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subparagraph (f)(6) of Rule 19b–4 printing in the Commission’s Public I. Self-Regulatory Organization’s thereunder.25 Reference Room, 100 F Street NE, Statement of the Terms of Substance of At any time within 60 days of the Washington, DC 20549, on official the Proposed Rule Change filing of the proposed rule change, the business days between the hours of Cboe Exchange, Inc. (the ‘‘Exchange’’ Commission summarily may 10:00 a.m. and 3:00 p.m. Copies of the or ‘‘Cboe Options’’) proposes to amend temporarily suspend such rule change if filing also will be available for Rule 5.34 in connection with its debit/ it appears to the Commission that such inspection and copying at the principal credit price reasonability check. The action is: (i) Necessary or appropriate in office of the Exchange. All comments text of the proposed rule change is the public interest; (ii) for the protection received will be posted without change. provided in Exhibit 5. of investors; or (iii) otherwise in Persons submitting comments are The text of the proposed rule change furtherance of the purposes of the Act. cautioned that we do not redact or edit is also available on the Exchange’s If the Commission takes such action, the personal identifying information from website (http://www.cboe.com/ Commission shall institute proceedings comment submissions. You should AboutCBOE/ to determine whether the proposed rule submit only information that you wish CBOELegalRegulatoryHome.aspx), at should be approved or disapproved. to make available publicly. All the Exchange’s Office of the Secretary, and at the Commission’s Public IV. Solicitation of Comments submissions should refer to File Reference Room. Interested persons are invited to Number SR–CBOE–2020–094 and submit written data, views, and should be submitted on or before II. Self-Regulatory Organization’s arguments concerning the foregoing, November 12, 2020. Statement of the Purpose of, and including whether the proposed rule Statutory Basis for, the Proposed Rule For the Commission, by the Division of Change change is consistent with the Act. Trading and Markets, pursuant to delegated Comments may be submitted by any of authority.26 In its filing with the Commission, the the following methods: J. Matthew DeLesDernier, Exchange included statements concerning the purpose of and basis for Electronic Comments Assistant Secretary. the proposed rule change and discussed • Use the Commission’s internet [FR Doc. 2020–23360 Filed 10–21–20; 8:45 am] any comments it received on the comment form (http://www.sec.gov/ BILLING CODE 8011–01–P proposed rule change. The text of these rules/sro.shtml); or statements may be examined at the • Send an email to rule-comments@ places specified in Item IV below. The sec.gov. Please include File Number SR– SECURITIES AND EXCHANGE Exchange has prepared summaries, set CBOE–2020–094 on the subject line. COMMISSION forth in sections A, B, and C below, of the most significant aspects of such Paper Comments [Release No. 34–90212; File No. SR–CBOE– statements. • Send paper comments in triplicate 2020–099] A. Self-Regulatory Organization’s to Secretary, Securities and Exchange Statement of the Purpose of, and Commission, 100 F Street NE, Self-Regulatory Organizations; Cboe Statutory Basis for, the Proposed Rule Washington, DC 20549–1090. Exchange, Inc.; Notice of Filing and Change All submissions should refer to File Immediate Effectiveness of a Proposed Number SR–CBOE–2020–094. This file Rule Change To Amend Rule 5.34 in 1. Purpose number should be included on the Connection With Its Debit/Credit Price The Exchange proposed to amend subject line if email is used. To help the Reasonability Check Rule 5.34(b)(3), which provides for its Commission process and review your debit/credit price reasonability check. comments more efficiently, please use October 16, 2020, Specifically, the proposed rule change only one method. The Commission will Pursuant to Section 19(b)(1) of the amends Rule 5.34(b)(3)(A) in connection post all comments on the Commission’s Securities Exchange Act of 1934 (the with two-legged strategies that have one internet website (http://www.sec.gov/ ‘‘Act’’),1 and Rule 19b–4 thereunder,2 A.M.-settled leg and one P.M.-settled leg rules/sro.shtml). Copies of the notice is hereby given that on October with the same date.5 The submission, all subsequent 13, 2020, Cboe Exchange, Inc. (the proposed rule change also codifies the amendments, all written statements ‘‘Exchange’’ or ‘‘Cboe Options’’) filed definition of diagonal spreads in Rule with respect to the proposed rule with the Securities and Exchange 5.34(b)(1)(E), which is already a strategy change that are filed with the Commission (the ‘‘Commission’’) the described in Rule 5.34(b)(3) and Commission, and all written handled by the System in connection proposed rule change as described in communications relating to the with the debit/credit reasonability Items I and II below, which Items have proposed rule change between the check, the codified definition of which Commission and any person, other than been prepared by the Exchange. The was inadvertently omitted in the rule those that may be withheld from the Exchange filed the proposal pursuant to filing that allowed the System to apply 3 public in accordance with the Section 19(b)(3)(A)(iii) of the Act and the debit/credit reasonability check to 4 provisions of 5 U.S.C. 552, will be Rule 19b–4(f)(6) thereunder. The diagonal spreads.6 available for website viewing and Commission is publishing this notice to Pursuant to the debit/credit price solicit comments on the proposed rule reasonability check, the Exchange 25 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– change from interested persons. 4(f)(6)(iii) requires a self-regulatory organization to 5 The proposed rule change also updates the give the Commission written notice of its intent to definition of in Rule 5.34(b)(1)(A) file the proposed rule change, along with a brief 26 17 CFR 200.30–3(a)(12). and the definition of in Rule description and text of the proposed rule change, 1 15 U.S.C. 78s(b)(1). 5.34(b)(1)(D) in light of the proposed change to Rule at least five business days prior to the date of filing 5.34(b)(3)(A). 2 17 CFR 240.19b–4. of the proposed rule change, or such shorter time 6 See Securities Exchange Release No. 88923 (May as designated by the Commission. The Exchange 3 15 U.S.C. 78s(b)(3)(A)(iii). 21, 2020), 85 FR 32086 (May 28, 2020) (SR–CBOE– has satisfied this requirement. 4 17 CFR 240.19b–4(f)(6). 2020–046).

