Effective February 3, 2012, the NYSE has modified its rules regarding pegging quotes. A pegging quote is a quote that is set to be available for execution at the national best bid or national best offer. This quote is automatically updated as the national best bid or offer (NBBO) changes, as long as the NBBO is at or within the quote’s limit price. Continue reading
Effective February 3, 2012, the NYSE has modified NYSE Rules 70.26 and 72 regarding pegging quotes. A pegging quote is a quote that is set to be available for execution at the national best bid or national best offer. This quote is automatically updated as the national best bid or offer (NBBO) changes, as long as the NBBO is at or within the quote’s limit price. Essentially, the broker states a range where they will match the national best bid or national best offer, and as long as the NBBO is in that range, the broker “pegs” their quote for the security to that value.
The changes are as follows:
-A pegging quote no longer matches the national best bid (or offer) if it would lock or cross the Exchange best offer (or bid). Instead, the quote matches the best-priced non-pegging quote that does not lock or cross the Exchange best offer (or bid).
-If the national best bid or offer is outside the price range chosen by the broker for a pegging quote, the quote matches the next available best-priced non-pegging quote within the selected price range.
-Brokers may no longer specify a maximum volume to limit the quotes that a pegging quote will match.
-A non-pegging quote at the Exchange best bid or offer is considered the setting interest, even if a pegging quote matches its price. The setting interest receives priority in allocation of executions.
Source: NYSE Information Memo 12-3
This alert applies to the Series 7. The Series 7 addresses NYSE rules, including Rules 70 and 72.
