Federal Register / Vol. 76, No. 21 / Tuesday, February 1, 2011 / Notices 5639 

11 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3 17 CFR 240.19b–4(f)(6). 

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 rulecomments@sec.gov. Please include File 

Number SR–EDGX–2011–01 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–EDGX–2011–01. 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 

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 

identifying information from 

submissions. You should submit only 

information that you wish to make 

publicly available. All submissions 

should refer to File Number SR–EDGX– 

2011–01 and should be submitted on or 

before February 22, 2011. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.11

Elizabeth M. Murphy, 

Secretary. 

[FR Doc. 2011–2132 Filed 1–31–11; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–63778; File No. SR–EDGA– 

2011–01] 

Self-Regulatory Organizations; EDGA 

Exchange, Inc.; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Amend Rule 11.9 

January 26, 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 January 

21, 2011, the EDGA Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘EDGA’’) 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 the proposed rule change as 

constituting a non-controversial rule 

change under Rule 19b–4(f)(6) under the 

Act,3 which renders the proposal 

effective upon filing with the 

Commission. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of the Substance 

of the Proposed Rule Change 

The Exchange proposes to amend 

Rule 11.9 to add its routing options, 

which are currently contained in its fee 

schedule, to the rule and to introduce 

additional options to the rule. The text 

of the proposed rule change is attached 

as Exhibit 5 and is available on the 

Exchange’s Web site at http:// 

www.directedge.com, at the Exchange’s 

principal office, and at the Public 

Reference Room of the Commission. 

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 

self-regulatory organization 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’s current fee schedule 

contains a list of routing options. The 

Exchange proposes to move the current 

list of routing options from the fee 

schedule and codify it in Rule 

11.9(a)(3). In addition, the Exchange 

proposes to amend the existing routing 

option descriptions to provide 

additional clarity and introduce 

additional routing options to Rule 

11.9(a)(3). 

The Exchange intends to implement 

the rule change upon filing with the 

Commission with respect to all routing 

options, except ROOC, which the 

Exchange intends to implement on or 

about February 14, 2011. 

First, the Exchange proposes to move 

its discussion of available routing 

options, which is located at the end of 

the fee schedule, and codify it in Rule 

11.9(b)(3)(a)–(s). 

Currently, the fee schedule has the 

following descriptions of routing 

strategies: 

ROUQ ............ sweeps the EDGA book, 

then routes to other destination centers. 

ROUC ............ sweeps the EDGA book, 

then sequentially sweeps 

the balance, if any, to the 

following destinations: 

other destination centers, 

then Nasdaq OMX BX, 

NYSE, and the remainder 

posts to EDGX. 

ROUD ............ sweeps the EDGA book before being routed to other 

destination centers. 

ROUE ............. sweeps the EDGA book, 

then other destination centers, and any remainder 

routes to other market 

centers. 

ROUZ ............. sweeps the EDGA book before interacting with solicited orders on a price/time 

priority basis. 

INET ............... sweeps the EDGA book and 

removes liquidity from 

Nasdaq, if the order is 

marketable, or posts on 

Nasdaq, if the order is 

non-marketable. 


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5640 Federal Register / Vol. 76, No. 21 / Tuesday, February 1, 2011 / Notices 

ROBA ............. sweeps the EDGA book and 

routes to BATS BZX Exchange as an immediate 

or cancel (IOC) order, with 

the remainder being cancelled if there is no execution. 

ROBX ............. sweeps the EDGA book and 

routes to Nasdaq BX Exchange as an immediate 

or cancel (IOC) order, with 

the remainder being cancelled if there is no execution. 

ROBY ............. sweeps the EDGA book and 

routes to BATS BYX Exchange as an immediate 

or cancel (IOC) order, with 

the remainder being cancelled if there is no execution. 

The Exchange proposes to amend 

Rule 11.9(b)(2) to cross-reference the 

routing options listed in proposed Rule 

11.9(b)(3), as described in more detail 

below. 

