Self-Regulatory Organizations; Investors Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend IEX Rules 11.190(b)(7) and 11.190(g), 68709-68715 [2023-21955]
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lotter on DSK11XQN23PROD with NOTICES1
Federal Register / Vol. 88, No. 191 / Wednesday, October 4, 2023 / Notices
can shift order flow in response to new
or different pricing structures being
introduced to the market. Accordingly,
competitive forces constrain the
Exchange’s transaction fees and rebates
generally, including with respect to the
criteria for Equity Members to achieve
the Step-Up Added Liquidity Rebate,
and market participants can readily
choose to send their orders to other
exchanges and off-exchange venues if
they deem rebate criteria at those other
venues to be more favorable.
As described above, the proposed
changes represent a competitive
proposal through which the Exchange is
seeking to continue to encourage
additional order flow to the Exchange
through a volume-based incentive that
is comparable to the criteria for volumebased incentives adopted by at least one
other competing exchange which also
updated its baseline month to a more
recent month for a specific enhanced
rebate that adds liquidity to that
market.25 Accordingly, the Exchange
believes that its proposal would not
burden, but rather promote, intermarket
competition by enabling it to better
compete with other exchanges that offer
similar pricing incentives to market
participants that achieve certain volume
criteria and thresholds.
Additionally, the Commission has
repeatedly expressed its preference for
competition over regulatory
intervention in determining prices,
products, and services in the securities
markets. Specifically, in Regulation
NMS, the Commission highlighted the
importance of market forces in
determining prices and SRO revenues
and, also, recognized that current
regulation of the market system ‘‘has
been remarkably successful in
promoting market competition in its
broader forms that are most important to
investors and listed companies.’’ 26 The
fact that this market is competitive has
also long been recognized by the courts.
In NetCoalition v. Securities and
Exchange Commission, the DC circuit
stated: ‘‘[n]o one disputes that
competition for order flow is ‘fierce.’
. . . As the SEC explained, ‘[i]n the U.S.
national market system, buyers and
sellers of securities, and the brokerdealers that act as their routing agents,
have a wide range of choices of where
to route orders for execution’; [and] ‘no
exchange can afford to take its market
share percentages for granted’ because
‘no exchange possesses a monopoly,
regulatory or otherwise, in the execution
of order flow from broker
25 See
supra note 13.
26 See Securities Exchange Act Release No. 51808
(June 9, 2005), 70 FR 37496, 37499 (June 29, 2005).
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dealers’. . .’’.27 Accordingly, the
Exchange does not believe its proposed
pricing changes impose 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 foregoing rule change has become
effective pursuant to Section
19(b)(3)(A)(ii) of the Act,28 and Rule
19b–4(f)(2) 29 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 shall
institute proceedings to determine
whether the proposed rule should be
approved or disapproved.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
Electronic Comments
• Use the Commission’s internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include file number SR–
PEARL–2023–50 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–PEARL–2023–50. This file
number should be included on the
subject line if email is used. To help the
Commission process and review your
27 See NetCoalition v. SEC, 615 F.3d 525, 539
(D.C. Cir. 2010) (quoting Securities Exchange Act
Release No. 59039 (December 2, 2008), 73 FR
74770, 74782–83 (December 9, 2008) (SR–NYSE–
2006–21)).
28 15 U.S.C. 78s(b)(3)(A)(ii).
29 17 CFR 240.19b–4(f)(2).
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68709
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
a.m. and 3 p.m. Copies of the filing also
will be available for inspection and
copying at the principal office of the
Exchange. Do not include personal
identifiable information in submissions;
you should submit only information
that you wish to make available
publicly. We may redact in part or
withhold entirely from publication
submitted material that is obscene or
subject to copyright protection. All
submissions should refer to file number
SR–PEARL–2023–50 and should be
submitted on or before October 25,
2023.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.30
Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2023–21951 Filed 10–3–23; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–98625; File No. SR–IEX–
2023–10]
Self-Regulatory Organizations;
Investors Exchange LLC; Notice of
Filing and Immediate Effectiveness of
Proposed Rule Change To Amend IEX
Rules 11.190(b)(7) and 11.190(g)
September 28, 2023.
Pursuant to Section 19(b)(1) 1 of the
Securities Exchange Act of 1934 (the
‘‘Act’’),2 and Rule 19b–4 thereunder,3
notice is hereby given that on
September 27, 2023, the Investors
Exchange LLC (‘‘IEX’’ or the
‘‘Exchange’’) filed with the Securities
30 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 15 U.S.C. 78a.
3 17 CFR 240.19b–4.
1 15
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Federal Register / Vol. 88, No. 191 / Wednesday, October 4, 2023 / Notices
and Exchange Commission (the
‘‘Commission’’) the proposed rule
change as described in Items I, II and III
below, which Items have been prepared
by the 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 the Substance
of the Proposed Rule Change
Pursuant to the provisions of Section
19(b)(1) under the Securities Exchange
Act of 1934 (‘‘Act’’),4 and Rule 19b–4
thereunder,5 IEX is filing with the
Commission a proposed rule change to
amend IEX Rules 11.190(b)(7) and
11.190(g) to modify the quote instability
calculation used for Discretionary Limit
orders. The Exchange has designated
this proposal as non-controversial and
provided the Commission with the
notice required by Rule 19b–4(f)(6)(iii)
under the Act.6
The text of the proposed rule change
is available at the Exchange’s website at
www.iextrading.com, at the principal
office of the Exchange, and at the
Commission’s Public Reference Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
self-regulatory organization included
statements concerning the purpose of
and basis for the proposed rule change
and discussed any comments it received
on the proposed rule change. The text
of these statements may be examined at
the places specified in Item IV below.
The self-regulatory organization has
prepared summaries, set forth in
Sections A, B, and C below, of the most
significant aspects of such statements.
lotter on DSK11XQN23PROD with NOTICES1
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 amend IEX Rules
11.190(b)(7) and 11.190(g) to change
which proprietary mathematical
calculation is used to make quote
instability determinations for
Discretionary Limit (‘‘D-Limit’’) 7 orders
(i.e., to assess the probability of an
imminent change to the current
Protected NBB to a lower price or a
Protected NBO to a higher price for a
4 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
6 17 CFR 240.19b–4(f)(6)(iii).
7 See IEX Rule 11.190(b)(7).
5 17
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particular security, also referred to as
the ‘‘crumbling quote indicator’’ or
‘‘CQI’’).8 Currently, IEX supports two
versions of the CQI—Option 1
Crumbling Quote 9 (which is based on
the CQI in effect when IEX began
operating as a national securities
exchange in 2016) (‘‘CQI 1’’) and Option
2 Crumbling Quote 10 (which was
recently adopted 11) (‘‘CQI 2’’). Users 12
submitting the following types of
pegged orders—Discretionary Peg (‘‘DPeg’’) 13 orders, primary peg (‘‘P-Peg’’) 14
orders, and Corporate Discretionary Peg
(‘‘C-Peg’’) 15 orders (collectively ‘‘CQIenhanced pegged orders’’)—have the
option of selecting either CQI 1 or CQI
2 to make quote instability
determinations. CQI 1 is used to make
quote instability determinations for DLimit orders.
IEX proposes to utilize CQI 2, instead
of CQI 1, to make quote instability
determinations for D-Limit orders, based
on its superior performance as described
herein.
Background
D-Limit orders are designed to protect
liquidity providers from potential
adverse selection by latency arbitrage
trading strategies in a fair and
nondiscriminatory manner.16 A D-Limit
order may be a displayed or nondisplayed limit order that upon entry
and when posting to the Order Book 17
is priced to be equal to and ranked at
the order’s limit price, but will be
adjusted to a less-aggressive price
during periods of quote instability, as
defined in IEX Rule 11.190(g).18
8 A D-Limit order may be a displayed or nondisplayed limit order that upon entry and when
posting to the Order Book is priced to be equal to
and ranked at the order’s limit price, but will be
adjusted to a less-aggressive price during periods of
quote instability, as defined in IEX Rule 11.190(g).
9 See IEX Rule 11.190(g)(1).
10 See IEX Rule 11.190(g)(2).
11 See Securities Exchange Act Release No. 96014
(October 11, 2022), 87 FR 62903 (October 17, 2022)
(‘‘CQI 2 Proposal’’); Securities Exchange Act
Release No. 96416 (December 1, 2022), 87 FR 75099
(December 7, 2022) (‘‘CQI 2 Approval Order’’) (SR–
IEX–2022–06).
12 See IEX Rule 1.160(qq).
13 See Rule 11.190(b)(10).
14 See Rule 11.190(b)(8).
15 See Rule 11.190(b)(16). Note that C-Peg orders
can only be buy orders, so any discussion of D-Peg
sell orders does not apply to C-Peg orders.
