80 FR 68338 - Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change to Risk Monitor Mechanism

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 80, Issue 213 (November 4, 2015)

[Federal Register Volume 80, Number 213 (Wednesday, November 4, 2015)]
[Notices]
[Pages 68338-68342]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2015-28020]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-76295; File No. SR-Phlx-2015-83]


Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of 
Filing and Immediate Effectiveness of Proposed Rule Change to Risk 
Monitor Mechanism

October 29, 2015.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on October 15, 2015, NASDAQ OMX PHLX LLC (``Phlx'' or ``Exchange'') 
filed with the Securities and Exchange Commission (``SEC'' or 
``Commission'') the proposed rule change as described in Items I, II, 
and III, below, which Items have been prepared by the Exchange. The 
Commission is publishing this notice to solicit comments on the 
proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to amend Rule 1093 entitled ``Phlx XL Risk 
Monitor Mechanism'' by reserving this rule and relocating the rule 
governing the Risk Monitor Mechanism into Phlx Rule 1095, entitled 
``Automated Removal of Quotes'' which contains similar market maker \3\ 
risk monitor tools. The Exchange is also modifying

[[Page 68339]]

the language currently contained in Rule 1093.
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    \3\ A ``Market Maker'' includes Registered Options Traders 
(``ROTs'') (Rule 1014(b)(i) and (ii)), which includes Streaming 
Quote Traders (``SQTs'') (see Rule 1014(b)(ii)(A)) and Remote 
Streaming Quote Traders (``RSQTs'') (see Rule 1014(b)(ii)(B)). An 
SQT is defined in Exchange Rule 1014(b)(ii)(A) as an ROT who has 
received permission from the Exchange to generate and submit option 
quotations electronically in options to which such SQT is assigned. 
An RSQT is defined in Exchange Rule 1014(b)(ii)(B) as an ROT that is 
a member or member organization with no physical trading floor 
presence who has received permission from the Exchange to generate 
and submit option quotations electronically in options to which such 
RSQT has been assigned. An RSQT may only submit such quotations 
electronically from off the floor of the Exchange. A Market Maker 
also includes a specialist, an Exchange member who is registered as 
an options specialist pursuant to Rule 1020(a).
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    The text of the proposed rule change is available on the Exchange's 
Web site at http://nasdaqomxphlx.cchwallstreet.com/, at the principal 
office of the Exchange, and at the Commission's Public Reference Room.

