Self-Regulatory Organizations; Miami International Securities Exchange, LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Adopt a New Historical Market Data Product To Be Known as the Open-Close Report, 28665-28667 [2021-11175]
Download as PDF
<![CDATA[
Federal Register / Vol. 86, No. 101 / Thursday, May 27, 2021 / Notices
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.22
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021–11173 Filed 5–26–21; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–91965; File No. SR–MIAX–
2021–18]
Self-Regulatory Organizations; Miami
International Securities Exchange,
LLC; Notice of Filing and Immediate
Effectiveness of a Proposed Rule
Change To Adopt a New Historical
Market Data Product To Be Known as
the Open-Close Report
May 21, 2021.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on May 10,
2021, Miami International Securities
Exchange, LLC (‘‘MIAX Options’’ or the
‘‘Exchange’’) filed with the Securities
and Exchange Commission
(‘‘Commission’’) a proposed rule change
as described in Items I and II below,
which Items have been prepared by the
Exchange. 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 is filing a proposal to
adopt a new historical market data
product to be known as the Open-Close
Report.
The text of the proposed rule change
is available on the Exchange’s website at
https://www.miaxoptions.com/rulefilings/ at MIAX Options’ principal
office, and at the Commission’s Public
Reference Room.
jbell on DSKJLSW7X2PROD with NOTICES
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
22 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
VerDate Sep<11>2014
17:29 May 26, 2021
Jkt 253001
28665
1. Purpose
The Exchange proposes to adopt a
new historical market data product to be
known as the Open-Close Report, which
will be available to all Members and
Non-Members.3 The proposed OpenClose Report would be described in
Exchange Rule 531(b)(1) and is based on
market data products currently available
on most other options exchanges.4
The Exchange proposes to offer the
Open-Close Report, which will be a
volume summary of trading activity on
the Exchange at the option level by
origin (Priority Customer, Non-Priority
Customer, Firm, Broker-Dealer, and
Market Maker 5), side of the market (buy
or sell), contract volume, and
transaction type (opening or closing).
The Priority Customer, Non-Priority
Customer, Firm, Broker-Dealer, and
Market Maker volume is further broken
down into trade size buckets (less than
100 contracts, 100–199 contracts, greater
than 199 contracts). The Open-Close
Report is proprietary Exchange trade
data and does not include trade data
from any other exchange. It is also a
historical data product and not a realtime data feed. The Open-Close Report
would be described under proposed
Exchange Rule 531(b)(1).
Specifically, the Open-Close Report
would include the following data:
• Aggregate number of buy and sell
transactions in the affected series;
• Aggregate volume traded
electronically on the Exchange in the
affected series;
• Aggregate number of trades effected
on the Exchange to open a position; 6
• Aggregate number of trades effected
on the Exchange to close a position; 7
• Origin of the orders and quotes
involved in trades on the Exchange in
the affected series during a particular
trading session, specifically aggregated
in the following categories of
participants: Priority Customer, NonPriority Customer, Firm, Broker-Dealer,
and Market Maker.
The Exchange anticipates a wide
variety of market participants to
purchase the Open-Close Report,
including, but not limited to, individual
customers, buy-side investors, and
investment banks. The Open-Close
Report would provide subscribers data
that should enhance their ability to
analyze option trade and volume data,
and to create and test trading models
and analytical strategies. The Exchange
believes that Open-Close Report will be
a valuable tool that subscribers can use
to gain comprehensive insight into the
trading activity in a particular option
series. The proposed report 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 will
establish a monthly subscriber fee for
the Open-Close Report by way of a
separate proposed rule change, which
the Exchange will submit prior to the
launch of the Open-Close Report.
The Exchange proposes to offer two
versions of the Open-Close Report. One
will contain historical data from the
3 The term ‘‘Member’’ means an individual or
organization approved to exercise the trading rights
associated with a Trading Permit. Members are
deemed ‘‘members’’ under the Exchange Act. See
Exchange Rule 100.
