[Federal Register Volume 81, Number 96 (Wednesday, May 18, 2016)]
[Notices]
[Pages 31272-31276]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-11642]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-77819; File No. SR-BatsEDGX-2016-17]
Self-Regulatory Organizations; Bats EDGX Exchange, Inc.; Notice
of Filing and Immediate Effectiveness of a Proposed Rule Change To
Amend the Description of Price Improving Orders Under Subparagraph (6)
to Rule 21.1(d) and Add Subparagraph (4) to Rule 21.1(h) Modifying the
Operation of Orders Subject to the Display Price Sliding Process When a
Contra-Side Post Only Order Is Received by the Bats EDGX Exchange
Options Platform
May 12, 2016.
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 May 3, 2016, Bats EDGX Exchange, Inc. f/k/a EDGX Exchange, Inc.
(the ``Exchange'' or ``EDGX'') 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 Exchange has designated this proposal as a ``non-controversial''
proposed rule change pursuant to Section 19(b)(3)(A) of the Act \3\ and
Rule 19b-4(f)(6)(iii) thereunder,\4\ which renders it effective upon
filing with the Commission. 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.
\3\ 15 U.S.C. 78s(b)(3)(A).
\4\ 17 CFR 240.19b-4(f)(6)(iii).
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange filed a proposal to: (i) Amend the description of
Price
[[Page 31273]]
Improving Orders under subparagraph (6) to Rule 21.1(d); and (ii) add
subparagraph (4) to Rule 21.1(h) modifying the operation of orders
subject to the display price sliding process when a contra-side Post
Only Order \5\ is received by the Exchange's options platform (``EDGX
Options'').
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\5\ See Exchange Rule 21.1(d)(8).
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The text of the proposed rule change is available at the Exchange's
Web site at www.batstrading.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 parts 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 is proposing to: (i) Amend the description of Price
Improving Orders under subparagraph (6) to Rule 21.1(d); and (ii) add
subparagraph (4) to Rule 21.1(h) modifying the operation of orders
subject to the display price sliding process when a contra-side Post
Only Order is received by EDGX Options.
Price Improving Orders
Price Improving Orders are orders to buy or sell an option at a
specified price at an increment smaller than the minimum price
variation in the security.\6\ Price Improving Orders may be entered in
increments as small as (1) one cent. Price Improving Orders are
displayed at the minimum price variation in the security and shall be
rounded up for sell orders and rounded down for buy orders. Unless a
User \7\ has entered instructions not to do so, Price Improving Orders
are subject to the ``display-price sliding process'' described in
current Rule 21.1(h).
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\6\ See Exchange Rule 21.1(d)(6).
\7\ The term ``User'' means any Options Member or Sponsored
Participant who is authorized to obtain access to the System
pursuant to Rule 11.3 (Access). See Exchange Rule 16.1(a)(63).
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As described above, Price Improving Orders may be priced at an
increment smaller than the minimum price variation in the security
(i.e., for options priced in five (5) cent or ten (10) cent increments,
an order priced at 1.03 is not a permissible increment for display).
This may result in the order being ranked on the EDGX Options Book \8\
non-displayed at a price increment smaller than the security's minimum
price variation. The Exchange proposes to amend the description of
Price Improving Orders under subparagraph (6) to Rule 21.1(d) to
prevent Price Improving Orders subject to the Price Adjust process \9\
from being ranked at a non-displayed price on the EDGX Options Book.
The Exchange also proposes to amend subparagraph (6) to Rule 21.1(d) to
clarify how Price Improving Orders subject to the display price sliding
process are currently handled on the EDGX Options Book.
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\8\ ``EDGX Options Book'' is defined as ``the electronic book of
options orders maintained by the Trading System.'' See Exchange Rule
16.1(a)(9).
\9\ See Exchange Rule 21.1(i).
