trading day of the
second full month after it qualifies and
will remain in the Penny Program for
the rest of the calendar year, after which
it will be subject to the Annual Review
stated in section (b) above.
(e) Corporate Actions. If a corporate
action involves one or more option
classes in the Penny Program, all
adjusted and unadjusted series of the
option class will be included in the
Penny Program. Any new option class
added to the Penny Program under this
provision will remain in the Penny
Program for one full calendar year; after
which it will be subject to the Annual
Review stated in section (b) above.
(f) Delisted or Ineligible Option
Classes. Any series in an option class
participating in the Penny Program in
which the underlying security has been
delisted, or are identified by OCC as
ineligible for opening customer
PO 00000
Frm 00110
Fmt 4703
Sfmt 4703
transactions, will continue to quote
pursuant to the terms of the Penny
Program until all such options have
expired.
(g) The registered options exchanges
agree that references to multiply listed
option classes in this section of the Plan
only applies to option classes in the
Penny Program, and to no other sections
of the Plan.
(h) Not sooner than 60 months after
approval of the Penny Program, a supermajority (2⁄3) of the Plan Sponsors may
vote to make changes to the Penny
Program. At any time before 60 months
have passed since the adoption of the
Penny Program, any changes must be
unanimously approved by the Plan
Sponsors. Any changes to the Penny
Program are subject to SEC review
pursuant to Section 11A(a)(3) of the
Securities Exchange Act of 1934 and
Rule 608 thereunder.
4. Adjustments Pursuant to OCC ByLaws—Article VI, Section 11 of the OCC
By-Laws, as approved by the SEC,
provides that [an adjustment panel of
the Securities Committee, comprised of
representatives from each registered
options exchange trading options on the
affected underlying security,]OCC shall
determine whether to make adjustments
to reflect particular events in respect of
such underlying security, and the nature
and extent of any such adjustment. In
connection with such determinations,
the options exchanges trading such
options class are authorized to
determine operational issues attendant
to the adjustment made by [the
adjustment panel]OCC.
*
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*
9. List of Plan Sponsors—The
Sponsors of the Options Listing
Procedures Plan are as follows:
• [American Stock Exchange LLC
(‘‘AMEX’’)]NYSE American, LLC,
registered as a national securities
exchange under the Exchange Act and
having its principal place of business at
[86 Trinity Place, New York, New York
10006]11 Wall Street, New York, NY
10005.
• [BATS Exchange, Inc.
(‘‘BATS’’)]Cboe BZX Exchange, Inc.,
registered as a national securities
exchange under the Exchange Act and
having its principal place of business at
[8050 Marshall Dr., Suite 120, Lenexa,
Kansas 66214]400 South LaSalle Street,
Chicago, Illinois 60605.
• BOX [Options] Exchange LLC
(‘‘BOX’’), registered as a national
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Federal Register / Vol. 84, No. 242 / Tuesday, December 17, 2019 / Notices
securities exchange under the Exchange
Act and having its principal place of
business at 101 Arch Street, St. 610,
Boston, Massachusetts 02110.
• [Chicago Board Options Exchange,
Incorporated. (‘‘CBOE’’)]Cboe Exchange,
Inc., registered as a national securities
exchange under the Exchange Act and
having its principal place of business at
400 South LaSalle Street, Chicago,
Illinois 60605.
• [C2 Options Exchange, Incorporated
(‘‘C2’’)]Cboe C2 Exchange, Inc.,
registered as a national securities
exchange under the Exchange Act and
having its principal place of business at
400 South LaSalle Street, Chicago,
Illinois 60605.
• [EDGX Exchange, Inc.
(‘‘EDGX’’)]Cboe EDGX Exchange, Inc.,
registered as a national securities
exchange under the Exchange Act and
having its principal place of business at
[8050 Marshall Dr., Suite 120, Lenexa,
Kansas 66214]400 South LaSalle Street,
Chicago, Illinois 60605.
• [International Securities Exchange
LLC (‘‘ISE’’)]Nasdaq ISE, LLC, registered
as a national securities exchange under
the Exchange Act and having its
principal place of business at [60 Broad
Street, New York, New York 10004]One
Liberty Plaza, 50th Floor, New York,
New York 10006.
• [ISE Mercury, LLC (‘‘ISE
Mercury’’)]Nasdaq MRX, LLC, registered
as a national securities exchange under
the Exchange Act and having its
principal place of business at [60 Broad
Street, New York, New York 10004]One
Liberty Plaza, 50th Floor, New York,
New York 10006.
• Miami International Securities
Exchange, LLC (‘‘MIAX’’), registered as
a national securities exchange under the
Exchange Act and having its principal
place of business at 7 Roszel Road, Fifth
Floor, Princeton, New Jersey 08540.
• MIAX Emerald, LLC (‘‘MIAX
Emerald’’), registered as a national
securities exchange under the Exchange
Act and having its principal place of
business at 7 Roszel Road, Fifth Floor,
Princeton, New Jersey 08540.
• MIAX PEARL, LLC (‘‘MIAX
PEARL’’), registered as a national
securities exchange under the Exchange
Act and having its principal place of
business at 7 Roszel Road, Fifth Floor,
Princeton, New Jersey 08540.
• The [NASDAQ]Nasdaq Stock
Market LLC, registered as a national
securities exchange under the Exchange
Act and having its principal place of
business at One Liberty Plaza, 50th
Floor, New York, New York 10006.
• [NASDAQ OMX BX, Inc.,
(‘‘BX’’)]Nasdaq BX, Inc., registered as a
national securities exchange under the
VerDate Sep<11>2014
18:15 Dec 16, 2019
Jkt 250001
Exchange Act and having its principal
place of business at One Liberty Plaza,
50th Floor, New York, New York 10006.
• The Options Clearing Corporation
(‘‘OCC’’), registered as a clearing agency
under the Exchange Act and having its
principal place of business at [440
South LaSalle Street, Chicago, Illinois
60605]125 South Franklin Street, Suite
1200, Chicago, Illinois 60606.
• [Pacific Exchange, Inc.
(‘‘PCX’’)]NYSE Arca, Inc., registered as
a national securities exchange under the
Exchange Act and having its principal
place of business at [301 Pine Street,
San Francisco, California 94104]11 Wall
Street, New York, NY 10005.
• [Philadelphia Stock Exchange, Inc.
(‘‘PHLX’’)]Nasdaq PHLX LLC, registered
as a national securities exchange under
the Exchange Act and having its
principal place of business at [1900
Market Street, Philadelphia,
Pennsylvania 19103]FMC Tower, Level
8, 2929 Walnut Street, Philadelphia,
Pennsylvania 19104.
• [Topaz Exchange, LLC
(‘‘Topaz’’)]Nasdaq GEMX, LLC,
registered as a national securities
exchange under the Exchange Act and
having its principal place of business at
[60 Broad Street, New York, New York
10004]One Liberty Plaza, 50th Floor,
New York, New York 10006.
*
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[FR Doc. 2019–26816 Filed 12–16–19; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–87717; File No. SR–OCC–
2019–009]
and stress testing rules and
methodology.3 The Proposed Rule
Change was published for public
comment in the Federal Register on
October 29, 2019.4 The Commission has
received no comments regarding the
Proposed Rule Change.5 This order
approves the Proposed Rule Change.
II. Background 6
As noted above, OCC proposes to
revise its Clearing Fund and stress
testing rules and methodology.
Specifically, OCC proposes to: (1)
Incorporate a new set of stress test
scenarios to be used in the monthly
sizing of OCC’s Clearing Fund that are
designed to capture the risks of extreme
moves in individual or small subsets of
securities; (2) revise OCC’s stress testing
methodology for modeling certain
volatility index futures; (3) modify
OCC’s methodology for allocating
Clearing Fund contribution
requirements to standardize the margin
risk component of the allocation
formula for all Clearing Members; and
(4) adopt an additional threshold for
notifying senior management of intraday margin calls based on certain stress
test results. OCC also proposes to
correct certain rules concerning OCC’s
cooling-off period and replenishment/
assessment powers.7
A. Sizing Stress Test Scenarios
On a monthly basis, OCC establishes
the size of its Clearing Fund at the level
it believes is necessary to maintain
sufficient financial resources to cover
losses arising from the default of the two
Clearing Member Groups that would
3 See
Notice of Filing infra note 4, at 84 FR 57911.
Exchange Act Release No. 87386 (Oct.
23, 2019), 84 FR 57911 (Oct. 29, 2019) (SR–OCC–
2019–009) (‘‘Notice of Filing’’). OCC also filed a
related advance notice (SR–OCC–2019–806)
(‘‘Advance Notice’’) with the Commission pursuant
to Section 806(e)(1) of Title VIII of the Dodd-Frank
Wall Street Reform and Consumer Protection Act,
entitled the Payment, Clearing, and Settlement
Supervision Act of 2010 and Rule 19b–4(n)(1)(i)
under the Exchange Act. 12 U.S.C. 5465(e)(1). 15
U.S.C. 78s(b)(1) and 17 CFR 240.19b–4,
respectively. The Advance Notice was published in
the Federal Register on November 12, 2019.
Securities Exchange Act Release No. 87475 (Nov. 6,
2019), 84 FR 61120 (Nov. 12, 2019) (SR–OCC–2019–
806).
5 Since the proposal contained in the Proposed
Rule Change was also filed as an advance notice,
all public comments received on the proposal are
considered regardless of whether the comments are
submitted on the Proposed Rule Change or Advance
Notice.
6 Capitalized terms used but not defined herein
have the meanings specified in OCC’s Rules and ByLaws, available at https://www.theocc.com/about/
publications/bylaws.jsp.
7 Additionally, OCC proposes clarifying and
conforming changes to its Rules, Clearing Fund
Methodology Policy (‘‘Policy’’), and Stress Testing
and Clearing Fund Methodology Description
(‘‘Methodology Description’’).
4 Securities
Self-Regulatory Organizations; the
Options Clearing Corporation; Order
Approving Proposed Rule Change
Related to Proposed Changes to the
Options Clearing Corporation’s Rules,
Clearing Fund Methodology Policy,
and Clearing Fund and Stress Testing
Methodology
December 11, 2019.
I. Introduction
On October 10, 2019, the Options
Clearing Corporation (‘‘OCC’’) filed with
the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change SR–OCC–2019–
009 (‘‘Proposed Rule Change’’) pursuant
to Section 19(b) of the Securities
Exchange Act of 1934 (‘‘Exchange
Act’’) 1 and Rule 19b–4 2 thereunder to
make changes to OCC’s Clearing Fund
1 15
2 17
PO 00000
U.S.C. 78s(b)(1).
CFR 240.19b–4.
Frm 00111
Fmt 4703
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68985
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]]>Agencies
[Federal Register Volume 84, Number 242 (Tuesday, December 17, 2019)]
[Notices]
[Pages 68960-68985]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-26816]
=======================================================================
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-87681; File No. 4-443]
Joint Industry Plan; Notice of Filing of Amendment No. 5 to the
Plan for the Purpose of Developing and Implementing Procedures Designed
To Facilitate the Listing and Trading of Standardized Options To Adopt
a Penny Interval Program
December 9, 2019.
I. Introduction
Pursuant to Section 11A(a)(3) of the Securities Exchange Act of
1934 (``Act'') \1\ and Rule 608 thereunder,\2\ notice is hereby given
that on July 18, 2019, BOX Exchange LLC; Cboe BZX Exchange, Inc.; Cboe
C2 Exchange, Inc.; Cboe Exchange, Inc.; Cboe EDGX Exchange, Inc.; Miami
International Securities Exchange, LLC; MIAX Emerald, LLC; MIAX PEARL,
LLC; Nasdaq BX, Inc.; Nasdaq GEMX, LLC; Nasdaq ISE, LLC; Nasdaq MRX,
LLC; Nasdaq PHLX LLC; The Nasdaq Stock Market LLC; NYSE American, LLC;
NYSE Arca, Inc. (collectively, ``Exchanges''); and The Options Clearing
Corporation (``OCC'' and together with OCC, ``Plan Sponsors'') filed
Amendment No. 5 to the Plan for the Purpose of Developing and
Implementing Procedures to Facilitate the Listing and Trading of
Standardized Options (``OLPP'').\3\ The proposal reflects changes
unanimously approved by the Plan Sponsors. The Amendment No. 5 proposes
to adopt provisions that (i) establish a Program for quoting certain
classes in penny increments; (ii) establish an annual review process to
add to and/or remove option classes from the Penny Program; (iii) allow
an option class to be added to the Penny Program if it is a newly
listed option class and it meets certain criteria; (iv) allow an option
class with significant growth in activity to be added to the Penny
Program if it meets certain criteria; (v) provide that if a corporate
action involves one or more option classes in the Penny Program, all
adjusted and unadjusted series of the option class shall be included in
the Penny Program; (vi) provide that any series in an option class
participating in the Penny Program in which the underlying security has
been delisted, or are identified by OCC as ineligible for opening
customer transactions, will continue to quote pursuant to the rules of
the Penny Program until all such options have expired; and (vii)
establish an amendment process for the Penny Program. A copy of a
report submitted by the Exchanges in support of the Amendment is
attached as Exhibit A hereto. A copy of the Plan, as proposed to be
amended, is attached as Exhibit B hereto. The Commission is publishing
this notice to solicit comments from interested persons on the
Amendment No. 5.\4\
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\1\ 15 U.S.C. 78k-1(a)(3).
\2\ 17 CFR 242.608.
