[Federal Register Volume 76, Number 205 (Monday, October 24, 2011)]
[Notices]
[Pages 65765-65767]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2011-27379]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-65587; File No. SR-NASDAQ-2011-144]
Self-Regulatory Organizations; The NASDAQ Stock Market LLC;
Notice of Filing and Immediate Effectiveness of Proposed Rule Change
Relating to the Establishment of a Direct Market Data Product, NASDAQ
Options Trade Outline (``NOTO'')
October 18, 2011.
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 12, 2011, The NASDAQ Stock Market LLC (``NASDAQ'' or
``Exchange'') filed with the Securities and Exchange Commission
(``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 the
Substance of the Proposed Rule Change
The Exchange proposes to establish a direct market data product,
NASDAQ Options Trade Outline (``NOTO'').
The text of the proposed rule change is available on the Exchange's
Web site at http://www.nasdaq.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 proposed rule change is to establish the NOTO
market data product. NOTO is a market data product offered by the
Exchange that is designed to provide proprietary electronic trade data
to subscribers. NOTO is available as either an ``End-of-Day'' data
product or an ``Intra-Day'' data product, as described more fully
below. NOTO is available to any person who wishes to subscribe to it,
regardless of whether or not they are a member of the Exchange. NOTO is
available only for internal use and distribution by subscribers.
Data Included in NOTO
NOTO provides information about the activity of a particular option
series during a particular trading session. NOTO subscribers will
receive the following data:
Aggregate number of buy and sell transactions in the
affected series;
Aggregate volume traded electronically on the Exchange in
the affected series;
Aggregate number of trades effected on the Exchange to
open a position; \3\
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\3\ NOTO will provide subscribers with the aggregate number of
``opening purchase transactions'' in the affected series. An opening
purchase transaction is an Exchange options transaction in which the
purchaser's intention is to create or increase a long position in
the series of options involved in such transaction. NOTO will also
provide subscribers with the aggregate number of ``opening writing
transactions.'' An opening writing transaction is an Exchange
options transaction in which the seller's (writer's) intention is to
create or increase a short position in the series of options
involved in such transaction.
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Aggregate number of trades effected on the Exchange to
close a position; \4\
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\4\ NOTO will provide subscribers with the aggregate number of
``closing purchase transactions'' in the affected series. A closing
purchase transaction is an Exchange options transaction in which the
purchaser's intention is to reduce or eliminate a short position in
the series of options involved in such transaction. NOTO will also
provide subscribers with the aggregate number of ``closing sale
transactions.'' A closing sale transaction is an Exchange options
transaction an Exchange options transaction in which the seller's
intention is to reduce or eliminate a long position in the series of
options involved in such transaction.
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[[Page 65766]]
Origin of the orders involved in trades on the Exchange in
the affected series during a particular trading session, specifically
aggregated in the following categories of participants: customers,
broker-dealers, and market makers.
End of Day Product
The End of Day product includes the aggregate data described above
representing the entire trading session. It is calculated during an
overnight process after each trading session and is available to
subscribers for download the following morning at approximately 7 a.m.,
E.T.
The Exchange will establish a monthly subscriber fee for the End of
Day product by way of a separate proposed rule change, which the
Exchange will submit after the NOTO market data product is established.
Intra-Day Product
The Intra-Day product includes periodic, cumulative data for a
particular trading session. The Intra-Day product is produced and
updated every ten minutes during the trading day. Data is captured in
``snapshots'' taken every 10 minutes throughout the trading day and is
available to subscribers within 5 minutes of the conclusion of each 10
minute period. For example, subscribers to the Intra-Day product will
receive the first calculation of intra-day data by 9:44 a.m. E.T.,
which represents data captured from 9:30 a.m. to 9:39 a.m. Subscribers
will receive the next update at 9:54 a.m., representing the data
previously provided together with data captured from 9:40 a.m. through
9:49 a.m., and so forth. Each update will represent the aggregate data
captured from the current ``snapshot'' and all previous ``snapshots.''
The Exchange will establish a monthly subscriber fee for the Intra-
Day product by way of a separate proposed rule change, which the
Exchange will submit after the NOTO market data product is established.
NOTO provides subscribers data that should enhance their ability to
analyze option trade and volume data, and to create and test trading
models and analytical strategies. The Exchange believes that NOTO is a
valuable tool that subscribers can use to gain comprehensive insight
into the trading activity in a particular option series.
NOTO is virtually identical to a market data product currently
available on NASDAQ OMX PHLX LLC (``PHLX'') known as the PHLX Options
Trade Outline (``PHOTO'') market data product.\5\
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\5\ See Securities Exchange Act Release No. 62887 (September 10,
2010), 75 FR 57092 (September 17, 2010) (SR-Phlx-2010-121).
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2. Statutory Basis
NASDAQ believes that its proposal is consistent with Section 6(b)
of the Act \6\ in general, and furthers the objectives of Section
6(b)(5) of the Act \7\ 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 establishing a market data product that enhances subscribers'
ability to make decisions on trading strategy, and by providing option
trade and volume data that should help bring about such decisions in a
timely manner.
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\6\ 15 U.S.C. 78f(b).
\7\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition
NASDAQ does not believe that the proposed rule change will result
in any burden on competition that is not necessary or appropriate in
furtherance of the purposes of the Act, as amended.
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 after the date of the filing, or such
shorter time as the Commission may designate, it has become effective
pursuant to Section 19(b)(3)(A) of the Act \8\ and Rule 19b-4(f)(6) \9\
thereunder.
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\8\ 15 U.S.C. 78s(b)(3)(A).
\9\ 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 necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act.
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 e-mail to [email protected]. Please include
File Number SR-NASDAQ-2011-144 on the subject line.
Paper Comments
Send paper comments in triplicate to Elizabeth M. Murphy,
Secretary, Securities and Exchange Commission, 100 F Street NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-NASDAQ-2011-144. This
file number should be included on the subject line if e-mail 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 a.m. and 3 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
[[Page 65767]]
identifying information from submissions. You should submit only
information that you wish to make available publicly. All submissions
should refer to File No. SR-NASDAQ-2011-144 and should be submitted on
or before November 14, 2011.
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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Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011-27379 Filed 10-21-11; 8:45 am]
BILLING CODE 8011-01-P