[Federal Register Volume 78, Number 58 (Tuesday, March 26, 2013)]
[Notices]
[Pages 18403-18407]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2013-06787]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-69181; File No. SR-MIAX-2013-07]


Self-Regulatory Organizations; Miami International Securities 
Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed 
Rule Change To Adopt MIAX Rule 530, Limit Up-Limit Down

March 19, 2013.
    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 March 7, 2013, Miami International Securities Exchange LLC (``MIAX'' 
or ``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 Exchange. The 
Commission is publishing this notice to solicit comments on the 
proposed rule change 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 is filing a proposal to adopt new Exchange Rule 530, 
Limit Up-Limit Down (``LULD''), to provide for how the Exchange intends 
to treat options orders in response to the Plan to Address 
Extraordinary Market Volatility Pursuant to Rule 608 of Regulation NMS, 
as it may be amended from time to time (the ``Plan''). The Plan 
establishes procedures to address extraordinary volatility in NMS 
Stocks (as defined below). The proposed rule outlines MIAX's LULD 
processing for options overlying such NMS Stocks.
    The text of the proposed rule change is provided in Exhibit 5.\3\ 
The text of the proposed rule change is also available on the 
Exchange's Web site at http://www.miaxoptions.com/filter/wotitle/rule_filing, at MIAX's principal office, and at the Commission's Public 
Reference Room.
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    \3\ The Commission notes that Exhibit 5 is attached to the 
filing, not to this Notice.
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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 the 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The purpose of the proposed rule change is to adopt MIAX Rule 530 
to provide for how the Exchange proposes

[[Page 18404]]

