BOX Options Enhanced Price Protection – NBB/NBO Parameter Change

Effective Tuesday, December 1, 2020, BOX Options (“BOX”) will implement the following change for Enhanced Price Protections:

• The price parameters for all incoming Limit Orders will be set at the price 100% greater than the NBO (for incoming buy orders), and 100% less than the NBB (for incoming sell orders), when the NBB/NBO is priced at or below $5.05; and the price parameters are set at the price 90% greater than the NBO (for incoming orders), and 90% less than the NBB (for incoming sell orders), when the NBB/NBO is priced above $5.05.

While the Exchange sets these price parameters to enhance price protection during continuous trading, BOX strongly encourages its Participants to specify their own threshold values on an underlying security basis, for: (i) the cut-off price, (ii) the price parameters, and (iii) minimum price variation. By setting their own threshold values, Participants are able to apply more restrictive controls when needed.

For more information about Enhanced Price Protection during Continuous Trading, see SR-BOX-  2016-05 and IC-2016-12.