Self-Regulatory Organizations; Investors Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend the Activation Value in IEX Rule 11.190(g)(2), 31236-31242 [2024-08683]
Download as PDF
<![CDATA[
31236
Federal Register / Vol. 89, No. 80 / Wednesday, April 24, 2024 / Notices
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.48
Vanessa A. Countryman,
Secretary.
[FR Doc. 2024–08682 Filed 4–23–24; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–99990; File No. SR–IEX–
2024–07]
Self-Regulatory Organizations;
Investors Exchange LLC; Notice of
Filing and Immediate Effectiveness of
Proposed Rule Change To Amend the
Activation Value in IEX Rule
11.190(g)(2)
April 18, 2024.
Pursuant to Section 19(b)(1) 1 of the
Securities Exchange Act of 1934
(‘‘Act’’),2 and Rule 19b–4 thereunder,3
notice is hereby given that on April 12,
2024, the Investors Exchange LLC
(‘‘IEX’’ or the ‘‘Exchange’’) 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 self-regulatory organization. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
khammond on DSKJM1Z7X2PROD with NOTICES
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
Pursuant to the provisions of Section
19(b)(1) under the Act,4 and Rule 19b–
4 thereunder,5 the Exchange is filing
with the Commission a proposed rule
change to amend IEX Rule 11.190(g)(2)
to incrementally optimize the
effectiveness of the proprietary
mathematical calculation used to make
quote instability determinations for
certain orders, and to correct two crossreference errors and one typographical
error. 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.
48 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.
4 15 U.S.C. 78s(b)(1).
5 17 CFR 240.19b–4.
6 17 CFR 240.19b–4(f)(6)(iii).
1 15
VerDate Sep<11>2014
16:48 Apr 23, 2024
Jkt 262001
II. Self-Regulatory Organization’s
Statement of the Purpose of, and the
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 the
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The purpose of the proposed rule
change is to amend IEX Rule
11.190(g)(2) to incrementally optimize
the proprietary mathematical
calculation used to make quote
instability determinations for certain
orders (i.e., to assess the probability of
a ‘‘crumbling quote’’—an imminent
change to the current Protected NBB 7 to
a lower price or the current Protected
NBO 8 to a higher price for a particular
security). This calculation is referred to
as the ‘‘crumbling quote indicator’’ or
‘‘CQI’’. This proposed rule change
would only modify the functionality of
CQI 2,9 which is the CQI version used
to make quote instability determinations
for all Discretionary Limit (‘‘D-Limit’’) 10
orders, and for Discretionary Peg (‘‘DPeg’’),11 primary peg (‘‘P-Peg’’),12 and
Corporate Discretionary Peg (‘‘C-Peg’’) 13
orders for which the User 14 selected
CQI 2 (collectively ‘‘CQI 2 enhanced
pegged orders’’).15
The Exchange also proposes to correct
two cross-reference errors and one
typographical error in the rule text
defining the CQI 2.
7 See
IEX Rule 1.160(cc).
IEX Rule 1.160(cc).
9 IEX supports two versions of the CQI—Option
1 Crumbling Quote (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 (‘‘CQI 2’’). See IEX Rule
11.190(g)(1) and (g)(2), respectively. CQI 1 is not
affected by this proposed rule change.
10 See IEX Rule 11.190(b)(7).
11 See Rule 11.190(b)(10).
12 See Rule 11.190(b)(8).
13 See Rule 11.190(b)(16).
14 See IEX Rule 1.160(qq).
15 Users may select which CQI version to apply
to D-Peg, P-Peg, and C-Peg orders (pegged orders
eligible to exercise price discretion to their
discretionary price except during periods of quote
instability). See IEX Rules 11.190(b)(8)(K),
11.190(b)(10)(K), and 11.190(b)(16)(K).
8 See
PO 00000
Frm 00110
Fmt 4703
Sfmt 4703
Background
When CQI 2 generates a quote
instability determination (i.e., it is ‘‘on’’
pursuant to IEX Rule 11.190(g)(2)), CQI
2 enhanced pegged orders resting on the
Order Book 16 do not exercise price
discretion to meet the limit price of an
active (i.e., taking) order, and remain
pegged to a price that is the less
aggressive of one (1) minimum price
variant (‘‘MPV’’) 17 less aggressive than
the primary quote (i.e., one MPV below
(above) the NBB 18 (NBO 19) for buy
(sell) orders) or the order’s limit price,
if any.20
Relatedly, D-Limit orders priced at or
more aggressively than the quote
instability determination price level
(‘‘CQI Price’’) are re-priced when CQI 2
is on.21 Specifically, if the System 22
receives a D-Limit buy (sell) order when
CQI 2 is on, and the D-Limit order has
a limit 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 (1) MPV 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
CQI Price.23
Once the price of a D-Limit order that
has been posted to the Order Book is
automatically adjusted by the System to
its effective limit price, the order will
continue to be ranked and displayed (in
the case of a displayed order) at the
adjusted price, 24 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, pursuant to IEX Rule
11.190(b)(7)(E)(i), 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
16 See
IEX Rule 1.160(p).
IEX Rule 11.210.
18 See IEX Rule 1.160(u).
19 See IEX Rule 1.160(u).
20 C-Peg orders are also constrained by the
consolidated last sale price of the security, and
therefore cannot trade, book, or exercise discretion
at a price that is more aggressive than the
consolidated last sale price. See IEX Rule
11.190(b)(16).
21 See IEX Rules 11.190(b)(7)(A) and (B).
22 See IEX Rule 1.160(nn).
23 See IEX Rule 11.190(b)(7)(C) and (D).
24 See IEX Rule 11.190(b)(7)(F).
17 See
E:\FR\FM\24APN1.SGM
24APN1
Federal Register / Vol. 89, No. 80 / Wednesday, April 24, 2024 / Notices
calculation’’ in which nine separate
‘‘quote instability rules’’ 33—each with
specific conditions based on either the
price, size, or price and size of the
Signal Exchanges to assess the
Overview of CQI 2
probability of a crumbling quote. Each
The Exchange has made incremental
of these rules can trigger a quote
changes to optimize and enhance the
instability determination for either the
effectiveness of CQI 1 in determining
NBB (for buy orders) the NBO (for sell
whether a crumbling quote exists three
orders), or both, of a particular security,
times since Exchange launch 26 and in
meaning the System treats the quote as
2022, introduced CQI 2.27 CQI 2 is
unstable and CQI 2 is on at that price
designed to incrementally increase the
level for two milliseconds.34 During all
coverage 28 of the quote instability
other times, the quote is considered
determinations in predicting whether a
stable, and CQI 2 is off. The System
particular quote is unstable by adjusting independently assesses the stability of
the logic underlying the quote
the Protected NBB and Protected NBO
instability calculation and introducing
for each security.