\3\ See Letter from BOX Exchange LLC, CBOE BZX Exchange, Inc.,
CBOE Exchange, Inc., CBOE C2 Exchange, Inc, CBOE EDGX Exchange,
Inc., Miami International Securities Exchange, LLC, MIAX Emerald,
LLC, MIAX PEARL, LLC, NASDAQ BX, Inc., NASDAQ GEMX, LLC, NASDAQ ISE,
LLC, NASDAQ MRX, LLC, NASDAQ PHLX, LLC, The NASDAQ Stock Market LLC,
NYSE American, LLC, NYSE Arca, Inc., and the OCC, to Vanessa
Countryman, Secretary, Commission, dated July 18, 2019. On July 6,
2001, the Commission approved the OLPP, which was proposed by the
American Stock Exchange LLC, Chicago Board Options Exchange,
Incorporated, International Securities Exchange LLC, OCC,
Philadelphia Stock Exchange, Inc., and Pacific Exchange, Inc. See
Securities Exchange Act Release No. 44521, 66 FR 36809 (July 13,
2001). See also Securities Exchange Act Release Nos. 49199 (February
5, 2004), 69 FR 7030 (February 12, 2004) (adding Boston Stock
Exchange, Inc. as a Plan Sponsor); 57546 (March 21, 2008), 73 FR
16393 (March 27, 2008) (adding The Nasdaq Stock Market, LLC as a
Plan Sponsor); 61528 (February 17, 2010), 75 FR 8415 (February 24,
2010) (adding BATS Exchange, Inc. as a Plan Sponsor); 63162 (October
22, 2010), 75 FR 66401 (October 28, 2010) (adding C2 Options
Exchange Incorporated as a Plan Sponsor); 66952 (May 9, 2012), 77 FR
28641 (May 15, 2012) (adding BOX Options Exchange LLC as a Plan
Sponsor); 67327 (June 29, 2012), 77 FR 40125 (July 6, 2012) (adding
Nasdaq OMX BX, Inc. as a Plan Sponsor); 70765 (October 28, 2013), 78
FR 65739 (November 1, 2013) (adding Topaz Exchange, LLC as a Plan
Sponsor); 70764 (October 28, 2013), 78 FR 65733 (November 1, 2013)
(adding Miami International Securities Exchange, LLC as a Plan
Sponsor); 76822 (January 1, 2016), 81 FR 1251 (January 11, 2016)
(adding EDGX Exchange, Inc. as a Plan Sponsor); 77323 (March 8,
2016), 81 FR 13433 (March 14, 2016) (adding ISE Mercury, LLC as a
Plan Sponsor); 79897 (January 30, 2017), 82 FR 9263 (February 3,
2017) (adding MIAX PEARL, LLC as a Plan Sponsor); and 85228 (March
1, 2019), 84 FR 8355 (March 7, 2019) (adding MIAX Emerald, LLC as a
Plan Sponsor).
\4\ 17 CFR 242.608. All capitalized and undefined terms used in
this letter have the same meanings assigned to them in the OLPP.
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[[Page 68961]]
II. Description of the Plan
Set forth in this Section I is the statement of the purpose and
summary of Amendment No. 5, along with the information required by Rule
608(a)(4) and (5) under the Exchange Act,\5\ prepared and submitted by
the Plan Sponsors to the Commission.\6\
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\5\ See 17 CFR 242.608(a)(4) and (a)(5).
\6\ See Transmittal Letter, supra note 3.
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A. Statement of Purpose and Summary of the Plan Amendment
The Plan Sponsors have agreed to amend the OLPP to govern the
listing of option classes that quote in one-cent increments and five-
cent increments under a Penny Interval Program (``Penny Program'').\7\
In particular, the Amendment proposes to adopt a new Section 3.1 that
includes provisions to (i) establish an annual review process to add to
and/or remove option classes from the Penny Program; (ii) allow an
option class to be added to the Penny Program if it is a newly listed
option class and it meets certain criteria; (iii) allow an option class
with significant growth in activity to be added to the Penny Program if
it meets certain criteria; (iv) provide that if a corporate action
involves one or more option classes in the Penny Program, all adjusted
and unadjusted series of the option class shall be included in the
Penny Program; (v) provide that any series in an option class
participating in the Penny Program in which the underlying security has
been delisted, or are identified by OCC as ineligible for opening
customer transactions, will continue to quote pursuant to the rules of
the Penny Program until all such options have expired; and (vi)
establish an amendment process for the Penny Program.
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\7\ This Amendment No. 5 also seeks to make administrative
changes in Section 4 of the OLPP to replace references to the
adjustment panel with OCC. On November 9, 2018, the Commission
approved a Supplement to the Options Disclosure Document. The
Supplement provided for the implementation of modifications to the
OCC By-Laws that transferred the authority to make contract
adjustment determinations from adjustment panels, consisting of
representatives from option exchanges, to OCC. The proposed
modification to Section 4 of the OLPP coincides with these changes
to the OCC By-Laws to reflect that contract adjustment
determinations are now made by OCC. See Securities Exchange Act
Release No. 84565 (November 9, 2018), 83 FR 57778 (November 16,
2018) (SR-ODD-2018-01). See also Securities Exchange Act Release No.
69977 (July 11, 2013), 78 FR 42815 (July 17, 2013) (SR-OCC-2013-05).
This Amendment further seeks to make non-substantive ministerial
changes to update the names and addresses of certain Plan Sponsors,
as set forth in Section 9 of the OLPP.
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The Plan Sponsors propose to establish the Penny Program as a
permanent replacement to the current Penny Pilot Program (``Penny
Pilot'').\8\ The Penny Program will provide for such designated option
classes to be quoted in $0.01 increments (for all series in such option
classes with a price of less than $3.00) and $0.05 increments (for all
series in such option classes with a price of $3.00 or higher). All
option series in QQQ (PowerShares QQQ TrustSM, Series 1), SPY (SPDR S&P
500 ETF) and IWM (iShares Russell 2000 Index Fund) will continue to
quote in $0.01 increments, regardless of price.
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\8\ On January 26, 2007, the six options exchanges commenced the
Penny Pilot to quote and trade options on 13 stocks and ETFs in
penny increments after Chairman Cox of the Commission encouraged the
options exchanges in a letter dated June 6, 2006 to begin quoting a
limited number of options in pennies. See Securities Exchange Act
Release Nos. 55153 (January 23, 2007), 72 FR 4553 (January 31, 2007)
(SR-Phlx-2006-74); 55154 (January 23, 2007), 72 FR 4743 (February 1,
2007) (SR-CBOE-2006-92); 55162 (January 24, 2007), 72 FR 4738
(February 1, 2007) (SR-Amex-2006-106); 55161 (January 24, 2007), 72
FR 4754 (January 24, 2007) (SR-ISE-2006-62); 55156 (January 23,
2007), 72 FR 4759 (February 1, 2007) (SR-NYSEArca-2006-73); and
55155 (January 23, 2007), 72 FR 4741 (February 1, 2007) (SR-BSE-
2006-49). The Penny Pilot was subsequently expanded to include
additional option classes. Most notably, the Penny Pilot was
expanded by 22 option classes on September 28, 2007 and 28 option
classes on March 28, 2008. The Penny Pilot was last expanded in 2009
to include the next 300 most actively traded, multiply-listed option
classes that were not yet included in the Penny Pilot, excluding
options with high premiums. See Securities Exchange Act Release Nos.
60711 (September 23, 2009), 74 FR 49419 (September 28, 2009) (SR-
NYSEArca-2009-44); 60865 (October 22, 2009), 74 FR 55880 (October
29, 2009) (SR-ISE-2009-82); 60864 (October 22, 2009), 74 FR 55876
(October 29, 2009) (SR-CBOE-2009-076); 60874 (October 23, 2009), 74
FR 56682 (November 2, 2009) (SR-NASDAQ-2009-091); 60873 (October 23,
2009), 74 FR 56675 (November 2, 2009) (SR-Phlx-2009-91); 60886
(October 27, 2009), 74 FR 56897 (November 3, 2009) (SR-BX-2009-067);
and 61106 (December 3, 2009), 74 FR 65193 (December 9, 2009) (SR-
NYSEAmex-2009-74). Through these expansions, the Penny Pilot now
consists of 363 option classes.
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Initial Selection of Penny Program Classes
The Penny Program will initially apply only to the 363 \9\ most
actively traded multiply listed option classes, based on OCC's National
Cleared Volume \10\ in the six full calendar months ending in the month
of approval,\11\ that (i) currently quote in penny increments (i.e.,
are already in the Penny Pilot) or, (ii) if not in the Penny Pilot,
overlie securities priced below $200, or any index at an index level
below $200.\12\ Eligibility for inclusion in the Penny Program will be
determined at the close of trading on the monthly expiration Friday of
the second full month following Commission approval of the proposed
Amendment. The changes made pursuant to this initial selection process
will become effective on the first trading day of the third full
calendar month following Commission approval of the proposed
Amendment.\13\ Option classes that are in the Penny Pilot but are not
selected for inclusion in the Penny Program following the initial
selection will be subject to the minimum trading increment as described
in the rules of the Exchanges, effective on the first trading day of
the third full calendar month following the Amendment's approval date.
Once an option class is in the Penny Program, it will remain in the
Penny Program until it is no longer among the 425 most actively traded
multiply listed option classes at the time of annual review. Option
classes will be replaced pursuant to the annual review process
described below.
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\9\ This figure is taken from the current number of option
classes in the Penny Pilot. See supra note 8.
\10\ Under the current parameters of the Penny Pilot, whether
for expansion of the Penny Pilot from 2007 to 2010, or for semi-
annual replacements, new issues were selected based on total
national contract volume cleared at OCC (i.e., ``National Cleared
Volume'') over a six month period. In discussions amongst the Plan
Sponsors in creating a permanent Penny Program with an annual
review, it was agreed to continue to rank issues based on National
Cleared Volume. National Cleared Volume includes FLEX transactions
and all listed series transactions, regardless of clearing account
type.
\11\ For example, if the proposal is approved on November 6, the
volume test for the initial selection into the Penny Program will
include six months of National Cleared Volume beginning in June up
to and including the month of November.
\12\ Certain option classes that currently quote in penny
increments pursuant to the Penny Pilot that are not among the 363
most actively traded multiply listed option classes at the time of
the initial selection will not be eligible to quote in penny
increments under the Penny Program.
\13\ For example, if the proposal is approved on November 6, the
price determinant for inclusion into the Penny Program will be the
expiration Friday in January (the second full month following
approval). The changes from the initial selection process will
become effective on the first trading day in February.
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Annual Review
The Plan Sponsors agree on an annual review process by which
eligible option classes may be added to the Penny Program, or
ineligible option classes may be removed from the Penny Program based
on objective criteria. Specifically, on an annual basis commencing in
December 2020 and each December thereafter, OCC will rank all multiply
listed option classes based on National Cleared Volume for the six full
calendar months from June 1 through November 30 for determination of
the most actively traded option classes. Any option class not yet in
the Penny Program that is among the 300 most actively traded multiply
listed option classes overlying
[[Page 68962]]
securities priced below $200, or an index at an index level below $200,
will be added to the Penny Program. Following the annual review, option
classes to be added to the Penny Program will begin quoting in $0.01
increments (for all series in such option classes with a price of less
than $3.00) and $0.05 increments (for all series in such option classes
with a price of $3.00 or higher) on the first trading day of January.
In addition, following the annual review, any option class in the
Penny Program that falls outside the 425 most actively traded multiply
listed option classes will be removed from the Penny Program.\14\
Option classes that are removed from the Penny Program following an
annual review will be subject to the minimum trading increment as
described in the rules of the Exchanges, effective the first trading
day of April. Each Exchange will announce via bulletin if orders in
their respective order books in option classes being removed from the
Penny Program will be cancelled or if they will be converted to another
order type.\15\ The Plan Sponsors believe that these time periods would
give investors and traders sufficient time to prepare for the change in
quoting increments. Further, the Plan Sponsors believe that the
proposed annual review process provides an objective framework to add
and remove option classes from the Penny Program in a manner that is
designed 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. As noted above, the proposed parameters of the annual
review process are designed to ensure that the most active eligible
issues (i.e., top 300) are included while preventing high turnovers for
issues that are removed from the Penny Program (i.e., issues that fall
outside the top 425). The Plan Sponsors believe that the proposed
framework would thus promote consistency in the implementation of the
Penny Program, thereby aiding in the maintenance of a fair and orderly
options market system. Following Commission approval of the proposed
Amendment, the Exchanges will continue to monitor the 300, 363 and 425
option class thresholds going forward to determine if they are set at
appropriate levels.
---------------------------------------------------------------------------
\14\ The Plan Sponsors actively discussed the parameters of the
annual review process, and determined that consideration of the top
425 issues struck the appropriate balance between guaranteeing
inclusion of the most active issues (i.e., top 300) in the Penny
Program while maintaining a buffer (of additional eligible issues)
to ensure the least disruptive means for the annual rebalancing for
those issues that were included in the Penny Program (which included
the top 363 issues) that fall below the top 300. It was noted that
the relative rankings of issues may increase or decrease by 20 to 30
spots from year to year, and that automatically including the top
300 (rather than 363), would allow the Penny Program to always
include the most active issues, while maintaining the eligibility of
an issue that is still active, although not as relatively active
because of normal fluctuations in investor interest. Provided the
issue was not less active than the next 62 most active (i.e., not
among the top 425) such issues would remain in the Program. If the
activity level declines to where it is not in the top 425, however,
it should be phased out of the Penny Program. The proposed framework
is therefore designed to allow for consistency and prevent high
turnovers for issues that are removed from the Penny Program.
\15\ Each Exchange will disseminate a memorandum which will
detail how open orders will be handled on its trading platform for
all series on an option class removed from the Penny Program, since
all the Exchanges do not employ the same process for cancellation of
such orders.
---------------------------------------------------------------------------
Newly Listed Option Classes
In addition to the annual review described above, the Plan Sponsors
agree to allow option classes to be added to the Penny Program if they
are a newly listed option class that meets certain criteria.
Specifically, the Exchanges may add a newly listed option class to the
Penny Program, provided that (i) it is among the 300 most actively
traded multiply listed option classes, as ranked by National Cleared
Volume at OCC, in its first full calendar month of trading, and (ii)
the underlying security is priced below $200 or the underlying index is
at an index level below $200. Any option class added under this
provision will be added on the first trading day of the month after it
qualifies.\16\ Any option class so added shall remain in the Penny
Program for one full calendar year, after which it will be subject to
the annual review. The Plan Sponsors believe that the proposed trading
volume threshold and initial price test, as described herein, provide
objective criteria by which the Exchanges can add new option classes to
the Penny Program in issues with the most demonstrated trading interest
from market participants and investors on an expedited basis prior to
the annual review, in a manner that will benefit market participants
and investors by allowing them to trade these new option classes that
quote and trade in a finer trading increment.
---------------------------------------------------------------------------
\16\ For example, a new issue that began trading on the 20th of
October will have its volume for the month of November evaluated and
ranked. If that issue is among the 300 most actively traded multiply
listed option classes for November, and the underlying security is
priced below $200 or the underlying index is at an index level below
$200, it will be added to the Penny Program on the first trading day
of December.
---------------------------------------------------------------------------
Option Classes With Significant Growth in Activity
In addition to the annual review described above, the Plan Sponsors
agree to allow an option class to be added to the Penny Program if it
is an option class that has a significant growth in activity.
Specifically, the Exchanges may add any option class to the Penny
Program, provided that (i) it is among the 75 most actively traded
multiply listed option classes, as ranked by National Cleared Volume at
OCC, for six full calendar months of trading, and (ii) the underlying
security is priced below $200 or the underlying index is at an index
level below $200. Any option class added under this provision will be
added on the first trading day of the second full month after it
qualifies.\17\ The option class will then remain in the Penny Program
for the rest of the calendar year, after which it will be subject to
the annual review.\18\
---------------------------------------------------------------------------
\17\ For example, if an issue is among the 75 most actively
traded multiply listed option classes for six months ending February
28 (for the period September 1 to February 28), and the underlying
security is priced below $200 or the underlying index is at an index
level below $200, it will be added to the Penny Program on the first
trading day of April.
