Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Amend Its Rules Relating to Trading Halts During the Global Trading Hours Session, 38515-38518 [2021-15441]
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Federal Register / Vol. 86, No. 137 / Wednesday, July 21, 2021 / Notices
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[FR Doc. 2021–15428 Filed 7–20–21; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–92420; File No. SR–CBOE–
2021–040]
Self-Regulatory Organizations; Cboe
Exchange, Inc.; Notice of Filing and
Immediate Effectiveness of a Proposed
Rule Change To Amend Its Rules
Relating to Trading Halts During the
Global Trading Hours Session
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July 15, 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 July 8,
2021, Cboe Exchange, Inc. (‘‘Exchange’’
or ‘‘Cboe Options’’) filed with the
1 15
2 17
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I, II, and
III 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)
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 Exchange, Inc. (the ‘‘Exchange’’
or ‘‘Cboe Options’’) proposes to amend
its rules relating to trading halts during
the Global Trading Hours session. 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://www.cboe.com/
AboutCBOE/
CBOELegalRegulatoryHome.aspx), 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 purpose of the proposed rule
change is to automate the Exchange’s
process for the halting and resumption
of trading in certain circumstances
during the Exchange’s Global Trading
Hours (‘‘GTH’’) session.
Background
By way of background, Cboe Rule 5.20
describes the Exchange’s process for
determining if and when to halt trading
in any security, including the process
U.S.C. 78s(b)(1).
CFR 240.19b–4.
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4 17
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U.S.C. 78s(b)(3)(A)(iii).
CFR 240.19b–4(f)(6).
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38515
for the resumption of trading after a
halt. Rule 5.20(a) provides that any two
Floor Officials, in consultation with a
designated senior executive officer of
the Exchange, may halt trading in any
security in the interests of a fair and
orderly market and to protect investors.
Rule 5.20(a) also sets forth various
factors that may be considered in
making the forgoing determination,
including whether there has been an
activation of price limits on futures
exchanges or the halt of trading in
related futures with respect to index
options.5 Additionally, Rule 5.20(b)
provides that trading in a security that
has been the subject of a halt under
subparagraph (a) may be resumed as
described in Rule 5.31(g) 6 upon a
determination by two Floor Officials, in
consultation with a designated senior
executive officer of the Exchange, that
the interests of a fair and orderly market
are best served by a resumption of
trading. Among the factors to be
considered in making this
determination are whether the
conditions which led to the halt are no
longer present.
By way of further background, the
Chicago Mercantile Exchange (‘‘CME’’)
recently amended its rules to (1) adopt
Dynamic Special Price Fluctuation
Limits and trading halt rules for certain
CME equity index futures 7 during
CME’s Overnight Trading Hours session
(‘‘OTH’’ 8) and (2) modify its hard OTH
Price Limits.9 Specifically, CME
amended its rules to provide that if a
contract market moves beyond the lower
or above the upper dynamic price
fluctuation limit during OTH (currently
set at 3.5%), CME will trigger a Dynamic
Circuit Breaker and halt trading for two
5 See
Cboe Options Rule 5.20(a)(6).
Options Rule 5.31(g) governs the opening
auction process that follows a trading halt.
Particularly, it provides that the Exchange will open
series using the same opening auction process
described in Rule 5.31 following a trading halt in
the class declared by the Exchange pursuant to Rule
5.20, except: (1) The Queuing Period will begin
immediately when the Exchange halts trading in the
class; (2) if a User has orders or quotes resting on
the Book at the time of a trading halt, the System
queues those orders and quotes in the Queuing
Book for participation in the opening rotation
following the trading halt, unless the User entered
instructions to cancel its resting orders and quotes;
and (3) the System will initiate the opening rotation
for a class upon the Exchange’s determination to
resume trading pursuant to Rule 5.20. See Cboe
Options Rule 5.31(g).
7 See CME Rule 589, Special Price Fluctuation
Limits and Daily Price Limits Table, which
provides the Dynamic Price Fluctuation Limits
apply to, among other products, S&P 500 Futures,
E-mini S&P Futures, and Micro E-mini S&P 500
Index Futures.
8 CME’s current OTH hours are from 6:00 p.m.–
9:30 a.m. EST.
9 See CME Submission No. 20–392.
6 Cboe
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(2) minutes.10 CME also amended its
OTH Price Limits for certain CME
equity index futures from 5% hard
limits to 7% hard limits.11
Currently, the Exchange employs a
manual process to initiate the halting or
resumption of trading during GTH. This
manual process requires personnel from
the Exchange’s Trade Desk to become
aware of, and react to, any trading halts
in related futures, including Dynamic
Circuit Breaker-triggered halts, and
activation of CME OTH Price Limits, as
well as any determination to lift the
trading halts in related futures or
identify whether the futures are no
longer in a limit state. Particularly, the
Trade Desk performs proactive
monitoring of halt notifications from
CME and checks internal tools to
identify whether future products have
reached a limit state. If Trade Desk
personnel become aware that a related
future is halted by CME or if it reaches
CME’s prescribed OTH Price Limit (i.e.,
reaches a ‘‘limit state’’ 12) during GTH,
current practice is such that Trade Desk
personnel would generally, upon
determination by two Floor Officials in
consultation with a designated senior
executive officer, manually implement a
trading halt pursuant to the authority
provided under Rule 5.20(a)(6).
