Federal Register / Vol. 80, No. 37 / Wednesday, February 25, 2015 / Notices 10179 

9For 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). 

10 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

will allow the obvious error pilot 

program to continue uninterrupted 

while the industry gains further 

experience operating under the Plan, 

and avoid any investor confusion that 

could result from a temporary 

interruption in the pilot program. For 

this reason, the Commission designates 

the proposed rule change to be operative 

upon filing.9

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 rule-comments@

sec.gov. Please include File Number SR– 

BOX–2015–13 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Brent J. Fields, Secretary, Securities 

and Exchange Commission, 100 F Street 

NE., Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–BOX–2015–13. 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 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–BOX– 

2015–13, and should be submitted on or 

before March 18, 2015. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.10

Brent J. Fields, 

Secretary. 

[FR Doc. 2015–03814 Filed 2–24–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74310; File No. SR–BX– 

2015–010] 

Self-Regulatory Organizations; 

NASDAQ OMX BX, Inc.; Notice of Filing 

and Immediate Effectiveness of 

Proposed Rule Change To Modify and 

Reorganize Chapter VI (Trading 

Systems), Section 8 (BX Opening and 

Halt Cross) of the Exchange’s Options 

Rules 

February 19, 2015. 

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 February 

9, 2015, NASDAQ OMX BX, Inc. (‘‘BX’’ 

or ‘‘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 the Substance 

of the Proposed Rule Change 

The Exchange proposes to modify and 

reorganize Chapter VI (Trading 

Systems), Section 8 (BX Opening and 

Halt Cross) of the Exchange’s Options 

rules. The proposal would update or 

add Section 1 and Section 8 definitions 

in respect of the BX Opening and Halt 

Cross. The proposal would also make 

changes regarding: The criteria for 

opening of trading or resumption of 

trading after a halt; BX posting on its 

Web site any changes to the 

dissemination interval or prior Order 

Imbalance Indicator; the procedure if 

more than one price exists; the 

procedure if there are unexecuted 

contracts; and the ability of firms to 

elect that orders be returned in symbols 

that were not opened on BX before the 

conclusion of the Opening Order Cancel 

Timer. 

The text of the proposed rule change 

is available on the Exchange’s Web site 

at http://nasdaqomxbx.cchwallstreet 

.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 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 purpose of the proposed rule 

change is to modify BX Chapter VI, 

Section 1 and Section 8 to update or add 

definitions, which include Current 

Reference Price, BX Opening Cross, 

Eligible Interest, Valid Width National 

Best Bid or Offer (‘‘Valid Width 

NBBO’’), Away Best Bid or Offer 

(‘‘ABBO’’), and On the Open Order 

(‘‘OPG’’). The purpose is to also make 

changes regarding: The criteria for 

opening of trading or resumption of 

trading after a halt; BX posting on its 

Web site any changes to the 

dissemination interval or prior Order 

Imbalance Indicator; the procedure if 

more than one price exists; the 

procedure if there are unexecuted 

contracts; and the ability of firms to 

elect that orders be returned in symbols 


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10180 Federal Register / Vol. 80, No. 37 / Wednesday, February 25, 2015 / Notices 

3The Exchange will explain the proposed change 

to its participants via an Options Trader Alert. 

4 ‘‘System Securities’’ means all options that are 

currently trading on BX Options pursuant to 

Chapter IV. All other options are ‘‘Non System 

Securities.’’ Chapter VI, Section 1(b). 

5 In this proposal, all time is Eastern Time unless 

otherwise noted. 

6 ‘‘Imbalance’’ means the number of contracts of 

Eligible Interest that may not be equal. Chapter VI, 

Section 8(a)(1). ‘‘Eligible Interest’’ means any 

quotation or any order that may be entered into the 

system and designated with a time-in-force of IOC, 

DAY, GTC. Chapter VI, Section 8(a)(4). The 

Exchange is deleting the reference to Imbalance 

from Section 8(b) because, as discussed, the 

occurrence of the Opening Cross depends on the 

parameters proposed in Section 8(b) rather than on 

whether there is an imbalance. 

7 ‘‘Market for the Underlying Security’’ means 

either the primary listing market, the primary 

volume market (defined as the market with the most 

liquidity in that underlying security for the 

previous two calendar months), or the first market 

to open the underlying security, as determined by 

the Exchange on an issue-by-issue basis and 

announced to the membership on the Exchange’s 

Web site. Chapter VI, Section 8(a)(5). 

8For better readability, this part of Section 8(b) 

is proposed to be broken into two sentences and the 

phrase ‘‘the Opening Cross shall occur’’ inserted. 

Reference to firm quote on OPRA is proposed to be 

deleted from this part of Section 8(b) and is, as 

discussed, put into proposed Section 8(b)(2)(B). 

9The specific time of day, currently 9:45 a.m., is 

disseminated at https://www.nasdaqtrader.com/

Content/TechnicalSupport/BXOptions_

SystemSettings.pdf. 

10See proposed Section 8(b). 

11Simultaneously, the price parameters are 

deleted from current Section 8(a)(2)(A). In a similar 

vein, current Section 8(a)(2)(E) indicative prices are 

deleted. The Exchange is re-organizing Section 8 

and thereby deleting the noted price parameters and 

indicative prices in order to offer an integrated 

description of the opening process in proposed 

Section 8(b). 

12The term ‘‘On the Open Order’’ (OPG) is also 

proposed to be added as a Time in Force to Chapter 

VI, Sec 1(g), and is added as an Order Type to 

Chapter VI, Sec. 8(a)(4). 

that were not opened on BX before the 

conclusion of the Opening Order Cancel 

Timer.3

Section 8 of Chapter VI describes the 

BX opening and halt cross and opening 

imbalance process (‘‘Opening Cross’’). 

Section 8(a) currently contains 

definitions that are applicable to Section 

8. Section 8(b) currently states that for 

the opening of trading of System 

Securities,4 the Opening Cross shall 

occur at or after 9:30 a.m. Eastern Time 5

if any of the following ‘‘conditions’’ 

occur: (1) There is no Imbalance; 6 (2) 

the dissemination of a regular market 

hours quote or trade (as determined by 

the Exchange on a class-by-class basis) 

by the Market for the Underlying 

Security 7 has occurred (or, in the case 

of index options, the Exchange has 

received the opening price of the 

underlying index); or (3) in the case of 

a trading halt, when trading resumes 

pursuant to Chapter V, Section 4, and a 

certain number (as the Exchange may 

determine from time to time) of other 

options exchanges have disseminated a 

firm quote on the Options Price 

Reporting Authority (‘‘OPRA’’).8 Market 

hours trading on BX Options in specific 

options commences, or in the case of 

specific halted options resumes, when 

the BX Opening Cross concludes. 

Section 8(c) currently describes the 

procedure if firm quotes are not 

disseminated for an option by the 

predetermined number of options 

exchanges by a specific time during the 

day that is determined by the 

Exchange; 9 provided that dissemination 

of a regular market hours quote or trade 

by the Market for the Underlying 

Security has occurred (or, in the case of 

index options, the Exchange has 

received the opening price of the 

underlying index). This filing proposes 

several changes to enhance the usability 

and effectiveness of Section 8 regarding 

the opening and halt cross and 

imbalance process. 

First, the Exchange proposes to 

update or add new Section 8 

definitions. 

