Self-Regulatory Organizations; Cboe EDGX Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Relating To Introduce a New Data Product To Be Known As Intraday Open-Close Data, 48735-48738 [2020-17561]
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Federal Register / Vol. 85, No. 156 / Wednesday, August 12, 2020 / Notices
subscribers within five minutes of the
conclusion of each 10 minute period.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will result in
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act. Rather, the
Exchange believes that the proposal will
promote competition by permitting the
Exchange to offer a data product similar
to those offered by other competitor
options exchanges.13 The Exchange is
proposing to introduce Intraday OpenClose Data in order to keep pace with
changes in the industry and evolving
customer needs, and believes this
proposed rule change would contribute
to robust competition among national
securities exchanges. As noted, at least
two other U.S. options exchanges offer
a market data product that is similar to
the Intraday Open-Close Data.14 As a
result, the Exchange believes this
proposed rule change permits fair
competition among national securities
exchanges. Therefore, the Exchange
does not believe the proposed rule
change will result in any burden on
competition that is 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
The Exchange has neither solicited
nor received written comments on the
proposed rule change.
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 after the date of
the filing, or such shorter time as the
Commission may designate, it has
become effective pursuant to Section
19(b)(3)(A) of the Act 15 and Rule 19b–
4(f)(6) 16 thereunder.
The Exchange has asked the
Commission to waive the 30-day
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13 Id.
14 Id.
15 15
U.S.C. 78s(b)(3)(A).
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.
16 17
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operative delay.17 The Commission
finds that waiving the 30-day operative
delay is consistent with the protection
of investors and the public interest.
Specifically, waiver of the operative
delay will allow the Exchange to offer
to investors without delay an optional
historical data product that is
substantially similar to products offered
by other options exchanges. The
proposal therefore does not present any
novel issues and, accordingly, the
Commission designates the proposal
operative upon filing.18
At any time within 60 days of the
filing of the proposed rule change, the
Commission summarily may
temporarily suspend 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. If the
Commission takes such action, the
Commission shall institute proceedings
to determine whether the proposed rule
should be approved or disapproved.
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 (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
CBOE–2020–070 on the subject line.
Paper Comments
• Send paper comments in triplicate
to Secretary, Securities and Exchange
Commission, 100 F Street NE,
Washington, DC 20549–1090.
All submissions should refer to File
Number SR–CBOE–2020–070. This file
number should be included on the
subject line if email 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 website (https://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
17 17
CFR 240.19b–4(f)(6)(iii).
purposes only of waiving the 30-day
operative delay, the Commission has considered the
proposed rule change’s impact on efficiency,
competition, and capital formation. 15 U.S.C. 78c(f).
18 For
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48735
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 website viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE,
Washington, DC 20549 on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of the
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
available publicly. All submissions
should refer to File Number SR–CBOE–
2020–070 and should be submitted on
or before September 2, 2020.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.19
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020–17558 Filed 8–11–20; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–89498; File No. SR–
CboeEDGX–2020–036]
Self-Regulatory Organizations; Cboe
EDGX Exchange, Inc.; Notice of Filing
and Immediate Effectiveness of a
Proposed Rule Change Relating To
Introduce a New Data Product To Be
Known As Intraday Open-Close Data
August 6, 2020.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (the
‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on July 29,
2020, Cboe EDGX Exchange, Inc. (the
‘‘Exchange’’ or ‘‘ ‘‘EDGX’’ ’’) filed with
the Securities and Exchange
Commission (the ‘‘Commission’’) the
proposed rule change as described in
Items I and II below, which Items have
been prepared by the Exchange. The
Exchange filed the proposal as a ‘‘noncontroversial’’ proposed rule change
pursuant to Section 19(b)(3)(A)(iii) of
the Act 3 and Rule 19b–4(f)(6)
19 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 15 U.S.C. 78s(b)(3)(A)(iii).
1 15
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48736
Federal Register / Vol. 85, No. 156 / Wednesday, August 12, 2020 / Notices
thereunder.4 The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
Cboe EDGX Exchange, Inc. (the
‘‘Exchange’’ or ‘‘EDGX’’) is filing with
the Securities and Exchange
Commission (‘‘Commission’’) a
proposed rule change to introduce a
new data product to be known as
Intraday Open-Close Data. The text of
the proposed rule change is provided in
Exhibit 5.