CQI 2 includes four categories of rules
enhanced functionality designed to
designed to predict whether the
increase the number of crumbling
Protected NBB or Protected NBO is
quotes identified, while maintaining
CQI 1’s accuracy rate 29 in predicting the unstable, as follows:
• Disappearing bids (or offers)—This
direction and timing of the next price
category includes four rules that focus
change in the NBB or NBO, as
on whether one or more of the Signal
applicable.
Exchanges is no longer disseminating a
IEX introduced CQI 2 into its System
bid or offer at the Signal Best Bid 35 or
on March 31, 2023 (i.e., it began
Signal Best Offer 36 as applicable; 37
generating quote instability
• Recent changes in quote size—This
determinations for informational and
category includes two rules that focus
planning purposes), and CQI 2 became
on whether there is an imbalance in the
optionally available for D-Peg, P-Peg,
and C-Peg orders on May 16, 2023 30 and size of bids and offers at the Signal Best
Bid or Signal Best Offer; 38
for all D-Limit orders on November 10,
• Locked or crossed market—This
2023.31
category includes one rule that focuses
CQI 2 utilizes real time relative
on situations where the Signal Best Bid
quoting activity of certain Protected
and Signal Best Offer are locked or
Quotations 32 and a ‘‘quote instability
crossed; 39 and
25 See IEX Rule 11.190(b)(7).
• Quotation Changes—This category
26 See Securities Exchange Act Release 34–78510
includes two rules that focus on changes
(August 9, 2016), 81 FR 54166 (August 15, 2016)
to the Signal Best Bid or Signal Best
(SR–IEX–2016–11); Securities Exchange Act Release Offer.40
No. 80202 (March 10, 2017), 82 FR 14058 (March
On a security-by-security basis, if the
16, 2017) (SR–IEX–2017–06); Securities Exchange
specified conditions of any of the quote
Act Release No. 83048 (April 13, 2018), 83 FR
17467 (April 19, 2018) (SR–IEX–2018–07).
instability rules are met, then the rule is
27 See Securities Exchange Act Release No. 96014
deemed to be ‘‘True’’ for that security.
(October 11, 2022), 87 FR 62903 (October 17, 2022)
Each rule also must be active before it
(‘‘CQI 2 Proposal’’); Securities Exchange Act
can trigger a quote instability
Release No. 96416 (December 1, 2022), 87 FR 75099
determination. When one or more quote
(December 7, 2022) (‘‘CQI 2 Approval Order’’) (SR–
IEX–2022–06).
instability rules is deemed to be True
khammond on DSKJM1Z7X2PROD with NOTICES
instability determination. Otherwise, a
D-Limit order operates in the same
manner as either a displayed or nondisplayed limit order, as applicable.25
28 ‘‘Coverage’’ means the percentage of all
‘‘adverse’’ NBBO changes per symbol (lower for
bids, higher for offers) that were predicted by CQI
2 (meaning CQI 2 was ‘‘on’’ at the time of the
adverse NBBO change).
29 ‘‘Accuracy rate’’ means the percentage of time
that CQI 2 accurately predicted the direction of the
next price change.
30 See IEX Trading Alert # 2023–010, available at
https://iextrading.com/alerts/#/217; see also CQI 2
Approval Order, supra note 27.
31 See IEX Trading Alert # 2023–023, available at
https://iextrading.com/alerts/#/231; see also
Securities Exchange Act Release No. 98625
(September 28, 2023), 88 FR 68709 (October 4,
2023) (SR–IEX–2023–10).
32 Specifically, IEX utilizes real time relative
quoting activity of Protected Quotations from the
‘‘Signal Exchanges’’, which are the following eleven
exchanges: Cboe BZX Exchange (‘‘BATS’’), Cboe
BYX Exchange (‘‘BATY’’), Cboe EDGA Exchange
(‘‘EDGA’’), Cboe EDGX Exchange (‘‘EDGX’’), MIAX
Pearl (‘‘EPRL’’), MEMX LLC (‘‘MEMX’’), the Nasdaq
VerDate Sep<11>2014
16:48 Apr 23, 2024
Jkt 262001
Stock Market (‘‘XNGS’’), Nasdaq BX (‘‘XBOS’’),
Nasdaq PHLX (‘‘XPHL’’), the New York Stock
Exchange (‘‘XNYS’’), and NYSE Arca (‘‘ARCX’’).
See IEX Rule 11.190(g).
33 See IEX Rule 11.190(g)(2)(C).
34 The nine rules are designed to work together
in determining whether a quote instability
determination is triggered, so if a User selects the
alternative model all nine rules would be
applicable. Users cannot elect that only some of the
rules would apply.
35 ‘‘Signal Best Bid’’ means the highest Protected
Bid of the Signal Exchanges. See IEX Rule
11.190(g)(2)(B)(i).
36 ‘‘Signal Best Offer’’ means the lowest Protected
Offer of the Signal Exchanges. See IEX Rule
11.190(g)(2)(B)(v).
37 See IEX Rule 11.190(g)(2)(C)(i).
38 See IEX Rule 11.190(g)(2)(C)(ii).
39 See IEX Rule 11.190(g)(2)(C)(iii).
40 See IEX Rule 11.190(g)(2)(C)(iv).
PO 00000
Frm 00111
Fmt 4703
Sfmt 4703
31237
and any of such rules are active, the
System will treat the quote as unstable.
For CQI 2, the Exchange maintains an
activation value (‘‘Activation Value’’)
for each quote instability rule, which is
used to determine if each rule is active.