Similarly, Trade Desk personnel will
monitor internal tools to identify
whether CME has lifted the trading halt
or whether the futures are no longer in
a limit state. If such determination is
made, Trade Desk personnel would
generally, upon determination by two
Floor Officials in consultation with a
designated senior executive officer,
manually initiate the reopening process
to resume trading pursuant to the
authority provided under Rule 5.20(b).
Even with the proactive monitoring
performed by the Trade Desk, there may
be instances where the Exchange has
not immediately identified a trading
halt, activation of price limits, lifting of
a trading halt or whether related futures
are no longer in a limit state. As such,
there may not be an immediate
initiation of a trading halt or manual reopening of a related index option in
such cases. The Exchange believes an
automated process would be more
efficient than this current manual
process and accordingly proposes to
10 Id. See also CME Rule 589.D (Dynamic Price
Fluctuation Limits).
11 See CME Submission No. 20–392.
12 For purposes of this rule, CME futures are
defined to be in a Limit State when CME futures
reach the OTH Price Limits (currently 7%) and are
bid at their upper limit price or offered at their
lower limit price. CME futures are not considered
to be in a limit state if CME futures are trading at
prices above their lower limit price or below their
upper limit price.
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adopt an automated halt and reopening
process, which would avoid the need
for manual intervention by Exchange
staff.
Proposal
The proposed rule change would
adopt new Rule 5.20(f) to implement an
automated process for both the halting
and resumption of trading during the
GTH session if certain events transpire
on CME. The Exchange notes the
proposed automated process is
consistent with authority the Exchange
currently has today to halt or resume
trading under its existing rules.
Particularly, the proposed
circumstances that will trigger an
automated halt or resumption of trading
are circumstances and factors that the
Exchange already considers and acts
upon today (albeit using a manual
process). The Exchange believes
automating these processes in these
situations eliminates potential
inefficiencies with the manual process,
as well as provides further transparency
in the rules. Particularly, the Exchange
proposes to adopt an automated process
for the halting and resumption of
trading when (1) there is a halt of
trading in related futures on CME
during the CME OTH session due to the
activation of a Dynamic Price
Fluctuation Limit (i.e., whenever a
‘‘Dynamic Circuit Breaker’’ is triggered
on CME during OTH) (proposed Rule
5.20(f)(1)) or (2) when a related future is
in a limit state on CME due to an
activation of the CME OTH Price Limit
(proposed Rule 5.20(f)(2)), as further
described below.
Dynamic Circuit Breakers
With respect to a Dynamic Circuit
Breaker, the Exchange proposes to
specify that upon its System receiving
notice from CME that a Dynamic Circuit
Breaker has been triggered during OTH,
the Exchange will automatically halt
trading for two (2) minutes in the
related index options. The proposed
trading halt period would coincide with
the trading halt period on CME that is
triggered by the Dynamic Circuit
Breaker.13 Particularly, the two-minute
13 If the lead contract month (as identified by
CME) of the primary futures contract is traded, bid
or offered on Globex at a price below the lower or
above the upper dynamic price fluctuation limit, it
is considered a triggering event which begins a two
(2) minute temporary trading halt in all contract
months of the primary futures contract and in all
contract months of associated products of the
primary futures contract as provided in the Special
Price Fluctuation Limits and Daily Price Limits
Table. If a non-lead contract month of the primary
futures contract is traded, bid or offered on Globex
at a price below the lower or above the upper
dynamic price fluctuation limit, it shall be
considered a triggering event which begins a two (2)
PO 00000
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halt period on the Exchange would be
triggered when the Exchange’s system
detects a halt message from CME. Once
detected, the System will queue any
orders or quotes resting on the Book at
the time of a trading halt in the Queuing
Book for participation in the opening
rotation following the trading halt,
unless the user entered instructions to
cancel its resting orders and quotes.14
New orders/quotes, modifications to
orders/quotes and cancellations for
orders/quotes, would be accepted
during the halt period.
The Exchange next proposes to
provide that at the conclusion of the
two-minute Dynamic Circuit Breakertriggered halt, the Exchange would
automatically resume trading as
described in Rule 5.31(g). The proposed
rule change results in the Exchange
being able to re-open trading in the
same manner that it is able to under
Rule 5.31(g) today but enables the
Exchange to not have to rely on manual
procedures to do so.
