17 C.F.R. PART 16—REPORTS BY REPORTING MARKETS
Title 17 - Commodity and Securities Exchanges
Authority: 7 U.S.C. 6a, 6c, 6g, 6i, 7, 7a and 12a, unless otherwise noted.
(a) Information to be provided. Each reporting market shall submit to the Commission, in accordance with paragraph (b) of this section, a report for each business day, showing for each clearing member, by proprietary and customer account, the following information separately for futures by commodity and by future, and, for options, by underlying futures contract for options on futures contracts or by underlying physical for options on physicals, and by put, by call, by expiration date and by strike price: (1) The total of all long open contracts and the total of all short open contracts carried at the end of the day covered by the report, excluding from open futures contracts the number of contracts against which delivery notices have been stopped or against which delivery notices have been issued by the clearing organization of the reporting market; (2) The quantity of contracts bought and the quantity of contracts sold during the day covered by the report; (3) [Reserved] (4) The quantity of purchases of futures for commodities or for derivatives positions and the quantity of sales of futures for commodities or for derivatives positions which are included in the total quantity of contracts bought and sold during the day covered by the report, and the names of the clearing members who made the purchases or sales; (5) For futures, the quantity of the commodity for which delivery notices have been issued by the clearing organization of the reporting market and the quantity for which notices have been stopped during the day covered by the report. (b) Form, manner and time of filing reports. Unless otherwise approved by the Commission or its designee, reporting markets shall submit the information required by paragraph (a) of this section as follows: (1) Using the format, coding structure, and electronic data transmission procedures approved in writing by the Commission or its designee; provided however, the information shall be made available to the Commission or its designee in hard copy upon request; and (2) When such data is first available but not later than 12:00 p.m. on the business day following the day to which the information pertains. Unless otherwise specified by the Commission or its designee, the stated time is eastern time for information concerning markets located in that time zone, and central time for information concerning all other markets. (c) Exclusively self-cleared contracts. Unless determined otherwise by the Commission, paragraph (a) of this section shall not apply to transactions involving exclusively self-cleared contracts. [46 FR 54526, Nov. 3, 1981, as amended at 46 FR 63036, Dec. 30, 1981; 47 FR 57014, Dec. 22, 1982; 51 FR 4717, Feb. 7, 1986; 52 FR 18910, May 20, 1987; 62 FR 24031, May 2, 1997; 69 FR 76398, Dec. 21, 2004; 71 FR 37818, July 3, 2006] (a) Trading volume and open contracts. Each reporting market shall record for each business day the following information separately for futures by commodity and by future, and, for options, by underlying futures contract for options on futures contracts or by underlying physical for options on physicals, and by put, by call, by expiration date and by strike price: (1) The option delta, where a delta system is used; (2) The total gross open contracts, excluding from futures those contracts against which notices have been stopped; (3) For futures, open contracts against which delivery notices have been stopped on that business day; (4) The total volume of trading, excluding transfer trades or office trades; (5) The total volume of futures exchanged for commodities or for derivatives positions which are included in the total volume of trading; (6) The total volume of block trades which are included in the total volume of trading. (b) Prices. Each reporting market shall record the following information separately for futures, by commodity and by future, and, for options, by underlying futures contract for options on futures contracts or by underlying physical for options on physicals, and by put, by call, by expiration date and by strike price: (1) For the trading session and for the opening and closing periods of trading as determined by each reporting market: (i) The lowest price of a sale or offer, whichever is lower, and the highest price of a sale or bid, whichever is higher, that the reporting market reasonably determines accurately reflect market conditions. If vacated or withdrawn, bids and offers shall not be used in making this determination. A bid is vacated if followed by a higher bid or price and an offer is vacated if followed by a lower offer or price. (ii) If there are no transactions, bids, or offers during the opening or closing periods, the reporting market may record as appropriate: (A) The first price (in lieu of opening price data) or the last price (in lieu of closing price data) occurring during the trading session, clearly indicating that such prices are the first and the last price; or (B) Nominal opening or nominal closing prices which the reporting market reasonably determines accurately reflect market conditions, clearly indicating that such prices are nominal. (2) The settlement price established by each reporting market or its clearing organization. (3) Additional information. Each reporting market shall record the following information with respect to transactions in commodity futures and commodity options on that reporting