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Friday, September 29, 2017

Options Regulatory Alert #2017 - 51
PHLX, NOM, BX, ISE, GEMX and MRX New Theoretical Price Calculator Tool for Obvious and Catastrophic Error Theoretical Price Determinations


  • Regulatory

Markets Impacted:

Contact Information:


Effective Monday, October 2, 2017, Nasdaq will begin using a new Theoretical Price Calculator Tool (“TP Tool”) for determining a theoretical price for obvious and catastrophic errors pursuant to NASDAQ Phlx Rule 1092, The NASDAQ Options Market Rule at Chapter V, Section 6, NASDAQ BX Rule at Chapter V, Section 6, Nasdaq, ISE Rule 720, Nasdaq GEMX Rule 720 and Nasdaq MRX Rule 720.

Nasdaq has chosen LiveVol Pro Market Data vendor TP Tool as the primary source to calculate a theoretical price during an obvious and catastrophic error trade review. When utilized, the TP Tool will calculate a theoretical bid/ask that will determine if a market participant bought erroneously high or sold erroneously low. The Nasdaq U.S. Options Exchange Officials’ rulings will be determined based on the TP Tool calculation.

The Securities and Exchange Commission approved the above-referenced obvious error rules as well as rules of other options exchanges, which exchange will also utilize the TP Tool when determining a theoretical price pursuant to their respective harmonized obvious error rules.

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