Each rule’s Activation Value is
computed (on a security-by-security
basis for both the Bid side and the Offer
side) in real time as a function of the
number of times the quote moves to a
less aggressive price within the two
milliseconds following the time the rule
was True and the total number of times
the rule was True. Whenever the
Activation Value for a given rule
exceeds a fixed predetermined
activation threshold specific to that rule
(‘‘Activation Threshold’’),41 the rule is
active (i.e., it is eligible to trigger a quote
instability determination when True). If
a rule’s Activation Value is below its
Activation Threshold, it will not trigger
a quote instability determination when
True.
The Activation Value and Activation
Threshold computations are designed to
optimize the 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. 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. The
Activation Thresholds are tailored for
each rule based on the rule’s expected
general accuracy in predicting a
crumbling quote, based on IEX’s market
data analysis, so that a rule that has a
higher potential to be less accurate has
a higher activation threshold burden to
meet. The Activation Thresholds are
designed to enable increased coverage
for CQI 2 by enabling more frequent
triggers with accuracy control
safeguards.
The Exchange utilizes an initial
activation value of 0.50 for all rules at
the start of the Regular Market
Session,42 which is then modified
during the course of the Regular Market
Session to reflect each rule’s predictive
performance. Specifically, each time a
rule is True 43 its existing Activation
Value is multiplied by a Decay Factor of
0.94. In addition, each time the
Protected NBB or Protected NBO moves
to a less aggressive price within two
milliseconds of a rule being True at that
41 The Activation Thresholds for the quote
instability rules range from 0 to .50.
42 See IEX Rule 1.160(gg).
43 Excluding instances where the rule was already
True at the same unchanged price level in the prior
two milliseconds.
E:\FR\FM\24APN1.SGM
24APN1
31238
Federal Register / Vol. 89, No. 80 / Wednesday, April 24, 2024 / Notices
price level, 0.06 will be added to that
rule’s existing Activation Value (i.e., (1
¥ decay factor) + previous Activation
Value) as specified in IEX Rule
11.190(g)(2)(D)(ii).
Whenever a rule is True, the System
evaluates if its Activation Value exceeds
its Activation Threshold, regardless of
whether the rule is active. If a rule is
True and its Activation Value exceeds
its Activation Threshold, the rule is
active and will trigger the System to
treat the relevant quote as unstable. If a
rule is True but its Activation Value
does not exceed its Activation
Threshold, the rule is inactive, and it
will not trigger the System to treat the
relevant quote as unstable. If one or
more rules are True, and if any one of
such rules has an Activation Value that
exceeds the rule’s Activation Threshold,
the System will treat the relevant quote
as unstable. The System continues to
update the Activation Value for rules
that are inactive, and if the Activation
Value subsequently exceeds the rule’s
Activation Threshold, the System will
reactivate the rule.
IEX believes that these Activation
Thresholds provide a dynamic
performance evaluation methodology
that is designed to optimize the
frequency and accuracy of the quote
instability calculation, by enabling IEX
to utilize a broader array of rules that
may be predictive of a crumbling quote
in certain market conditions but not
others.
IEX Rule 11.190(g)(3) provides that
IEX reserves the right to modify the
quote instability calculations as
appropriate, subject to a filing of a
proposed rule change with the SEC.
Pursuant to this provision, IEX
identified a modification to CQI 2 that
it believes will enhance its
effectiveness, as described below.
Proposal
khammond on DSKJM1Z7X2PROD with NOTICES
IEX conducted an analysis of the
efficacy of CQI 2 in predicting whether
a crumbling quote would occur, by
reviewing randomly selected market
data from the second half of 2023 and
the first quarter of 2024. These results
VerDate Sep<11>2014
16:48 Apr 23, 2024
Jkt 262001
were then validated by testing different
randomly selected dates from the same
time period. Based upon this analysis,
IEX proposes to make an incremental
change to the CQI 2 Activation Value
calculation process, which is designed
to enhance CQI 2’s accuracy by better
reflecting market conditions.
Specifically, the Exchange is proposing
to extend the amount of time the System
waits after a quote instability rule is
True to assess if the quote moved to a
less aggressive price. Currently, the
System waits two milliseconds
following the time a quote instability
rule was True to assess whether the
quote instability rule accurately
predicted that the next price change
would be to a less aggressive price. IEX
proposes to modify IEX Rule
11.190(g)(2)(D)(ii), so that the System
would wait up to one second after a
quote instability rule is True to assess if
the next price change is to a less
aggressive price (hereafter the ‘‘CQI 2
Update’’). If the next price change
occurs within one second after a quote
instability rule is True and is to a less
aggressive price, the System would add
.06 to that rule’s previous Activation
Value. However, if one second passes
from the time that a quote instability
rule’s conditions are met with no price
change, or if the next price change was
to a more aggressive price, then the
System will not update that quote
instability rule’s Activation Value.
In deciding to propose increasing the
interval for the Activation Value
calculation process to assess if the next
price change was to a less aggressive
price (from two milliseconds to one
second), the Exchange considered that a
predicted price change may take more
than two milliseconds to occur for
several reasons. For example, large
reserve orders might take more than two
milliseconds to fully exhaust the reserve
volume allowing a price change to
occur. Additionally, periods of
relatively higher market volume (or
bursts of market data) can impact the
time it takes for price changes to
materialize because of increased time
PO 00000
Frm 00112
Fmt 4703
Sfmt 4703
for markets to process incoming orders
and executions. During periods of
market volatility, trading functions such
as order processing, order matching, and
the publishing of market data may be
delayed due to higher message rates
(which are correlated with the Exchange
making quote instability
determinations). Significantly, during
these time periods of increased market
activity and volatility, latency arbitrage
strategies have an opportunity to be
more prevalent because there are more
opportunities to react to market
volatility to take advantage of resting
orders.
In light of the foregoing, IEX believes
a modest increase of the time used in
the Activation Value calculation process
is a narrowly tailored approach to
enhance the efficacy of CQI 2 in
predicting an imminent quote change to
a price adverse to a resting order.
IEX’s market data analysis 44
evidences that the proposed CQI 2
Update would result in an incremental
enhancement to the efficacy of CQI 2 as
set forth in the chart below:
44 As noted above, IEX analyzed the efficacy of
CQI 2 and developed the proposed incremental
enhancement in this rule filing using market data
from the second half of 2023 and the first quarter
of 2024. However, for Charts 1, 2, and 3, IEX used
all the trading days in January and February 2024,
which, according to IEX’s market data analysis,
were representative of regular trading activity
throughout the calendar year.