16 See Securities Exchange Act Release No. 87814
(December 20, 2019), 84 FR 71997, 71998
(December 30, 2019) (SR–IEX–2019–15) (‘‘D-Limit
Proposal’’); see also Securities Exchange Act
Release No. 89686 (August 26, 2020), 85 FR 54438
(September 1, 2020) (SR–IEX–2019–15) (‘‘D-Limit
Approval Order’’).
17 See IEX Rule 1.160(p).
18 See IEX Rules 11.190(b)(7)(A) and (B) and
11.190(g)(1).
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Specifically, if the System 19 receives
a D-Limit buy (sell) order during a
period of quote instability (i.e., when a
quote instability determination is in
effect and the CQI is ‘‘on’’), and the DLimit order has a limit price equal to or
higher (lower) than the quote instability
determination price level (‘‘CQI Price’’),
the price of the order will be
automatically adjusted by the System to
one (1) MPV 20 lower (higher) than the
CQI Price (the ‘‘effective limit price’’).
Similarly, when unexecuted shares of a
D-Limit buy (sell) order are posted to
the Order Book, if a quote instability
determination is made and such shares
are ranked and displayed (in the case of
a displayed order) by the System at a
price equal to or higher (lower) than the
CQI Price, the price of the order will be
automatically adjusted by the System to
a price one MPV lower (higher) than the
quote instability price level.21
Once the price of a D-Limit order that
has been posted to the Order Book is
automatically adjusted by the System,
the order will continue to be ranked and
displayed (in the case of a displayed
order) at the adjusted price, unless
subject to another automatic adjustment,
if the order is subject to the price sliding
provisions of IEX Rule 11.190(h), or if
the User elects that the order will be repriced if resting at a price that is less
aggressive than the NBB (for a buy
order) or NBO (for a sell order) ten (10)
milliseconds after the most recent quote
instability determination pursuant to
IEX Rule 11.190(b)(7)(E)(i). Otherwise, a
D-Limit order operates in the same
manner as either a displayed or nondisplayed limit order, as applicable.22
Since the launch of the D-Limit order
type in October 2020, IEX has regularly
assessed its performance. This
assessment substantiates that D-Limit
orders experience enhanced protection
(as compared to regular limit orders)
from unfavorable executions at prices
that the Exchange’s probabilistic CQI
model predicts are about to become
‘‘stale.’’ In the rule filing proposing to
adopt the D-Limit order type, IEX noted
that approximately 25% of displayed
volume occurred when the CQI was on,
in aggregate resulting in less favorable
markouts 23 for such executions than
19 See
Rule 1.160(nn).
IEX Rule 11.210.
21 See IEX Rule 11.190(b)(7)(C) and (D).
22 See IEX Rule 11.190(b)(7).
23 Markouts measure the direction and degree to
which the market moved after an execution, and are
often measured as the difference between the
execution price and the midpoint of the NBBO at
various time intervals after a trade. Markouts are
typically used as a way to measure the ‘‘quality’’
of a trade. In particular, short-term markouts of
several milliseconds after the time of execution, are
often used to assess whether an order was subject
20 See
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Federal Register / Vol. 88, No. 191 / Wednesday, October 4, 2023 / Notices
when CQI was off. This remains the case
for displayed volume from regular limit
orders that trade during periods of quote
instability. The D-Limit order type was
designed to solve for this issue and has
been successful in this regard. Since its
launch, less than 1% of displayed
volume from D-Limit orders occurs
when the CQI is on.24 As a result, users
of displayed D-Limit orders experience
68711
substantially more favorable markouts
than users of regular displayed limit
orders, as shown in the chart below:
IE< Lit Adding Markouts
(Jan-Aug 2023, Trt1de-to-Mkl1 ti6 ofSpread}
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Overview of CQI Models
As noted above, IEX supports two
versions of the CQI. Currently, D-Limit
orders utilize the CQI 1 version of the
CQI for making quote instability
determinations. In determining whether
a crumbling quote exists, CQI 1 utilizes
real time relative quoting activity of
eight exchanges’ Protected Quotations 25
and a proprietary mathematical
calculation (the ‘‘quote instability
calculation’’) to assess the probability of
an imminent change to the current
Protected NBB 26 to a lower price or
Protected NBO 27 to a higher price for a
particular security (‘‘quote instability
factor’’) during the Regular Market
Session.28 When the quoting activity
meets the predefined objective
conditions specified in IEX Rule
11.190(g)(1) and the quote instability
factor calculated is greater than the
Exchange’s defined threshold (‘‘quote
instability threshold’’), the System treats
the NBB or NBO as not stable (‘‘quote
instability’’ or a ‘‘crumbling quote’’),
which turns the CQI on at that CQI
Price. During all other times, the quote
is considered stable (‘‘quote stability’’)
and the CQI is off. The System
independently assesses the stability of
the Protected NBB and Protected NBO
for each security.29
When CQI 1 is on, it remains in effect
at the CQI Price for two milliseconds,
unless a new determination is made
before the CQI turns off. Only one
determination may be in effect at any
given time for a particular security (i.e.,
the System will only treat one side of
the Protected NBBO as unstable in a
particular security at any given time and
the CQI can only be on at one price
level).30 A new determination may be
made after at least 200 microseconds
have elapsed since the preceding
determination, or a price change on
either side of the best displayed bid or
offer of the eight exchanges used for the
current quote instability calculation
occurs, whichever is first. If a new
determination is made, the original
determination is no longer in effect. A
new determination can be on either side
of the best displayed bid or offer of the
eight exchanges used for the current
quote instability calculation and at the
same or different price level as the
original determination.
CQI 2 was adopted in 2022 31 as an
alternative for CQI-enhanced pegged
orders, and is designed to incrementally
increase the coverage 32 of the quote
instability calculation in predicting
whether a particular quote is unstable
by adjusting the logic underlying the
quote instability calculation and
introducing enhanced functionality
designed to increase the number of
crumbling quotes identified, while
maintaining the quote instability
calculation’s accuracy rate 33 in
to ‘‘adverse selection’’ that can occur when a
liquidity providing order is executed at a price that
was about to become stale as a result of certain
speed-based trading strategies.
24 These executions occur when D-Limit buy (sell)
orders are adjusted 1 MPV lower (higher) than the
CQI Price but are still executed against an
Intermarket Sweep Order (ISO), which accesses
multiple price levels at a time, therefore accessing
the D-Limit order at its new, more passive, price.
25 Each exchange’s Protected Quotation is its best
displayed bid or offer. See Rule 1.160(bb). Current
Rule 11.190(g) uses the following eight exchanges’
Protected Quotations: New York Stock Exchange
LLC (‘‘XNYS’’), the Nasdaq Stock Market LLC
(‘‘XNGS’’), NYSE Arca, Inc. (‘‘ARCX’’), Nasdaq BX,
Inc. (‘‘XBOS’’), Cboe BYX Exchange, Inc. (‘‘BATY’’),
Cboe Bats BZX Exchange, Inc. (‘‘BATS’’), Cboe
EDGA Exchange, Inc. (‘‘EDGA’’), and Cboe EDGX
Exchange, Inc. (‘‘EDGX’’).
26 See Rule 1.160(cc).
27 See Rule 1.160(cc).
28 See IEX Rule 1.160(gg). Quote instability
assessments are only made by the Exchange System
during the Regular Market Session because the
order types that utilize the assessment, such as DLimit, are only eligible to trade during the Regular
Market Session.
29 The quote stability variables, fixed coefficients
and formula were developed by the Exchange based
on extensive research, analysis and validation to
identify when there is a heightened probability of
an imminent quote change to the NBB or NBO.
30 See IEX Rule 11.190(g)(1).
31 See supra note 11. The Commission received
no comments on IEX’s proposed rule change to
adopt CQI 2.
32 ‘‘Coverage’’ means the percentage of all
‘‘adverse’’ NBBO changes per symbol (lower for
bids, higher for offers) that were predicted by the
CQI (meaning the CQI was ‘‘on’’ at the time of the
adverse NBBO change).
33 ‘‘Accuracy rate’’ means the percentage of time
that the CQI accurately predicted the direction of
the next price change (even if it was more than two
milliseconds after the quote instability
determination).
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Federal Register / Vol. 88, No. 191 / Wednesday, October 4, 2023 / Notices
predicting the direction and timing of
the next price change in the NBB or
NBO, as applicable.