The Exchange proposes a change to 

the definition of ‘‘Current Reference 

Price’’. Current Section 8(a)(2)(A) 

defines the ‘‘Current Reference Price’’ to 

mean: (i) The single price at which the 

maximum number of contracts of 

Eligible Interest can be paired at or 

within the NBBO; (ii) If more than one 

price exists under subparagraph (i), the 

Current reference Price shall mean the 

entered price at which contracts will 

remain unexecuted in the cross; (iii) If 

more than one price exists under 

subparagraph (ii), the Current Reference 

Price shall mean the price that is closest 

to the midpoint of the (1) National Best 

Bid or the last offer on BX against which 

contracts will be traded whichever is 

higher, and (2) National Best Offer or 

the last bid on BX against which 

contracts will be traded whichever is 

lower. Proposed Section 8(a)(2)(A) seeks 

to simplify the definition of the 

‘‘Current Reference Price’’ to state that 

‘‘Current Reference Price’’ shall mean an 

indication of what the Opening Cross 

price would be at a particular point in 

time. The ‘‘Current Reference Price’’ 

determination will be substantively 

similar to what is currently described in 

Section 8(a)(2)(A), with the criteria for 

the Opening Cross price, as discussed 

below, set forth elsewhere in Section 

8,10 according to various parameters 

(e.g. existence of opening interest, 

existence of Valid Width NBBO, 

whether the issue is open elsewhere).11

The Exchange believes that this 

construction makes the rule easier to 

follow. In addition, this construction 

also makes the language contained in 

current Section 8(a)(2)(E) no longer 

necessary as it is replaced with the new 

definition proposed for ‘‘Current 

Reference Price’’ in Section 8(a)(2)(A) 

and proposed criteria for the Opening 

Cross price set forth in Section 8(b). 

Thus, the Exchange proposes to delete 

current Section 8(a)(2)(E). 

The Exchange proposes a change to 

the definition of ‘‘BX Opening Cross’’. 

Specifically, in proposed Section 8(a)(3) 

the Exchange introduces a clarifying 

change that references opening or 

resuming trading, and states that ‘‘BX 

Opening Cross’’ shall mean the process 

for opening or resuming trading 

pursuant to this rule and shall include 

the process for determining the price at 

which Eligible Interest, as discussed 

below, shall be executed at the open of 

trading for the day, or the open of 

trading for a halted option, and the 

process for executing that Eligible 

Interest. 

The Exchange proposes to define a 

new order type in Section 1(e)(11), ‘‘On 

the Open Order’’, which is an order 

with a designated time-in-force of 

OPG.12 An On the Open Order will be 

executable only during the Opening 

Cross. If such order is not executed in 

its entirety during the Opening Cross, 

the order, or any unexecuted portion of 

such order, will be cancelled back to the 

entering participant. 

The Exchange proposes a change to 

the definition of ‘‘Eligible Interest’’ 

contained in current Section 8(a)(4). 

Specifically, in Section 8(a)(4) the 

Exchange proposes a change to reflect 

the addition of a new order type, On the 

Open Order, with a time-in force of 

OPG, so that ‘‘Eligible Interest’’ shall 

mean any quotation or any order that 

may be entered into the system and 

designated with a time-in-force of IOC 

(immediate-or-cancel), DAY (day order), 

GTC (good-till-cancelled), and OPG. The 

Exchange also proposes new language to 

indicate how certain time-in-force 

orders will be handled, to state that 

orders received via FIX protocol prior to 

the BX Opening Cross designated with 

a time-in-force of IOC will be rejected 

and shall not be considered Eligible 

Interest. Orders received via SQF prior 

to the BX Opening Cross designated 

with a time-in-force of IOC will remain 

in-force through the opening and shall 

be cancelled immediately after the 

opening. The Exchange notes that FIX 

protocol users generally prefer a cancel 

if an order is not executed immediately 

in order that these users have an a 

opportunity to access other markets. 

SQF users are liquidity providers who 


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Federal Register / Vol. 80, No. 37 / Wednesday, February 25, 2015 / Notices 10181 

13 In respect of the Valid Width NBBO, the orders 

and quotes on the Exchange would be received over 

the SQF Protocol. 

14Current Section 8(b)(2)(B) and (b)(2)(C) discuss 

the Opening Cross procedure if more than one price 

exists. As noted below, the Exchange proposes to 

add language to current Section 8(b)(2)(C) regarding 

unexecuted contracts. Proposed Section 8(b)(5) and 

(b)(6) (renumbered from current Section 8(b)(3) and 

(b)(4), respectively) discuss how Eligible Interest 

would be handled vis a vis the Opening Cross; 

proposed (b)(5) states that if the BX Opening Cross 

price is selected and not all Eligible Interest 

available in BX Options is executed, then all 

Eligible Interest shall be executed at the BX 

Opening Cross price in accordance with the 

execution algorithm assigned to the associated 

underlying option. No changes are proposed to 

Sections 8(b)(6) and 8(b)(7) other than renumbering. Section 8 (b)(6) (renumbered from 

current Section 8(b)(4)) states that all Eligible 

Interest executed in the BX Opening Cross shall be 

executed at the BX Opening Cross price. Proposed 

Section 8(b)(7) (renumbered from current Section 

8(b)(5)) discusses the procedure of disseminating 

one additional Order Imbalance Indicator, if the 

conditions specified in proposed Section 8(b) have 

occurred, but there is an imbalance containing 

marketable routable interest; any remaining 

Imbalance will be canceled, posted, or routed as per 

the directions on the customer’s order. 

15Chapter V, Section 4 states that trading in an 

option that has been the subject of a halt under 

Section 3 of Chapter V shall be resumed upon the 

determination by BX Regulation, that the conditions 

which led to the halt are no longer present or that 

the interests of a fair and orderly market are best 

served by a resumption of trading. Trading shall 

resume according to the process set forth in 

proposed Chapter VI, Section 8 of the rules. 

prefer that the order lives throughout 

the entire opening process, until it is 

clear their liquidity was not utilized in 

the opening. The Exchange believes that 

these changes help to clarify how 

eligible quotations and orders are 

handled in the opening process. 

The Exchange proposes to add the 

concept of a Valid Width NBBO and 

ABBO with respect to away and onExchange interest. Specifically, in 

proposed Section 8(a)(6) the Exchange 

defines ‘‘Valid Width NBBO’’ as the 

combination of all away market quotes 

and any combination of BX Optionsregistered Market Maker (‘‘Market 

Maker’’) orders and quotes received over 

the SQF Protocol within a specified bid/ 

ask differential as established and 

published by the Exchange. The Valid 

Width NBBO will be configurable by 

underlying, and a table with valid width 

differentials will be posted by BX on its 

Web site. Away markets that are crossed 

(e.g. AMEX crosses AMEX, AMEX 

crosses CBOE) will void all Valid Width 

NBBO calculations. If any Market Maker 

orders or quotes on BX Options are 

crossed internally, then all such orders 

and quotes will be excluded from the 

Valid Width NBBO calculation. In 

addition, in proposed Section 8(a)(7), 

the Exchange defines ‘‘ABBO’’ as the 

displayed National Best Bid or Offer not 

including the Exchange’s Best Bid or 

Offer. 