\18\ Thus, for example, if an issue was added to the Penny
Program under this provision in October 2020, it would be subject to
the next annual review in December 2020. In contrast, if a new issue
was added to the Penny Program in October 2020 under the process
described above for newly listed options, it would be up for annual
review in December 2021 (i.e., it would remain in the Penny Program
for one full calendar year, after which it would be subject to the
annual review). As discussed below, the Plan Sponsors believe that
it is appropriate for issues added under this provision to have a
shorter lookback period as any issue that was already listed and was
active enough to qualify under the more stringent requirements in
this provision should be active enough to continue to qualify for
the Penny Program.
---------------------------------------------------------------------------
The Plan Sponsors believe that a provision to allow for option
classes to be added to the Penny Program outside of the annual review
process is beneficial to market participants because of the rare
instances when an option class that has been listed for some time
becomes very active for an extended period of time, such as after the
development of a new product. While some issues may become active for a
month or two, the six month activity requirement and the higher
qualification level (among the 75 most active) ensures that only those
option classes with widespread investor interest are added to the Penny
Program outside of the regular process.
The Plan Sponsors also believe that option classes added outside of
the regular process should be subject to the
[[Page 68963]]
next annual review, as any option class that was active enough to
qualify outside of the regular process under this provision should be
active enough to continue to qualify for the Penny Program. The Plan
Sponsors believe that the proposed trading volume threshold and initial
price test, as described herein, provide objective criteria by which
the Exchanges can add an option class to the Penny Program in issues
with the most demonstrated trading interest from market participants
and investors on an expedited basis prior to the annual review, in a
manner that will benefit market participants and investors by allowing
them to trade these new option classes that quote and trade in a finer
trading increment.
Corporate Actions
The Plan Sponsors agree to provide that if a corporate action
involves one or more option classes in the Penny Program, all adjusted
and unadjusted series of the option class shall be included in the
Penny Program.\19\ No trading volume threshold shall apply and the
initial price test shall not apply to the option class added to the
Penny Program as a result of the corporate action. The newly added
adjusted and unadjusted series of the option class shall remain in the
Penny Program for one full calendar year. After such time, the option
class will be subject to the annual review. The Plan Sponsors believe
that the proposal to allow such new option classes to be included in
the Penny Program will ensure the continuality of liquidity in the
option classes post-corporate action to the benefit of market
participants and investors in a manner that it is designed 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.
---------------------------------------------------------------------------
\19\ For example, if Company A acquires Company B and Company A
is not in the Penny Program but Company B is in the Penny Program,
once the merger is consummated and an options contract adjustment is
effective, then Company A will be added to the Penny Program and
remain unchanged for one calendar year.
---------------------------------------------------------------------------
Delisted or Ineligible Option Classes
The Plan Sponsors agree to provide that any series in an option
class participating in the Penny Program in which the underlying has
been delisted, or is identified by OCC as ineligible for opening
customer transactions, will continue to quote pursuant to the terms of
the Penny Program until all options series have expired. The Plan
Sponsors believe that the proposal to allow delisted or ineligible
option classes to stay in the Penny Program until they expire will
encourage market participants to continue to provide liquidity in these
issues in a manner that is designed 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.
Multiply Listed Option Classes; Penny Program Amendments
The Plan Sponsors agree that references to multiply listed option
classes in proposed Section 3.1 of the OLPP will apply only to option
classes in the Penny Program, and to no other sections of the OLPP.
The Plan Sponsors further agree to an amendment process that would
only apply to changes to the Penny Program provisions set forth in
proposed Section 3.1 of the OLPP. Currently, any amendments to the OLPP
other than to add new Plan Sponsors must be approved unanimously by the
Plan Sponsors.\20\ As proposed, the Plan Sponsors agree to a separate
amendment process to govern any changes to Section 3.1. Specifically,
not sooner than 60 months following Commission approval of the proposed
Amendment, a super-majority (\2/3\) of the Plan Sponsors may vote to
make changes to the Penny Program. At any time before 60 months have
passed since the adoption of the Penny Program, any changes must be
unanimously approved by the Plan Sponsors. Any changes to the Penny
Program will be subject to SEC review pursuant to Section 11A(a)(3) of
the Securities Exchange Act of 1934 and Rule 608 thereunder.
---------------------------------------------------------------------------
\20\ Section 7 of the OLPP sets forth a discrete process to
effect amendments adding new Plan Sponsors, including requirements
that the Eligible Exchange, as defined therein, execute a copy of
the OLPP and provide each then-current Plan Sponsor with a copy of
such executed Plan.
---------------------------------------------------------------------------
Summary of Penny Pilot Reports
The Plan Sponsors agree to adopt the Penny Program based on results
of the numerous previously published studies regarding the Penny Pilot,
and the most recent data presented in the Report on Activity in Option
Classes Added to the Penny Pilot summarized below. Plan Sponsors note
that the various markets and market participants have previously
studied the Penny Pilot, in 2009 and 2010, when the Penny Pilot was
expanded. The Exchanges have also studied the Penny Pilot throughout
the duration of the program, and consistently found that as an overall
program, the Penny Pilot was of significant benefit to investors and
other market participants and had a minimal negative impact on the
industry.\21\ Through these studies, the options industry gained, and
shared with the Commission, an understanding of the benefits to
investors and other market participants of the Penny Pilot and the
burdens on quote traffic and capacity caused by this program. Over the
duration of the Penny Pilot, the Exchanges have studied quote traffic
with an expectation that quote traffic would increase because of more
quoting price points. However, this would be offset by benefits to the
investing public due to narrowed spreads and more price points, along
with the expectation that the increased quote traffic would provide
increased trading activity. Overall, the Plan Sponsors agree these
benefits remain true and that the Penny Pilot, as a whole, has largely
met these expectations.
---------------------------------------------------------------------------
\21\ For example, the Exchanges' earlier Penny Pilot reports
have generally found the National Best Bid and Offer (``NBBO'')
spread width has narrowed, size available at the NBBO has declined,
quote traffic has increased, and industry volumes have increased.
See e.g., Chicago Board Options Exchange, Penny Pilot Report dated
March 4, 2008; International Securities Exchange Penny Pilot
Analysis Phase 2, dated November 27, 2007; Philadelphia Stock
Exchange Options Penny Pricing Pilot Report, dated February 29,
2007; American Stock Exchange Penny Pilot Report, dated November 2,
2007; New York Stock Exchange Arca Options: Understanding Economic
and Capacity Impact of the Options Penny Pilot, dated November 14,
2007. The Exchanges' Penny Pilot reports are also available at:
https://www.cboe.org/general-info/hybrid-reg-penny-pilot-program;
https://boxoptions.com/regulatory/governing-documents-related-information-nms-plans/pilot-reports/penny/; and https://www.nyse.com/markets/american-options/reports.
---------------------------------------------------------------------------
[[Page 68964]]
In addition, the Commission's Division of Economic and Risk
Analysis (``DERA'') recently contracted with Cornerstone Research
(``Cornerstone'') to conduct an independent analysis of the impact of
the Penny Pilot on market quality, using quoted and effective spreads
as measures of market quality (``Cornerstone Analysis'').\22\ The
Cornerstone Analysis is based on data on options added to the Penny
Pilot between January 26, 2007 and January 5, 2016, and thus covers a
time period from the inception of the Penny Pilot. Overall, the
Cornerstone Analysis finds that relative to the control sample of
options that were not included in the Penny Pilot, there is a
statistically significant decrease in effective and quoted spreads for
the most liquid option classes included in the Penny Pilot.\23\
However, for less liquid Penny Pilot option classes, especially in the
later years (the period 2012--2015), the results do not indicate that
inclusion in the Penny Pilot has a significant effect on market
quality.\24\
---------------------------------------------------------------------------
\22\ DERA Memorandum on Cornerstone Analysis, December 18, 2017,
https://www.sec.gov/files/DERA_Memo_on_a_Cornerstone_Penny_Pilot_Analysis.pdf.
\23\ Id. at 1.
\24\ Id. at 2.
---------------------------------------------------------------------------
Report on Activity in Option Classes Added to the Penny Pilot \25\
---------------------------------------------------------------------------
\25\ The report setting forth the data for these studies,
entitled ``Report on Activity in Options Classes Added to the Penny
Pilot'' (``Report''), is submitted as Exhibit A as part of this
Amendment No. 5.
---------------------------------------------------------------------------
Most recently, on behalf of the U.S. options exchanges
participating in the Penny Pilot, NYSE Group, together with its
subsidiary markets, NYSE American Options and NYSE Arca Options,
studied option quote and trade activity in the eight option classes
listed in the table below (the ``Study Group''). The study examined
trading activity for this Study Group during two time periods: the
Third and Fourth Quarters of 2014 (i.e., before the selected issues
were added to the Penny Pilot (the ``pre- Pilot period'')) and the
Third and Fourth Quarters of 2015 (i.e., after the selected issues were
added to the Penny Pilot (the ``Pilot period'')).\26\
---------------------------------------------------------------------------
\26\ For avoidance of doubt, the phrase, ``Pilot period'' as
used herein refers to solely the limited time period studied for
purposes of the Report and does not include trading activity that is
occurring in the ongoing Penny Pilot.
Option Classes in the Study Group
------------------------------------------------------------------------
Symbol Underlying security Date added to Pilot
------------------------------------------------------------------------
BABA................... Alibaba Group Holding Jan. 5, 2015.
Ltd.
CBS.................... CBS Corp............... Jan. 5, 2015.
FEYE................... FireEye Inc............ July 6, 2015.
GPRO................... GoPro Inc.............. July 6, 2015.
HYG.................... iShares iBoxx $ High July 6, 2015.
Yield Corporate Bond
ETF.
OIH.................... Market Vectors Oil July 6, 2015.
Service ETF.
RAD.................... Rite Aid Corp.......... July 6, 2015.
RSX.................... Market Vectors Russia July 6, 2015.
ETF.
------------------------------------------------------------------------
The data for the Study Group was compiled based on trading activity
that occurred on each Wednesday during the pre-Pilot, and Pilot period
(n=27), in an effort to minimize disruption from options expirations,
which occur on Fridays, and/or the additions of new series, which often
occur on Mondays.
The quote data was compiled across all series and expirations for
options on each of the eight underlying securities in the Study Group.
To focus on the effect of quoting in $0.01 increments, the quotes in
the Study Group were segregated by those with an offer value less than
or equal to $3.00, and those with an offer greater than $3.00.\27\
Option classes that are not in the Penny Pilot quote in $0.05
increments below $3.00 and $0.10 increments at or above $3.00, whereas
option classes in the Penny Pilot quote in $0.01 increments below
$3.00, and $0.05 increments at or above $3.00.
---------------------------------------------------------------------------
\27\ Generally, rules on Trading Differentials refer to
``trading at less than $3.00'' or ``trading at $3.00 or above.'' To
accurately evaluate the effect of quotations in one cent increments,
both the bid and the offer (ask) must be in one cent increments,
which requires offers to be at or below $3.00. Markets in Pilot
Issues with an offer above $3.00 are at least $0.05 wide by rule.
---------------------------------------------------------------------------
1. Spread Width
Spread width is a measure of the benefit to investors, as the costs
of entering and exiting the market are reduced by a narrower
spread.\28\
---------------------------------------------------------------------------
\28\ Spread width for this study was calculated by subtracting
the National Best Bid from the National Best Offer.
---------------------------------------------------------------------------
As shown in Figures 1 and 3 of the Report, the study found that the
average spread width for issues in the Study Group was reduced during
the Pilot period as compared to the pre-Pilot period. The results
indicated a more consistent reduction in spread width in the lower-
priced options (i.e., that typically quote and trade below $3.00) than
in the higher-priced options (i.e., that typically quote and trade at
or above $3.00).
The study also examined the median width of all of the quotes on
issues in the Study Group to determine whether the average spread width
was distorted by higher-priced options in the Study Group. As Figures
4-5 show, the results indicated a reduced median spread width for
lower-priced options during the Pilot period, while the results did not
indicate as consistent a reduction in the median spread width for
higher-priced options during the same period. The Exchanges still
believe that the findings support making the Penny Pilot a permanent
program because of the reduction in quoted spreads, especially for
lower-priced options, which is beneficial to the investing public by
lowering the costs of entering and exiting the market and thus
consistent with the Act.
2. Liquidity; Trades by Quote Width
The study also examined the number of contracts in the Study Group
offered at the National Best Offer. While most markets submitted to
options exchanges are symmetrical in the number of contracts bid for,
and the number of contracts offered, the common presence of quotes
without a bid in out-of-the-money option series would distort the
average bid size for a given option. With that in mind, the study
focused solely on offer sizes.
Since the beginning of the Penny Pilot in 2007, there was a focus
on whether the benefit of a reduced spread would be offset by a
decrease in liquidity available at the National Best Bid/Offer
(``NBBO''). As shown in Figure 6 and Table 2 of the Report, the study
found that while there was a reduction in the number of contracts
offered at the NBBO
[[Page 68965]]
for the Study Group during the Pilot period, the available size at the
NBBO for the Study Group was, on average, greater than 99% of all
options trades during this same time period.
As Table 3 shows, an examination of the Study Group trades during
the pre-Pilot and Pilot period also indicated a sizeable percentage of
transactions occurred between the NBBO (i.e., between 36.1% and 44.0%),
a result seen more frequently during the pre-Pilot period than during
the Pilot period.\29\ While the Exchanges recognize that the foregoing
results show that there has been a reduction in displayed size
available at the NBBO in the Study Group issues, the Exchanges believe
the study still supports making the pilot permanent, especially since
the results also show (in Table 2) that the available size at the NBBO
for the Study Group was, on average, greater than 99% of all options
trades during the Pilot period.
---------------------------------------------------------------------------
\29\ For purposes of this study, all reported trades were
included, regardless of trade condition, including Complex Trades.
Complex Trades are priced at a total or net debit or credit, with
the possibility of each component of the Complex Trade being priced
between the National Best Bid and the National Best Offer. The
observed variation in the percentage of transactions that occurred
between the NBBO in the pre-Pilot and Pilot period could have been,
in part, driven by the variation in the proportion of Complex Trades
over the two periods.
---------------------------------------------------------------------------
As shown in Figures 7-14 in the Report, further examination of the
Study Group data also demonstrated that having price points available
under $0.10 resulted in trading that was concentrated on narrower
spreads even if this trend did not result in a significant narrowing of
spreads across the universe of series in an underlying class. The data
also indicated that after being added to the Penny Pilot, all but two
classes in the Study Group experienced more than 50% of trading
occurred when the spread width was $0.05 or less. The other two classes
(e.g., HYG and RSX) still experienced a noticeable increase in trading
in that spread width bucket.