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First, the Exchange proposes to amend the description of Price
Improving Orders under subparagraph (6) to Rule 21.1(d) to prevent
Price Improving Orders subject to the Price Adjust process from being
ranked at a non-displayed price on the EDGX Options Book. Under the
Price Adjust process, an order that, at the time of entry, would lock
or cross a Protected Quotation of another options exchange or the
Exchange will be ranked and displayed by the System at one minimum
price variation below the current NBO (for bids) or to one minimum
price variation above the current NBB (for offers). This could result
in Price Improving Orders in securities with minimum quoting increments
of five (5) or ten (10) cents \10\ that the User elected to be subject
to the Price Adjust process to be ranked on the EDGX Options Book at a
non-displayed price. To prevent such orders from being ranked at a non-
displayed price, the Exchange proposes to amend subparagraph (6) to
Rule 21.1(d) to state that Price Improving Orders subject to the Price
Adjust process will be ranked at the displayed price. Thus, other than
a potential execution against contra-side liquidity when entered, a
Price Improving Order subject to the Price Adjust process will no
longer be priced at an increment smaller than the minimum price
variation in the security.
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\10\ See Exchange Rule 21.5 for a description of the Exchange's
Minimum Increments.
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The following examples describe the proposed operation of Price
Improving Orders subject to the Price Adjust process.
Assume the NBBO is $1.00 x $1.05 and that the security's minimum
quoting increment is five (5) cents. Further assume that there is no
liquidity to sell resting on the EDGX Options Book at a price below
$1.05. A Price Improving Order to buy priced at $1.03 is entered and
the User has elected the Price Adjust process. Under current
functionality, the order will be ranked, non-displayed on the EDGX
Options Book at $1.03, the price of the order, and displayed at $1.00.
As proposed, the order would be ranked and displayed at $1.00, the
displayed price.
Assume the same example as above except that when the Price
Improving Order is entered (i.e., an order to buy priced at $1.03
subject to the Price Adjust process) there is a resting Price Improving
Order to sell ranked at a price of $1.03 (i.e., an order subject to the
display price sliding process). In this case, the Price Improving Order
subject to the Price Adjust process would execute upon entry against
the resting order at $1.03.
The Exchange also proposes to amend subparagraph (6) to Rule
21.1(d) to clarify how Price Improving Orders subject to the display
price sliding process are currently handled on the EDGX Options Book.
While the Exchange believes the current operation of Price Improving
Orders is clear based on existing rules, the Exchange believes this
clarification is necessary due to the proposed changes. Particularly,
in light of the change proposed above regarding Price Improving Orders
subject to the Price Adjust process, the Exchange proposes to add
language to subparagraph (d)(6) clarifying the operation of Price
Improving Orders subject to the display price sliding process. As
proposed, Exchange Rule 21.1(d)(6) would state that Price Improving
Orders subject to the display-price sliding process will be ranked at
the price entered by the User down to the current NBB (for offers) or
up to the current NBO (for bids). The proposed language would make
clear the current operation of such orders vis-a vis the proposed
operation of Price Improving Orders subject to the Price Adjust
process.
Display Price Sliding Process and Post Only Orders
Under current Exchange Rule 21.1(h), an order subject to the
display price sliding process that, at the time of entry,
[[Page 31274]]
would lock or cross a Protected Quotation of another options exchange
will be ranked at the locking price in the EDGX Options Book and
displayed by the System at one minimum price variation below the
current National Best Offer (``NBO'') \11\ (for bids) or to one minimum
price variation above the current National Best Bid (``NBB'') \12\ (for
offers). Post Only Orders are orders that are to be ranked and executed
on the Exchange pursuant to Rule 21.8 (Order Display and Book
Processing) or cancelled, as appropriate, without routing away to
another trading center.\13\ Currently, a Post Only Order will not
remove liquidity from the EDGX Options Book unless the value of price
improvement associated with such execution equals or exceeds the sum of
fees charged for such execution and the value of any rebate that would
be provided if the order posted to the EDGX Options Book and
subsequently provided liquidity. In order to prevent circumstances on
the EDGX Options Book where an order is ranked at the displayed price
of a resting contra-side order, which could result in apparent
violations of the Exchange's priority rule, an incoming Post Only Order
is currently rejected if it would be posted at the locking price of a
contra-side order subject to the display price sliding process. In
particular, accepting such order would result in a situation where an
order is displayed on the Exchange and a contra-side order is ranked at
the same price as such order. In turn, if an execution at that price is
reported by the Exchange, the Exchange believes a User representing the
order displayed on the Exchange might believe that an incoming order
was received by the Exchange and then bypassed such order (i.e.,
removing some other liquidity on the same side of the market as the
displayed order). As described in further detail below, the proposal
will avoid the possibility of an execution of an order subject to
display-price sliding at the same price as an order displayed on the
Exchange. The Exchange notes that the circumstance described above,
where an incoming Post Only Order is rejected by the Exchange, is
limited to times when the Exchange is not already quoting at the NBBO
and a Post Only Order is seeking to join either the NBB or NBO but
there is a resting display-price slid order on the contra-side of the
Exchange's order book.