The Exchange is making these 

proposals to ensure that all away market 

quotes and any combination of Market 

Maker orders and quotes,13 whether 

they include the Exchange’s Best Bid or 

Offer or not, are represented. The 

Exchange believes that including (or 

adding) the proposed Valid Width 

NBBO and ABBO within the opening 

rule should be beneficial to market 

participants by offering a more robust 

Opening Cross process. The proposed 

change will significantly enhance the 

price discovery mechanism in the 

opening process to include not only 

Market Maker orders and quotes but 

also away market interest.14

Following are examples to illustrate, 

among other things, the calculation of 

the Valid Width NBBO as proposed in 

Section 8(a)(6) and the definition of the 

ABBO as proposed in Section 8(a)(7). 

Example 1 (normal market 

conditions). Assume that the Valid 

Width NBBO bid/ask differential is set 

by the Exchange at .10. MM1 is quoting 

on the Exchange .90–1.15 and MM2 is 

quoting on the Exchange .80–.95, thus 

making the BX BBO .90–.95. Assume 

the ABBO is .85–1.00. The Exchange 

considers all bid and all offers to 

determine the bid/ask differential; in 

this example, the best bid/ask is .90–.95 

which satisfies the required .10 bid/ask 

differential and is considered a Valid 

Width NBBO. Pursuant to the rule 

proposed in Section 8(b)(2)(A), BX 

Options will open with no trade and 

BBO disseminated as .90–.95. 

Example 2 (away markets are 

crossed). Assume the Valid Width 

NBBO bid/ask differential is set by the 

Exchange at .10. MM1 is quoting on the 

Exchange 1.05–1.15 and MM2 is quoting 

on the Exchange 1.00–1.10, thus making 

the BX BBO 1.05–.1.10. Assume 

Exchange 2 is quoting .90–1.10 and 

Exchange 3 is quoting .70–.85. Since the 

ABBO is crossed (.90–.85), Valid Width 

NBBO calculations are not taken into 

account until the away markets are no 

longer crossed. Once the away markets 

are no longer crossed, the Exchange will 

determine if a Valid Width NBBO can 

be calculated. Assume the ABBO 

uncrosses because Exchange 3 updates 

their quote to .90–1.15, the BX BBO of 

1.05–1.10 is considered a Valid Width 

NBBO. Pursuant to the rule proposed in 

Section 8(b)(2)(A), BX Options will 

open with no trade and BBO 

disseminated as 1.05–1.10. 

Example 3 (BX Options orders/quotes 

are crossed, ABBO is Valid Width 

NBBO). Assume that the Valid Width 

NBBO bid/ask differential is set by the 

Exchange at .10. MM1 is quoting on the 

Exchange 1.05–1.15 (10x10 contracts) 

and MM2 is quoting on the Exchange 

.90–.95 (10x10 contracts), thus making 

the BX BBO crossed, 1.05–.95, while 

another MM3 is quoting on the 

Exchange at .90–1.15 (10x10 contracts). 

Since the BX BBO is crossed, the 

crossing quotes are excluded from the 

Valid Width NBBO calculation. 

However, assume Exchange 2 is quoting 

.95–1.10 and Exchange 3 is quoting .95– 

1.05, resulting in an uncrossed ABBO of 

.95–1.05. The ABBO of .95–1.05 meets 

the required .10 bid/ask differential and 

is considered a Valid Width NBBO. The 

Opening Cross will follow the rules set 

forth in proposed Section 8(b)(4)(B) 

because MM1 and MM2 have 10 

contracts each which cross and there is 

more than one price at which those 

contracts could execute. Thus, the 

Opening Cross will occur with 10 

contracts executing at 1.00, which is the 

mid-point of the National Best Bid and 

the National Best Offer. At the end of 

the opening process, only the quote 

from MM3 remains so the BX Options 

disseminated quote at the end of 

opening process will be .90–1.15 (10x10 

contracts). 

Second, in current Section 8(b) the 

Exchange proposes to remove language 

that ‘‘there is no Imbalance’’ and 

language regarding ‘‘on a class-by-class 

basis’’, and proposes to add additional 

clarifying language pertaining to an 

Opening Cross after a trading halt. The 

Imbalance language is being removed 

from the introductory sentence of 

current Section 8(b) to make the 

language of the Processing of the 

Opening Cross apply more generally. 

The details surrounding the Opening 

Cross as it relates specifically to an 

Imbalance is currently provided for in 

Section 8(b)(5) and is being added in 

new proposed Section 8(b)(4)(C). The 

Exchange proposes to remove the ‘‘on a 

class-by-class basis’’ language because 

the Exchange will use a regular market 

hours quote or trade (as determined by 

the Exchange) for all classes on the 

Exchange for the Opening Cross, 

without distinguishing among different 

classes. Additionally, the Exchange 

proposes to add language to current 

Section 8(b) to make it clear that an 

Opening Cross shall occur after a 

trading halt when trading resumes 

pursuant to Chapter V, Section 4.15

Third, the Exchange proposes to add 

certain criteria to current Section 8(b), 

in order to describe how the opening 

process will differ depending on 

whether a trade is possible or not on BX 

Options. Provided that the ABBO is not 

crossed these criteria necessitate, per 


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10182 Federal Register / Vol. 80, No. 37 / Wednesday, February 25, 2015 / Notices 

16 In the case of a crossed ABBO, the conditions 

set forth in new proposed Section (8)(b)(1) and 

(b)(2) will become operative when the ABBO 

becomes uncrossed. 17 ‘‘Order Imbalance Indicator’’ means a message 

disseminated by electronic means containing 

information about Eligible Interest and the price in 

penny increments at which such interest would 

execute at the time of dissemination. For the 

information disseminated by the Order Imbalance 

Indicator (e.g. Current Reference Price, number of 

paired contracts, size and buy/sell direction of 

Imbalance, indicative prices), see Chapter VI, 

Section 8(a)(2). The term ‘‘order’’ means a firm 

commitment to buy or sell options contracts. 

Chapter 1, Section 1(a)(5). 

18Current Section 8(b)(2)(B) currently states that 

if more than one price exists under subparagraph 

(A), the BX Opening Cross shall occur at the entered 

price at which contracts will remain unexecuted in 

the cross. Subparagraph (A) states that the BX 

Opening Cross shall occur at the price that 

maximizes the number of contracts of Eligible 

Interest in BX Options to be executed at or within 

the National Best Bid and Offer. 

19The Exchange proposes to change the 

subparagraph reference from (B) to (A) as current 

subparagraph (B) is being deleted and expanded 

upon with new subparagraphs (B) and (C). 

20The Exchange notes that rounding will be 

applied, if needed, in the following manner: If the 

previous closing price is less than the midpoint, 

then the opening price rounds down; and if the 

previous closing price is greater than the midpoint, 

or if there is no closing price, then the opening 

price rounds up. For example, if there is a midpoint 

of 1.045, the opening price would be rounded to 

1.04 if the previous closing price was 1.00, and 

would be rounded to 1.05 if the previous closing 

price was 1.10. 

21A reference to BX OPTIONS is being corrected 

to read BX Options. No change in meaning is 

intended. 

22The Exchange notes that the system will also 

calculate a defined range to limit the range of prices 

proposed new Section 8(b)(1), that a 

Valid Width NBBO will always be 

required to open a series when there is 

tradable interest on BX Options; and 

require, per proposed new Section 

8(b)(2), that in cases where there is no 

tradable interest, any one of three 

conditions could trigger a series on BX 

Options to open. Those conditions are 

listed in proposed new (b)(2) as: (A) A 

Valid Width NBBO is present, (B) a 

certain number of other options 

exchanges (as determined by the 

Exchange) have disseminated a firm 

quote on OPRA, or (C) a certain period 

of time (as determined by the Exchange) 

has elapsed.16 The Exchange believes 

that listing these criteria will, similarly 

to other proposed changes, organize and 

clarify the opening process and make it 

more robust and protective for market 

participants. The requirement of a Valid 

Width NBBO being present will help to 

ensure that opening execution prices are 

rational based on what is present in the 

broader marketplace during the opening 

process. 