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cancels or rejects a complex order (or more expensive than a call (put) with a across different classes and different unexecuted portion) that is a limit order higher (lower) price, because strategies. For example, the Exchange for a debit strategy with a net credit the ability to buy stock at a lower price understands that in certain market price that exceeds a pre-set buffer, a is more valuable than the ability to buy conditions, particularly in volatile limit order (or unexecuted portion) for stock at a higher price, and the ability conditions, the general pricing a credit strategy with a net debit price to sell stock at a higher price is more principles described above may not that exceeds a pre-set buffer, or a market valuable than the ability to sell stock at apply to certain classes or strategies. It order (or unexecuted portion) for a a lower price. A call (put) with a farther is possible that the leg with the farther credit strategy that would execute at a expiration is generally more expensive expiration may be trading at a discount net debit price that exceeds a pre-set than the price of a call (put) with a and thus is worth less than the leg with buffer (the pre-set buffers are nearer expiration, because locking in a the nearer term expiration, and thus determined by the Exchange on a class price further into the future involves entering a diagonal or calendar strategy and strategy (i.e., vertical, calendar, more risk for the buyer and seller and as a debit may be consistent with the , orders with different thus is more valuable, making an then-current market. Specifically, expiration dates and exercise prices) (call or put) with a farther expiration certain classes may exhibit basis). The System defines a complex more expensive than an option with a backwardation,10 which occurs when order as a debit (credit) if all pairs and nearer expiration. Based on the series with the farther expirations are loners are debits (credits).7 For purposes principles described above and worth less than series with the nearer of the credit/debit price reasonability pursuant to Rule 5.34(b)(3)(B)(iii), the term expirations. In such conditions, the check, a ‘‘pair’’ is a pair of legs in an System pairs calls (puts) under the Exchange may deem it appropriate to order for which both legs are calls or current debit/credit reasonability check, increase the buffer to permit these both legs are puts, one leg is a buy and as follows: orders to be accepted for electronic one leg is a sell, and the legs have the (1) The System first pairs legs to the processing. While an order with a same expiration date but different extent possible within each expiration diagonal or calendar strategy entered as exercise prices (i.e., vertical),8 the same date, pairing one leg with the leg that a debit in normal market conditions exercise price but different expiration has the next highest exercise price. may appear erroneous and be dates (i.e., calendar),9 or the exercise (2) The System then pairs legs to the appropriately rejected, in volatile price for the call (put) with the farther extent possible across expiration dates, market conditions, such an order expiration date is lower (higher) than pairing one call (put) with the call (put) entered as a debit may be accurately the exercise price for the nearer that has the next nearest expiration date reflecting the market. As such, the expiration date (which is a diagonal and the same or next lower (higher) flexibility to establish pre-set buffers on pair). A ‘‘loner’’ is any leg in an order exercise price. a class and strategy basis currently (3) A pair of calls is a credit (debit) that the System cannot pair with permits the Exchange to provide a if the exercise price of the buy (sell) leg another leg in the order. calendar or diagonal strategy order The System determines whether an is higher than the exercise price of the entered as a debit with electronic order is a debit or credit based on sell (buy) leg (if the pair has the same execution opportunities, as applicable, general options and pricing expiration date) or if the expiration date by modifying the buffer of these principles, which the Exchange of the sell (buy) leg is farther than the strategies with legitimate debit prices understands are used by market expiration date of the buy (sell) leg (if that are consistent with then-current participants in their option pricing the exercise price of the sell (buy) leg is market conditions. In this way, the models. With respect to options with the same as or lower than the exercise System may accept such orders while the same underlying: price of the buy (sell) leg). maintaining the check’s protection for (4) A pair of puts is a credit (debit) if • If two calls (puts) have the same classes and strategies whose pricing is the exercise price of the sell (buy) leg is expiration date, the price of the call not impacted by these market higher than the exercise price of the buy (put) with the lower (higher) exercise conditions and are not experiencing (sell) leg (if the pair has the same price is more than the price of the call backwardation. expiration date) or if the