SEC报告解读（下）：GME事件及所引发的监管思考-45正式版.docx

StaffReportonEquityandOptionsMarketStructureConditionsinEarly2021October14,2021DISCLAIMER:ThisisareportoftheStaffoftheU.S.SecuritiesandExchangeCommission.Staffreports,InvestorBulletins,andotherstaffdocuments(includingthosecitedherein)representtheviewsofCommissionstaffandarenotarule,regulation,orstatementoftheCommission.TheCommissionhasneitherapprovednordisapprovedthecontentofthesedocumentsand,likeallstaffstatements,theyhavenolegalforceoreffect,donotalteroramendapplicablelaw,andcreatenoneworadditionalobligationsforanyperson.TheCommissionhasexpressednoviewregardingtheanalysis,findings,orconclusionscontainedherein.TableofContents1. Introduction22. U.S.MarketStructureandSecuritiesRegulatoryFramework32.1 EquitiesandOptionsMarketStructure32.2 OverviewoftheRegulatoryFramework42.3 IndividualInvestorsandRetailBroker-Dealers62.4 OrderExecutionandSegmentationofIndividualInvestorFlow102.5 ClearanceandSettlement143. GameStop:WhatHappened153.1 TheRun-UptoJanuary2021andIncreasingIndividualInvestorParticipation153.2 GMEEquitiesTrading173.3 ImpactonExchange-TradedFunds233.4 ShortSellingandCoveringShortPositions243.5 ClearingAgencyMarginandCapitalIssues313.6 Broker-DealerReactionsandTradingRestrictions323.7 RoleofOff-ExchangeMarketMakers353.8 AvailableLiquidityforGME373.9 GMEOptionsTrading404. Conclusions431. IIltrOdlICtionGameStopCorp("GameStop"or"GME")andmultipleotherstocksexperiencedadramaticincreaseintheirsharepriceinJanuary2021asbullishsentimentsofindividualinvestorsfilledsocialmedia.Asthecompanies,sharepricesskyrocketedtonewhighs,increasedattentionfollowed,andtheirsharesbecameknownas“memestocks."Then,astheendofJanuaryapproached,severalretailbroker-dealerstemporarilyprohibitedcertainactivityinsomeofthesestocksandoptions.ThisreportofthestaffoftheSecuritiesandExchangeCommission("SEC"or“Commission")primarilyexaminestheJanuary2021tradingactivityinGME,themostfamousofmemestocksagainstthebackdropofcontemporaneoustradingactivityinothermemestocks.Becausethemediaattentionsurroundingthememestockepisoderaisedseveralquestionsaboutmarketstructure,thisreportwillbeginwithanoverviewofU.S.equityandoptionsmarketstructureandexplainhowindividualinvestors,ordersaretypicallyhandled.Asmoreindividualinvestorsparticipateinthemarkets,asmanydidduringthevolatiletradinginearly2021,itisimportanttounderstandhowtheirordersareexecutedandtheincentivesoftheirbroker-dealerswhenexecutingthoseorders.Inparticular,theabilityofasmallnumberofoff-exchangemarketmakerstotradeprofitablywithretailorderflowhasledthesemarketmakerstonegotiateagreementswithretailbroker-dealerstosecurerightstothisorderflow.Inturn,thispaymentfororderflowcreatesincentiveswithregardtotheendcustomerwhoseorderflowisbeingsold.Someindividualinvestorsmighttrademorefrequentlyascommissionshavefallenorbeeneliminated,whichraisesquestionsabouttheeffectofnovelfeatures(e.g.,digitalengagementpractices)oftheirbroker-dealers.Theexecutionofretailordersbyoff-exchangemarketmakersraisesfurtherquestionsaboutwhetherindividualinvestorsmaystillbesubjecttootherlessconspicuouscostsandconflictsofinterest.Whilethesefeaturesarenotnecessarilythecauseofthememestockvolatility,investorsshouldbemindfulofhowtheirordersarehandled,includingthedifferencebetween“fiee''and"noCommiSSions.”DynamicsrelatedtoshortsellingarealsoanintegralpartoftheGameStopstory.Stocksseenbypartsofthemarketasovervaluedtendtoexhibitsignificantshortinterest,andpriortoJanuary2021,GameSlopwasnodifferentinthisrespect.However,someinthemediadirectly1 Thisreportusesthetermtindividualinvestor“tomeananaturalpersonwhoistselfdirected”(i.e.,notactingonarecommendationbyabroker-dealer),incontrastwithprofessionalinvestorsorinstitutionalinvestors.Thetermencompassesanindividualwhotradesfrequentlyorinfrequentlyandinverysmalltolargedollaramounts.Thetermuretailbroker-dealef,referstoabroker-dealerthatcaterstoindividualinvestors.Thisdefinitionof"individualinvestordiffersfromtheConsolidatedAuditTrail(ttCAT,)definitionof“individualcustomeraccount,“whichisalsousedinthisreport.Seeinfranote59.linkedtradingactivitytothepresenceofshortinterest,characterizingtradinginGameStopasanactofrebellionintendedtohumbleshort-sellingprofessionalinvestorswhohadallegedlytargetedthestock.Lastly,theepisodehighlightedtherisksthatexistwhiletradesaresettledandraisedconcernsaboutthemechanismsmarketparticipantsusetomanagethoserisks.Specifically,volatilitycombinedwithsettlementrisksledsomefirmstotemporarilyrestricttrading.Wediscussaspectsofequityandoptionsmarketstructurebelow.2. U.S.MarkCtStrUCtUreandSCCUritieSReBlIlatenFraInCwork2.1 EquitiesandOptionsMarketStructureCustomerClearance and SettlementBroker- DeaIer(S)Options: O*×cha9Execution via Trading CentersFqtMftes." OftxchangOthw broker-dealfs (woAsars, ATSs) OiwxchangeTounderstandwhattranspiredinJanuary2021,itisnecessarytounderstandthemarketstructurewithinwhichtheeventsoccurred.2Fromtheperspectiveofindividualinvestors,the