3. Quote Traffic Data
One portion of the quote traffic analysis also observed the same
Study Group and covered time pre-Pilot and Pilot periods of 2014 and
2015, respectively. As Figure 15 of the Report shows, nearly all of the
issues showed an increase in number of quotes once it was included with
the Penny Pilot.\30\ On average, the quote traffic increase between the
two time periods was 121%.\31\
---------------------------------------------------------------------------
\30\ Alibaba Group Holding (BABA) shows an extreme traffic
increase of 403%, which significantly overshadows the amount of
quote traffic increase of the other additions. This is, in large
part, due to its IPO in September 2014; when it was the largest IPO
in history at that time. Over the two periods, historically, there
were days of higher quote traffic around earnings announcements.
Further, over each of the last two months of 2015, BABA quote
traffic exceeded 2 billion quotes, which was nearly as much as it
experienced, in total, over it first three months of trading.
\31\ Due to the considerable influence of the BABA traffic
increase, if the percentage increase in quote traffic was calculated
without BABA's quote data, then the value would fall to 81%.
\32\ Symbol MBLY was voluntarily delisted from NYSE on September
6, 2017, in connection with a tender offer from Intel (INTC) and
subsequently listed on the OTC market. Symbol SDRL filed for Chapter
11 Bankruptcy on September 12, 2017. Subsequent to the bankruptcy
filing, SDRL was delisted from NYSE and listed on an OTC market.
When a security moves to the OTC market, many options exchanges seek
to delist the security as it is not in compliance with continued
listings standards for options. Due to its removal from nearly all
options exchanges, quoting in this security is drastically reduced
and are typically present only when (or if) a customer looks to
close out an open options position.
---------------------------------------------------------------------------
Additionally, further analysis was conducted on a second study
group to evaluate quote traffic for Penny Pilot issues that were added
to the Penny Pilot in July 2017 (see option classes below, ``July 2017
Study Group'').
Option Classes in July 2017 Study Group
------------------------------------------------------------------------
Symbol Underlying security Date added to Pilot
------------------------------------------------------------------------
FEZ.................... SPDR EURO STOXX 50 ETF. Jul 5, 2017.
HPE.................... Hewlett Packard Jul 5, 2017.
Enterprise Co.
ILG.................... ILG Inc................ Jul 5, 2017.
JNUG................... Direxion Daily Jr. Gold Jul 5, 2017.
Miners Index Bull 3X
Shares.
MBLY................... Mobileye N.V........... Jul 5, 2017.
MPC.................... Marathon Petroleum Corp Jul 5, 2017.
PANW................... Palo Alto Networks Inc. Jul 5, 2017.
SDRL................... Seadrill Ltd........... Jul 5, 2017
SNAP................... Snap Inc............... Jul 5, 2017.
UCO.................... ProShares Ultra Jul 5, 2017.
Bloomberg Crude Oil.
YELP................... Yelp Inc............... Jul 5, 2017.
------------------------------------------------------------------------
Figure 16 in the Report compares two time periods (January-June
2017 and January-June 2018) for the July 2017 Study Group, which
represents the time before and after their inclusion into the Penny
Pilot. As shown in Figure 16, of the July 2017 Study Group issues, only
two (2) experienced a decrease in quote traffic (e.g., MBLY and SDRL),
and such issues are the only issues that have eventually been delisted
from a National Market System.\32\ On average, the July 2017 Study
Group issues have experienced an increase in quote traffic of over 140%
between the two time periods.
The Report also compares the effect on quote traffic for the
potential removals and additions to the Penny Pilot for the time period
between January 2018 and June 2018, as shown in Figure 17. Over the six
months of 2018, the issues which would be additions to the Penny Pilot
generated nearly 103 billion quotes, and issues which would be removed
generated about 77 billion quotes over the same time period. Thus by
comparison, the additions generated approximately 26 billion more
quotes than the removals during January to June timeframe (or an
average of over 4 billion quotes each month). While the foregoing
findings demonstrate that the increase in quote traffic has been
appreciable, the capacities of the Exchanges' systems and Options Price
Reporting Authority (``OPRA'') have been sufficiently adequate in
handling the quote traffic increase resulting from the Penny Pilot. In
addition, the Exchanges believe that their respective and OPRA's
systems have sufficient quote capacity going forward to accommodate the
projected increase in quote traffic that will result from the initial
selection and annual review process proposed above.
[[Page 68966]]
B. Governing or Constitutional Documents
Not applicable.
C. Description of Amendment Implementation
The OLPP, as amended, will become effective upon Commission
approval. The Plan Sponsors will implement the OLPP, as amended,
pursuant to the terms of this Amendment No. 5 upon Commission approval.
D. Development and Implementation Phases
Not applicable.
E. Analysis of Impact on Competition
The proposed OLPP, as amended, does not impose any burden on
competition that is not necessary or appropriate in furtherance of the
purposes of the Act. The Plan Sponsors do not believe that this
Amendment No. 5 introduces terms that are unreasonably discriminatory
for the purposes of Section 11A(c)(1)(D) of the Act.\33\ The Plan
Sponsors believe that making the Penny Pilot a permanent program will
allow for continued competition between market participants trading
similar products as their counterparts across the options exchanges,
while at the same time allowing options exchanges to continue to
compete for order flow in option classes trading as part of the Penny
Program.
---------------------------------------------------------------------------
\33\ 15 U.S.C. 78k-1(c)(1)(D).
---------------------------------------------------------------------------
F. Written Understandings or Agreements Relating to Interpretation of,
or Participation in, the OLPP
Not applicable.
G. Approval by Plan Sponsors
This Amendment No. 5 has been approved by the Plan Sponsors in
accordance with the OLPP. The Plan Sponsors have each executed a signed
copy of the Amendment.
H. Terms and Conditions of Access
Not applicable.
I. Method of Determination and Imposition, and Amount of, Fees and
Charges
Not applicable.
J. Method and Frequency of Processor Evaluation
Not applicable.
K. Dispute Resolution
Not applicable.
III. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the amendment is
consistent with the Act. Comments may be submitted by any of the
following methods:
Electronic Comments
Use the Commission's internet comment form (https://www.sec.gov/rules/sro.shtml); or
Send an email to [email protected]. Please include
File Number 4-443 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 4-443.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 plan amendment that are filed
with the Commission, and all written communications relating to the
amendment between the Commission and any person, other than those that
may be withheld from the public in accordance with the provisions of 5
U.S.C. 552, will be available for 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 such filing also will be available for inspection
and copying at the Participants' offices. 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 4-443
and should be submitted on or before January 7, 2020.
By the Commission.
Jill M. Peterson,
Assistant Secretary.
Exhibit A to Amendment No. 5
Report on Activity in Option Classes Added to the Penny Pilot
March 8, 2019
Executive Summary
On behalf of the U.S. options exchanges participating in the Penny
Pilot program (the ``Penny Pilot'' or ``Pilot''), NYSE Group, together
with its subsidiary markets, NYSE American Options and NYSE Arca
Options, studied option quote and trade activity in the eight option
classes listed in the table below (the ``Study Group''). The study
examined trading activity for this Study Group during two time periods:
The Third and Fourth Quarters of 2014 (i.e., before the selected issues
were added to the Pilot (the ``pre- Pilot period'') and the Third and
Fourth Quarters of 2015 (i.e., after the selected issues were added to
the Pilot (the ``Pilot period'').\1\ The changes in market conditions
could affect quote activity and market quality measures such as spread
width and trading activity examined in this report. This report
utilizes the level and changes in market volatility measured by Cboe
Volatility index (``VIX'') to gauge market condition during the pre-
Pilot period and the Pilot period. In general, an increase in market
volatility could lead to an increase in quote activity, wider spread
widths, and higher trading volume for options.
---------------------------------------------------------------------------
\1\ For avoidance of doubt, the phrase, ``Pilot period'' as used
herein refers to solely the limited time period studied for purposes
of this report and does not include trading activity that is
occurring in the ongoing Pilot.
Table 1--Option Classes in the Study Group
------------------------------------------------------------------------
Symbol Underlying security Date added to pilot
------------------------------------------------------------------------
BABA..................... Alibaba Group Holding Jan. 5, 2015.
Ltd.
CBS...................... CBS Corp................ Jan. 5, 2015.
FEYE..................... FireEye Inc............. July 6, 2015.
GPRO..................... GoPro Inc............... July 6, 2015.
[[Page 68967]]
HYG...................... iShares iBoxx $ High July 6, 2015.
Yield Corporate Bond
ETF.
OIH...................... Market Vectors Oil July 6, 2015.
Service ETF.
RAD...................... Rite Aid Corp........... July 6, 2015.
RSX...................... Market Vectors Russia July 6, 2015.
ETF.
------------------------------------------------------------------------
The data for the Study Group was compiled based on trading activity
that occurred on each Wednesday during the pre-Pilot, and Pilot period
(n=27), in an effort to minimize disruption from options expirations,
which occur on Fridays, and/or the addition of new series, which often
occur on Mondays.
The quote data was compiled across all series and expirations for
options on each of the eight underlying securities in the Study Group.
To focus on the effect of quoting in $0.01 increments, the quotes in
the Study Group were segregated by those with an offer value less than
or equal to $3.00, and those with an offer greater than $3.00.\2\
Option classes that are not in the Pilot quote in $0.05 increments
below $3 and $0.10 increments at or above $3.00, whereas option classes
in the Pilot quote in $0.01 increments below $3.00, and $0.05
increments at or above $3.00. Spread width is a measure of benefit to
investors, as the costs of entering and exiting the market are reduced
by a narrower spread.\3\
---------------------------------------------------------------------------
\2\ Generally, rules on Trading Differentials refer to ``trading
at less than $3'' or ``trading at $3 or above.'' To accurately
evaluate the effect of quotations in one cent increments, both the
bid and the offer (ask) must be in one cent increments, which
requires offers to be at or below $3. Markets in Pilot Issues with
an offer above $3 are at least $0.05 wide by rule.
\3\ Spread width for this study was calculated by subtracting
the National Best Bid from the National Best Offer.
---------------------------------------------------------------------------
The study found that the average spread width for issues in the
Study Group was reduced during the Pilot period as compared to the pre-
Pilot period. The results indicated a more consistent reduction in
spread width in the lower-priced options (i.e., that typically quote
and traded below $3) than in the higher-priced options (i.e., that
typically quote and traded at or above $3.00). The study also examined
the median width of all of the quotes on issues in the Study Group to
determine whether the average spread width was distorted by higher-
priced options in the Study Group. The results indicated a reduced
median spread width for lower-priced options during the Pilot period,
while the results did not indicate as consistent a reduction in the
median spread width for higher-priced options during the same period.
The study also examined the number of contracts in the Study Group
offered at the National Best Offer. While most markets submitted to
options exchanges are symmetrical in the number of contracts bid for,
and the number of contracts offered, the common presence of quotes
without a bid in out-of-the-money option series would distort the
average bid size for a given option. With that in mind, the study
focused solely on offer sizes.
Since the beginning of the Pilot in 2007, there was a focus on
whether the benefit of a reduced spread would be offset by a decrease
in liquidity available at the National Best Bid/Offer (``NBBO''). The
study found that while there was a reduction in the number of contracts
offered at the NBBO for the Study Group during the Pilot period, the
size traded at the NBBO for the Study Group still vastly exceeded the
available size at the NBBO during this same time period. An examination
of the Study Group trades during the pre-Pilot and Pilot period also
indicated a sizeable percentage of transactions occurred between the
NBBO (i.e., between 36.1% and 44.0%), a result seen more frequently
during the pre-Pilot period than during the Pilot period. This finding
of a reduced effective spread demonstrates that exchanges have used
alternative mechanisms such as price improvement auctions to offset the
artificial spread width caused by the lower minimum quote
increments.\4\
---------------------------------------------------------------------------
\4\ For purposes of this study, all reported trades were
included, regardless of trade condition, including Complex Trades.
Complex Trades are priced at a total or net debit or credit, with
the possibility of each component of the Complex Trade being priced
between the National Best Bid and the National Best Offer. The
observed variation in the percentage of transactions that occurred
between the NBBO in the pre-Pilot and Pilot period could have been,
in part, driven by the variation in the proportion of complex trades
over the two periods.
---------------------------------------------------------------------------
Further examination of the Study Group data also demonstrated that
having price points available under $0.10 resulted in trading that was
concentrated on narrower spreads even if this trend did not result in a
significant narrowing of spreads across the universe of series in an
underlying class. The data also indicated that after being added to the
Pilot, all but two classes experienced more than 50% of trading
occurred when the spread width was $0.05 or less. The other two classes
(e.g., HYG and RSX) still showed a noticeable increase in trading in
that spread width bucket.
The Participants feel the Report demonstrates the benefit to the
investing public of pricing active options classes in $0.01 increments
below $3.00, and $0.05 increments above $3.00. The Report is consistent
with findings from earlier Penny Pilot Reports from 2007 to 2012: The
NBBO spread has narrowed, size available at the NBBO has declined,
quote traffic has increased and industry volumes have increased.
These findings are also consistent with those of Cornerstone
Research,\5\ that inclusion in the Pilot is associated with a decrease
in quoted spreads.
---------------------------------------------------------------------------
\5\ Division of Economic and Risk Analysis (``DERA'') of the
U.S. Securities and Exchange Commission contracted with Cornerstone
Research (``Cornerstone''), an economic and financial consulting
firm, to conduct analyses related to investigating the effects on
market quality of the continuing Pilot that allows certain exchange-
traded options to be quoted in reduced price increments. See DERA
Memorandum on Cornerstone Analysis, December 18, 2017, https://www.sec.gov/files/DERA_Memo_on_a_Cornerstone_Penny_Pilot_Analysis.pdf.
---------------------------------------------------------------------------
* * * * *
[[Page 68968]]
[GRAPHIC] [TIFF OMITTED] TN17DE19.005
Except for a two \6\ week period where the Pilot period spread was
higher than or equal to the Pre-Pilot period spread, the Pilot led to
narrower markets across the Study Group in option series quoted in
penny increments. As observed in Figure 2, the levels of market
volatility measured by VIX are similar during the pre-Pilot and Pilot
period. We observed narrower spreads during the Pilot period compared
to those during the pre-Pilot period. The two week period where the
Pilot period spread was higher than or equal to the pre-Pilot period
spread is associated with higher and increasing market volatility.
---------------------------------------------------------------------------
\6\ Spread width for this study was calculated by subtracting
the National Best Bid from the National Best Offer. No weighting was
applied. Figure 1 represents the arithmetic average of all National
Best Bid/Offer (``NBBO'') quotes in the Study Group with an offer
equal to or less than $3, while Figure 3 represents the arithmetic
average of all NBBO quotes in the Study Group with an offer greater
than $3.