The text of the proposed rule change
is also available on the Exchange’s
website (https://markets.cboe.com/us/
options/regulation/rule_filings/edgx/),
at the Exchange’s Office of the
Secretary, 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
Exchange 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 these
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in sections A, B, and C below, of
the most significant aspects of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
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1. Purpose
The Exchange proposes to introduce a
new data product on EDGX to be known
as Intraday Open-Close Data, which will
be available for purchase to EDGX
Members (‘‘Members’’) and nonMembers.5 Cboe LiveVol, LLC
(‘‘LiveVol’’), a wholly owned subsidiary
of the Exchange’s parent company, Cboe
Global Markets, Inc., will make the
Intraday Open-Close Data available for
purchase to Members and non-Members
on the LiveVol DataShop website.6 The
Exchange also proposes to amend
Exchange Rule 21.15(b) to provide that
the Open-Close Data product will be
4 17
CFR 240.19b–4(f)(6).
Exchange intends to submit a separate rule
filing to establish fees for Intraday Open-Close Data.
6 See https://datashop.cboe.com/.
5 The
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available on an end-of-day basis and
intraday basis.
Currently, the Exchange offers OpenClose Data, which is an end-of-day
volume summary of trading activity on
the Exchange at the option level by
origin (customer, professional customer,
broker-dealer, and market maker), side
of the market (buy or sell), price, and
transaction type (opening or closing).
The customer and professional customer
volume is further broken down into
trade size buckets (less than 100
contracts, 100–199 contracts, greater
than 199 contracts). The Open-Close
Data is proprietary EDGX trade data and
does not include trade data from any
other exchange. It is also a historical
data product and not a real-time data
feed.
Now, the Exchange is proposing to
offer an additional product, the Intraday
Open-Close Data. The Intraday OpenClose Data will provide similar
information to that of Open-Close Data,
but will be produced and updated every
10 minutes during the trading day. Data
is captured in ‘‘snapshots’’ taken every
10 minutes throughout the trading day
and is available to subscribers within
five minutes of the conclusion of each
10 minute period. For example,
subscribers to the intraday product will
receive the first calculation of intraday
data by approximately 9:45 a.m. ET,
which represents data captured from
9:30 a.m. to 9:40 a.m. Subscribers will
receive the next update by 9:55 a.m.,
representing the data previously
provided aggregated with data captured
through 9:50 a.m., and so forth. Each
update will represent combined data
captured from the current ‘‘snapshot’’
and all previous ‘‘snapshots’’ and thus
will provide open-close data on an
aggregate basis. The Intraday OpenClose Data will provide a volume
summary of trading activity on the
Exchange at the option level by origin
(customer, professional customer,
broker-dealer, and market maker), side
of the market (buy or sell), and
transaction type (opening or closing).
The customer and professional customer
volume will be further broken down
into trade size buckets (less than 100
contracts, 100–199 contracts, greater
than 199 contracts). The Intraday OpenClose Data is proprietary EDGX trade
data and does not include trade data
from any other exchange. In contrast to
the existing Open-Close Data product,
the Intraday Open-Close Data will not
provide execution price.7
7 Price information is not included in Intraday
Open-Close Data because it cannot be provided
within the time parameters necessary to generate
the file.
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A description of each market data
product offered by the Exchange is
described in Exchange Rule 21.15(b).
The Exchange proposes to amend Rule
21.15(b)(5) to provide that Open-Close
Data will be offered on an end-of-day
and intraday basis.
The Exchange will establish a
monthly subscriber fee for Intraday
Open-Close Data by way of a separate
proposed rule change, which the
Exchange will submit in connection
with the launch of the Intraday OpenClose market data product.