Fourth, the Exchange proposes 

changes to provide additional 

information during the opening process. 

Current Section 8(b)(1) indicates that BX 

shall disseminate an Order Imbalance 

Indicator every 5 seconds and does not 

allow for a shorter dissemination 

interval. New proposed Section 8(b)(3) 

indicates that BX shall disseminate by 

electronic means an Order Imbalance 

Indicator 17 every 5 seconds beginning 

between 9:20 a.m. and 9:28 a.m., or a 

shorter dissemination interval as 

established by BX Options, with the 

default being set at 9:25 a.m. The start 

of dissemination, dissemination 

interval, and changes to prior Order 

Imbalance Indicators, if any, shall be 

posted on the Exchange Web site. To 

further enhance price discovery and 

disclosure regarding the Opening Cross 

process, the Exchange proposes to add 

the ability for it to disseminate 

imbalances more frequently, which the 

rule currently does not allow for. The 

Exchange will indicate start of 

dissemination and the dissemination 

interval on its Web site. The Exchange 

believes that, like the other proposed 

changes, this proposed enhancement 

regarding additional information 

disclosure should prove to be very 

helpful to market participants, 

particularly those that are involved in 

adding liquidity during the Opening 

Cross process. 

Fifth, the Exchange proposes to add 

language regarding how the Opening 

Cross will occur in relation to the Valid 

Width NBBO, and further what would 

happen if more than one price exists 

under certain circumstances. With this 

proposal, current Section 8(b)(2)(B) will 

be deleted and the determination of the 

Opening Cross price will be more fully 

described under proposed new Section 

8(b)(4)(A)–(C). The new language added 

to current subparagraph (A) stipulates 

that the Opening Cross shall occur at the 

price that maximizes the number of 

contracts of Eligible Interest in BX 

Options to be executed at or within the 

ABBO and within a defined range, as 

established and published by the 

Exchange, of the Valid Width NBBO. 

Current subparagraph (A) simply states 

the Opening Cross shall occur at the 

price that maximizes the number of 

contracts of Eligible Interest in BX 

Options to be executed at or within the 

NBBO. The new proposed language 

being added to (A) will require that the 

Opening Cross price not only be at a 

price at or within the ABBO but also be 

within a defined range of the Valid 

Width NBBO. This addition will ensure 

that the Exchange does not open at a 

price too far away from the best interest 

available in the marketplace as a whole. 

The new proposed Section 8(b)(4)(B) 

and (C) describe in detail at what price 

the Opening Cross will occur if there 

exists more than one price under 

Section 8(b)(4)(A) at which the 

maximum number of contracts could be 

executed at or within the ABBO and 

equal to or within a defined range of the 

Valid Width NBBO. Current Section 

8(b)(2)(C) (renumbered as proposed to 

(b)(4)(B)) states that if more than one 

price exists under subparagraph (B),18

the BX Opening Cross shall occur at the 

price that is closest to the midpoint 

price of (1) the National Best Bid or the 

last offer on BX Options against which 

contracts will be traded whichever is 

higher, and (2) the National Best Offer 

or the last bid on BX Options against 

which contracts will be traded 

whichever is lower. In an effort to make 

the rule language more precise and to 

signify that to the extent possible the 

Opening Cross will occur at the 

midpoint price, the Exchange proposes 

to delete the language ‘‘the price that is 

closest to’’. New subparagraph (B), as 

proposed, will read that if more than 

one price exists under subparagraph 

(A) 19 and there are no contracts that 

would remain unexecuted in the cross, 

the BX Opening Cross shall occur at the 

midpoint price, rounded to the penny 

closest to the price of the last execution 

in that series and in the absence of a 

previous execution price, the price will 

round up, if necessary.20 The price is 

determined using the midpoint of (1) 

the National Best Bid or the last offer on 

BX Options against which contracts will 

be traded whichever is higher, and (2) 

National Best Offer or the last bid on BX 

Options against which contracts will be 

traded whichever is lower.21 The 

Exchange believes the proposed 

language more fully describes how 

rounding is applied to determine the 

opening execution price in place of a 

general statement of ‘‘the price that is 

closest to the midpoint price’’. In 

addition, the Exchange proposes new 

subparagraph (C) to describe the price at 

which the Opening Cross will occur 

when more than one price exists under 

subparagraph (A) and there are contracts 

which would remain unexecuted in the 

cross which was previously described in 

Section 8(b)(2)(B) with less granularity 

and without consideration of the new 

Valid Width NBBO. New proposed 

subparagraph (C) will state if more than 

one price exists under subparagraph (A), 

and contracts would remain unexecuted 

in the cross, then the opening price will 

be the highest/lowest price, in the case 

of a buy/sell imbalance, at which the 

maximum number of contracts can trade 

which is equal to or within a defined 

range as established and published by 

the Exchange,22 of the Valid Width 


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at which an order will be allowed to execute. 

Chapter VI, Section 10 (7). 

NBBO on the contra side of the 

imbalance that would not trade through 

the ABBO. Where there is more than 

one price and there is an imbalance, in 

Section 8(b)(4)(C) the Exchange is 

proposing that the Opening Cross price 

also be within a defined range of the 

Valid Width NBBO on the contra side of 

the imbalance, to help ensure that the 

opening price does not stray too far from 

the best prices available and that the 

opening price is rational. In addition, 

the Opening Cross price will be the 

highest price, in the case of a buy 

imbalance, where the maximum number 

of contracts can trade which is equal to 

or within the defined range of the Valid 

Width NBBO. Similarly, in the case of 

a sell imbalance, the Opening Cross 

price will be the lowest price at which 

the maximum number of contracts can 

trade which is equal to or within the 

defined range of the Valid Width NBBO. 

This serves to provide opening 

execution price protections as well as an 

Opening Cross price which will not 

have residual unexecuted interest 

reflected in the marketplace, after the 

Opening Cross execution, at a price 

which crosses the Opening Cross 

execution price. 

The following examples illustrate, 

among other things, the determination 

of the Opening Cross price. 

Example 4 (no imbalance and one 

possible price). Assume a Valid Width 

NBBO bid/ask differential allowance of 

.10 and a defined range of .10. Also, 

assume that the ABBO is 1.00–1.10 

(10x10 contracts) and the BX BBO is 

.99–1.15 (10x10 contracts) which 

represents a quote from MM1. Assume 

that a Customer Order 1 comes in to Buy 

10 contracts for 1.05 and a Customer 

Order 2 comes in to Sell 10 contracts at 

1.05. Once regular markets hours have 

begun and the underlying security has 

opened, the system determines if there 

is a Valid Width Quote present. While 

the BX BBO of .99–1.15 is wider than 

the allowed bid/ask differential to 

qualify as a Valid Width NBBO on its 

own, the ABBO market of 1.00–1.10 

does qualify as a Valid Width NBBO. In 

this scenario, there is not an opening 

imbalance since there are 10 contracts 

on both the buy and sell side which 

could possibly trade. Thus, the Opening 

Cross will follow the rules set forth in 

proposed Section 8(b)(4)(A). Under this 

rule, the Opening Cross will occur at the 

price which maximizes the number of 

contracts of Eligible Interest at or within 

the ABBO and within a defined range of 

the Valid Width NBBO. In this scenario, 

the Opening Cross price will be 1.05 

with 10 contracts executing and BX 

BBO disseminated as .99–1.15. 