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\11\ See Exchange Rule 16.1(a)(29) (defining the terms ``NBB'',
``NBO'', and ``NBBO'').
\12\ Id.
\13\ See Exchange Rule 21.1(d)(8).
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In order to facilitate the entry of orders priced at the National
Best Bid or Offer (``NBBO''), the Exchange proposes to add subparagraph
(4) to Rule 21.1(h) modifying the operation of orders subject to the
display price sliding process when a contra-side Post Only Order is
received by EDGX Options. Under proposed subparagraph (4), to the
extent an incoming Post Only Order would be ranked and displayed at a
price equal to the ranked price of a contra-side order subject to
display-price sliding (i.e., the locking price) the order subject to
display-price sliding would be re-ranked at one (1) cent above the
current NBB (for offers) or one (1) cent below the current NBO (for
bids). An order subject to display price sliding that is re-ranked
pursuant to proposed subparagraph (4) of Rule 21.1(h) would be re-
ranked at the locking price in the event there is no longer displayed
contra-side interest at the locking price. In both cases, the order
would remain displayed by the System at one minimum price variation
below the current NBO (for bids) or to one minimum price variation
above the current NBB (for offers).
The below examples describe the operation of orders subject to
display price sliding under proposed subparagraph (4) to Rule 21.1(h).
Example 1: Securities Quoted in Penny Increments--Proposed
Operation. Assume the NBBO is $1.00 x $1.01 and that the Exchange's
displayed best bid and offer (``BBO'') is $1.00 x $1.02. Also assume
that a non-routable order to buy at $1.01 subject to display price
sliding is resting on the EDGX Options Book, ranked at $1.01 and
displayed at $1.00. Assume a Post Only Order to sell at $1.01 is
entered and, under current functionality, would be rejected because
it is executable at the locking price of the order to buy subject to
display price sliding resting on the EDGX Options Book. As proposed,
the order to buy subject to display price sliding would be re-ranked
and would remain displayed at $1.00, one (1) cent below the current
NBO. The Post Only Order to sell would be posted to the EDGX Options
Book, ranked and displayed at $1.01 (i.e., allowing the Exchange to
join the NBBO of $1.00 x $1.01). If the Post Only Order to sell is
executed or cancelled, the order to buy subject to display price
sliding would be re-ranked at $1.01, its original ranked price, and
would remain displayed at $1.00.
Example 2: Securities Quoted in Non-Penny Increments--Proposed
Operation. Assume the NBBO is $1.00 x $1.05 and that the Exchange's
BBO is $1.00 x $1.10. Also assume that a non-routable order to buy
at $1.05 subject to display price sliding is resting on the EDGX
Options Book, ranked at $1.05 and displayed at $1.00. Assume a Post
Only Order to sell at $1.05 is entered and, under current
functionality, would be rejected because it is executable at the
locking price of the order to buy subject to display price sliding
resting on the EDGX Options Book. As proposed, the order to buy
subject to display price sliding would be re-ranked at $1.04, one
(1) cent below the NBO, and would remain displayed at $1.00. The
Post Only Order to sell would be posted to the EDGX Options Book,
ranked and displayed at $1.05 (i.e., allowing the Exchange to join
the NBBO of $1.00 x $1.01). If the Post Only Order to sell is
executed or cancelled, the order to buy subject to display price
sliding would be re-ranked at $1.05, its original ranked price, and
would remain displayed at $1.00.
