81 FR 4708 - Self-Regulatory Organizations; C2 Options Exchange, Incorporated; Notice of Filing of Amendment No. 2 and Order Granting Accelerated Approval of Proposed Rule Change, as Modified by Amendment Nos. 1 and 2 Thereto, Relating to Price Protection Mechanisms for Quotes and Orders
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 81, Issue 17 (January 27, 2016)
Federal Register Volume 81, Issue 17 (January 27, 2016)
| Page Range | 4708-4710 | |
| FR Document | 2016-01539 |
[Federal Register Volume 81, Number 17 (Wednesday, January 27, 2016)] [Notices] [Pages 4708-4710] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2016-01539] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-76959; File No. SR-C2-2015-033] Self-Regulatory Organizations; C2 Options Exchange, Incorporated; Notice of Filing of Amendment No. 2 and Order Granting Accelerated Approval of Proposed Rule Change, as Modified by Amendment Nos. 1 and 2 Thereto, Relating to Price Protection Mechanisms for Quotes and Orders January 21, 2016. I. Introduction C2 Options Exchange, Incorporated (the ``Exchange'' or ``C2'') filed on November 25, 2015, with the Securities and Exchange Commission (the ``Commission''), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder,\2\ a proposal to enhance its current price protection mechanisms and adopt certain new price protection functionality for orders and quotes. On December 4, 2015, the Exchange filed Amendment No. 1 to the proposed rule change. The proposed rule change, as modified by Amendment No. 1, was published for comment in the Federal Register on December 11, 2015.\3\ On December 29, 2015, the Exchange filed Amendment No. 2 to the proposed rule change.\4\ The Commission received no substantive comment letters on the proposal. This order approves the proposed rule change, as modified by Amendment Nos. 1 and 2, on an accelerated basis. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. \3\ See Securities Exchange Act Release No. 76584 (December 8, 2015), 80 FR 77047 (December 11, 2015) (``Notice''). \4\ In Amendment No. 2, the Exchange amended the proposed rule language to (i) clarify that it will notify Trading Permit Holders by electronic message if the Exchange determines that the put strike price or call underlying value check should not apply in the interest of maintaining a fair and orderly market under proposed Exchange Rule 6.17(d)(ii) and (ii) limit the potential range of the percentage amount used to calculate the maximum value acceptable price range check in proposed Exchange Rule 6.13, Interpretation and Policy .04(h)(1)(iii). In Amendment No. 2, C2 also represented that it will document, retain, and periodically review any Exchange decision to not apply the put check or call check under proposed Exchange Rule 6.17(d)(ii), including the reason for the decision. See Amendment No. 2 to File No. SR-C2-2015-033, dated December 29, 2015 (``Amendment No. 2''). To promote transparency of its proposed amendment, when C2 filed Amendment No. 2 with the Commission, it also submitted Amendment No. 2 as a comment letter to the file, which the Commission posted on its Web site and placed in the public comment file for SR-C2-2015-033. The Exchange also posted a copy of its Amendment No. 2 on its Web site (http://www.c2exchange.com/legal/rulefilings.aspx) when it filed the amendment with the Commission. --------------------------------------------------------------------------- II. Description of the Proposed Rule Change, as Modified by Amendment Nos. 1 and 2 The Exchange proposes to adopt new Exchange Rules 6.17(d) and (e) and to amend Exchange Rule 6.13, Interpretation and Policy .04, to enhance its current price protection mechanisms for orders and quotes in order to help prevent potentially erroneous executions.\5\ --------------------------------------------------------------------------- \5\ For a more detailed description of each proposed price protection mechanism, see Notice, supra note 3. --------------------------------------------------------------------------- A. Put Strike Price and Call Underlying Value Checks Proposed Exchange Rule 6.17(d) will provide a new price protection functionality pursuant to which the Exchange's automated trading system (``System'') will reject back to the Participant a quote or buy limit order for (i) a put if the price of the quote bid or order is equal to or greater than the strike price of the option or (ii) a call if the price of the quote bid or order is equal to or greater than the consolidated last sale price of the underlying security, with respect to equity and exchange-traded fund options, or the last disseminated underlying index value, with respect to index options.\6\ The Exchange may determine not to apply this proposed price protection mechanism if a senior official at the Exchange's Help Desk determines the applicable check should not apply in the interest of maintaining a fair and orderly market.