Limit Up Limit Down Pilot Reports October 2015

MIAX Options

Description

Appendix A Obvious and Catastrophic Errors During Limit and Straddle States For the month of August 2015, the Exchange collected the following dataset containing the data for each Straddle and Limit State in optionable stocks. Trades Reviewed for Error Price Change GT 30 PCT in LULD Price Change GT 30 PCT After LULD Option Symbol Trade Date LULD Start Time Straddle Limit Indicator Executed Volume TW Avg MBBO Spread TW Avg Quote Bid Size TW Avg Quote Ask Size 10/5/2015 9:46:14 AM STRADDLE 10 3.45 0 0 1.65 1.65 N/A 0 0 10/9/2015 10:23:53 AM STRADDLE 10 4.9 0 16.51 0.5 0.5 N/A 0 0 10/21/2015 10:24:06 AM STRADDLE 11 7.08 0.51 9.94 7.1 7.1 N/A 1 1 GNC PVA-2016-03-18-P-2.00 CBIO-2016-05-20-C10.00 VRX-2015-10-23-P100.00 GNC-2015-11-20-P37.50 10/22/2015 2:41:47 PM STRADDLE 101 2.52 1.23 10 4.9 4.8 N/A 0 0 RAD RAD-2016-04-15-C-7.00 10/27/2015 12:45:24 PM STRADDLE 2 0.35 0 0 1.69 1.69 N/A 1 0 Stock Symbol PVA CBIO VRX High Execution Price Low Execution Price .