[GRAPHIC] [TIFF OMITTED] TN17DE19.006
The periods where VIX increased correlated to increased spread
widths.
[[Page 68969]]
[GRAPHIC] [TIFF OMITTED] TN17DE19.007
The study did not demonstrate a consistently narrower market for
higher-priced options.
[GRAPHIC] [TIFF OMITTED] TN17DE19.008
An examination of the median of all the spreads of lower-priced
options in the Study Group during the Pilot demonstrated a consistent
reduction in the average spread width.
[[Page 68970]]
[GRAPHIC] [TIFF OMITTED] TN17DE19.009
An examination of the median of all spread widths of higher-priced
options in the Study Group did not demonstrate as consistent a
reduction in spread width.
[GRAPHIC] [TIFF OMITTED] TN17DE19.010
Table 2--Transactions Grouped by Trade Size (``Trade Buckets'')
----------------------------------------------------------------------------------------------------------------
Trade size Q3--2014 Q4--2014 Q3--2015 Q4--2015
----------------------------------------------------------------------------------------------------------------
0-10............................................ 64,935 276,275 158,229 216,690
11 to 50........................................ 13,298 47,541 31,656 36,690
51 to 100....................................... 1,688 5,950 4,277 4,486
101 to 500...................................... 1,094 2,587 1,880 1,994
501 to 1,000.................................... 254 204 144 143
>1,000.......................................... 308 197 136 193
---------------------------------------------------------------
81,577 332,754 196,322 260,196
----------------------------------------------------------------------------------------------------------------
[[Page 68971]]
While the data \7\ indicated a reduction in available liquidity at
the NBBO for options traded in the Study Group during the Pilot period,
the quoted size at the NBBO for the Study Group issues was, on average,
greater than 99% of all options trades during the Pilot period. Only
the trade bucket for the very largest trades (>1,000 Contracts) were in
excess of the average offer size.
---------------------------------------------------------------------------
\7\ As noted above, the study focused solely on offer sizes
because most markets submitted to options exchanges are symmetrical
(i.e., number of contracts bid for generally equals the number of
contracts offered), and the common presence of quotes without a bid
in out-of-the-money option series would distort the average bid size
for a given option. Figure 6 represents an arithmetic average of all
NBBO offer sizes in the Study Group.
Table 3--Breakdown of Trades Executed on Bid, Offer, or Between Bid and Offer
----------------------------------------------------------------------------------------------------------------
Total trades At bid At ask Between
----------------------------------------------------------------------------------------------------------------
Q3--2014........................................ 81,577 18,378 21,881 35,917
.............. 22.5% 26.8% 44.0%
Q4--2014........................................ 332,754 69,451 76,552 152,661
.............. 20.9% 23.0% 45.9%
Q3--2015........................................ 196,322 54,692 57,840 75,908
.............. 27.9% 29.5% 38.7%
Q4--2015........................................ 260,196 78,171 79,544 93,862
.............. 30.0% 30.6% 36.1%
----------------------------------------------------------------------------------------------------------------
Trades by Quote Width 8
---------------------------------------------------------------------------
\8\ Quote width for this study was calculated by subtracting the
National Best Bid from the National Best Offer. The quote used for
each trade is the NBBO at the time of trade reporting.
---------------------------------------------------------------------------
Transactions in the Study Group for the pre-Pilot and Pilot periods
were analyzed by segregating such transactions into the following
``buckets'' of quote widths:
$0.00-$0.05
$0.06-$0.10
$0.11-$0.20
$0.21-$0.40
>$0.40
A review of the data indicates that significantly higher percentage
of Study Group transactions occurred in the bucket with the narrowest
quote width (i.e., $0.00 to $0.05) following an issue being added to
the Pilot.
BILLING CODE 8011-01-P
[[Page 68972]]
[GRAPHIC] [TIFF OMITTED] TN17DE19.011
[[Page 68973]]
[GRAPHIC] [TIFF OMITTED] TN17DE19.012
[[Page 68974]]
[GRAPHIC] [TIFF OMITTED] TN17DE19.013
[[Page 68975]]
[GRAPHIC] [TIFF OMITTED] TN17DE19.014
This data demonstrates that having price points available under
$0.10 resulted in trading that was concentrated on narrower spreads
even if this trend did not result in a significant narrowing of spreads
across the universe of series in an underlying class. The data also
indicated that after being added to the Pilot, all but two classes
experienced more than 50% of trading occurred when the spread width was
$0.05 or less. The other two classes (e.g., HYG and RSX) still showed a
noticeable increase in trading in that spread width bucket.
Quote Traffic Analysis and Projection 9
---------------------------------------------------------------------------
\9\ The changes in quote traffic could have been due to factors
unrelated to penny increment pricing. Changes in quote traffic could
have been, in part, driven by differences in market conditions and/
or corporate actions during the pre-Pilot and Pilot period. For
example, when markets are more volatile we would expect market
participants to update or revise quotes more frequently resulting in
higher levels of quote traffic.
---------------------------------------------------------------------------
As the Plan Sponsors look to amend the Pilot, one of the
modifications to the program will be the inauguration of an annual
review. This review will be conducted every December to allow eligible
issues to be added to the program, while ineligible issues will be
removed from the program. Currently, there are 363 issues in the Pilot.
However, it is assumed that the current issues are not the top 363
issues in the industry based upon volume. The exchanges performed a
test to assess what the impact would be if the annual review would be
conducted present day versus waiting until December to do so. This
would examine not only the issues added/removed, but also how OPRA
quote traffic would be impacted with all changes to the program. For
this projection, the analysis looked at options volume from January
through July 2018 to set the industry's top 363 issues. There were 107
current Penny Pilot issues which did not rank within the top 363
industry issues. Conversely, there were 96 issues that are currently
not in the Pilot, however, that rank in the top 363 industry issues.
There are 11 issues that are within the top 363 issues, but would not
qualify for the Pilot due to the underlying price being greater than
$200.
The analysis looked at the basket of recent additions to the Penny
Pilot (basket of 8 stocks from earlier analysis) from the years 2014-
2015. As evidenced by the chart below, nearly all of the issues showed
an increase in number of quotes once it was included with the
Pilot.\10\ On average, the quote traffic increase during the time
periods was 121%.\11\
---------------------------------------------------------------------------
\10\ Alibaba Group Holding (BABA) shows an extreme traffic
increase of 403%, which significantly overshadows the amount of
quote traffic increase of the other additions. This is, in large
part, due to its IPO in September 2014; when it was the largest IPO
in history at that time. Over the two periods, historically, there
were days of higher quote traffic around earnings announcements.
Further, over each of the last two months of 2015, BABA quote
traffic exceeded 2 billion quotes, which was nearly as much as it
experienced, in total, over it first three months of trading.
\11\ Due to the considerable influence of the BABA traffic
increase, if the percentage increase in quote traffic was calculated
without BABA's quote data, then the value would fall to 81%.
---------------------------------------------------------------------------
[[Page 68976]]
[GRAPHIC] [TIFF OMITTED] TN17DE19.015
Using a different sample set, the analysis examined the quote
traffic for the eleven (11) issues that were added to the Pilot in July
2017 (``July 2017 Study Group''). The below chart depicts the change in
quote traffic based on quote totals from January to June 2017 vs
January to June 2018. There were only two issues which did not
experience an increase in quote traffic for the comparative time
periods.\12\ On average, these issues show that once added to the Penny
pilot, there was an increase of 143% in quotes to the market.
---------------------------------------------------------------------------
\12\ Symbol MBLY was voluntarily delisted from NYSE on September
6, 2017, in connection with a tender offer from Intel (INTC) and
subsequently listed on the OTC market. Symbol SDRL filed for Chapter
11 Bankruptcy on September 12, 2017. Subsequent to the bankruptcy
filing, SDRL was delisted from NYSE and listed on an OTC market.
When a security moves to the OTC market, many options exchanges seek
to delist the security as it is not in compliance with continued
listings standards for options. Due to its removal from nearly all
options exchanges, quoting in this security is drastically reduced
and are typically present only when (or if) a customer looks to
close out an open options position.
[GRAPHIC] [TIFF OMITTED] TN17DE19.016
When analyzing the two study groups above, each of them showed a
quote traffic increase over comparative time periods. The average
increase between the samples is 132%.\13\ In looking at the quote
traffic data from the first six months of 2018, there were 107 issues
which fell outside of the top 363 issues, and had a total of nearly
77.5 billion quotes (or an average of approximately 13 billion quotes
per month over a six month period). On the other hand, there are 96
securities that are currently not on the Penny Pilot but are within the
top 363 issues. These 96 issues totaled close to 103 billion quotes (or
an average of about 17 billion quotes per month over a six month
period). The chart below details the month to month activity of the
issues which would be removed and added as a result of a review.
---------------------------------------------------------------------------
\13\ If BABA's large effect of the total quote traffic was not
used, it would drop the average increase between the samples to
111%.
---------------------------------------------------------------------------
[[Page 68977]]
[GRAPHIC] [TIFF OMITTED] TN17DE19.017
BILLING CODE 8011-01-C
When comparing the January to June 2018 quote traffic for the
potential removals and potential additions to the Penny Pilot, there is
an increase in traffic for each of the six months. It ranges from a 28%
increase in March to a 44% increase in June. The monthly traffic
increase over the six month period averages out to nearly 33%.\14\ Over
the six months of 2018, the issues which would be additions to the
Penny Pilot generated nearly 103 billion quotes. Conversely, the issues
which would be removed generated about 77 billion quotes over the same
time period. Therefore, by comparison, the additions generated
approximately 26 billion more quotes than the removals in the January
to June timeframe (or an average of slightly over 4 billion quotes each
month).\15\ Hence, if the 96 new issues were added to the program, it
can be reasonably concluded that the Penny Pilot would see an increase
in total quote traffic; even while removing the other 107 issues which
would no longer qualify for the program.
---------------------------------------------------------------------------
\14\ This figure does not represent a constant growth rate of
quote traffic into perpetuity. Historically, there have been issues
in the Penny Pilot program which suffer a decrease in quote traffic
over the years, with some even getting delisted at some point in the
future. For example, issues such as GPRO and RAD have seen their
quote numbers decrease by 83% and 53%, respectively, since their
inclusion in the Penny Pilot from 2014.
\15\ When comparing on a month to month basis for January to
June 2018, the quote traffic differences between the added and
removed issues are as follows: January 2018--3,261,431,336; February
2018--3,617,834,797; March 2018--3,685,135,946; April 2018--
4,144,730,113, May 2018--4,688,087,205, June 2018--5,990,971,122.
The total quote traffic difference is 25,388,190,519 more quotes
generated by the potential 96 issues.
