Document ID: SEC-2016-1249-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: BOX Options Exchange LLC
Posted Date: 2016-07-19T04:00Z

[Federal Register Volume 81, Number 138 (Tuesday, July 19, 2016)]
[Notices]
[Pages 46990-46994]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-16974]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-78312; File No. SR-BOX-2016-30]

Self-Regulatory Organizations; BOX Options Exchange LLC; Notice 
of Filing and Immediate Effectiveness of a Proposed Rule Change To 
Introduce New Risk Protections on the Exchange and Provide Enhancements 
to Current Risk Protections

July 13, 2016.
    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 July 1, 2016, BOX Options Exchange LLC (the ``Exchange'') 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 from 
interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to introduce new risk protections on the 
Exchange and provide enhancements to current risk protections. The text 
of the proposed rule change is available from the principal office of 
the Exchange, at the Commission's Public Reference Room and also on the 
Exchange's Internet Web site at http://boxexchange.com.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the self-regulatory organization 
included statements concerning the purpose of, and basis for, the 
proposed rule change and discussed any comments it received on the 
proposed rule change. The text of 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.

[[Page 46991]]

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 introduce new risk 
protections on the Exchange and provide enhancements to current risk 
protections designed to aid Participants in their risk management by 
supplementing current protections with new activity-based protections. 
In particular, the Exchange proposes to introduce new activity-based 
protections for orders and quotes, enhancements to the current 
protections available for Market Makers on the Exchange and provide 
maximum order and quote quantity.
Maximum Order and Quote Quantity
    The Exchange proposes to adopt Rule 7320 (Maximum Order and Quote 
Quantity) to provide an additional risk protection for orders and 
quotes entered on BOX. Specifically, the system will prevent orders or 
quotes from executing or being placed on the BOX Book if the size of 
the order or quote exceeds the size protection designated by the 
Participant submitting the order or quote. The size protection is the 
maximum size of an order or quote that will be accepted by the system 
and Participants may designate the size protection on a class-by-class 
basis for non-auction transactions. For auction transactions, the 
Participant may designate a size protection applicable to all auction 
types only. For Complex Orders, if any leg fails the validation, then 
the entire Complex Order is rejected.
    In order to provide values for the size protection, Participants 
must contact the MOC.\3\ Additionally, the Exchange will provide 
default values for the size protection. The most restrictive (i.e., the 
smallest value) between the Exchange default and Participant-provided 
value will be used. The Exchange notes that this is not a novel 
proposal and another exchange already has this feature.\4\
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    \3\ The term ``Market Operations Center'' or ``MOC'' means the 
BOX Market Operations Center, which provides market support for 
Options Participants during the trading day. See Rule 100(a)(31).
    \4\ See Miami International Securities Exchange, LLC (``MIAX'') 
Rule 519(b).
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Activity-Based Protections
    The Exchange proposes to adopt Rule 7330 (Activity-Based 
Protections) to provide new risk protections. Specifically, the 
Exchange is proposing two new risk protections; one will cover executed 
orders and the other will cover executed orders and quotes.
    The Exchange proposes to adopt Rule 7330(a) (Traded Order 
Protection) to provide new risk protections for orders executed by 
Participants on the Exchange. The risk protections the Exchange is 
proposing are similar to those already available on BOX for quotes.\5\ 
The proposed risk protection will maintain a counting program for each 
participating Participant. Specifically, the Exchange shall maintain 
traded order counters for: (1) Maximum number of trades from orders,\6\ 
(2) maximum traded order volume,\7\ (3) maximum traded order value,\8\ 
(4) delta maximum order volume,\9\ and (5) delta maximum order 
value.\10\ Participants can provide values for these five counters and 
for the Time Interval, as described in further detail below.
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    \5\ See Rule 8130.
    \6\ The maximum number of trades from orders counter will keep 
track of total trades in a class.
    \7\ The maximum traded order volume counter is designed to count 
the total volume traded in a class.
    \8\ The maximum traded order value counter is the absolute 
dollar value of contracts bought and sold in a class.
    \9\ The delta maximum order volume is the absolute value of the 
net position in a class between (i) calls purchased and puts sold, 
and (ii) calls sold and puts purchased.
    \10\ The delta maximum order value is the absolute value of the 
net position in a class between (i) calls purchased and sold, (ii) 
puts and calls purchased; (iii) puts purchased and sold; or (iv) 
puts and calls sold.
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    When a Participant's order is executed, the system will look back 
over a specific period of time to determine whether the execution will 
cause the counters to be incremented. Specifically, if the difference 
between the time of the current trade and the time of the previous 
trade from the same Options Participant identification number 
(``Participant ID'') in the same class is greater than the Time 
Interval,\11\ then the counters will be reset before adding the current 
trade to them. If, however, the difference between the time of the 
current trade and the time of the previous trade from the same 
Participant ID in the same class is less than or equal to the Time 
Interval, then the counters will be incremented for the current trade 
without resetting them first. For example, assume the Time Interval is 
2 seconds. If an order for 10 contracts in ABC is received at 10:31:02 
and a second order for 50 contracts in ABC is received at 10:31:03, 
then the maximum number of trades counter would be incremented by 1 for 
the second trade and the maximum traded volume counter would be 
incremented by 50 from the second trade. If, however, the second order 
was not received until 10:31:05, the system would reset all counters 
for ABC since the time between the second trade and the previous trade 
was greater than the Time Interval. After resetting the counters for 
ABC, the system will increment the maximum number of trades counter by 
1 and the maximum traded volume by 50 contracts.
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    \11\ The ``Time Interval'' is the highest value between the 
Exchange default and Participant-provided value.
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    When a counter is triggered because it exceeds the maximum 
permissible value, all orders for that Participant ID in options on 
that class are cancelled unless such cancelation is not permitted under 
other rules.\12\ When both the Exchange and a Participant provide 
values (other than zero) for the parameters, the most restrictive 
(i.e., the smallest value for the five counters and the highest value 
for the Time Interval) will be used by the system when determining if a 
counter has been triggered.
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    \12\ For a counter triggered for the incoming order side, action 
is taken following the trade that breached the limit. For a counter 
triggered for the resting order side, action is taken following the 
complete processing of the incoming order. As mentioned above, if a 
cancelation is not permitted under other BOX rules, the orders for 
that Participant ID will remain. For example, under BOX Rule 
8050(d), Market Maker bids and offers are firm for the number of 
contracts specified in the bid or offer.
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    The Exchange proposes to adopt Rule 7330(b) (Traded Activity 
Protection) to provide enhanced risk protections for orders and quotes. 
Specifically, the Exchange shall maintain traded activity counters for: 
(1) Maximum number of trades,\13\ (2) maximum traded volume,\14\ (3) 
maximum traded value,\15\ (4) delta maximum volume,\16\ and (5) delta 
maximum value.\17\ Participants can provide values for these five 
counters and for the Time Interval, as described in further detail 
below. These proposed counters are similar to those in proposed Rule 
7330(a) with the exception that the counters in the