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

    In its filing with the Commission, the 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 purpose of the filing is to relocate and amend the current rule 
text of the Risk Monitor Mechanism Rule in 1093.\4\ The Exchange is 
proposing to relocate the rule text into Rule 1095, which currently 
describes two other risk mechanisms offered to Market Makers today.\5\ 
Quoting across many series in an option creates the possibility of 
``rapid fire'' executions that can create large, unintended principal 
positions that expose Market Makers, who are required to continuously 
quote in assigned options, to potentially significant market risk. The 
Risk Monitor Mechanism (hereinafter ``Percentage-Based Threshold'') 
permits Market Makers to monitor risk arising from multiple executions 
across multiple options series of a single underlying security.
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    \4\ The proposed amendments will conform the rule text to the 
manner in which the Exchange's Phlx XL system (``System'') operates 
today.
    \5\ The two risk protections, Volume-Based Threshold and the 
Multi-Trigger Threshold, are Market Maker protections, similar to 
the Risk Monitor Mechanism to assist Market Makers to control their 
trading risks.
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    The Exchange will require Market Makers to utilize either the 
Percentage-Based Threshold or the Volume-Based Threshold.\6\ The Multi-
Trigger Threshold will be optional.\7\ Today, Market Makers are 
required to utilize the Percentage-Based Threshold.
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    \6\ The Volume-Based Threshold is offered only to Market Makers.
    \7\ The Multi-Trigger Threshold is offered only to Market 
Makers.
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Current Rule Text in Rule 1093
    Phlx Rule 1093 specifically describes the counting program that is 
maintained by the trading system (hereinafter ``System'') for each Phlx 
XL participant (hereinafter ``Market Maker''), in a particular option. 
Specifically, the counting program counts the number of contracts 
traded in an option by each Market Maker within a specified time 
period, not to exceed 15 seconds, established by each Market Maker, 
known in this rule as the ``specified time period.''
    The specified time period commences for an option when a 
transaction occurs in any series in such option. The Exchange counts 
Specialized Quote Feed (``SQF'') \8\ quotes only in determining the 
number of contracts traded and removed by the System. When a Market 
Maker trades the Specified Engagement Size during the specified time 
period, the Percentage-Based Threshold is triggered \9\ and the System 
automatically removes such Market Maker's quotations from the 
Exchange's orders in all series of the particular option. The 
Percentage-Based Threshold is engaged when the counting program 
determines that the Issue Percentage equals or exceeds a percentage 
established by the Market Maker, not less than 100%.
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    \8\ SQF permits the receipt of quotes. SQF Auction Responses and 
market sweeps are also not included.
    \9\ A trigger is defined as the event which causes the System to 
automatically remove all quotes in all options series in an 
underlying issue.
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    The Specified Engagement Size is automatically offset by a number 
of contracts that are executed on the opposite side of the market in 
the same option issue during the specified time period known as the 
``Net Offset Specified Engagement Size.'' Long call positions are only 
offset by short call positions, and long put positions are only offset 
by short put positions. The Percentage-Based Threshold is engaged once 
the Net Offset Specified Engagement Size represents a net number of 
contracts executed among all series in an option issue, during the 
specified time period, where the issue percentage is equal to or 
greater than the Specified Percentage.\10\
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    \10\ Any marketable orders or quotes that are executable against 
a Market Maker's disseminated quotation that are received prior to 
the time the Percentage-Based Threshold is engaged are automatically 
executed at the disseminated price up to the Market Maker's 
disseminated size, regardless of whether such an execution results 
in executions in excess of the Market Maker's Specified Engagement 
Size. In the event that the specialist's quote is removed by the 
Percentage-Based Threshold and there are no other Market Makers 
quoting in the particular option, the System will automatically 
provide two-sided quotes that comply with the Exchange's Rules 
concerning quote spread parameters on behalf of the specialist until 
such time as the specialist revises the quotation. All quotations 
generated by the Exchange on behalf of a specialist shall be 
considered ``firm quotations'' and shall be the obligation of the 
specialist.
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    The System automatically resets the counting program and commences 
a new specified time period when: (i) A previous counting period has 
expired and a transaction occurs in any series in such option; or (ii) 
the Market Maker refreshes his/her quotation, in a series for which an 
order has been executed (thus commencing the specified time period) 
prior to the expiration of the specified time period.
Proposed Rule
    The Exchange's amendments to the current rule text are described 
below in greater detail. The Exchange proposes to amend the current 
rule to first define a specialist, Streaming Quote Trader or Remote 
Streaming Quote Trader as a Market Maker and replace the term ``Phlx XL 
Participant'' with the term ``Market Maker.'' \11\ The proposed term 
``Market Maker'' will be utilized throughout proposed Rule 1095(i).
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    \11\ The Exchange automatically removes a Market Maker's quotes 
in all series of an underlying security submitted through designated 
Phlx protocols, as specified by the Exchange, during a specified 
time period established by the Market Maker not to exceed 15 
seconds, this time period is not being amended.
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Counting Program
    Proposed Rule 1095(i) provides, as in the current rule, the 
Percentage-Based Threshold determines: (i) The percentage that the 
number of contracts executed in that series represents relative to the 
Market Maker's disseminated\12\ size of each side in that series 
(``Series Percentage''); and (ii) the sum of the Series Percentage in 
the option issue (``Issue Percentage''). An offset occurs during the 
Percentage-Based Specified Time Period.\13\ The Exchange proposes to 
amend the rule text in proposed Rule 1095(i) to state that the 
Percentage-Based Specified Time Period operates on a rolling basis 
among all series in an option in that there may be multiple Percentage-
Based Specified Time Periods occurring simultaneously and such 
Percentage-Based Specified Time periods may overlap. The Exchange 
proposes to amend the rule text of proposed Rule 1095(i) to state that 
the Percentage-

[[Page 68340]]