\7\ --------------------------------------------------------------------------- \6\ If the System rejects a Market Maker's quote pursuant to either proposed price check, the Exchange will cancel any resting quote of the Market Maker in the same series. See proposed Exchange Rule 6.17(d); see also Notice, supra note 3, at 77048. These proposed checks also will apply to buy auction responses in the same manner as it does to orders and quotes, as well as pairs of orders submitted to the Exchange's Automated Improvement Mechanism (``AIM'') or Solicitation Auction Mechanism (``SAM''). See id. \7\ See proposed Exchange Rule 6.17(d)(ii); see also Notice, supra note 3, at 77048. The Exchange represented that it will document, retain, and periodically review any decision to not apply the put check or call check, including the reason for the decision. See Amendment No. 2, supra note 4. --------------------------------------------------------------------------- B. Quote Inverting NBBO Check Proposed Exchange Rule 6.17(e) will apply new a price reasonability check to Market Maker quotes based on the national best bid or offer (``NBBO'') or the Exchange's best bid or offer if the NBBO is unavailable.\8\ Specifically, if C2 is at the NBBO, the System will reject a quote back to a Market Maker if the quote bid or offer crosses the opposite side of the NBBO by more than a number of ticks specified by the Exchange.\9\ If C2 is not at the NBBO, the System will reject a quote back to a Market-Maker if the quote bid or offer locks or crosses the opposite side of the NBBO.\10\ The Exchange may determine not to apply this check to quotes entered during the pre-opening, a trading rotation, or a trading halt, and would announce to Participants any such determination thorough a Regulatory Circular.\11\ --------------------------------------------------------------------------- \8\ See proposed Exchange Rule 6.17(e); see also Notice, supra note 3, at 77049-50. \9\ The Exchange states that the number of ticks will be no less than three minimum increment ticks and announced to Participants by Regulatory Circular. See proposed Exchange Rule 6.17(e); see also Notice, supra note 3, at 77049. In addition, proposed Exchange Rule 6.17(e)(iii) addresses situations where C2 accepts a quote that locks or crosses the NBBO. \10\ See proposed Exchange Rule 6.17(e)(i); see also Notice, supra note 3, at 77050. As an additional risk control feature, if a Market Maker submits a quote in a series in which the Market Maker already has a resting quote and the Exchange rejects that quote pursuant to this proposed check, the Exchange will cancel the Market Maker's resting quote in the series. See Notice, supra note 3, at 77049. \11\ See proposed Exchange Rule 6.17(e)(ii); see also Notice, supra note 3, at 77049-50. Additionally, this proposed check will not apply if a senior official at the Exchange's Help Desk determines it should not apply in the interest of maintaining a fair and orderly market. See id. --------------------------------------------------------------------------- C. Debit/Credit Price Reasonability Checks The Exchange proposes to amend its price check parameters applicable to complex orders that are contained in current Exchange Rule 6.13, [[Page 4709]] Interpretation and Policy .04, to prevent the automatic execution of complex orders that appear to be erroneously priced based on general options volatility and pricing principles.\12\ Under current Exchange Rule 6.13, Interpretation and Policy .04, the System will not automatically execute (i) a limit order for a debit strategy with a net credit price that should have been entered at a net debit price, (ii) a limit order for a credit strategy with a net debit price that should have been entered at a net credit price, and (iii) a market order for a credit strategy that would be executed at a net debit price when it should execute at a net credit price.\13\ The amended rule expands this check to certain complex orders which the System can determine are credits or debits.\14\ --------------------------------------------------------------------------- \12\ See proposed Exchange Rule 6.13, Interpretation and Policy .04; see also Notice, supra note 3, at 77050-53. \13\ See Notice, supra note 3, at 77050. \14\ See id. at 77050. The proposed rule contains new definitions of vertical spread, butterfly spread and box spread, and states how the System will define a complex order as a debit or credit. See id at 77050-51; see also proposed Exchange Rule 6.13, Interpretation and Policy .04. These checks will also apply to buy auction responses and pairs of orders submitted to AIM or SAM. See proposed Exchange Rule 6.13, Interpretation and Policy .04(c)(4)- (5); see also Notice, supra note 3, at 77053. --------------------------------------------------------------------------- D. Maximum Value Acceptable Price Range Check Finally, the Exchange proposes to amend Exchange Rule 6.13, Interpretation and Policy .04(h), to add an additional price check for complex orders. The new price check would apply to vertical, true butterfly, and box spreads, and would block executions of such strategies at prices that exceed their quantifiable maximum possible values by more than a reasonable amount.