[[Page 46992]]

proposed Traded Activity Protection will count orders and quotes 
executed by a Participant, while the Automatic Order Cancellation only 
counts executed orders. Additionally, the Traded Activity Protection 
counts trades for all classes and not on a class-by-class basis as the 
Automatic Order Cancellation provides.
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    \13\ The maximum number of trades counter will keep track of 
total trades involving orders and/or quotes in all classes.
    \14\ The maximum traded volume counter is designed to count the 
total volume traded involving orders and/or quotes in all classes.
    \15\ The maximum traded value counter is the absolute dollar 
value of contracts bought and sold in a class from trades involving 
orders and/or quotes.
    \16\ The delta maximum volume is the absolute value of the net 
position in all classes between (i) calls purchased and puts sold, 
and (ii) calls sold and puts purchased, for trades involving orders 
and/or quotes.
    \17\ The delta maximum value is the absolute value of the net 
position in all classes between (i) calls purchased and sold, (ii) 
puts and calls purchased; (iii) puts purchased and sold; or (iv) 
puts and calls sold, for trades involving orders and/or quotes.
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    When a Participant's order and/or quote is executed, the system 
will look back over a specific period of time to determine whether the 
execution will cause the counters to be incremented. Specifically, if 
the difference between the time of the current trade and the time of 
the previous trade from the same Participant ID is greater than the 
Time Interval,\18\ then the counters will be reset before adding the 
current trade to them. If, however, the difference between the time of 
the current trade and the time of the previous trade from the same 
Participant ID is less than or equal to the Time Interval, then the 
counters will be incremented for the current trade.
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    \18\ The ``Time Interval'' is the highest value between the 
Exchange default and Participant-provided value.
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    When a counter is triggered because it exceeds the maximum 
permissible value, all orders and quotes for that Participant ID in all 
classes are cancelled unless such cancelation is not permitted under 
other rules.\19\ When both the Exchange and a Participant provide 
values (other than zero) for the parameters, the most restrictive 
(i.e., the smallest value for the five counters and the highest value 
for the Time Interval) will be used by the system when determining if a 
counter has been triggered. A Participant may also elect for the system 
to lock-out the Participant ID when a counter is triggered or if the 
Exchange default requires a lock-out. When a lock-out is triggered, the 
system will prevent that Participant ID from submitting orders and/or 
quotes. Additionally, any request from that Participant ID to initiate 
an auction will be prevented. To submit orders and/or quotes to the 
Exchange after the lock-out is triggered, a Participant must call the 
MOC \20\ directly to unlock the Participant ID. The Exchange notes that 
activity-based protections are not novel and other exchanges, including 
BOX, already have activity-based risk protections.\21\ Additionally, 
the Exchange notes that the unlock feature mentioned above is not 
novel, as another exchange already has a similar feature as well.\22\
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    \19\ For a counter triggered for the incoming order or quote 
side, action is taken following the trade that breached the limit. 
For a counter triggered for the resting order or quote side, action 
is taken following the complete processing of the incoming order or 
quote. As mentioned above, if a cancelation is not permitted under 
other BOX rules, the orders for that Participant ID will remain. For 
example, under BOX Rule 8050(d), Market Maker bids and offers are 
firm for the number of contracts specified in the bid or offer.
    \20\ The term ``MOC'' or ``Market Operations Center'' means the 
BOX Market Operations Center, which provides market support for 
Options Participants during the trading day.
    \21\ See MIAX Rule 519A and BOX Rule 8130.
    \22\ See MIAX Rule 519A(b). MIAX's Risk Protection Monitor will 
remain engaged until the member communicates with the exchange's 
help desk to enable the acceptance of new orders.
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    The Activity-based Protections are available to all Participants 