CME OTH Price Limits
With respect to activation of CME’s
OTH Price Limits (i.e., if the primary
futures contract has reached a limit
state), the Exchange proposes to specify
that upon receiving notice from CME
indicating a limit state condition or
upon the Exchange’s determination that
CME futures are in a limit state, the
Exchange will halt trading for ten (10)
minutes in the related index options.
Particularly, the Exchange’s System will
read CME data feed messages
continuously during GTH hours and
identify when CME futures are at a limit
state. Alternatively, the Exchange’s
System may receive a message from
CME indicating a limit state condition.15
Under either scenario, the Exchange
would automatically halt trading, and
the System will queue any orders or
quotes resting on the Book at the time
of a trading halt in the Queuing Book for
participation in the opening rotation
following the trading halt, unless the
user entered instructions to cancel its
resting orders and quotes.16 New orders/
quotes, modifications to orders/quotes
minute temporary trading halt in that non-lead
contract month of the primary futures contract. See
CME Rule 589.D(b)(1).
14 See Cboe Options Rule 5.31(g)(2).
15 The Exchange notes that unlike the messages
issued by CME relating to Dynamic Circuit Breakertriggered halts, CME does not currently issue any
messages that explicitly indicate that its futures
have reached a limit state. However, should CME
provide such notice in the future, the Exchange
could determine to halt upon receipt of any such
notice in addition to or in lieu of its own
determination that CME futures have reached a
limit state.
16 See Cboe Options Rule 5.31(g)(2).
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and cancellations for orders/quotes,
would be accepted during the halt
period.
The Exchange next proposes to
automate the process for resuming
trading following a trading halt during
CME futures reaching a limit state.
Particularly, the Exchange shall resume
trading as described in Rule 5.31(g) once
the following two conditions have been
satisfied: (1) The 10-minute halt period
has passed and (2), the relate CME
futures have not been in a limit state for
the entirety of a rolling period of time
(which the Exchange determines) which
begins prior to the conclusion of the halt
period.17 Resumption of trading will
occur in the same manner that it is able
to under Rule 5.31(g) today, but the
Exchange would no longer have to rely
on manual procedures for initiating the
resumption of trading.
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Manual Determinations
The Exchange notes that
notwithstanding proposed Rules
5.20(f)(1) and (f)(2), the Exchange would
retain the ability to manually resume
trading at any time during a trading halt
triggered by either a Dynamic Circuit
Breaker or activation of CME OTH Price
Limits at its discretion pursuant to
current Rule 5.20(b) if it believes the
interests of a fair and orderly market are
best served by doing so. The Exchange
also retains the ability to manually
implement a trading halt at any time
other than described under proposed
paragraphs (f)(1) and (f)(2) if it is
determined to be in the interests of a fair
and orderly market and to protect
investors pursuant to paragraph 5.20(a).
To maintain clarity and transparency in
the rules, the Exchange therefore also
proposes to adopt Rule 5.20(f)(3) to
directly reference this continuing
authority to manually halt and resume
trading during GTH, notwithstanding
the proposed provisions under Rule
5.20(f)(1) and (f)(2).
In sum, the Exchange believes a
trading halt is generally necessary to
maintain a fair and orderly market
whenever there is a trading halt or
activation of price limits in related
17 For example, if the Exchange determines that
the period of consecutive time that CME futures
must not be in a limit state is thirty consecutive
seconds and the CME OTH Price Limit is activated
at 4:00:00 a.m., then the Exchange shall initiate its
reopening process at 4:10:00 a.m. so long as the
futures were not in a limit state at any point during
4:09:30 and 4:10:00 a.m. Alternatively, for example,
if the futures returned to a limit state at 4:09:45
a.m., trading in the related index options shall
remain halted until at least 4:10:15 a.m. or until
such time thirty consecutive seconds have passed
in which CME futures were off the limit price (e.g.,
if futures hit the limit price again at 4:09:55 a.m.,
then the earliest trading could resume is at 4:10:25
a.m.).
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futures products with respect to index
options during GTH. Indeed, upon
becoming aware of a halt of trading in
related futures with respect to index
options or activation of a OTH price
limit, current practice is such that two
Floor Officials in consultation with a
designated senior executive officer of
the Exchange would likely determine to
halt trading in related index options, as
permitted pursuant to current Rule
5.20(a)(6). Although the Exchange
currently has discretion to halt trading
in these circumstances, the Exchange
wishes to automate this process and
make it clear in the rules that a trading
halt shall automatically be triggered in
certain circumstances as detailed above.
Similarly, for efficiency and
transparency in the rules, the Exchange
also wishes to specify when and how
the Exchange shall automatically
resume trading following a trading halt
triggered by a Dynamic Circuit Breaker
on CME or activation of a CME OTH
Price Limit.18 As noted above, pursuant
to Rule 5.20(b), when the conditions
which led to the halt are no longer
present, trading in a halted security may
be resumed on the Exchange at its
discretion. The Exchange notes that
when a trading halt in related futures
with respect to index options has ended,
or a futures product is no longer in a
limit state, the Exchange usually
determines to resume trading.