\15\ Under the proposed rule, the Exchange will determine the acceptable price range for these strategies and will reject back to the Participant any limit order and cancel any market order that does not satisfy this proposed check.\16\ --------------------------------------------------------------------------- \15\ See proposed Exchange Rule 6.13, Interpretation and Policy .04(h); see also Notice, supra note 3, at 77053. \16\ See Notice, supra note 3, at 77053. The proposed check will also apply to auction responses and pairs of orders submitted to AIM or SAM. See id. --------------------------------------------------------------------------- III. Discussion and Commission Findings After careful review, the Commission finds that the proposed rule change is consistent with the requirements of the Act and the rules and regulations thereunder applicable to a national securities exchange and, in particular, with Section 6(b) of the Act.\17\ In particular, the Commission finds that the proposed rule change is consistent with Sections 6(b)(5) of the Act,\18\ which requires, among other things, that the rules of a national securities exchange be designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in regulating, clearing, settling, processing information with respect to, and facilitating transactions in securities, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. --------------------------------------------------------------------------- \17\ 15 U.S.C. 78f(b). In approving this proposed rule change, the Commission has considered the proposed rule's impact on efficiency, competition, and capital formation. See 15 U.S.C. 78c(f). \18\ 15 U.S.C. 78f(b)(5). --------------------------------------------------------------------------- The Commission believes that the proposed new price protection mechanisms are reasonably designed to promote just and equitable principles of trade to the extent they are able to mitigate potential risks associated with market participants entering orders at what C2 believes are clearly unintended prices and executing trades at prices that are both extreme and potentially erroneous.\19\ Specifically, the Commission believes that the proposed price protection for simple orders to buy put and call options based on the strike price or underlying value, respectively, is designed to promote fair and orderly markets and protect investors by rejecting quotes and orders that exceed the strike price for puts and the value of the underlying for calls, which may likely have occurred due to human or operational error. The Commission also believes that the proposed quote inverting NBBO check is reasonably designed to promote just and equitable principles of trade by preventing potential price dislocation that could result from erroneous Market Maker quotes sweeping through multiple price points.\20\ --------------------------------------------------------------------------- \19\ See Notice, supra note 3, at 77054. \20\ See Notice, supra note 3, at 77055. --------------------------------------------------------------------------- In addition, the proposed enhanced price checks that would apply to complex orders, including the debit and credit price reasonability checks and the maximum value acceptable price range checks, are designed to mitigate the potential risks associated with complex orders trading at prices that likely are inconsistent with their strategies and could potentially result in erroneous executions.\21\ Furthermore, the Commission believes that the proposed maximum value acceptable price range adds a second layer of price protection to complex strategies that is reasonably designed to mitigate the potential risks associated with orders that have complex strategies with quantifiable maximum values trading at prices that are potentially erroneous.\22\ --------------------------------------------------------------------------- \21\ See id. at 77055-56. \22\ Id. --------------------------------------------------------------------------- Accordingly, for the reasons discussed above, the Commission believes that the proposed rule change, as modified by Amendment Nos. 1 and 2, is consistent with the Act. IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether Amendment No. 2 is consistent with the Act. Comments may be submitted by any of the following methods: Electronic CommentsUse 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-C2-2015-033 on the subject line. Paper Comments Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090. All submissions should refer to File Number SR-C2-2015-033. 