E:\FR\FM\24APN1.SGM
24APN1
Federal Register / Vol. 89, No. 80 / Wednesday, April 24, 2024 / Notices
31239
Chart 1
Metric
COl2
COi 2 UQdate
Average time ona (average of all symbols)
Average time on (volume weighted)
Coverage (volume weighted)b
Accuracy Rate (volume weighted)c
% of the Dav COi is "On" (volume-weighted)
% of the day D-Limit is available at specified limit
price
3.6 seconds
32.6 seconds
63.3%
78%
0.139%
99.861%
6.5 seconds
52.4 seconds
69.7%
80%
0.224%
99.776%
a
b
"Time on" means the average time CQI 2 is on during a day per symbol.
See supra note 28.
"Accuracy" means the percent of time that following CQI 2 being "on" the NBB or NBO (as applicable)
moves in the predicted direction on the next price change.
Thus, IEX believes that the CQI 2
Update will incrementally enhance the
existing protection provided by D-Limit
orders by providing greater coverage
(i.e., identifying more potentially
crumbling quotes) with increased
accuracy. IEX estimated the impact of
the CQI 2 Update (compared to the
existing CQI 2) on standard limit order
executions by simulating the
markouts 45 had the orders been subject
to the protection of the current CQI 2 or
the CQI 2 Update. Assessment of these
executions is designed to simulate
differences in adverse selection
protection from the current CQI 2 and
the CQI 2 Update. As shown in the chart
below, both the current CQI 2 and the
CQI 2 Update result in improved
markouts over executions without CQI
protection, but the CQI 2 Update would
have provided incrementally enhanced
protection compared to the current CQI
2 (as measured by markouts) because it
is better at identifying situations when
adverse selection is most likely:
Chart2
CQI 2 vs CQI 2 Update Markout Comparison,
Displayed limit Orders
(Jan-Feb 2024, Trade-to-Mid,% of spread)
· · • · · (QI
2
15.0%
10.0%
5.0%
0.0%
100ms
ls
Similarly, IEX believes that the CQI 2
Update will incrementally enhance the
existing protection CQI 2 offers pegged
orders by providing greater coverage
(i.e., identifying more potentially
crumbling quotes) with increased
accuracy. IEX estimated the impact of
the CQI 2 Update (compared to the
existing CQI 2) on traditional midpoint
order executions by simulating the
markouts had the orders been subject to
the protection of the current CQI 2 or
45 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.
VerDate Sep<11>2014
16:48 Apr 23, 2024
Jkt 262001
PO 00000
Frm 00113
Fmt 4703
Sfmt 4703
E:\FR\FM\24APN1.SGM
24APN1
EN24AP24.158</GPH>
10ms
EN24AP24.157</GPH>
khammond on DSKJM1Z7X2PROD with NOTICES
lms
31240
Federal Register / Vol. 89, No. 80 / Wednesday, April 24, 2024 / Notices
the CQI 2 Update. Assessment of these
executions is designed to simulate
differences in adverse selection
protection from CQI 2 and CQI 2
Update. As shown in the chart below,
both CQI 2 and the CQI 2 Update result
in improved markouts over executions
without CQI protection, but CQI 2
Update would have provided
incrementally enhanced protection
compared to CQI 2 (as measured by
markouts) because it is better at
identifying situations when adverse
selection is most likely:
Chart 3
CQI 2 vs CQI 2 Update Markout Comparison,
Midpoint Orders
(Jan-Feb 2024, Trade-to-Mid, % of spread)
2.()%
1.0%
0.0%
-1.0%
-2.0%
-3.0%
-4.0%
-5.0%
-6.0%
-7.0%
IEX believes that this proposed minor
change in methodology for the
calculation of Activation Values would
increase CQI 2’s efficacy by better
reflecting the market activity in a
particular security, as described above.
Specifically, IEX believes that it is
appropriate to provide slightly more
time to determine if the next price
change is adverse (i.e., consistent with
the quote instability determination
prediction), and thus consistent with
the quote instability determination that
the quote in question was about to
become stale and thus subject to
potential latency arbitrage, in
calculating whether the rule’s
Activation Value should be increased.
IEX believes that one second is an
appropriate time period to wait based
on an analysis of the effectiveness of
various potential time frames (including
the current two milliseconds) in
predicting whether a crumbling quote
would occur, by reviewing randomly
selected market data from the second
half of 2023 and the first quarter of
2024.
Accordingly, based on this analysis,
the Exchange believes that extending
the time period used to calculate
Activation Value changes to one second
is a narrowly tailored approach that
would incrementally increase the
VerDate Sep<11>2014
16:48 Apr 23, 2024
Jkt 262001
10ms
ls
effectiveness of CQI 2 in predicting
whether a crumbling quote will occur.
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 90 days
of effectiveness of this proposed rule
change.
Cross-Reference and Typographical
Error Fixes
IEX also proposes to correct two
internal cross-reference errors in IEX
Rule 11.190(g)(2). Specifically, IEX
proposes to modify the cross reference
in IEX Rule 11.190(g)(2)(B) to refer to
IEX Rule 11.190(g)(2)(C), instead of IEX
Rule 11.190(g)(1)(C), and to modify the
cross reference in IEX Rule
11.190(g)(2)(D)(i) to refer to IEX Rule
11.190(g)(2)(A), instead of IEX Rule
11.190(g)(1)(A). While these two crossreferences cite to the rule provisions for
CQI 1 instead of CQI 2, IEX notes that
the context of the rule text mitigates any
possible confusion since each is within
the rule provisions describing CQI 2.
Moreover, the third paragraph of IEX
Rule 11.190(g), which provides a
summary description of CQI 2,
accurately describes the functionality
that is described in the two rule
provisions containing cross-reference
errors.
Finally, IEX proposes to make a
typographical correction to IEX Rule
11.190(g)(2)(B)(vii) by adding a missing
period to the end of the text.
