[Federal Register Volume 79, Number 60 (Friday, March 28, 2014)]
[Notices]
[Pages 17619-17621]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2014-06886]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-71774; File No. SR-CBOE-2014-020]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Notice of Filing and Immediate Effectiveness of a
Proposed Rule Change Relating to Certain CBOE Real-Time Data Feeds and
a New Book Depth Data Feed
March 24, 2014.
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 March 11, 2014, Chicago Board Options Exchange, Incorporated
(the ``Exchange'' or ``CBOE'') filed with the Securities and Exchange
Commission (the ``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
Chicago Board Options Exchange, Incorporated (the ``Exchange'' or
``CBOE'') proposes to (i) update the description of the data included
in certain CBOE real-time data feeds and (ii) offer a book depth data
feed for CBOE listed options. The text of the proposed rule change is
available on the Exchange's Web site (http://www.cboe.com/AboutCBOE/CBOELegalRegulatoryHome.aspx), at the Exchange's Office of the
Secretary, 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 (i) update the
description of the data included in the following CBOE real-time data
feeds: BBO Data Feed, Complex Order Book (``COB'') Data Feed and
Flexible Exchange option (``FLEX'') Data Feed, and (ii) offer a book
depth data feed for CBOE listed options.
BBO, COB and FLEX Data Feeds
The BBO Data Feed is a real-time, low latency data feed that
includes CBOE ``BBO data'' and last sale data.\3\ The BBO and last sale
data contained in the BBO Data Feed is identical to the data that CBOE
sends to the Options Price Reporting Authority (``OPRA'') for
redistribution to the public.\4\ The BBO Data Feed is made available by
CBOE's affiliate Market Data Express, LLC (``MDX'').
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\3\ The BBO Data Feed includes the ``best bid and offer,'' or
``BBO'', consisting of all outstanding quotes and standing orders at
the best available price level on each side of the market, with
aggregate size (``BBO data,'' sometimes referred to as ``top-of-book
data''). Data with respect to executed trades is referred to as
``last sale'' data. See Securities Exchange Act Release No. 69438
(April 23, 2013), 78 FR 25334 (April 30, 2013).
\4\ The Exchange notes that MDX makes available to Customers the
BBO data and last sale data that is included in the BBO Data Feed no
earlier than the time at which the Exchange sends that data to OPRA.
A ``Customer'' is any entity that receives the BBO Data Feed, either
directly from MDX's system or through a connection to MDX provided
by an approved redistributor (i.e., a market data vendor or an
extranet service provider) and then distributes it externally or
uses it internally.
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The BBO Data Feed also includes certain data that is not included
in the data sent to OPRA, namely, (i) totals of customer versus non-
customer contracts at the BBO, (ii) All-or-None contingency orders
priced better than or equal to the BBO, (iii) BBO data and last sale
data for complex strategies (e.g., spreads, straddles, buy-writes,
etc.), (iv) BBO data and last sale data for FLEX options traded on the
CBOE FLEX Hybrid Trading System, including BBO data and last sale data
for FLEX complex strategies (collectively, ``FLEX BBO data''), and (v)
expected opening price (``EOP'') and expected opening size (``EOS'')
information that is disseminated prior to the opening of the market and
during trading rotations (collectively, ``EOP/EOS data'').
The COB Data Feed is a real-time data feed that includes data
regarding the Exchange's Complex Order Book and related complex order
information. The COB Data Feed includes BBO quotes and identifying
information for all CBOE-traded complex order strategies, as well as
all executed CBOE complex order trades (and identifies whether the
trade was a customer trade, or whether a complex order in the COB is a
customer order).\5\ The FLEX Data Feed is a real-time data feed that
includes FLEX BBO data, as described above.\6\ The COB and FLEX Data
Feeds are both made available by MDX and are subsets of the BBO Data
Feed.
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\5\ See Securities Exchange Act Release No. 70118 (August 5,
2013), 78 FR 48757 (August 9, 2013).
\6\ See Securities Exchange Act Release No. 69438 (April 23,
2013), 78 FR 25334 (April 30, 2013).
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The Exchange, through MDX, plans to make additional data available
in the BBO, COB and FLEX Data Feeds and therefore proposes to update
the description of the data included in the feeds. Specifically, the
Exchange proposes to add end-of-day (``EOD'') summary messages and
recap messages to the feeds. EOD summary messages are messages that
will be disseminated after the close of a trading session that will
include summary information about trading in CBOE listed options. Such
information includes product name, opening price, high and low price
during the trading session and last sale price. Recap messages are
messages that will be disseminated during a trading session any time
there is a change in the open, high, low or last sale price of a CBOE
listed option. In addition to open, high, low and last sale prices,
such messages will also include product name and total volume traded in
the product during the trading session.
At this time, the Exchange does not intend to amend the fees for
the BBO and COB Data Feeds. The FLEX Data Feed is currently made
available at no charge.
[[Page 17620]]
Book Depth Data Feed
The Exchange proposes to make available, through MDX, a real-time,
low latency data feed that includes all outstanding quotes and standing
orders up to the first five price levels on each side of the market,
with aggregate size (``Book Depth Data Feed'').\7\ The Book Depth Data
Feed will also include all of the other data contained in the BBO Data
Feed (as described above), including last sale data and BBO and book
depth data for complex strategies.\8\ The data in the Book Depth Data
Feed would be refreshed periodically during the trading session.