The Exchange notes that similar behavior currently exists on the
Bats BZX Exchange, Inc. (``BZX'') equities platform that permits an
order to buy(sell) subject to display price sliding to be executed at
one-half minimum price variation more(less) than the price of a contra-
side displayed BZX Post Only Order.\14\ Specifically, under BZX Rule
11.9(g)(1)(E), BZX Post Only Orders are permitted to post and be
displayed opposite the ranked price of orders subject to display-price
sliding. In the event an order subject to display-price sliding is
ranked on the BZX Book \15\ at a price equal to an opposite side order
displayed by the Exchange, it cannot be executed at that price and
instead will be subject to processing as set forth in BZX Rule
11.13(a)(4)(D). Under BZX Rule 11.13(a)(4)(D), in the event that an
incoming order is a market order or is a limit order priced more
aggressively than the displayed order, BZX will execute the incoming
order at, in the case of an incoming sell order, one-half minimum price
variation less than the price of the displayed order, and, in the case
of an incoming buy order, at one-half minimum price variation more than
the price of the displayed order. This behavior is designed to avoid an
apparent priority issue. In particular, in such a situation the
Exchange believes a User representing an order that is displayed on the
Exchange might believe that an incoming order was received by the
Exchange and then bypassed such displayed order, removing some other
non-displayed liquidity on the same side of the market as such
displayed order. Similar to what the Exchange proposes for EDGX
Options, the above described functionality on its equites platform also
effectively changes the ranked price of the order subject to display
price sliding. Although the underlying solution is intended to solve
the same circumstance, because half-penny executions are not permitted
with respect to options transactions, on EDGX Options the Exchange
proposes to adjust the ranked price of the display-price slid order
when a contra-side Post
[[Page 31275]]
Only order is received by EDGX and posted at the locking price.
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\14\ See BZX Rule 11.9(c)(6).
\15\ See BZX Rule 1.5(e).
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2. Statutory Basis
The Exchange believes that its proposal is consistent with the
requirements of the Act and the rules and regulations thereunder that
are applicable to a national securities exchange, and, in particular,
with the requirements of Section 6(b) of the Act.\16\ In particular,
the proposal is consistent with Section 6(b)(5) of the Act \17\ because
it is designed to encourage displayed liquidity and offer market
participants greater flexibility to post liquidity on the EDGX Options
Book, thereby promoting just and equitable principles of trade,
fostering cooperation and coordination with persons engaged in
facilitating transactions in securities, removing impediments to, and
perfecting the mechanism of, a free and open market and a national
market system.
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\16\ 15 U.S.C. 78f(b).
\17\ 15 U.S.C. 78f(b)(5).
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Price Improving Orders
The proposed changes to the description of Price Improving Orders
under Rule 21.1(d)(6) promote just and equitable principles of trade
and foster cooperation and coordination with persons engaged in
facilitating transactions in securities. Specifically, the proposed
change regarding Price Improving Orders subject to the Price Adjust
process is designed to prevent the possibility of an internally crossed
book where a Price Improving Order has already been submitted and is
ranked non-displayed by the Exchange and a Post Only Order subject to
the Price Adjust process is entered at a price increment smaller than
the security's minimum price increment and that crosses the resting
order.
In addition, the proposed amendment to Exchange Rule 21.1(d)(6) to
clarify that Price Improving Orders subject to the display-price
sliding process will be ranked at the price entered by the User down to
the current NBB (for offers) or up to the current NBO (for bids) also
promotes just and equitable principles of trade because it is
consistent with and further clarifies the current operation of such
orders. In addition, the addition of such language should avoid
potential investor confusion regarding the operation of such orders
with regard to the proposed language amending the operation of Price
Improving Orders subject to the Price Adjust process.
Display Price Sliding Process and Post Only Orders
Under current functionality, an incoming Post Only Order would be
rejected if it is executable at the locking price of a contra-side
order subject to display price sliding resting on the EDGX Options
Book. This, at times, inhibits market participants, including Market
Makers \18\ from utilizing Post Only Orders to quote at the NBBO. Post
Only Orders allow Users to post aggressively priced liquidity, as such
Users have certainty as to the fee or rebate they will receive from the
Exchange if their order is executed. Without such ability and by
rejecting such Post Only Orders in scenarios described herein, the
Exchange believes that certain Users would simply post less
aggressively priced liquidity, and prices available for market
participants, including retail investors, would deteriorate.
