Federal Register / Vol. 77, No. 11 / Wednesday, January 18, 2012 / Notices 2595 

11 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See BOX Rules Chapter V, Section 18. 

4See ISE Rule 723. 

5AIM, PIP and PIM have certain characteristics in 

common with each other. All three mechanisms (a) 

provide for the opportunity for customer price 

improvement, (b) have certain periods where the 

initial orders are exposed for potential price 

improvement, (c) have certain guidelines regarding 

the types of orders that may be eligible for price 

improvement, and (d) have certain defined rules 

related to the allocation of trades within price 

improvement auctions. 

6See C2 Rule 6.51(b)(1)(A). 

7See supra note 3; see also Securities Exchange 

Act Release No. 34–59654 (March 30, 2009), 74 FR 

15551 (April 6, 2009) (SR–BX–2009–08) (order 

approving proposed rule change allowing entry of 

orders into PIP at the NBBO when BOX’s best bid 

Continued 

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 No. SR– 

NYSEAmex–2011–105 and should be 

submitted on or before February 8, 2012. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.11

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–773 Filed 1–17–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66131; File No. SR–C2– 

2011–043] 

Self-Regulatory Organizations; C2 

Options Exchange, Incorporated; 

Notice of Filing of a Proposed Rule 

Change Relating to Changes to Rule 

6.51 

January 11, 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 December 

30, 2011, 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 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 filing proposes to make changes 

to C2’s Automated Improvement 

Mechanism (‘‘AIM’’) rule. 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 the proposed rule 

change is to amend C2 Rule 6.51 to (i) 

allow TPHs to enter Agency Orders for 

fewer than 50 contracts into AIM at the 

NBBO; and (ii) allow Initiating TPHs to 

designate a limit price if it elects to 

auto-match. 

This proposed rule change would 

make AIM more similar to current rules 

of the Boston Options Exchange Group, 

LLC (‘‘BOX’’) 3 and the International 

Securities Exchange, LLC (‘‘ISE’’) 4

relating to the Price Improvement 

Period (‘‘PIP’’) and Price Improvement 

Mechanism (‘‘PIM’’), respectively, 

which are automated price 

improvement mechanisms.5

AIM allows a TPH 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 TPH’s second order to 

execute against the Agency Order, 

which guarantees that the Agency Order 

will receive an execution. Once an 

Auction commences, the Initiating TPH 

cannot cancel it.6

Under this proposal, Agency Orders 

of all sizes submitted to AIM will 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 proposal will 

incent more TPHs to initiate and 

participate in Auctions and will allow 

even broader participation in Auctions 

by all types of market participants. As 

a result, C2 expects the proposal will 

increase the number of and 

participation in Auctions, which would 

enhance competition in the Auctions. 

The Exchange believes that this 

proposal will ultimately provide 

additional opportunities for price 

improvement over the NBBO for its 

customers. 

Elimination of Entry Price Restriction 

on Agency Orders for Fewer Than 50 

Contracts 

C2 Rule 6.51(a)(2) and (3) currently 

provides that if an Initiating TPH 

submits an Agency Order to AIM for 50 

contracts or more, the Initiating TPH 

must enter its contra-side second order 

(or stop the Agency Order) at the better 

of the NBBO or the Agency Order’s limit 

price (if the order is a limit order); 

however, if an Initiating TPH submits an 

Agency Order to AIM for fewer than 50 

contracts, the Initiating TPH must stop 

the entire Agency Order at the better of 

the NBBO price improved by one 

minimum price improvement increment 

or the Agency Order’s limit price (if the 

order is a limit order). The Exchange is 

proposing to eliminate this distinction 

and allow Initiating TPHs to submit to 

AIM Agency Orders of any size at the 

NBBO. 

The Exchange believes this proposal 

will increase the likelihood that TPHs 

will initiate Auctions for Agency Orders 

for fewer than 50 contracts because the 

TPH will only be required to guarantee 

an execution at the NBBO, which will 

provide additional customer orders with 

an opportunity for price improvement 

over the NBBO. The Exchange believes 

the proposal will also encourage 

increased participation in AIM by TPHs 

willing to trade with an Agency Order 

for fewer than 50 contracts at the NBBO 

but not better than the NBBO. 