4 See Securities Exchange Act Release Nos. 89497
(August 6, 2020), 85 FR 48747 (August 12, 2020)
(SR–CboeBZX–2020–059); 89498 (August 6, 2020),
85 FR 48735 (August 12, 2020) (SR–Cboe–EDGX–
2020–36); 85817 (May 9, 2019), 84 FR 21863 (May
15, 2019) (SR–CBOE–2019–026); 89496 (August 6,
2020), 85 FR 48743 (August 12, 2020) (SR–C2–
2020–010); 89596 (August 17, 2020), 85 FR 51833
(August 21, 2020) (SR–C2–2020–012); 62887
(September 10, 2010), 75 FR 57092 (September 17,
2010) (SR–Phlx–2010–121); 65587 (October 18,
2011), 76 FR 65765 (October 24, 2011) (SR–
NASDAQ–2011–144); 61317 (January 8, 2010), 75
FR 2915 (January 19, 2010) (SR–ISE–2009–103);
62887 (September 10, 2010), 75 FR 57092
(September 17, 2010) (SR–Phlx–2010–121); 65587
(October 18, 2011), 76 FR 65765 (October 24, 2011)
(SR–NASDAQ–2011–144); and 81632 (September
15, 2017), 82 FR 44235 (September 21, 2017) (SR–
GEMX–2017–42).
5 See Exchange Rule 100 for the definitions of the
terms Priority Customer, Non-Priority Customer,
Firm, Broker-Dealer, and Market Maker.
6 The Open-Close Report would provide
subscribers with the aggregate number of ‘‘opening
purchase transactions’’ in the affected series. An
opening purchase transaction is an Exchange
options transaction in which the purchaser’s
intention is to create or increase a long position in
the series of options involved in such transaction.
The Open-Close Report would also provide
subscribers with the aggregate number of ‘‘opening
writing transactions.’’ An opening writing
transaction is an Exchange options transaction in
which the seller’s (writer’s) intention is to create or
increase a short position in the series of options
involved in such transaction.
7 The Open-Close Report will provide subscribers
with the aggregate number of ‘‘closing purchase
transactions’’ in the affected series. A closing
purchase transaction is an Exchange options
transaction in which the purchaser’s intention is to
reduce or eliminate a short position in the series of
options involved in such transaction. The OpenClose Report would also provide subscribers with
the aggregate number of ‘‘closing sale transactions.’’
A closing sale transaction is an Exchange options
transaction an Exchange options transaction in
which the seller’s intention is to reduce or
eliminate a long position in the series of options
involved in such transaction.
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
PO 00000
Frm 00141
Fmt 4703
Sfmt 4703
E:\FR\FM\27MYN1.SGM
27MYN1
28666
Federal Register / Vol. 86, No. 101 / Thursday, May 27, 2021 / Notices
previous trading day and will be
available after the end of the trading
day, generally on a T+1 basis. The other
version will include ‘‘snapshots’’ taken
every 10 minutes throughout the trading
day and would be available within five
minutes of the conclusion of each 10
minute period.
jbell on DSKJLSW7X2PROD with NOTICES
End of Day Report
The end of day product would
include the aggregate data described
above representing the entire trading
session. It would be calculated during
an overnight process after the close of
trading on the Exchange and would be
available to subscribers for download
the following morning at approximately
7:00 a.m., ET.
Intra-Day Report
The Exchange also proposed to offer
an intraday Open-Close Report that
would also include aggregated data
described above, but would be produced
and updated every 10 minutes during
the trading day. Data would be captured
in ‘‘snapshots’’ taken every 10 minutes
throughout the trading day and would
be available to subscribers within five
minutes of the conclusion of each 10
minute period. For example, subscribers
to the intraday product would receive
the first calculation of intraday data no
later than 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 up to 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 Report will
provide a volume summary of trading
activity on the Exchange at the option
level by origin (Priority Customer, NonPriority Customer, Firm, Broker-Dealer,
and Market Maker), side of the market
(buy or sell), and transaction type
(opening or closing). All volume will be
further broken down into trade size
buckets (less than 100 contracts, 100–
199 contracts, greater than 199
contracts).
The Exchange believes the proposed
intraday Open-Close Report 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 the Exchange. For
example, intraday open data may allow
a market participant to identify new
VerDate Sep<11>2014
17:29 May 26, 2021
Jkt 253001
interest or possible risks throughout the
trading day, while intraday closing data
may allow a market participant to
identify fading interests in a security.
2. Statutory Basis
The Exchange believes that its
proposed rule change is consistent with
Section 6(b) of the Act 8 in general, and
furthers the objectives of Section 6(b)(5)
of the Act 9 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
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. Particularly, the OpenClose Report further broadens the
availability of U.S. option market data to
investors consistent with the principles
of Regulation NMS. The data product
also promotes increased transparency
through the dissemination of the OpenClose Report’s data. The proposed rule
change would benefit investors by
providing access to the Open-Close
Report, which may promote better
informed trading throughout the trading
day. Particularly, information regarding
opening and closing activity across
different option series during the
trading day may indicate investor
sentiment, which may allow market
participants to make better informed
trading decisions throughout the day.
