[Federal Register Volume 64, Number 135 (Thursday, July 15, 1999)]
[Notices]
[Page 38228]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 99-18112]



[[Page 38228]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-41598; File No. SR-NYSE-98-41]


Self-Regulatory Organizations; New York Stock Exchange, Inc.; 
Order Approving Proposed Rule Change and Amendment No. 1 to the 
Proposal Amending Opening Imbalance Publication Procedures for 
Expiration Days

July 6, 1999.

I. Introduction

    On November 25, 1998, the New York Stock Exchange, Inc. (``NYSE'' 
or ``Exchange'') filed with the Securities and Exchange Commission 
(``SEC'' or ``Commission''), pursuant to section 19(b)(1) of the 
Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 
thereunder,\2\ a proposed rule change to amend its opening imbalance 
publication procedures for expiration days.\3\ On March 22, 1999, the 
Exchange filed Amendment No. 1 to the proposed rule change.\4\ The 
proposed rule change, including Amendment No. 1, was published for 
comment in the Federal Register on May 11, 1999.\5\ The Commission 
received no comments on the proposal. This order approves the proposal, 
as amended.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ The term ``expiration day'' refers to the last business day 
prior to the expiration or settlement of derivative products.
    \4\ Letter from Donald Siemer, Director, Market Surveillance, 
NYSE, to Richard Strasser, Assistant Director, Division of Market 
Regulations, SEC, dated March 18, 1999 (``Amendment No. 1''). 
Amendment No. 1 clarified the Exchange's opening procedures for 
stocks underlying derivative index-related products on expiration 
days.
    \5\ Securities Exchange Act Release No. 41359 (May 3, 1999), 64 
FR 25387.
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II. Description of the Proposal

    The Exchange currently utilizes auxiliary opening procedures on 
expiration days.\6\ Currently, the auxiliary procedures require, among 
other things, that market order imbalances of 50,000 shares or more in 
stocks on the Exchange's ``special stock'' list \7\ be published as 
soon as practicable after 9:00 a.m. on expiration days. The Exchange 
proposes to amend its auxiliary opening procedure requiring market 
order imbalance publication on expiration days by eliminating the use 
of the special stock list. The proposed rule change would require 
publication of market order imbalances for all stocks with imbalances 
of 50,000 shares or more. In addition, the proposal would permit the 
publication of market order imbalances of less than 50,000 shares upon 
floor official approval.\8\
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    \6\ Modified opening procedures were first used on a pilot basis 
for the quarterly expiration on June 19, 1987. See Securities 
Exchange Act Release No. 24596 (June 16, 1987), 52 FR 23618 (June 
23, 1987). These procedures were approved permanently in Securities 
Exchange Act Release No. 25804 (June 15, 1988), 53 FR 23474 (June 
22, 1998) (File Nos. SR-NYSE-87-11) and SR-NYSE-88-04).
    \7\ The special stock list consists of the 50 most highly 
capitalized stocks in the S&P 500 Stock Price Index, any stocks in 
the Major Market Index (XMI) that are not among the 50, and the 10 
most highly capitalized stocks in the S&P 400 MidCap Index. See 
Securities Exchange Act Release No. 31732 (January 14, 1993), 58 FR 
6036 (January 25, 1993).
    \8\ The Exchange submitted a similar proposal eliminating the 
use of the special stock list for order imbalances published at the 
close and mandating that market-at-the-close (``MOC'') imbalances of 
50,000 shares or more be published for all stocks on any trading day 
and permitting the publication of order imbalances under 50,000 
shares upon floor official approval. See Securities Exchange Act 
Release No. 40094 (June 15, 1998), 63 FR 33975 (June 22, 1998); and 
NYSE Information Memo No. 98-20 (June 22, 1998).
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III. Definition

    The Commission finds that the proposed rule change is consistent 
with the requirements of the Act and the rules and regulations 
thereunder applicable to a national securities exchange.\9\ In 
particular, the Commission finds the proposed rule change is consistent 
with the requirements of section 6(b)(5) of the Act \10\ which 
requires, among other things, that the rules of an exchange be 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.
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    \9\ In approving this proposal, the Commission has considered 
the proposed rule's impact on efficiency, competition, and capital 
formation. 15 U.S.C. 78c(f).
    \10\ 15 U.S.C. 78f(b)(5).
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    The proposed rule change expands the number of stocks for which 
opening market order imbalances must be published. The current 
procedures require that market order imbalances be published for stocks 
contained on the Exchange's special stock list. The proposal, however, 
requires that market order imbalances of 50,000 or more shares be 
published for all stocks. Moreover, market order imbalances of under 
50,000 shares will be permitted to be published upon approval of a 
floor official.
    The proposed rule change is consistent with the requirements of the 
Act because it should provide market participants with more complete 
information concerning market order imbalances in all stocks at the 
opening on expiration days. The expansion of the coverage of the market 
order imbalance publication procedure should help specialists attract 
order flow, which could minimize volatility and lead to more orderly 
openings on expiration days.

IV. Conclusion

    It is therefore ordered, pursuant to section 19(b)(2) of the 
Act,\11\ that the proposed rule change (SR-NYSE-98-41), as amended, is 
approved.
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    \11\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\12\
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    \12\ 17 CFR 200.30-3(a)(12).
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Margaret M. McFarland,
Deputy Secretary.
[FR Doc. 99-18112 Filed 7-14-99; 8:45 am]
BILLING CODE 8010-01-M