Example 5 (no imbalance and more 

than one possible price). Assume a 

Valid Width NBBO bid/ask differential 

allowance of .10 and a defined range of 

.10. Assume the ABBO is 1.00–1.10 

(10x10 contracts) and the BX BBO is 

.99–1.11 (10x10 contracts) which 

represents a quote from MM1. Assume 

that a Customer Order 1 comes in to Buy 

10 contracts for 1.08, and a Customer 

Order 2 comes in to Sell 10 contracts at 

1.00. Once regular markets hours have 

begun and the underlying security has 

opened, the system determines if there 

is a Valid Width Quote present. While 

the BX BBO of .99–1.11 is wider than 

the allowed bid/ask differential to 

qualify as a Valid Width NBBO on its 

own, the ABBO market of 1.00–1.10 

does qualify as a Valid Width NBBO. In 

this scenario, there is not an imbalance 

as there are 10 contracts to buy and 10 

contracts to sell, however, there exist 

multiple price points at which those 10 

contracts could execute within the 

ABBO and within a .10 range of the 

Valid Width NBBO. Thus, the Opening 

Cross will follow the rules set forth in 

proposed Section 8(b)(4)(B) and the 

Opening Cross will occur with 10 

contracts executing at 1.04. 1.04 

represents the midpoint of 1.00 (the last 

offer on BX Options against which 

contracts will be traded or the National 

Best Bid since the two are equal) and 

1.08 (the last bid on BX Options against 

which contracts will be traded). If the 

example is changed slightly such that 

Order 1 is a market order to Buy 10 

contracts, the Opening Cross will occur 

with 10 contracts executing at 1.05 

which represents the midpoint of 1.00 

(the last offer on BX Options against 

which contracts will be traded or the 

National Best Bid since the two are 

equal) and 1.10 (the National Best Offer 

against which contracts will be traded). 

The market order is considered to be a 

price higher than the National Best Offer 

and outside of the NBBO therefore, the 

National Best Offer is used in 

determining the Opening Cross price. 

The BX BBO disseminated after the 

opening in either case will be .99–1.11. 

Example 6 (imbalance and more than 

one possible price). Assume that the 

ABBO is 1.05–1.50 (10x10 contracts) 

and MM1 is quoting on BX Options 

1.15–1.20 (10x10 contracts) as well as 

MM2 is quoting on BX Options 1.05– 

1.50 (10x10 contracts). Also assume that 

the Valid Width NBBO bid/ask 

differential allowance and defined range 

are each .10. Also assume a Customer 

Order 1 is entered to Buy 30 contracts 

for 1.45. In this example, the Valid 

Width NBBO is comprised solely of the 

BX Options 1.15–1.20 quote. There is 

more than one price at which the 

Exchange can maximize the number of 

contracts executed, 10 contracts, during 

the Opening Cross and there exist 

multiple prices at which 20 contracts 

will remain unexecuted in the Opening 

Cross. Thus, the Opening Cross price 

will be determined under proposed 

Section 8(b)(4)(C). In this example, the 

Valid Width NBBO is 1.15–1.20 which 

is the best bid and best offer of the MM1 

quote and the ABBO and is tighter than 

the allowed differential of .10. With a 

defined range of .10 of the Valid Width 

NBBO on the contra side of the 

imbalance (1.20 +.10), and a buy 

imbalance, the Opening Cross price will 

be 1.30 with Order 1 buying 10 

contracts from MM1. The Opening Cross 

price of 1.30 represents the highest price 

at which the maximum number of 

contracts, 10 contracts, can trade which 

is equal to or within the defined range 

of the Valid Width NBBO on the contra 

side of the imbalance that would not 

trade through the ABBO. The remaining 

unexecuted contracts will be posted on 

the book and reflected in the BX 

Options quote as a 1.30 bid with BX 

BBO disseminated as 1.30–150 [sic] 

with offer as non-firm, as proposed in 

Section 8(b)(4)(C)(iii). If this example 

were changed slightly such that the 

ABBO was 1.05–1.25, the opening price 

would be 1.25 since the Opening Cross 

cannot occur at a price outside of the 

ABBO. 

Because new proposed subsections 

(b)(1) and (b)(2) are added, current 

subsections (b)(1) through (b)(5) are renumbered to (b)(3) through (b)(7), and 

the reference to (b)(2) in current (b)(7) 

is re-numbered to (b)(4). 

Sixth, the Exchange is proposing new 

language to indicate the price at which 

remaining unexecuted contracts will be 

posted. Specifically, in proposed 

Section 8(b)(4)(C), formerly covered in 

(b)(2), the Exchange proposes to state 

that if more than one price exists under 

subparagraph (A), and contracts would 

remain unexecuted in the cross, then 

the opening price will be the price at 

which the maximum number of 

contracts can trade that are equal to or 

within the defined range of the Valid 

Width NBBO on the contra side of the 

imbalance that would not trade through 

the ABBO. New proposed subsections 

(i)–(iv) to Section 8(b)(4)(C) indicate the 

price at which unexecuted contracts 

will be posted on the book following the 

Opening Cross and the subsequent 

handling of the residual unexecuted 

contracts, as follows: (i) If unexecuted 

contracts remain with a limit price that 

is equal to the opening price, then the 

remaining unexecuted contracts will be 


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23As set forth in proposed Section 8(b)(4)(C)(iv), 

order handling of any residual interest in the 

Opening Cross will also be done in accordance with 

the reference price set forth in Chapter VI, Section 

10, with the opening price representing the 

reference price. 

posted at the opening price, displayed 

one minimum price variation (MPV) 

away if displaying at the opening price 

would lock or cross the ABBO, with the 

contra-side BX BBO reflected as firm; 

(ii) if unexecuted contracts remain with 

a limit price that is through the opening 

price, and there is a contra side ABBO 

at the opening price, then the remaining 

unexecuted contracts will be posted at 

the opening price, displayed one 

minimum price variation (MPV) away 

from the ABBO, with the contra side BX 

BBO reflected as firm and order 

handling of any remaining interest will 

be done in accordance with the routing 

and time-in-force instructions of such 

interest and shall follow the Acceptable 

Trade Range mechanism set forth in 

Chapter VI, Section 10; (iii) if 

unexecuted contracts remain with a 

limit price that is through the opening 

price, and there is no contra side ABBO 

at the opening price, then the remaining 

contracts will be posted at the opening 

price, with the contra-side BX BBO 

reflected as non-firm; and (iv) order 

handling of any residual unexecuted 

contracts will be done in accordance 

with the reference price set forth in 

Chapter VI, Section 10, with the 

opening price representing the reference 

price. This proposed behavior ensures 

that residual unexecuted contracts from 

the Opening Cross, regardless of their 

limit prices, are posted on the book at 

the opening price before subsequently 

being routed pursuant to Chapter VI, 

Section 11 or walked to the next 

potential execution price(s) under the 

Acceptable Trade Range set forth in 

Chapter VI, Section 10(7), with the 

opening price representing the 

‘‘reference price’’ of that rule. This 

enhancement to the BX Opening Cross 

ensures that aggressively priced interest 

does not immediately post at prices 

which may be considered to be 

egregious if the interest were to post and 

execute immediately following the 

Opening Cross. The ‘firm’ versus ‘nonfirm’ tagging of contra-side interest 

when residual Opening Cross interest is 

posted follows the construct currently 

in place on the Exchange when 

aggressive interest is received and 

triggers an Acceptable Trade Range 

(ATR) process. Contra-side BX BBO 

interest is reflected as non-firm when 

the Exchange has interest with a limit 

price (or market order) that is more 

aggressive than the Opening Cross price. 