Subscribers to the data may also be able
to enhance their ability to analyze
option trade and volume data and create
and test trading models and analytical
strategies. The Exchange believes the
Open-Close Report 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.10
Specifically, NASDAQ OMX PHLX
U.S.C. 78f(b).
U.S.C. 78f(b)(5).
10 See supra note 4.
(‘‘PHLX’’) and the NASDAQ Stock
Market LLC (‘‘NASDAQ’’) offer the
PHLX Options Trade Outline
(‘‘PHOTO’’) and NASDAQ Options
Trade Outline (‘‘NOTO’’), respectively.
The Cboe Exchange, Inc. (‘‘Cboe’’), Cboe
C2 Exchange, Inc. (‘‘C2’’), Cboe BZX
Exchange, Inc. (‘‘BZX’’), and Cboe EDGX
Exchange, Inc. (‘‘EDGX’’) all offer the
market data products called the End of
Day and Intraday Open-Close Data. The
Phlx, Nasdaq, Cboe, C2, BZX, and EDGX
products provide substantially the same
information as that included in the
proposed Open-Close Report. Like the
proposed product, the data is provided
to subscribers in the other exchange’s
market data products after the end of the
trading and cumulatively every 10
minutes and provided 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.11 The Exchange is
proposing to introduce the Open-Close
Report 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, most
other options exchanges offer a market
data product that is similar to the OpenClose Report.12 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
Written comments were neither
solicited nor received.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
The Exchange has filed the proposed
rule change pursuant to Section
8 15
9 15
PO 00000
Frm 00142
Fmt 4703
11 Id.
12 Id.
Sfmt 4703
E:\FR\FM\27MYN1.SGM
27MYN1
Federal Register / Vol. 86, No. 101 / Thursday, May 27, 2021 / Notices
19(b)(3)(A) of the Act 13 and Rule 19b–
4(f)(6) 14 thereunder. 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 from the date on
which it was filed, 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.
A proposed rule change filed under
Rule 19b–4(f)(6) 17 normally does not
become operative prior to 30 days after
the date of the filing. However, pursuant
to Rule 19b–4(f)(6)(iii),18 the
Commission may designate a shorter
time if such action is consistent with
protection of investors and the public
interest. The Exchange has asked the
Commission to waive the 30-day
operative delay so that the proposed
rule change may become operative on
June 1, 2021, the anticipated date upon
which the Exchange expects to start to
offer the Open-Close Report. In support
of its waiver request, the Exchange notes
that other exchanges offer a
substantially identical data product.19
The Commission believes that, as
described above, the Exchange’s
proposal does not raise any new or
novel issues. Therefore, the Commission
believes that waving the 30-day
operative delay is consistent with the
protection of investors and the public
interest. Accordingly, the Commission
designates the proposed rule change to
be operative on June 1, 2021.20
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
13 15
U.S.C. 78(b)(3)(A).
CFR 240.19b–4(f)(6).
15 15 U.S.C. 78s(b)(3)(A).
16 17 CFR 240.19b–4(f)(6). In addition, Rule 19b–
4(f)(6)(iii) requires the Exchange to give the
Commission written notice of the Exchange’s intent
to file the proposed rule change, along with a brief
description and text of 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).
18 17 CFR 240.19b–4(f)(6).
19 See supra note 10 and accompanying text.
20 For purposes only of waiving the 30-day
operative delay, the Commission also has
considered the proposed rule’s impact on
efficiency, competition, and capital formation. See
15 U.S.C. 78c(f).
jbell on DSKJLSW7X2PROD with NOTICES
14 17
VerDate Sep<11>2014
17:29 May 26, 2021
Jkt 253001
Commission will institute proceedings
to determine whether the proposed rule
change should be approved or
disapproved.
IV. Solicitation of Comments
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–
MIAX–2021–18 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–MIAX–2021–18. 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.
Persons submitting comments are
cautioned that we do not redact or edit
personal identifying information from
comment submissions. You should
submit only information that you wish
to make available publicly. All
submissions should refer to File
Number SR–MIAX–2021–18 and should
be submitted on or before June 17, 2021.
