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Options Trader Alert #2015 - 14
BX Options, NOM, and PHLX Introduce Volume-Based and Multi-Trigger Rapid Fire
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BX Options, NOM, and PHLX will introduce Volume-Based and Multi-Trigger Rapid Fire functionality complementing the existing Risk Monitor Mechanism. The new functionality is anticipated to be made available as follows:
The current Risk Monitor Mechanism, also known as “Rapid Fire,” removes Market Maker quotes submitted over the Specialized Quote Feed (SQF) and orders submitted over Ouch to Trade Options (OTTO), in the case of NOM, from the Exchange when certain firm-set thresholds are met. Once the thresholds are triggered, no further executions will occur for that Market Maker in that underlying unless new quotes are entered into the system with a re-entry flag. Rapid Fire settings are based on an aggregated percentage of volume executed for each series in a given underlying over a chosen time interval, for example 100% over a 10 second interval.
The new Volume-Based Rapid Fire will remove Market Maker quotes submitted over SQF and orders submitted over OTTO, in the case of NOM, when a Market Maker executes a number of contracts which equals or exceeds a designated number of contacts in all options series in a given underlying over a chosen interval, for example 250 contracts over a 10 second interval. Similar to the current percentage based Risk Monitor Rapid Fire, once the thresholds are triggered, no further executions will occur for that Market Maker in the underlying unless new quotes are entered into the system with a re-entry flag. Market Makers are required to utilize the current Risk Monitor Mechanism. Use of the Volume-Based Rapid Fire is optional.
The new Multi-Trigger Rapid Fire will remove Market Maker quotes submitted over SQF and orders submitted over OTTO, in the case of NOM, in all underlying symbols on the Exchange when the member/participant triggers a specified number of volume and/or percentage based events over a chosen interval, for example 5 events over a 10 second interval. If a member/participant has their quotes and orders, on NOM only, automatically removed by the system due to Multi-Trigger Rapid Fire, they will need to contact the Exchange to request Exchange staff to enable re-entry into the system. Use of the Multi-Trigger Rapid Fire is optional and may be set up on an individual Market Maker badge level or at a Group Level with multiple badges associated with the Group.
Technical details regarding Rapid Fire functionality were provided in Options Technical Update #2014-7 and are detailed in the and Specialized Quote Feed (SQF) and OTTO Specifications.
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