expiration date (put) with the higher (lower) exercise As stated above, for purposes of the of the sell (buy) leg is farther than the price; and debit/credit reasonability check, the • if two calls (puts) have the same expiration date of the buy (sell) leg (if System defines a vertical spread order exercise price, the price of the call (put) the exercise price of the sell (buy) leg is as a two-legged complex order with one with the nearer expiration is less than the same as or higher than the exercise leg to buy a number of calls (puts) and the price of the call (put) with the price of the buy (sell) leg). one leg to sell the same number of calls (5) A loner to buy is a debit, and a farther expiration. (puts) with the same expiration date but loner to sell is a credit. different exercise prices,11 and a In other words, a call (put) with a Additionally, the System does not lower (higher) exercise price is generally calendar spread order as a two-legged apply the debit/credit price complex order with one leg to buy a reasonability check to an order for 7 See Rule 5.34(b)(3)(B)(i) and (ii). The System number of calls (puts) and one leg to sell also determines certain call and put butterfly which the System cannot define the same number of calls (puts) with the spreads as debits and credits. whether it is a debit or credit. same exercise price but different 8 As indicated above, the debit/credit See also Rule 5.34(b)(1)(A), which defines a expiration dates.12 The Exchange notes ‘‘vertical spread’’ as a two-legged complex order reasonability check allows the Exchange with one leg to buy a number of calls (puts) and to determine a pre-set buffer on a class- one leg to sell the same number of calls (puts) with 10 Specifically, European-settled options (which the same expiration date but different exercise by-class and strategy basis (i.e., vertical, is a group of classes) may experience prices. calendar, butterfly, orders with different backwardation. For example, SPX is a European 9 See also Rule 5.34(b)(1)(D), which defines a expiration dates and exercise prices). style option that may be impacted by ‘‘calendar spread’’ as a two-legged complex order This flexibility allows the Exchange to backwardation in unusual or volatile market with one leg to buy a number of calls (puts) and conditions. Accordingly, the Exchange regularly one leg to sell the same number of calls (puts) with appropriately respond to the different sets widened buffers for SPX diagonal pairs. the same exercise price but different expiration trading characteristics and market 11 See Rule 5.34(b)(1)(A). dates. conditions that have unique impact 12 See Rule 5.34(b)(1)(D).

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that while the expiration date of the legs would price these spreads as a diagonal accept or reject strategies with A.M.- of a vertical or calendar spread with an (if the legs have different exercise settled/P.M.-settled legs. A.M.-settled leg and a P.M.-settled leg prices) or calendar (if the legs have the Regarding vertical spreads with A.M.- may be the same, the last trading date same exercise price) from a pricing settled/P.M.-settled legs with the same of the two legs differs. For example, an perspective. expiration date and different exercise S&P 500 Index (‘‘SPX’’) option/SPX Specifically, a vertical spread with prices, currently, if the System receives Weekly (‘‘SPXW’’) vertical spread A.M.-settled/P.M.-settled legs such a vertical spread order, and the would contain the same expiration date, essentially emulates the manner in exercise price for the sell leg is lower yet SPX options are A.M.-settled, thus which a diagonal strategy executes, than the exercise price of the buy leg they stop trading on the Thursday prior given that each leg in a diagonal strategy with a debit price, the System will to Friday expiration, and SPXW options ceases trading at different times determine this to be a credit and reject are P.M.-settled, thus they stop trading (because they have different expiration it (assuming it is outside of the buffer). at the close on Friday expiration. As a dates) and diagonal spread legs, like However, if the class is experiencing result, the time to expiration of trading vertical spread legs, also have different backwardation, the debit price may be for each leg is different, which the exercise prices. Likewise, a spread with appropriate. As discussed above, the Exchange understands is what market A.M.-settled/P.M.-settled legs with the Exchange may widen the buffer for such participants consider when pricing same exercise price essentially emulates a class in such circumstances for options with an A.M.-settled/P.M.- the manner in which a calendar spread calendars and diagonals to account for settled vertical strategy, similar to the executes, given that each leg in a the backwardation. Therefore, if the pricing of a diagonal spread, or when calendar strategy ceases trading at System receives a spread with A.M.- pricing options with an A.M.-settled/ different times (because they have settled/P.M.-settled legs in a class P.M.