October 7, 2013
In response to the memos regarding the proposed rule change to permit a two-hour look back window, I would concur with the statements made by Casey Securities in response to the Commissions 11 questions. The greatest impacts this rule change would have would be to create a more efficient way to relay price fills for the customer orders. Using a combo price that allows the trade to be reported without split or fractional prices is easier for customers to put into their positions. An option trade, either single leg or spread, can be adjusted delta neutral against combos to fit the market but those adjusted prices may be fractions. It is easier for the customer to book one price on each strike of a trade rather than booking multiple or split prices. This streamlines the customers booking process while leaving less room for clerical errors
We realize that the Commission is worried about the market impact this proposed rule change would have on electronically traded index options. Those who trade these highly volatile products and are familiar with the way their markets behave, understand that there is rarely, if ever, a resting bid or offer for a combo order on the electronic book. The persons who trade these products also understand that combo orders are traded as a hedge to other printed trading strategies. To see a combo print that corresponds to another trade has no volatility impact on the market place. We also welcome the Commission to assess the market impact of a two-hour look back window during the proposed pilot program. We are confident this rule change would have no negative impact on the market place, and would make trade reporting for our customers more streamlined and efficient.