to treat options orders in response to the Plan.
Background
    Since May 6, 2010, when the markets experienced excessive 
volatility in an abbreviated time period, i.e., the ``flash crash,'' 
the equities exchanges and The Financial Industry Regulatory Authority 
(``FINRA'') \4\ have implemented market-wide measures designed to 
restore investor confidence by reducing the potential for excessive 
market volatility.
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    \4\ FINRA is the largest independent regulator for all 
securities firms doing business in the United States. FINRA oversees 
approximately 4,275 brokerage firms, approximately 161,495 branch 
offices and approximately 630,010 registered securities 
representatives.
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    Among the measures adopted include pilot plans for stock-by-stock 
trading pauses, related changes to the equities market clearly 
erroneous execution rules, and more stringent equities market maker 
quoting requirements. On May 31, 2012, the Commission approved the 
Plan, as amended, on a one-year pilot basis.\5\ In addition, the 
Commission approved changes to the equities market-wide circuit breaker 
rules on a pilot basis to coincide with the pilot period for the 
Plan.\6\ The Plan is designed to prevent trades in individual NMS 
stocks from occurring outside of specified Price Bands.\7\ The instant 
proposed rule change is intended to adopt MIAX rules that address the 
trading of options overlying NMS Stocks that are the subject of the 
Plan and its provisions during times of unusual volatility in the 
markets.
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    \5\ See Securities Exchange Act Release No. 67091 (May 31, 
2012), 77 FR 33498 (June 6, 2012) (File No. 4-631) (Order Approving 
the Plan on a Pilot Basis).
    \6\ See Securities Exchange Act Release No. 67090 (May 31, 
2012), 77 FR 33531 (June 6, 2012) (SR-BATS-2011-038; SR-BYX-2011-
025; SR-BX-2011-068; SR-CBOE-2011-087; SR-C2-2011-024; SR-CHX-2011-
30; SR-EDGA-2011-31; SR-EDGX-2011-30; SR-FINRA-2011-054; SR-ISE-
2011-61; SR-NASDAQ-2011-131; SR-NSX-2011-11; SR-NYSE-2011-48; SR-
NYSEAmex-2011-73; SR-NYSEArca-2011-68; SR-Phlx-2011-129).
    \7\ Unless otherwise specified, capitalized terms used in this 
rule filing are based on the defined terms of the Plan.
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    The requirements of the Plan are coupled with Trading Pauses to 
accommodate more fundamental price moves (as opposed to erroneous 
trades or momentary gaps in liquidity). All trading centers in NMS 
stocks, including both those operated by Participants and those 
operated by members of Participants, are required to establish, 
maintain, and enforce written policies and procedures that are 
reasonably designed to comply with the requirements specified in the 
Plan.\8\
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    \8\ MIAX is currently an options exchange only, and thus 
currently does not trade NMS Stocks. Therefore, as of the date of 
this proposal, MIAX is not a Participant in the Plan.
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Limit State and Straddle State
    As set forth in more detail in the Plan, Price Bands consisting of 
a Lower Price Band and an Upper Price Band for each NMS Stock are 
calculated by the Processors.\9\ When the National Best Bid (Offer) is 
below (above) the Lower (Upper) Price Band, the Processors shall 
disseminate such National Best Bid (Offer) with an appropriate flag 
identifying it as non-executable. When the National Best Bid (Offer) is 
equal to the Upper (Lower) Price Band, the Processors shall distribute 
such National Best Bid (Offer) with an appropriate flag identifying it 
as a Limit State Quotation.\10\ All trading centers in NMS stocks must 
maintain written policies and procedures that are reasonably designed 
to prevent the display of offers below the Lower Price Band and bids 
above the Upper Price Band for NMS stocks. Notwithstanding this 
requirement, the Processor shall display an offer below the Lower Price 
Band or a bid above the Upper Price Band, with a flag indicating that 
