80 FR 10196 - Self-Regulatory Organizations; Miami International Securities Exchange LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Extend the Pilot Period Applicable to Rule 530 Relating To Limit Up/Limit Down

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 80, Issue 37 (February 25, 2015)

[Federal Register Volume 80, Number 37 (Wednesday, February 25, 2015)]
[Notices]
[Pages 10196-10198]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2015-03815]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-74307; File No. SR-MIAX-2015-11]


Self-Regulatory Organizations; Miami International Securities 
Exchange LLC; Notice of Filing and Immediate Effectiveness of a 
Proposed Rule Change To Extend the Pilot Period Applicable to Rule 530 
Relating To Limit Up/Limit Down

February 19, 2015.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that on February 18, 2015, Miami International Securities Exchange LLC 
(``MIAX'' or ``Exchange'') filed with the Securities and Exchange 
Commission (``Commission'') the proposed rule change as described in 
Items I and II below, which Items have been prepared by the Exchange. 
The Commission is publishing this notice to

[[Page 10197]]

solicit comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of the 
Substance of the Proposed Rule Change

    The Exchange is filing a proposal to amend Exchange Rule 530 to 
extend the pilot period for the treatment of erroneous transactions 
during a Limit or Straddle State.
    The text of the proposed rule change is available on the Exchange's 
Web site at http://www.miaxoptions.com/filter/wotitle/rule_filing, at 
MIAX's principal office, and at the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The Exchange has prepared summaries, set forth in 
sections A, B, and C below, of the most significant aspects of such 
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to amend Rule 530 (Limit Up-Limit Down) in 
order to extend the pilot period for the treatment of erroneous 
transactions that occur in a Limit or Straddle State until October 23, 
2015.
    Exchange Rule 530(j) provides for the treatment of erroneous 
transactions occurring during Limit and Straddle States. Specifically, 
once an NMS Stock has entered a Limit or Straddle State, the Exchange 
will nullify a transaction in an option overlying such an NMS Stock as 
provided in the Rule 530(j). This provision was adopted for a one year 
pilot period beginning on the date of the implementation of the Plan to 
Address Extraordinary Market Volatility Pursuant to Rule 608 of 
Regulation NMS, April 8, 2013.\3\ The Exchange previously extended the 
pilot period for Rule 530(j) until February 20, 2015.\4\ The Exchange 
now proposes to extend the pilot period for Rule 530(j) until October 
23, 2015 in order to allow the Exchange and the Commission additional 
time to collect and analyze data regarding the impact of Rule 530(j) on 
liquidity and market quality in the options markets.
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    \3\ See Exchange Rule 503(j). See also Securities Exchange Act 
Release Nos. 69210 (March 22, 2013), 78 FR 18637 (March 27, 2013) 
(SR-MIAX-2013-12); 69342 (April 8, 2013), 78 FR 22017 (April 12, 
2013) (SR-MIAX-2013-12); 69234 (March 25, 2013), 78 FR 19344 (March 
29, 2013) (SR-MIAX-2013-15); 69354 (April 9, 2013), 78 FR 22357 
(April 15, 2013) (SR-MIAX-2013-15).
    \4\ See Securities Exchange Act Release No. 71881 (April 4, 
2014), 79 FR 19956 (April 10, 2014) (SR-MIAX-2014-14).
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    To assist the Commission in its analysis, the Exchange will provide 
the Commission and the public with data and analysis during the 
duration of the pilot in order to evaluate the impact of Limit and 
Straddle States on liquidity and market quality in the options markets. 
Specifically, by May 29, 2015, the Exchange represents that it shall 
provide the Commission and the public assessments relating to the 
impact of the obvious error Rules during Limit and Straddle States that 
(i) evaluate the statistical and economic impact of Limit and Straddle 
States on liquidity and market quality in the options markets; and (ii) 
assess whether the lack of obvious error rules in effect during the 
Straddle and Limit States are problematic. Additionally, each month 
during the pilot period the Exchange shall provide to the Commission 
and the public a dataset containing the data for each Straddle and 
Limit State in optionable stocks. For each stock that reaches a 
Straddle or Limit State, the number of options included in the dataset 
can be reduced by selecting options in which at least one (1) trade 
occurred on the Exchange during the Straddle or Limit State. For each 
of those options affected, each data record should contain the 
following information: (i) Stock symbol, option symbol, time at the 
start of the straddle or limit state, an indicator for whether it is a 
straddle or limit state; and (ii) for activity on the exchange--(A) 
executed volume, time-weighted quoted bid-ask spread, time-weighted 
average quoted depth at the bid, time-weighted average quoted depth at 
the offer, (B) high execution price, low execution price, (C) number of 
trades for which a request for review for error was received during 
Straddle and Limit States, (D) an indicator variable for whether those 
options outlined above have a price change exceeding 30% during the 
underlying stock's Limit or Straddle state compared to the last 
available option price as reported by OPRA before the start of the 
Limit or Straddle state (1 if observe 30% and 0 otherwise) and another 
indicator variable for whether the option price within five minutes of 
the underlying stock leaving the Limit or Straddle state (or halt if 
applicable) is 30% away from the price before the start of the Limit or 
Straddle state.
2. Statutory Basis
    MIAX believes that its proposed rule change is consistent with 
Section 6(b) of the Act \5\ in general, and furthers the objectives of 
Section 6(b)(5) of the Act \6\ in particular, in that it is designed to 
prevent fraudulent and manipulative acts and practices, to promote just 
and equitable principles of trade, to foster cooperation and 
coordination with persons engaged in facilitating transactions in 
securities, to remove impediments to and perfect the mechanisms of a 
free and open market and a national market system and, in general, to 
protect investors and the public interest. Specifically, the proposal 
supports the objectives of perfecting the mechanism of a free and open 
market and the national market system because it promotes uniformity 
across markets concerning when and how to halt trading in all stock 
options as a result of extraordinary market volatility. In addition, 
the Exchange believes that the extension of the pilot will help ensure 
that market participants continue to benefit from the protections of 
the Limit Up-Limit Down Rules which will protect investors and the 
public interest while allowing the Exchange and the Commission 
additional time to collect and analyze data regarding the impact of 
Rules on liquidity and market quality in the options markets.
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    \5\ 15 U.S.C. 78f(b).
    \6\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Act. The proposed changes are 
being made to extend the pilot program that provides for how the 
Exchange shall treat orders and quotes in options overlying NMS stocks 
when the Limit Up-Limit Down Plan is in effect and will not impose any 
burden on competition while providing certainty of treatment and 
execution of options orders during periods of extraordinary volatility 
in the underlying NMS stock, and facilitating appropriate liquidity 
during a Limit State or Straddle State.

