
[Federal Register: October 8, 2009 (Volume 74, Number 194)]
[Notices]               
[Page 51891-51895]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr08oc09-91]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-60776; File No. SR-NASDAQ-2009-086]

 
Self-Regulatory Organizations; The NASDAQ Stock Market LLC; 
Notice of Filing and Immediate Effectiveness of a Proposal To Amend 
NASDAQ Rule 11890 Governing Clearly Erroneous Executions

October 2, 2009.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on October 1, 2009, The NASDAQ Stock Market LLC (``Exchange'' or 
``NASDAQ'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I and 
II below, which Items have been prepared by the Exchange. NASDAQ has 
designated the proposed rule change as constituting a rule change under 
Rule 19b-4(f)(6) under the Act,\3\ which renders the proposal effective 
upon filing with the Commission. The Commission is publishing this 
notice to solicit comments on the proposed rule change from interested 
persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 17 CFR 240.19b-4(f)(6).
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 I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    NASDAQ is proposing to amend NASDAQ Rule 11890 governing clearly 
erroneous executions. The text of the filing is available at http://
nasdaqomx.cchwallstreet.com and at the Commission's Public Reference 
Room.

 II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the self-regulatory organization 
included statements concerning the purpose of and basis for the 
proposed rule change and discussed any comments it received on the 
proposed rule change. The text of those statements may be examined at 
the places specified in Item IV below. NASDAQ has prepared summaries, 
set forth in sections A, B, and C below, of the most significant parts 
of such statements.

 A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

 1. Purpose
    NASDAQ proposes to amend NASDAQ Rule 11890 in order to improve the 
exchange's rule regarding clearly erroneous executions. The proposed 
changes are part of a market-wide effort designed to provide 
transparency and finality with respect to clearly erroneous executions. 
This effort seeks to achieve consistent results for participants across 
U.S. equities exchanges while maintaining a fair and orderly market, 
protecting investors and protecting the public interest. In addition, 
NASDAQ has attempted to shorten and combine existing sections of Rule 
11890 and has incorporated all of the prior Interpretive Materials into 
the body of the rule. NASDAQ believes this will create a clearer and 
more concise rule that will assist market participants in complying 
with its terms. The proposed changes are more fully discussed below.
    Definition
    NASDAQ will amend the meaning of the definition of a clearly 
erroneous execution, to add clarifying language with respect to 
cancelled trades. The proposed change identifies that a transaction 
made in error and agreed to be canceled by both parties or determined 
by NASDAQ to be clearly erroneous will be removed from the Consolidated 
Tape. A trade will only be removed from the Consolidated Tape when the 
determination is deemed final and any applicable appeals have been 
exhausted.
    Member Initiated Review Requests
    NASDAQ proposes to amend Rule 11890 to update the procedures for 
requesting a review of a clearly erroneous transaction. NASDAQ proposes 
that requests for review must be received by the exchange within 30 
minutes of the execution time for orders initially routed to and 
executed on NASDAQ. This is consistent with NASDAQ's current practice 
and will be applied uniformly by other markets to provide a level of 
consistency and certainty across market centers. As is the case under 
the current rule, NASDAQ proposes that members submit certain essential 
identifying information with the request including the time of the 
transaction(s), security

[[Page 51892]]