it is non-executable. Such bids or offers shall not be included in the 
National Best Bid or National Best Offer calculations.\11\ Trading in 
an NMS stock immediately enters a Limit State if the National Best 
Offer (Bid) equals but does not cross the Lower (Upper) Price Band.\12\ 
Trading for an NMS stock exits a Limit State if, within 15 seconds of 
entering the Limit State, all Limit State Quotations were executed or 
canceled in their entirety. If the market does not exit a Limit State 
within 15 seconds, then the Primary Listing Exchange would declare a 
five-minute trading pause pursuant to Section VII of the Plan, which 
would be applicable to all markets trading the security.\13\
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    \9\ See Section V(A) of the Plan.
    \10\ See Section VI(A) of the Plan.
    \11\ See Section VI(A)(3) of the Plan.
    \12\ See Section VI(B)(1) of the Plan.
    \13\ The primary listing market would declare a Trading Pause in 
an NMS stock; upon notification by the primary listing market, the 
Processor would disseminate this information to the public. No 
trades in that NMS stock could occur during the trading pause, but 
all bids and offers may be displayed. See Section VII(A) of the 
Plan.
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    In addition, the Plan defines a Straddle State as when the National 
Best Bid (Offer) is below (above) the Lower (Upper) Price Band and the 
NMS stock is not in a Limit State. For example, assume the Lower Price 
Band for an NMS Stock is $9.50 and the Upper Price Band is $10.50, such 
NMS stock would be in a Straddle State if the National Best Bid were 
below $9.50, and therefore non-executable, and the National Best Offer 
were above $9.50 (including a National Best Offer that could be above 
$10.50). If an NMS stock is in a Straddle State and trading in that 
stock deviates from normal trading characteristics, the Primary Listing 
Exchange may declare a trading pause for that NMS stock if such Trading 
Pause would support the Plan's goal to address extraordinary market 
volatility.
The Proposal
    MIAX is not a Participant in the Plan because it does not list and 
trade NMS Stocks. MIAX lists and trades options overlying NMS Stocks. 
Trading in options overlying NMS Stocks is impacted by the 
implementation of the Plan because options pricing models are highly 
dependent on the price of the underlying security and the ability of 
options traders to effect hedging transactions in the underlying 
security. Thus, proposed MIAX Rule 530 would provide for how the 
Exchange will treat orders and quotes in options overlying NMS stocks 
when the Plan is in effect.
Pilot Period
    Proposed Rule 530 includes an introductory paragraph stating that 
the rule shall be in effect during a pilot period to coincide with the 
pilot period for the Plan, and that the proposed rule establishes 
procedures to address extraordinary volatility in NMS Stocks and 
outlines MIAX's Limit Up-Limit Down processing.
Definitions
    Proposed Rule 530(a) lists definitions that are identical to 
definitions set forth in the Plan. The capitalized terms in proposed 
Rule 530(a) and throughout the MIAX rules shall have the same meaning 
as provided for in the Plan. The definitions set forth in proposed Rule 
530 are as follows:
    ``Eligible Reported Transactions'' shall have the meaning 
prescribed by the Operating Committee of the Plan (as defined below) 
and shall generally mean transactions that are eligible to update the 
last sale price of an NMS Stock.
    ``Limit State'' shall have the meaning provided in Section VI of 
the Plan. When a National Best Bid is below the Lower Price Band 
calculated by the Processor (as defined below) for an NMS Stock or a 
National Best Offer is above the Upper Price Band calculated by the 
Processor for an NMS Stock, the Processor will disseminate such 
National Best Bid or National Best Offer with an appropriate flag 
identifying it as non-executable. When a National Best Offer is equal 
to the Lower Price Band or a National Best Bid is equal to the Upper 
Price Band for an NMS Stock, the