Accordingly, the Exchange believes its
proposal to automatically halt trading
when CME employs a Dynamic Circuit
Breaker or there is an activation of CME
OTH Price Limits is consistent with the
Exchange’s current authority to consider
halting when there is a halt of trading
or activation of price limits in related
futures.19 The Exchange similarly
believes the proposals relating to
automatic resumption of trading
following the two-minute Dynamic
Circuit Breaker-triggered halt or tenminute limit state-triggered halt period
is consistent with the Exchange’s
authority to consider resuming trading
when the conditions that led to the halt
are no longer present.20
Implementation Date
The Exchange proposes to announce
the implementation date of the
proposed rule change in an Exchange
18 The Exchange notes that notwithstanding the
proposed automated procedures for reopening, the
Exchange would retain the ability to manually
resume trading prior to the end of either trading
halt period at its discretion pursuant to current Rule
5.20(b). Similarly, the Exchange retains the ability
to manually extend the halting period pursuant to
current Rule 5.20(a).
19 See Cboe Options Rule 5.20(a)(6).
20 See Cboe Options Rule 5.20(a)(6).
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38517
Notice, to be published no later than
sixty (60) days following the operative
date. The implementation date will be
no later than ninety (90) days following
the operative date.
2. Statutory Basis
The Exchange believes the proposed
rule change is consistent with the
requirements of Section 6(b) of the
Act,21 in general, and Section 6(b)(5) of
the Act,22 in particular, in that it is
designed to remove impediments to and
perfect the mechanism of a free and
open market and a national market
system, to promote just and equitable
principles of trade, and, in general, to
protect investors and the public interest
and not to permit unfair discrimination
between customers, issuers, brokers, or
dealers.
In particular, the Exchange believes
its proposal is consistent with the
Exchange’s current authority to
determine when to halt and resume
trading pursuant to Rules 5.20(a) and
(b). Today, two Floor Officials, in
consultation with a designated senior
executive officer of the Exchange, may
halt trading in any security in the
interests of a fair and orderly market
and to protect investors. As discussed
above, in making their determination,
they may consider whether unusual
conditions or circumstances are present,
which may include the activation of
price limits on futures exchanges or the
halt of trading in related futures with
respect to index options.23 Similarly,
two Floor Officials, in consultation with
a designated senior executive officer of
the Exchange, may determine when in
the interests of a fair and orderly market
are best served by a resumption of
trading. Among the factors to be
considered in this determination are
whether the conditions which led to the
halt are no longer present.24 Although
the Exchange’s current rules provide the
Exchange discretion to (i) halt trading
when there is a halt of trading in related
futures or activation of price limits and
(2) resume when the conditions that led
to a halt are no longer present, the
Exchange historically was likely to halt
and reopen in such situations. The
Exchange believes that adopting an
automated process in these situations
would be more consistent and reliable
for market participants and investors as
such a process would be more efficient
and not rely on manual processing by
Exchange personnel. Moreover, the
Exchange believes the proposed rule
21 15
U.S.C. 78f(b).
U.S.C. 78f(b)(5).
23 See Rule 5.20(a)(6).
24 See Rule 5.20(b).
22 15
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change provides further transparency to
investors with respect to the process the
Exchange will use in the event the
circumstances discussed above
transpire.
The proposed rule change would
promote the public interest and the
protection of investors by eliminating
the need for manual determinations and
replacing it with a more consistent and
transparent procedure that would be
applied by the Exchange’s trading
systems on an automated basis. Indeed,
instead of relying on Trade Desk staff to
manually halt or re-open trading, the
trading halt or resumption of trading
would automatically take place in the
manner detailed above. Additionally,
notwithstanding the proposed
automated processes, the Exchange
would continue to have the authority to
manually halt and resume trading
outside of these processes if it’s
determined to be in the interests of a fair
and orderly market or under other
enumerated circumstances set forth
under Rules 5.20(a) and (b).
The Exchange believes the proposed
rule change is designed to help ensure
that halting and resumption of trading
happens in an automated and efficient
fashion, while also maintaining the
important link between the trading of
index options on the Exchange and the
trading of related futures on CME during
GTH.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
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The Exchange does not believe that
the proposed rule change would impose
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act. The
proposed rule change is designed to
facilitate a more efficient and automated
halting of trading and resumption of
trading in limited circumstances during
the Exchange’s GTH session and is not
designed to address any competitive
issues. The Exchange therefore does not
believe that the proposed rule change
would have any significant impact on
competition. Rather than impact the
competitive environment, the proposed
rule change would benefit members and
investors by eliminating the need for
manual processes under certain
circumstances and provide further
transparency in the rules.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
No written comments were solicited
or received on the proposed rule
change.