The Exchange proposes to describe 

how its routing options work in Rule 

11.9(b)(3). The Exchange’s system 

(‘‘System’’) provides a variety of routing 

options. Routing options may be 

combined with all available order types 

and times-in-force, with the exception 

of order types and times-in-force whose 

terms are inconsistent with the terms of 

a particular routing option. The System 

will consider the quotations only of 

accessible markets. The term ‘‘System 

routing table’’ refers to the proprietary 

process for determining the specific 

trading venues to which the System 

routes orders and the order in which it 

routes them. The Exchange reserves the 

right to maintain a different System 

routing table for different routing 

options and to modify the System 

routing table at any time without notice. 

The System routing options are 

described in more detail below. 

The ROUC strategy currently states 

that under this strategy an order sweeps 

the book then sequentially sweeps the 

balance, if any, to the following 

destinations: Other destination centers, 

then Nasdaq OMX BX, NYSE, and the 

remainder posts to EDGX. The Exchange 

proposes to amend the description to 

state that it is a routing option under 

which an order checks the System for 

available shares, and then is sent 

sequentially to destinations on the 

System routing table, Nasdaq OMX BX, 

and NYSE. If shares remain unexecuted 

after routing, they are posted on the 

EDGX Exchange (‘‘EDGX’’) book. The 

Exchange will place this proposed 

description in Rule 11.9(b)(3)(a). 

The ROUD strategy description states 

that it sweeps the book before being 

routed to other destination centers. The 

Exchange proposes to revise this 

description to state that an order routed 

under this strategy checks the System 

for available shares and then is sent 

sequentially to destinations on the 

System routing table. The ROUE routing 

strategy currently states that it sweeps 

the book, then other destination centers, 

and any remainder routes to other 

market centers. The Exchange proposes 

to revise this description to state that it 

checks the System for available shares, 

and then is sent to destinations on the 

System routing table. The revised 

descriptions of the ROUD and ROUE 

routing strategies, as described above, 

will be placed in proposed Rules 

11.9(b)(3)(b)–(c). 

The INET strategy is currently 

described as a strategy that sweeps the 

EDGA book and removes liquidity from 

Nasdaq, if the order is marketable, or 

posts on Nasdaq, if the order is nonmarketable. The Exchange proposes to 

revise the description to read that ‘‘such 

an order checks the System for available 

shares and then is sent to Nasdaq. If 

shares remain unexecuted after routing, 

they are posted on Nasdaq book.’’ The 

proposed description of the INET 

routing strategy, as described above, 

will be placed in proposed Rule 

11.9(b)(3)(d). 

The Exchange’s current description of 

the ROBA strategy states that it is a 

strategy under which an order sweeps 

the book and routes to BATS BZX 

Exchange as an immediate or cancel 

(IOC) order, with the remainder being 

cancelled if there is no execution. The 

Exchange proposes to revise such 

description to read that such order 

checks the System for available shares 

and then is sent to BATS BZX Exchange 

as an IOC order. If shares remain 

unexecuted after routing, they are 

cancelled. The proposed description 

will be placed in Rule 11.9(b)(3)(e). 

ROBX is currently described as a 

strategy under which an order sweeps 

the book and routes to Nasdaq BX 

Exchange as an IOC order, with the 

remainder being cancelled if there is no 

execution. This description is proposed 

to be revised to read that such order 

‘‘checks the System for available shares 

and then is sent to Nasdaq BX Exchange 

as an immediate or cancel (IOC) order. 

If shares remain unexecuted after 

routing, they are cancelled.’’ 

ROBY is currently described as a 

strategy under which an order sweeps 

the EDGA book and routes to BATS 

BYX Exchange as an immediate or 

cancel (IOC) order, with the remainder 

being cancelled if there is no execution. 

This description is proposed to be 

revised to state that such order ‘‘checks 

the System for available shares and then 

is sent to BATS BYX Exchange as an 

IOC order. If shares remain unexecuted 

after routing, they are cancelled.’’ The 

revised descriptions of the ROBX and 

ROBY strategies are proposed to be 

placed in Rules 11.9(b)(3)(f)–(g). 