As described above, CQI 1 utilizes a
logistic regression model with multiple
coefficients and variables that must
exceed a pre-defined threshold in order
for the System to treat the quote as
unstable. CQI 2, by contrast, utilizes a
quote instability calculation in which
nine separate rules—each with specific
conditions based on either the price,
size, or price and size of the Signal
Exchanges’34 Protected Quotations—can
trigger a quote instability determination
for either the NBB or the NBO of a
particular security.35 Specifically, CQI 2
expands the sources and types of market
data used, utilizes a more plain English
rules-based approach, modifies the
minimum time period between quote
instability determinations, and includes
activation thresholds to enable real-time
accuracy assessment of each rule with
the effect of deactivating a rule that is
not meeting specified metrics.36 In
addition, CQI-enhanced pegged orders
are restricted from exercising price
discretion when the CQI is on,
regardless of whether the current NBB
or NBO (as applicable) is the same as
the CQI Price.
The CQI 2 quote instability rules
include four categories of Protected
Quotation changes (each comprised of
one or more rules) as follows:
• Disappearing bids (or offers)—This
category includes four rules that focus
on whether one or more of the Signal
Exchanges is no longer disseminating a
bid or offer at the Signal Best Bid 37 or
Signal Best Offer 38 as applicable; 39
• Recent changes in quote size—This
category includes two rules that focus
on whether there is an imbalance in the
size of bids and offers at the Signal Best
Bid or Signal Best Offer;
• Locked or crossed market—This
category includes one rule that focuses
on situations where the Signal Best Bid
turns on. In CQI 1, the quote instability
calculation independently assesses the
stability of the Protected NBB and
Protected NBO for each security, but it
can only turn on for one side of the
market for each security at a time.
Second, when CQI 2 turns on, it is not
constrained to a specific price level, as
compared to CQI 1 which turns on at a
specific CQI Price. Thus, if the NBB or
NBO (as applicable) changes during the
time CQI 1 is on, CQI-enhanced pegged
orders (that have elected CQI 1) are not
constrained from exercising discretion
since the CQI Price is no longer equal
to the current NBB or NBO (as
applicable).40 In contrast, for CQIenhanced pegged orders (that have
elected CQI 2), the CQI continues to
turn on at a specific price (the quote
instability determination price level),
but CQI-enhanced pegged orders are
constrained from exercising discretion
past their resting price when the CQI is
on for the same side of the market as
such orders regardless of whether the
price at which it turned on is currently
equal to the NBB or NBO (as
applicable). Third, for CQI 2, the System
can make a new quote instability
determination 250 microseconds after a
prior determination, rather than 200
microseconds for CQI 1.
IEX introduced CQI 2 into its System
on March 31, 2023 (i.e., it began
generating quote instability
determinations for informational and
planning purposes) and it became
available for CQI-enhanced pegged
orders on May 16, 2023.41 Consistent
with the Exchange’s market data
analysis prior to proposing CQI 2, data
analysis for April through July of 2023
substantiates that CQI 2 provides
incrementally more protection (i.e.,
increased coverage and accuracy) than
CQI 1 while still being ‘‘on’’ for only
several seconds a day per symbol, as set
forth in the chart below:
Metric
CQI 1
Average time on a (average of all symbols) ............................................
Average time on (volume weighted) .......................................................
Coverage (volume weighted) b ................................................................
Accuracy Rate (volume weighted) c ........................................................
% of the Day CQI is ‘‘On’’ (volume-weighted) ........................................
% of the day D-Limit is available at specified limit price ........................
1.9 seconds ...................................
18.0 seconds .................................
46.9% .............................................
78% ................................................
0.077% ...........................................
99.923% .........................................
a ‘‘Time
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and Signal Best Offer are locked or
crossed; and
• Quotation Changes—This category
includes two rules that focus on changes
to the Signal Best Bid or Signal Best
Offer.
On a security-by-security basis, if the
specified conditions of any of the quote
instability rules are met, then the rule is
deemed to be True for that security. A
rule must also be active (in addition to
True) before it can trigger a quote
instability determination. When one or
more quote instability rules is deemed
to be True and any of such rules are
active, the System will trigger a quote
instability determination and treat the
quote as unstable. This approach is
designed to enable broader coverage
while controlling for overall accuracy of
the quote instability determinations by
providing a mechanism to turn off a
particular rule when market conditions
are such that it is relatively less accurate
in predicting a crumbling quote. Based
upon market data analysis, IEX believes
that utilizing activation thresholds is a
useful innovation because it enables the
use of rules that can be highly
predictive in certain market conditions
but not in others.
CQI 2 also differs from CQI 1 with
respect to three different time and
direction constraints, which are
designed to provide a more dynamic
methodology for quote instability
determinations, thereby incrementally
increasing the coverage of the formula
in predicting a crumbling quote by
expanding the scope of the model to
additional situations where the
Exchange’s probabilistic model predicts
that the NBB or NBO is in the process
of moving to a less aggressive price and
is about to become stale.
First, for CQI 2, the quote instability
calculation can turn on concurrently on
both sides of the market (i.e., the NBB
and NBO) and always remains on for the
full two millisecond period each time it
CQI 2
3.1 seconds.
32.1 seconds.
63.2%.
80%.
0.137%.
99.863%.
on’’ means the average time the CQI is on during a day per symbol.
34 For CQI 2, the Signal Exchanges include the
eight exchanges used in CQI 1, with the addition
of MIAX PEARL, LLC (‘‘EPRL’’), MEMX LLC
(‘‘MEMX’’), and Nasdaq PHLX LLC (‘‘XPHL’’).
35 See supra note 11.
36 See supra note 11.
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37 ‘‘Signal Best Bid’’ means the highest Protected
Bid of the Signal Exchanges. See proposed IEX Rule
11.190(g)(2)(B)(i).
38 ‘‘Signal Best Offer’’ means the lowest Protected
Offer of the Signal Exchanges. See proposed IEX
Rule 11.190(g)(2)(B)(v).
39 The disappearing bid/offers rules are closely
related to the Option 1 Crumbling Quote approach
to the quote instability calculation, in that both
PO 00000
Frm 00154
Fmt 4703
Sfmt 4703
approaches share the Delta quote instability
variable, which is heavily weighted in the current
quote instability calculation. See the Option 2
Crumbling Quote Proposal, supra note 11.
40 See IEX Rules 11.190(b)(8)(K)(i) and (ii),
(b)(10)(K)(i) and (ii), (b)(16)(K).
41 See IEX Trading Alert # 2023–008, available at
https://iextrading.com/alerts/#/215.
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Federal Register / Vol. 88, No. 191 / Wednesday, October 4, 2023 / Notices
68713
b See
supra note 29.
means the percent of time that following the CQI being ‘‘on’’ the NBB or NBO (as applicable) moves in the predicted direction on
the next price change.
c ‘‘Accuracy’’
Proposal
Based on its assessment (as described
above) that CQI 2 provides
incrementally greater coverage and
accuracy in predicting a crumbling
quote than CQI 1, IEX proposes to
amend IEX Rules 11.190(b)(7) and
11.190(g)(2) to provide that quote
instability determinations for D-Limit
orders will utilize CQI 2. Thus, as
proposed, if a D-Limit order is resting at
a price at or more aggressive than the
price of a crumbling quote
determination price level in effect, it
will be adjusted to a price one MPV less
aggressive than such crumbling quote
determination price level. Similarly, an
incoming D-Limit order priced at or
more aggressive than the price of a
crumbling quote determination price
level in effect will be adjusted to a price
one MPV less aggressive than the
crumbling quote determination price
level. Note that, as distinct from CQIenhanced pegged orders, a D-Limit
order would only be subject to a price
adjustment if it is priced at or more
aggressive than the crumbling quote
determination price level in effect,
while CQI-enhanced pegged orders
subject to CQI 2 are restricted from
exercising price discretion past their
resting price when the CQI is on for the
same side of the market as such orders
regardless of whether the price at which
it turned on is currently equal to the
NBB or NBO (as applicable). IEX
believes that the difference in approach
is appropriate because once the price of
a D-Limit order is adjusted it remains at
that price indefinitely, unless the
Member entering the order elected to
have the order re-priced after ten (10)
milliseconds if the order is resting at a
price less aggressive than the NBB or
NBO (as applicable) pursuant to IEX
Rule 11.190(b)(7)(E)(i) or if subject to
another automatic price adjustment. In
contrast, CQI-enhanced pegged orders
are only restricted from exercising price
discretion for up to two (2)
milliseconds. Thus, IEX believes that DLimit orders should only be price
adjusted relative to the price that was
actually the subject of a crumbling quote
determination.
