[Federal Register Volume 79, Number 120 (Monday, June 23, 2014)]
[Notices]
[Pages 35625-35626]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2014-14535]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-72408; File No. SR-MIAX-2014-28]
Self-Regulatory Organizations: Notice of Filing of a Proposed
Rule Change by Miami International Securities Exchange LLC To Amend
Rule 515
June 17, 2014.
Pursuant to the provisions of 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 June 5, 2014, Miami International Securities
Exchange LLC (``MIAX'' or ``Exchange'') filed with the Securities and
Exchange Commission (``Commission'') a 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 is filing a proposal to amend Exchange Rule 515.
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 515(c)(2) in order to provide
that the liquidity refresh pause will be terminated early and normal
trading will resume if during a liquidity refresh pause, the ABBO on
the same side of the market as the initiating order crosses the
original NBBO price on the opposite side of the market. The proposed
change is designed to codify existing functionality during the
liquidity refresh pause. The proposed change will allow the liquidity
refresh pause to terminate and normal trading resume without delay,
thus freeing up the initiating order and any same side joiners received
during the timer, when the market has changed in a manner that renders
the initiating order and same side joiners no longer marketable. Once
normal trading resumes, the initiating order and any same side joiners
held within the liquidity refresh pause would be free to compete for
executions with the new revised same side ABBO at additional price
points which may lead to additional execution opportunities.
The following examples describe how a new revised same side ABBO
that crosses the original NBBO on the opposite side of the market will
terminate the Liquidity Refresh Pause early.
Example 1--Same Side ABBO Terminates the Liquidity Refresh Pause Early
------------------------------------------------------------------------
Market Bid Ask
------------------------------------------------------------------------
ABBO 1.00 (10) 1.14 (10)
PLMM 1.00 (10) 1.10 (10)
LMM 1 1.00 (10) 1.12 (10)
LMM 2 1.00 (10) 1.15 (10)
RMM 1 1.00 (10) 1.16 (10)
------------------------------------------------------------------------
Order 1: Buy limit of 1.13 for 20 contacts with a price
protection instruction of 3 MPVs
NBBO at time of arrival = 1.00 (50) x 1.10 (10)
Order 1 is price protected at 1.13 (which is 1.10 + 3 MPV
= 1.13)
[cir] Order 1 trades 10 contracts with PLMM @1.10
[cir] Liquidity Refresh Pause is triggered because the MBO of 1.10
was alone at NBBO and PLMM's 1.10 offer was exhausted
[ssquf] MBBO 1.10 (10) x 1.12 (10)
[ssquf] Liquidity Refresh message is broadcasted on the Exchange's
data feeds: Buy 10 contracts, exhausted MBO of 1.10
[cir] ABB updates to 1.12 for 10 contracts; ABBO = 1.12 (10) x 1.14
(10)
[cir] Liquidity Refresh Pause is terminated early due to the ABB
improving the original NBO of 1.10.
[cir] Order 1 trades 10 contracts with LMM1 @1.12. Order 1 has been
fully executed.
[cir] New MBBO: 1.00 (40) x 1.15 (10). New NBBO: 1.12(10) x
1.15(10)
Example 2--Same Side ABBO Terminates the Liquidity Refresh Pause Early
------------------------------------------------------------------------
Market Bid Ask
------------------------------------------------------------------------
ABBO 1.00 (10) 1.14 (10)
PLMM 1.00 (10) 1.10 (10)
LMM 1 1.00 (10) 1.12 (20)
LMM 2 1.00 (10) 1.15 (10)
RMM 1 1.00 (10) 1.16 (10)
------------------------------------------------------------------------
Order 1: Buy limit of 1.13 for 20 contacts with a price
protection instruction of 3 MPVs
NBBO at time of arrival = 1.00 (50) x 1.10 (10)
Order 1 is price protected at 1.13 (which is 1.10 + 3 MPV
= 1.13)
[cir] Order 1 trades 10 contracts with PLMM @1.10
[cir] Liquidity Refresh Pause is triggered because the MBO of 1.10
was alone at NBBO and PLMM's 1.10 offer was exhausted
[ssquf] MBBO 1.10 (10) x 1.12 (20)
[ssquf] Liquidity Refresh message is broadcasted on the Exchange's
data feeds: Buy 10 contracts, exhausted MBO of 1.10 \3\
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\3\ Note that the pricing information contained in the Liquidity
Refresh message (Buy 10 contracts, exhausted MBO of 1.10)
corresponds to the MBB (1.10 (10)).
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[cir] ABB updates to 1.12 for 10 contracts; ABBO = 1.12 (10) x 1.14
(10)
[cir] Liquidity Refresh Pause is terminated early due to the ABB
improving the original NBO of 1.10.
[cir] Order 1 trades 10 contracts with LMM1 @1.12. Order 1 has been
fully executed.
[cir] LMM1's remaining 10 contracts would be managed and reposted
as firm at 1.13. New MBBO: 1.00 (40) x 1.13 (10). New NBBO: 1.12(10) x
1.13(10)
As mentioned above, the proposed change is designed to codify
existing functionality that terminates the liquidity refresh pause
early if during a liquidity refresh pause, the ABBO on
[[Page 35626]]
the same side of the market as the initiating order crosses the
original NBBO price on the opposite side of the market. The Exchange
believes that this change will help facilitate transactions, remove
impediments to and perfect the mechanism of a free and open market by
freeing up interest in the liquidity refresh pause when conditions have
changed that renders the initiating order and same side joiners no
longer marketable to the benefit of market participants. The proposed
change will also help eliminate potential confusion on behalf of market
participants by clearly stating the System's functionality in this
situation.
2. Statutory Basis
MIAX believes that its proposed rule change is consistent with
Section 6(b) of the Act \4\ in general, and furthers the objectives of
Section 6(b)(5) of the Act \5\ 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.
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\4\ 15 U.S.C. 78f(b).
\5\ 15 U.S.C. 78f(b)(5).
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The proposal to end the liquidity refresh pause due to the ABBO on
the same side of the market as the initiating order crosses the
original NBBO price on the opposite side of the market is designed to
facilitate transactions, to remove impediments to and perfect the
mechanism of a free and open market by freeing up interest in the
liquidity refresh pause when conditions have changed that renders the
initiating order and same side joiners no longer marketable to the
benefit of market participants. The proposal also promotes the
protection of investors and the public interest by codifying existing
functionality in a manner that should reduce confusion for Exchange
members regarding the termination of a liquidity refresh pause.
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. Specifically, the Exchange
believes the proposed changes will not impose any burden on intra-
market competition because it applies to all MIAX participants equally.
In addition, the Exchange does not believe the proposal will impose any
burden on inter-market competition as the proposal is intended to
protect investors by providing further transparency regarding the
Exchange's price protection functionality.
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
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period (i) as the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding or (ii) as to
which the Exchange consents, the Commission shall: (a) By order approve
or disapprove such proposed rule change, or (b) institute proceedings
to determine whether the proposed rule change should be 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-2014-28 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-MIAX-2014-28. 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-MIAX-2014-28 and should be
submitted on or before July 14, 2014.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\6\
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\6\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-14535 Filed 6-20-14; 8:45 am]
BILLING CODE 8011-01-P