Based Specified Time Period commences for an option every time an 
execution occurs in any series in such option and continues until the 
System removes quotes as described in current Rule 1095(iv), which is 
being amended to include the Percentage-Based Specified Time Period, or 
the Percentage-Based Specified Time Period expires.
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    \12\ The disseminated size is the original size quoted by the 
Participant.
    \13\ A specified time period is established by the Market Maker 
and may not to exceed 15 seconds. See proposed Rule 1095(i).
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Rounding
    The Exchange proposes to add amended rule text to proposed Rule 
1095(i) to state that if the Issue Percentage, rounded to the nearest 
integer, equals or exceeds a percentage established by a Market Maker, 
not less than 100% (``Specified Percentage''), the System automatically 
remove a Market Maker's quotes in all series of the underlying security 
submitted through designated Phlx protocols, as specified by the 
Exchange, during the Percentage-Based Specified Time Period.\14\ The 
current text of Rule 1093 states that the Percentage-Based Threshold is 
engaged when the counting program determines that the Issue Percentage 
equals or exceeds a percentage established by the Market Maker, not 
less than 100%. The Exchange's proposal adds amended rule text to 
proposed Rule 1095(i) to state, that if the Issue Percentage, rounded 
to the nearest integer, equals or exceeds a percentage established by 
the Market Maker, not less than 100% (``Specified Percentage''), the 
System automatically removes a Market Maker's quotes in all series of 
an underlying security submitted through designated Phlx protocols, as 
specified by the Exchange, during the Percentage-Based Specified Time 
Period.
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    \14\ The System's count of the number of contracts executed is 
based on trading interest resting on the Exchange book. The Volume-
Based Specified Time Period, in current Rule 1095(ii), designated by 
the Market Maker must be the same time period as designated for 
purposes of the Percentage-Based Threshold. The Exchange references 
protocols more specifically in this rule. The Exchange counts SQF 
quotes only in determining the number of contracts traded and 
removed by the System. See note 8.
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    Today, the System tracks and calculates the net impact of positions 
in the same option issue during the Percentage-Based Specified Time 
Period. The System tracks transactions, i.e., the sum of buy-side put 
percentages, the sum of sell-side put percentages, the sum of buy-side 
call percentages, and the sum of sell-side call percentages, and then 
calculates the absolute value of the difference between the buy-side 
puts and the sell-side puts plus the absolute value of the difference 
between the buy-side calls and the sell-side calls. With this proposal, 
when these values are rounded, if that number is greater than the 
Specified Percentage, the Percentage-Based Threshold would be 
triggered.
Reset
    The Exchange proposes to amend the manner in which the System 
resets. The System will automatically removes [sic] quotes in all 
option series of an underlying security when the Percentage-Based 
Threshold is reached and then the Percentage-Based Specified Time 
Period is reset. The System will send a Purge Notification Message \15\ 
to the Market Maker for all affected options when the threshold has 
been reached. Pursuant to this proposal, when the System removes quotes 
as a result of the Percentage-Based Threshold, the Market Maker will be 
required to send a re-entry indicator to re-enter the System.\16\ If a 
Market Maker requests the System to remove quotes in all options series 
in an underlying issue, the System will automatically reset the 
Percentage-Based Specified Time Period(s) and new Percentage-Based 