[[Page 18405]]

Processor will distribute such National Best Bid or National Best Offer 
with an appropriate flag identifying it as a ``Limit State Quotation''.
    ``LULD Functionality'' shall mean the specific processing logic 
applied by the Exchange System to options traded on the Exchange when 
the underlying NMS Stock has entered into a Limit State or Straddle 
State. LULD Functionality remains in effect for the duration that the 
underlying NMS Stock is in a Limit State or a Straddle State.
    ``Market Data Plan'' shall mean the effective national market 
system plans through which the Participants act jointly to disseminate 
consolidated information in compliance with Rule 603(b) of Regulation 
NMS under the Exchange Act.
    ``Plan'' shall mean the Plan to Address Extraordinary Market 
Volatility Submitted to the SEC pursuant to Rule 608 of Regulation NMS 
under the Exchange Act, as amended from time to time in accordance with 
its provisions.
    ``Primary Listing Exchange'' shall mean the Participant on which an 
NMS Stock is listed. If an NMS Stock is listed on more than one 
Participant, the Participant on which the NMS Stock has been listed the 
longest shall be the Primary Listing Exchange.
    ``Processor'' shall mean the single plan processor responsible for 
the consolidation of information for an NMS Stock pursuant to Rule 
603(b) of Regulation NMS under the Exchange Act.
    ``Participant'' shall mean a party to the Plan.
    ``Regular Trading Hours'' shall have the meaning provided in Rule 
600(b)(64) of Regulation NMS under the Exchange Act. For purposes of 
the Plan, Regular Trading Hours can end earlier than 4:00 p.m. ET in 
the case of an early scheduled close.
    ``Regulatory Halt'' shall have the meaning specified in the Market 
Data Plans.
    ``Straddle State'' shall have the meaning provided in Section 
VII(A)(2) of the Plan. An NMS Stock is in a Straddle State when the 
National Best Bid (Offer) is below (above) the Lower (Upper) Price Band 
and the NMS Stock is not in a Limit State, and trading in that NMS 
Stock deviates from normal trading characteristics such that declaring 
a Trading Pause would support the Plan's goal to address extraordinary 
market volatility.
    ``Trading Pause'' shall have the meaning provided in Section VII of 
the Plan. If trading for an NMS Stock does not exit a Limit State 
within 15 seconds of entry during Regular Trading Hours, then the 
Primary Listing Exchange will declare a Trading Pause for such NMS 
Stock and shall notify the Processor. The Primary Listing Exchange may 
also declare a Trading Pause for an NMS Stock when an NMS Stock is in a 
Straddle State.
General Statement of LULD Functionality on MIAX
    Proposed Rule 530(b) states that LULD Functionality becomes 
effective for an option traded on the Exchange when the underlying NMS 
Stock has entered into a Limit State or Straddle State. LULD 
Functionality remains in effect for the duration that the underlying 
NMS Stock is in a Limit State or a Straddle State. LULD Functionality 
modifies the normal operation of the Exchange System in ways identified 
by this Rule. LULD Functionality ends when the underlying NMS Stock is 
no longer in a Limit State or a Straddle State, or when a Trading Pause 
is declared by the Primary Listing Exchange.
    The purpose of this provision is to establish in the Exchange's 
rules, and thus notify investors, that the Exchange will respond by 
modifying the normal operation of the Exchange's System when an 
underlying NMS Stock is in a Limit State or a Straddle State.
Determining Straddle States and Limit States
    Proposed Rule 530(c) states that the Exchange shall use the SIP 
feed (CQS for Tape A and Tape B securities and UQDF for Tape C 
securities) to determine when an NMS Stock is in a Limit State or a 
Straddle State, and when such Limit State or Straddle State no longer 
exists.
Handling of Orders During Straddle States and Limit States
    Proposed Rule 530(d) describes how orders will be handled during a 
Limit State and Straddle State in the underlying NMS Stock. Under new 
Rule 530(d)(1), the opening in an option will not commence in the event 
that the underlying NMS stock is open, but has entered into a Limit 
State or Straddle State. If this occurs, the opening will only commence 
and complete if the underlying NMS stock exits, and stays out of, a 
Limit or Straddle State.
    Accordingly, new Rule 530(d)(1) will provide that the Exchange will 
not open an affected option. As a result, if an opening process is 
occurring, it will cease and then start the opening process from the 
beginning once the Limit State or Straddle State is no longer present. 
This is consistent with the provisions of Exchange Rule 504(a)(1) that 
states that the System may halt trading in the case of an option on a 
security, when trading in the underlying security has been halted or 
suspended in the primary market.
Rejection of Incoming Market Orders
    The Exchange proposes to adopt provisions regarding the treatment 
of certain orders if the underlying NMS stock is in a Limit State or 
Straddle State. Whenever an NMS stock is in a Limit State or Straddle 
State, trading continues; however, there will not be a reliable price 
for a security to serve as a benchmark for the price of the option. For 
example, if the underlying NMS stock is in a Limit State, while trading 
in that stock continues, by being in a Limit State, there will be 
either cancellations or executions at that price, and if the Limit 
State is not resolved in 15 seconds, the NMS Stock will enter a Trading 
Pause. If an NMS stock is in a Straddle State, there is either a 
National Best Bid or National Best Offer that is non-executable, which 
could result in limited price discovery in the underlying NMS stock. In 
addition to the lack of a reliable underlying reference price, the 
Exchange believes that the width of the markets and quality of the 
execution for market participants during a Limit State or Straddle 
State could lead to inferior executions. The Exchange believes that 
certain types of orders increase the risk of errors and poor executions 
and therefore should not be allowed during these times when there may 
not be a reliable underlying reference price, there may be a wide bid/
ask quotation differential, and there may be lower trading liquidity in 
the options markets.
    Therefore, the Exchange proposes that if an NMS stock is in a Limit 
State or Straddle State, once the option has opened for trading, the 
Exchange shall reject all incoming market orders submitted into the 
Exchange's System.
    In order to provide clarity in the Exchange's rules concerning 
market order cancellations during a Limit or Straddle State, the 
Exchange proposes to adopt proposed Rule 530(d)(2)(ii), which states 
that the Exchange will cancel all unexecuted market orders existing 
within the Exchange System during a Limit or Straddle State. Market 
orders to sell an option received when the national best bid is zero 
and the Exchange's disseminated offer is equal to or less than $0.10 
that have been converted to limit orders to sell pursuant to Rule 
519(a) \14\ will not be

[[Page 18406]]