In support of this proposal, the 

Exchange notes that both BOX 7 and 


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2596 Federal Register / Vol. 77, No. 11 / Wednesday, January 18, 2012 / Notices 

or offer is inferior to the NBBO with no order size 

distinction). 

8See supra note 4; see also Securities Exchange 

Act Release No. 34–57847 (May 21, 2008), 73 FR 

30987 (May 29, 2008) (SR–ISE–2008–29) (order 

approving proposed rule change allowing entry of 

orders into PIM at the NBBO when ISE’s best bid 

or offer is inferior to the NBBO with no order size 

distinction). 

9PIP and PIM also do not distinguish between 

orders over 50 contracts and orders under 50 

contracts. 

10See supra note 3; see also Securities Exchange 

Act Release No. 34–61805 (March 31, 2010), 75 FR 

17454 (April 6, 2010) (SR–BX–2010–22) (order 

approving implementation of auto-match feature 

with the option to auto-match up to a designated 

limit price). 

11See supra note 4; see also Securities Exchange 

Act Release No. 34–62644 (August 4, 2010), 75 FR 

48395 (August 10, 2010) (SR–ISE–2010–61) (order 

approving implementation of auto-match feature 

with the option to auto-match up to a designated 

limit price). 

12 15 U.S.C. 78f(b). 

13 15 U.S.C. 78f(b)(5). 

ISE 8 allow entry of orders into PIP and 

PIM, respectively, at the NBBO without 

distinguishing between orders of more 

than or fewer than 50 contracts. Because 

BOX and ISE are currently able to offer 

their customers price improvement for 

orders of fewer than 50 contracts at the 

NBBO in PIP and PIM, respectively, the 

Exchange has determined that it is 

important for competitive purposes that 

it be able to offer the same opportunities 

to its customers for price improvement 

on C2 through AIM. 

The Exchange notes that certain 

allocation differences exist between 

AIM and PIM as well as AIM and PIP. 

As proposed, our AIM change would 

make the handling of AIM trades over 

50 contracts consistent with AIM trades 

under 50 contracts.9 However, unlike 

PIM, which requires auctions to 

commence at prices better than the ISE 

best bid or offer and thus precludes an 

auction initiator from establishing 

priority ahead of any resting ISE 

interest, an AIM Auction can begin and 

conclude at the C2 best bid or offer. This 

means that, like for orders of 50 or more 

contracts on C2, the Initiating TPH can 

trade at a price in which resting interest 

existed and can establish priority over 

resting broker-dealer interest. Although 

PIP allows auctions to occur at the BOX 

best bid or offer, PIP uses an order 

allocation structure based on price-time 

priority sequence with priority for 

public customer orders (like C2) and 

secondary priority for non-BOX 

Participant broker-dealers. On C2, when 

an Auction concludes at the C2 best bid 

or offer, first priority is for public 

customers, second priority is for the 

Initiating TPH (for 40%), third priority 

is for nonpublic customer resting orders 

or quotes that are unchanged from when 

the Auction began, and last priority is 

for RFR responses. The Exchange 

references these differences for 

informational purposes but does not 

believe that the differences are material 

to the Exchange’s goals of handling AIM 

orders of all sizes the same and allowing 

Auctions of orders smaller than 50 

contracts at the NBBO (like PIP and 

PIM). 

The Exchange further notes that 

certain components of AIM were 

approved on a pilot basis, including that 

there is no minimum size requirement 

for orders to be eligible for the Auction. 

In connection with the pilot programs, 

the Exchange will submit to the 

Commission reports providing detailed 

AIM Auction and order execution data, 

including monthly data regarding 

executions through AIM of Agency 

Orders for more or fewer than 50 

contracts, as supporting evidence that, 

among other things, there is meaningful 

competition for all size orders. 

Addition of Option To Designate AutoMatch Limit Price 

C2 Rule 6.51(b)(1)(A) currently allows 

an Initiating TPH to enter its contra-side 

second order in one of two formats: (1) 

A specified single price; or (2) a nonprice specific commitment to automatch all Auction responses achieved 

during the Auction. In this case, the 

Initiating TPH would have no control 

over the match price. The Exchange is 

proposing to provide Initiating TPHs 

with the additional option to automatch competing prices from other 

market participants up to a designated 

limit price. The Initiating TPH will still 

not be able to cancel the auto-match 

instruction after an Auction commences 

and will have no control over the prices 

at which it receives an allocation of the 

Auction other than the outside 

boundary established by the designated 

limit price. 