Specified Time Period(s) will commence for the Percentage-Based 
Threshold. With this proposal, when the System removes quotes as a 
result of the Percentage-Based Threshold, the Market Maker will be 
required to send a re-entry indicator to re-enter the System. The 
proposed rule text adds specificity to the manner in which the Market 
Maker re-enters the market after a trigger.
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    \15\ A message entitled ``Purge Notification Message'' is 
systemically sent to the Market Maker upon the removal of quotes due 
to the Percentage-Based Threshold. See proposed Rule 1095(iii).
    \16\ The re-entry indicator must be marked as such to cause the 
System to reset.
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    Firm Quote
    The Exchange represents that its proposal operates consistently 
with the firm quote obligations of a broker-dealer pursuant to Rule 602 
of Regulation NMS.
2. Statutory Basis
    The Exchange believes that its proposal is consistent with Section 
6(b) of the Act \17\ in general, and furthers the objectives of Section 
6(b)(5) of the Act \18\ in particular, in 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, by enhancing the risk protections available to Exchange 
members. Each of the proposed amendments does not raise a novel 
regulatory issue, rather these proposed amendments provide for 
operational transparency.
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    \17\ 15 U.S.C. 78f(b).
    \18\ 15 U.S.C. 78f(b)(5).
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    The proposed rule text continues to offer Market Makers a risk 
protection tool, in addition to other available risk tools,\19\ to 
decrease risk and increase stability. The Exchange offers this risk 
tool to Market Makers, in order to encourage them to provide as much 
liquidity as possible and encourage market making generally, the 
proposal removes impediments to and perfects the mechanism of a free 
and open market and a national market system and protect investors and 
the public interest. Further, it is important to note that any interest 
that is executable against a Market Maker's quotes that are received 
\20\ by the Exchange prior to the trigger of the Percentage-Based 
Threshold, which is processed by the System, automatically executes at 
the price up to the Market Maker's size. Further, the Purge 
Notification Message is accepted by the System in the order of receipt 
in the queue and is processed in that order so that interest that is 
already accepted into the System is processed prior to the message.
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    \19\ See note 5.
    \20\ The time of receipt for an order or quote is the time such 
message is processed by the Exchange book.
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Counting Program
    The Exchange's amendment to the operation of the counting program 
to describe that it operates on rolling basis, with a time window after 
each transaction, not singular and sequential time segments is 
consistent with the Act because the purpose of the risk tool is to 
provide Market Makers with the ability to monitor its transactions. The 
proposed counting program provides a tracking method for Market Makers 
related to the specified time period. The System captures information 
to determine whether a removal of quotes is necessary. The proposed 
function of this counting program will enable the Exchange to provide 
the Market Maker with information relative to that Market Maker's 
interest currently at risk in the market.
Rounding
    The Exchange's amendment which states that if the Issue Percentage, 
rounded to the nearest integer, equals or exceeds the Specified 
Percentage, the System automatically removes a Market Maker's quotes in 
all series of an underlying security is consistent with the Act because 
investors will be protected by providing Market Makers with a risk tool 
which allows Market Makers to properly set their risk