-settled calendar strategy—in other different expiration dates). Under the experiencing backwardation during words, market participants consider proposal, the debit/credit reasonability unusual or volatile market conditions, these legs to have different expiration check logic and Exchange-determined the System would apply a different dates. When applying the debit/credit buffers, where applicable, would apply buffer to that spread than it would apply reasonability check, however, the in the same manner as they do today for to a diagonal spread. While the A.M.- System currently considers a strategy calendar and diagonal spreads, as settled/P.M.-settled vertical spread with one P.M.-settled leg and one A.M.- applicable, to spreads with a pair(s) of would likely have been priced using the settled leg with the same expiration date A.M.-settled/P.M.-settled legs. same pricing principles as the diagonal and different exercise prices to be a Therefore, the proposed rule change spread, the System would reject the vertical strategy, rather than a diagonal amends Rule 5.34(b)(3)(A) to provide vertical spread order, despite it likely strategy., [sic] and it rejects a strategy that, for the purposes of the debit/credit having a legitimate price, while with one P.M.-settled leg and one A.M.- price reasonability check, the System accepting the diagonal order with a settled leg with the same expiration date considers a two-legged strategy with one similarly legitimate price. Pursuant to and same exercise prices because it does P.M.-settled leg and one A.M.-settled leg the proposed rule change the strategy not recognize this strategy as a calendar with the same expiration date to be a described above would be handled as a strategy. More specifically, the System diagonal spread (where both legs have diagonal and will have the opportunity and the Rules do not currently consider different expiration dates and different to be accepted and executed. Similarly, the difference in time between the exercise prices), rather than a vertical the System will recognize a spread with actual close of trading for the A.M.- spread, or a calendar spread (where both A.M.-settled/P.M.-settled legs with the settled leg and the actual close of legs have the same exercise price).13 As same expiration date and the same trading the following day for the P.M.- a result, the System will apply to such exercise price as a calendar spread and settled leg—it considers only that the vertical strategies, which are generally not reject such spread order. legs have the same expiration date. As priced using the same principles as The Exchange notes that it announces a result, the System does not determine diagonal spreads and may be adjusted to any changes to the parameters of the the credit (debit) net price for vertical or reflect backwardation (as described debit/credit reasonability check to calendar spread orders with a pair(s) of above), the same debit/credit check market participants by Exchange notice A.M.-settled/P.M.-settled legs using the logic and pre-set buffers that it currently pursuant to Rule 1.5. The Exchange same pricing principles for the debit/ applies to diagonal spreads. In addition, notes too that it will continue to credit reasonability check that the the System will apply to such strategies, regularly monitor the application of the Exchange understands market which are generally priced using the debit/credit price reasonability check, participants use for these strategies, as same principles as calendar spreads, the including the number of orders rejected market participants consider these same debit/credit check logic and pre- as a result of the check, as well as spreads to have different expiration set buffers that it currently applies to continue to monitor orders that may be dates, and thus to be diagonals (rather calendar spreads and not reject such executed at erroneous prices pursuant to than verticals) or calendars for pricing strategies because the legs have the Rule 6.5. The Exchange currently purposes. That is, if a sell (buy) leg is same expiration dates and exercise considers all of these factors, as well as P.M.-settled (i.e., is ‘‘farther out’’ in time prices. The Exchange believes the market conditions, investor demand, until trading actually ceases) and is a enhancing the debit/credit price and other relevant factors when call (put) with an exercise price that is reasonability check to consider a spread determining whether to modify the the same as or lower (higher) than the that contains a pair of A.M.-settled/P.M. debit/credit reasonability check buffer exercise price of the buy (sell) A.M.- settled legs with the same expiration or other risk control parameters in order settled leg (thus making the P.M.-settled date as a diagonal or calendar, as to attempt to create an appropriate leg more expensive), the System would appropriate, will cause the System to balance between protection against not treat this as a diagonal spread, nor apply more accurate pricing principles executions at potentially erroneous recognize it as a calendar spread, to them when determining whether to prices and provision of execution pursuant to Rule 5.34(b)(3)(B)(iii)(c) and opportunities for legitimately priced (d), even though market participants 13 See supra note 5. orders.