Frm 00143
Fmt 4703
Sfmt 4703
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.21
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021–11175 Filed 5–26–21; 8:45 am]
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:
PO 00000
28667
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–91964; File No. SR–
PEARL–2021–24]
Self-Regulatory Organizations; MIAX
PEARL, LLC; Notice of Filing and
Immediate Effectiveness of a Proposed
Rule Change To Adopt a New
Historical Market Data Product To Be
Known as the Open-Close Report
May 21, 2021.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on May 10,
2021, MIAX PEARL, LLC (‘‘MIAX
Pearl)’’ or the ‘‘Exchange’’) filed with
the Securities and Exchange
Commission (‘‘Commission’’) a
proposed rule change as described in
Items I and II below, which Items have
been prepared by the Exchange. 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 is filing a proposal to
adopt a new historical market data
product to be known as the Open-Close
Report.
The text of the proposed rule change
is available on the Exchange’s website at
https://www.miaxoptions.com/rulefilings/pearl at MIAX Pearl’s principal
office, 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
21 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
E:\FR\FM\27MYN1.SGM
27MYN1
]]>Agencies
[Federal Register Volume 86, Number 101 (Thursday, May 27, 2021)]
[Notices]
[Pages 28665-28667]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-11175]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-91965; File No. SR-MIAX-2021-18]
Self-Regulatory Organizations; Miami International Securities
Exchange, LLC; Notice of Filing and Immediate Effectiveness of a
Proposed Rule Change To Adopt a New Historical Market Data Product To
Be Known as the Open-Close Report
May 21, 2021.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on May 10, 2021, Miami International Securities Exchange, LLC (``MIAX
Options'' or the ``Exchange'') filed with the Securities and Exchange
Commission (``Commission'') a proposed rule change as described in
Items I and II below, which Items have been prepared by the Exchange.
The Commission is publishing this notice to solicit comments on the
proposed rule change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange is filing a proposal to adopt a new historical market
data product to be known as the Open-Close Report.
The text of the proposed rule change is available on the Exchange's
website at https://www.miaxoptions.com/rule-filings/ at MIAX Options'
principal office, 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 adopt a new historical market data product
to be known as the Open-Close Report, which will be available to all
Members and Non-Members.\3\ The proposed Open-Close Report would be
described in Exchange Rule 531(b)(1) and is based on market data
products currently available on most other options exchanges.\4\
---------------------------------------------------------------------------
\3\ The term ``Member'' means an individual or organization
approved to exercise the trading rights associated with a Trading
Permit. Members are deemed ``members'' under the Exchange Act. See
Exchange Rule 100.
\4\ See Securities Exchange Act Release Nos. 89497 (August 6,
2020), 85 FR 48747 (August 12, 2020) (SR-CboeBZX-2020-059); 89498
(August 6, 2020), 85 FR 48735 (August 12, 2020) (SR-Cboe-EDGX-2020-
36); 85817 (May 9, 2019), 84 FR 21863 (May 15, 2019) (SR-CBOE-2019-
026); 89496 (August 6, 2020), 85 FR 48743 (August 12, 2020) (SR-C2-
2020-010); 89596 (August 17, 2020), 85 FR 51833 (August 21, 2020)
(SR-C2-2020-012); 62887 (September 10, 2010), 75 FR 57092 (September
17, 2010) (SR-Phlx-2010-121); 65587 (October 18, 2011), 76 FR 65765
(October 24, 2011) (SR-NASDAQ-2011-144); 61317 (January 8, 2010), 75
FR 2915 (January 19, 2010) (SR-ISE-2009-103); 62887 (September 10,
2010), 75 FR 57092 (September 17, 2010) (SR-Phlx-2010-121); 65587
(October 18, 2011), 76 FR 65765 (October 24, 2011) (SR-NASDAQ-2011-
144); and 81632 (September 15, 2017), 82 FR 44235 (September 21,
2017) (SR-GEMX-2017-42).
---------------------------------------------------------------------------
The Exchange proposes to offer the Open-Close Report, which will be
a volume summary of trading activity on the Exchange at the option
level by origin (Priority Customer, Non-Priority Customer, Firm,
Broker-Dealer, and Market Maker \5\), side of the market (buy or sell),
contract volume, and transaction type (opening or closing). The
Priority Customer, Non-Priority Customer, Firm, Broker-Dealer, and
Market Maker volume is further broken down into trade size buckets
(less than 100 contracts, 100-199 contracts, greater than 199
contracts). The Open-Close Report is proprietary Exchange 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. The Open-Close
Report would be described under proposed Exchange Rule 531(b)(1).
