NYSE November Newsletter Outlining New Erroneous Trade Bust and Adjust Policies_November 2013

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NYSE November Newsletter Outlining New Erroneous Trade Bust and Adjust Policies_November 2013 Powered By Docstoc
					        November 2013

Welcome to the NYSE Euronext U.S. Options Market
Update. Here you can find fee changes, useful statistical    Changes to Obvious and Catastrophic
data, enhancements to existing trading technology,           Error Rules
connectivity updates, and new market data products.          Obvious Error Rules
INSIDE THIS ISSUE                                            In the past, Obvious Errors occurring between non-
 Changes to Obvious and Catastrophic Error Rules            Customers, other than two NYSE Market Makers, were
 Fee Changes                                                busted. However, effective November, 8, 2013, Obvious
 Price Protection Filters for Complex Orders                Errors occurring between all non-Customers are now
 Enhanced Testing Environment Introduction                  adjusted rather than busted.
 Market Data Changes
 Client Mock Trading Event                                  This means that any Firm, Market Maker, Away Market
 Options on Twitter                                         Maker, Professional Customer, or Broker-Dealer that is
                                                             involved in an Obvious Error, with any contra other than a
The most up-to-date NYSE Euronext U.S. Options fee
                                                             public Customer, will now have their trades adjusted.
schedules can be found here for NYSE Amex Options and here
for NYSE Arca Options.
                                                             Allowing these trades to stand, even at adjusted prices, is
                                                             advantageous to market professionals, who can now
                                                             maintain confidence in the status of their trades, even in
By The Numbers                                               the face of an Obvious Error review.
Option Volume for October 2013
                   Volume      Market Share
NYSE Euronext U.S. Options                                   Obvious Errors that involve Customers will continue to be
Equity Option Volume                                         busted, unless both parties mutually agree to an
NYSE Amex         49,778,451     13.80%                      adjustment price within 30 minutes. This consideration
NYSE Arca         40,413,402     11.20%                      protects Customers from adjustments that could
NYSE Total        90191853       25.00%                      potentially price them through their limit orders.
Total Option Volume
NYSE Amex         50,016,636     12.45%
NYSE Arca         40,730,853     10.14%
                                                             Catastrophic Error Rules
NYSE Total        90747489       22.59%
Equity Option ADV                                            Catastrophic Errors involving public Customers will
NYSE Amex         2,164,280      13.80%                      continue to be adjusted, unless the adjustment would
NYSE Arca         1,757,104      11.20%                      violate the Customer’s limit price. In this case, an ATP or
NYSE Total        3,641,409      25.00%                      OTP Holder acting as an agent for the Customer will have
Total Option ADV
                                                             30 minutes from the time they are notified to accept the
NYSE Amex         2,174,636      12.45%
NYSE Arca                        10.14%
                                                             proposed adjustment price. If they do not accept the
NYSE Total        3,667,753      22.59%
                                                             adjustment, the trade will be busted. Again, this protects
Source: OCC                                                  Customers from detrimental adjustments.
NYSE Amex and Arca Options is also revising the               For more information on the November fee changes,
thresholds that determine whether a trade can be              please visit our Trader Updates here for NYSE Amex
deemed a Catastrophic Error. These thresholds will also       changes and here for NYSE Arca.
represent the amount by which any adjustment price will
differ from Theoretical Value. The Theoretical Price
category of “Above $10 to $50” will be broken into            Price Protection Filter for Complex
“Above $10 to $20” and “Above $20 to $50”, making the         Orders
Theoretical Price ranges more responsive and dynamic in
the face of Catastrophic Errors.                              NYSE Amex and Arca Options has implemented new
                                                              functionality designed to enhance Complex order
Full text of the rule filing can be found here.               processing. This Price Protection Filter for Complex orders
                                                              will prevent possible execution from occurring at a price