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III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Because the foregoing proposed rule
change does not:
A. Significantly affect the protection
of investors or the public interest;
B. impose any significant burden on
competition; and
C. 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 25 and Rule 19b–4(f)(6) 26
thereunder. 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 rule-comments@
sec.gov. Please include File Number SR–
CBOE–2021–040 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–2021–040. 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
PO 00000
25 15
26 17
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(6).
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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–CBOE–2021–040 and
should be submitted on or before
August 11, 2021.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.27
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021–15441 Filed 7–20–21; 8:45 am]
BILLING CODE 8011–01–P
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]]>Agencies
[Federal Register Volume 86, Number 137 (Wednesday, July 21, 2021)]
[Notices]
[Pages 38515-38518]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-15441]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-92420; File No. SR-CBOE-2021-040]
Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of
Filing and Immediate Effectiveness of a Proposed Rule Change To Amend
Its Rules Relating to Trading Halts During the Global Trading Hours
Session
July 15, 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 July 8, 2021, Cboe Exchange, Inc. (``Exchange'' or ``Cboe Options'')
filed with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I, II, and III 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)
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 Exchange, Inc. (the ``Exchange'' or ``Cboe Options'') proposes
to amend its rules relating to trading halts during the Global Trading
Hours session. 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://www.cboe.com/AboutCBOE/CBOELegalRegulatoryHome.aspx), 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 purpose of the proposed rule change is to automate the
Exchange's process for the halting and resumption of trading in certain
circumstances during the Exchange's Global Trading Hours (``GTH'')
session.
Background
By way of background, Cboe Rule 5.20 describes the Exchange's
process for determining if and when to halt trading in any security,
including the process for the resumption of trading after a halt. Rule
5.20(a) provides that any two Floor Officials, in consultation with a
designated senior executive officer of the Exchange, may halt trading
in any security in the interests of a fair and orderly market and to
protect investors. Rule 5.20(a) also sets forth various factors that
may be considered in making the forgoing determination, including
whether there has been an activation of price limits on futures
exchanges or the halt of trading in related futures with respect to
index options.\5\ Additionally, Rule 5.20(b) provides that trading in a
security that has been the subject of a halt under subparagraph (a) may
be resumed as described in Rule 5.31(g) \6\ upon a determination by two
Floor Officials, in consultation with a designated senior executive
officer of the Exchange, that the interests of a fair and orderly
market are best served by a resumption of trading. Among the factors to
be considered in making this determination are whether the conditions
which led to the halt are no longer present.
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\5\ See Cboe Options Rule 5.20(a)(6).
\6\ Cboe Options Rule 5.31(g) governs the opening auction
process that follows a trading halt. Particularly, it provides that
the Exchange will open series using the same opening auction process
described in Rule 5.31 following a trading halt in the class
declared by the Exchange pursuant to Rule 5.20, except: (1) The
Queuing Period will begin immediately when the Exchange halts
trading in the class; (2) if a User has orders or quotes resting on
the Book at the time of a trading halt, the System queues those
orders and quotes in the Queuing Book for participation in the
opening rotation following the trading halt, unless the User entered
instructions to cancel its resting orders and quotes; and (3) the
System will initiate the opening rotation for a class upon the
Exchange's determination to resume trading pursuant to Rule 5.20.
See Cboe Options Rule 5.31(g).
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By way of further background, the Chicago Mercantile Exchange
(``CME'') recently amended its rules to (1) adopt Dynamic Special Price
Fluctuation Limits and trading halt rules for certain CME equity index
futures \7\ during CME's Overnight Trading Hours session (``OTH'' \8\)
and (2) modify its hard OTH Price Limits.\9\ Specifically, CME amended
its rules to provide that if a contract market moves beyond the lower
or above the upper dynamic price fluctuation limit during OTH
(currently set at 3.5%), CME will trigger a Dynamic Circuit Breaker and
halt trading for two
[[Page 38516]]
(2) minutes.\10\ CME also amended its OTH Price Limits for certain CME
equity index futures from 5% hard limits to 7% hard limits.\11\
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\7\ See CME Rule 589, Special Price Fluctuation Limits and Daily
Price Limits Table, which provides the Dynamic Price Fluctuation
Limits apply to, among other products, S&P 500 Futures, E-mini S&P
Futures, and Micro E-mini S&P 500 Index Futures.
\8\ CME's current OTH hours are from 6:00 p.m.-9:30 a.m. EST.
\9\ See CME Submission No. 20-392.
\10\ Id. See also CME Rule 589.D (Dynamic Price Fluctuation
Limits).
\11\ See CME Submission No. 20-392.
