Federal Register / Vol. 77, No. 33 / Friday, February 17, 2012 / Notices 9717 

24 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See C2 Rule 6.51. 

4See C2 Rule 6.51(a)(2). The Commission notes 

that if the Agency Order is for less than 50 

contracts, the Initiating Participant must submit the 

Agency Order at the better of the NBBO price 

improved by one minimum price improvement 

increment, which increment shall be determined by 

the Exchange but may not be smaller than one cent; 

or the Agency Order’s limit price (if the order is a 

limit order). See C2 Rule 6.51(a)(3). 

5See C2 Rule 6.51(b)(1)(A). 

6See C2 Rule 6.51(b)(1). Several types of events 

will cause an Auction to conclude. See C2 Rule 

6.51(b)(2). 

7The Exchange notes that Chapter V, Section 

18(f)(v), The Price Improvement Period (‘‘PIP’’), of 

the Rules of the Boston Exchange Group, LLC 

includes a similar provision that permits an options 

participant initiating a PIP auction to designate a 

lower amount for which it will retain certain 

priority and trade allocation privileges upon the 

conclusion of the PIP auction than the 40% of the 

PIP order to which the initiating options participant 

is otherwise entitled pursuant to PIP’s allocation 

order. 

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 rulecomments@sec.gov. Please include File 

No. SR–EDGX–2012–04 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–2012–04. 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 

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 

available publicly. All submissions 

should refer to File Number SR–EDGX– 

2012–04 and should be submitted by 

March 9, 2012. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.24

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–3707 Filed 2–16–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66384; File No. SR–C2– 

2012–006] 

Self-Regulatory Organizations; C2 

Options Exchange, Incorporated; 

Notice of Filing of a Proposed Rule 

Change Relating to Its Automated 

Improvement Mechanism 

February 13, 2012. 

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 January 

31, 2012, C2 Options Exchange, 

Incorporated (the ‘‘Exchange’’ or ‘‘C2’’) 

filed with the Securities and Exchange 

Commission (the ‘‘Commission’’) the 

proposed rule change as described in 

Items I, II, and III below, which Items 

have been substantially 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 the Substance 

of the Proposed Rule Change 

The Exchange proposes to amend its 

rules relating to its Automated 

Improvement Mechanism (‘‘AIM’’). The 

text of the proposed rule change is 

available on the Exchange’s Web site 

(http://www.c2exchange.com), at the 

Exchange’s Office of the Secretary, and 

at the Commission’s Public Reference 

Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

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 the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The purpose of this proposed rule 

change is to amend C2 Rule 6.51 to 

permit an Initiating Participant to elect 

to have last priority in AIM’s order 

allocation. AIM allows a Participant to 

submit an Agency Order along with a 

contra-side second order (a principal 

order or a solicited order for the same 

size as the Agency Order) into an 

Auction where other participants could 

compete with the Initiating Participant’s 

second order to execute against the 

Agency Order, which guarantees that 

the Agency Order will receive an 

execution.3 Initiating Participants must 

submit the Agency Order at the better of 

the NBBO or the Agency Order’s limit 

price (if the order is a limit order).4

Once an Auction commences, the 

Initiating Participant cannot cancel it.5

Upon receipt of an Agency Order (and 

the Initiating Participant’s second 

order), the Exchange will commence the 

Auction by issuing a Request For 

Response (‘‘RFR’’) detailing the side and 

size of the Agency Order. The RFR 

period will last for one (1) second.6 At 

the conclusion of an Auction, an 

Agency Order will be allocated at the 

best price(s) in accordance with the 

applicable matching algorithm rules for 

that class, subject to the allocation 

provisions of Rule 6.51(b)(3). 

Under this proposal, when submitting 

an Agency Order to initiate an Auction 

against a single-price submission, the 

Initiating Participant will have the 

opportunity to elect to have last priority 

in AIM’s order allocation. If the 

Initiating Participant makes this 

election, the Initiating Participant 

would be allocated only the amount of 

contracts remaining, if any, after the 

Agency Order is allocated to all other 

Auction participants willing to trade 

with the Agency Order at the singleprice submission price.7 If it makes this 

election, the Initiating Participant may 

not be allocated any contracts, or may 

be allocated fewer contracts than it 

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9718 Federal Register / Vol. 77, No. 33 / Friday, February 17, 2012 / Notices 

8 15 U.S.C. 78f(b). 

9 15 U.S.C. 78f(b)(5). 

would otherwise receive pursuant to 

Rule 6.51(b)(3)(F) (generally 40%). 

As an example, suppose an Initiating 

Participant submits to an Auction an 

Agency Order for 1,000 contracts and 

makes the election described above: 

• If at the conclusion of the Auction, 

other Auction participants are willing to 

trade with 800 of these contracts at the 

single-price submission price or better 

price(s) resulting from the Auction, then 

the Initiating Participant will be 

allocated the remaining 200 contracts 

(or 20%) for execution against its 

contra-side order at its specified single 

price. 