Table 4--Reference Data Table
--------------------------------------------------------------------------------------------------------------------------------------------------------
Appx. median Appx. median
Quote date Underlying symbol Spread avg: Spread avg: spread: Ask spread: Ask Avg. ask size
Ask <=3.00 Ask >3.00 <=3.00 >3.00
--------------------------------------------------------------------------------------------------------------------------------------------------------
Summary Quote Data for Pre-Pilot period (i.e., Third and Fourth Quarter 2014)
--------------------------------------------------------------------------------------------------------------------------------------------------------
7/2/2014.................................. CBS......................... 0.34 1.15 0.30 1.10 1,091
7/2/2014.................................. FEYE........................ 0.25 1.36 0.25 1.10 2,364
7/2/2014.................................. HYG......................... 0.16 1.81 0.10 0.80 1,519
7/2/2014.................................. OIH......................... 0.10 0.84 0.05 0.60 1,949
7/2/2014.................................. RAD......................... 0.11 0.37 0.10 0.30 6,617
7/2/2014.................................. RSX......................... 0.10 0.79 0.10 0.50 1,837
7/9/2014.................................. CBS......................... 0.71 2.04 0.60 1.90 591
7/9/2014.................................. FEYE........................ 0.27 1.18 0.25 1.00 2,270
7/9/2014.................................. GPRO........................ 0.12 0.66 0.10 0.40 523
7/9/2014.................................. HYG......................... 0.27 2.31 0.25 2.20 2,228
7/9/2014.................................. OIH......................... 0.11 1.18 0.10 0.70 2,011
7/9/2014.................................. RAD......................... 0.15 0.38 0.15 0.40 7,739
7/9/2014.................................. RSX......................... 0.11 0.75 0.10 0.50 2,174
7/16/2014................................. CBS......................... 0.17 0.71 0.15 0.50 1,755
7/16/2014................................. FEYE........................ 0.25 1.01 0.25 1.00 2,840
7/16/2014................................. GPRO........................ 0.38 1.51 0.30 1.40 1,647
7/16/2014................................. HYG......................... 0.23 1.23 0.20 0.50 1,652
7/16/2014................................. OIH......................... 0.14 0.56 0.10 0.50 2,654
7/16/2014................................. RAD......................... 0.10 0.27 0.10 0.20 6,388
7/16/2014................................. RSX......................... 0.11 0.55 0.10 0.40 2,330
7/23/2014................................. CBS......................... 0.31 1.17 0.25 1.00 2,879
7/23/2014................................. FEYE........................ 0.19 0.88 0.15 0.80 2,629
[[Page 68978]]
7/23/2014................................. GPRO........................ 0.35 1.45 0.30 1.20 1,679
7/23/2014................................. HYG......................... 0.26 1.61 0.25 1.30 2,232
7/23/2014................................. OIH......................... 0.12 1.27 0.10 0.80 1,864
7/23/2014................................. RAD......................... 0.12 0.30 0.10 0.30 7,091
7/23/2014................................. RSX......................... 0.12 0.54 0.10 0.50 2,637
7/30/2014................................. CBS......................... 0.26 1.22 0.25 0.80 1,989
7/30/2014................................. FEYE........................ 0.21 0.71 0.20 0.70 2,212
7/30/2014................................. GPRO........................ 0.33 1.47 0.25 1.30 1,557
7/30/2014................................. HYG......................... 0.23 2.02 0.15 1.30 1,456
7/30/2014................................. OIH......................... 0.11 1.31 0.10 1.10 2,325
7/30/2014................................. RAD......................... 0.11 0.39 0.10 0.30 5,949
7/30/2014................................. RSX......................... 0.11 0.93 0.10 0.60 2,339
8/6/2014.................................. CBS......................... 0.31 1.35 0.25 1.10 1,842
8/6/2014.................................. FEYE........................ 0.28 1.46 0.20 1.40 2,344
8/6/2014.................................. GPRO........................ 0.32 1.43 0.30 1.20 1,787
8/6/2014.................................. HYG......................... 0.24 0.95 0.20 0.70 2,257
8/6/2014.................................. OIH......................... 0.11 1.57 0.10 1.40 2,069
8/6/2014.................................. RAD......................... 0.14 0.38 0.10 0.40 6,918
8/6/2014.................................. RSX......................... 0.10 0.74 0.10 0.50 2,425
8/13/2014................................. CBS......................... 0.25 1.13 0.25 0.90 1,648
8/13/2014................................. FEYE........................ 0.18 0.85 0.15 0.80 2,338
8/13/2014................................. GPRO........................ 0.28 1.63 0.25 1.40 2,005
8/13/2014................................. HYG......................... 0.20 1.06 0.15 0.80 1,387
8/13/2014................................. OIH......................... 0.11 0.94 0.10 0.60 2,768
8/13/2014................................. RAD......................... 0.13 0.29 0.15 0.30 7,232
8/13/2014................................. RSX......................... 0.10 0.60 0.10 0.50 4,179
8/20/2014................................. CBS......................... 0.27 1.16 0.25 0.70 1,109
8/20/2014................................. FEYE........................ 0.18 0.86 0.15 0.80 2,662
8/20/2014................................. GPRO........................ 0.32 1.70 0.25 1.60 2,368
8/20/2014................................. HYG......................... 0.20 0.81 0.20 0.60 2,054
8/20/2014................................. OIH......................... 0.12 0.76 0.10 0.60 1,831
8/20/2014................................. RAD......................... 0.12 0.32 0.10 0.30 6,414
8/20/2014................................. RSX......................... 0.11 0.50 0.10 0.40 3,075
8/27/2014................................. CBS......................... 0.24 0.80 0.25 0.70 1,500
8/27/2014................................. FEYE........................ 0.18 0.91 0.15 0.90 2,764
8/27/2014................................. GPRO........................ 0.31 1.53 0.25 1.20 1,749
8/27/2014................................. HYG......................... 0.25 0.89 0.25 0.60 1,881
8/27/2014................................. OIH......................... 0.12 1.26 0.10 0.90 2,560
8/27/2014................................. RAD......................... 0.14 0.32 0.15 0.30 7,080
8/27/2014................................. RSX......................... 0.11 0.71 0.10 0.50 3,080
9/3/2014.................................. CBS......................... 0.25 1.24 0.25 1.10 1,649
9/3/2014.................................. FEYE........................ 0.22 1.39 0.20 1.00 3,400
9/3/2014.................................. GPRO........................ 0.41 2.00 0.25 2.10 1,479
9/3/2014.................................. HYG......................... 0.22 0.96 0.20 0.80 1,466
9/3/2014.................................. OIH......................... 0.11 0.85 0.10 0.70 2,525
9/3/2014.................................. RAD......................... 0.14 0.61 0.10 0.40 6,192
9/3/2014.................................. RSX......................... 0.11 0.87 0.10 0.60 3,305
9/10/2014................................. CBS......................... 0.25 1.13 0.25 0.90 1,756
9/10/2014................................. FEYE........................ 0.19 0.98 0.15 0.70 2,826
9/10/2014................................. GPRO........................ 0.41 2.07 0.30 2.30 1,616
9/10/2014................................. HYG......................... 0.00 0.00 0.00 0.00 0
9/10/2014................................. OIH......................... 0.11 1.31 0.10 0.90 2,841
9/10/2014................................. RAD......................... 0.15 0.49 0.10 0.40 6,710
9/10/2014................................. RSX......................... 0.13 1.13 0.10 0.70 3,641
9/17/2014................................. CBS......................... 0.27 1.43 0.25 0.80 1,487
9/17/2014................................. FEYE........................ 0.21 1.22 0.20 0.80 2,946
9/17/2014................................. GPRO........................ 0.39 2.10 0.35 2.20 1,709
9/17/2014................................. HYG......................... 0.31 1.47 0.30 1.20 1,762
9/17/2014................................. OIH......................... 0.13 1.10 0.10 0.80 3,021
9/17/2014................................. RAD......................... 0.18 1.01 0.15 0.70 5,996
9/17/2014................................. RSX......................... 0.12 1.38 0.10 0.80 3,334
9/24/2014................................. CBS......................... 0.25 1.25 0.25 1.10 2,128
9/24/2014................................. FEYE........................ 0.19 0.82 0.15 0.80 3,146
9/24/2014................................. GPRO........................ 0.26 2.24 0.15 2.60 858
9/24/2014................................. HYG......................... 0.26 1.14 0.25 0.90 2,415
9/24/2014................................. OIH......................... 0.12 1.31 0.10 1.10 2,939
9/24/2014................................. RAD......................... 0.13 0.57 0.05 0.60 7,259
9/24/2014................................. RSX......................... 0.12 1.22 0.10 0.80 2,334
10/1/2014................................. BABA........................ 0.11 0.77 0.10 0.60 1,753
10/1/2014................................. CBS......................... 0.26 1.02 0.25 0.80 1,984
[[Page 68979]]
10/1/2014................................. FEYE........................ 0.18 0.69 0.15 0.70 2,465
10/1/2014................................. GPRO........................ 0.45 2.24 0.30 2.40 1,101
10/1/2014................................. HYG......................... 0.21 0.97 0.20 0.70 2,127
10/1/2014................................. OIH......................... 0.13 1.31 0.10 1.00 2,452
10/1/2014................................. RAD......................... 0.11 0.31 0.10 0.30 7,347
10/1/2014................................. RSX......................... 0.11 1.44 0.05 0.80 2,577
10/8/2014................................. BABA........................ 0.18 1.19 0.15 0.90 2,771
10/8/2014................................. CBS......................... 0.30 1.10 0.25 0.80 1,649
10/8/2014................................. FEYE........................ 0.20 0.72 0.20 0.70 4,029
10/8/2014................................. GPRO........................ 0.52 2.35 0.40 2.50 2,891
10/8/2014................................. HYG......................... 0.25 1.21 0.25 1.00 2,284
10/8/2014................................. OIH......................... 0.13 1.59 0.10 1.40 2,900
10/8/2014................................. RAD......................... 0.13 0.31 0.10 0.30 6,762
10/8/2014................................. RSX......................... 0.13 1.85 0.10 1.10 3,012
10/15/2014................................ BABA........................ 0.30 1.56 0.25 1.50 2,117
10/15/2014................................ CBS......................... 0.56 2.23 0.50 2.00 1,613
10/15/2014................................ FEYE........................ 0.33 1.53 0.30 1.50 3,365
10/15/2014................................ GPRO........................ 0.63 2.52 0.50 2.50 1,916
10/15/2014................................ HYG......................... 0.34 1.32 0.35 1.00 1,224
10/15/2014................................ OIH......................... 0.17 1.87 0.15 1.90 1,819
10/15/2014................................ RAD......................... 0.15 0.49 0.15 0.40 6,211
10/15/2014................................ RSX......................... 0.15 1.63 0.10 0.80 2,443
10/22/2014................................ BABA........................ 0.26 1.30 0.25 1.10 2,818
10/22/2014................................ CBS......................... 0.32 1.54 0.25 1.35 2,337
10/22/2014................................ FEYE........................ 0.23 1.06 0.25 1.00 3,753
10/22/2014................................ GPRO........................ 0.51 2.44 0.45 2.50 1,731
10/22/2014................................ HYG......................... 0.27 1.45 0.25 1.20 2,756
10/22/2014................................ OIH......................... 0.16 1.37 0.15 1.20 3,444
10/22/2014................................ RAD......................... 0.17 0.88 0.10 0.90 6,843
10/22/2014................................ RSX......................... 0.17 1.35 0.10 0.90 3,707
10/29/2014................................ BABA........................ 0.17 1.11 0.10 0.80 1,401
10/29/2014................................ CBS......................... 0.26 1.33 0.25 1.00 2,687
10/29/2014................................ FEYE........................ 0.24 0.84 0.25 0.70 2,233
10/29/2014................................ GPRO........................ 0.51 2.08 0.50 2.10 1,526
10/29/2014................................ HYG......................... 0.27 1.37 0.20 1.20 2,203
10/29/2014................................ OIH......................... 0.12 1.46 0.10 1.00 2,809
10/29/2014................................ RAD......................... 0.13 0.37 0.10 0.30 6,067
10/29/2014................................ RSX......................... 0.14 1.42 0.10 1.00 3,127
11/5/2014................................. BABA........................ 0.14 1.31 0.10 0.90 1,786
11/5/2014................................. CBS......................... 0.27 1.44 0.25 1.10 1,514
11/5/2014................................. FEYE........................ 0.18 1.55 0.15 1.50 1,980
11/5/2014................................. GPRO........................ 0.57 2.26 0.50 2.30 1,459
11/5/2014................................. HYG......................... 0.26 1.36 0.25 1.20 2,608
11/5/2014................................. OIH......................... 0.12 1.33 0.10 1.10 3,771
11/5/2014................................. RAD......................... 0.16 0.57 0.10 0.40 6,033
11/5/2014................................. RSX......................... 0.13 1.10 0.10 0.90 3,516
11/12/2014................................ BABA........................ 0.14 1.39 0.10 1.10 1,731
11/12/2014................................ CBS......................... 0.24 1.31 0.20 0.90 1,500
11/12/2014................................ FEYE........................ 0.17 0.96 0.15 0.90 2,465
11/12/2014................................ GPRO........................ 0.45 2.37 0.30 2.50 1,525
11/12/2014................................ HYG......................... 0.28 1.56 0.25 1.40 3,310
11/12/2014................................ OIH......................... 0.12 1.14 0.10 1.10 3,105
11/12/2014................................ RAD......................... 0.16 0.47 0.15 0.35 5,507
11/12/2014................................ RSX......................... 0.13 0.98 0.10 0.70 3,146
11/19/2014................................ BABA........................ 0.16 1.42 0.10 1.20 2,153
11/19/2014................................ CBS......................... 0.24 1.30 0.20 1.00 1,466
11/19/2014................................ FEYE........................ 0.18 0.77 0.15 0.70 2,602
11/19/2014................................ GPRO........................ 0.57 2.39 0.40 2.40 901
11/19/2014................................ HYG......................... 0.26 1.73 0.25 1.30 2,980
11/19/2014................................ OIH......................... 0.14 1.25 0.10 1.10 3,119
11/19/2014................................ RAD......................... 0.16 0.43 0.15 0.40 5,212
11/19/2014................................ RSX......................... 0.13 1.17 0.10 0.70 3,207
11/26/2014................................ BABA........................ 0.17 1.56 0.10 1.40 2,320
11/26/2014................................ CBS......................... 0.29 1.80 0.25 1.20 1,301
11/26/2014................................ FEYE........................ 0.24 1.12 0.20 1.10 2,484
11/26/2014................................ GPRO........................ 0.43 2.26 0.30 2.50 1,281
11/26/2014................................ HYG......................... 0.29 1.76 0.30 1.50 2,461
11/26/2014................................ OIH......................... 0.12 1.36 0.10 1.10 2,115
11/26/2014................................ RAD......................... 0.20 0.55 0.15 0.40 5,462
11/26/2014................................ RSX......................... 0.13 1.56 0.10 1.10 1,951
[[Page 68980]]
12/3/2014................................. BABA........................ 0.15 1.55 0.10 1.70 2,562
12/3/2014................................. CBS......................... 0.25 1.85 0.20 1.60 1,525
12/3/2014................................. FEYE........................ 0.19 1.51 0.15 1.20 3,131
12/3/2014................................. GPRO........................ 0.40 1.89 0.30 1.90 1,996
12/3/2014................................. HYG......................... 0.29 2.01 0.30 1.40 3,119
12/3/2014................................. OIH......................... 0.13 1.92 0.10 1.50 3,492
12/3/2014................................. RAD......................... 0.14 0.72 0.10 0.60 5,398
12/3/2014................................. RSX......................... 0.12 1.49 0.05 0.90 3,247
12/10/2014................................ BABA........................ 0.15 0.74 0.10 0.60 2,362
12/10/2014................................ CBS......................... 0.32 1.75 0.30 1.30 1,772