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; [[Page 4710]] 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-C2- 2015-033 and should be submitted on or before February 17, 2016. V. Accelerated Approval of Proposed Rule Change, as Modified by Amendment Nos. 1 and 2 The Commission finds good cause, pursuant to Section 19(b)(2) of the Act, to approve the proposed rule change, as modified by Amendment Nos. 1 and 2, prior to the 30th day after the date of publication of Amendment No. 2 in the Federal Register. As discussed above, Amendment No. 2 clarified that the Exchange will notify Trading Permit Holders by electronic message if the Exchange determines that the put strike price or call underlying value check should not apply in the interest of maintaining a fair and orderly market under proposed Exchange Rule 6.17(d)(ii).\23\ C2 also represented in Amendment No. 2 that the Exchange will document, retain, and periodically review any Exchange decision to not apply the put check or call check under proposed Exchange Rule 6.17(d)(ii), including the reason for the decision.\24\ Lastly, in Amendment No. 2, C2 clarified that the potential range of the percentage amount it will use to calculate the maximum value acceptable price range check in proposed Exchange Rule 6.17, Interpretation and Policy .04(h)(1)(iii), is between 1% and 5%.\25\ The Commission believes that these changes provide greater clarity and remove any possible uncertainty regarding the potential exercise of Exchange discretion with regard to the proposed price protection mechanisms. In particular, the representation about documenting, retaining, and periodically reviewing decisions to suspend a price check will enable C2 to monitor the actions of its senior Help Desk personnel and assure that the suspension of any price check is appropriate and consistent with C2's responsibilities as a self- regulatory organization and the principles articulated in the Act that are applicable to exchanges. Further, clarifying the possible range of the maximum value acceptable price range provides valuable information to Trading Permit Holders to help them better understand and evaluate this price protection functionality. Accordingly, the Commission finds good cause for approving the proposed rule change, as modified by Amendment Nos. 1 and 2, on an accelerated basis, pursuant to Section 19(b)(2) of the Act. --------------------------------------------------------------------------- \23\ See Amendment No. 2, supra note 4. \24\ Id. \25\ Id. --------------------------------------------------------------------------- VI. Conclusion It is therefore ordered, pursuant to Section 19(b)(2) of the Act \26\ that the proposed rule change (SR-C2-2015-033), as modified by Amendment Nos. 1 and 2, be, and hereby is, approved on an accelerated basis. --------------------------------------------------------------------------- \26\ 15 U.S.C. 78f(b)(2). \27\ 17 CFR 200.30-3(a)(12). For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\27\ Brent J. Fields, Secretary. [FR Doc. 2016-01539 Filed 1-26-16; 8:45 am] BILLING CODE 8011-01-P
![4708 Federal Register / Vol. 81, No. 17 / Wednesday, January 27, 2016 / Notices
provisions of 5 U.S.C. 552, will be December 29, 2015, the Exchange filed The Exchange may determine not to
available for Web site viewing and Amendment No. 2 to the proposed rule apply this proposed price protection
printing in the Commission’s Public change.4 The Commission received no mechanism if a senior official at the
Reference Room, 100 F Street NE., substantive comment letters on the Exchange’s Help Desk determines the
Washington, DC 20549, on official proposal. This order approves the applicable check should not apply in
business days between the hours of proposed rule change, as modified by the interest of maintaining a fair and
10:00 a.m. and 3:00 p.m. Copies of such Amendment Nos. 1 and 2, on an orderly market.7
filing will also be available for accelerated basis.
B. Quote Inverting NBBO Check
inspection and copying at the principal II. Description of the Proposed Rule
office of the Exchange. All comments Proposed Exchange Rule 6.17(e) will
Change, as Modified by Amendment
received will be posted without change; apply new a price reasonability check to
Nos. 1 and 2
the Commission does not edit personal Market Maker quotes based on the
identifying information from The Exchange proposes to adopt new national best bid or offer (‘‘NBBO’’) or
submissions. You should submit only Exchange Rules 6.17(d) and (e) and to the Exchange’s best bid or offer if the
information that you wish to make amend Exchange Rule 6.13, NBBO is unavailable.8 Specifically, if
available publicly. All submissions Interpretation and Policy .04, to C2 is at the NBBO, the System will
should refer to File Number SR–BATS– enhance its current price protection reject a quote back to a Market Maker if
2016–02 and should be submitted on or mechanisms for orders and quotes in the quote bid or offer crosses the
before February 17, 2016. order to help prevent potentially opposite side of the NBBO by more than
erroneous executions.5 a number of ticks specified by the
For the Commission, by the Division of
Trading and Markets, pursuant to delegated A. Put Strike Price and Call Underlying Exchange.9 If C2 is not at the NBBO, the
authority.114 Value Checks System will reject a quote back to a
Brent J. Fields, Market-Maker if the quote bid or offer
Proposed Exchange Rule 6.17(d) will
Secretary.