symbol(s), number of shares, price(s), side (bought or sold), and 
factual basis for believing that the trade is clearly erroneous. The 
current rule allows members additional time to file at market open. 
However, NASDAQ believes that a uniform 30 minutes is an appropriate 
time frame for all trades that affords the requesting party sufficient 
time to gather and submit all required information.
    The proposed rule also requires NASDAQ to notify the counterparty 
to a trade upon receipt of a timely filed request for review that 
satisfies the numerical guidelines set forth within the Rule (referred 
to in the proposed amendments as ``Numerical Guidelines,'' which are 
discussed in detail below). This proposed language eliminates the 
requirement that counterparties be notified of every request for a 
ruling and instead requires notice only when a request is filed in a 
timely manner and satisfies the Numerical Guidelines. This change 
alleviates the burden on NASDAQ of notifying the counterparties when a 
request for review does not merit a ruling to break the trades at 
issue.
    In addition, notification may be by one of several means, including 
press release, system status, Web posting or any other method 
reasonably expected to provide rapid notice to many market 
participants. For example, NASDAQ anticipates streamlining the 
notification process for counterparties when NASDAQ receives a high 
volume of clearly erroneous filings. In such circumstances it might 
issue an electronic system status message indicating which trades were 
under review instead of more time consuming individual calls to each 
counterparty. This will benefit market participants by expediting 
notification that trades are under review and the decision with respect 
to particular trades. NASDAQ would advise market participants of what 
notification processes it will use through a Notice to Members or Head 
Trader Alert.
    Routed Executions
    NASDAQ proposes to give other market centers an additional 30 
minutes from the receipt of their participant's timely filing to 
request a ruling, but no longer than 60 minutes from the time of the 
execution under review. This provision accounts for those executions 
initially directed to an away market center and subsequently routed by 
that away market center to NASDAQ.
    For example, assume an order is initially routed by a participant 
to Market Center A and subsequently routed to NASDAQ where the order is 
executed at a price outside of the Numerical Guidelines. Without 
additional time Market Center A might be late in filing with NASDAQ if 
its customer takes almost 30 minutes to file the original complaint. 
The proposal would give Market Center A up to 30 additional minutes 
from the time its customer files with Market Center A to file with 
NASDAQ for review. This provision caps the filing deadline for an away 
market center at 60 minutes from the time of the execution under 
review.
    Outlier Transactions
    The proposed amendments to Rule 11890 provide that an Official \4\ 
may consider requests for review received after thirty minutes, but not 
longer than sixty minutes after the execution in question in the case 
of an Outlier Transaction. An Outlier Transaction is a transaction 
where (1) the execution price of the security is greater than three 
times the current Numerical Guidelines, or (2) the execution price of 
the security breaches the 52-week high or low, in which case NASDAQ may 
consider Additional Factors to determine if the transaction qualifies 
for review or if NASDAQ shall decline to act.
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    \4\ As is the case under the current Rule 11890, designated 
employees of NASDAQ (``Officials'') would have authority to review 
member initiated requests under Rule 11890(a).
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    Deletion of Current Rule 11890(a)(2)(D) Inside Price Minimum 
Thresholds
    NASDAQ proposes to delete the inside price minimum thresholds that 
currently apply to transactions during regular market hours (9:30 a.m. 
to 4:00 p.m.). These thresholds establish which trades are eligible for 
review and are different than the Numerical Guidelines. NASDAQ believes 
that these thresholds, which predate the use of Numerical Guidelines, 
add an extra layer of complexity to the filing process without 
providing any meaningful benefit to investors or NASDAQ.
    Numerical Guidelines
    Currently, the Interpretive Materials to Rule 11890 provide 
specific numerical guidelines for determining what constitutes a 
clearly erroneous transaction. NASDAQ proposes codifying these 
numerical thresholds, referred to as ``Numerical Guidelines,'' in the 
rule to explicitly state what constitutes a clearly erroneous 
execution. The proposal also adds Numerical Guidelines for leveraged 
ETFs and ETNs, which are securities that have become increasingly 
popular since the original numerical thresholds were adopted. The 
proposed Numerical Guidelines state that a transaction executed during 
the Core Trading Session \5\ or the Opening and Late Trading Sessions 
\6\ may be found to be clearly erroneous only if the price of the 
transaction is greater in the case of a buy, or less in the case of a 
sale, than the reference price by an amount that equals or exceeds the 
Numerical Guidelines for a particular transaction category. The 
Reference Price shall be equal to the consolidated last sale 
immediately prior to the execution under review, unless unusual 
circumstances are present.
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    \5\ The Core Trading Session begins at 9:30:00 a.m. and ends at 
4:00:00 p.m. The Core Trading Session includes the NASDAQ Closing 
Crosses, which are sometimes disseminated to the market a few 
seconds after 4 p.m. due to the cross calculation process.
    \6\ The Opening Session begins at 07:00:00 a.m. and concludes 
with the start of the Core Trading Session. The Late Trading Session 
begins at the end of the Core Trading Session and continues until 
8:00:00 p.m.
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    The proposed Numerical Guidelines for sales greater than $0.00 and 
up to and including $25.00 are 10% for the Core Trading Session and 20% 
for the Opening and Late Trading Sessions. The proposed Numerical 
Guidelines for sales greater than $25.00 up to and including $50.00 are 
5% for the Core Trading Session and 10% for Opening and Late Trading 
Sessions. The proposed Numerical Guidelines for sales greater than 
$50.00 are 3% for the Core Trading Session and 6% for Opening and Late 
Trading Sessions. A filing involving five or more securities by the 
same member may be considered a ``Multi-Stock Event.'' In the case of a 
Multi-Stock Event, the proposed guidelines are 10% for the Core Trading 
Session and 10% for the Opening and Late Trading Sessions. In the case 
of Leveraged ETF/ETN securities, the above guidelines are to be 
multiplied by the leverage multiplier of the security. Executions that 
do not meet or exceed the Numerical Guidelines will not be eligible to 
be broken under this section. The following chart summarizes the 
proposed Numerical Guidelines.