The Exchange anticipates a wide
variety of market participants to
purchase Intraday Open-Close Data,
including, but not limited to, individual
customers, buy-side investors, and
investment banks. The Exchange
believes the proposed Open-Close Data
product may also provide helpful
trading information regarding investor
sentiment that may allow market
participants to make better trading
decisions throughout the day and may
be used to create and test trading
models and analytical strategies and
provides comprehensive insight into
trading on EDGX. For example, intraday
open data may allow a market
participant to identify new interest or
possible risk throughout the trading day,
while intraday closing data may allow a
market participant to identify fading
interests in a security. The proposal is
a completely voluntary product, in that
the Exchange is not required by any rule
or regulation to make this data available
and that potential subscribers may
purchase it only if they voluntarily
choose to do so. The Exchange notes
that other exchanges offer a similar data
product.8
2. Statutory Basis
The Exchange believes that the
proposed rule change is consistent with
Section 6(b) of the Act,9 in general, and
furthers the objectives of Section 6(b)(5)
of the Act,10 in particular, in that it is
designed to prevent fraudulent and
manipulative acts and practices, to
promote just and equitable principles of
trade, to remove impediments to and
perfect the mechanism of a free and
open market and a national market
system, and to protect investors and the
public interest, and that it is not
designed to permit unfair
8 See Securities Exchange Act Release No. 62887
(September 10, 2010), 75 FR 57092 (September 17,
2010) (SR–Phlx–2010–121); See also Securities
Exchange Act Release No. 65587 (October 18, 2011),
76 FR 65765 (October 24, 2011) (SR–NASDAQ–
2011–144).
9 15 U.S.C. 78f.
10 15 U.S.C. 78f(b)(5).
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Federal Register / Vol. 85, No. 156 / Wednesday, August 12, 2020 / Notices
discrimination among customers,
brokers, or dealers.
In adopting Regulation NMS, the
Commission granted self-regulatory
organizations (‘‘SROs’’) and brokerdealers increased authority and
flexibility to offer new and unique
market data to the public. It was
believed that this authority would
expand the amount of data available to
consumers, and also spur innovation
and competition for the provision of
market data. The Exchange believes that
the proposed Intraday Open-Close Data
would further broaden the availability
of U.S. option market data to investors
consistent with the principles of
Regulation NMS. The proposal also
promotes increased transparency
through the dissemination of Intraday
Open-Close Data. The proposed rule
change would benefit investors by
providing access to the Intraday OpenClose Data, which may promote better
informed trading throughout the trading
day. Moreover, other exchanges offer a
similar data product.11
In adopting Regulation NMS, the
Commission granted self-regulatory
organizations (‘‘SROs’’) and brokerdealers increased authority and
flexibility to offer new and unique
market data to the public. It was
believed that this authority would
expand the amount of data available to
consumers, and also spur innovation
and competition for the provision of
market data. The Exchange believes that
the proposed Intraday Open-Close Data
would further broaden the availability
of U.S. option market data to investors
consistent with the principles of
Regulation NMS. The proposal also
promotes increased transparency
through the dissemination of Intraday
Open-Close Data. The proposed rule
change would benefit investors by
providing access to the Intraday OpenClose Data, which as noted above, may
promote better informed trading.
Particularly, information regarding
opening and closing activity across
different option series may indicate
investor sentiment, which can be
helpful trading information. Subscribers
to the data may be able to enhance their
ability to analyze option trade and
volume data on an intraday basis, and
create and test trading models and
analytical strategies. The Exchange
believes Intraday Open-Close Data
provides a valuable tool that subscribers
can use to gain comprehensive insight
into the trading activity in a particular
series, but also emphasizes such data is
not necessary for trading.
Moreover, other exchanges also off a
substantially identical data product.12
Specifically, NASDAQ OMX PHLX
(‘‘PHLX’’) and the NASDAQ Stock
Market LLC (‘‘NASDAQ’’) offer the
PHLX Options Trade Outline
(‘‘PHOTO’’) and NASDAQ Options
Trade Outline (‘‘NOTO’’), respectively.
PHOTO and NOTO provide
substantially the same information as
that included in the proposed Intraday
Open-Close Data product. Further, like
the proposed product, the data is
provided to subscribers cumulatively
every 10 minutes and is available to
subscribers within five minutes of the
conclusion of each 10 minute period.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will result in
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act. Rather, the
Exchange believes that the proposal will
promote competition by permitting the
Exchange to offer a data product similar
to those offered by other competitor
options exchanges.13 The Exchange is
proposing to introduce Intraday OpenClose Data in order to keep pace with
changes in the industry and evolving
customer needs, and believes this
proposed rule change would contribute
to robust competition among national
securities exchanges. As noted, at least
two other U.S. options exchanges offer
a market data product that is similar to
the Intraday Open-Close Data.14 As a
result, the Exchange believes this
proposed rule change permits fair
competition among national securities
exchanges. Therefore, the Exchange
does not believe the proposed rule
change will result in any burden on
competition that is 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
The Exchange has neither solicited
nor received written comments on the
proposed rule change.
