1) 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
2) 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