IEX believes that using CQI 2 will
incrementally enhance the existing
protection provided by D-Limit orders
by providing greater coverage (i.e.,
identifying more potentially crumbling
quotes) with comparable accuracy. IEX
estimated the impact of CQI 1 and CQI
2 on standard limit order executions by
simulating the markouts had the orders
been subject to the protection of CQI 1
or CQI 2. Assessment of these
executions is designed to simulate
differences in adverse selection
protection from CQI 1 and CQI 2. As
shown in the chart below, both CQI 1
and CQI 2 result in improved markouts
over executions without CQI protection,
but CQI 2 would have provided
incrementally enhanced protection
compared to CQI 1 (as measured by
markouts) because it is better at
identifying situations when adverse
selection is most likely:
CQI l vs CQI 2 Markout Comparison., Standard Limit Orders
(Apr-Aug 2023, Trade-to-Mid,% of spread)
20.0%
15.0%
10.0%
0.0%
-5.0%
-10.0%
10ms
1ms
lotter on DSK11XQN23PROD with NOTICES1
Specific Rule Changes
Accordingly, IEX proposes to amend
IEX Rules 11.190(b)(7)(A) and (B) to
reference to IEX Rule 11.190(g)(2)
(which describes CQI 2) rather than
Rule 11.190(g)(1) (which describes CQI
1) to thereby specify and describe that
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Jkt 262001
quote instability determinations for DLimit orders will be made by CQI 2.
Additionally, IEX proposes to amend
the first sentence of Rule l1.190(g)(2) to
add the words ‘‘at that price level’’ after
the word ‘‘effect’’ and before the word
‘‘for’’ to specify that a CQI 2
determination is at a particular price
PO 00000
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ls
100ms
Sfmt 4703
level. This change is necessary so that
the price of a D-Limit will only be
adjusted if at or more aggressive than
the CQI 2 quote instability
determination price level, as is currently
the case with CQI 1 and as discussed
above.
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68714
Federal Register / Vol. 88, No. 191 / Wednesday, October 4, 2023 / Notices
Finally, IEX proposes to make a
clarifying amendment to the last
sentence of the second paragraph of IEX
Rule 11.190(g) to add the words
‘‘paragraph (g)(1) of’’ after the second
word of the sentence to better clarify
that the limitations on the referenced
terms specified therein are applicable
only to paragraph (g)(1) of IEX Rule
11.190 rather than to the entire rule
wherein such references are as defined
in IEX Rule 1.160; and
Implementation
The Exchange will announce the
implementation date of the proposed
rule change by Trading Alert at least ten
business days in advance of such
implementation date and within ninety
(90) days of effectiveness of this rule
filing.
lotter on DSK11XQN23PROD with NOTICES1
2. Statutory Basis
IEX believes that the proposed rule
change is consistent with Section 6(b) 42
of the Act in general, and furthers the
objectives of Section 6(b)(5) of the Act,43
in particular, in that it is designed 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, in general, to protect
investors and the public interest.
Specifically, and as discussed in the
Purpose section, the proposal is
designed to enhance the existing
protections provided by D-Limit orders
by using the SEC approved CQI 2 to
make quote instability determinations,
which is designed to incrementally
increase the coverage of the quote
instability calculation in predicting
whether a particular quote is unstable
while maintaining the quote instability
calculation’s accuracy rate in predicting
the direction and timing of the next
price change in the NBB or NBO, as
applicable. Because D-Limit orders are
subject to a price adjustment to one
MPV less aggressive than the CQI Price
if priced at or more aggressive than the
CQI Price when the Exchange’s
probabilistic model identifies that such
price appears to be stale, increasing the
coverage of the quote instability
calculation is designed to provide
additional protection to D-Limit orders
from adverse selection associated with
latency arbitrage during those times.
Moreover, IEX’s market data analysis, as
described in the Purpose section
evidences that, as with CQI 1, CQI 2 is
‘‘on’’ for only a small portion of the
42 15
43 15
U.S.C. 78f.
U.S.C. 78f(b)(5).
VerDate Sep<11>2014
20:21 Oct 03, 2023
trading day while providing robust
protection.
The Exchange believes that the
proposed rule change may result in
more and larger sized displayed and
non-displayed D-Limit orders being
entered on IEX as a result of the
improved coverage and continued
accuracy of CQI 2. To the extent more
orders are entered, the increased
liquidity would benefit all IEX members
and their customers.
Furthermore, the Exchange notes that
all Members are eligible to use D-Limit
orders, and therefore all Members are
eligible to benefit from the proposed
enhanced D-Limit’s protections against
adverse selection. Thus, the Exchange
believes that application of the rule
change is equitable and not unfairly
discriminatory.
Additionally, the Exchange notes that
CQI 2 is a fixed formula specified
transparently in IEX’s rules, that was
previously approved by the SEC.44 The
Exchange is not proposing to add any
new functionality, but merely to utilize
an SEC approved quote instability
calculation for D-Limit orders that is
designed to increase its coverage in
predicting a crumbling quote. Thus, IEX
does not believe that the proposal raises
any new or novel issues that have not
already been considered by the
Commission, in that IEX’s rule filings to
adopt both the D-Limit order type and
CQI 2 were previously approved by the
Commission.
The Exchange believes it is consistent
with the Act to add the words
‘‘paragraph (g)(1) of’’ after the second
word of the sentence to better clarify
that the limitations on the referenced
terms specified therein are applicable
only to paragraph (g)(1) of IEX Rule
11.190 rather than to the entire rule
wherein such references are as defined
in IEX Rule 1.160. This proposed
change is designed to avoid any
potential confusion as to the
applicability of the referenced terms.
Finally, the Exchange believes it is
consistent with the Act to amend the
first sentence of Rule l11.190(g)(2) to
add the words ‘‘at that price level’’ after
the word ‘‘effect’’ and before the word
‘‘for’’ to specify that an CQI 2
determination is at a particular price
level. As discussed in the Purpose
section, with the proposed use of CQI 2
to make quote instability determinations
for D-Limit orders, it is necessary to
specify that each such determination
will be at a particular price.
44 See
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PO 00000
supra note 11.
Frm 00156
Fmt 4703
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B. Self-Regulatory Organization’s
Statement on Burden on Competition
IEX 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. To the
contrary, as discussed in the Statutory
Basis section, the proposal is designed
to enhance IEX’s competitiveness by
incentivizing the entry of increased
liquidity.
With regard to intra-market
competition, the proposed changes to
the quote instability calculation will
apply equally to all Members on a fair,
impartial and nondiscriminatory basis
without imposing any new burdens on
the Members. The Commission has
already approved the Exchange’s DLimit order type and CQI 2.45 As
discussed in the Purpose and Statutory
Basis sections, the proposed rule change
is designed to merely utilize an SEC
approved enhanced quote instability
calculation; therefore, no new burdens
are being proposed.
With regard to inter-market
competition, other exchanges are free to
adopt similar quote instability
calculations. In this regard, the
Exchange notes that that NYSE
American LLC has adopted a rule
copying an earlier iteration of the
Exchange’s Discretionary Peg Order type
and quote instability calculation.46
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 designated this rule
filing as non-controversial under
Section 19(b)(3)(A) 47 of the Act and
Rule 19b–4(f)(6) 48 thereunder. Because
the 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 and Rule 19b–
4(f)(6) thereunder.
The Exchange believes that the
proposed rule change meets the criteria
45 See
supra notes 11 and 16.
NYSE American LLC Rule 7.31E(h)(3)(D).
47 15 U.S.C. 78s(b)(3)(A).
48 17 CFR 240.19b–4(f)(6).
46 See
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Federal Register / Vol. 88, No. 191 / Wednesday, October 4, 2023 / Notices
of subparagraph (f)(6) of Rule 19b–4 49
because it would not significantly affect
the protection of investors or the public
interest. Rather, the proposed rule
change is designed to benefit investors
and the public interest by enhancing the
existing protections provided by DLimit orders by using the SEC approved
CQI 2 to make quote instability
determinations, as discussed in the
Purpose and Statutory Basis sections.
IEX notes (as discussed in the
Statutory Basis section) that the D-Limit
order type and CQI 2 were each
approved by the Commission, and this
proposed rule change merely combines
these two aspects of IEX’s rules.
Consistent with ‘‘Commission Guidance
and Amendment to the Rule Relating to
Organization and Program Management
Concerning Proposed Rule Changes by
Self-Regulatory Organizations,’’ 50 each
policy issue raised by this proposed rule
change has been previously considered
by the Commission when IEX’s D-Limit
order type and CQI 2 were approved
pursuant to Section 19(b)(2) of the Act,
and the proposed rule change resolves
each such policy issue in a manner
consistent with such prior approvals.