PO 00000
Frm 00114
Fmt 4703
Sfmt 4703
2. Statutory Basis
IEX believes that the proposed rule
change is consistent with Section 6(b) 46
of the Act in general, and furthers the
objectives of Section 6(b)(5) of the Act,47
in particular, in that it is designed to
prevent fraudulent and manipulative
acts and practices, to promote just and
equitable principles of trade, to foster
cooperation and coordination with
persons engaged in facilitating
transactions in securities, 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. As discussed in the
Purpose section, the proposed minor
change is based on the Exchange’s
analysis of market data, which supports
that the proposed change would
incrementally optimize the effectiveness
46 15
47 15
E:\FR\FM\24APN1.SGM
U.S.C. 78f.
U.S.C. 78f(b)(5).
24APN1
EN24AP24.159</GPH>
khammond on DSKJM1Z7X2PROD with NOTICES
lms
khammond on DSKJM1Z7X2PROD with NOTICES
Federal Register / Vol. 89, No. 80 / Wednesday, April 24, 2024 / Notices
of CQI 2 by better reflecting market
conditions that could delay a predicted
quote change being realized until more
than two milliseconds (but less than one
second) has passed. Further, as noted in
Chart 1 in the Purpose section, the
proposed CQI 2 Update would increase
CQI 2’s volume-weighted coverage by
6.4% (from 63.3% to 69.7%) while
increasing its volume-weighted
accuracy by 2% (from 78% to 80%).
Thus, the Exchange believes that it is
consistent with the Act to expand the
amount of time used to calculate
Activation Value updates because it is
designed to provide additional
protection to D-Limit orders and CQIenhanced pegged orders from adverse
selection associated with latency
arbitrage during periods of quote
instability, thus protecting investors and
the public interest. Moreover, IEX’s
market data analysis, as described in the
Purpose section and demonstrated in
Chart 1, evidences that, as with CQI 2,
the CQI 2 Update would be ‘‘on’’ for
only a small portion of the trading day
while providing robust protection in a
narrowly tailored manner that balances
the ability of long-term investors to
access displayed liquidity in the
ordinary course against the current
structural advantages enjoyed by shortterm latency arbitrage trading strategies
that rely on superior access to the fastest
data and connectivity.
Additionally, the Exchange believes
that the proposed rule change may
result in more and larger sized
displayed and non-displayed D-Limit
orders and CQI 2 enhanced pegged
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. And to the extent
that more displayed D-Limit orders are
entered, price discovery and price
formation will be enhanced on IEX and
in the market generally to the benefit of
all IEX Members and market
participants. Furthermore, the Exchange
notes that all Members and their
customers are eligible to use D-Limit
orders and CQI 2 enhanced pegged
orders, and therefore all Members and
their customers are eligible to benefit
from the proposed enhanced protections
against adverse selection in the CQI 2
Update. Thus, the Exchange believes
that application of the rule change is
equitable and not unfairly
discriminatory.
Additionally, the Exchange notes that
the existing CQI 2 is a narrowly tailored
fixed formula specified transparently in
IEX rules, that was previously approved
VerDate Sep<11>2014
16:48 Apr 23, 2024
Jkt 262001
by the SEC.48 The Exchange is not
proposing to add any new functionality,
but merely to enhance an SEC approved
quote instability calculation as
described in the Purpose Section. And
as proposed, CQI 2 will continue to be
a fixed formula specified transparently
in IEX’s rules. 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 the CQI 2 functionality was
previously approved by the
Commission.49
Also, IEX Rule 11.190(g)(3)
specifically contemplates that the
Exchange will periodically modify the
quote instability calculations as
appropriate, and the proposed rule
change is consistent with this provision.
Furthermore, the Exchange believes
that the proposed corrections of the two
internal cross-reference errors in IEX
Rule 11.190(g)(2)(B) and IEX Rule
11.190(g)(2)(D)(i) would remove
impediments to and perfect the
mechanism of a free and open market
and a national market system because
the proposed changes are designed to
update internal rule references. As
noted in the Purpose section, the overall
context of CQI 2’s rule text mitigates any
possible confusion attributable to the
erroneous cross-references.
Nevertheless, the Exchange believes that
Users would benefit from the increased
clarity of correct cross-reference
citations, thereby reducing potential
confusion and ensuring that persons
subject to the Exchange’s jurisdiction,
regulators, and the investing public can
more easily navigate and understand the
Exchange’s rules.
Additionally, IEX believes that the
proposed addition of a period at the end
of IEX Rule 11.190(g)(2)(B)(vii) is
consistent with Section 6(b)(5) of the
Act because it will eliminate any
confusion regarding IEX rules by
correcting an inadvertent typographical
error without changing the substance of
such rule.
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 competition by incentivizing
additional liquidity.
With regard to intra-market
competition, the proposed change to
48 See
49 See
PO 00000
supra note 27.
supra note 27.
Frm 00115
Fmt 4703
Sfmt 4703
31241
CQI 2 would apply equally to all
Members on a fair, impartial and
nondiscriminatory basis without
imposing any new burdens on the
Members because D-Limit is an optional
order type, and CQI 2 is one of two
choices of CQI that Members may apply
to their eligible pegged orders. The
Commission has already approved CQI
2.50 As discussed in the Purpose and
Statutory Basis sections, the proposed
rule change is designed to provide a
narrowly tailored enhancement to an
SEC approved 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 subject to the SEC rule
filing process. In this regard, the
Exchange notes that NYSE American
LLC until recently had a ‘‘discretionary
pegged order type’’, see former NYSE
American LLC Rule 7.31E(h)(3)(D),
which copied an earlier iteration of the
Exchange’s quote instability
calculation.51
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
Because the foregoing proposed rule
change does not:
(i) significantly affect the protection of
investors or the public interest;
(ii) impose any significant burden on
competition; and
(iii) become operative for 30 days
from the date on which it was filed, or
such shorter time as the Commission
may designate, it has become effective
pursuant to Section 19(b)(3)(A) of the
Act and Rule 19b–4(f)(6) thereunder.52
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
50 See
supra note 27.
Securities Exchange Act Release 34–99827
(March 21, 2024), 89 FR 21302 (March 27, 2024)
(SR–NYSEAMER–2024–21) (modifying NYSE
American’s discretionary pegged order type to
remove its quote instability calculation).
52 17 CFR 240.19b–4(f)(6). In addition, Rule 19b–
4(f)(6) requires a self-regulatory organization to give
the Commission written notice of its intent to file
the proposed rule change at least five business days
prior to the date of filing of the proposed rule
change, or such shorter time as designated by the
Commission. The Exchange has satisfied this
requirement.