12/10/2014................................ FEYE........................ 0.25 1.12 0.20 0.80 2,632
12/10/2014................................ GPRO........................ 0.44 2.08 0.40 2.20 1,758
12/10/2014................................ HYG......................... 0.00 0.00 0.00 0.00 0
12/10/2014................................ OIH......................... 0.12 2.19 0.10 1.60 2,313
12/10/2014................................ RAD......................... 0.00 0.00 0.00 0.00 0
12/10/2014................................ RSX......................... 0.12 1.96 0.05 1.80 2,837
12/17/2014................................ BABA........................ 0.17 0.81 0.15 0.60 2,198
12/17/2014................................ CBS......................... 0.34 1.69 0.25 1.50 1,669
12/17/2014................................ FEYE........................ 0.24 0.98 0.20 0.70 2,255
12/17/2014................................ GPRO........................ 0.46 2.18 0.45 2.20 1,822
12/17/2014................................ HYG......................... 0.30 1.70 0.25 1.10 2,157
12/17/2014................................ OIH......................... 0.17 2.39 0.15 2.60 2,886
12/17/2014................................ RAD......................... 0.13 0.45 0.10 0.30 5,761
12/17/2014................................ RSX......................... 0.20 2.01 0.15 1.80 2,026
12/24/2014................................ BABA........................ 0.19 1.16 0.10 0.80 2,087
12/24/2014................................ CBS......................... 0.30 1.36 0.25 1.00 1,898
12/24/2014................................ FEYE........................ 0.27 1.62 0.20 1.20 1,894
12/24/2014................................ GPRO........................ 0.37 1.84 0.20 1.90 1,692
12/24/2014................................ HYG......................... 0.31 1.79 0.30 1.20 2,894
12/24/2014................................ OIH......................... 0.20 1.95 0.15 1.60 2,714
12/24/2014................................ RAD......................... 0.20 0.75 0.15 0.60 5,108
12/24/2014................................ RSX......................... 0.21 1.32 0.20 0.90 2,816
12/31/2014................................ BABA........................ 0.22 1.63 0.15 1.60 2,261
12/31/2014................................ CBS......................... 0.21 1.09 0.20 0.80 1,131
12/31/2014................................ FEYE........................ 0.23 1.38 0.15 1.00 2,594
12/31/2014................................ GPRO........................ 0.36 1.78 0.25 1.70 1,770
12/31/2014................................ HYG......................... 0.29 1.72 0.25 1.20 3,374
12/31/2014................................ OIH......................... 0.18 1.82 0.15 1.50 2,526
12/31/2014................................ RAD......................... 0.15 0.62 0.15 0.40 4,285
12/31/2014................................ RSX......................... 0.20 1.26 0.20 1.00 2,440
--------------------------------------------------------------------------------------------------------------------------------------------------------
Table 5--Summary Quote Data for Pilot Period
[i.e., third and fourth quarter 2015]
--------------------------------------------------------------------------------------------------------------------------------------------------------
Appx. median Appx. median
Quote date Underlying symbol Spread avg: Spread avg: spread: Ask spread: Ask Avg. ask size
Ask <=3.00 Ask >3.00 <=3.00 >3.00
--------------------------------------------------------------------------------------------------------------------------------------------------------
7/1/2015.................................. BABA........................ 0.05 0.33 0.04 0.35 1,358
7/1/2015.................................. CBS......................... 0.23 1.29 0.20 0.85 2,000
7/1/2015.................................. FEYE........................ 0.24 1.11 0.20 0.90 2,180
7/1/2015.................................. GPRO........................ 0.27 1.64 0.20 1.40 2,164
7/1/2015.................................. HYG......................... 0.17 1.63 0.10 1.30 2,789
7/1/2015.................................. OIH......................... 0.12 1.56 0.05 1.30 3,174
7/1/2015.................................. RAD......................... 0.11 0.45 0.05 0.40 3,252
7/1/2015.................................. RSX......................... 0.13 0.94 0.05 0.50 1,986
7/8/2015.................................. BABA........................ 0.09 0.60 0.08 0.55 1,273
7/8/2015.................................. CBS......................... 0.24 1.44 0.21 1.15 1,795
7/8/2015.................................. FEYE........................ 0.29 1.38 0.27 1.20 2,244
7/8/2015.................................. GPRO........................ 0.26 1.27 0.19 1.00 2,102
7/8/2015.................................. HYG......................... 0.14 1.49 0.10 1.25 1,997
7/8/2015.................................. OIH......................... 0.09 1.54 0.04 1.10 1,811
7/8/2015.................................. RAD......................... 0.09 0.37 0.05 0.35 3,283
7/8/2015.................................. RSX......................... 0.00 0.00 0.00 0.00 0
7/15/2015................................. BABA........................ 0.05 0.31 0.04 0.30 1,546
7/15/2015................................. CBS......................... 0.28 0.80 0.29 0.75 1,765
7/15/2015................................. FEYE........................ 0.17 0.88 0.14 0.65 1,883
7/15/2015................................. GPRO........................ 0.22 1.22 0.14 0.95 1,914
7/15/2015................................. HYG......................... 0.13 1.25 0.09 0.70 2,535
[[Page 68981]]
7/15/2015................................. OIH......................... 0.11 1.15 0.07 0.95 1,980
7/15/2015................................. RAD......................... 0.07 0.23 0.04 0.20 2,839
7/15/2015................................. RSX......................... 0.14 0.81 0.13 0.60 2,637
7/22/2015................................. BABA........................ 0.05 0.32 0.04 0.30 1,840
7/22/2015................................. CBS......................... 0.22 0.76 0.19 0.65 1,870
7/22/2015................................. FEYE........................ 0.20 0.97 0.17 0.65 2,680
7/22/2015................................. GPRO........................ 0.22 1.56 0.11 1.50 1,615
7/22/2015................................. HYG......................... 0.16 1.72 0.10 1.15 2,165
7/22/2015................................. OIH......................... 0.13 1.65 0.12 1.30 3,805
7/22/2015................................. RAD......................... 0.10 0.31 0.08 0.30 3,866
7/22/2015................................. RSX......................... 0.20 0.46 0.17 0.40 2,302
7/29/2015................................. BABA........................ 0.06 0.31 0.05 0.25 1,395
7/29/2015................................. CBS......................... 0.20 0.97 0.17 0.75 1,780
7/29/2015................................. FEYE........................ 0.28 0.98 0.21 0.60 1,912
7/29/2015................................. GPRO........................ 0.24 1.33 0.21 1.25 2,692
7/29/2015................................. HYG......................... 0.18 1.60 0.12 1.15 2,245
7/29/2015................................. OIH......................... 0.10 1.38 0.06 1.15 3,903
7/29/2015................................. RAD......................... 0.10 0.64 0.05 0.60 3,883
7/29/2015................................. RSX......................... 0.16 0.83 0.12 0.70 2,483
8/5/2015.................................. BABA........................ 0.05 0.35 0.04 0.30 1,102
8/5/2015.................................. CBS......................... 0.29 0.97 0.22 0.80 1,881
8/5/2015.................................. FEYE........................ 0.24 1.50 0.21 1.47 1,362
8/5/2015.................................. GPRO........................ 0.18 1.24 0.16 1.20 1,859
8/5/2015.................................. HYG......................... 0.15 1.44 0.11 1.10 2,338
8/5/2015.................................. OIH......................... 0.08 1.00 0.05 0.75 2,818
8/5/2015.................................. RAD......................... 0.09 0.32 0.07 0.30 1,658
8/5/2015.................................. RSX......................... 0.14 0.63 0.10 0.55 2,495
8/12/2015................................. BABA........................ 0.08 0.79 0.06 0.70 1,456
8/12/2015................................. CBS......................... 0.22 0.72 0.19 0.60 2,031
8/12/2015................................. FEYE........................ 0.21 0.96 0.18 0.80 2,505
8/12/2015................................. GPRO........................ 0.26 1.43 0.16 1.30 1,643
8/12/2015................................. HYG......................... 0.13 1.28 0.10 1.00 2,494
8/12/2015................................. OIH......................... 0.10 0.99 0.07 0.90 2,903
8/12/2015................................. RAD......................... 0.08 0.24 0.05 0.20 2,066
8/12/2015................................. RSX......................... 0.13 0.52 0.09 0.35 2,073
8/19/2015................................. BABA........................ 0.05 0.47 0.05 0.50 2,267
8/19/2015................................. CBS......................... 0.25 0.84 0.25 0.70 1,880
8/19/2015................................. FEYE........................ 0.17 0.93 0.15 0.80 2,167
8/19/2015................................. GPRO........................ 0.19 1.30 0.15 1.25 2,705
8/19/2015................................. HYG......................... 0.13 2.14 0.09 1.40 1,807
8/19/2015................................. OIH......................... 0.09 1.18 0.05 1.00 2,485
8/19/2015................................. RAD......................... 0.08 0.25 0.04 0.25 2,747
8/19/2015................................. RSX......................... 0.11 0.89 0.05 0.75 2,205
8/26/2015................................. BABA........................ 0.16 1.23 0.14 1.00 1,757
8/26/2015................................. CBS......................... 0.30 1.01 0.31 0.90 1,675
8/26/2015................................. FEYE........................ 0.27 1.29 0.25 1.15 1,751
8/26/2015................................. GPRO........................ 0.28 1.54 0.20 1.50 2,395
8/26/2015................................. HYG......................... 0.30 1.57 0.28 1.15 1,577
8/26/2015................................. OIH......................... 0.18 0.91 0.16 0.70 2,142
8/26/2015................................. RAD......................... 0.12 0.30 0.13 0.30 1,743
8/26/2015................................. RSX......................... 0.21 0.84 0.18 0.50 1,558
9/2/2015.................................. BABA........................ 0.12 1.01 0.13 0.80 2,357
9/2/2015.................................. CBS......................... 0.23 1.29 0.16 1.05 1,693
9/2/2015.................................. FEYE........................ 0.24 1.33 0.24 1.20 2,281
9/2/2015.................................. GPRO........................ 0.22 1.62 0.15 1.70 1,852
9/2/2015.................................. HYG......................... 0.28 1.56 0.29 1.10 2,242
9/2/2015.................................. RAD......................... 0.11 0.26 0.12 0.25 3,314
9/2/2015.................................. RSX......................... 0.22 1.19 0.17 0.95 2,573
9/9/2015.................................. BABA........................ 0.16 1.03 0.17 0.85 2,237
9/9/2015.................................. CBS......................... 0.26 0.82 0.25 0.70 1,897
9/9/2015.................................. FEYE........................ 0.20 0.98 0.19 0.90 2,109
9/9/2015.................................. GPRO........................ 0.18 1.27 0.18 1.15 2,249
9/9/2015.................................. HYG......................... 0.27 1.28 0.26 1.05 1,676
9/9/2015.................................. RAD......................... 0.10 0.29 0.12 0.30 3,610
9/9/2015.................................. RSX......................... 0.17 0.54 0.11 0.50 2,838
9/16/2015................................. BABA........................ 0.10 1.01 0.09 0.90 1,686
9/16/2015................................. CBS......................... 0.16 0.92 0.12 0.75 1,679
9/16/2015................................. FEYE........................ 0.19 0.82 0.16 0.60 1,998
9/16/2015................................. GPRO........................ 0.19 1.34 0.17 1.35 1,932
[[Page 68982]]
9/16/2015................................. HYG......................... 0.21 1.80 0.17 1.30 2,610
9/16/2015................................. RAD......................... 0.10 0.29 0.08 0.25 3,333
9/16/2015................................. RSX......................... 0.13 0.59 0.07 0.55 2,245
9/23/2015................................. BABA........................ 0.08 0.67 0.06 0.60 1,937
9/23/2015................................. CBS......................... 0.19 0.83 0.16 0.70 1,590
9/23/2015................................. FEYE........................ 0.15 0.89 0.13 0.80 2,004
9/23/2015................................. GPRO........................ 0.22 1.27 0.19 1.30 2,352
9/23/2015................................. HYG......................... 0.19 1.27 0.13 1.00 2,401
9/23/2015................................. OIH......................... 0.11 0.77 0.07 0.68 3,167
9/23/2015................................. RAD......................... 0.10 0.31 0.12 0.30 3,277
9/23/2015................................. RSX......................... 0.12 0.45 0.07 0.40 2,450
9/30/2015................................. BABA........................ 0.10 0.92 0.09 0.85 1,560
9/30/2015................................. CBS......................... 0.18 0.77 0.16 0.65 1,697
9/30/2015................................. FEYE........................ 0.20 0.96 0.19 0.95 1,693
9/30/2015................................. GPRO........................ 0.24 1.50 0.21 1.50 2,074
9/30/2015................................. HYG......................... 0.25 2.23 0.23 1.65 1,560
9/30/2015................................. OIH......................... 0.10 0.70 0.05 0.60 1,489
9/30/2015................................. RAD......................... 0.09 0.22 0.06 0.20 1,953
9/30/2015................................. RSX......................... 0.13 0.41 0.09 0.35 1,770
10/7/2015................................. BABA........................ 0.10 0.50 0.06 0.40 1,069
10/7/2015................................. CBS......................... 0.18 0.80 0.17 0.80 1,555
10/7/2015................................. FEYE........................ 0.22 1.05 0.22 1.05 1,997
10/7/2015................................. GPRO........................ 0.17 1.38 0.13 1.35 2,167
10/7/2015................................. HYG......................... 0.22 2.21 0.18 2.00 1,855
10/7/2015................................. OIH......................... 0.12 1.24 0.06 1.05 2,360
10/7/2015................................. RAD......................... 0.12 0.37 0.11 0.30 4,144
10/7/2015................................. RSX......................... 0.14 0.51 0.08 0.50 2,917
10/14/2015................................ BABA........................ 0.08 0.55 0.06 0.40 1,191
10/14/2015................................ CBS......................... 0.16 0.85 0.14 0.75 1,588
10/14/2015................................ FEYE........................ 0.18 1.24 0.17 0.95 1,792
10/14/2015................................ GPRO........................ 0.15 1.08 0.12 1.00 2,034
10/14/2015................................ HYG......................... 0.19 2.15 0.15 1.85 1,963
10/14/2015................................ OIH......................... 0.10 1.02 0.06 0.80 2,157
10/14/2015................................ RAD......................... 0.12 0.41 0.10 0.30 3,669
10/14/2015................................ RSX......................... 0.14 0.61 0.08 0.50 2,486
10/21/2015................................ BABA........................ 0.07 0.46 0.05 0.35 1,020
10/21/2015................................ CBS......................... 0.19 0.80 0.16 0.80 1,215
10/21/2015................................ FEYE........................ 0.17 1.05 0.16 0.85 1,982
10/21/2015................................ GPRO........................ 0.16 1.23 0.13 1.10 1,636
10/21/2015................................ HYG......................... 0.18 1.49 0.12 0.80 1,748
10/21/2015................................ OIH......................... 0.09 0.86 0.06 0.75 2,753
10/21/2015................................ RAD......................... 0.13 0.31 0.11 0.30 4,003
10/21/2015................................ RSX......................... 0.12 0.53 0.08 0.45 2,522
10/28/2015................................ BABA........................ 0.08 0.66 0.05 0.45 987
10/28/2015................................ CBS......................... 0.20 0.99 0.18 0.70 1,044
10/28/2015................................ FEYE........................ 0.18 0.84 0.16 0.65 1,479
10/28/2015................................ GPRO........................ 0.15 0.97 0.09 0.80 1,574
10/28/2015................................ HYG......................... 0.17 2.47 0.10 2.70 1,665
10/28/2015................................ OIH......................... 0.13 1.30 0.08 1.10 3,245
10/28/2015................................ RAD......................... 0.18 3.56 0.04 4.33 1,411
10/28/2015................................ RSX......................... 0.17 0.72 0.12 0.70 2,396
11/4/2015................................. BABA........................ 0.06 0.50 0.04 0.35 784
11/4/2015................................. CBS......................... 0.30 1.89 0.24 1.80 1,260