Accordingly, the Exchange believes that
the proposed rule change is
noncontroversial and satisfies the
requirements of Rule 19b–4(f)(6).51
Furthermore, Rule 19b–4(f)(6)
requires a self-regulatory organization to
give the Commission written notice of
its intent to file the proposed rule
change at least five business days prior
to the date of filing of the proposed rule
change, or such shorter time as
designated by the Commission. The
Exchange has satisfied this requirement.
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: (i) necessary or appropriate in
the public interest; (ii) for the protection
of investors; or (iii) otherwise in
furtherance of the purposes of the Act.
If the Commission takes such action, the
Commission shall institute proceedings
to determine whether the proposed rule
should be approved or disapproved.
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
49 17
CFR 240.19b–4(f)(6).
50 See Securities Exchange Act Release No. 58092
(July 3, 2008), 73 FR 40144, 40147 (July 11, 2008).
51 17 CFR 240.19b–4(f)(6).
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20:21 Oct 03, 2023
Jkt 262001
the purposes of the Act. If the
Commission takes such action, the
Commission shall institute proceedings
under Section 19(b)(2)(B) 52 of the Act 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–
IEX–2023–10 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–IEX–2023–10. 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
a.m. and 3 p.m. Copies of the filing also
will be available for inspection and
copying at the principal office of the
Exchange. Do not include personal
identifiable information in submissions;
you should submit only information
that you wish to make available
publicly. We may redact in part or
withhold entirely from publication
submitted material that is obscene or
subject to copyright protection. All
52 15
PO 00000
U.S.C. 78s(b)(2)(B).
Frm 00157
Fmt 4703
Sfmt 4703
68715
submissions should refer to file number
SR–IEX–2023–10 and should be
submitted on or before October 25,
2023.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.53
Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2023–21955 Filed 10–3–23; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–98635; File No. SR–
CboeBZX–2023–073]
Self-Regulatory Organizations; Cboe
BZX Exchange, Inc.; Notice of Filing
and Immediate Effectiveness of
Proposed Rule To Extend the Pilot
Programs in Connection With the
Listing and Trading of P.M.-Settled
Series on Certain Broad-Based Index
Options
September 28, 2023.
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
September 28, 2023, Cboe BZX
Exchange, Inc. (‘‘Exchange’’ or ‘‘BZX’’)
filed with the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change as described in
Items I and II below, which Items have
been prepared by the Exchange. The
Exchange filed the proposal as a ‘‘noncontroversial’’ proposed rule change
pursuant to Section 19(b)(3)(A)(iii) of
the Act 3 and Rule 19b–4(f)(6)
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 BZX Exchange, Inc. (the
‘‘Exchange’’ or ‘‘BZX Options’’)
proposes to extend the pilot programs in
connection with the listing and trading
of P.M.-settled series on certain broadbased index options. The text of the
proposed rule change is provided in
Exhibit 5.
The text of the proposed rule change
is also available on the Exchange’s
website (https://markets.cboe.com/us/
equities/regulation/rule_filings/bzx/), at
53 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 15 U.S.C. 78s(b)(3)(A)(iii).
4 17 CFR 240.19b–4(f)(6).
1 15
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]]>Agencies
[Federal Register Volume 88, Number 191 (Wednesday, October 4, 2023)]
[Notices]
[Pages 68709-68715]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2023-21955]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-98625; File No. SR-IEX-2023-10]
Self-Regulatory Organizations; Investors Exchange LLC; Notice of
Filing and Immediate Effectiveness of Proposed Rule Change To Amend IEX
Rules 11.190(b)(7) and 11.190(g)
September 28, 2023.
Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of
1934 (the ``Act''),\2\ and Rule 19b-4 thereunder,\3\ notice is hereby
given that on September 27, 2023, the Investors Exchange LLC (``IEX''
or the ``Exchange'') filed with the Securities
[[Page 68710]]
and Exchange Commission (the ``Commission'') the proposed rule change
as described in Items I, II and III below, which Items have been
prepared by the 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\ 15 U.S.C. 78a.
\3\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of the
Substance of the Proposed Rule Change
Pursuant to the provisions of Section 19(b)(1) under the Securities
Exchange Act of 1934 (``Act''),\4\ and Rule 19b-4 thereunder,\5\ IEX is
filing with the Commission a proposed rule change to amend IEX Rules
11.190(b)(7) and 11.190(g) to modify the quote instability calculation
used for Discretionary Limit orders. The Exchange has designated this
proposal as non-controversial and provided the Commission with the
notice required by Rule 19b-4(f)(6)(iii) under the Act.\6\
---------------------------------------------------------------------------
\4\ 15 U.S.C. 78s(b)(1).
\5\ 17 CFR 240.19b-4.
\6\ 17 CFR 240.19b-4(f)(6)(iii).
---------------------------------------------------------------------------
The text of the proposed rule change is available at the Exchange's
website at www.iextrading.com, at the principal office of the Exchange,
and at the Commission's Public Reference Room.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the self-regulatory organization
included statements concerning the purpose of and basis for the
proposed rule change and discussed any comments it received on the
proposed rule change. The text of these statements may be examined at
the places specified in Item IV below. The self-regulatory organization
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 amend IEX Rules
11.190(b)(7) and 11.190(g) to change which proprietary mathematical
calculation is used to make quote instability determinations for
Discretionary Limit (``D-Limit'') \7\ orders (i.e., to assess the
probability of an imminent change to the current Protected NBB to a
lower price or a Protected NBO to a higher price for a particular
security, also referred to as the ``crumbling quote indicator'' or
``CQI'').\8\ Currently, IEX supports two versions of the CQI--Option 1
Crumbling Quote \9\ (which is based on the CQI in effect when IEX began
operating as a national securities exchange in 2016) (``CQI 1'') and
Option 2 Crumbling Quote \10\ (which was recently adopted \11\) (``CQI
2''). Users \12\ submitting the following types of pegged orders--
Discretionary Peg (``D-Peg'') \13\ orders, primary peg (``P-Peg'') \14\
orders, and Corporate Discretionary Peg (``C-Peg'') \15\ orders
(collectively ``CQI-enhanced pegged orders'')--have the option of
selecting either CQI 1 or CQI 2 to make quote instability
determinations. CQI 1 is used to make quote instability determinations
for D-Limit orders.
---------------------------------------------------------------------------
\7\ See IEX Rule 11.190(b)(7).
\8\ A D-Limit order may be a displayed or non-displayed limit
order that upon entry and when posting to the Order Book is priced
to be equal to and ranked at the order's limit price, but will be
adjusted to a less-aggressive price during periods of quote
instability, as defined in IEX Rule 11.190(g).
\9\ See IEX Rule 11.190(g)(1).
\10\ See IEX Rule 11.190(g)(2).
\11\ See Securities Exchange Act Release No. 96014 (October 11,
2022), 87 FR 62903 (October 17, 2022) (``CQI 2 Proposal'');
Securities Exchange Act Release No. 96416 (December 1, 2022), 87 FR
75099 (December 7, 2022) (``CQI 2 Approval Order'') (SR-IEX-2022-
06).
\12\ See IEX Rule 1.160(qq).
\13\ See Rule 11.190(b)(10).
\14\ See Rule 11.190(b)(8).
\15\ See Rule 11.190(b)(16). Note that C-Peg orders can only be
buy orders, so any discussion of D-Peg sell orders does not apply to
C-Peg orders.
---------------------------------------------------------------------------
IEX proposes to utilize CQI 2, instead of CQI 1, to make quote
instability determinations for D-Limit orders, based on its superior
performance as described herein.
Background
D-Limit orders are designed to protect liquidity providers from
potential adverse selection by latency arbitrage trading strategies in
a fair and nondiscriminatory manner.\16\ A D-Limit order may be a
displayed or non-displayed limit order that upon entry and when posting
to the Order Book \17\ is priced to be equal to and ranked at the
order's limit price, but will be adjusted to a less-aggressive price
during periods of quote instability, as defined in IEX Rule
11.190(g).\18\
---------------------------------------------------------------------------
\16\ See Securities Exchange Act Release No. 87814 (December 20,
2019), 84 FR 71997, 71998 (December 30, 2019) (SR-IEX-2019-15) (``D-
Limit Proposal''); see also Securities Exchange Act Release No.
89686 (August 26, 2020), 85 FR 54438 (September 1, 2020) (SR-IEX-
2019-15) (``D-Limit Approval Order'').
\17\ See IEX Rule 1.160(p).
\18\ See IEX Rules 11.190(b)(7)(A) and (B) and 11.190(g)(1).