51 See
E:\FR\FM\24APN1.SGM
24APN1
31242
Federal Register / Vol. 89, No. 80 / Wednesday, April 24, 2024 / Notices
action is necessary or appropriate in the
public interest, for the protection of
investors, or otherwise in furtherance of
the purposes of the Act.
IV. Solicitation of Comments
[FR Doc. 2024–08683 Filed 4–23–24; 8:45 am]
Interested persons are invited to
submit written data, views and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
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–2024–07 on the subject line.
Paper Comments
khammond on DSKJM1Z7X2PROD with NOTICES
• 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–2024–07. 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–2024–07 and should be
submitted on or before May 15, 2024.
VerDate Sep<11>2014
16:48 Apr 23, 2024
Jkt 262001
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.53
Vanessa A. Countryman,
Secretary.
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–99988; File No. SR–FINRA–
2024–001]
Self-Regulatory Organizations;
Financial Industry Regulatory
Authority, Inc.; Order Instituting
Proceedings To Determine Whether To
Approve or Disapprove a Proposed
Rule Change To Amend FINRA Rule
3240 (Borrowing From or Lending to
Customers) To Strengthen the General
Prohibition Against Borrowing and
Lending Arrangements
April 18, 2024.
I. Introduction
On January 2, 2024, the Financial
Industry Regulatory Authority, Inc.
(‘‘FINRA’’) filed with the Securities and
Exchange Commission (‘‘SEC’’ or
‘‘Commission’’), pursuant to Section
19(b)(1) of the Securities Exchange Act
of 1934 (‘‘Exchange Act’’) 1 and Rule
19b–4 thereunder,2 a proposed rule
change (SR–FINRA–2024–001) to
amend FINRA Rule 3240 (Borrowing
From or Lending to Customers). As
stated in the Notice, the proposed rule
change would strengthen the general
prohibition against borrowing and
lending arrangements, narrow some of
the existing exceptions to that general
prohibition, modernize the immediate
family exception, and enhance the
requirements for giving notice to
members and obtaining members’
approval of such arrangements.3
The proposed rule change was
published for public comment in the
Federal Register on January 22, 2024.4
The public comment period closed on
February 12, 2024. The Commission
received comment letters in response to
the Notice.5 On February 21, 2024,
FINRA consented to an extension of the
time period in which the Commission
must approve the proposed rule change,
53 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 Exchange Act Release No. 99351 (Jan. 16, 2024),
89 FR 3968 (Jan. 22, 2024) (File No. SR–FINRA–
2024–001) (‘‘Notice’’), https://www.govinfo.gov/
content/pkg/FR-2024-01-22/pdf/2024-01068.pdf.
4 Notice at 3968–3979.
5 The comment letters are available at https://
www.sec.gov/comments/sr-finra-2024-001/
srfinra2024001.htm.
1 15
PO 00000
Frm 00116
Fmt 4703
Sfmt 4703
disapprove the proposed rule change, or
institute proceedings to determine
whether to approve or disapprove the
proposed rule change to April 19, 2024.6
The Commission is publishing this
order pursuant to Section 19(b)(2)(B) of
the Exchange Act 7 to institute
proceedings to determine whether to
approve or disapprove the proposed
rule change.
II. Description of the Proposed Rule
Change
A. Background
FINRA Rule 3240 generally prohibits,
with exceptions, registered persons from
borrowing money from, or lending
money to, their customers. The rule has
five tailored exceptions,8 available only
when the registered person’s member
firm has written procedures allowing
the borrowing and lending of money
between such registered persons and
customers of the member,9 the
borrowing or lending arrangements meet
the conditions applicable to the relevant
exception and, when required, the
registered person notifies the member of
a borrowing or lending arrangement,
prior to entering into such arrangement,
and obtains the member’s pre-approval
in writing.10 FINRA stated that the
exceptions are for limited situations
where the likelihood that the registered
person and customer entered into the
borrowing or lending arrangement by
virtue of the broker-customer
relationship is reduced, and the
potential risks are outweighed by the
potential benefits of allowing registered
persons to enter into arrangements with
such customers.11
B. Proposed Rule Change
1. The General Prohibition on
Borrowing From or Lending to
Customers
The proposed rule change would
amend the title of FINRA Rule 3240
from ‘‘Borrowing From or Lending to
Customers’’ to ‘‘Prohibition on
Borrowing From or Lending to
Customers,’’ and change the title of Rule
6 See letter from Ilana Reid, Associate General
Counsel, FINRA, to Daniel Fisher, Branch Chief,
Division of Trading and Markets, Commission,
dated February 21, 2023 [sic], https://
www.finra.org/sites/default/files/2024-02/SRFINRA-2024-001-Extension1.pdf.
7 15 U.S.C. 78s(b)(2)(B).
8 See Rule 3240(a)(2)(A) (the ‘‘immediate family
exception’’); Rule 3240(a)(2)(B) (the ‘‘financial
institution exception’’); Rule 3240(a)(2)(C) (the
‘‘registered persons exception’’); Rule 3240(a)(2)(D)
(the ‘‘personal relationship exception’’); Rule
3240(a)(2)(E) (the ‘‘business relationship
exception’’).
9 See Rule 3240(a)(1).
10 See Rules 3240(a)(3) and 3240(b).
11 See Notice at 3969.
E:\FR\FM\24APN1.SGM
24APN1
]]>Agencies
[Federal Register Volume 89, Number 80 (Wednesday, April 24, 2024)]
[Notices]
[Pages 31236-31242]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-08683]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-99990; File No. SR-IEX-2024-07]
Self-Regulatory Organizations; Investors Exchange LLC; Notice of
Filing and Immediate Effectiveness of Proposed Rule Change To Amend the
Activation Value in IEX Rule 11.190(g)(2)
April 18, 2024.
Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of
1934 (``Act''),\2\ and Rule 19b-4 thereunder,\3\ notice is hereby given
that on April 12, 2024, the Investors Exchange LLC (``IEX'' or the
``Exchange'') 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 self-regulatory
organization. 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 Substance
of the Proposed Rule Change
Pursuant to the provisions of Section 19(b)(1) under the Act,\4\
and Rule 19b-4 thereunder,\5\ the Exchange is filing with the
Commission a proposed rule change to amend IEX Rule 11.190(g)(2) to
incrementally optimize the effectiveness of the proprietary
mathematical calculation used to make quote instability determinations
for certain orders, and to correct two cross-reference errors and one
typographical error. 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 the
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 the
Statutory Basis for, the Proposed Rule Change
1. Purpose
The purpose of the proposed rule change is to amend IEX Rule
11.190(g)(2) to incrementally optimize the proprietary mathematical
calculation used to make quote instability determinations for certain
orders (i.e., to assess the probability of a ``crumbling quote''--an
imminent change to the current Protected NBB \7\ to a lower price or
the current Protected NBO \8\ to a higher price for a particular
security). This calculation is referred to as the ``crumbling quote
indicator'' or ``CQI''. This proposed rule change would only modify the
functionality of CQI 2,\9\ which is the CQI version used to make quote
instability determinations for all Discretionary Limit (``D-Limit'')
\10\ orders, and for Discretionary Peg (``D-Peg''),\11\ primary peg
(``P-Peg''),\12\ and Corporate Discretionary Peg (``C-Peg'') \13\
orders for which the User \14\ selected CQI 2 (collectively ``CQI 2
enhanced pegged orders'').\15\
---------------------------------------------------------------------------
\7\ See IEX Rule 1.160(cc).
\8\ See IEX Rule 1.160(cc).
\9\ IEX supports two versions of the CQI--Option 1 Crumbling
Quote (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 (``CQI 2''). See IEX Rule 11.190(g)(1) and (g)(2),
respectively. CQI 1 is not affected by this proposed rule change.
\10\ See IEX Rule 11.190(b)(7).
\11\ See Rule 11.190(b)(10).
\12\ See Rule 11.190(b)(8).
\13\ See Rule 11.190(b)(16).
\14\ See IEX Rule 1.160(qq).
\15\ Users may select which CQI version to apply to D-Peg, P-
Peg, and C-Peg orders (pegged orders eligible to exercise price
discretion to their discretionary price except during periods of
quote instability). See IEX Rules 11.190(b)(8)(K), 11.190(b)(10)(K),
and 11.190(b)(16)(K).
---------------------------------------------------------------------------
The Exchange also proposes to correct two cross-reference errors
and one typographical error in the rule text defining the CQI 2.
Background
When CQI 2 generates a quote instability determination (i.e., it is
``on'' pursuant to IEX Rule 11.190(g)(2)), CQI 2 enhanced pegged orders
resting on the Order Book \16\ do not exercise price discretion to meet
the limit price of an active (i.e., taking) order, and remain pegged to
a price that is the less aggressive of one (1) minimum price variant
(``MPV'') \17\ less aggressive than the primary quote (i.e., one MPV
below (above) the NBB \18\ (NBO \19\) for buy (sell) orders) or the
order's limit price, if any.\20\
---------------------------------------------------------------------------
\16\ See IEX Rule 1.160(p).
\17\ See IEX Rule 11.210.
\18\ See IEX Rule 1.160(u).
\19\ See IEX Rule 1.160(u).
\20\ C-Peg orders are also constrained by the consolidated last
sale price of the security, and therefore cannot trade, book, or
exercise discretion at a price that is more aggressive than the
consolidated last sale price. See IEX Rule 11.190(b)(16).
---------------------------------------------------------------------------
Relatedly, D-Limit orders priced at or more aggressively than the
quote instability determination price level (``CQI Price'') are re-
priced when CQI 2 is on.\21\ Specifically, if the System \22\ receives
a D-Limit buy (sell) order when CQI 2 is on, and the D-Limit order has
a limit 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 (1) MPV 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 CQI Price.\23\
---------------------------------------------------------------------------
\21\ See IEX Rules 11.190(b)(7)(A) and (B).
\22\ See IEX Rule 1.160(nn).
\23\ 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 to its effective limit
price, the order will continue to be ranked and displayed (in the case
of a displayed order) at the adjusted price,\24\ 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,
pursuant to IEX Rule 11.190(b)(7)(E)(i), 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
[[Page 31237]]
instability determination. Otherwise, a D-Limit order operates in the
same manner as either a displayed or non-displayed limit order, as
applicable.\25\
---------------------------------------------------------------------------
\24\ See IEX Rule 11.190(b)(7)(F).
\25\ See IEX Rule 11.190(b)(7).
---------------------------------------------------------------------------
Overview of CQI 2
The Exchange has made incremental changes to optimize and enhance
the effectiveness of CQI 1 in determining whether a crumbling quote
exists three times since Exchange launch \26\ and in 2022, introduced
CQI 2.\27\ CQI 2 is designed to incrementally increase the coverage
\28\ of the quote instability determinations 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 CQI 1's accuracy rate \29\ in predicting the direction and
timing of the next price change in the NBB or NBO, as applicable.
---------------------------------------------------------------------------
\26\ See Securities Exchange Act Release 34-78510 (August 9,
2016), 81 FR 54166 (August 15, 2016) (SR-IEX-2016-11); Securities
Exchange Act Release No. 80202 (March 10, 2017), 82 FR 14058 (March
16, 2017) (SR-IEX-2017-06); Securities Exchange Act Release No.
83048 (April 13, 2018), 83 FR 17467 (April 19, 2018) (SR-IEX-2018-
07).
\27\ 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).
\28\ ``Coverage'' means the percentage of all ``adverse'' NBBO
changes per symbol (lower for bids, higher for offers) that were
predicted by CQI 2 (meaning CQI 2 was ``on'' at the time of the
adverse NBBO change).
\29\ ``Accuracy rate'' means the percentage of time that CQI 2
accurately predicted the direction of the next price change.
---------------------------------------------------------------------------
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 CQI 2 became optionally available for D-Peg, P-
Peg, and C-Peg orders on May 16, 2023 \30\ and for all D-Limit orders
on November 10, 2023.\31\
---------------------------------------------------------------------------
\30\ See IEX Trading Alert # 2023-010, available at https://iextrading.com/alerts/#/217; see also CQI 2 Approval Order, supra
note 27.