The purpose behind this is to ensure 

that aggressively priced residual interest 

maintains priority should other 

aggressively priced interest be entered 

before the residual interest is permitted 

to access the next allowable range of 

prices. 

Following are examples illustrating 

the proposed rule text regarding the 

handling of unexecuted contracts. 

Example 7 (proposed Section 

8(b)(4)(C)(i)). Assume the ABBO is 1.00– 

1.10 (10x10 contracts), and the BX BBO 

is .99–1.11 (10x10 contracts). Assume 

there is a Customer order to Buy 10 

contracts at the market and a Customer 

order to Sell 50 contracts at 1.00. 

Further assume the Valid Width NBBO 

is defined as .10 and the defined range 

is also .10. The Valid Width NBBO in 

this example is comprised solely of the 

ABBO which has a bid/ask differential 

equal to the allowance of .10. Since 

there is (1) an imbalance, (2) multiple 

prices at which the maximum number 

of contracts (10) can execute equal to or 

within the ABBO and, (3) multiple 

prices at which the maximum number 

of contracts can execute equal to or 

within a defined range of the Valid 

Width NBBO on the contra side of the 

imbalance that would not trade through 

the ABBO, the Opening Cross will occur 

at a price determined under Section 

8(b)(4)(C). The Opening Cross will result 

in 10 contracts being executed at 1.00. 

The 40 remaining unexecuted contracts 

will be posted as a 40 contract offer at 

1.00 and displayed at 1.01 (one MPV 

away from the away market bid of 1.00) 

in order to not display at a price which 

locks the ABBO under proposed Section 

8(b)(4)(C)(i). The resulting displayed BX 

BBO would be .99–1.01, reflected as 

firm on both sides of the market, and the 

remaining interest would be handled in 

accordance with the routing and time 

in-force instructions of the residual 

interest.23 Since the residual interest is 

posted at its limit and therefore would 

not be permitted to execute at more 

aggressive prices, the contra-side BX 

BBO is reflected as firm. 

Example 8 (proposed Section 

8(b)(4)(C)(ii)). Assume the ABBO is 

1.00–1.10 (10x10 contracts), and the BX 

BBO is .99–1.11 (10x10 contracts). 

Assume there is a Customer order to 

Buy 10 contracts at the market and a 

Customer order to Sell 50 contracts at 

.85. Further assume the Valid Width 

NBBO is defined as .10 and the defined 

range is also .10. The Valid Width 

NBBO in this example is comprised 

solely of the ABBO which has a bid/ask 

differential equal to the allowance of 

.10. Since there is an imbalance and 

multiple prices exist at which the 

maximum number of contracts (10) can 

execute equal to or within the ABBO 

and within a defined range of the Valid 

Width NBBO without trading through 

the ABBO, the Opening Cross will occur 

at a price determined under Section 

8(b)(4)(C). The Opening Cross would 

result in 10 contracts being executed at 

1.00. The 40 remaining unexecuted 

contracts will be posted as a 1.00 offer 

and be displayed at 1.01 so as not to 

lock the away market bid under 

proposed Section 8(b)(4)(C)(ii). Since 

the residual interest is posted at a price 

which internally locks the ABBO and 

therefore would not be permitted to 

execute at more aggressive prices until 

the ABBO moves, the contra-side BX 

BBO is reflected as firm. The resulting 

displayed BX BBO would be .99–1.01, 

reflected as firm on both sides of the 

market, and the remaining interest 

would be handled in accordance with 

the routing and time-in-force 

instructions of the residual interest and 

in accordance with Chapter VI, Section 

10 of the BX Options rules, and the 

contra-side BBO will be marked as firm 

or non-firm in accordance with the same 

Section 10 rule. 

Example 9 (proposed Section 

8(b)(4)(C)(iii)). Assume the ABBO is 

.00–5.00 (0x10 contracts). Also assume 

the Valid Width NBBO bid/ask 

differential is defined as 0.10 and the 

defined range as described in proposed 

Section 8(b)(4)(C) is .10. Further, 

assume BX Options has received a quote 

of .99–1.09 (10x10), a Customer order to 

Buy 10 contracts at the market, a 

Customer order to Buy 10 contracts for 

.70, and a Customer order to Sell 50 

contracts at .85. There is a Valid Width 

NBBO present with the BX Options 

quote of .99–1.09, which is equal to the 

defined bid/ask differential of .10. The 

Opening Cross has an imbalance on the 

sell side. Since there is more than one 

price at which contracts would remain 

unexecuted in the cross, the Opening 

Cross price is determined using the 

logic included in proposed Section 

8(b)(4)(C). This will result in an 

execution of 20 contracts at .89, since 

the Valid Width NBBO on the bid side 

(contra to the imbalance side) is .99 less 

the defined range of .10, with the 

residual contracts of the .85 Sell Order 

posted on the book at .89. The resulting 

BX BBO would be reflected as .70–.89, 

reflected as non-firm on the bid, firm on 

the offer, and the remaining unexecuted 

interest would be handled in 

accordance with the routing and timein-force instructions of the residual 

interest. The .70 bid is reflected as nonfirm to ensure that incoming interest 

will not be permitted to immediately 


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24See, e.g., Chapter VI, Section 10(1). 

25 15 U.S.C. 78f(b). 

26 15 U.S.C. 78f(b)(5). 

execute ahead of the more aggressively 

priced Opening Cross residual interest. 

The residual interest from the Opening 

Cross will been handled in accordance 

with Chapter VI, Section 10 of the BX 

Options rules, and the contra-side BBO 

will be marked as firm or non-firm in 

accordance with the same Section 10 

rule. 

Seventh, the Exchange is proposing 

new language to indicate the use of 

execution algorithms assigned to the 

underlying options. Specifically, in 

proposed Section 8(b)(5) (formerly 

(b)(3)), the Exchange proposes to delete 

price/time priority and add the use of 

execution algorithms by stating that if 

the BX Opening Cross price is selected 

and fewer than all contracts of Eligible 

Interest that are available in BX Options 

would be executed, all Eligible Interest 

shall be executed at the BX Opening 

Cross price in accordance with the 

execution algorithm assigned to the 

associated underlying option. By 

substituting language indicating use of 

execution algorithms rather than price/ 

time priority, the Exchange recognizes 

that there are now multiple execution 

allocation models,24 and these are 

factored into the Opening Cross. 