Accordingly, the Exchange believes that the proposed rule change
promotes just and equitable principles of trade by enhancing the
liquidity available to all market participants by allowing Market
Makers and other liquidity providers to add liquidity to the Exchange
at the NBBO without fear that their order would be rejected. In
addition, the proposed rule change would assist Market Makers in
satisfying their two-sided quoting obligations under Exchange Rules
22.5(a)(1) and 22.6(d)(1). The proposed rule change should increase
displayed liquidity at the NBBO on the Exchange, resulting in improved
market quality and price discovery for all participants. The Exchange
also notes that similar behavior currently exists on BZX's equities
platform that permits an order to buy(sell) subject to display price
sliding to be executed at one-half minimum price variation more(less)
than the price of a contra-side displayed BZX Post Only Order.\19\
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\18\ See Exchange Rule 16.1(a)(37).
\19\ See BZX Rules 11.9(g)(1)(E) and 11.13(a)(4)(D). See also
Securities Exchange Act Release No. 64754 (June 27, 2011), 76 FR
38712 (July 1, 2011) (SR-BATS-2011-015) (Order Approving a Proposed
Rule Change to Amend BATS Rule 11.9, Entitled ``Orders and
Modifiers'' and BATS Rule 11.13, Entitled ``Order Execution'').
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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. To the contrary, the
Exchange believes the proposed rule change regarding display price
sliding and Post Only Orders would enhance competition by enabling
market participants to post liquidity at the NBBO, thereby increasing
the liquidity on the Exchange at the NBBO. In addition, the Exchange
believes the proposed amendments to Price Improving Orders would does
not impact competition, but rather seeks to avoid the potential of an
internally crossed book on the Exchange as well as to further clarify
the operation of such orders when subject to the display price sliding
process. For all the reasons stated above, the Exchange does not
believe that the proposed rule changes will impose any burden on
competition not necessary or appropriate in furtherance of the purposes
of the Act, and believes the proposed change will enhance competition.
(C) Self-Regulatory Organization's Statement on Comments on the
Proposed Rule Change Received From Members, Participants or Others
The Exchange has neither solicited nor received written comments on
the proposed rule change. The Exchange has not received any written
comments from members or other interested parties.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
The Exchange has filed the proposed rule change pursuant to Section
19(b)(3)(A)(iii) of the Act \20\ and Rule 19b-4(f)(6) thereunder.\21\
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 \22\ and Rule 19b-
4(f)(6) thereunder.\23\
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\20\ 15 U.S.C. 78s(b)(3)(A)(iii).
\21\ 17 CFR 240.19b-4(f)(6).
\22\ 15 U.S.C. 78s(b)(3)(A).
\23\ In addition, Rule 19b-4(f)(6)(iii) requires the Exchange to
give the Commission written notice of the Exchange's intent to file
the proposed rule change, along with a brief description and 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. The Exchange has satisfied this
requirement.
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A proposed rule change filed under Rule 19b-4(f)(6) under the Act
\24\ normally does not become operative for 30 days after the date of
filing. However,
[[Page 31276]]
Rule 19b-4(f)(6)(iii) \25\ permits the Commission to designate a
shorter time if such action is consistent with the protection of
investors and the public interest. The Exchange has asked the
Commission to waive the 30-day operative delay so that the proposal may
become operative immediately upon filing. The Exchange states that the
proposed rule change will benefit market participants by enhancing
their ability to post liquidity at the NBBO, and that waiver of the
operative delay may increase displayed liquidity at the NBBO on the
Exchange, resulting in improved market quality and price discovery for
all participants in a timely manner. Further, the Exchange notes that
the proposed rule change will not require any systems changes by
Exchange Users that would necessitate a delay, as the Exchange will now
accept and no longer reject Post Only Orders in the situations
described herein. Based on the foregoing, the Commission believes that
waiving the 30-day operative delay is consistent with the protection of
investors and the public interest.\26\ The Commission hereby grants the
Exchange's request and designates the proposal operative upon filing.
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\24\ 17 CFR 240.19b-4(f)(6).
\25\ 17 CFR 240.19b-4(f)(6)(iii).
\26\ 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-BatsEDGX-2016-17 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-BatsEDGX-2016-17. 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 will also 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-BatsEDGX-2016-17 and should
be submitted on or before June 8, 2016.
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. 2016-11642 Filed 5-17-16; 8:45 am]
BILLING CODE 8011-01-P