---------------------------------------------------------------------------
Specifically, if the System \19\ receives a D-Limit buy (sell)
order during a period of quote instability (i.e., when a quote
instability determination is in effect and the CQI is ``on''), and the
D-Limit order has a limit price equal to or higher (lower) than the
quote instability determination price level (``CQI Price''), the price
of the order will be automatically adjusted by the System to one (1)
MPV \20\ lower (higher) than the CQI Price (the ``effective limit
price''). Similarly, when unexecuted shares of a D-Limit buy (sell)
order are posted to the Order Book, if a quote instability
determination is made and such shares are ranked and displayed (in the
case of a displayed order) by the System at a price equal to or higher
(lower) than the CQI Price, the price of the order will be
automatically adjusted by the System to a price one MPV lower (higher)
than the quote instability price level.\21\
---------------------------------------------------------------------------
\19\ See Rule 1.160(nn).
\20\ See IEX Rule 11.210.
\21\ See IEX Rule 11.190(b)(7)(C) and (D).
---------------------------------------------------------------------------
Once the price of a D-Limit order that has been posted to the Order
Book is automatically adjusted by the System, the order will continue
to be ranked and displayed (in the case of a displayed order) at the
adjusted price, unless subject to another automatic adjustment, if the
order is subject to the price sliding provisions of IEX Rule 11.190(h),
or if the User elects that the order will be re-priced if resting at a
price that is less aggressive than the NBB (for a buy order) or NBO
(for a sell order) ten (10) milliseconds after the most recent quote
instability determination pursuant to IEX Rule 11.190(b)(7)(E)(i).
Otherwise, a D-Limit order operates in the same manner as either a
displayed or non-displayed limit order, as applicable.\22\
---------------------------------------------------------------------------
\22\ See IEX Rule 11.190(b)(7).
---------------------------------------------------------------------------
Since the launch of the D-Limit order type in October 2020, IEX has
regularly assessed its performance. This assessment substantiates that
D-Limit orders experience enhanced protection (as compared to regular
limit orders) from unfavorable executions at prices that the Exchange's
probabilistic CQI model predicts are about to become ``stale.'' In the
rule filing proposing to adopt the D-Limit order type, IEX noted that
approximately 25% of displayed volume occurred when the CQI was on, in
aggregate resulting in less favorable markouts \23\ for such executions
than
[[Page 68711]]
when CQI was off. This remains the case for displayed volume from
regular limit orders that trade during periods of quote instability.
The D-Limit order type was designed to solve for this issue and has
been successful in this regard. Since its launch, less than 1% of
displayed volume from D-Limit orders occurs when the CQI is on.\24\ As
a result, users of displayed D-Limit orders experience substantially
more favorable markouts than users of regular displayed limit orders,
as shown in the chart below:
---------------------------------------------------------------------------
\23\ Markouts measure the direction and degree to which the
market moved after an execution, and are often measured as the
difference between the execution price and the midpoint of the NBBO
at various time intervals after a trade. Markouts are typically used
as a way to measure the ``quality'' of a trade. In particular,
short-term markouts of several milliseconds after the time of
execution, are often used to assess whether an order was subject to
``adverse selection'' that can occur when a liquidity providing
order is executed at a price that was about to become stale as a
result of certain speed-based trading strategies.
\24\ These executions occur when D-Limit buy (sell) orders are
adjusted 1 MPV lower (higher) than the CQI Price but are still
executed against an Intermarket Sweep Order (ISO), which accesses
multiple price levels at a time, therefore accessing the D-Limit
order at its new, more passive, price.
[GRAPHIC] [TIFF OMITTED] TN04OC23.018
Overview of CQI Models
As noted above, IEX supports two versions of the CQI. Currently, D-
Limit orders utilize the CQI 1 version of the CQI for making quote
instability determinations. In determining whether a crumbling quote
exists, CQI 1 utilizes real time relative quoting activity of eight
exchanges' Protected Quotations \25\ and a proprietary mathematical
calculation (the ``quote instability calculation'') to assess the
probability of an imminent change to the current Protected NBB \26\ to
a lower price or Protected NBO \27\ to a higher price for a particular
security (``quote instability factor'') during the Regular Market
Session.\28\ When the quoting activity meets the predefined objective
conditions specified in IEX Rule 11.190(g)(1) and the quote instability
factor calculated is greater than the Exchange's defined threshold
(``quote instability threshold''), the System treats the NBB or NBO as
not stable (``quote instability'' or a ``crumbling quote''), which
turns the CQI on at that CQI Price. During all other times, the quote
is considered stable (``quote stability'') and the CQI is off. The
System independently assesses the stability of the Protected NBB and
Protected NBO for each security.\29\
---------------------------------------------------------------------------
\25\ Each exchange's Protected Quotation is its best displayed
bid or offer. See Rule 1.160(bb). Current Rule 11.190(g) uses the
following eight exchanges' Protected Quotations: New York Stock
Exchange LLC (``XNYS''), the Nasdaq Stock Market LLC (``XNGS''),
NYSE Arca, Inc. (``ARCX''), Nasdaq BX, Inc. (``XBOS''), Cboe BYX
Exchange, Inc. (``BATY''), Cboe Bats BZX Exchange, Inc. (``BATS''),
Cboe EDGA Exchange, Inc. (``EDGA''), and Cboe EDGX Exchange, Inc.
(``EDGX'').
\26\ See Rule 1.160(cc).
\27\ See Rule 1.160(cc).
\28\ See IEX Rule 1.160(gg). Quote instability assessments are
only made by the Exchange System during the Regular Market Session
because the order types that utilize the assessment, such as D-
Limit, are only eligible to trade during the Regular Market Session.
\29\ The quote stability variables, fixed coefficients and
formula were developed by the Exchange based on extensive research,
analysis and validation to identify when there is a heightened
probability of an imminent quote change to the NBB or NBO.
---------------------------------------------------------------------------
When CQI 1 is on, it remains in effect at the CQI Price for two
milliseconds, unless a new determination is made before the CQI turns
off. Only one determination may be in effect at any given time for a
particular security (i.e., the System will only treat one side of the
Protected NBBO as unstable in a particular security at any given time
and the CQI can only be on at one price level).\30\ A new determination
may be made after at least 200 microseconds have elapsed since the
preceding determination, or a price change on either side of the best
displayed bid or offer of the eight exchanges used for the current
quote instability calculation occurs, whichever is first. If a new
determination is made, the original determination is no longer in
effect. A new determination can be on either side of the best displayed
bid or offer of the eight exchanges used for the current quote
instability calculation and at the same or different price level as the
original determination.
---------------------------------------------------------------------------
\30\ See IEX Rule 11.190(g)(1).
---------------------------------------------------------------------------
CQI 2 was adopted in 2022 \31\ as an alternative for CQI-enhanced
pegged orders, and is designed to incrementally increase the coverage
\32\ of the quote instability calculation in predicting whether a
particular quote is unstable by adjusting the logic underlying the
quote instability calculation and introducing enhanced functionality
designed to increase the number of crumbling quotes identified, while
maintaining the quote instability calculation's accuracy rate \33\ in
[[Page 68712]]
predicting the direction and timing of the next price change in the NBB
or NBO, as applicable.
---------------------------------------------------------------------------
\31\ See supra note 11. The Commission received no comments on
IEX's proposed rule change to adopt CQI 2.
\32\ ``Coverage'' means the percentage of all ``adverse'' NBBO
changes per symbol (lower for bids, higher for offers) that were
predicted by the CQI (meaning the CQI was ``on'' at the time of the
adverse NBBO change).
\33\ ``Accuracy rate'' means the percentage of time that the CQI
accurately predicted the direction of the next price change (even if
it was more than two milliseconds after the quote instability
determination).
---------------------------------------------------------------------------
As described above, CQI 1 utilizes a logistic regression model with
multiple coefficients and variables that must exceed a pre-defined
threshold in order for the System to treat the quote as unstable. CQI
2, by contrast, utilizes a quote instability calculation in which nine
separate rules--each with specific conditions based on either the
price, size, or price and size of the Signal Exchanges'\34\ Protected
Quotations--can trigger a quote instability determination for either
the NBB or the NBO of a particular security.\35\ Specifically, CQI 2
expands the sources and types of market data used, utilizes a more
plain English rules-based approach, modifies the minimum time period
between quote instability determinations, and includes activation
thresholds to enable real-time accuracy assessment of each rule with
the effect of deactivating a rule that is not meeting specified
metrics.\36\ In addition, CQI-enhanced pegged orders are restricted
from exercising price discretion when the CQI is on, regardless of
whether the current NBB or NBO (as applicable) is the same as the CQI
Price.
---------------------------------------------------------------------------
\34\ For CQI 2, the Signal Exchanges include the eight exchanges
used in CQI 1, with the addition of MIAX PEARL, LLC (``EPRL''), MEMX
LLC (``MEMX''), and Nasdaq PHLX LLC (``XPHL'').
