Description
7 Roszel Road, Suite 5-A
Princeton, New Jersey 08540
T 609 897 7300
F 609 987 2201
December 4, 2015
Via Electronic Mail
Mr. Brent J. Fields, Secretary
U.S. Securities and Exchange Commission
100 F Street, NE
Washington, DC 20549
RE:
Pilot Report of Obvious Errors and Catastrophic Errors During Limit or
Straddle States – October 2015
Dear Mr.
Fields: The Miami International Securities Exchange, LLC (“MIAX” or the “Exchange”) respectfully submits the following pilot report to the SEC and the public that includes a dataset containing the data for each Straddle and Limit State in optionable stocks found in Appendix A. MIAX has evaluated the impact of Limit and Straddle States and assessed the impact of the operation of obvious and catastrophic error rules during such periods. MIAX observed five (5) reportable activities during the month of October 2015 that would support any impact of Limit and Straddle States and the impact of the operation of obvious and catastrophic error rules. If you have any questions or comments, please contact me at (609) 897-1466. Sincerely, Edward Deitzel Executive Vice President Chief Regulatory Officer cc: David Shillman Heidi Pilpel . 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 .
Fields: The Miami International Securities Exchange, LLC (“MIAX” or the “Exchange”) respectfully submits the following pilot report to the SEC and the public that includes a dataset containing the data for each Straddle and Limit State in optionable stocks found in Appendix A. MIAX has evaluated the impact of Limit and Straddle States and assessed the impact of the operation of obvious and catastrophic error rules during such periods. MIAX observed five (5) reportable activities during the month of October 2015 that would support any impact of Limit and Straddle States and the impact of the operation of obvious and catastrophic error rules. If you have any questions or comments, please contact me at (609) 897-1466. Sincerely, Edward Deitzel Executive Vice President Chief Regulatory Officer cc: David Shillman Heidi Pilpel . 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 .
MIAX Options