and are enabled when a Participant contacts the MOC and provides values 
for the parameters. The Exchange may also enable these features and 
provide default values for the parameters.
Global Counter
    The last new protection mechanism that the Exchange is proposing is 
a Global Counter.\23\ The Global Counter will count the number of 
triggering events across the Exchange's protection mechanisms per 
Participant ID. Specifically, under proposed Rule 7340 the system will 
count the number of triggering events from the Traded Order Protection, 
Traded Activity Protection and Automatic Quote Cancellation mechanisms. 
If the difference between the time of the current triggering event and 
the time of the previous triggering event from the same Participant ID 
is greater than the Global Counter Time Interval, as described below, 
then the Global Counter will be reset before adding the current 
triggering event to it. If, however, the difference between the time of 
the current triggering event and the time of the previous triggering 
event from the same Participant ID is less than or equal to the Global 
Counter Time Interval, then the Global Counter will be incremented 
without resetting the Global Counter first.
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    \23\ See Proposed Rule 7340 (Global Counter).
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    If multiple counters within the same category of protection are 
triggered by the same trade, the Global Counter will only be 
incremented by one. If, however, multiple counters from different 
categories of protection are triggered by the same trade, the Global 
Counter will be incremented by one for each category of protection, 
regardless of the number of counters within the same category of 
protection that were triggered. For example, if the maximum traded 
order volume counter for the Traded Order Protections and the maximum 
traded volume for the Trade Activity Protection are triggered by the 
same trade, then the Global Counter will only be incremented by one.
    Participants will be allowed to provide a limit for the Global 
Counter (``Global Limit'') and the Exchange will also provide a default 
value for the Global Limit. If the Global Counter is triggered because 
it has reached or exceeded the Global Limit, the system will cancel all 
orders and/or quotes belonging to that Participant and the counter is 
reset. When determining if the Global Counter has been triggered, the 
system will use the most restrictive value for the Global Limit (i.e., 
the smallest value) between the Exchange default and Participant-
provided limit. A Participant may also elect for the system to lock-out 
the Participant ID when the Global Counter is triggered or if the 
Exchange default requires a lock-out. When a lock-out is triggered, the 
system will prevent that Participant ID from submitting orders and/or 
quotes. Additionally, any request from that Participant ID to initiate 
an auction will be prevented.
    The Global Counter is available to all Participants and is enabled 
when a Participant contacts the MOC and provides values for the 
parameters. The Exchange may also enable this feature and provide 
default values for the parameters. The Exchange notes that the proposed 
Global Counter is not novel and another exchange has a similar counting 
program on its exchange.\24\
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    \24\ See MIAX Rule 612.02(b).
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Automatic Quote Cancellation
    Currently, the Exchange offers activity-based protections for 
Market Makers. Specifically, Rule 8130 (Automatic Quote Cancellation) 
provides activity-based protections for a Market Maker's quoting 
activity. The Automatic Quote Cancellation mechanism contains numerous 
triggering parameters for which a Market Maker can provide values. The 
Exchange is now proposing to amend the Automatic Quote Cancellation 
mechanism by adding an additional triggering parameter. Specifically, 
the Exchange is proposing to add a parameter that tracks the percentage 
of the Market Maker's quote that is traded. The Exchange notes that 
this is not a novel proposal and another exchange already has this 
feature.\25\ Additionally, the Exchange is proposing that it may 
provide default values for some or all of the parameters in Rule 8130; 
however, any Participant-provided value will override any Exchange 
defaults.
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    \25\ See MIAX Rule 612(b)(1).
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    Additionally, the Exchange is proposing to provide clarity on when 
the counters will be reset. Specifically, the counters in Rule 8130 are 
reset