locks or crosses the opposite side of the
provide a new price protection
NBBO.10 The Exchange may determine
[FR Doc. 2016–01535 Filed 1–26–16; 8:45 am] functionality pursuant to which the
not to apply this check to quotes entered
BILLING CODE 8011–01–P Exchange’s automated trading system
during the pre-opening, a trading
(‘‘System’’) will reject back to the
rotation, or a trading halt, and would
Participant a quote or buy limit order for
SECURITIES AND EXCHANGE announce to Participants any such
(i) a put if the price of the quote bid or
COMMISSION determination thorough a Regulatory
order is equal to or greater than the
Circular.11
[Release No. 34–76959; File No. SR–C2–
strike price of the option or (ii) a call if
2015–033] the price of the quote bid or order is C. Debit/Credit Price Reasonability
equal to or greater than the consolidated Checks
Self-Regulatory Organizations; C2 last sale price of the underlying
The Exchange proposes to amend its
Options Exchange, Incorporated; security, with respect to equity and
price check parameters applicable to
Notice of Filing of Amendment No. 2 exchange-traded fund options, or the
complex orders that are contained in
and Order Granting Accelerated last disseminated underlying index
current Exchange Rule 6.13,
Approval of Proposed Rule Change, as value, with respect to index options.6
Modified by Amendment Nos. 1 and 2 3, at 77048. These proposed checks also will apply
4 In Amendment No. 2, the Exchange amended
Thereto, Relating to Price Protection to buy auction responses in the same manner as it
the proposed rule language to (i) clarify that it will does to orders and quotes, as well as pairs of orders
Mechanisms for Quotes and Orders notify Trading Permit Holders by electronic submitted to the Exchange’s Automated
message if the Exchange determines that the put Improvement Mechanism (‘‘AIM’’) or Solicitation
January 21, 2016. strike price or call underlying value check should Auction Mechanism (‘‘SAM’’). See id.
not apply in the interest of maintaining a fair and
I. Introduction orderly market under proposed Exchange Rule
7 See proposed Exchange Rule 6.17(d)(ii); see also
Notice, supra note 3, at 77048. The Exchange
C2 Options Exchange, Incorporated 6.17(d)(ii) and (ii) limit the potential range of the
represented that it will document, retain, and
percentage amount used to calculate the maximum
(the ‘‘Exchange’’ or ‘‘C2’’) filed on value acceptable price range check in proposed periodically review any decision to not apply the
November 25, 2015, with the Securities Exchange Rule 6.13, Interpretation and Policy put check or call check, including the reason for the
decision. See Amendment No. 2, supra note 4.
and Exchange Commission (the .04(h)(1)(iii). In Amendment No. 2, C2 also
8 See proposed Exchange Rule 6.17(e); see also
‘‘Commission’’), pursuant to Section represented that it will document, retain, and
periodically review any Exchange decision to not Notice, supra note 3, at 77049–50.
19(b)(1) of the Securities Exchange Act apply the put check or call check under proposed 9 The Exchange states that the number of ticks
of 1934 (‘‘Act’’) 1 and Rule 19b–4 Exchange Rule 6.17(d)(ii), including the reason for will be no less than three minimum increment ticks
thereunder,2 a proposal to enhance its the decision. See Amendment No. 2 to File No. SR– and announced to Participants by Regulatory
C2–2015–033, dated December 29, 2015 Circular. See proposed Exchange Rule 6.17(e); see
current price protection mechanisms also Notice, supra note 3, at 77049. In addition,
(‘‘Amendment No. 2’’). To promote transparency of
and adopt certain new price protection its proposed amendment, when C2 filed proposed Exchange Rule 6.17(e)(iii) addresses
functionality for orders and quotes. On Amendment No. 2 with the Commission, it also situations where C2 accepts a quote that locks or
December 4, 2015, the Exchange filed submitted Amendment No. 2 as a comment letter crosses the NBBO.