The Exchange notes that when the 

Initiating TPH selects the auto-match 

feature prior to the start of an Auction 

(with or without a designated limit 

price), the available liquidity at 

improved prices is increased and 

competitive final pricing is out of the 

Initiating TPH’s control. The Exchange 

believes the proposal will encourage 

increased participation in AIM because 

it allows TPHs willing to trade with an 

Agency Order at a price better than the 

NBBO, but only up to a certain price, to 

initiate an Auction. 

In support of this proposal, the 

Exchange also notes that both PIP 10 and 

PIM 11 permit initiating participants to 

elect to auto-match up to a designated 

limit price. The Exchange believes that 

AIM, and in turn the customers that 

benefit from AIM, would be 

disadvantaged if TPHs are not provided 

with the option to auto-match up to a 

designated limit price because this lack 

of flexibility reduces the number of 

Auctions and, as a result, opportunities 

for price improvement. Because BOX 

and ISE currently allow initiating 

participants or members, respectively, 

the option to auto-match up to the 

NBBO achieved during an auction or up 

to a designated limit price, the Exchange 

believes it is important for competitive 

purposes that it be able to offer the same 

opportunities for price improvement on 

C2 through AIM. 

The Exchange will provide the 

Commission with the following data: (1) 

The percentage of trades effected 

through AIM in which the Initiating 

TPH submitted an Agency Order with 

an auto-match instruction that included 

a designated limit price and the 

percentage that did not include a 

designated limit price; and (2) the 

average amount of price improvement 

provided to AIM Agency Orders when 

the Initiating TPH submitted an automatch instruction that included a 

designated limit price and the average 

amount that did not include a 

designated limit price, versus the 

average amount of price improvement 

provided to AIM Agency Orders when 

the Initiating TPH submitted a single 

price (no auto-match instruction). 

After effectiveness of the proposal, 

and at least one week prior to 

implementation, C2 will issue a notice 

to TPHs informing them of the 

implementation of the additional automatch feature. This will give TPHs an 

opportunity to make any necessary 

modifications to coincide with the 

implementation date. 

2. Statutory Basis 

The Exchange believes the proposed 

rule change is consistent with the 

requirements of 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.12 Specifically, the 

Exchange believes the proposed rule 

change is consistent with the Section 

6(b)(5) 13 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 


tkelley on DSK3SPTVN1PROD with NOTICES
Federal Register / Vol. 77, No. 11 / Wednesday, January 18, 2012 / Notices 2597 

14 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3A Member is any registered broker or dealer, or 

any person associated with a registered broker or 

dealer, that has been admitted to membership in the 

Exchange. 

provide additional flexibility for TPHs 

to obtain executions on behalf of their 

customers while continuing to provide 

meaningful, competitive Auctions. The 

Exchange also believes that that 

proposed rule change will ultimately 

enhance competition in the AIM 

Auctions and provide customers with 

additional opportunities for price 

improvement. These changes are 

consistent with changes made by other 

exchanges and they serve to remove 

impediments to and to perfect the 

mechanism for a free and open market 

and a national market system. 

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–C2–2011–043 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–C2–2011–043. 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 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–C2–2011–043, and should 

be submitted on or before February 8, 

2012. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.14

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–771 Filed 1–17–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66129; File No. SR–EDGX– 

2011–39] 

Self-Regulatory Organizations; EDGX 

Exchange, Inc.; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change Relating to Amendments 

to the EDGX Exchange, Inc. Fee 

Schedule 

January 11, 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 December 

30, 2011, the EDGX Exchange, Inc. (the 

‘‘Exchange’’ or the ‘‘EDGX’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change as described in 

Items I, II, and III below, which items 

have been prepared by the selfregulatory organization. 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 

EDGX Exchange, Inc. (‘‘EDGX’’ or the 

‘‘Exchange’’), proposes to amend its fees 

and rebates applicable to Members 3 of 

the Exchange pursuant to EDGX Rule 

15.1(a) and (c). Text of the proposed 

rule change is attached as Exhibit 5. 

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 

Purpose 

The Exchange proposes to amend its 

fee schedule to add footnote b to it to 


tkelley on DSK3SPTVN1PROD with NOTICES