[[Page 46993]]

when (i) the Participant provides an update to the value of one of the 
parameters, (ii) the time interval between a trade and its previous 
trade surpasses the time period, or (iii) the triggering of any of the 
time related counters.
Quote Removal Mechanism Upon Technical Disconnect
    The Exchange is proposing to amend Rule 8140 to provide that when a 
Market Maker is disconnected from the Trading Host, the Market Maker's 
quotes will be cancelled. As part of this proposed change, the Exchange 
is proposing to remove one of the triggering parameters currently in 
Rule 8130. Specifically, the Exchange is proposing to remove the first 
triggering parameter for when a Market Maker experiences a duration of 
no technical connectivity for between one and nine seconds. The 
Exchange believes that this parameter is no longer needed since the 
Exchange's proposed change for Rule 8140 will cover when a Market Maker 
is disconnected.
    The Exchange will provide Participants with notice, via Information 
Circular, about the implementation date of these proposed enhancements 
to the protections offered by the Exchange. Additionally, any changes 
to any Exchange provided defaults will be communicated to Participants 
via Information Circular.
2. Statutory Basis
    The Exchange believes that the proposal is consistent with the 
requirements of Section 6(b) of the Securities Exchange Act of 1934 
(the ``Act''),\26\ in general, and Section 6(b)(5) of the Act,\27\ in 
particular, in that it is designed to prevent fraudulent and 
manipulative acts and practices, to promote just and equitable 
principles of trade, to foster cooperation and coordination with 
persons engaged in facilitating transactions in securities, 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, by enhancing the risk protections available to 
Participants. The proposed rule filing promotes policy goals of the 
Commission which has encouraged execution venues, exchange and non-
exchange alike, to enhance risk protection tools and other mechanisms 
to decrease risk and increase stability.
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    \26\ 15 U.S.C. 78f(b).
    \27\ 15 U.S.C. 78f(b)(5).
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    The individual firm benefits of enhanced risk protections flow 
downstream to counterparties both at the Exchange and at other options 
exchanges, thereby increasing systemic protections as well. 
Additionally, because the Exchange offers these risk tools to all 
Participants, the Exchange believes it will encourage liquidity 
generally and remove impediments to and perfect the mechanism of a free 
and open market and a national market system, and protect investors and 
the public interest.
    These risk protections, as noted above, will be offered to all 
Participants on BOX. The Exchange further represents that its proposal 
will operate consistently with the firm quote obligations of a broker-
dealer pursuant to Rule 602 of Regulation NMS. Specifically, for a 
counter triggered for the resting order or quote side, action is taken 
following the complete processing of the incoming order or quote. 
Additionally, a Market Maker's obligation to provide continuous two-
sided quotes on a daily basis is not diminished by the removal of such 
quotes through one of the risk protections. A Market Maker will be 
required to provide continuous two-sided quotes on a daily basis.
    The Exchange believes that the proposed rule change will assist 
with the maintenance of a fair and orderly market by establishing new 
activity-based risk protections for orders and quotes. The Exchange 
believes that these proposed risk protections, in addition to the 
current risk protections available on the Exchange, will enable 
Participants to better manage their risk when trading on the Exchange. 
BOX believes the proposed risk controls will remove impediments to and 
perfect the mechanism of a free and open market by providing 
Participants with greater control over their activity.