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In addition to this, the proposed rule the current debit/credit price legs that cease trading on different days change codifies the definition of reasonability check logic for diagonal at potentially erroneous prices, while diagonal spreads in the current spread spreads (which have different expiration also providing additional execution definitions in Rule 5.34(b)(1). dates and thus cease trading on different opportunities for those spreads that may Specifically, proposed Rule 5.34(b)(1)(E) dates, as well as different exercise be legitimately priced given then- provides that a ‘‘diagonal’’ spread is a prices) to spread orders with A.M.- current market conditions but may two-legged complex order with one leg settled/P.M.-settled legs that have currently be rejected when these orders to buy a number of calls (puts) and one different exercise prices but the same are treated as vertical spreads for the leg to sell the same number of calls expiration date (and are thus currently purposes of the debit/credit (puts) with different expiration dates defined as verticals) but similarly cease reasonability check, or are not and different exercise prices. As noted trading on different dates. Additionally, recognized as calendar spreads. This above, diagonal spreads are currently it will allow the System to recognize proposed application of the debit/credit described within Rule 5.34(b) and the spreads with A.M.-settled/P.M.-settled price reasonability check promotes just System currently applies the debit/ legs that have the same exercise price and equitable principles of trade, as it credit reasonability check and and the same expiration date, but is based on the same general option and Exchange-determined buffers to likewise cease trading on different volatility pricing principles the System diagonal spreads pursuant to Rule dates, to be calendar spreads (which currently uses to pair calls and puts for 5.34(b)(3)(A).14 The Exchange merely have different expiration dates and the other complex orders that also stop inadvertently omitted codifying the same exercise price). By considering trading on different days, and will result definition of diagonal spreads in a these particular orders to be diagonals in the handling of strategies with legs previous rule filing that updated Rule rather than verticals, or to be calendars, that stop trading on different days in the 5.34 to allow the System to apply the the Exchange will apply the same same manner during unusual or volatile debit/credit reasonability check to buffers to vertical strategies that have market conditions. diagonals.15 legs that stop trading at different times In addition to this, the Exchange notes that the proposed rule change would not 2. Statutory Basis (i.e., one leg is A.M-settled and one leg is P.M.-settled) as it applies to diagonal raise any novel or unique issues for The Exchange believes the proposed strategies (which also have legs that stop investors as the debit/credit rule change is consistent with the trading at different times), and will reasonability check logic and Exchange- Securities Exchange Act of 1934 (the apply the same buffers to strategies that determined buffers, where applicable, ‘‘Act’’) and the rules and regulations have legs that stop trading at different would apply to strategies with A.M.- thereunder applicable to the Exchange times (i.e., one leg is A.M-settled and settled/P.M.-settled legs in the same and, in particular, the requirements of one leg is P.M.-settled) and the same manner as they do today for calendar Section 6(b) of the Act.16 Specifically, exercise price as it applies to calendar and diagonal spreads, which also have the Exchange believes the proposed rule strategies. This handling of vertical legs that stop trading on different dates. change is consistent with the Section spreads is appropriate in classes in The Exchange will continue to 6(b)(5) 17 requirements that the rules of which market conditions may cause the announce any changes to the parameters an exchange be designed to prevent P.M.-settled leg (with the farther time of the debit/credit reasonability check to fraudulent and manipulative acts and until trading expiration) to trade at a market participants by Exchange notice, practices, to promote just and equitable to regularly monitor the application of discount and be worth less than the principles of trade, to foster cooperation the debit/credit price reasonability A.M.-settled leg (with the nearer time and coordination with persons engaged check and for orders that may be until trading expiration). By considering in regulating, clearing, settling, executed at erroneous prices, to a vertical strategy with A.M.-settled/ processing information with respect to, consider market conditions, investor P.M.-settled legs with the same and facilitating transactions in demand, and other relevant factors expiration date as diagonal rather than securities, to remove impediments to when determining whether to modify a vertical, for purposes of the debit/ and perfect the mechanism of a free and the debit/credit reasonability check credit price reasonability check, the open market and a national market buffer or other risk control parameter proposed rule change will provide the system, and, in general, to protect amount in order to appropriately same execution opportunities for investors and the public interest. balance providing protection against legitimately priced vertical strategies Additionally, the Exchange believes the executions at potentially erroneous with A.M.-settled/P.M.