Lastly, the Exchange proposes to add 

a provision regarding the return of 

orders in un-opened symbols in the 

absence of an Opening Cross. Proposed 

new Section 8(c) is substituted for 

current Section 8(c) and provides the 

procedure if an Opening Cross in a 

symbol is not initiated before the 

conclusion of the Opening Order Cancel 

Timer. Specifically, proposed new 

Section 8(c) states that if an Opening 

Cross is not initiated under such 

circumstances, a firm may elect to have 

orders returned by providing written 

notification to the Exchange. These 

orders include all non GTC orders 

received over the FIX protocol. The 

Opening Order Cancel Timer represents 

a period of time since the underlying 

market has opened, and shall be 

established and disseminated by BX on 

its Web site. Proposed Section 8(c) will 

provide participants the ability to have 

their orders returned to them if BX 

Options is unable to initiate an Opening 

Cross within a reasonable time of the 

opening of the underlying market. In 

addition, proposed Section 8(c) deletes 

language which is present in current 

Section 8(c) regarding how the Opening 

Cross operates in relation to the 

presence or absence of a regular market 

hour quote or trade by the Market for 

the Underlying and the process of the 

Opening Cross in relation to opening 

quotes or orders which lock or cross 

each other. The deleted provisions are 

now being more thoroughly described in 

proposed Section 8(b). 

The Exchange believes that the 

proposed changes significantly improve 

the quality of execution of BX Options’ 

opening. The proposed changes give 

participants more choice about where, 

and when, they can send orders for the 

opening that would afford them the best 

experience. The Exchange believes that 

this should attract new order flow. The 

proposed changes should prove to be 

very helpful to market participants, 

particularly those that are involved in 

adding liquidity during the Opening 

Cross. Absent these proposed 

enhancements, BX Options’ opening 

quality will remain less robust than on 

other exchanges. 

2. Statutory Basis 

The Exchange believes that its 

proposal is consistent with Section 6(b) 

of the Act 25 in general, and furthers the 

objectives of Section 6(b)(5) of the Act 26

in particular, in that the proposal is 

designed 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 proposal is consistent with the 

goals of the Act because it will enhance 

and clarify the Opening Cross process, 

minimize or negate unnecessary 

complexity, and encourage liquidity at 

the crucial time of market open. The 

proposed change will also enhance the 

price discovery mechanism in the 

opening process to include not only 

Market Maker orders and quotes but 

also away market interest as represented 

by quotes. The Exchange believes this 

change will make the transition from the 

Opening Cross period to regular market 

trading more efficient and thus promote 

just and equitable principles of trade 

and serve to protect investors and the 

public interest. 

The proposal is designed to promote 

just and equitable principles of trade by 

updating and clarifying the rules 

regarding the BX Opening and Halt 

Cross. In particular, the proposal would 

update or add Chapter VI, Section 8 

definitions regarding BX Opening Cross, 

Eligible Interest, NBBO, and ABBO in 

respect of the Opening Cross and 

resuming options trading after a halt. 

The Exchange would add to Chapter VI, 

Section 1 the definition of ‘‘On the 

Opening Order’’ (OPG) as used in 

Section 8 in respect of the Opening 

Cross. The proposal would also, as 

discussed, make changes in Section 8 

regarding: The criteria for opening of 

trading or resumption of trading after a 

halt; BX posting on its Web site any 

changes to the dissemination interval or 

prior Order Imbalance Indicator; the 

procedure if more than one price exists; 

the procedure if there are unexecuted 

contracts; and the ability of firms to 

elect that orders be returned in symbols 

that were not opened on BX Options 

before the conclusion of the Opening 

Order Cancel Timer. 

The proposal is designed to remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system. In 

particular, the Exchange proposes in 

Chapter VI, Section 8(b) to remove the 

class-by-class quote or trade 

characteristic because for the Opening 

Cross the Exchange will use a regular 

market hours quote or trade (as 

determined by the Exchange) for all 

underylings [sic] on the Exchange, 

without distinguishing among 

underlying symbols, or, in the case of a 

trading halt the Opening Cross shall 

occur when trading resumes pursuant to 

Chapter V, Section 4. The Exchange 

proposes to set forth in Section 8(b) 

clear language describing under what 

circumstances an Opening Cross will 

occur, and how the Opening Cross will 

occur if more than one price exists 

under certain circumstances. Thus, for 

example, proposed Section 8(b)(4) 

specifies that if more than one price 

exists under subparagraph (A), and 

contracts would remain unexecuted in 

the cross, then the opening price will be 

the highest/lowest price, in the case of 

a buy/sell imbalance, at which the 

maximum number of contracts can trade 

which is equal to or within a defined 

range, as established and published by 

the Exchange, of the Valid Width NBBO 

on the contra side of the imbalance that 

would not trade through the ABBO. The 

Exchange proposes, in Section 

8(b)(4)(C), three alternatives for how 

remaining unexecuted contracts will be 

handled. These include: If unexecuted 

contracts remain with a limit price that 

is equal to the opening price, if 

unexecuted contracts remain with a 

limit price that is through the opening 

price and there is a contra side ABBO 

at the opening price, and if unexecuted 

contracts remain with a limit price that 

is through the opening price and there 

is no contra side ABBO at the opening 

price. The Exchange also proposes to 

clarify what happens if an Opening 

Cross in a symbol is not initiated before 

the conclusion of the Opening Order 

Cancel Timer. In that case, proposed 


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27 15 U.S.C. 78s(b)(3)(a). 

28 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

4(f)(6)(iii) requires a self-regulatory organization to 

give the Commission written notice of its intent to 

file the proposed rule change, along with a brief 

description and the 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. 

Section 8(c)(2) [sic] indicates that a firm 

may elect to have orders returned by 

providing written notification to the 

Exchange. These orders include all non 

GTC orders received over the FIX 

protocol. The Opening Order Cancel 

Timer represents a period of time since 

the underlying market has opened, and 

shall be established and disseminated 

by the Exchange on its Web site. 

The proposal is designed in general to 

protect investors and the public interest. 

The Exchange proposes to add certain 

criteria to current Section 8(b), in order 

to describe how the opening process 

will differ depending on whether a trade 

is possible or not on BX Options. 

Assuming that ABBO is not crossed, 

proposed new Chapter VI, Section 

8(b)(1) states that if there is a possible 

trade on BX, a Valid Width NBBO must 

be present. Assuming that ABBO is not 

crossed, proposed Section 8(b)(2) states 

that if no trade is possible on BX, then 

BX will open dependent upon one of 

the following: A Valid Width NBBO is 

present; a certain number of other 

options exchanges (as determined by the 

Exchange) have disseminated a firm 

quote on OPRA; or a certain period of 

time (as determined by the Exchange) 

has elapsed. The Exchange proposes to 

further enhance price discovery and 

disclosure regarding the Opening Cross 

process, by proposing in current Section 

(b)(1) (renumbered to be (b)(3)) that BX 

may choose to establish a dissemination 

interval that is shorter than every 5 

seconds; and that the Exchange will 

indicate the interval on its Web site in 

conjunction to other information 

regarding the Opening Process. 

Moreover, the Exchange proposes to add 

language in current Section 8(c)(2) 

regarding the return of orders in unopened symbols in the absence of an 

Opening Cross. Thus, if an Opening 

Cross in a symbol is not initiated before 

the conclusion of the Opening Order 

Cancel Timer, a firm may elect to have 

orders returned by providing written 

notification to the Exchange. These 

orders include all non GTC orders 

received over the FIX protocol. The 

Opening Order Cancel Timer represents 

a period of time since the underlying 

market has opened, and shall be 

established and disseminated by BX on 

its Web site. 