[[Page 51893]]



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                                               Core Trading Session Numerical   Opening and late trading session
                                             Guidelines (subject transaction's    numerical guidelines (subject
  Reference price: Consolidated last sale          %  difference from the        transaction's % difference from
                                                  consolidated last sale):        the consolidated last sale):
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Greater than $0.00 up to and including       10%..............................  20%
 $25.00.
Greater than $25.00 up to and including      5%...............................  10%
 $50.00.
Greater than $50.00........................  3%...............................  6%
Filings involving five or more securities    10%..............................  10%
 by the same participant may be considered
 a ``Multi-Stock Event''.
Leveraged ETF/ETN securities...............  Core Trading Session Numerical     Core Trading Session Numerical
                                              Guidelines multiplied by the       Guidelines multiplied by the
                                              leverage multiplier (i.e., 2x).    leverage multiplier (i.e., 2x).
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    The following example explains the application of these guidelines. 
ABC has a consolidated last sale of $10.00. During the Core Trading 
Session Customer A enters a market order to buy 10,000 shares, although 
it had intended a market order for 1,000 shares. Executions occur, 
moving through the depth of the NASDAQ Book, as follows:

Trade 1--1,000 shares @ $10.00 (0% difference from 
Reference Price)
Trade 2--5,000 shares @ $10.50 (5% difference from 
Reference Price)
Trade 3--2,000 shares @ $11.00 (10% difference from 
Reference Price)
Trade 4--1,000 shares @ $11.50 (15% difference from 
Reference Price)
Trade 5--1,000 shares @ $12.00 (20% difference from 
Reference Price)