[[Page 10198]]

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    Written comments were neither solicited nor received.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Because the proposed rule change does not (i) significantly affect 
the protection of investors or the public interest; (ii) impose any 
significant burden on competition; and (iii) become operative for 30 
days from the date on which it was filed, or such shorter time as the 
Commission may designate if consistent with the protection of investors 
and the public interest, the proposed rule change has become effective 
pursuant to Section 19(b)(3)(A) of the Act \7\ and Rule 19b-
4(f)(6)(iii) thereunder.\8\
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    \7\ 15 U.S.C. 78s(b)(3)(A).
    \8\ 17 CFR 240.19b-4(f)(6)(iii). As required under Rule 19b-
4(f)(6)(iii), the Exchange provided the Commission with written 
notice of its intent to file the proposed rule change, along with a 
brief description and the text of the proposed rule change, at least 
five business days prior to the date of filing of the proposed rule 
change, or such shorter time as designated by the Commission.
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    The Exchange has asked the Commission to waive the 30-day operative 
delay so that the proposal may become operative immediately upon 
filing. The Commission believes that waiving the 30-day operative delay 
is consistent with the protection of investors and the public interest, 
as it will allow the obvious error pilot program to continue 
uninterrupted while the industry gains further experience operating 
under the Plan to Address Extraordinary Market Volatility, and avoid 
any investor confusion that could result from a temporary interruption 
in the pilot program. For this reason, the Commission designates the 
proposed rule change to be operative upon filing.\9\
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    \9\ For purposes only of waiving the 30-day operative delay, the 
Commission has also considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act. If the Commission 
takes such action, the Commission shall institute proceedings to 
determine whether the proposed rule should be approved or disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-MIAX-2015-11 on the subject line.

Paper Comments

     Send paper comments in triplicate to Brent J. Fields, 
Secretary, Securities and Exchange Commission, 100 F Street NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-MIAX-2015-11. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549 on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of such filing also will be available 
for inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-MIAX-2015-11, and should be 
submitted on or before March 18, 2015.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\10\
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    \10\ 17 CFR 200.30-3(a)(12).
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Brent J. Fields,
Secretary.
[FR Doc. 2015-03815 Filed 2-24-15; 8:45 am]
BILLING CODE 8011-01-P