The Exchange proposes to codify the 

following strategies in Rule 

11.9(b)(3)(h)–(s) as well: 

In proposed rule 11.9(b)(3)(h), the 

Exchange proposes to describe the 

ROUT routing option as a routing option 

under which an order checks the 

System for available shares and then is 

sent to destinations on the System 

routing table. 

In proposed rule 11.9(b)(3)(i), the 

Exchange proposes to describe the 

ROUX routing option under which an 

order checks the System for available 

shares and then is sent to destinations 

on the System routing table. 

In proposed rule 11.9(b)(3)(j), the 

Exchange proposes to describe the 

RDOT routing option as a routing option 

under which an order checks the 

System for available shares and then is 

sent sequentially to destinations on the 

System routing table. If shares remain 

unexecuted after routing, they are sent 

to the NYSE. 

In proposed rule 11.9(b)(3)(k), the 

Exchange proposes to describe the 

RDOX routing option under which an 

order checks the System for available 

shares, and then is sent to the NYSE. 

In proposed rule 11.9(b)(3)(l), the 

Exchange proposes to describe the 

ROLF routing option under which an 

order checks the System for available 

shares, and then is sent to LavaFlow 

ECN. 

In proposed rule 11.9(b)(3)(m), the 

Exchange proposes to describe the 

ROPA routing option under which an 

order checks the System for available 

shares and then is sent to NYSE Arca as 

an immediate or cancel order (IOC). If 

shares remain unexecuted after routing, 

they are cancelled. 

In proposed rule 11.9(b)(3)(n), the 

Exchange proposes to describe the IOCX 

routing option under which an order 

checks the System for available shares 

and then is sent to EDGX. 

In proposed rule 11.9(b)(3)(o), the 

Exchange proposes to describe the IOCT 

routing option under which an order 

checks the System for available shares 

and then is sent sequentially to 

destinations on the System routing 

table. If shares remain unexecuted after 

routing, they are sent to EDGX. 

In proposed rule 11.9(b)(3)(p), the 

Exchange proposes to describe the 

ROOC routing option for orders that the 

entering firm wishes to designate for 

participation in the opening or closing 

process of a primary listing market 


srobinson on DSKHWCL6B1PROD with NOTICES
Federal Register / Vol. 76, No. 21 / Tuesday, February 1, 2011 / Notices 5641 

4See, e.g., NASDAQ Rule 4758, BATS Rule 

11.13(a)(3)(D). 

5EDGX Rule 11.5(c)(7) defines a Mid-Point Match 

(MPM) order as an order with an instruction to 

execute it at the midpoint of the NBBO. A MPM 

order may be a Day Order, Fill-or-Kill Order, or IOC 

Order. The Exchange notes that members can send 

in a MPM order directly to EDGX Exchange, Inc. 

(‘‘EDGX’’) without routing through the EDGA 

platform as an IOCM routing option. 

6 15 U.S.C. 78f(b)(5). 

7 15 U.S.C. 78s(b)(3)(A). 

8 17 CFR 240.19b–4(f)(6). 

9 17 CFR 240.19b–4(f)(6)(iii). 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. 

10 Id. 

11For the purposes only of waiving the 30-day 

operative delay, the Commission has considered the 

proposed rule’s impact on efficiency, competition, 

and capital formation. See 15 U.S.C. 78c(f). 

(NYSE, Nasdaq, NYSE Amex, or NYSE 

Arca) if received before the opening/ 

closing time of such market. If shares 

remain unexecuted after attempting to 

execute in the opening or closing 

process, they are either posted to the 

book, executed, or routed like a ROUT 

routing option, as described in proposed 

Rule 11.9(b)(3)(h), above. 

