On January 18, the Chicago Board Options Exchange (CBOE) issued a proposed rule that would amend the continuous quoting obligations for preferred market-makers (PMMs). CBOE Rule 8.13(d) currently requires PMMs to provide continuous electronic quotes in at least 90% of the non-adjusted option series in each class in which it receives PMM orders. Under the proposed amendment, PMMs would be required to maintain continuous electronic quotes in the lesser of: (i) 99% of the non-adjusted option series that have a time to expiration of less than nine months; or (ii) 100% of the non-adjusted option series that have a time to expiration of less than nine months minus one call-put pair of each class for which it receives PMM orders. The term "call-put pair" means one call and one put that cover the same underlying instrument and have the same expiration date and exercise price. The proposed amendment also adds an interpretation to clarify that a PMM will receive a participation entitlement if it elects to disseminate quotes in series with a time to expiration of nine months or more.
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