market: (i) The method used by the reporting market in determining nominal prices and settlement prices; and (ii) If discretion is used by the reporting market in determining the opening and closing ranges or the settlement prices, an explanation that certain discretion may be employed by the reporting market and a description of the manner in which that discretion may be employed. (c) Critical dates. Each reporting market shall report to the Commission for each futures contract the first notice date and the last trading date and for each option contract the expiration date in accordance with paragraph (d) of this section. (d) Form, manner and time of filing reports. Unless otherwise approved by the Commission or its designee, reporting markets shall submit to the Commission the information specified in paragraphs (a)(1) through (a)(5), (b) and (c) of this section as follows: (1) Using the format, coding structure and electronic data transmission procedures approved in writing by the Commission or its designee; provided however, the information shall be made available to the Commission or its designee in hard copy upon request; and (2) When each such form of the data is first available but not later than 7:00 a.m. on the business day following the day to which the information pertains for the delta factor and settlement price and not later than 12:00 p.m. for the remainder of the information. Unless otherwise specified by the Commission or its designee, the stated time is eastern time for information concerning markets located in that time zone, and central time for information concerning all other markets. (e) Publication of recorded information. (1) Designated contract markets shall make the information in paragraph (a) of this section readily available to the news media and the general public without charge, in a format that readily enables the consideration of such data, no later than the business day following the day to which the information pertains. The information in paragraphs (a)(4) through (a)(6) of this section shall be made readily available in a format that presents the information together. (2) Designated contract markets shall make the information in paragraphs (b)(1) and (b)(2) of this section readily available to the news media and the general public, and the information in paragraph (b)(3) of this section readily available to the general public, in a format that readily enables the consideration of such data, no later than the business day following the day to which the information pertains. (3) Registered derivatives transaction execution facilities shall comply with the publication of trading information requirement of section 5a(d)(5) of the Act and any Commission regulation adopted thereunder. [46 FR 54526, Nov. 3, 1981, as amended at 46 FR 63036, Dec. 30, 1981; 47 FR 57014, Dec. 22, 1982; 51 FR 4717, Feb. 7, 1986; 51 FR 17474, May 13, 1986; 62 FR 24032, May 2, 1997; 69 FR 76399, Dec. 21, 2004; 71 FR 37818, July 3, 2006] Unless otherwise approved by the Commission or its designee, reporting markets shall file corrections to errors or omissions in data previously filed with the Commission pursuant to §§16.00 and 16.01 in the format and using the coding structure and electronic data submission procedures approved in writing by the Commission or its designee. [71 FR 37819, July 3, 2006] The Commission hereby delegates, until the Commission orders otherwise, the authority set forth in paragraph (a) of this section to the Director of the Division of Market Oversight and the authority set forth in paragraph (b) of this section to the Executive Director to be exercised by such director or by such other employee or employees of such director as may be designated from time to time by the director. The Director of the Division of Market Oversight or the Executive Director may submit to the Commission for its consideration any matter which has been delegated in this paragraph. Nothing in this paragraph prohibits the Commission, at its election, from exercising the authority delegated in this paragraph. (a) Pursuant to §§16.00(b) and 16.01(d), as applicable, the authority to determine whether reporting markets must submit data in hard copy, and the time that such data may be submitted where the Director determines that a reporting market is unable to meet the requirements set forth in the regulations; (b) Pursuant to §§16.00(b)(1), 16.01(d)(1), and 16.06, the authority to approve the format, coding structure and electronic data transmission procedures used by reporting markets. [62 FR 24032, May 2, 1997, as amended at 67 FR 62352, Oct. 7, 2002; 69 FR 76399, Dec. 21, 2004; 71 FR 37819, July 3, 2006]
Title 17: Commodity and Securities Exchanges
PART 16—REPORTS BY REPORTING MARKETS
Section Contents
§ 16.00 Clearing member reports.
§ 16.01 Trading volume, open contracts, prices, and critical dates.
§§ 16.02-16.05 [Reserved]
§ 16.06 Errors or omissions.
§ 16.07 Delegation of authority to the Director of the Division of Market Oversight and the Executive Director.
§ 16.00 Clearing member reports.
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§ 16.01 Trading volume, open contracts, prices, and critical dates.
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§§ 16.02-16.05 [Reserved]
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§ 16.06 Errors or omissions.
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§ 16.07 Delegation of authority to the Director of the Division of Market Oversight and the Executive Director.
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