[ by Howard Haykin ]

Tomorrow, March 15, 2013, will be a quarterly Expiration Day for stock and index options and futures products whose settlement pricing is based upon NYSE and NYSE MKT (formerly, the Amex)  - collectively, the "Exchanges" - opening or closing prices on that day. 

NYSE Regulation once again has issued an Information Memorandum to remind Exchange members and member organizations of certain NYSE and NYSE MKT rules and policies regarding opening imbalance publications, entry and cancelation of market-on-close/limit-on-close ("MOC/LOC") and closing offset ("CO") orders, publication of on-the-close imbalances, and printing the closing transaction.

II. Expiration Day Opening Imbalance Publication.    The regular pre-opening procedures outlined in Rules 15 (Pre-Opening Indications) and 123D (Openings and Halts in Trading) apply on the March 15 Expiration Day.  Accordingly, DMMs should publish indications as promptly as practicable and are reminded of their additional obligations under Rule 123D to publish one or more indications, under the supervision of a Floor Official, in situations where the opening price would be affected by an imbalance of market and limit buy and sell orders in a security.

In the event that one or both of the Exchanges invokes its exemptive powers under Rule 48 (Exemptive Relief – Extreme Market Volatility Condition), the terms of that rule would govern the obligation to publish pre-opening indications.

Rules and Policies Relating to the Close.   MOC/LOC and CO Order Entry and Cancellation.   The provisions of Rule 123C (Closing Procedures) apply to the Close on the March 15 Expiration Day.  While the Exchanges expect systems to operate normally on March 15, in the unlikely event of a systems interruption leading into or at the Close, the Closing Procedures set out in Rule 123C would operate as if the Exchanges had declared a regulatory halt in one or more securities.

In the event that one or both of the Exchanges invoke its exemptive powers under Rule 123C(9) (Closing Procedures - Extreme Order Imbalances at or Near the Close), the terms of that rule would govern the handling of orders at the Close.

In connection with the entry of MOC/LOC and CO orders, members should pay particular attention to the following:

• A "published imbalance" is an imbalance that has been disseminated to the Tape. An imbalance announced verbally or physically posted at the panel is not considered to be a published imbalance. See Section III. B, in IM-13-3.  The Exchanges' Order Imbalance Information product, a data feed of real-time order imbalances that accumulate prior to the opening and the closing of trading on the Exchanges, does not constitute a "published imbalance."

• While all brokers and traders should enter orders as early in the day as possible, all MOC/LOC orders (unless entered to offset a published imbalance) must be entered electronically by 3:45 p.m. Entering MOC/LOC orders early provides DMMs with the opportunity to more quickly identify and disseminate potential order imbalances that might exist at the Close. This, in turn, enables brokers and traders to more effectively identify potential offsetting customer interest that could mitigate any imbalance. MOC/LOC and CO orders entered prior to 3:45 p.m. may be canceled or reduced prior to that time for any reason.

• After 3:45 p.m. Exchange systems will accept only MOC/LOC orders that offset a published imbalance and CO orders may be entered in any amount on either side of the market.

• Between 3:45 p.m. and 3:58 p.m., MOC/LOC and CO orders may be canceled or reduced in size only to correct a legitimate error.This also applies to instances where cancel/replace functionality is used.

• FINRA will continue to closely monitor the cancellation of MOC/LOC and CO orders.

• After 3:58 p.m., MOC/LOC and CO orders may not be cancelled, adjusted or reduced in size for any reason except in accordance with Rule 123C(9).

For further details on operating procedures, go to:   [NYSE IM 13-3, 3/13/13].