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Currently, the Exchange employs a manual process to initiate the
halting or resumption of trading during GTH. This manual process
requires personnel from the Exchange's Trade Desk to become aware of,
and react to, any trading halts in related futures, including Dynamic
Circuit Breaker-triggered halts, and activation of CME OTH Price
Limits, as well as any determination to lift the trading halts in
related futures or identify whether the futures are no longer in a
limit state. Particularly, the Trade Desk performs proactive monitoring
of halt notifications from CME and checks internal tools to identify
whether future products have reached a limit state. If Trade Desk
personnel become aware that a related future is halted by CME or if it
reaches CME's prescribed OTH Price Limit (i.e., reaches a ``limit
state'' \12\) during GTH, current practice is such that Trade Desk
personnel would generally, upon determination by two Floor Officials in
consultation with a designated senior executive officer, manually
implement a trading halt pursuant to the authority provided under Rule
5.20(a)(6). Similarly, Trade Desk personnel will monitor internal tools
to identify whether CME has lifted the trading halt or whether the
futures are no longer in a limit state. If such determination is made,
Trade Desk personnel would generally, upon determination by two Floor
Officials in consultation with a designated senior executive officer,
manually initiate the reopening process to resume trading pursuant to
the authority provided under Rule 5.20(b). Even with the proactive
monitoring performed by the Trade Desk, there may be instances where
the Exchange has not immediately identified a trading halt, activation
of price limits, lifting of a trading halt or whether related futures
are no longer in a limit state. As such, there may not be an immediate
initiation of a trading halt or manual re-opening of a related index
option in such cases. The Exchange believes an automated process would
be more efficient than this current manual process and accordingly
proposes to adopt an automated halt and reopening process, which would
avoid the need for manual intervention by Exchange staff.
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\12\ For purposes of this rule, CME futures are defined to be in
a Limit State when CME futures reach the OTH Price Limits (currently
7%) and are bid at their upper limit price or offered at their lower
limit price. CME futures are not considered to be in a limit state
if CME futures are trading at prices above their lower limit price
or below their upper limit price.
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Proposal
The proposed rule change would adopt new Rule 5.20(f) to implement
an automated process for both the halting and resumption of trading
during the GTH session if certain events transpire on CME. The Exchange
notes the proposed automated process is consistent with authority the
Exchange currently has today to halt or resume trading under its
existing rules. Particularly, the proposed circumstances that will
trigger an automated halt or resumption of trading are circumstances
and factors that the Exchange already considers and acts upon today
(albeit using a manual process). The Exchange believes automating these
processes in these situations eliminates potential inefficiencies with
the manual process, as well as provides further transparency in the
rules. Particularly, the Exchange proposes to adopt an automated
process for the halting and resumption of trading when (1) there is a
halt of trading in related futures on CME during the CME OTH session
due to the activation of a Dynamic Price Fluctuation Limit (i.e.,
whenever a ``Dynamic Circuit Breaker'' is triggered on CME during OTH)
(proposed Rule 5.20(f)(1)) or (2) when a related future is in a limit
state on CME due to an activation of the CME OTH Price Limit (proposed
Rule 5.20(f)(2)), as further described below.
Dynamic Circuit Breakers
With respect to a Dynamic Circuit Breaker, the Exchange proposes to
specify that upon its System receiving notice from CME that a Dynamic
Circuit Breaker has been triggered during OTH, the Exchange will
automatically halt trading for two (2) minutes in the related index
options. The proposed trading halt period would coincide with the
trading halt period on CME that is triggered by the Dynamic Circuit
Breaker.\13\ Particularly, the two-minute halt period on the Exchange
would be triggered when the Exchange's system detects a halt message
from CME. Once detected, the System will queue any orders or quotes
resting on the Book at the time of a trading halt in the Queuing Book
for participation in the opening rotation following the trading halt,
unless the user entered instructions to cancel its resting orders and
quotes.\14\ New orders/quotes, modifications to orders/quotes and
cancellations for orders/quotes, would be accepted during the halt
period.
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\13\ If the lead contract month (as identified by CME) of the
primary futures contract is traded, bid or offered on Globex at a
price below the lower or above the upper dynamic price fluctuation
limit, it is considered a triggering event which begins a two (2)
minute temporary trading halt in all contract months of the primary
futures contract and in all contract months of associated products
of the primary futures contract as provided in the Special Price
Fluctuation Limits and Daily Price Limits Table. If a non-lead
contract month of the primary futures contract is traded, bid or
offered on Globex at a price below the lower or above the upper
dynamic price fluctuation limit, it shall be considered a triggering
event which begins a two (2) minute temporary trading halt in that
non-lead contract month of the primary futures contract. See CME
Rule 589.D(b)(1).
\14\ See Cboe Options Rule 5.31(g)(2).
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The Exchange next proposes to provide that at the conclusion of the
two-minute Dynamic Circuit Breaker-triggered halt, the Exchange would
automatically resume trading as described in Rule 5.31(g). The proposed
rule change results in the Exchange being able to re-open trading in
the same manner that it is able to under Rule 5.31(g) today but enables
the Exchange to not have to rely on manual procedures to do so.