For the above reasons, BX believes the 

proposed rule change is consistent with 

the requirements of Section 6(b)(5) of 

the Act. The Exchange believes that the 

proposed changes significantly improve 

the quality of execution of BX Options’ 

opening. The proposed changes give 

participants more choice about where, 

and when, they can send orders for the 

opening that would afford them the best 

experience. The Exchange believes that 

this should attract new order flow. The 

proposed changes should prove to be 

more robust and helpful to market 

participants, particularly those that are 

involved in adding liquidity during the 

Opening Cross. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition not 

necessary or appropriate in furtherance 

of the purposes of the Act. While the 

Exchange does not believe that the 

proposal should have any direct impact 

on competition, it believes the proposal 

should help to further clarify the 

Opening Cross process and make it 

more efficient, reduce order entry 

complexity, enhance market liquidity, 

and be beneficial to market participants. 

Moreover, the Exchange believes that 

the proposed changes significantly 

improve the quality of execution of the 

BX Options opening. The proposed 

changes give participants more choice 

about where, and when, they can send 

orders for the opening that would afford 

them the best experience. The Exchange 

believes that this should attract new 

order flow. Absent these proposed 

enhancements, BX Options’ opening 

quality will remain less robust than on 

other exchanges, and the Exchange will 

remain at a competitive disadvantage. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were either 

solicited or received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Because the foregoing 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, it has 

become effective pursuant to Section 

19(b)(3)(A) of the Act 27 and 

subparagraph (f)(6) of Rule 19b–4 

thereunder.28

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: (i) Necessary or appropriate in 

the public interest; (ii) for the protection 

of investors; or (iii) 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 rule-comments@

sec.gov. Please include File Number SR– 

BX–2015–010 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Brent J. Fields, Secretary, Securities 

and Exchange Commission, 100 F Street 

NE., Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–BX–2015–010. 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 also will be available for 

inspection and copying at the principal 

offices of the Exchange. All comments 

received will be posted without change; 

the Commission does not edit personal 

identifying information from 


asabaliauskas on DSK5VPTVN1PROD with NOTICES
Federal Register / Vol. 80, No. 37 / Wednesday, February 25, 2015 / Notices 10187 

29 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 67091 

(May 31, 2012), 77 FR 33498 (June 6, 2012) (File 

No. 4–631) (Order Approving, on a Pilot Basis, the 

Plan). The Plan is designed to prevent trades in 

individual NMS Stocks from occurring outside of 

specified Price Bands, which are described in more 

detail in the Plan. 

4See Securities and Exchange Act Release No. 

69340 (April 8, 2013), 78 FR 22004 (April 12, 2013) 

(SR–NYSEArca–2013–10) (‘‘Approval Order’’). 

5See Securities Exchange Act Release No. 74110 

(January 21, 2015), 80 FR 4321 (January 27, 2015) 

(File No. 4–631) (notice of proposed Eighth 

Amendment to the Plan). 

6Specifically, the Exchange committed to: ‘‘(1) 

Evaluate the options market quality during Limit 

States and Straddle States; (2) assess the character 

of incoming order flow and transactions during 

Limit States and Straddle States; and (3) review any 

complaints from members and their customers 

concerning executions during Limit States and 

Straddle States.’’ See Approval Order, 78 FR at 

22008. 

7See Securities Exchange Act Release No. 71869 

(April 4, 2014), 79 FR 19689 (April 9, 2014) (SR– 

NYSEArca–2014–36). 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR–BX– 

2015–010, and should be submitted on 

or before March 18, 2015. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.29

Brent J. Fields, 

Secretary. 

[FR Doc. 2015–03819 Filed 2–24–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74308; File No. SR– 

NYSEArca–2015–07] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change Extending the Pilot 

Period Applicable to Rule 6.65A(c), 

Obvious and Catastrophic Errors, Until 

October 23, 2015 

February 19, 2015. 

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 February 

18, 2015, NYSE Arca, Inc. (the 

‘‘Exchange’’ or ‘‘NYSE Arca’’) 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 self-regulatory 

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 the Substance 

of the Proposed Rule Change 

The Exchange proposes to extend the 

pilot period applicable to Rule 6.65A(c), 

which addresses how the Exchange 

treats Obvious and Catastrophic Errors 

during periods of extreme market 

volatility, until October 23, 2015. The 

pilot period is currently set to expire on 

February 20, 2015. The text of the 

proposed rule change is available on the 

Exchange’s Web site at www.nyse.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 

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 extend the 

pilot period applicable to Rule 6.65A(c), 

which addresses how the Exchange 

treats Obvious and Catastrophic Errors 

during periods of extreme market 

volatility, until October 23, 2015. The 

pilot period is currently set to expire on 

February 20, 2015. 

In April 2013, in connection with the 

Plan to Address Extraordinary Market 

Volatility Pursuant to Rule 608 of 

Regulation NMS (the ‘‘Plan’’),3 the 

Exchange adopted Rule 6.65A(c) to 

provide that options executions would 

not be adjusted or nullified if the 

execution occurs during periods of 

extreme market volatility.4 Specifically, 

Rule 6.65A(c) provides that, during the 

pilot period, electronic transactions in 

options that overlay an NMS Stock that 

occur during a Limit State or a Straddle 

State (as defined by the Plan) are not 

subject to review under Rule 6.87(a) for 

Obvious Errors or Rule 6.87(d) for 

Catastrophic Errors. Nothing in Rule 

6.65A(c) prevents electronic 

transactions in options that overlay an 

NMS Stock that occur during a Limit 

State or a Straddle State from being 

reviewed on Exchange motion pursuant 

to 6.87(b)(3). 

The Plan has been amended several 

times since inception and was not 

implemented until February 24, 2014. 

The Participants to the Plan recently 

filed to extend the Plan’s pilot period 

until October 23, 2015 (the ‘‘Eighth 

Amendment’’).5 The purpose of this 

proposed extension is to provide time 

for the Participants to prepare a 

supplemental assessment and 

recommendation regarding the Plan and 

for the public to comment on such 

assessment for the purpose of 

determining whether there should be 

any modifications to the Plan. 

In order to align the pilot period for 

Rule 6.65A(c) with the proposed pilot 

period for the Plan, the Exchange 

similarly proposes to extend the pilot 

period until October 23, 2015. The 

Exchange believes the benefits afforded 

to market participants under Rule 

6.65A(c) should continue on a pilot 

basis during the same period as the Plan 

pilot. The Exchange continues to believe 

that adding certainty to the execution of 

orders in Limit or Straddle States would 

encourage market participants to 

continue to provide liquidity to the 

Exchange, and thus, promote a fair and 

orderly market during those periods. 

Thus, the Exchange believes that the 

protections of current Rule 6.65A(c) 

should continue while the industry 

gains further experience operating the 

Plan. In addition, the Exchange believes 

that extending the pilot period for Rule 

6.65A(c) would allow the Exchange to 

continue to collect and evaluate data, as 

well as to conduct further data analyses, 

related to this provision. 

Specifically, in connection with the 

adoption of Rule 6.65A(c), the Exchange 

committed to review the operation of 

this provision and to analyze the impact 

of Limit and Straddle States 

accordingly.6 The Exchange agreed to 

and has been providing to the 

Commission and the public data for 

each Straddle State and Limit State in 

NMS Stocks underlying options traded 

on the Exchange beginning in April 

2013, limited to those option classes 

that have at least one (1) trade on the 

Exchange during a Straddle State or 

Limit State.7 For each of those option 

classes affected, each data record 

contains the following information: 

• Stock symbol, option symbol, time 

at the start of the Straddle or Limit 


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