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\7\ The Exchange notes that MDX will make available the BBO and
last sale data that is included in the Book Depth Data Feed no
earlier than the time at which the Exchange sends that data to OPRA.
\8\ With the introduction of the Book Depth Data Feed, the COB
Data Feed would also be enhanced to include book depth data for
complex strategies.
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The Exchange will file a separate proposed rule change to establish
the fees to be charged by MDX for the Book Depth Data Feed.
2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
the Securities Exchange Act of 1934 (the ``Act'') and the rules and
regulations thereunder applicable to the Exchange and, in particular,
the requirements of Section 6(b) of the Act.\9\ Specifically, the
Exchange believes the proposed rule change is consistent with the
Section 6(b)(5) \10\ requirements that the rules of an exchange be
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 regulating, clearing,
settling, processing information with respect to, and 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. Additionally,
the Exchange believes the proposed rule change is consistent with the
Section 6(b)(5) \11\ requirement that the rules of an exchange not be
designed to permit unfair discrimination between customers, issuers,
brokers, or dealers because the enhanced BBO, COB and FLEX Data Feeds
and the Book Depth Data Feed would be made available by MDX to any
market participant that wishes to subscribe to any of the feeds.
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\9\ 15 U.S.C. 78f(b).
\10\ 15 U.S.C. 78f(b)(5).
\11\ Id.
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In adopting Regulation NMS, the Commission granted self-regulatory
organizations and broker-dealers increased authority and flexibility to
offer new and unique market data to the public. It was believed that
this authority would expand the amount of data available to consumers,
and also spur innovation and competition for the provision of market
data. The Exchange believes that this proposal is in keeping with those
principles by promoting increased transparency through the
dissemination of useful data and also by clarifying its availability to
market participants. The Exchange believes that updating the
description of the BBO, COB and FLEX Data Feeds will benefit users by
making clearer what data is included in each feed. The Exchange
believes offering the Book Depth Data Feed will increase transparency,
help attract order flow and provide investors with additional
information that may help to inform their trading decisions.
B. Self-Regulatory Organization's Statement on Burden on Competition
CBOE does not believe that the proposed rule change will impose any
burden on competition that is not necessary or appropriate in
furtherance of the purposes of the Act. The proposal to update the
description of the BBO, COB and FLEX Data Feeds is intended not to
address any competitive issue but rather to reflect the data that is
included in the feeds. The Exchange notes other exchanges offer depth
of market products similar to the Book Depth Data Feed. For example,
BATS offers Multicast PITCH, which is their depth of market and last
sale feed similar to the Book Depth Data Feed. The International
Securities Exchange offers a data feed that shows the top five price
levels entitled Depth of Market. NASDAQ OMX PHLX offers a Depth of
Market data feed that includes full depth of quotes and orders and last
sale data for options listed on PHLX. NASDAQ Options Market offers a
product entitled ``NASDAQ ITCH-to-Trade Options'' (ITTO) that is
similar to the Book Depth Data Feed. NYSE offers market data products
entitled ``NYSE ArcaBook for Amex Options'' and ``NYSE ArcaBook for
Arca Options'' that include top-of-book, last sale and depth of quote
data. In addition, the OPRA data feed is a significant competitive
alternative to both the BBO Data Feed and the Book Depth Data Feed.
The Exchange believes the enhanced BBO, COB and FLEX Data Feeds and
the Book Depth Data Feed will help to attract new users and new order
flow to the Exchange, thereby improving the Exchange's ability to
compete in the market for options order flow and executions.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
The Exchange neither solicited nor received comments on the
proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Because the foregoing proposed rule change does not:
A. Significantly affect the protection of investors or the public
interest;
B. impose any significant burden on competition; and
C. 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 \12\ and
Rule 19b-4(f)(6) \13\ thereunder.
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\12\ 15 U.S.C. 78s(b)(3)(A).
\13\ 17 CFR 240.19b-4(f)(6).
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The Exchange has requested that the Commission waive the 30-day
operative delay so that the proposal may become operative immediately
upon filing. The Exchange has stated that it does not intend to amend
the fees for the BBO and COB Data Feeds, that the FLEX Data Feed is
currently made available at no charge, and that the proposed Book Depth
Data Feed mostly includes data already made available by the Exchange
through the BBO Data Feed. The Commission believes that waiving the 30-
day operative delay is consistent with the protection of investors and
the public interest, because such waiver will enable market
participants to receive more market data via the Exchange's new and
existing data feeds at no charge. For this reason, the Commission
hereby waives the 30-day operative delay requirement and designates the
proposed rule change to be operative upon filing.\14\
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\14\ For purposes only of waiving the operative delay for this
proposal, the Commission has considered the proposed rule's impact
on efficiency, competition, and capital formation. See 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 will institute proceedings to
determine whether the proposed rule change should be approved or
disapproved.
[[Page 17621]]
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 Number SR-CBOE-2014-020 on the subject line.
Paper Comments
Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.
All submissions should refer to File Number SR-CBOE-2014-020. 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 submissions. You
should submit only information that you wish to make available
publicly. All submissions should refer to File Number SR-CBOE-2014-020,
and should be submitted on or before April 18, 2014.
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\15\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\15\
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-06886 Filed 3-27-14; 8:45 am]
BILLING CODE 8011-01-P