[[Page 68341]]

protections at a level that they are able to meet their obligations and 
also manage their risk. This specificity provides more detail so that 
Market Makers may properly set their risk controls. Understanding the 
manner in which the System will round is important in determining when 
the System will trigger a risk control. Also, today, Phlx discusses 
rounding in its Rulebook.\21\ Rounding to the nearest integer is not 
novel.
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    \21\ See Phlx Rule at 1014 regarding Market Maker allocations.
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Reset
    The Exchange's proposal to amend the rule text related to resets 
provides guidance to Market Makers as to the manner in which they may 
re-enter the System after a removal of quotes. This amendment is 
consistent with the Act because the Exchange desires to provide Market 
Makers with access to the market at all times. Market Makers perform an 
important function in the marketplace and the Exchange desires to 
provide its market participants with access to the market. If the 
Market Maker is removed from the market due to a trigger of the 
Percentage-Based risk tool, the Exchange will permit re-entry to the 
market provided the Market Maker sends a re-entry indicator to re-enter 
the System. This is important because it informs the Exchange that the 
Market Maker is ready to re-enter the market. Also, the Exchange 
currently has risk mechanisms in place which provides guidance as to 
the manner in which a Market Maker may re-enter the System after a 
removal of quotes.\22\
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    \22\ See Phlx Rule 1095(vi).
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Quoting Obligations--Market Makers
    The Exchange further represents that the System operates 
consistently with the firm quote obligations of a broker-dealer 
pursuant to Rule 602 of Regulation NMS. Specifically, with respect to 
Market Makers, their obligation to provide continuous two-sided quotes 
on a daily basis is not diminished by the removal of such quotes by the 
Percentage-Based Threshold. Market Makers are required to provide 
continuous two-sided quotes on a daily basis.\23\ Market Makers that 
utilize the Percentage-Based Threshold will not be relieved of the 
obligation to provide continuous two-sided quotes on a daily basis, nor 
will it prohibit the Exchange from taking disciplinary action against a 
Market Maker for failing to meet the continuous quoting obligation each 
trading day.
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    \23\ See Rule 1014 titled ``Obligations and Restrictions 
Applicable to Specialists and Registered Options Traders.''
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    Finally, the Exchange believes that its proposal to provide Market 
Makers the optionality to either select the Percentage-Based Threshold 
or Volume-Based Threshold as one of their risk tools will also protect 
investors and is consistent with the Act. Today, Market Makers are 
required to utilize the Percentage-Based Threshold. With this proposal, 
Market Makers will have the ability to select their mandatory risk as 
between the Percentage-Based Threshold or Volume-Based Threshold.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition not necessary or appropriate in 
furtherance of the purposes of the Act. The Percentage-Based Threshold 
is meant to protect Market Makers from inadvertent exposure to 
excessive risk. Accordingly, this proposal will have no impact on 
competition. Specifically, the proposal does not impose a burden on 
intra-market or inter-market competition, rather, it provides Market 
Makers with the opportunity to avail themselves of similar risk tools 
which are currently available on other exchanges.\24\ Market Makers 
quote across many series in an option creates the possibility of 
``rapid fire'' executions that can create large, unintended principal 
positions that expose Market Makers. The Percentage-Based Threshold 
permits Market Makers to monitor risk arising from multiple executions 
across multiple options series of a single underlying security.
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    \24\ See Section 8 of the 19b-4.
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    The Exchange is proposing this rule change to continue to permit 
Market Makers to reduce their risk in the event the Market Maker is 
suffering from a system issue or due to the occurrence of unusual or 
unexpected market activity. Reducing such risk will enable Market 
Makers to enter quotations without any fear of inadvertent exposure to 
excessive risk, which in turn will benefit investors through increased 
liquidity for the execution of their orders. Such increased liquidity 
benefits investors because they receive better prices and because it 
lowers volatility in the options market. Reducing risk by utilizing the 
proposed risk protections enables Market Makers, specifically, to enter 
quotations with larger size, which in turn will benefit investors 
through increased liquidity for the execution of their orders. Such 
increased liquidity benefits investors because they receive better 
prices and because it lowers volatility in the options market.
Counting Program
    The Exchange's amendment to the operation of the counting program 
to describe that it operates on rolling basis, with a time window after 
each transaction, not singular and sequential time segments does not 
create an undue burden on competition, rather, it provides the Market 
Maker with clarity as to the manner in which the System counts quotes 
and thereby provides Market Makers with an increased ability to monitor 
transactions.
Rounding
    The Exchange's amendment to add that if the Issue Percentage, 
rounded to the nearest integer, equals or exceeds the Specified 
Percentage, the System automatically removes a Market Maker's quotes in 
all series of an underlying security does not create an undue burden on 
competition because this amendment also provides the Market Maker with 
clarity as to the manner in which the System will remove quotes and 
thereby provides Market Makers with an increased ability to monitor 
transactions and set risk limits.
Reset
    The amendment to the rule text concerning resetting does not create 
an undue burden on competition. The Exchange proposes to amend the 
manner in which a Market Maker may re-enter the System after a removal 
of quotes. This amendment provides information to Market Makers as to 
the procedure to re-enter the System after a trigger. This information 
is intended to provide Market Makers with access to the market.

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

    No written comments were either solicited or received.

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

    Because the foregoing 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, it has become 
effective pursuant to Section 19(b)(3)(A)(iii) of the Act \25\ and

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subparagraph (f)(6) of Rule 19b-4 thereunder.\26\
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    \25\ 15 U.S.C. 78s(b)(3)(a)(iii).
    \26\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6) 
requires a self-regulatory organization to give the Commission 
written notice of its intent to file 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. 
The Exchange has satisfied this requirement.
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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: (i) 
Necessary or appropriate in the public interest; (ii) for the 
protection of investors; or (iii) 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-Phlx-2015-83 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-Phlx-2015-83. 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 the filing also will be available for inspection 
and copying at the principal office of the Exchange. All comments 
received will be posted without change; 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-Phlx-2015-83 and 
should be submitted on or before November 25, 2015.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\27\
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    \27\ 17 CFR 200.30-3(a)(12).
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Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015-28020 Filed 11-3-15; 8:45 am]
 BILLING CODE 8011-01-P