SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Table 7-B
Stocks: Three sampled stocks from each subgroup of stocks
Period: 09/12/2008-09/18/2008
This table summarizes the probability that an order would execute and the time to execution when we simulated the
submission of a short sell order for a group of 9 stocks of the medium traded group (more than .6m less than2.3m
shares). The price and the volume categories for the stocks are as described in the main text of the memo. For each
of these groups, 3 stocks belonged to each of the price categories (high, medium and low price). We used the Daily
TAQ’s trade and quote reports for ARCA to simulate the market condition.
exec= percentage of the simulation which a short sale is executed.
sec = time to execution in seconds (for simulations that result in an execution).
Share
Volume
Group
Price
Group
Return
(basis
points)
#
Obs
Liquidity
Provider
1 cent bid
increment
+ uptick
2 cents bid
increment
+ uptick
3 cents bid
increment
+ uptick
exec sec exec sec exec sec exec sec
Medium low ri < -100 bp 250 52% 13.71 36% 14.39 26% 17.81 15% 19.12
(.6m-2.3m) -100 bp < ri