---------------------------------------------------------------------------
\5\ See Exchange Rule 100 for the definitions of the terms
Priority Customer, Non-Priority Customer, Firm, Broker-Dealer, and
Market Maker.
---------------------------------------------------------------------------
Specifically, the Open-Close Report would include the following
data:
Aggregate number of buy and sell transactions in the
affected series;
Aggregate volume traded electronically on the Exchange in
the affected series;
Aggregate number of trades effected on the Exchange to
open a position; \6\
---------------------------------------------------------------------------
\6\ The Open-Close Report would provide subscribers with the
aggregate number of ``opening purchase transactions'' in the
affected series. An opening purchase transaction is an Exchange
options transaction in which the purchaser's intention is to create
or increase a long position in the series of options involved in
such transaction. The Open-Close Report would also provide
subscribers with the aggregate number of ``opening writing
transactions.'' An opening writing transaction is an Exchange
options transaction in which the seller's (writer's) intention is to
create or increase a short position in the series of options
involved in such transaction.
---------------------------------------------------------------------------
Aggregate number of trades effected on the Exchange to
close a position; \7\
---------------------------------------------------------------------------
\7\ The Open-Close Report will provide subscribers with the
aggregate number of ``closing purchase transactions'' in the
affected series. A closing purchase transaction is an Exchange
options transaction in which the purchaser's intention is to reduce
or eliminate a short position in the series of options involved in
such transaction. The Open-Close Report would also provide
subscribers with the aggregate number of ``closing sale
transactions.'' A closing sale transaction is an Exchange options
transaction an Exchange options transaction in which the seller's
intention is to reduce or eliminate a long position in the series of
options involved in such transaction.
---------------------------------------------------------------------------
Origin of the orders and quotes involved in trades on the
Exchange in the affected series during a particular trading session,
specifically aggregated in the following categories of participants:
Priority Customer, Non-Priority Customer, Firm, Broker-Dealer, and
Market Maker.
The Exchange anticipates a wide variety of market participants to
purchase the Open-Close Report, including, but not limited to,
individual customers, buy-side investors, and investment banks. The
Open-Close Report would provide subscribers data that should enhance
their ability to analyze option trade and volume data, and to create
and test trading models and analytical strategies. The Exchange
believes that Open-Close Report will be a valuable tool that
subscribers can use to gain comprehensive insight into the trading
activity in a particular option series. The proposed report 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 will establish a monthly subscriber fee for the Open-Close
Report by way of a separate proposed rule change, which the Exchange
will submit prior to the launch of the Open-Close Report.
The Exchange proposes to offer two versions of the Open-Close
Report. One will contain historical data from the
[[Page 28666]]
previous trading day and will be available after the end of the trading
day, generally on a T+1 basis. The other version will include
``snapshots'' taken every 10 minutes throughout the trading day and
would be available within five minutes of the conclusion of each 10
minute period.
End of Day Report
The end of day product would include the aggregate data described
above representing the entire trading session. It would be calculated
during an overnight process after the close of trading on the Exchange
and would be available to subscribers for download the following
morning at approximately 7:00 a.m., ET.
Intra-Day Report
The Exchange also proposed to offer an intraday Open-Close Report
that would also include aggregated data described above, but would be
produced and updated every 10 minutes during the trading day. Data
would be captured in ``snapshots'' taken every 10 minutes throughout
the trading day and would be available to subscribers within five
minutes of the conclusion of each 10 minute period. For example,
subscribers to the intraday product would receive the first calculation
of intraday data no later than 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 up to 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 Report will
provide a volume summary of trading activity on the Exchange at the
option level by origin (Priority Customer, Non-Priority Customer, Firm,
Broker-Dealer, and Market Maker), side of the market (buy or sell), and
transaction type (opening or closing). All volume will be further
broken down into trade size buckets (less than 100 contracts, 100-199
contracts, greater than 199 contracts).
The Exchange believes the proposed intraday Open-Close Report 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 the Exchange. For example, intraday open data may allow a
market participant to identify new interest or possible risks
throughout the trading day, while intraday closing data may allow a
market participant to identify fading interests in a security.
2. Statutory Basis
The Exchange believes that its proposed rule change is consistent
with Section 6(b) of the Act \8\ in general, and furthers the
objectives of Section 6(b)(5) of the Act \9\ 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 discrimination
among customers, brokers, or dealers.