Amendment No. 1 to the proposed rule to the file, which the Commission posted on its 10 See proposed Exchange Rule 6.17(e)(i); see also
Web site and placed in the public comment file for Notice, supra note 3, at 77050. As an additional risk
change. The proposed rule change, as SR–C2–2015–033. The Exchange also posted a copy control feature, if a Market Maker submits a quote
modified by Amendment No. 1, was of its Amendment No. 2 on its Web site (http:// in a series in which the Market Maker already has
asabaliauskas on DSK5VPTVN1PROD with NOTICES
published for comment in the Federal www.c2exchange.com/legal/rulefilings.aspx) when a resting quote and the Exchange rejects that quote
it filed the amendment with the Commission. pursuant to this proposed check, the Exchange will
Register on December 11, 2015.3 On 5 For a more detailed description of each cancel the Market Maker’s resting quote in the
proposed price protection mechanism, see Notice, series. See Notice, supra note 3, at 77049.
114 17 CFR 200.30–3(a)(12). supra note 3. 11 See proposed Exchange Rule 6.17(e)(ii); see
1 15 U.S.C. 78s(b)(1). 6 If the System rejects a Market Maker’s quote also Notice, supra note 3, at 77049–50.
2 17 CFR 240.19b–4.
pursuant to either proposed price check, the Additionally, this proposed check will not apply if
3 See Securities Exchange Act Release No. 76584 Exchange will cancel any resting quote of the a senior official at the Exchange’s Help Desk
(December 8, 2015), 80 FR 77047 (December 11, Market Maker in the same series. See proposed determines it should not apply in the interest of
2015) (‘‘Notice’’). Exchange Rule 6.17(d); see also Notice, supra note maintaining a fair and orderly market. See id.
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![4710 Federal Register / Vol. 81, No. 17 / Wednesday, January 27, 2016 / Notices
the Commission does not edit personal Commission finds good cause for II. Self-Regulatory Organization’s
identifying information from approving the proposed rule change, as Statement of the Purpose of, and
submissions. You should submit only modified by Amendment Nos. 1 and 2, Statutory Basis for, the Proposed Rule
information that you wish to make on an accelerated basis, pursuant to Change
available publicly. All submissions Section 19(b)(2) of the Act. In its filing with the Commission, the
should refer to File Number SR–C2– Exchange included statements
2015–033 and should be submitted on VI. Conclusion
concerning the purpose of, and basis for,
or before February 17, 2016. It is therefore ordered, pursuant to the proposed rule change and discussed
V. Accelerated Approval of Proposed Section 19(b)(2) of the Act 26 that the any comments it received on the
Rule Change, as Modified by proposed rule change (SR–C2–2015– proposed rule change. The text of these
Amendment Nos. 1 and 2 033), as modified by Amendment Nos. statements may be examined at the
1 and 2, be, and hereby is, approved on places specified in Item IV below. The
The Commission finds good cause, an acceleratedbasis. self-regulatory organization has
pursuant to Section 19(b)(2) of the Act,
For the Commission, by the Division of prepared summaries, set forth in
to approve the proposed rule change, as
Trading and Markets, pursuant to delegated Sections A, B and C below, of the most
modified by Amendment Nos. 1 and 2,
authority.27 significant aspects of such statements.
