Document ID: SEC-2010-1846-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: Options Price Reporting Authority
Posted Date: 2010-12-07T05:00Z

[Federal Register Volume 75, Number 234 (Tuesday, December 7, 2010)]
[Notices]
[Pages 76058-76059]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2010-30575]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-63400; File No. SR-OPRA-2010-04)

 Options Price Reporting Authority; Notice of Filing and 
Immediate Effectiveness of Proposed Amendment To Revise Section 4.04 of 
the Data Recipient Interface Specification and Section 4.15 of the 
Participant Interface Specification and Make Conforming Changes to 
Appendix D

November 30, 2010.
    Pursuant to Section 11A of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 608 thereunder,\2\ notice is hereby given that 
on November 9, 2010, the Options Price Reporting Authority (``OPRA'') 
submitted to the Securities and Exchange Commission (``Commission'') an 
amendment to the Plan for Reporting of Consolidated Options Last Sale 
Reports and Quotation Information (``OPRA Plan'').\3\ The proposed 
amendment would make identical changes to Section 4.04 of OPRA's Data 
Recipient Interface Specification and Section 4.15 of its Participant 
Interface Specification (both Specifications are collectively referred 
to herein as the ``OPRA Spec''), which govern the format in which 
options market information is input to and disseminated from the OPRA 
Processor, in order to add message type codes specifying that either 
the bid side or the offer side, but not both sides, of a quotation is 
not firm. OPRA also proposes to make a conforming change to Appendix D 
of the OPRA Spec describing Best Bid and Offer (BBO) calculations. 
Sections 4.04 and 4.15 and Appendix D of the OPRA Spec, marked to show 
the changes proposed to be made, are attached as Exhibits 1.1, 1.2 and 
1.3, respectively, to the OPRA Plan amendment.
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    \1\ 15 U.S.C. 78k-1.
    \2\ 17 CFR 242.608.
    \3\ The OPRA Plan is a national market system plan approved by 
the Commission pursuant to Section 11A of the Act and Rule 608 
thereunder (formerly Rule 11Aa3-2). See Securities Exchange Act 
Release No. 17638 (March 18, 1981), 22 S.E.C. Docket 484 (March 31, 
1981). The full text of the OPRA Plan is available at http://www.opradata.com.
     The OPRA Plan provides for the collection and dissemination of 
last sale and quotation information on options that are traded on 
the participant exchanges. The nine participants to the OPRA Plan 
are BATS Exchange, Inc., Chicago Board Options Exchange, 
Incorporated, C2 Options Exchange, Incorporated, International 
Securities Exchange, LLC, NASDAQ OMX BX, Inc., NASDAQ OMX PHLX, 
Inc., NASDAQ Stock Market LLC, NYSE Amex, Inc., and NYSE Arca, Inc.
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    The Commission is publishing this notice to solicit comments from 
interested persons on the proposed OPRA Plan amendment.

I. Description and Purpose of the Plan Amendment

    The purpose of this filing is to revise Sections 4.04 and 4.15 of 
the OPRA Spec, which set forth message type codes indicating the 
characteristics of particular disseminated options quotations, in order 
to add codes specifying that either the bid side or the offer side, but 
not both sides, of a quotation is not firm. Under Sections 4.04 and 
4.15 as currently in effect, code ``F'' is appended to a quotation 
where both the bid side and the offer side are not firm. This code may 
be used, for example, where systems or communications problems at an 
exchange prevent that exchange from sending firm quotes to OPRA for 
dissemination, but where the exchange is capable of providing non-firm 
quotes to indicate some sense of its market notwithstanding its systems 
problems. Even if an exchange is not having systems problems, it might 
use code ``F'' to indicate that its quotes are not available for 
automatic execution because, for example, the quotes are disseminated 
outside of the hours when automatic execution facilities are in use. 
However, there are no codes in Sections 4.04 and 4.15 to indicate that 
one side of a quote is not firm while the other side is firm. This 
situation could arise, for example, when an exchange is in the process 
of collecting liquidity, either during an auction or when there is a 
price-driven integrity pause. In this situation, OPRA believes it would 
be more useful to OPRA subscribers if the affected exchange and OPRA 
could indicate that one side of a quote is firm and the other side is 
not firm rather than not displaying the quote at all or displaying it 
under the ``F'' code, which would incorrectly indicate that neither 
side of the quote is firm.
    In the absence of a one-side only non-firm code, in accordance with 
the current OPRA Spec, exchanges have displayed a zero value for the 
price and size of that side of a quote that is not firm while showing 
the actual price and size of the firm side of the quote. This has 
proved to be a less than optimal solution because it does not provide a 
way to indicate that there is bid or offer interest even if it is not 
available for automatic execution at that time. Bidding or offering at 
zero price and zero size means that no offer side or no bid side 
interests exists, which may not correctly reflect the actual state of 
the market. For this reason, OPRA is now proposing to add to Sections 
4.04 and 4.15 of the OPRA Spec two new codes:

[[Page 76059]]

``X'' to indicate that the offer side of a quote is not firm while the 
bid side is firm, and ``Y'' to indicate that the bid side of a quote is 
not firm while the offer side is firm. The use of ``X'' and ``Y'' in 
these circumstances is similar to the use of ``E'' and ``F'' by the CQS 
network in respect of stock quotations (the letter ``F'' is already 
used by OPRA and thus is unavailable for this purpose), so the concept 
should be familiar to most OPRA subscribers.
    Consistent with the addition of these two new codes to Sections 
4.04 and 4.15, Appendix D of the OPRA Spec, which describes how options 
Best Bids and Offers (BBOs) are determined, is proposed to be revised 
to provide that when one side of a quote is indicated as not firm, that 
side will not be considered for the purpose of determining what is the 
BBO in the subject option, but the firm side of the quote will be so 
considered.
    The text of the proposed amendment to the OPRA Plan is available at 
OPRA, the Commission's Public Reference Room, http://opradata.com, and 
on the Commission's Web site at http://www.sec.gov.

II. Implementation of the OPRA Plan Amendment

    OPRA designated this amendment as qualified to be put into effect 
upon filing with the Commission in accordance with clause (iii) of 
paragraph (b)(3) of Rule 608 under the Act \4\ since the proposed 
changes to the Data Recipient Interface Specification and Participant 
Interface Specification are solely technical or ministerial in nature. 
OPRA intends to implement the revised OPRA Spec in late January or 
early February, 2011, when the necessary systems work is expected to be 
completed by OPRA's Processor. As required by OPRA's Vendor and 
Subscriber Agreements, OPRA will provide its Vendors and Subscribers 
with not less than sixty days notice of this change.
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    \4\ 17 CFR 242.608(b)(3)(iii).
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    The Commission may summarily abrogate the amendment within sixty 
days of its filing and require refiling and approval of the amendment 
by Commission order pursuant to Rule 608(b)(2) under the Act \5\ if it 
appears to the Commission that such action is necessary or appropriate 
in the public interest, for the protection of investors, or the 
maintenance of fair and orderly markets, to remove impediments to, and 
perfect the mechanisms of, a national market system, or otherwise in 
furtherance of the purposes of the Act.
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    \5\ 17 CFR 242.608(b)(2).
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III. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an e-mail to rule-comments@sec.gov. Please include 
File No. SR-OPRA-2010-04 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street, NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-OPRA-2010-04. This file 
number should be included on the subject line if e-mail is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's 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 plan amendment that are 
filed with the Commission, and all written communications relating to 
the proposed plan amendment between the Commission and any person, 
other than those that may be withheld from the public in accordance 
with the provisions of 5 U.S.C. 552, will be available for Web site 
viewing and printing in the Commission's Public Reference Room, 100 F 
Street, NE., Washington, DC 20549, on official business days between 
the hours of 10 a.m. and 3 p.m. Copies of such filing also will be 
available for inspection and copying at the principal office of OPRA. 
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-OPRA-2010-04 
and should be submitted on or before December 28, 2010.
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    \6\ 17 CFR 200.30-3(a)(29).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\6\
Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010-30575 Filed 12-6-10; 8:45 am]
BILLING CODE 8011-01-P