---------------------------------------------------------------------------
\8\ 15 U.S.C. 78f(b).
\9\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
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. Particularly, the Open-Close Report further
broadens the availability of U.S. option market data to investors
consistent with the principles of Regulation NMS. The data product also
promotes increased transparency through the dissemination of the Open-
Close Report's data. The proposed rule change would benefit investors
by providing access to the Open-Close Report, which may promote better
informed trading throughout the trading day. Particularly, information
regarding opening and closing activity across different option series
during the trading day may indicate investor sentiment, which may allow
market participants to make better informed trading decisions
throughout the day. Subscribers to the data may also be able to enhance
their ability to analyze option trade and volume data and create and
test trading models and analytical strategies. The Exchange believes
the Open-Close Report 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.\10\ 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.
The Cboe Exchange, Inc. (``Cboe''), Cboe C2 Exchange, Inc. (``C2''),
Cboe BZX Exchange, Inc. (``BZX''), and Cboe EDGX Exchange, Inc.
(``EDGX'') all offer the market data products called the End of Day and
Intraday Open-Close Data. The Phlx, Nasdaq, Cboe, C2, BZX, and EDGX
products provide substantially the same information as that included in
the proposed Open-Close Report. Like the proposed product, the data is
provided to subscribers in the other exchange's market data products
after the end of the trading and cumulatively every 10 minutes and
provided within five minutes of the conclusion of each 10 minute
period.
---------------------------------------------------------------------------
\10\ See supra note 4.
---------------------------------------------------------------------------
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.\11\ The Exchange is
proposing to introduce the Open-Close Report 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, most other options exchanges
offer a market data product that is similar to the Open-Close
Report.\12\ 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.
---------------------------------------------------------------------------
\11\ Id.
\12\ Id.
---------------------------------------------------------------------------
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
Written comments were neither solicited nor received.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
The Exchange has filed the proposed rule change pursuant to Section
[[Page 28667]]
19(b)(3)(A) of the Act \13\ and Rule 19b-4(f)(6) \14\ thereunder.
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 from the date on which it was filed, 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.
---------------------------------------------------------------------------
\13\ 15 U.S.C. 78(b)(3)(A).
\14\ 17 CFR 240.19b-4(f)(6).
\15\ 15 U.S.C. 78s(b)(3)(A).
\16\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii)
requires the Exchange to give the Commission written notice of the
Exchange's intent to file the proposed rule change, along with a
brief description and text of 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.
---------------------------------------------------------------------------
A proposed rule change filed under Rule 19b-4(f)(6) \17\ normally
does not become operative prior to 30 days after the date of the
filing. However, pursuant to Rule 19b-4(f)(6)(iii),\18\ the Commission
may designate a shorter time if such action is consistent with
protection of investors and the public interest. The Exchange has asked
the Commission to waive the 30-day operative delay so that the proposed
rule change may become operative on June 1, 2021, the anticipated date
upon which the Exchange expects to start to offer the Open-Close
Report. In support of its waiver request, the Exchange notes that other
exchanges offer a substantially identical data product.\19\ The
Commission believes that, as described above, the Exchange's proposal
does not raise any new or novel issues. Therefore, the Commission
believes that waving the 30-day operative delay is consistent with the
protection of investors and the public interest. Accordingly, the
Commission designates the proposed rule change to be operative on June
1, 2021.\20\
---------------------------------------------------------------------------
\17\ 17 CFR 240.19b-4(f)(6).
\18\ 17 CFR 240.19b-4(f)(6).
\19\ See supra note 10 and accompanying text.
\20\ For purposes only of waiving the 30-day operative delay,
the Commission also has considered the proposed rule's impact on
efficiency, competition, and capital formation. See 15 U.S.C.
78c(f).
---------------------------------------------------------------------------
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 will institute proceedings to
determine whether the proposed rule change 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-MIAX-2021-18 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-MIAX-2021-18. 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. Persons submitting comments are
cautioned that we do not redact or edit personal identifying
information from comment submissions. You should submit only
information that you wish to make available publicly. All submissions
should refer to File Number SR-MIAX-2021-18 and should be submitted on
or before June 17, 2021.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\21\
---------------------------------------------------------------------------
\21\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-11175 Filed 5-26-21; 8:45 am]
BILLING CODE 8011-01-P