prior to the 30th day after the date of
publication of Amendment No. 2 in the Brent J. Fields, A. Self-Regulatory Organization’s
Federal Register. As discussed above, Secretary. Statement of the Purpose of, and
Amendment No. 2 clarified that the [FR Doc. 2016–01539 Filed 1–26–16; 8:45 am] Statutory Basis for, the Proposed Rule
Exchange will notify Trading Permit BILLING CODE 8011–01–P Change
Holders by electronic message if the
1. Purpose
Exchange determines that the put strike
price or call underlying value check SECURITIES AND EXCHANGE The purpose of the proposed rebate is
should not apply in the interest of COMMISSION to amend the Schedule of Fees to
maintaining a fair and orderly market introduce a new set of rebates to the
under proposed Exchange Rule [Release No. 34–76957; File No. SR–ISE– Qualified Contingent Cross (‘‘QCC’’)
6.17(d)(ii).23 C2 also represented in 2016–03] and/or other solicited crossing orders,
Amendment No. 2 that the Exchange including solicited orders executed in
will document, retain, and periodically Self-Regulatory Organizations; the Solicitation, Facilitation or Price
review any Exchange decision to not International Securities Exchange, Improvement Mechanisms, pricing
apply the put check or call check under LLC; Notice of Filing and Immediate initiative that offers rebates to members
proposed Exchange Rule 6.17(d)(ii), Effectiveness of Proposed Rule that execute a specified volume of QCC
including the reason for the decision.24 Change To Amend the Schedule of and other solicited crossing orders in a
Lastly, in Amendment No. 2, C2 Fees month. The proposed rebates apply to
clarified that the potential range of the QCC and solicited orders between two
January 21, 2016. Priority Customers 3 (‘‘ ‘Customer to
percentage amount it will use to
calculate the maximum value acceptable Pursuant to Section 19(b)(1) of the Customer’ Orders’’) executed by
price range check in proposed Exchange Securities Exchange Act of 1934 (the members that (1) execute a specified
Rule 6.17, Interpretation and Policy ‘‘Act’’),1 and Rule 19b–4 thereunder,2 volume of QCC and solicited orders in
.04(h)(1)(iii), is between 1% and 5%.25 notice is hereby given that on January a given month and (2) have a total
The Commission believes that these 13, 2016, the International Securities unsolicited originating Facilitation
changes provide greater clarity and Exchange, LLC (the ‘‘Exchange’’ or contract side volume of 175,000 or more
remove any possible uncertainty ‘‘ISE’’) filed with the Securities and per month. The Exchange notes it is not
regarding the potential exercise of Exchange Commission the proposed proposing any change to how volume is
Exchange discretion with regard to the rule change, as described in Items I, II, calculated for the current volume tiers.
proposed price protection mechanisms. and III below, which items have been Thus, members will continue to obtain
In particular, the representation about prepared by the self-regulatory the tier level based on all QCC and/or
documenting, retaining, and organization. The Commission is solicited crossing orders’ originating
periodically reviewing decisions to publishing this notice to solicit side volume. Members will also
suspend a price check will enable C2 to comments on the proposed rule change continue to receive the Non-‘‘Customer
monitor the actions of its senior Help from interested persons. to Customer’’ Order 4 rebate for their
Desk personnel and assure that the Non-‘‘Customer to Customer’’ Orders
I. Self-Regulatory Organization’s and the ‘‘Customer to Customer’’ Order
suspension of any price check is Statement of the Terms of Substance of
appropriate and consistent with C2’s rebate for their ‘‘Customer to Customer’’
the Proposed Rule Change Orders.
responsibilities as a self-regulatory
organization and the principles ISE proposes to amend the Schedule Currently, the Exchange offers
articulated in the Act that are applicable of Fees as described in more detail members rebates in QCC and/or other
to exchanges. Further, clarifying the below. The text of the proposed rule solicited crossing orders (including
possible range of the maximum value change is available on the Exchange’s ‘‘Customer to Customer’’ Orders), i.e.
asabaliauskas on DSK5VPTVN1PROD with NOTICES
acceptable price range provides valuable Internet Web site at http://www.ise.com, 3 The term ‘‘Priority Customer’’ means a person
information to Trading Permit Holders at the principal office of the Exchange, or entity that (i) is not a broker or dealer in
to help them better understand and and at the Commission’s Public securities, and (ii) does not place more than 390
evaluate this price protection Reference Room. orders in listed options per day on average during
functionality. Accordingly, the a calendar month for its own beneficial account(s).
4 ‘‘Non-‘Customer to Customer’ Orders’’ are QCC
26 15 U.S.C. 78f(b)(2). and/or other solicited crossing orders, including
23 See Amendment No. 2, supra note 4. 27 17 CFR 200.30–3(a)(12). solicited orders executed in the Solicitation,
24 Id. 1 15 U.S.C. 78s(b)(1).
Facilitation or Price Improvement Mechanisms, and
25 Id. 2 17 CFR 240.19b–4. excluding ‘‘Customer to Customer’’ Orders.
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Document Created: 2018-02-02 12:39:53
Document Modified: 2018-02-02 12:39:53
| Category | Regulatory Information | |
| Collection | Federal Register | |
| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
| Publisher | Office of the Federal Register, National Archives and Records Administration | |
| Section | Notices | |
| FR Citation | 81 FR 4708 |
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