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
12 Id.
13 Id.
11 See
supra note 8.
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16:37 Aug 11, 2020
14 Id.
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48737
burden on competition; and (iii) become
operative for 30 days after the date of
the filing, or such shorter time as the
Commission may designate, it has
become effective pursuant to Section
19(b)(3)(A) of the Act 15 and Rule 19b–
4(f)(6) 16 thereunder.
The Exchange has asked the
Commission to waive the 30-day
operative delay.17 The Commission
finds that waiving the 30-day operative
delay is consistent with the protection
of investors and the public interest.
Specifically, waiver of the operative
delay will allow the Exchange to offer
to investors without delay an optional
historical data product that is
substantially similar to products offered
by other options exchanges. The
proposal therefore does not present any
novel issues and, accordingly, the
Commission designates the proposal
operative upon filing.18
At any time within 60 days of the
filing of the proposed rule change, the
Commission summarily may
temporarily suspend 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. If the
Commission takes such action, the
Commission shall institute proceedings
to determine whether the proposed rule
should be approved or disapproved.
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 (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
CboeEDGX–2020–036 on the subject
line.
15 15
U.S.C. 78s(b)(3)(A).
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.
17 17 CFR 240.19b–4(f)(6)(iii).
18 For purposes only of waiving the 30-day
operative delay, the Commission has considered the
proposed rule change’s impact on efficiency,
competition, and capital formation. 15 U.S.C. 78c(f).
16 17
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Federal Register / Vol. 85, No. 156 / Wednesday, August 12, 2020 / Notices
Paper Comments
• Send paper comments in triplicate
to Secretary, Securities and Exchange
Commission, 100 F Street NE,
Washington, DC 20549–1090.
All submissions should refer to File
Number SR–CboeEDGX–2020–036. This
file number should be included on the
subject line if email 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 website (https://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 website viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE,
Washington, DC 20549 on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of the
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
available publicly. All submissions
should refer to File Number SR–
CboeEDGX–2020–036 and should be
submitted on or before September 2,
2020.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.19
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020–17561 Filed 8–11–20; 8:45 am]
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BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–89500; File No. SR–NYSE–
2020–66]
Self-Regulatory Organizations; New
York Stock Exchange LLC; Notice of
Filing of Proposed Rule Change To
Amend Rule 122
August 6, 2020.
Pursuant to Section 19(b)(1) 1 of the
Securities Exchange Act of 1934 (the
‘‘Act’’) 2 and Rule 19b–4 thereunder,3
notice is hereby given that, on August
3, 2020, New York Stock Exchange LLC
(‘‘NYSE’’ or the ‘‘Exchange’’) filed with
the Securities and Exchange
Commission (the ‘‘Commission’’) the
proposed rule change as described in
Items I, II, and III below, which Items
have been prepared by the selfregulatory organization. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to amend
Rule 122 (Orders with More than One
Broker). The proposed rule change is
available on the Exchange’s website at
www.nyse.com, at the principal office of
the Exchange, 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.
The Exchange 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 the
Statutory Basis for, the Proposed Rule
Change
1. Purpose
Currently, Rule 122 (Orders with
More than One Floor Broker) provides
that a member organization may not
maintain orders with more than one
Floor broker to purchase the same
1 15
U.S.C. 78s(b)(1).
U.S.C. 78a.
3 17 CFR 240.19b–4.
CFR 200.30–3(a)(12).
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2. Proposed Changes to Text of Rule 122
The Exchange proposes to amend
Rule 122 to remove certain obsolete
language and to provide greater
specificity to the rule text, without
changing its meaning.
4 See Rule 7.36(a)(5) (defining the term ‘‘Floor
Broker Participant’’ to mean a Floor Broker trading
license).
2 15
19 17
security at the same price. Because each
Floor broker is a separate Participant in
a parity allocation,4 Rule 122 prevents
member organizations from
circumventing the parity allocation
rules to obtain preferential execution by
splitting a single order among multiple
Floor brokers.
Rule 122 currently contains an
exception and the main purpose of the
proposed amendment is to clarify this
exception. The exception is: If the
orders are not for the account of the
same principal, then it is permissible for
the member organization to maintain
such orders with different Floor brokers.