• If at the conclusion of the Auction, 

other Auction participants are willing to 

trade with 600 of these contracts at the 

single-price submission price or better 

price(s) resulting from the Auction, then 

the Initiating Participant will be 

allocated the remaining 400 contracts 

(or 40%) for execution against its 

contra-side order at its specified single 

price. 

• If at the conclusion of the Auction, 

other Auction participants are willing to 

trade with 400 of these contracts at the 

single-price submission price or better 

price(s) resulting from the Auction, then 

the Initiating Participant will be 

allocated 600 contracts for execution 

against its contra-side order at its 

specified single price. 

• If at the conclusion of the Auction, 

other Auction participants are willing to 

trade with the entire Agency Order at 

the single-price submission price or 

better price(s) resulting from the 

Auction, then the Initiating Participant 

will be allocated no contracts. 

Under this proposal, Agency Orders 

submitted to AIM will continue to be 

guaranteed execution at a price at least 

as good as the NBBO while providing 

the opportunity for execution at a price 

better than the NBBO. 

The Exchange believes this proposal 

will incent more Participants to initiate 

Auctions, because the additional 

flexibility encourages increased 

participation by Participants willing to 

trade with Agency Orders at the NBBO 

but not at a price better than the NBBO 

and by Participants willing to facilitate 

and stop a customer order at a particular 

price even when there is not a desire to 

trade against any or all of the customer 

order. Additionally, this proposal 

provides the possibility that other 

Participants may receive increased order 

allocations through AIM, which the 

Exchange believes could increase 

participation in Auctions. The Exchange 

believes that this proposal may 

ultimately provide additional 

opportunities for price improvement 

over the NBBO for its customers. 

2. Statutory Basis 

The Exchange believes the proposed 

rule change is consistent with the 

requirements of the Securities Exchange 

Act of 1934 (the ‘‘Act’’) and the rules 

and regulations thereunder applicable to 

a national securities exchange and, in 

particular, the requirements of Section 

6(b) of the Act 8. Specifically, the 

Exchange believes the proposed rule 

change is consistent with the Section 

6(b)(5) 9 requirements that the rules of 

an exchange be designed to promote just 

and equitable principles of trade, to 

prevent fraudulent and manipulative 

acts, to remove impediments to and to 

perfect the mechanism for a free and 

open market and a national market 

system, and, in general, to protect 

investors and the public interest. 

In particular, the Exchange believes 

this proposed rule change is a 

reasonable modification designed to 

provide additional flexibility for 

Participants to obtain executions on 

behalf of their customers while 

continuing to provide meaningful, 

competitive Auctions. The Exchange 

also believes that the proposed rule 

change will increase the number of and 

participation in Auctions, which will 

ultimately enhance competition in the 

AIM Auctions and provide customers 

with additional opportunities for price 

improvement. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

C2 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. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

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 self-regulatory 

organization consents, the Commission 

will: (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 rulecomments@sec.gov. Please include File 

Number SR–C2–2012–006 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–C2–2012–006. 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 on official business 

days between the hours of 10:00 a.m. 

and 3:00 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 

available publicly. All submissions 

should refer to File Number SR–C2– 

2012–006, and should be submitted on 

or before March 9, 2012. 

mstockstill on DSK4VPTVN1PROD with NOTICES

Federal Register / Vol. 77, No. 33 / Friday, February 17, 2012 / Notices 9719 

10 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3Self-Trade Prevention would only be applicable 

to electronic trading on the Exchange. 

4The Exchange will specify from time to time via 

a Regulatory Information Bulletin the Market Maker 

trading interest (i.e., quotes and orders) to which 

Self-Trade Prevention will apply. Currently, the 

Exchange plans to initially apply Self-Trade 

Prevention to the following order types used by 

Market Makers: ‘‘PNP Orders’’ and ‘‘PNP–Blind 

Orders.’’ PNP Orders and PNP–Blind Orders are 

defined in NYSE Amex Options Rule 900.3NY, and 

each is a type of non-routable Limit Order that is 

only executed on the Exchange. The Exchange notes 

that Market Makers primarily use these order types, 

as opposed to other order types offered by the 

Exchange, because they are similar to quotes (i.e., 

they are non-routable Limit Orders). The Exchange 

currently plans to expand Self-Trade Prevention to 

other Market Maker trading interest (e.g., quotes) 

when certain technology changes have been 

completed, and would announce any such 

expansion through a Regulatory Information 

Bulletin under this proposed rule change pursuant 

to Commentary .02 of NYSE Amex Options Rule 

964NY. In the future, the Exchange may expand 

Self-Trade Prevention to other orders used by 

Market Makers (including routable orders), and it 

also would announce any such changes through a 

Regulatory Information Bulletin under this 

proposed rule change pursuant to Commentary .02 

of NYSE Amex Options Rule 964NY. The Exchange 

would submit a separate proposed rule change if it 

were to make Self-Trade Prevention available to 

non-Market Maker trading interest. 