The Exchange also proposes to 

introduce the SWPA and SWPB routing 

strategies and add them to proposed 

Rules 11.9(b)(3)(q)–(r). Under the SWPA 

strategy, an order would check the 

System for available shares and then 

would be sent to Protected Quotations 

and only for displayed size. Under this 

strategy, orders would not have to 

contain sufficient size to execute against 

all Protected Quotations (emphasis 

added). If any shares remain 

unexecuted, such remainder will be 

cancelled back to the User. Under the 

SWPB routing strategy, an order would 

check the System for available shares 

and then is sent to Protected Quotations 

and only for displayed size. Under this 

strategy, orders would have to contain 

sufficient size to execute against all 

Protected Quotations. The entire SWPB 

order will be cancelled back to the User 

immediately if at the time of entry there 

is insufficient quantity in the SWPB 

order to fulfill the displayed size of all 

Protected Quotations. The Exchange 

believes that the proposed introduction 

of the SWPA/B routing options will 

provide market participants with greater 

flexibility in routing orders consistent 

with Regulation NMS. This proposed 

rule change is similar to NASDAQ Rule 

4758(a)(1)(A)(vi) (NASDAQ’s ‘‘MOPP’’ 

strategy) and BATS Exchange, Inc. Rule 

11.13(a)(3)(D) (‘‘Parallel T’’).4

The Exchange also proposes to 

describe the IOCM routing option and 

add it to Rule 11.9(b)(3)(s). 

IOCM is a routing strategy under 

which an order checks the System for 

available shares and then is sent to 

EDGX as an immediate or cancel (IOC) 

Mid-Point Match (‘‘MPM’’) order.5 If 

there is no liquidity at EDGX to execute 

at the midpoint, the order is 

subsequently cancelled. 

In addition, the Exchange also 

believes that the proposed introduction 

of the routing options, described above, 

will provide market participants with 

greater flexibility in routing orders, 

without having to develop their own 

complicated routing strategies. 

2. Statutory Basis 

The Exchange believes that the 

proposed rule change is consistent with 

Section 6(b)(5) of the Act,6 which 

requires the rules of an exchange 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. The 

proposed change to introduce the 

routing options described above will 

provide market participants with greater 

flexibility in routing orders without 

developing complicated order routing 

strategies on their own. In addition, it 

will provide additional clarity and 

specificity to the Exchange’s rules 

regarding routing strategies and will 

further enhance transparency with 

respect to Exchange routing offerings. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The proposed rule change does not 

impose any burden on competition that 

is not necessary or appropriate in 

furtherance of the purposes of the Act. 

C. Self-Regulatory Organization’s 

Statement on Comments Regarding the 

Proposed Rule Change Received From 

Members, Participants or Others 

The Exchange has not solicited, and 

does not intend to solicit, comments on 

this proposed rule change. The 

Exchange has not received any 

unsolicited written comments from 

members or other interested parties. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Because the foregoing proposed rule 

change: (1) Does not significantly affect 

the protection of investors or the public 

interest; (2) does not impose any 

significant burden on competition; and 

(3) by its terms does not become 

operative for 30 days after the date of 

this filing, 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) 7 of the Act and Rule 

19b–4(f)(6) thereunder.8

A proposed rule change filed under 

19b–4(f)(6) normally may not become 

operative prior to 30 days after the date 

of filing.9 However, Rule 19b–4(f) 

(6)(iii) 10 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 requested that the 

Commission waive the 30-day operative 

delay. The Exchange notes that waiver 

of this requirement will allow the 

Exchange to immediately offer Exchange 

Users new routing strategies, and with 

respect to the ROOC option, as soon as 

the technology for such strategy is 

completed. The Commission believes 

that waiving the 30-day operative delay 

is consistent with the protection of 

investors and the public interest 

because such waiver would allow the 

new routing strategies to become 

immediately available, and, with respect 

to the ROOC option, available on or 

about February 14, 2011, and would 

immediately provide additional clarity 

and specificity to the Exchange’s rules 

regarding routing strategies and further 

enhance transparency with respect to 

Exchange routing offerings. For this 

reason, the Commission designates the 

proposed rule change to be operative 

upon filing with the Commission.11

At any time within 60 days of the 

filing of such 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 rulecomments@sec.gov. Please include File 

Number SR–EDGA–2011–01 on the 

subject line. 


srobinson on DSKHWCL6B1PROD with NOTICES
5642 Federal Register / Vol. 76, No. 21 / Tuesday, February 1, 2011 / Notices 

12 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

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–EDGA–2011–01. 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 

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 

identifying information from 

submissions. You should submit only 

information that you wish to make 

publicly available. All submissions 

should refer to File Number SR–EDGA– 

2011–01 and should be submitted on or 

before February 22, 2011. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.12

Elizabeth M. Murphy, 

Secretary. 