This exception reflects the Exchange’s
understanding that some member
organizations, or customers of member
organizations, have multiple trading
desks that do not coordinate trading
strategies and are separated by
information barriers. In such
circumstances, because there is no
coordination between such trading
desks, maintaining those separate orders
with more than one Floor broker would
not be circumventing the parity
allocation rules. The proposed
amendment to Rule 122 would add
Commentary to add specificity about
this exception with respect to both
member organizations’ proprietary
orders and orders that member
organizations represent on an agency
basis for customers.
Both member organizations and the
customers of member organizations may
consist of multiple trading units that are
separated by information barriers that
restrict the trading units from
coordinating trading strategies, sharing
capital, and sharing profits and losses.
The proposed amended rule would
provide that, if a member organization
has knowledge and can verify that it or
its customer is organized in this way,
the member organization may route
orders for the same security at the same
price from its independent units to more
than one Floor broker in a manner that
is consistent with Rule 122.
In addition, the Exchange proposes to
amend the text of Rule 122 to remove
certain obsolete language and to provide
greater specificity to the rule text,
without changing its meaning.
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]]>Agencies
[Federal Register Volume 85, Number 156 (Wednesday, August 12, 2020)]
[Notices]
[Pages 48735-48738]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-17561]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-89498; File No. SR-CboeEDGX-2020-036]
Self-Regulatory Organizations; Cboe EDGX Exchange, Inc.; Notice
of Filing and Immediate Effectiveness of a Proposed Rule Change
Relating To Introduce a New Data Product To Be Known As Intraday Open-
Close Data
August 6, 2020.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that on July 29, 2020, Cboe EDGX Exchange, Inc. (the ``Exchange'' or ``
``EDGX'' '') filed with the Securities and Exchange Commission (the
``Commission'') the proposed rule change as described in Items I and II
below, which Items have been prepared by the Exchange. The Exchange
filed the proposal as a ``non-controversial'' proposed rule change
pursuant to Section 19(b)(3)(A)(iii) of the Act \3\ and Rule 19b-
4(f)(6)
[[Page 48736]]
thereunder.\4\ 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\ 15 U.S.C. 78s(b)(3)(A)(iii).
\4\ 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
Cboe EDGX Exchange, Inc. (the ``Exchange'' or ``EDGX'') is filing
with the Securities and Exchange Commission (``Commission'') a proposed
rule change to introduce a new data product to be known as Intraday
Open-Close Data. The text of the proposed rule change is provided in
Exhibit 5.
The text of the proposed rule change is also available on the
Exchange's website (https://markets.cboe.com/us/options/regulation/rule_filings/edgx/), at the Exchange's Office of the Secretary, 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 Exchange 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 these statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
sections A, B, and C below, of the most significant aspects of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to introduce a new data product on EDGX to be
known as Intraday Open-Close Data, which will be available for purchase
to EDGX Members (``Members'') and non-Members.\5\ Cboe LiveVol, LLC
(``LiveVol''), a wholly owned subsidiary of the Exchange's parent
company, Cboe Global Markets, Inc., will make the Intraday Open-Close
Data available for purchase to Members and non-Members on the LiveVol
DataShop website.\6\ The Exchange also proposes to amend Exchange Rule
21.15(b) to provide that the Open-Close Data product will be available
on an end-of-day basis and intraday basis.
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\5\ The Exchange intends to submit a separate rule filing to
establish fees for Intraday Open-Close Data.
\6\ See https://datashop.cboe.com/.
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Currently, the Exchange offers Open-Close Data, which is an end-of-
day volume summary of trading activity on the Exchange at the option
level by origin (customer, professional customer, broker-dealer, and
market maker), side of the market (buy or sell), price, and transaction
type (opening or closing). The customer and professional customer
volume is further broken down into trade size buckets (less than 100
contracts, 100-199 contracts, greater than 199 contracts). The Open-
Close Data is proprietary EDGX trade data and does not include trade
data from any other exchange. It is also a historical data product and
not a real-time data feed.