CME OTH Price Limits
With respect to activation of CME's OTH Price Limits (i.e., if the
primary futures contract has reached a limit state), the Exchange
proposes to specify that upon receiving notice from CME indicating a
limit state condition or upon the Exchange's determination that CME
futures are in a limit state, the Exchange will halt trading for ten
(10) minutes in the related index options. Particularly, the Exchange's
System will read CME data feed messages continuously during GTH hours
and identify when CME futures are at a limit state. Alternatively, the
Exchange's System may receive a message from CME indicating a limit
state condition.\15\ Under either scenario, the Exchange would
automatically halt trading, and the System will queue any orders or
quotes resting on the Book at the time of a trading halt in the Queuing
Book for participation in the opening rotation following the trading
halt, unless the user entered instructions to cancel its resting orders
and quotes.\16\ New orders/quotes, modifications to orders/quotes
[[Page 38517]]
and cancellations for orders/quotes, would be accepted during the halt
period.
---------------------------------------------------------------------------
\15\ The Exchange notes that unlike the messages issued by CME
relating to Dynamic Circuit Breaker-triggered halts, CME does not
currently issue any messages that explicitly indicate that its
futures have reached a limit state. However, should CME provide such
notice in the future, the Exchange could determine to halt upon
receipt of any such notice in addition to or in lieu of its own
determination that CME futures have reached a limit state.
\16\ See Cboe Options Rule 5.31(g)(2).
---------------------------------------------------------------------------
The Exchange next proposes to automate the process for resuming
trading following a trading halt during CME futures reaching a limit
state. Particularly, the Exchange shall resume trading as described in
Rule 5.31(g) once the following two conditions have been satisfied: (1)
The 10-minute halt period has passed and (2), the relate CME futures
have not been in a limit state for the entirety of a rolling period of
time (which the Exchange determines) which begins prior to the
conclusion of the halt period.\17\ Resumption of trading will occur in
the same manner that it is able to under Rule 5.31(g) today, but the
Exchange would no longer have to rely on manual procedures for
initiating the resumption of trading.
---------------------------------------------------------------------------
\17\ For example, if the Exchange determines that the period of
consecutive time that CME futures must not be in a limit state is
thirty consecutive seconds and the CME OTH Price Limit is activated
at 4:00:00 a.m., then the Exchange shall initiate its reopening
process at 4:10:00 a.m. so long as the futures were not in a limit
state at any point during 4:09:30 and 4:10:00 a.m. Alternatively,
for example, if the futures returned to a limit state at 4:09:45
a.m., trading in the related index options shall remain halted until
at least 4:10:15 a.m. or until such time thirty consecutive seconds
have passed in which CME futures were off the limit price (e.g., if
futures hit the limit price again at 4:09:55 a.m., then the earliest
trading could resume is at 4:10:25 a.m.).
---------------------------------------------------------------------------
Manual Determinations
The Exchange notes that notwithstanding proposed Rules 5.20(f)(1)
and (f)(2), the Exchange would retain the ability to manually resume
trading at any time during a trading halt triggered by either a Dynamic
Circuit Breaker or activation of CME OTH Price Limits at its discretion
pursuant to current Rule 5.20(b) if it believes the interests of a fair
and orderly market are best served by doing so. The Exchange also
retains the ability to manually implement a trading halt at any time
other than described under proposed paragraphs (f)(1) and (f)(2) if it
is determined to be in the interests of a fair and orderly market and
to protect investors pursuant to paragraph 5.20(a). To maintain clarity
and transparency in the rules, the Exchange therefore also proposes to
adopt Rule 5.20(f)(3) to directly reference this continuing authority
to manually halt and resume trading during GTH, notwithstanding the
proposed provisions under Rule 5.20(f)(1) and (f)(2).
In sum, the Exchange believes a trading halt is generally necessary
to maintain a fair and orderly market whenever there is a trading halt
or activation of price limits in related futures products with respect
to index options during GTH. Indeed, upon becoming aware of a halt of
trading in related futures with respect to index options or activation
of a OTH price limit, current practice is such that two Floor Officials
in consultation with a designated senior executive officer of the
Exchange would likely determine to halt trading in related index
options, as permitted pursuant to current Rule 5.20(a)(6). Although the
Exchange currently has discretion to halt trading in these
circumstances, the Exchange wishes to automate this process and make it
clear in the rules that a trading halt shall automatically be triggered
in certain circumstances as detailed above. Similarly, for efficiency
and transparency in the rules, the Exchange also wishes to specify when
and how the Exchange shall automatically resume trading following a
trading halt triggered by a Dynamic Circuit Breaker on CME or
activation of a CME OTH Price Limit.\18\ As noted above, pursuant to
Rule 5.20(b), when the conditions which led to the halt are no longer
present, trading in a halted security may be resumed on the Exchange at
its discretion. The Exchange notes that when a trading halt in related
futures with respect to index options has ended, or a futures product
is no longer in a limit state, the Exchange usually determines to
resume trading. Accordingly, the Exchange believes its proposal to
automatically halt trading when CME employs a Dynamic Circuit Breaker
or there is an activation of CME OTH Price Limits is consistent with
the Exchange's current authority to consider halting when there is a
halt of trading or activation of price limits in related futures.\19\
The Exchange similarly believes the proposals relating to automatic
resumption of trading following the two-minute Dynamic Circuit Breaker-
triggered halt or ten-minute limit state-triggered halt period is
consistent with the Exchange's authority to consider resuming trading
when the conditions that led to the halt are no longer present.\20\
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\18\ The Exchange notes that notwithstanding the proposed
automated procedures for reopening, the Exchange would retain the
ability to manually resume trading prior to the end of either
trading halt period at its discretion pursuant to current Rule
5.20(b). Similarly, the Exchange retains the ability to manually
extend the halting period pursuant to current Rule 5.20(a).
