Rule Alert! CBOE: Notice of Filing and Immediate Effectiveness of a Proposed Rule Change to Enhance and Clarify its Price Adjust Process for Certain Market-Maker Interest, Specifically Book Only Orders and Bulk Messages Submitted Through Bulk Ports
Modify the Bulk Message Fat Finger Check
CBOE: Notice of Filing and Immediate Effectiveness of a Proposed Rule Change to Enhance and Clarify its Price Adjust Process for Certain Market-Maker Interest, Specifically Book Only Orders and Bulk Messages Submitted Through Bulk Ports and Modify the Bulk Message Fat Finger Check (Release No. 34-92518; File No. SR-CBOE-2021-042); see also Exhibit 5
EDIT: Wut mean? This is one of those I am not 100% on out the gate, trying to read and pull excerpts for the wrinkled Apes to more easily comment on.
At first read here, this appears to change the price ranking mechanism for market-makers. I would imagine this has to impact in some way, just not through it yet to confidently say one way or the other.
pg. 7:
Finally, the proposed rule change deletes the concept of repricing a Price Adjust order based on the presence of an AON order. As set forth in Rule 5.32(b)(1), if an incoming order would lock the price of an AON resting on the book, the System reprices the AON rather than the incoming order. Therefore, if the AON is no longer in the book, there would be no reason to reprice the other order, making the reference to AON in subparagraph (2) regarding repricing is unnecessary.
The proposed rule change indicates that the Exchange may also determine a minimum and maximum dollar value for the bulk message fat finger check.16
The Exchange believes Market-Makers may be willing to accept an execution at a price beyond the NBBO at the time of order entry, but not too far away. The purpose of the fat finger check is intended to reject bulk message bids and offers that on their face are likely to be entered at erroneous prices and thus prevent potentially erroneous executions.
The proposed rule change to permit the Exchange to set a minimum and maximum value will provide the Exchange with the opportunity to set a meaningful buffer that is not โtoo closeโ to the NBBO (in other words, a de minimis buffer) but not โtoo farโ from the NBBO (in other words, a buffer that is more likely to accept erroneously priced bulk messages). The proposed rule change also permits the Exchange to set the relevant amounts for the bulk message fat finger check on a class-by-class basis. Option classes have different characteristics and trading models, and the proposed flexibility will permit the Exchange to apply different parameters to address those differences.
16 The proposed rule change also makes a nonsubstantive change to say the System cancels or rejects any bulk message bid (offer more than a buffer amount above (below) the NBO (NBB) to align the language with other rules.)
https://www.bloombergquint.com/business/what-are-fat-fingers-and-why-don-t-they-go-away-quicktake So some 'glitches' could be 'fat fingers'? Crossing my fingers this doesn't send u/dlauer after me for bungling the term usage!