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. BOX believes the proposal will 
provide market participants with additional protections while 
submitting orders and quotes to the Exchange. The Exchange does not 
believe the proposal will impose a burden on competition among the 
options exchanges, because of vigorous competition for order flow among 
the options exchanges. The Exchange competes with many other options 
exchanges. In this highly competitive market, market participants can 
easily and readily direct order flow to competing venues. The proposal 
does not impose an undue burden on intramarket competition because all 
Participants may avail themselves of the risk controls on the Exchange. 
Additionally, the proposed activity-based protections are similar to 
those available on competing exchanges.\28\ For these reasons, the 
Exchange does not believe this proposal imposes an undue burden on 
inter-market competition; rather, the proposed rule changes will have 
no impact on competition.
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    \28\ See supra notes 4, 20 and 22.
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C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    The Exchange has neither solicited nor received comments on the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    The Exchange has filed the proposed rule change pursuant to Section 
19(b)(3)(A)(iii) of the Act \29\ and Rule 19b-4(f)(6) thereunder.\30\ 
Because the proposed rule change does not: (i) Significantly affect the 
protection of investors or the public interest; (ii) impose any 
significant burden on competition; and (iii) become operative prior to 
30 days from the date on which it was filed, or such shorter time as 
the Commission may designate, if consistent with the protection of 
investors and the public interest, the proposed rule change has become 
effective pursuant to Section 19(b)(3)(A) of the Act and Rule 19b-
4(f)(6)(iii) thereunder.
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    \29\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \30\ 17 CFR 240.19b-4(f)(6). As required under Rule 19b-
4(f)(6)(iii), the Exchange provided the Commission with 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.
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    A proposed rule change filed under Rule 19b-4(f)(6) \31\ normally 
does not become operative prior to 30 days after the date of the 
filing. However, pursuant to Rule 19b-4(f)(6)(iii),\32\ the Commission 
may designate a shorter time if such action is consistent with the 
protection of investors and the public interest. The Exchange has asked 
the Commission to waive the 30-day operative delay so that the Exchange 
may provide Participants with additional risk protections while trading 
on the Exchange without undue delay. The Commission believes that 
waiving the 30-day operative delay is consistent

[[Page 46994]]

with the protection of investors and the public interest. Therefore, 
the Commission hereby waives the operative delay and designates the 
proposed rule change operative upon filing.\33\
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    \31\ 17 CFR 240.19b-4(f)(6).
    \32\ 17 CFR 240.19b-4(f)(6)(iii).
    \33\ For purposes only of waiving the operative date of this 
proposal, the Commission has considered the proposed rule's impact 
on efficiency, competition, and capital formation. 15 U.S.C. 78c(f).
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act. If the Commission 
takes such action, the Commission shall institute proceedings to 
determine whether the proposed rule should be approved or disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-BOX-2016-30 on the subject line.

Paper Comments

     Send paper comments in triplicate toecretary, Securities 
and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.

All submissions should refer to File Number SR-BOX-2016-30. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method.
    The Commission will post all comments on the Commission's Internet 
Web site (http://www.sec.gov/rules/sro.shtml). Copies of the 
submission, all subsequent amendments, all written statements with 
respect to the proposed rule change that are filed with the Commission, 
and all written communications relating to the proposed rule change 
between the Commission and any person, other than those that may be 
withheld from the public in accordance with the provisions of 5 U.S.C. 
552, will be available for Web site viewing and printing in the 
Commission's Public Reference Room, on official business days between 
the hours of 10:00 a.m. and 3:00 p.m., located at 100 F Street, NE., 
Washington, DC 20549. 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-2016-30 and should be 
submitted on or before August 9, 2016.
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    \34\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\34\
Jill M. Peterson,
Assistant Secretary.
[FR Doc. 2016-16974 Filed 7-18-16; 8:45 am]
 BILLING CODE 8011-01-P