\35\ See supra note 11.
\36\ See supra note 11.
---------------------------------------------------------------------------
The CQI 2 quote instability rules include four categories of
Protected Quotation changes (each comprised of one or more rules) as
follows:
Disappearing bids (or offers)--This category includes four
rules that focus on whether one or more of the Signal Exchanges is no
longer disseminating a bid or offer at the Signal Best Bid \37\ or
Signal Best Offer \38\ as applicable; \39\
---------------------------------------------------------------------------
\37\ ``Signal Best Bid'' means the highest Protected Bid of the
Signal Exchanges. See proposed IEX Rule 11.190(g)(2)(B)(i).
\38\ ``Signal Best Offer'' means the lowest Protected Offer of
the Signal Exchanges. See proposed IEX Rule 11.190(g)(2)(B)(v).
\39\ The disappearing bid/offers rules are closely related to
the Option 1 Crumbling Quote approach to the quote instability
calculation, in that both approaches share the Delta quote
instability variable, which is heavily weighted in the current quote
instability calculation. See the Option 2 Crumbling Quote Proposal,
supra note 11.
---------------------------------------------------------------------------
Recent changes in quote size--This category includes two
rules that focus on whether there is an imbalance in the size of bids
and offers at the Signal Best Bid or Signal Best Offer;
Locked or crossed market--This category includes one rule
that focuses on situations where the Signal Best Bid and Signal Best
Offer are locked or crossed; and
Quotation Changes--This category includes two rules that
focus on changes to the Signal Best Bid or Signal Best Offer.
On a security-by-security basis, if the specified conditions of any
of the quote instability rules are met, then the rule is deemed to be
True for that security. A rule must also be active (in addition to
True) before it can trigger a quote instability determination. When one
or more quote instability rules is deemed to be True and any of such
rules are active, the System will trigger a quote instability
determination and treat the quote as unstable. This approach is
designed to enable broader coverage while controlling for overall
accuracy of the quote instability determinations by providing a
mechanism to turn off a particular rule when market conditions are such
that it is relatively less accurate in predicting a crumbling quote.
Based upon market data analysis, IEX believes that utilizing activation
thresholds is a useful innovation because it enables the use of rules
that can be highly predictive in certain market conditions but not in
others.
CQI 2 also differs from CQI 1 with respect to three different time
and direction constraints, which are designed to provide a more dynamic
methodology for quote instability determinations, thereby incrementally
increasing the coverage of the formula in predicting a crumbling quote
by expanding the scope of the model to additional situations where the
Exchange's probabilistic model predicts that the NBB or NBO is in the
process of moving to a less aggressive price and is about to become
stale.
First, for CQI 2, the quote instability calculation can turn on
concurrently on both sides of the market (i.e., the NBB and NBO) and
always remains on for the full two millisecond period each time it
turns on. In CQI 1, the quote instability calculation independently
assesses the stability of the Protected NBB and Protected NBO for each
security, but it can only turn on for one side of the market for each
security at a time. Second, when CQI 2 turns on, it is not constrained
to a specific price level, as compared to CQI 1 which turns on at a
specific CQI Price. Thus, if the NBB or NBO (as applicable) changes
during the time CQI 1 is on, CQI-enhanced pegged orders (that have
elected CQI 1) are not constrained from exercising discretion since the
CQI Price is no longer equal to the current NBB or NBO (as
applicable).\40\ In contrast, for CQI-enhanced pegged orders (that have
elected CQI 2), the CQI continues to turn on at a specific price (the
quote instability determination price level), but CQI-enhanced pegged
orders are constrained from exercising discretion past their resting
price when the CQI is on for the same side of the market as such orders
regardless of whether the price at which it turned on is currently
equal to the NBB or NBO (as applicable). Third, for CQI 2, the System
can make a new quote instability determination 250 microseconds after a
prior determination, rather than 200 microseconds for CQI 1.
---------------------------------------------------------------------------
\40\ See IEX Rules 11.190(b)(8)(K)(i) and (ii), (b)(10)(K)(i)
and (ii), (b)(16)(K).
---------------------------------------------------------------------------
IEX introduced CQI 2 into its System on March 31, 2023 (i.e., it
began generating quote instability determinations for informational and
planning purposes) and it became available for CQI-enhanced pegged
orders on May 16, 2023.\41\ Consistent with the Exchange's market data
analysis prior to proposing CQI 2, data analysis for April through July
of 2023 substantiates that CQI 2 provides incrementally more protection
(i.e., increased coverage and accuracy) than CQI 1 while still being
``on'' for only several seconds a day per symbol, as set forth in the
chart below:
---------------------------------------------------------------------------
\41\ See IEX Trading Alert # 2023-008, available at https://iextrading.com/alerts/#/215.
------------------------------------------------------------------------
Metric CQI 1 CQI 2
------------------------------------------------------------------------
Average time on \a\ (average of 1.9 seconds....... 3.1 seconds.
all symbols).
Average time on (volume 18.0 seconds...... 32.1 seconds.
weighted).
Coverage (volume weighted) \b\.. 46.9%............. 63.2%.
Accuracy Rate (volume weighted) 78%............... 80%.
\c\.
% of the Day CQI is ``On'' 0.077%............ 0.137%.
(volume-weighted).
% of the day D-Limit is 99.923%........... 99.863%.
available at specified limit
price.
------------------------------------------------------------------------
\a\ ``Time on'' means the average time the CQI is on during a day per
symbol.
[[Page 68713]]
\b\ See supra note 29.
\c\ ``Accuracy'' means the percent of time that following the CQI being
``on'' the NBB or NBO (as applicable) moves in the predicted direction
on the next price change.
Proposal
Based on its assessment (as described above) that CQI 2 provides
incrementally greater coverage and accuracy in predicting a crumbling
quote than CQI 1, IEX proposes to amend IEX Rules 11.190(b)(7) and
11.190(g)(2) to provide that quote instability determinations for D-
Limit orders will utilize CQI 2. Thus, as proposed, if a D-Limit order
is resting at a price at or more aggressive than the price of a
crumbling quote determination price level in effect, it will be
adjusted to a price one MPV less aggressive than such crumbling quote
determination price level. Similarly, an incoming D-Limit order priced
at or more aggressive than the price of a crumbling quote determination
price level in effect will be adjusted to a price one MPV less
aggressive than the crumbling quote determination price level. Note
that, as distinct from CQI-enhanced pegged orders, a D-Limit order
would only be subject to a price adjustment if it is priced at or more
aggressive than the crumbling quote determination price level in
effect, while CQI-enhanced pegged orders subject to CQI 2 are
restricted from exercising price discretion past their resting price
when the CQI is on for the same side of the market as such orders
regardless of whether the price at which it turned on is currently
equal to the NBB or NBO (as applicable). IEX believes that the
difference in approach is appropriate because once the price of a D-
Limit order is adjusted it remains at that price indefinitely, unless
the Member entering the order elected to have the order re-priced after
ten (10) milliseconds if the order is resting at a price less
aggressive than the NBB or NBO (as applicable) pursuant to IEX Rule
11.190(b)(7)(E)(i) or if subject to another automatic price adjustment.
In contrast, CQI-enhanced pegged orders are only restricted from
exercising price discretion for up to two (2) milliseconds. Thus, IEX
believes that D-Limit orders should only be price adjusted relative to
the price that was actually the subject of a crumbling quote
determination.
IEX believes that using CQI 2 will incrementally enhance the
existing protection provided by D-Limit orders by providing greater
coverage (i.e., identifying more potentially crumbling quotes) with
comparable accuracy. IEX estimated the impact of CQI 1 and CQI 2 on
standard limit order executions by simulating the markouts had the
orders been subject to the protection of CQI 1 or CQI 2. Assessment of
these executions is designed to simulate differences in adverse
selection protection from CQI 1 and CQI 2. As shown in the chart below,
both CQI 1 and CQI 2 result in improved markouts over executions
without CQI protection, but CQI 2 would have provided incrementally
enhanced protection compared to CQI 1 (as measured by markouts) because
it is better at identifying situations when adverse selection is most
likely:
[GRAPHIC] [TIFF OMITTED] TN04OC23.019
Specific Rule Changes
Accordingly, IEX proposes to amend IEX Rules 11.190(b)(7)(A) and
(B) to reference to IEX Rule 11.190(g)(2) (which describes CQI 2)
rather than Rule 11.190(g)(1) (which describes CQI 1) to thereby
specify and describe that quote instability determinations for D-Limit
orders will be made by CQI 2.