-settled legs in proposed rule change is consistent with prices and providing execution certain classes as it may for diagonal the Section 6(b)(5) 18 requirement that opportunities for legitimately priced strategies in certain classes given then- the rules of an exchange not be designed orders. current market conditions. Additionally, to permit unfair discrimination between In addition to this, the proposed rule this handling of strategies with A.M.- customers, issuers, brokers, or dealers. change to codify the definition of settled/P.M.-settled legs with the same In particular, the Exchange believes diagonal spreads in Rule 5.34(b) would expiration date and different exercise the proposed rule change will remove generally protect investors by adding prices as calendar spreads will provide impediments to and perfects the clarity to the Rules regarding a strategy those orders with opportunities to be mechanism of a free and open market that is already described within the accepted and executed, rather than be and national market system by applying Rules and to which the System rejected because the debit/credit price currently applies the debit/credit reasonability checks views the orders as 14 In light of the proposed codified definition, the reasonability check and Exchange- Exchange updates the current description of a having legs with the same expiration determined price buffers. diagonal in Rule 5.34(b)(3)(A) to, instead, refer to dates and exercise prices and thus does ‘‘diagonal’’, as well as adds this reference to the not recognize it as a calendar spread. B. Self-Regulatory Organization’s description of a diagonal in Rule 5.34(b)(3)(B)(iii). Statement on Burden on Competition 15 See supra note 6. As a result, the proposed rule change 16 15 U.S.C. 78f(b). ultimately protects investors by The Exchange does not believe that 17 15 U.S.C. 78f(b)(5). continuing to prevent execution of the proposed rule change will impose 18 Id. spreads with A.M.-settled/P.M.-settled any burden on competition that is not

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necessary or appropriate in furtherance C. Self-Regulatory Organization’s with the same expiration date and of the purposes of the Act. The Statement on Comments on the exercise price as calendar spreads, proposed rule change will not impose Proposed Rule Change Received From rather than rejecting them. As discussed any burden on intramarket competition, Members, Participants, or Others above, the Exchange states that because because the debit/credit price The Exchange neither solicited nor the component legs of an A.M.-settled/ reasonability check will continue to received comments on the proposed P.M.-settled vertical spread cease apply to all incoming complex orders of rule change. trading on different days, market all TPHs in the same manner. The participants price A.M.-settled/P.M.- III. Date of Effectiveness of the proposed rule change would allow the settled vertical spreads more similarly System to apply the logic and pre-set Proposed Rule Change and Timing for to diagonal spreads. In addition, market buffers to vertical spreads with A.M.- Commission Action participants treat A.M.-settled/P.M.- settled/P.M.-settled legs (and thus stop The Exchange has filed the proposed trading on different dates) that it already settled spreads with component legs rule change pursuant to Section that have the same exercise price and applies to other spreads that contain 19(b)(3)(A)(iii) of the Act 19 and Rule expiration date as calendar spreads, legs that stop trading on different dates 19b–4(f)(6) thereunder.20 Because the and have different exercise prices (i.e., proposed rule change does not: (i) although the System currently does not diagonals), as well as to apply the logic Significantly affect the protection of recognize them as calendar spreads. The and pre-set buffers to spreads with investors or the public interest; (ii) Commission believes that waiver of the A.M.-settled/P.M.-settled legs (and thus impose any significant burden on operative delay will allow the Exchange stop trading on different dates) that it competition; and (iii) become operative to modify the debit/credit price already applies to other spreads that prior to 30 days from the date on which reasonability check so that it applies to contain legs that stop trading on it was filed, or such shorter time as the A.M.-settled/P.M.-settled calendar and different dates and have the same Commission may designate, if vertical spreads in a manner that is exercise prices (i.e., calendars). This, in consistent with the protection of consistent with market participants’ turn, will allow the System to apply the investors and the public interest, the pricing of these spreads, and could help appropriate Exchange-determined buffer proposed rule change has become to ensure that the price check does not to such vertical orders, which the effective pursuant to Section 19(b)(3)(A) reject appropriately priced A.M.-settled/ Exchange understands market of the Act 21 and Rule 19b–4(f)(6)(iii) P.M.-settled calendar and vertical participants price more similarly to a thereunder.22 spreads. In addition, the Commission diagonal spread as opposed to a vertical A proposed rule change filed under believes that adding a definition of spread, or to such calendar orders, given 23 Rule 19b–4(f)(6) normally does not diagonal spread will help to clarify the the difference in the actual trading days become operative prior to 30 days after operation of the rule. For these reasons, on which each leg stops trading, thus the date of the filing. However, pursuant the Commission believes that waiver of allowing for legitimately priced to Rule 19b–4(f)(6)(iii),24 the the 30-day operative delay is consistent strategies with A.M.