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Product LoginThursday, June 4, 2009
Options Trader Alert #2009 - 18
Important: NASDAQ OMX PHLX Announces PHLX XL II System Settings
Markets Impacted:
- NASDAQ OMX PHLX
Contact Information:
- Transaction Services U.S. Market Sales at +1 800 846 0477
What you need to know:
- Detailed values are now available for the PHLX XL II System Settings.
- The anticipated launch date for PHLX XL II is Friday, June 5, 2009.
What has been announced?
NASDAQ OMX PHLXSM (PHLX) has announced the PHLX XL II (XL II) System Settings values. This alert outlines essential timer information on:
- Opening
- Routing
- Quote Exhaust
- Market Exhaust
What is PHLX XL II?
On Friday, June 5, 2009, PHLX plans to launch XL II, a re-platformed version of the PHLX XL® (XL) system. XL II will offer current XL functionality and will include significant enhancements to the opening process, routing with various strategies and improved order and quote handling.
The XL II system replaces the XL system, and the symbol-by-symbol roll-out will be completed by August 2009. When a symbol is migrated to XL II, it will cease trading on the current system.
All rule number references are references to the PHLX Rules.
What are the system settings for the Opening?
The new Opening system settings are as follows:
- Open Delay – 120 seconds - A delay imposed if at least two XL II participants or the specialist have not submitted quotes and the market for the underlying has an opening trade or quote. Rule 1017(k)
- Imbalance Timer – 3 seconds - Amount of time the XL II system may wait before opening an option with an imbalance after broadcasting an Imbalance Message. Rule 1017(l)(iv)(A)
- Opening Quote Range Table – The table of values added to the offer and subtracted from the bid to establish PHLX’s maximum Opening Quote Range. Rule 1017(l)(iii)(A)
| Price low end of range | Price high end of range | Acceptable range (lowest bid – X or highest ask + X) | Range Multiplier for options that expire >9 months away |
|---|---|---|---|
| $0.00 | $1.00 | $0.25 | 2X |
| $1.01 | $3.00 | $0.40 | 2X |
| $3.01 | $5.00 | $0.50 | 2X |
| $5.01 | $10.00 | $0.80 | 2X |
| $10.01 | $20.00 | $1.00 | 2X |
| $20.01 | $40.00 | $2.00 | 2X |
| $40.01 | + | $3.00 | 2X |
- Number of Imbalance Process Iterations before an Opening with an Imbalance – 3 iterations - Number of times the system will repeat the imbalance process before opening with a remaining imbalance. Rule 1017(l)(iv)(C)(6)
- Duration to display orders in the PHLX quote before cancelling them back to the firm – 5 seconds - Amount of time unexecuted contracts from the imbalance, which were not traded or routed, will be displayed in the PHLX quote at the opening price prior to being cancelled back to the entering participant. Rule 1017(l)(iv)(C)(7)
What are the system settings for routing?
- Route timer – 1 second - Amount of time the system will allow XL II participants and other market participants to interact with a FIND or SRCH order before the order is routed to an away market during an opening or during normal trading. Rule 1017(l)(ii)(C), Rule 1080(m)(iv)(B) and (C)
What are the system settings for Quote Exhaust?
- Quote Exhaust Timer – 1 second - Amount of time after a quote has been exhausted during which any XL II participant may submit quotes, sweeps or orders to allow possible price improvement before PHLX trades at the next available price. Rule 1082(a)(ii)(B)(3)(a)
- Acceptable Range Table – The table of values added or subtracted from the reference price to establish PHLX’s Acceptable Range for executions of remaining contracts from an initiating quote or order. Rule 1082(a)(ii)(B)(3)(f)
| Reference Price = or > than | Reference Price = or < than | Acceptable range (RP – X or RP + X) | Range Multiplier for options that expire >9 months away |
|---|---|---|---|
| $0.00 | $1.00 | $0.25 | 2X |
| $1.01 | $3.00 | $0.40 | 2X |
| $3.01 | $5.00 | $0.50 | 2X |
| $5.01 | $10.00 | $0.80 | 2X |
| $10.01 | $20.00 | $1.00 | 2X |
| $20.01 | $40.00 | $2.00 | 2X |
| $40.01 | + | $3.00 | 2X |
- Duration to display orders after quote exhaust resolution before cancelling them back to the firm – 5 seconds - Amount of time unexecuted contracts from quote exhaust resolution will be displayed in the Exchange quote at the Acceptable Range price prior to being cancelled back to the entering participant. Rule 1082(a)(ii)(B)(3)(g)(iv)(A)(3)
What are the system settings for Market Exhaust?
- Market Exhaust Auction Period – 3 seconds - Amount of time the XL II system will wait before trading an option with an imbalance after broadcasting an Auction Notification Message. Rule 1082(a)(ii)(B)(4)(b)
- Valid Width Auction Quote Table – Maximum valid quote spread width for a quote to be used in a Market Exhaust Auction. Rule 1082(a)(ii)(B)(4)(d)(i)
| Bid Price = or > than | Bid Price < than | Acceptable range (Bid– X or Ask + X) | Range Multiplier for options that expire >9 months away |
|---|---|---|---|
| $0.00 | $2.00 | $0.40 | 2X |
| $2.00 | $5.00 | $0.80 | 2X |
| $5.00 | $10.00 | $1.00 | 2X |
| $10.00 | $20.00 | $1.60 | 2X |
| $20.00 | $40.00 | $2.00 | 2X |
| $40.00 | + | $4.00 | 2X |
- Number of Market Exhaust Auction Process Iterations before completing an auction with an imbalance – 0 iterations - Number of times the system will repeat the auction process before completing an auction with an imbalance Rule 1082(a)(ii)(B)(4)(d)(iv)(D)
- Duration to display orders after an Auction before cancelling them back to the firm – 5 seconds - Amount of time unexecuted contracts from the Auction not traded or routed will be displayed in the PHLX quote at the Auction price prior to being cancelled back to the entering participant. Rule 1082(a)(ii)(B)(4)(d)(iv)(D)
Where can I find more information?
- Refer to the PHLX XL II System Settings document on the NASDAQ OMX Trader® website.
- Refer to the XL II Frequently Asked Questions (FAQ) document on the NASDAQ OMX Trader website.
- Refer to the updated specification documents on the NASDAQ OMX Trader website.
- Contact the Technical Account Management Group (TAMG) at +1 215 496 5310.
- Contact Transaction Services U.S. Market Sales at +1 800 846 0477.
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