    In this example, to be clearly erroneous the trades must be at a 
price that is at least 10% higher than the consolidated last sale prior 
to the series of executions. Absent any Unusual Circumstances or 
Additional Factors (each discussed below), the NASDAQ Official would 
break trades 3 through 5, priced at $11.00 and above, 
as clearly erroneous, but would let stand trades 1 and 
2. If instead the trade happened in the Late Trading Session, 
where the a 20% difference from the Reference Price is required for 
trades to be clearly erroneous, the NASDAQ Official would break only 
Trade 5 and trades 1 through 4 would stand.
    Establishing Numerical Guidelines within the rule gives regulatory 
transparency and consistency in the application of the rules of NASDAQ. 
These Numerical Guidelines, which are substantially similar to existing 
NASDAQ guidance, represent the general consensus developed based on the 
collective experiences of a market-wide group. NASDAQ believes that the 
Numerical Guidelines are fair and appropriate and apply evenly to all 
participants.
    Unusual Circumstances
    NASDAQ further proposes that in unusual circumstances NASDAQ may, 
in its discretion and with a view toward maintaining a fair and orderly 
market and protecting investors and the public interest, use a 
Reference Price other than the consolidated last sale. ``Unusual 
Circumstances'' may include periods of extreme market volatility, 
sustained illiquidity, or widespread system issues. Other Reference 
Prices that NASDAQ may use would include the consolidated inside price, 
the consolidated opening price, the consolidated prior close, or the 
consolidated last sale prior to a series of executions.
    Under the proposed rule NASDAQ may also use a higher Numerical 
Guideline if, after market participants have been alerted to erroneous 
activity, the price of the security returns toward its prior trading 
range but continues to trade beyond the price it would have normally 
been broken.
    Joint Market Rulings
    In the interest of achieving consistency across markets, the 
proposal would give NASDAQ the ability to use a different Reference 
Price and/or Numerical Guideline in events that involve other markets. 
In these instances the Reference Price would be determined based on a 
consensus among the exchanges where the transactions occurred.
    Additional Factors
    The proposed amendments to Rule 11890 also enumerate some 
additional factors that an Official may consider when determining 
whether an execution is clearly erroneous. These factors include, but 
are not limited to, system malfunctions or disruptions, volume and 
volatility for the security, derivative securities products that 
correspond to greater than 100% in the direction of a tracking index, 
news released for the security, whether trading in the security was 
recently halted/resumed, whether the security is an IPO, whether the 
security was subject to a stock-split, reorganization, or other 
corporate action, overall market conditions, Opening and Late Session 
executions, validity of the consolidated tapes trades and quotes, 
consideration of primary market indications, and executions 
inconsistent with the trading pattern in the stock. Each additional 
factor shall be considered with a view toward maintaining a fair and 
orderly market, the protection of investors and the public interest. 
NASDAQ believes market participants recognize that such factors will be 
considered in reviewing potentially erroneous trades because Rule 11890 
currently includes similar provisions.
    Numerical Guidelines Applicable to Volatile Market Opens
    The proposed amendments give NASDAQ the ability to expand the 
Numerical Guidelines applicable to transactions occurring between 9:30 
a.m. and 10:00 a.m. based on the disseminated value of the S&P 500 
Futures at 9:15 a.m. When the S&P Futures are up or down 3%, or up to 
but not including 5% at 9:15 a.m., the Numerical Guidelines are 
doubled. When the S&P Futures are up or down 5% or greater at 9:15 
a.m., the Numerical Guidelines are tripled. NASDAQ believes that the 
S&P 500 futures contract is an appropriate and reliable barometer of 
market activity prior to the market opening due to its broad based 
market coverage and deep liquidity. Using the S&P 500 Futures 
disseminated value at 9:15 a.m. as the barometer of market activity, 
NASDAQ is providing a transparent means of offering adjusted guidelines 
in times of volatile market activity.
    Review Procedures
    Initial Determination
    NASDAQ proposes adding language stating that a determination shall 
be made generally within 30 minutes of receipt of the complaint, but in 
no case later than the start of Core Trading on the following trading 
day. Rulings made outside of 30 minutes will not fail for lack of 
timeliness. The guideline simply provides participants an appropriate 
expectation that a ruling will generally be made within 30 minutes and 
in no case later than the start of Core Trading on the following 
trading day.
    Appeals
    The current rule provides that the Market Operation Review 
Committee (``MORC'') shall review and render a decision upon an appeal. 
The proposed