Now, the Exchange is proposing to offer an additional product, the
Intraday Open-Close Data. The Intraday Open-Close Data will provide
similar information to that of Open-Close Data, but will be produced
and updated every 10 minutes during the trading day. Data is captured
in ``snapshots'' taken every 10 minutes throughout the trading day and
is available to subscribers within five minutes of the conclusion of
each 10 minute period. For example, subscribers to the intraday product
will receive the first calculation of intraday data by approximately
9:45 a.m. ET, which represents data captured from 9:30 a.m. to 9:40
a.m. Subscribers will receive the next update by 9:55 a.m.,
representing the data previously provided aggregated with data captured
through 9:50 a.m., and so forth. Each update will represent combined
data captured from the current ``snapshot'' and all previous
``snapshots'' and thus will provide open-close data on an aggregate
basis. The Intraday Open-Close Data will provide a volume summary of
trading activity on the Exchange at the option level by origin
(customer, professional customer, broker-dealer, and market maker),
side of the market (buy or sell), and transaction type (opening or
closing). The customer and professional customer volume will be further
broken down into trade size buckets (less than 100 contracts, 100-199
contracts, greater than 199 contracts). The Intraday Open-Close Data is
proprietary EDGX trade data and does not include trade data from any
other exchange. In contrast to the existing Open-Close Data product,
the Intraday Open-Close Data will not provide execution price.\7\
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\7\ Price information is not included in Intraday Open-Close
Data because it cannot be provided within the time parameters
necessary to generate the file.
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A description of each market data product offered by the Exchange
is described in Exchange Rule 21.15(b). The Exchange proposes to amend
Rule 21.15(b)(5) to provide that Open-Close Data will be offered on an
end-of-day and intraday basis.
The Exchange will establish a monthly subscriber fee for Intraday
Open-Close Data by way of a separate proposed rule change, which the
Exchange will submit in connection with the launch of the Intraday
Open-Close market data product.
The Exchange anticipates a wide variety of market participants to
purchase Intraday Open-Close Data, including, but not limited to,
individual customers, buy-side investors, and investment banks. The
Exchange believes the proposed Open-Close Data product may also provide
helpful trading information regarding investor sentiment that may allow
market participants to make better trading decisions throughout the day
and may be used to create and test trading models and analytical
strategies and provides comprehensive insight into trading on EDGX. For
example, intraday open data may allow a market participant to identify
new interest or possible risk throughout the trading day, while
intraday closing data may allow a market participant to identify fading
interests in a security. The proposal is a completely voluntary
product, in that the Exchange is not required by any rule or regulation
to make this data available and that potential subscribers may purchase
it only if they voluntarily choose to do so. The Exchange notes that
other exchanges offer a similar data product.\8\
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\8\ See Securities Exchange Act Release No. 62887 (September 10,
2010), 75 FR 57092 (September 17, 2010) (SR-Phlx-2010-121); See also
Securities Exchange Act Release No. 65587 (October 18, 2011), 76 FR
65765 (October 24, 2011) (SR-NASDAQ-2011-144).
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2. Statutory Basis
The Exchange believes that the proposed rule change is consistent
with Section 6(b) of the Act,\9\ in general, and furthers the
objectives of Section 6(b)(5) of the Act,\10\ in particular, in that it
is designed to prevent fraudulent and manipulative acts and practices,
to promote just and equitable principles of trade, to remove
impediments to and perfect the mechanism of a free and open market and
a national market system, and to protect investors and the public
interest, and that it is not designed to permit unfair
[[Page 48737]]
discrimination among customers, brokers, or dealers.
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\9\ 15 U.S.C. 78f.
\10\ 15 U.S.C. 78f(b)(5).
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In adopting Regulation NMS, the Commission granted self-regulatory
organizations (``SROs'') and broker-dealers increased authority and
flexibility to offer new and unique market data to the public. It was
believed that this authority would expand the amount of data available
to consumers, and also spur innovation and competition for the
provision of market data. The Exchange believes that the proposed
Intraday Open-Close Data would further broaden the availability of U.S.
option market data to investors consistent with the principles of
Regulation NMS. The proposal also promotes increased transparency
through the dissemination of Intraday Open-Close Data. The proposed
rule change would benefit investors by providing access to the Intraday
Open-Close Data, which may promote better informed trading throughout
the trading day. Moreover, other exchanges offer a similar data
product.\11\
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\11\ See supra note 8.