5The Exchange would use a Market Maker’s 

trading permit identification (‘‘TPID’’) to monitor 

for self-trades in the proposed Self-Trade 

Prevention functionality. TPIDs are assigned to 

Market Makers, as well as other ATP Holders, to 

identify them in the Exchange’s systems. Market 

Makers on the Exchange are not able to submit 

orders on an agency basis. Thus, a Market Maker 

within a firm that conducts both an agency and 

market making business would have a unique TPID 

that could only be used for that Market Maker’s 

quotes and orders. 

6Example 1 illustrates that Self-Trade Prevention 

would result in the cancellation of the Market 

Maker’s resting order (or quote) to buy regardless 

of whether the incoming order (or quote) and the 

resting order (or quote) would actually execute 

against each other. 

7Example 2 illustrates that Self-Trade Prevention 

would not result in the cancellation of the Market 

Maker’s resting order (or quote) to buy with a price 

of $1.13 because the price of the resting order (or 

quote) to buy is lower than the price of the 

incoming order (or quote) to sell. 

8Market Markers on the Exchange would not 

have the ability to deactivate Self-Trade Prevention 

or change any settings related to it. 

9See, e.g., NYSE Amex Options Rule 952NY. 

10See NYSE Amex Options Rule 900.3NY(e), 

which defines Complex Order. See also NYSE 

Amex Options Rule 980NY, which describes 

electronic Complex Order trading. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.10

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–3736 Filed 2–16–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66385; File No. SR– 

NYSEAmex–2012–03] 

Self-Regulatory Organizations; NYSE 

Amex LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Provide for ‘‘SelfTrade Prevention’’ on the Exchange 

February 13, 2012. 

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 

30, 2012, NYSE Amex LLC (the 

‘‘Exchange’’ or ‘‘NYSE Amex’’) filed 

with the Securities and Exchange 

Commission (the ‘‘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 add new 

Commentary .02 to NYSE Amex Options 

Rule 964NY (Display, Priority and Order 

Allocation—Trading Systems) to 

provide for ‘‘Self-Trade Prevention’’ on 

the Exchange. The text of the proposed 

rule change is available at the Exchange, 

the Commission’s Public Reference 

Room, and www.nyse.com. 

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 those 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 proposes to add new 

Commentary .02 to NYSE Amex Options 

Rule 964NY (Display, Priority and Order 

Allocation—Trading Systems) to 

provide for ‘‘Self-Trade Prevention’’ on 

the Exchange.3 As proposed, the 

Exchange would cancel any resting 

Market Maker quote(s) and order(s) 4 to 

buy (sell) that are priced equal to or 

higher (lower) than an incoming Market 

Maker quote, order or both to sell (buy) 

entered under the same trading permit 

identification.5 The following examples 

illustrate how Self-Trade Prevention 

would function: 

Example 1 

D The National Best Bid and Offer 

(‘‘NBBO’’) for a particular option series 

is $1.15 (bid)—$1.20 (offer); 

D The Exchange Best Bid and Offer 

(‘‘BBO’’) is $1.15 (bid)—$1.25 (offer); 

D A Market Maker has a single resting 

PNP Order to buy on the Exchange’s 

Consolidated Book with a price of $1.15; 

D If the Market Maker submits a PNP 

Order to sell with a price of $1.15, the 

NYSE Amex System would cancel the 

Market Maker’s resting PNP Order to 

buy with a price of $1.15.6

Example 2 

D The NBBO and BBO are the same as 

in Example 1; 

D A Market Maker has two separate 

resting PNP Orders to buy on the 

Exchange’s Consolidated Book, with 

prices of $1.15 and $1.13, respectively; 

D If the Market Maker submits a PNP 

Order to sell with a price of $1.14, the 

NYSE Amex System would cancel the 

Market Maker’s resting PNP Order to 

buy with a price of $1.15, but would not 

cancel the Market Maker’s resting PNP 

Order to buy with a price of $1.13.7

As proposed, Self-Trade Prevention 

would be in effect throughout the 

trading day for all Market Markers on 

the Exchange,8 but not during Trading 

Auctions.9 In this regard, the Exchange 

believes that it is highly unlikely that a 

Market Maker would trade against its 

own resting interest during a Trading 

Auction. Moreover, the Exchange notes 

that it would be difficult to implement 

this functionality from a technological 

and operational perspective because it 

would require the Exchange to cancel 

resting, executable Market Maker 

trading interest as it is calculating the 

price at which to conduct the Trading 

Auction. For these reasons, the 

Exchange is not applying Self-Trade 

Prevention to Trading Auctions. 

The Exchange also proposes that SelfTrade Prevention would not be 

applicable to individual legs of Complex 

Orders.10 In this regard, senders of 

Complex Orders, including Market 

Makers, view them as discrete orders, 

serving a particular investment purpose, 

that are contingent on all of the legs of 

the Complex Order being executed. 

Thus, they are only interested in having 

all of the legs of a Complex Order 

executed. Because the non-execution of 

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