cancelled by the Exchange's System. Although such orders were submitted 
as market orders, due to the zero-bid at the time of receipt of such 
orders, they are not maintained as market orders in the Exchange's 
System but instead are converted into limit orders to sell at the 
minimum price variation (``MPV'') applicable to the affected series, 
provided that the MPV is equal to or less than $0.10. Proposed Rule 
530(d)(2)(ii) would therefore state that once an NMS Stock has entered 
either a Straddle State or Limit State, after the opening the Exchange 
will cancel all unexecuted market orders existing within the Exchange 
System, except that market orders to sell an option received when the 
national best bid is zero and the Exchange's disseminated offer is 
equal to or less than $0.10 that have been converted to limit orders to 
sell pursuant to Rule 519(a) will not be cancelled by the Exchange's 
System.
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    \14\ If the Exchange receives a market order to sell an option 
when the national best bid is zero and the Exchange's disseminated 
offer is equal to or less than $0.10, the System will convert the 
market order to sell to a limit order to sell with a limit price of 
one Minimum Trading Increment. In this case, such sell orders will 
automatically be placed on the Book in time priority and will be 
displayed at the appropriate Minimum Price Variation. See Exchange 
Rule 519(a)(1).
    If the Exchange receives a market order to sell an option when 
the national best bid is zero and the national best offer is greater 
than $0.10, the System will reject the market order to sell. See 
Exchange Rule 519(a)(2).
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    The Exchange believes that adding certainty to the treatment of 
market orders when the underlying NMS stock is in these situations 
should encourage market participants to continue to provide liquidity 
to the Exchange and thus promote a fair and orderly market.
    The Exchange also proposes to adopt Rule 530(e), which provides 
that the Exchange shall halt trading in all options whenever the 
equities markets initiate a market-wide trading halt commonly known as 
a circuit breaker in response to extraordinary market conditions. 
Although the Exchange's rules currently address a variety of situations 
involving halts, pauses and suspensions,\15\ the purpose of this 
proposed rule is to adopt a very specific rule to deal with circuit 
breaker-related halts.
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    \15\ See, e.g., Exchange Rules 504, 506(d), 515 and 523.
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2. Statutory Basis
    The Exchange believes the proposed rule change is consistent with 
the provisions of Section 6 of the Act,\16\ in general, and with 
Section 6(b)(5) of the Act,\17\ in particular, which requires that the 
rules of an exchange be designed to prevent fraudulent and manipulative 
acts and practices, promote just and equitable principles of trade, 
foster cooperation and coordination with persons engaged in regulating, 
clearing, settling, processing information with respect to, and 
facilitating transactions in securities, remove impediments to and 
perfect the mechanism of a free and open market and a national market 
system, and, in general, protect investors and the public interest, 
because it should provide certainty about how options orders and trades 
will be handled during periods of extraordinary volatility in the 
underlying security.
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    \16\ 15 U.S.C. 78f.
    \17\ 15 U.S.C. 78f(b)(5).
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    The proposed rule change addresses specific order types that are 
subject to added risks during such periods. The Exchange believes that 
the rejection of options market orders should help to prevent 
executions that might occur at prices that have not been reliably 
formed, which should, in turn, protect investors from poor executions 
during times of significant volatility.
    Accordingly, the Exchange believes that the proposed rule change is 
consistent with these requirements in that it should reduce the 
negative impacts of sudden, unanticipated volatility in individual 
options, and serve to preserve an orderly market in a transparent and 
uniform manner, enhance the price-discovery process, increase overall 
market confidence, and promote fair and orderly markets and the 
protection of investors.

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.
    Specifically, the proposal does not impose a burden on competition 
among the options exchanges, because, despite the intense competition 
for order flow among the options exchanges, the proposal addresses a 
regulatory situation common to all options exchanges. To the extent 
that market participants disagree with the particular approach taken by 
the Exchange in the instant proposal, market participants are certainly 
able to direct order flow to competing venues.
    The Exchange believes this proposal for how to treat options 
openings and orders will not impose a burden on competition and will 
help provide certainty during periods of extraordinary volatility in an 
NMS stock.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    Written comments were neither solicited or received.

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 \18\ and Rule 19b-4(f)(6) thereunder.\19\ 
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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    \18\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \19\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6) 
requires the Exchange to give the Commission written notice of the 
Exchange's intent to file the proposed rule change, along with a 
brief description and 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.
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    At any time within 60 days of the filing of such 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 under 
Section 19(b)(2)(B) of the Act \20\ to determine whether the proposed 
rule change should be approved or disapproved.
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    \20\ 15 U.S.C. 78s(b)(2)(B).
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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 [email protected]. Please include 
File

[[Page 18407]]

No. SR-MIAX-2013-07 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 No. SR-MIAX-2013-07. 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 No. SR-MIAX-2013-07 and should be 
submitted on or before April 16, 2013.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\21\
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    \21\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2013-06787 Filed 3-25-13; 8:45 am]
BILLING CODE 8011-01-P