11/4/2015................................. FEYE........................ 0.17 0.89 0.16 0.65 2,112
11/4/2015................................. GPRO........................ 0.15 0.93 0.12 0.80 1,899
11/4/2015................................. HYG......................... 0.16 2.49 0.09 2.60 1,485
11/4/2015................................. OIH......................... 0.13 0.99 0.08 0.85 2,960
11/4/2015................................. RAD......................... 0.33 1.27 0.25 0.55 1,996
11/4/2015................................. RSX......................... 0.16 0.86 0.10 0.75 2,401
11/11/2015................................ BABA........................ 0.07 0.56 0.05 0.35 304
11/11/2015................................ CBS......................... 0.20 1.27 0.16 0.95 1,264
11/11/2015................................ FEYE........................ 0.17 1.19 0.14 0.95 1,705
11/11/2015................................ GPRO........................ 0.15 0.87 0.13 0.75 1,264
11/11/2015................................ HYG......................... 0.18 2.13 0.08 1.60 1,308
11/11/2015................................ OIH......................... 0.12 1.04 0.08 0.90 2,824
11/11/2015................................ RAD......................... 0.47 2.88 0.16 3.35 1,837
11/11/2015................................ RSX......................... 0.14 0.60 0.09 0.55 1,897
11/18/2015................................ BABA........................ 0.05 0.44 0.03 0.30 861
11/18/2015................................ CBS......................... 0.22 1.33 0.17 1.05 1,467
[[Page 68983]]
11/18/2015................................ FEYE........................ 0.18 0.99 0.16 0.95 2,330
11/18/2015................................ GPRO........................ 0.19 1.47 0.12 1.40 1,893
11/18/2015................................ HYG......................... 0.19 2.49 0.10 2.65 2,772
11/18/2015................................ OIH......................... 0.12 1.10 0.07 0.95 2,420
11/18/2015................................ RAD......................... 0.45 3.24 0.14 4.50 1,960
11/18/2015................................ RSX......................... 0.15 0.58 0.11 0.50 1,631
11/25/2015................................ BABA........................ 0.05 0.39 0.04 0.30 859
11/25/2015................................ CBS......................... 0.25 1.39 0.22 0.90 1,064
11/25/2015................................ FEYE........................ 0.18 1.02 0.15 0.80 1,691
11/25/2015................................ GPRO........................ 0.20 1.08 0.14 0.95 1,769
11/25/2015................................ HYG......................... 0.21 2.71 0.13 2.70 1,291
11/25/2015................................ OIH......................... 0.09 1.15 0.06 1.00 1,572
11/25/2015................................ RAD......................... 0.34 3.27 0.16 4.45 1,320
11/25/2015................................ RSX......................... 0.13 0.72 0.08 0.55 1,667
12/2/2015................................. BABA........................ 0.06 0.51 0.04 0.30 567
12/2/2015................................. CBS......................... 0.22 1.47 0.16 1.15 1,201
12/2/2015................................. FEYE........................ 0.12 1.01 0.08 0.70 1,754
12/2/2015................................. GPRO........................ 0.16 0.81 0.11 0.65 1,298
12/2/2015................................. HYG......................... 0.19 1.79 0.11 1.25 1,484
12/2/2015................................. OIH......................... 0.09 1.17 0.05 1.05 1,497
12/2/2015................................. RAD......................... 0.51 3.03 0.15 3.25 1,293
12/2/2015................................. RSX......................... 0.13 0.62 0.08 0.50 1,940
12/9/2015................................. BABA........................ 0.06 0.48 0.04 0.35 503
12/9/2015................................. CBS......................... 0.23 1.25 0.19 1.10 973
12/9/2015................................. FEYE........................ 0.12 1.02 0.06 0.90 1,013
12/9/2015................................. GPRO........................ 0.09 1.03 0.05 0.90 693
12/9/2015................................. HYG......................... 0.17 2.18 0.10 1.70 989
12/9/2015................................. OIH......................... 0.10 1.46 0.05 1.35 2,167
12/9/2015................................. RAD......................... 0.31 3.75 0.14 4.55 853
12/9/2015................................. RSX......................... 0.14 0.80 0.09 0.60 1,853
12/16/2015................................ BABA........................ 0.12 0.77 0.06 0.50 705
12/16/2015................................ CBS......................... 0.30 1.79 0.28 1.50 1,250
12/16/2015................................ FEYE........................ 0.21 1.24 0.15 0.90 1,731
12/16/2015................................ GPRO........................ 0.18 1.16 0.11 1.00 947
12/16/2015................................ HYG......................... 0.22 2.68 0.19 3.15 1,539
12/16/2015................................ OIH......................... 0.15 1.64 0.07 1.20 2,458
12/16/2015................................ RAD......................... 0.43 4.41 0.18 4.65 974
12/16/2015................................ RSX......................... 0.20 1.87 0.10 1.00 2,407
12/23/2015................................ BABA........................ 0.11 0.66 0.05 0.45 663
12/23/2015................................ CBS......................... 0.28 1.71 0.24 1.15 568
12/23/2015................................ FEYE........................ 0.20 1.30 0.17 1.15 949
12/23/2015................................ GPRO........................ 0.22 0.97 0.13 0.80 1,306
12/23/2015................................ HYG......................... 0.21 3.14 0.16 3.70 2,071
12/23/2015................................ OIH......................... 0.11 1.30 0.05 0.90 3,149
12/23/2015................................ RAD......................... 0.35 4.08 0.17 4.50 1,271
12/23/2015................................ RSX......................... 0.16 1.24 0.08 0.80 1,892
12/30/2015................................ BABA........................ 0.16 0.62 0.06 0.45 787
12/30/2015................................ CBS......................... 0.19 1.61 0.19 1.10 772
12/30/2015................................ FEYE........................ 0.21 1.08 0.19 0.85 1,059
12/30/2015................................ GPRO........................ 0.22 0.98 0.16 0.80 1,295
12/30/2015................................ HYG......................... 0.20 1.86 0.13 1.35 2,193
12/30/2015................................ OIH......................... 0.11 1.65 0.06 1.15 3,080
12/30/2015................................ RAD......................... 0.55 4.00 0.19 4.50 1,132
12/30/2015................................ RSX......................... 0.15 1.85 0.10 0.90 2,120
--------------------------------------------------------------------------------------------------------------------------------------------------------
Exhibit B to Amendment No. 5
AMENDMENT TO PLAN FOR THE PURPOSE OF DEVELOPING AND IMPLEMENTING
PROCEDURES DESIGNED TO FACILITATE THE LISTING AND TRADING OF
STANDARDIZED OPTIONS SUBMITTED PURSUANT TO SECTION 11A(a)(3)(B)OF THE
SECURITIES EXCHANGE ACT OF 1934.
[[Page 68984]]
Italicized language indicates additions. [Bracketed] language
indicates deletions.
PLAN FOR THE PURPOSE OF DEVELOPING AND IMPLEMENTING PROCEDURES DESIGNED
TO FACILITATE THE LISTING AND TRADING OF STANDARDIZED OPTIONS SUBMITTED
PURSUANT TO SECTION 11A(a)(3)(B) OF THE SECURITIES EXCHANGE ACT OF 1934
* * * * *
3.1 Selecting Option Classes for the Penny Interval Program (``Penny
Program'')
The registered options exchanges agree to list option classes for
the Penny Program with the following minimum increment quoting
requirements (``penny increments''):
(A) one cent ($0.01) for all series in QQQ (PowerShares QQQ
TrustSM, Series 1), SPY (SPDR S&P 500 ETF) and IWM (iShares Russell
2000 Index Fund), regardless of price;
(B) one cent ($0.01) for all series in such option classes included
in the Penny Program with a price of less than $3.00;
(C) five cents ($0.05) for all series in such option classes
included in the Penny Program with a price of $3.00 or higher.
(a) Initial Selection. On the first trading day of the third full
calendar month after [insert date of approval], the Penny Program will
apply only to the 363 most actively traded multiply listed option
classes, based on OCC's National Cleared Volume in the six full
calendar months ending in the month of approval, that (i) currently
quote in penny increments, or (ii) overlie securities priced below
$200, or any index at an index level below $200. Eligibility for
inclusion in the Penny Program will be determined at the close of
trading on the monthly Expiration Friday of the second full month
following [insert date of approval].
(b) Annual Review. Commencing in December 2020 and each December
thereafter, OCC will rank all multiply listed option classes based on
National Cleared Volume for the six full calendar months from June 1
through November 30 for determination of the most actively traded
option classes.
(1) Addition to the Penny Program. Based on the Annual Review, any
option class not in the Penny Program that is among the 300 most
actively traded multiply listed option classes overlying securities
priced below $200, or an index at an index level below $200, will be
added to the Penny Program on the first trading day of January.
(2) Removal from the Penny Program. Except as provided in (c), (d),
(e) and (f) below, based on the Annual Review, any option class in the
Penny Program that falls outside the 425 most actively traded multiply
listed option classes will be removed from the Penny Program on the
first trading day of April.
(c) Newly Listed Option Classes. A registered options exchange may
add a newly listed option class to the Penny Program, provided that (i)
it is among the 300 most actively traded multiply listed option
classes, as ranked by National Cleared Volume at OCC, in its first full
calendar month of trading and (ii) the underlying security is priced
below $200 or the underlying index is at an index level below $200. Any
option class added under this provision will be added on the first
trading day of the month after it qualifies and will remain in the
Penny Program for one full calendar year, after which it will be
subject to the Annual Review stated in section (b) above.
(d) Classes with Significant Growth in Activity. A registered
options exchange may add any option class to the Penny Program,
provided that (i) it is among the 75 most actively traded multiply
listed option classes, as ranked by National Cleared Volume at OCC, in
the past six full calendar months of trading and (ii) the underlying
security is priced below $200 or the underlying index is at an index
level below $200. Any option class added under this provision will be
added on the first trading day of the second full month after it
qualifies and will remain in the Penny Program for the rest of the
calendar year, after which it will be subject to the Annual Review
stated in section (b) above.
(e) Corporate Actions. If a corporate action involves one or more
option classes in the Penny Program, all adjusted and unadjusted series
of the option class will be included in the Penny Program. Any new
option class added to the Penny Program under this provision will
remain in the Penny Program for one full calendar year; after which it
will be subject to the Annual Review stated in section (b) above.
(f) Delisted or Ineligible Option Classes. Any series in an option
class participating in the Penny Program in which the underlying
security has been delisted, or are identified by OCC as ineligible for
opening customer transactions, will continue to quote pursuant to the
terms of the Penny Program until all such options have expired.
(g) The registered options exchanges agree that references to
multiply listed option classes in this section of the Plan only applies
to option classes in the Penny Program, and to no other sections of the
Plan.
(h) Not sooner than 60 months after approval of the Penny Program,
a super-majority (\2/3\) of the Plan Sponsors may vote to make changes
to the Penny Program. At any time before 60 months have passed since
the adoption of the Penny Program, any changes must be unanimously
approved by the Plan Sponsors. Any changes to the Penny Program are
subject to SEC review pursuant to Section 11A(a)(3) of the Securities
Exchange Act of 1934 and Rule 608 thereunder.
4. Adjustments Pursuant to OCC By-Laws--Article VI, Section 11 of
the OCC By-Laws, as approved by the SEC, provides that [an adjustment
panel of the Securities Committee, comprised of representatives from
each registered options exchange trading options on the affected
underlying security,]OCC shall determine whether to make adjustments to
reflect particular events in respect of such underlying security, and
the nature and extent of any such adjustment. In connection with such
determinations, the options exchanges trading such options class are
authorized to determine operational issues attendant to the adjustment
made by [the adjustment panel]OCC.
* * * * *
9. List of Plan Sponsors--The Sponsors of the Options Listing
Procedures Plan are as follows:
[American Stock Exchange LLC (``AMEX'')]NYSE American,
LLC, registered as a national securities exchange under the Exchange
Act and having its principal place of business at [86 Trinity Place,
New York, New York 10006]11 Wall Street, New York, NY 10005.
[BATS Exchange, Inc. (``BATS'')]Cboe BZX Exchange, Inc.,
registered as a national securities exchange under the Exchange Act and
having its principal place of business at [8050 Marshall Dr., Suite
120, Lenexa, Kansas 66214]400 South LaSalle Street, Chicago, Illinois
60605.
BOX [Options] Exchange LLC (``BOX''), registered as a
national
[[Page 68985]]
securities exchange under the Exchange Act and having its principal
place of business at 101 Arch Street, St. 610, Boston, Massachusetts
02110.
[Chicago Board Options Exchange, Incorporated.
(``CBOE'')]Cboe Exchange, Inc., registered as a national securities
exchange under the Exchange Act and having its principal place of
business at 400 South LaSalle Street, Chicago, Illinois 60605.
[C2 Options Exchange, Incorporated (``C2'')]Cboe C2
Exchange, Inc., registered as a national securities exchange under the
Exchange Act and having its principal place of business at 400 South
LaSalle Street, Chicago, Illinois 60605.
[EDGX Exchange, Inc. (``EDGX'')]Cboe EDGX Exchange, Inc.,
registered as a national securities exchange under the Exchange Act and
having its principal place of business at [8050 Marshall Dr., Suite
120, Lenexa, Kansas 66214]400 South LaSalle Street, Chicago, Illinois
60605.
[International Securities Exchange LLC (``ISE'')]Nasdaq
ISE, LLC, registered as a national securities exchange under the
Exchange Act and having its principal place of business at [60 Broad
Street, New York, New York 10004]One Liberty Plaza, 50th Floor, New
York, New York 10006.
[ISE Mercury, LLC (``ISE Mercury'')]Nasdaq MRX, LLC,
registered as a national securities exchange under the Exchange Act and
having its principal place of business at [60 Broad Street, New York,
New York 10004]One Liberty Plaza, 50th Floor, New York, New York 10006.
Miami International Securities Exchange, LLC (``MIAX''),
registered as a national securities exchange under the Exchange Act and
having its principal place of business at 7 Roszel Road, Fifth Floor,
Princeton, New Jersey 08540.
MIAX Emerald, LLC (``MIAX Emerald''), registered as a
national securities exchange under the Exchange Act and having its
principal place of business at 7 Roszel Road, Fifth Floor, Princeton,
New Jersey 08540.
MIAX PEARL, LLC (``MIAX PEARL''), registered as a national
securities exchange under the Exchange Act and having its principal
place of business at 7 Roszel Road, Fifth Floor, Princeton, New Jersey
08540.
The [NASDAQ]Nasdaq Stock Market LLC, registered as a
national securities exchange under the Exchange Act and having its
principal place of business at One Liberty Plaza, 50th Floor, New York,
New York 10006.
[NASDAQ OMX BX, Inc., (``BX'')]Nasdaq BX, Inc., registered
as a national securities exchange under the Exchange Act and having its
principal place of business at One Liberty Plaza, 50th Floor, New York,
New York 10006.
The Options Clearing Corporation (``OCC''), registered as
a clearing agency under the Exchange Act and having its principal place
of business at [440 South LaSalle Street, Chicago, Illinois 60605]125
South Franklin Street, Suite 1200, Chicago, Illinois 60606.
[Pacific Exchange, Inc. (``PCX'')]NYSE Arca, Inc.,
registered as a national securities exchange under the Exchange Act and
having its principal place of business at [301 Pine Street, San
Francisco, California 94104]11 Wall Street, New York, NY 10005.
[Philadelphia Stock Exchange, Inc. (``PHLX'')]Nasdaq PHLX
LLC, registered as a national securities exchange under the Exchange
Act and having its principal place of business at [1900 Market Street,
Philadelphia, Pennsylvania 19103]FMC Tower, Level 8, 2929 Walnut
Street, Philadelphia, Pennsylvania 19104.
[Topaz Exchange, LLC (``Topaz'')]Nasdaq GEMX, LLC,
registered as a national securities exchange under the Exchange Act and
having its principal place of business at [60 Broad Street, New York,
New York 10004]One Liberty Plaza, 50th Floor, New York, New York 10006.
* * * * *
[FR Doc. 2019-26816 Filed 12-16-19; 8:45 am]
BILLING CODE 8011-01-P