[[Page 51894]]

rule offers more definite guidelines to ensure the expedient resolution 
of appeals. It requires the MORC to review appeals as soon as 
practicable, but generally on the same day as the executions under 
review. Appeals received between 3 p.m. ET and the close of trading in 
the Late Trading Session should be made as soon as practicable, but in 
no case later than the trading day following the date of the execution 
under review. While decisions by the MORC that do not meet these time 
guidelines will still be valid, these guidelines will provide 
participants with reasonable expectations of when a ruling on appeal 
will generally be made. As is currently the case, all decisions 
rendered under Rule 11890(a) (complaints of market participants) will 
be subject to appeal to the MORC as will decisions rendered by a NASDAQ 
Senior Official under Rule 11890(b) (decisions on NASDAQ's own motion), 
except in cases where the Senior Official determines that the ruling 
should not be eligible for appeal because finality is necessary to 
maintain a fair and orderly market and to protect investors and the 
public interest. This provision simply clarifies the fact that nothing 
in the proposed rule limits or impedes the rights of the parties to 
arbitrate their dispute.
    NASDAQ Acting on Its Own Motion
    The proposed rule would allow a designated ``Senior Official'' of 
NASDAQ \7\ to review executions pursuant to Rule 11890(b). NASDAQ's 
Rule 11890(b) is consistent with NYSE ARCA, Inc.'s Rule 7.10(g). The 
Senior Official's decision would still be guided by the Numerical 
Guidelines (including the Multi-Stock Event 10% threshold), Unusual 
Circumstances and Additional Factors outlined above. In extraordinary 
circumstances a Senior Official may apply a lower Numerical Guideline 
if such action is necessary to maintain a fair and orderly market or 
protect investors and the public interest. In some instances NASDAQ may 
detect a single execution that breaches the Numerical Guidelines but is 
not the subject of a ruling request. This provision gives NASDAQ the 
ability to review such executions. In other cases, clearly erroneous 
executions commonly involve multiple parties and multiple executions. 
All affected parties may not request a ruling. NASDAQ proposes this 
provision to permit a Senior Official to rule on a group of 
transactions related to the same occurrence or event as a whole, 
without a formal request for a ruling from every affected party.
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    \7\ Currently only NASDAQ Executive Vice Presidents designated 
by NASDAQ's President are eligible to make rulings under Rule 
11890(b). NASDAQ proposes to expand this to include other officers 
and senior level employees of NASDAQ as ``Senior Officials'' 
eligible to make rulings. NASDAQ's Chief Regulatory Officer would 
designate Senior Officials with relevant market experience to 
adjudicate these matters.
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    As is currently the case, NASDAQ could break all trades in a 
security if a pervasive mistake resulted in trading that should not 
have occurred. For example, trades in a security that was incorrectly 
authorized for trading prior to the date of its actual initial public 
offering would all be broken. Similarly, if NASDAQ systems executed 
orders in the NASDAQ opening cross or closing cross at a price that was 
inconsistent with the rules governing the operation of the cross, 
either due to a NASDAQ system error or because an underlying erroneous 
order resulted in an erroneous opening or closing price, NASDAQ may 
break all of the affected trades. Under Rule 11890(b), a NASDAQ Senior 
Official may adjust trades, but this adjustment authority is limited to 
extraordinary circumstances involving the closing cross.
    This rule change shall be effective October 5, 2009.
2. Statutory Basis
    NASDAQ believes that the proposed rule change is consistent with 
the provisions of Section 6 of the Act,\8\ in general, and with Section 
6(b)(5) of the Act,\9\ in particular, in that the proposal is designed 
to prevent fraudulent and manipulative acts and practices, to promote 
just and equitable principles of trade, to foster cooperation and 
coordination with persons engaged in regulating, clearing, settling, 
processing information with respect to, and facilitating transactions 
in securities, to remove impediments to and perfect the mechanism of a 
free and open market and a national market system, and, in general, to 
protect investors and the public interest. The proposed rule change 
would coordinate standards of review of clearly erroneous trades across 
markets, thereby eliminating conflicting rulings among exchanges and 
disparate treatment of similarly priced trades.
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    \8\ 15 U.S.C. 78f.
    \9\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition