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In adopting Regulation NMS, the Commission granted self-regulatory
organizations (``SROs'') and broker-dealers increased authority and
flexibility to offer new and unique market data to the public. It was
believed that this authority would expand the amount of data available
to consumers, and also spur innovation and competition for the
provision of market data. The Exchange believes that the proposed
Intraday Open-Close Data would further broaden the availability of U.S.
option market data to investors consistent with the principles of
Regulation NMS. The proposal also promotes increased transparency
through the dissemination of Intraday Open-Close Data. The proposed
rule change would benefit investors by providing access to the Intraday
Open-Close Data, which as noted above, may promote better informed
trading. Particularly, information regarding opening and closing
activity across different option series may indicate investor
sentiment, which can be helpful trading information. Subscribers to the
data may be able to enhance their ability to analyze option trade and
volume data on an intraday basis, and create and test trading models
and analytical strategies. The Exchange believes Intraday Open-Close
Data provides a valuable tool that subscribers can use to gain
comprehensive insight into the trading activity in a particular series,
but also emphasizes such data is not necessary for trading.
Moreover, other exchanges also off a substantially identical data
product.\12\ Specifically, NASDAQ OMX PHLX (``PHLX'') and the NASDAQ
Stock Market LLC (``NASDAQ'') offer the PHLX Options Trade Outline
(``PHOTO'') and NASDAQ Options Trade Outline (``NOTO''), respectively.
PHOTO and NOTO provide substantially the same information as that
included in the proposed Intraday Open-Close Data product. Further,
like the proposed product, the data is provided to subscribers
cumulatively every 10 minutes and is available to subscribers within
five minutes of the conclusion of each 10 minute period.
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\12\ Id.
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B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
result in any burden on competition that is not necessary or
appropriate in furtherance of the purposes of the Act. Rather, the
Exchange believes that the proposal will promote competition by
permitting the Exchange to offer a data product similar to those
offered by other competitor options exchanges.\13\ The Exchange is
proposing to introduce Intraday Open-Close Data in order to keep pace
with changes in the industry and evolving customer needs, and believes
this proposed rule change would contribute to robust competition among
national securities exchanges. As noted, at least two other U.S.
options exchanges offer a market data product that is similar to the
Intraday Open-Close Data.\14\ As a result, the Exchange believes this
proposed rule change permits fair competition among national securities
exchanges. Therefore, the Exchange does not believe the proposed rule
change will result in any burden on competition that is not necessary
or appropriate in furtherance of the purposes of the Act.
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\13\ Id.
\14\ Id.
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C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
The Exchange has neither solicited nor received written comments on
the proposed rule change.
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 after the date of the filing, or such
shorter time as the Commission may designate, it has become effective
pursuant to Section 19(b)(3)(A) of the Act \15\ and Rule 19b-4(f)(6)
\16\ thereunder.
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\15\ 15 U.S.C. 78s(b)(3)(A).
\16\ 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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The Exchange has asked the Commission to waive the 30-day operative
delay.\17\ The Commission finds that waiving the 30-day operative delay
is consistent with the protection of investors and the public interest.
Specifically, waiver of the operative delay will allow the Exchange to
offer to investors without delay an optional historical data product
that is substantially similar to products offered by other options
exchanges. The proposal therefore does not present any novel issues
and, accordingly, the Commission designates the proposal operative upon
filing.\18\
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\17\ 17 CFR 240.19b-4(f)(6)(iii).
\18\ For purposes only of waiving the 30-day operative delay,
the Commission has considered the proposed rule change's impact on
efficiency, competition, and capital formation. 15 U.S.C. 78c(f).
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At any time within 60 days of the filing of the proposed rule
change, the Commission summarily may temporarily suspend 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. If the Commission
takes such action, the Commission shall institute proceedings to
determine whether the proposed rule should be approved or disapproved.
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 (https://www.sec.gov/rules/sro.shtml); or
Send an email to [email protected]. Please include
File Number SR-CboeEDGX-2020-036 on the subject line.
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Paper Comments
Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.
All submissions should refer to File Number SR-CboeEDGX-2020-036. This
file number should be included on the subject line if email 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 website (https://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 website viewing and printing in
the Commission's Public Reference Room, 100 F Street NE, Washington, DC
20549 on official business days between the hours of 10:00 a.m. and
3:00 p.m. Copies of the 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 available publicly. All
submissions should refer to File Number SR-CboeEDGX-2020-036 and should
be submitted on or before September 2, 2020.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\19\
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\19\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-17561 Filed 8-11-20; 8:45 am]
BILLING CODE 8011-01-P