-settled/P.M.-settled Commission may designate a shorter legs to execute as intended. time if such action is consistent with the with the protection of investors and the The proposed rule change does not protection of investors and the public public interest. According, the impose any burden on intermarket interest. The Exchange has asked the Commission hereby waives the 30-day competition, as it is an enhancement to Commission to waive the 30-day operative delay and designates the a price protection mechanism the operative delay so that the proposal may proposal operative upon filing.25 System applies to complex orders become operative immediately upon At any time within 60 days of the submitted to the Exchange to determine filing. The Exchange states that market filing of this proposed rule change, the whether they should be accepted for participants have voiced concerns Commission summarily may potential execution on the Exchange. regarding the System rejecting their temporarily suspend such rule change if The Exchange believes the proposed legitimately priced A.M.-settled/P.M.- it appears to the Commission that such rule change would provide all market settled calendar spreads and vertical action is necessary or appropriate in the participants with additional execution spreads, especially closer in time to opportunities when appropriate while public interest, for the protection of A.M./P.M. expiration dates. The investors, or otherwise in furtherance of still providing protection from Exchange believes that waiver of the the purposes of the Act. If the anomalous or erroneous executions. To operative delay will protect investors by Commission takes such action, the the extent that market participants find allowing the Exchange to apply a Commission will institute proceedings the proposed application of the debit/ potentially widened buffer to A.M.- credit reasonability check to their settled/P.M.-settled vertical spreads to determine whether the proposed rule vertical and calendar spreads with during volatile market conditions, and change should be approved or A.M.-settled/P.M.-settled legs more by allowing the System to recognize and disapproved. favorable for execution of their accept A.M.-settled/P.M.-settled spreads IV. Solicitation of Comments legitimately priced orders, other exchanges may adopt functionality to 19 15 U.S.C. 78s(b)(3)(A)(iii). Interested persons are invited to similarly handle such complex 20 17 CFR 240.19b–4(f)(6). submit written data, views, and strategies. 21 15 U.S.C. 78s(b)(3)(A). arguments concerning the foregoing, 22 Additionally, the proposed rule 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– including whether the proposed rule change to codify the definition of 4(f)(6)(iii) requires the Exchange to give the Commission written notice of the Exchange’s intent change is consistent with the Act. diagonal spreads to the Rules is a to file the proposed rule change, along with a brief Comments may be submitted by any of nonsubstantive, noncompetitive change description and text of the proposed rule change, the following methods: that merely provides additional clarity at least five business days prior to the date of filing within the Rules regarding a term/ of the proposed rule change, or such shorter time as designated by the Commission. The Exchange 25 For purposed only of waiving the 30-day strategy that is already described in the has satisfied this requirement. operative delay, the Commission has considered the Rules and that the System already 23 17 CFR 240.19b–4(f)(6). proposed rule’s impact on efficiency, competition, accounts for pursuant to the Rules. 24 17 CFR 240.19b–4(f)(6)(iii). and capital formation. See 15 U.S.C. 78c(f).

VerDate Sep<11>2014 17:35 Oct 21, 2020 Jkt 253001 PO 00000 Frm 00062 Fmt 4703 Sfmt 4703 E:\FR\FM\22OCN1.SGM 22OCN1 67392 Federal Register / Vol. 85, No. 205 / Thursday, October 22, 2020 / Notices

Electronic Comments SECURITIES AND EXCHANGE 18, 2020, pursuant to Section 19(b)(2) of the Act,7 the Division, for the • COMMISSION Use the Commission’s internet Commission pursuant to delegated comment form (http://www.sec.gov/ [Release No. 34–90217; File No. SR– NYSENAT–2020–05] authority, designated a longer period rules/sro.shtml); or within which to issue an order • Send an email to rule-comments@ Self-Regulatory Organizations; NYSE approving or disapproving the proposed sec.gov. Please include File Number SR– National, Inc.; Order Approving a rule change.8 This order approves the CBOE–2020–099 on the subject line. Proposed Rule Change To Establish proposed rule change. Fees for the NYSE National Integrated Paper Comments II. Description of the Proposed Rule Feed Change • Send paper comments in triplicate October 16, 2020. NYSE National proposes to establish to Secretary, Securities and Exchange fees for the NYSE National Integrated I. Introduction Commission, 100 F Street NE, Feed.9 According to NYSE National, the Washington, DC 20549–1090. On February 3, 2020, NYSE National, NYSE National Integrated Feed is a Inc. (‘‘NYSE National’’ or ‘‘Exchange’’) NYSE National-only market data feed All submissions should refer to File filed with the Securities and Exchange that provides vendors and subscribers Number SR–CBOE–2020–099. This file Commission (‘‘SEC’’ or ‘‘Commission’’), on a real-time basis with a unified view number should be included on the pursuant to Section 19(b)(1) of the of events, in sequence, as they appear subject line if email is used. To help the Securities Exchange Act of 1934 on the NYSE National matching Commission process and review your (‘‘Act’’) 1 and Rule 19b–4 