    Nasdaq does not believe that the proposed rule change will impose 
any burden on competition not necessary or appropriate in furtherance 
of the purposes of the Act.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants or Others

    Written comments were neither solicited nor received.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Because the foregoing proposed rule change does not: (i) 
Significantly affect the protection of investors or the public 
interest; (ii) impose any significant burden on competition; and (iii) 
become operative for 30 days from the date on which it was filed, or 
such shorter time as the Commission may designate, it has become 
effective pursuant to Section 19(b)(3)(A) of the Act \10\ and Rule 19b-
4(f)(6) thereunder.\11\
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    \10\ 15 U.S.C. 78s(b)(3)(A).
    \11\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6) 
requires a self-regulatory organization to give the Commission 
written notice of its intent to file the proposed rule change at 
least five business days prior to the date of filing of the proposed 
rule change, or such shorter time as designated by the Commission. 
The Exchange has satisfied this requirement.
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    A proposed rule change filed pursuant to Rule 19b-4(f)(6) under the 
Act \12\ normally does not become operative for 30 days after the date 
of its filing. However, Rule 19b-4(f)(6) \13\ permits the Commission to 
designate a shorter time if such action is consistent with the 
protection of investors and the public interest. The Exchange requests 
that the Commission waive the 30-day operative delay so that it may 
implement the new rule on October 5, 2009, the same date as the other 
equities exchanges. The Commission believes that waiving the 30-day 
operative delay is consistent with the protection of investors and the 
public interest because it will allow the Exchange to begin applying 
the new rule on the same date as the other equities exchanges.\14\ 
Application of the new rule on this date should help foster 
transparency and consistency among those exchanges that adopt clearly 
erroneous execution rules substantially similar to those previously 
approved by the Commission.\15\ For these reasons, the Commission 
designates that the proposed rule change become operative on October 5, 
2009.
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    \12\ 17 CFR 240.19b-4(f)(6).
    \13\ 17 CFR 240.19b-4(f)(6).
    \14\ For purposes only of waiving the 30-day operative delay, 
the Commission has considered the proposal's impact on efficiency, 
competition, and capital formation. 15 U.S.C. 78c(f).
    \15\ See Securities Exchange Act Release No. 60706 (September 
22, 2009), 74 FR 49416 (September 28, 2009) (NYSEArca-2009-36).
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    At any time within 60 days of the filing of the proposed rule 
change, the

[[Page 51895]]

Commission may summarily abrogate such rule change if it appears to the 
Commission that such action is necessary or appropriate in the public 
interest, for the protection of investors, or otherwise in furtherance 
of the purposes of the Act.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://
www.sec.gov/rules/sro.shtml); or
     Send an e-mail to rule-comments@sec.gov. Please include 
File Number SR-NASDAQ-2009-086 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street, NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-NASDAQ-2009-086. This 
file number should be included on the subject line if e-mail is used. 
To help the Commission process and review your comments more 
efficiently, please use only one method. The Commission will post all 
comments on the Commission's Internet Web site (http://www.sec.gov/
rules/sro.shtml). Copies of the submission, all subsequent amendments, 
all written statements with respect to the proposed rule change that 
are filed with the Commission, and all written communications relating 
to the proposed rule change between the Commission and any person, 
other than those that may be withheld from the public in accordance 
with the provisions of 5 U.S.C. 552, will be available for inspection 
and copying in the Commission's Public Reference Room, 100 F Street, 
NE., Washington, DC 20549, on official business days between the hours 
of 10 a.m. and 3 p.m. Copies of such filing also will be available for 
inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make publicly available. All 
submissions should refer to File Number SR-NASDAQ-2009-086 and should 
be submitted on or before October 29, 2009.
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    \16\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\16\
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9-24243 Filed 10-7-09; 8:45 am]

BILLING CODE 8011-01-P