\19\ See Cboe Options Rule 5.20(a)(6).
\20\ See Cboe Options Rule 5.20(a)(6).
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Implementation Date
The Exchange proposes to announce the implementation date of the
proposed rule change in an Exchange Notice, to be published no later
than sixty (60) days following the operative date. The implementation
date will be no later than ninety (90) days following the operative
date.
2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
the requirements of Section 6(b) of the Act,\21\ in general, and
Section 6(b)(5) of the Act,\22\ in particular, in that it is designed
to remove impediments to and perfect the mechanism of a free and open
market and a national market system, to promote just and equitable
principles of trade, and, in general, to protect investors and the
public interest and not to permit unfair discrimination between
customers, issuers, brokers, or dealers.
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\21\ 15 U.S.C. 78f(b).
\22\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
In particular, the Exchange believes its proposal is consistent
with the Exchange's current authority to determine when to halt and
resume trading pursuant to Rules 5.20(a) and (b). Today, two Floor
Officials, in consultation with a designated senior executive officer
of the Exchange, may halt trading in any security in the interests of a
fair and orderly market and to protect investors. As discussed above,
in making their determination, they may consider whether unusual
conditions or circumstances are present, which may include the
activation of price limits on futures exchanges or the halt of trading
in related futures with respect to index options.\23\ Similarly, two
Floor Officials, in consultation with a designated senior executive
officer of the Exchange, may determine when in the interests of a fair
and orderly market are best served by a resumption of trading. Among
the factors to be considered in this determination are whether the
conditions which led to the halt are no longer present.\24\ Although
the Exchange's current rules provide the Exchange discretion to (i)
halt trading when there is a halt of trading in related futures or
activation of price limits and (2) resume when the conditions that led
to a halt are no longer present, the Exchange historically was likely
to halt and reopen in such situations. The Exchange believes that
adopting an automated process in these situations would be more
consistent and reliable for market participants and investors as such a
process would be more efficient and not rely on manual processing by
Exchange personnel. Moreover, the Exchange believes the proposed rule
[[Page 38518]]
change provides further transparency to investors with respect to the
process the Exchange will use in the event the circumstances discussed
above transpire.
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\23\ See Rule 5.20(a)(6).
\24\ See Rule 5.20(b).
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The proposed rule change would promote the public interest and the
protection of investors by eliminating the need for manual
determinations and replacing it with a more consistent and transparent
procedure that would be applied by the Exchange's trading systems on an
automated basis. Indeed, instead of relying on Trade Desk staff to
manually halt or re-open trading, the trading halt or resumption of
trading would automatically take place in the manner detailed above.
Additionally, notwithstanding the proposed automated processes, the
Exchange would continue to have the authority to manually halt and
resume trading outside of these processes if it's determined to be in
the interests of a fair and orderly market or under other enumerated
circumstances set forth under Rules 5.20(a) and (b).
The Exchange believes the proposed rule change is designed to help
ensure that halting and resumption of trading happens in an automated
and efficient fashion, while also maintaining the important link
between the trading of index options on the Exchange and the trading of
related futures on CME during GTH.
B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change would
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act. The proposed rule change is
designed to facilitate a more efficient and automated halting of
trading and resumption of trading in limited circumstances during the
Exchange's GTH session and is not designed to address any competitive
issues. The Exchange therefore does not believe that the proposed rule
change would have any significant impact on competition. Rather than
impact the competitive environment, the proposed rule change would
benefit members and investors by eliminating the need for manual
processes under certain circumstances and provide further transparency
in the rules.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
No written comments were solicited or received 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:
A. Significantly affect the protection of investors or the public
interest;
B. impose any significant burden on competition; and
C. 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 \25\ and
Rule 19b-4(f)(6) \26\ thereunder. 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.
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\25\ 15 U.S.C. 78s(b)(3)(A).
\26\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------
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-CBOE-2021-040 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-2021-040. 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-CBOE-2021-040 and should be submitted on
or before August 11, 2021.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\27\
---------------------------------------------------------------------------
\27\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-15441 Filed 7-20-21; 8:45 am]
BILLING CODE 8011-01-P