thereunder,2 a engine.10 The NYSE National Integrated comments more efficiently, please use proposed rule change to establish fees Feed includes depth-of-book order data, only one method. The Commission will for the NYSE National Integrated Feed. last sale data, security status updates post all comments on the Commission’s The proposed rule change was (e.g., trade corrections and trading internet website (http://www.sec.gov/ immediately effective upon filing with halts), and stock summary messages.11 It rules/sro.shtml). Copies of the the Commission pursuant to Section also includes information about NYSE submission, all subsequent 19(b)(3)(A) of the Act.3 The proposed National’s best bid or offer at any given amendments, all written statements rule change was published for comment time.12 NYSE National proposes the with respect to the proposed rule in the Federal Register on February 20, following fees for the NYSE National change that are filed with the 2020.4 On April 1, 2020, the Division of Integrated Feed: • Commission, and all written Trading and Markets (‘‘Division’’), for $2,500 per month access fee, which communications relating to the the Commission pursuant to delegated would be charged (once per firm) to any proposed rule change between the authority, temporarily suspended the data recipient that receives a data feed 13 Commission and any person, other than proposed rule change and instituted of the NYSE National Integrated Feed; proceedings to determine whether to • $1,500 per month redistribution fee, those that may be withheld from the approve or disapprove the proposed which would be charged (once per public in accordance with the rule change.5 On June 12, 2020, the redistributor account) to any provisions of 5 U.S.C. 552, will be Commission issued a request for redistributor 14 of the NYSE National available for website viewing and information and additional comment on Integrated Feed; printing in the Commission’s Public the proposed rule change.6 On August • $10 per month professional per user Reference Room, 100 F Street NE, fee and $1 per month non-professional Washington, DC 20549, on official 1 15 U.S.C. 78s(b)(1). per user fee, which would apply to each business days between the hours of 2 17 CFR 240.19b–4. display device that has access to the 10:00 a.m. and 3:00 p.m. Copies of the 3 15 U.S.C. 78s(b)(3)(A). NYSE National Integrated Feed; 15 filing also will be available for 4 See Securities Exchange Act Release No. 88211 • Non-display use 16 fees: (February 14, 2020), 85 FR 9847 (‘‘Notice’’). inspection and copying at the principal Comments received on the Notice are available on office of the Exchange. All comments the Commission’s website at https://www.sec.gov/ Comment’’). Comments received on the Request for Comment are available on the Commission’s comments/sr-nysenat-2020-05/ received will be posted without change. website at https://www.sec.gov/comments/sr- srnysenat202005.htm. The Commission notes that, nysenat-2020-05/srnysenat202005.htm. Persons submitting comments are on December 4, 2019, NYSE National filed a 7 cautioned that we do not redact or edit proposed rule change to establish fees for the NYSE 15 U.S.C. 78s(b)(2). 8 personal identifying information from National Integrated Feed that are identical to the See Securities Exchange Act Release No. 89592, 85 FR 52174 (August 24, 2020). comment submissions. You should fees proposed in this filing. See Securities Exchange Act Release No. 87797 (December 18, 2019), 84 FR 9 The fees became effective on February 3, 2020. submit only information that you wish 71025 (December 26, 2019) (SR–NYSENAT–2019– Prior to February 3, 2020, NYSE National did not to make available publicly. All 31). Comments received on SR–NYSENAT–2019–31 charge any fees for the NYSE National Integrated submissions should refer to File are available on the Commission’s website at Feed. See Notice, supra note 4, at 9847. https://www.sec.gov/comments/sr-nysenat-2019-31/ 10 See id. Number SR–CBOE–2020–099, and srnysenat201931.htm. On January 31, 2020, the 11 See id. should be submitted on or before Division of Trading and Markets, for the 12 See id. November 12, 2020. Commission pursuant to delegated authority, 13 Data recipients that only use display devices to temporarily suspended SR–NYSENAT–2019–31 view NYSE National Integrated Feed data and do For the Commission, by the Division of and instituted proceedings to determine whether to not separately receive a data feed would not be Trading and Markets, pursuant to delegated approve or disapprove that proposed rule change. charged an access fee. See id. at 9848. authority.26 See Securities Exchange Act Release No. 88109, 85 14 A redistributor would be a vendor or person FR 6982 (February 6, 2020) (‘‘SR–NYSENAT–2019– that provides a real-time NYSE National market J. Matthew DeLesDernier, 31 OIP’’). On February 3, 2020, NYSE National data product externally to a data recipient that is Assistant Secretary. withdrew SR–NYSENAT–2019–31. See Securities not its affiliate or wholly-owned subsidiary, or to Exchange Act Release No. 88118 (February 4, 2020), any system that an external data recipient uses, [FR Doc. 2020–23361 Filed 10–21–20; 8:45 am] 85 FR 7611 (February 10, 2020). irrespective of the means of transmission or access. BILLING CODE 8011–01–P 5 See Securities Exchange Act Release No. 88538, See id. 85 FR 19541 (April 7, 2020). 15 See id. 6 See Securities Exchange Act Release No. 89065, 16 Non-display use would mean accessing, 26 17 CFR 200.30–3(a)(12). 85 FR 37123 (June 19, 2020) (‘‘Request for processing, or consuming the NYSE National

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