Additionally, IEX proposes to amend the first sentence of Rule
l1.190(g)(2) to add the words ``at that price level'' after the word
``effect'' and before the word ``for'' to specify that a CQI 2
determination is at a particular price level. This change is necessary
so that the price of a D-Limit will only be adjusted if at or more
aggressive than the CQI 2 quote instability determination price level,
as is currently the case with CQI 1 and as discussed above.
[[Page 68714]]
Finally, IEX proposes to make a clarifying amendment to the last
sentence of the second paragraph of IEX Rule 11.190(g) to add the words
``paragraph (g)(1) of'' after the second word of the sentence to better
clarify that the limitations on the referenced terms specified therein
are applicable only to paragraph (g)(1) of IEX Rule 11.190 rather than
to the entire rule wherein such references are as defined in IEX Rule
1.160; and
Implementation
The Exchange will announce the implementation date of the proposed
rule change by Trading Alert at least ten business days in advance of
such implementation date and within ninety (90) days of effectiveness
of this rule filing.
2. Statutory Basis
IEX believes that the proposed rule change is consistent with
Section 6(b) \42\ of the Act in general, and furthers the objectives of
Section 6(b)(5) of the Act,\43\ in particular, in that it is designed
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, in general, to protect investors and the
public interest. Specifically, and as discussed in the Purpose section,
the proposal is designed to enhance the existing protections provided
by D-Limit orders by using the SEC approved CQI 2 to make quote
instability determinations, which is designed to incrementally increase
the coverage of the quote instability calculation in predicting whether
a particular quote is unstable while maintaining the quote instability
calculation's accuracy rate in predicting the direction and timing of
the next price change in the NBB or NBO, as applicable. Because D-Limit
orders are subject to a price adjustment to one MPV less aggressive
than the CQI Price if priced at or more aggressive than the CQI Price
when the Exchange's probabilistic model identifies that such price
appears to be stale, increasing the coverage of the quote instability
calculation is designed to provide additional protection to D-Limit
orders from adverse selection associated with latency arbitrage during
those times. Moreover, IEX's market data analysis, as described in the
Purpose section evidences that, as with CQI 1, CQI 2 is ``on'' for only
a small portion of the trading day while providing robust protection.
---------------------------------------------------------------------------
\42\ 15 U.S.C. 78f.
\43\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
The Exchange believes that the proposed rule change may result in
more and larger sized displayed and non-displayed D-Limit orders being
entered on IEX as a result of the improved coverage and continued
accuracy of CQI 2. To the extent more orders are entered, the increased
liquidity would benefit all IEX members and their customers.
Furthermore, the Exchange notes that all Members are eligible to
use D-Limit orders, and therefore all Members are eligible to benefit
from the proposed enhanced D-Limit's protections against adverse
selection. Thus, the Exchange believes that application of the rule
change is equitable and not unfairly discriminatory.
Additionally, the Exchange notes that CQI 2 is a fixed formula
specified transparently in IEX's rules, that was previously approved by
the SEC.\44\ The Exchange is not proposing to add any new
functionality, but merely to utilize an SEC approved quote instability
calculation for D-Limit orders that is designed to increase its
coverage in predicting a crumbling quote. Thus, IEX does not believe
that the proposal raises any new or novel issues that have not already
been considered by the Commission, in that IEX's rule filings to adopt
both the D-Limit order type and CQI 2 were previously approved by the
Commission.
---------------------------------------------------------------------------
\44\ See supra note 11.
---------------------------------------------------------------------------
The Exchange believes it is consistent with the Act to add the
words ``paragraph (g)(1) of'' after the second word of the sentence to
better clarify that the limitations on the referenced terms specified
therein are applicable only to paragraph (g)(1) of IEX Rule 11.190
rather than to the entire rule wherein such references are as defined
in IEX Rule 1.160. This proposed change is designed to avoid any
potential confusion as to the applicability of the referenced terms.
Finally, the Exchange believes it is consistent with the Act to
amend the first sentence of Rule l11.190(g)(2) to add the words ``at
that price level'' after the word ``effect'' and before the word
``for'' to specify that an CQI 2 determination is at a particular price
level. As discussed in the Purpose section, with the proposed use of
CQI 2 to make quote instability determinations for D-Limit orders, it
is necessary to specify that each such determination will be at a
particular price.
B. Self-Regulatory Organization's Statement on Burden on Competition
IEX 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. To the contrary, as discussed
in the Statutory Basis section, the proposal is designed to enhance
IEX's competitiveness by incentivizing the entry of increased
liquidity.
With regard to intra-market competition, the proposed changes to
the quote instability calculation will apply equally to all Members on
a fair, impartial and nondiscriminatory basis without imposing any new
burdens on the Members. The Commission has already approved the
Exchange's D-Limit order type and CQI 2.\45\ As discussed in the
Purpose and Statutory Basis sections, the proposed rule change is
designed to merely utilize an SEC approved enhanced quote instability
calculation; therefore, no new burdens are being proposed.
---------------------------------------------------------------------------
\45\ See supra notes 11 and 16.
---------------------------------------------------------------------------
With regard to inter-market competition, other exchanges are free
to adopt similar quote instability calculations. In this regard, the
Exchange notes that that NYSE American LLC has adopted a rule copying
an earlier iteration of the Exchange's Discretionary Peg Order type and
quote instability calculation.\46\
---------------------------------------------------------------------------
\46\ See NYSE American LLC Rule 7.31E(h)(3)(D).
---------------------------------------------------------------------------
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 designated this rule filing as non-controversial
under Section 19(b)(3)(A) \47\ of the Act and Rule 19b-4(f)(6) \48\
thereunder. Because the 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 and Rule 19b-
4(f)(6) thereunder.
---------------------------------------------------------------------------
\47\ 15 U.S.C. 78s(b)(3)(A).
\48\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------
The Exchange believes that the proposed rule change meets the
criteria
[[Page 68715]]
of subparagraph (f)(6) of Rule 19b-4 \49\ because it would not
significantly affect the protection of investors or the public
interest. Rather, the proposed rule change is designed to benefit
investors and the public interest by enhancing the existing protections
provided by D-Limit orders by using the SEC approved CQI 2 to make
quote instability determinations, as discussed in the Purpose and
Statutory Basis sections.
---------------------------------------------------------------------------
\49\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------
IEX notes (as discussed in the Statutory Basis section) that the D-
Limit order type and CQI 2 were each approved by the Commission, and
this proposed rule change merely combines these two aspects of IEX's
rules. Consistent with ``Commission Guidance and Amendment to the Rule
Relating to Organization and Program Management Concerning Proposed
Rule Changes by Self-Regulatory Organizations,'' \50\ each policy issue
raised by this proposed rule change has been previously considered by
the Commission when IEX's D-Limit order type and CQI 2 were approved
pursuant to Section 19(b)(2) of the Act, and the proposed rule change
resolves each such policy issue in a manner consistent with such prior
approvals. Accordingly, the Exchange believes that the proposed rule
change is noncontroversial and satisfies the requirements of Rule 19b-
4(f)(6).\51\
---------------------------------------------------------------------------
\50\ See Securities Exchange Act Release No. 58092 (July 3,
2008), 73 FR 40144, 40147 (July 11, 2008).
\51\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------
Furthermore, Rule 19b-4(f)(6) requires a self-regulatory
organization to give the Commission written notice of its intent to
file the proposed rule change at least five business days prior to the
date of filing of the proposed rule change, or such shorter time as
designated by the Commission. The Exchange has satisfied this
requirement.
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: (i)
necessary or appropriate in the public interest; (ii) for the
protection of investors; or (iii) otherwise in furtherance of the
purposes of the Act. If the Commission takes such action, the
Commission shall institute proceedings to determine whether the
proposed rule should be approved or disapproved.
At any time within 60 days of the filing of the proposed rule
change, the Commission summarily may temporarily suspend such rule
change if it appears to the Commission that such action is necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act. If the Commission
takes such action, the Commission shall institute proceedings under
Section 19(b)(2)(B) \52\ of the Act to determine whether the proposed
rule change should be approved or disapproved.
---------------------------------------------------------------------------
\52\ 15 U.S.C. 78s(b)(2)(B).
---------------------------------------------------------------------------
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-IEX-2023-10 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-IEX-2023-10. 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
a.m. and 3 p.m. Copies of the filing also will be available for
inspection and copying at the principal office of the Exchange. Do not
include personal identifiable information in submissions; you should
submit only information that you wish to make available publicly. We
may redact in part or withhold entirely from publication submitted
material that is obscene or subject to copyright protection. All
submissions should refer to file number SR-IEX-2023-10 and should be
submitted on or before October 25, 2023.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\53\
---------------------------------------------------------------------------
\53\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2023-21955 Filed 10-3-23; 8:45 am]
BILLING CODE 8011-01-P