[FR Doc. 2011–2131 Filed 1–31–11; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–63771; File No. SR–ISE– 

2011–06] 

Self-Regulatory Organizations; 

International Securities Exchange, 

LLC; Notice of Filing and Immediate 

Effectiveness of Proposed Rule 

Change Regarding the Listing of 

Option Series With $1 Strike Prices 

January 25, 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 January 

14, 2011, the International Securities 

Exchange, LLC (‘‘ISE’’ or the ‘‘Exchange’’) 

filed with the Securities and Exchange 

Commission (‘‘SEC’’ or ‘‘Commission’’) 

the proposed rule change as described 

in Items I and II 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. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend its 

rules regarding the listing of $1 strike 

prices. The text of the proposed rule 

change is available on the Exchange’s 

Web site http://www.ise.com, at the 

principal office of the Exchange, on the 

Commission’s Web site at http:// 

www.sec.gov, 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 

self-regulatory organization 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 self-regulatory organization 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 

Supplementary Material .01 to ISE Rule 

504 to improve the operation of the $1 

Strike Program. Currently, the $1 Strike 

Program only allows the listing of new 

$1 strikes within $5 of the previous 

day’s closing price. In certain 

circumstances this has led to situations 

where there are no at-the-money $1 

strikes for a day, despite significant 

demand. For instance, on November 15, 

2010, the underlying shares of Isilon 

Systems Inc. opened at $33.83. It had 

closed the previous trading day at 

$26.29. Options were available in $1 

intervals up to $31, but because of the 

restriction to only listing within $5 of 

the previous close, the Exchange was 

not able to add $32, $33, $34, $36, $37 

or $38 strikes during the day. 

The Exchange proposes that $1 

interval strike prices be allowed to be 

added immediately within $5 of the 

official opening price in the primary 

listing market. Thus, on any day, $1 

Strike Program strikes may be added 

within $5 of either the opening price or 

the previous day’s closing price. 

On occasion, the price movement in 

the underlying security has been so 

great that listing within $5 of either the 

previous day’s closing price or the day’s 

opening price will leave a gap in the 

continuity of strike prices. For instance, 

if an issue closes at $14 one day, and the 

next day opens above $27, the $21 and 

$22 strikes will be more than $5 from 

either benchmark. The Exchange 

proposes that any such discontinuity be 

avoided by allowing the listing of all $1 

Strike Program strikes between the 

closing price and the opening price. 

Additionally, issues that are in the $1 

Strike Program may currently have 

$2.50 interval strike prices added that 

are more than $5 from the underlying 

price or are more than a nine months to 

expiration (long-term options series). In 

such cases, the listing of a $2.50 interval 

strike may lead to discontinuities in 

strike prices and also a lack of parallel 

strikes in different expiration months of 

the same issue. For instance, under the 

current rules, the Exchange may list a 

$12.50 strike in a $1 Strike Program 

issue where the underlying price is $24. 

This allowance was provided to avoid 

too large of an interval between the 

standard strike prices of $10 and $15. 

The unintended consequence, however, 

is that if the underlying price should 

decline to $16, the Exchange would not 

be able to list a $12 or $13 strike. If the 

underlying stayed near this level at 

expiration, a new expiration month 

would have the $12 and $13 strike but 

not the $12.50, leading to a disparity in 

strike intervals in different months of 

the same option class. This has also led 

to investor confusion, as they regularly 

request the addition of inappropriate 


srobinson on DSKHWCL6B1PROD with NOTICES