For more information, please see our Trader Updates           significantly worse than the derived NBBO.
here for NYSE Amex and here for NYSE Arca.
                                                              This filter will automatically reject an incoming Electronic
                                                              Complex Order if the net debit/credit limit is priced
Fee Changes                                                   through the derived contra-side NBBO for the same
NYSE Amex Elimination of Cancellation Fees
                                                              strategy by a specified amount.
Effective November 1, 2013, NYSE Amex has eliminated
                                                              For more information, please visit here for NYSE Amex
the Cancellation Fees from the NYSE Amex Options Fee
                                                              and here for NYSE Arca.
Schedule. Previously, the Cancellation Fee was $1.50 for
each cancelled Customer order.
                                                              Enhanced Testing Environment
NYSE Arca Routing Fee Change
Effective November 1, 2013, NYSE Arca changed routing
fees for orders in Penny Pilot issues to conform to the       NYSE Amex and Arca Options has introduced an enhanced
routing fees for non-Penny Pilot issues. Orders in Penny      testing environment (Enhanced CERT) for its clients.
Pilot issues that are routed and executed on another          Testing in Enhanced CERT allows firms to be prepared for
market will now be charged an $0.11 per contract routing      upcoming technology changes in advance, helping clients
fee, in addition to any transaction fees charged by the       to establish seamless transitions to new functionality.
away market; the NYSE Arca take rate will also apply. This
fee applies to both Mini and standard option contracts.       Firms currently have the capability to test both Market
                                                              Maker Direct series download and global risk mechanisms
NYSE Arca LMM Rights Fees                                     in Enhanced CERT. Market Maker Direct series download
                                                              will create 30-day unique identifiers, which will produce a
NYSE Arca also introduced a modification to the new tier      more efficient process in the case of trade reviews. Global
for the Lead Market Maker Rights Fees. An issue allocated     risk mechanisms will count symbol-level risk breaches
as a result of a new listing that did not previously have     over a given timeframe. After multiple, successive
options listed on any other exchange will be charged a        symbol-level breaches, global risk mechanisms will cause
lower introductory six month LMM rights fee rate of $45 if    the rejection of quotes or orders on a global basis,
the resulting options Average Daily Volume is 100             requiring manual intervention for reactivation.
contracts or less. After six months, it will revert to the
standard schedule.                                            Clients are strongly encouraged to gain access to
                                                              Enhanced CERT and prepare for these improvements to
This six month period is effectively a grace period for the   risk mitigation in advance.
new issue to grow volume before the Rights Fee for an
underperforming issue is increased to the higher fee of       For more information, please visit our Trader Updates
the lowest tier. This change is only applicable to issues     here for NYSE Amex and here for NYSE Arca.
assigned to an LMM on or after October 1, 2013.
Market Data Changes for Testing

NYSE Amex and Arca will be introducing market data
redesigns which will go into effect in early 2014. These
changes are mandatory, and there will be multiple testing
milestones, starting in Q4 of 2013. This will be a non-
backward compatible design change, and we strongly
encourage NYSE Amex and Arca Options participants to
prepare for this transition in advance.

On Tuesday, November 12, NYSE Amex and Arca Options
hosted a webinar to discuss the upcoming redesign of
market data for U.S. Options, sharing information on new
market data specifications and protocol. A replay of the
Webinar will be available here by Friday, November 15,
2013. Listen in to gain insight into need-to-know details
about the upcoming changes.

Client Mock Trading Event

This Saturday, November 16, 2013, NYSE Amex and Arca
Options will be hosting a mock trading event to allow
clients to test new functionality. The systems will be
available from 9:00 am EST to 11:00 am EST.

For more information on the functionality being tested,
please visit our Trader Updates here for NYSE Amex and
here for NYSE Arca.

Twitter IPO
Twitter (TWTR) opened for trading on NYSE after its Initial
Public Offering on November 7, 2013. Options on Twitter
are expected to begin trading on NYSE Amex and NYSE
Arca Options on November 15, 2013. Short Term Options
Series in Twitter will also be introduced on November 15,

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