\31\ See IEX Trading Alert # 2023-023, available at https://iextrading.com/alerts/#/231; see also Securities Exchange Act
Release No. 98625 (September 28, 2023), 88 FR 68709 (October 4,
2023) (SR-IEX-2023-10).
---------------------------------------------------------------------------
CQI 2 utilizes real time relative quoting activity of certain
Protected Quotations \32\ and a ``quote instability calculation'' in
which nine separate ``quote instability rules'' \33\--each with
specific conditions based on either the price, size, or price and size
of the Signal Exchanges to assess the probability of a crumbling quote.
Each of these rules can trigger a quote instability determination for
either the NBB (for buy orders) the NBO (for sell orders), or both, of
a particular security, meaning the System treats the quote as unstable
and CQI 2 is on at that price level for two milliseconds.\34\ During
all other times, the quote is considered stable, and CQI 2 is off. The
System independently assesses the stability of the Protected NBB and
Protected NBO for each security.
---------------------------------------------------------------------------
\32\ Specifically, IEX utilizes real time relative quoting
activity of Protected Quotations from the ``Signal Exchanges'',
which are the following eleven exchanges: Cboe BZX Exchange
(``BATS''), Cboe BYX Exchange (``BATY''), Cboe EDGA Exchange
(``EDGA''), Cboe EDGX Exchange (``EDGX''), MIAX Pearl (``EPRL''),
MEMX LLC (``MEMX''), the Nasdaq Stock Market (``XNGS''), Nasdaq BX
(``XBOS''), Nasdaq PHLX (``XPHL''), the New York Stock Exchange
(``XNYS''), and NYSE Arca (``ARCX''). See IEX Rule 11.190(g).
\33\ See IEX Rule 11.190(g)(2)(C).
\34\ The nine rules are designed to work together in determining
whether a quote instability determination is triggered, so if a User
selects the alternative model all nine rules would be applicable.
Users cannot elect that only some of the rules would apply.
---------------------------------------------------------------------------
CQI 2 includes four categories of rules designed to predict whether
the Protected NBB or Protected NBO is unstable, 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 \35\ or
Signal Best Offer \36\ as applicable; \37\
---------------------------------------------------------------------------
\35\ ``Signal Best Bid'' means the highest Protected Bid of the
Signal Exchanges. See IEX Rule 11.190(g)(2)(B)(i).
\36\ ``Signal Best Offer'' means the lowest Protected Offer of
the Signal Exchanges. See IEX Rule 11.190(g)(2)(B)(v).
\37\ See IEX Rule 11.190(g)(2)(C)(i).
---------------------------------------------------------------------------
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; \38\
---------------------------------------------------------------------------
\38\ See IEX Rule 11.190(g)(2)(C)(ii).
---------------------------------------------------------------------------
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; \39\ and
---------------------------------------------------------------------------
\39\ See IEX Rule 11.190(g)(2)(C)(iii).
---------------------------------------------------------------------------
Quotation Changes--This category includes two rules that
focus on changes to the Signal Best Bid or Signal Best Offer.\40\
---------------------------------------------------------------------------
\40\ See IEX Rule 11.190(g)(2)(C)(iv).
---------------------------------------------------------------------------
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. Each rule also must be active 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 treat the quote as unstable.
For CQI 2, the Exchange maintains an activation value (``Activation
Value'') for each quote instability rule, which is used to determine if
each rule is active. Each rule's Activation Value is computed (on a
security-by-security basis for both the Bid side and the Offer side) in
real time as a function of the number of times the quote moves to a
less aggressive price within the two milliseconds following the time
the rule was True and the total number of times the rule was True.
Whenever the Activation Value for a given rule exceeds a fixed
predetermined activation threshold specific to that rule (``Activation
Threshold''),\41\ the rule is active (i.e., it is eligible to trigger a
quote instability determination when True). If a rule's Activation
Value is below its Activation Threshold, it will not trigger a quote
instability determination when True.
---------------------------------------------------------------------------
\41\ The Activation Thresholds for the quote instability rules
range from 0 to .50.
---------------------------------------------------------------------------
The Activation Value and Activation Threshold computations are
designed to optimize the 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. 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. The Activation Thresholds are tailored for each rule based on
the rule's expected general accuracy in predicting a crumbling quote,
based on IEX's market data analysis, so that a rule that has a higher
potential to be less accurate has a higher activation threshold burden
to meet. The Activation Thresholds are designed to enable increased
coverage for CQI 2 by enabling more frequent triggers with accuracy
control safeguards.
The Exchange utilizes an initial activation value of 0.50 for all
rules at the start of the Regular Market Session,\42\ which is then
modified during the course of the Regular Market Session to reflect
each rule's predictive performance. Specifically, each time a rule is
True \43\ its existing Activation Value is multiplied by a Decay Factor
of 0.94. In addition, each time the Protected NBB or Protected NBO
moves to a less aggressive price within two milliseconds of a rule
being True at that
[[Page 31238]]
price level, 0.06 will be added to that rule's existing Activation
Value (i.e., (1 - decay factor) + previous Activation Value) as
specified in IEX Rule 11.190(g)(2)(D)(ii).
---------------------------------------------------------------------------
\42\ See IEX Rule 1.160(gg).
\43\ Excluding instances where the rule was already True at the
same unchanged price level in the prior two milliseconds.
---------------------------------------------------------------------------
Whenever a rule is True, the System evaluates if its Activation
Value exceeds its Activation Threshold, regardless of whether the rule
is active. If a rule is True and its Activation Value exceeds its
Activation Threshold, the rule is active and will trigger the System to
treat the relevant quote as unstable. If a rule is True but its
Activation Value does not exceed its Activation Threshold, the rule is
inactive, and it will not trigger the System to treat the relevant
quote as unstable. If one or more rules are True, and if any one of
such rules has an Activation Value that exceeds the rule's Activation
Threshold, the System will treat the relevant quote as unstable. The
System continues to update the Activation Value for rules that are
inactive, and if the Activation Value subsequently exceeds the rule's
Activation Threshold, the System will reactivate the rule.
IEX believes that these Activation Thresholds provide a dynamic
performance evaluation methodology that is designed to optimize the
frequency and accuracy of the quote instability calculation, by
enabling IEX to utilize a broader array of rules that may be predictive
of a crumbling quote in certain market conditions but not others.
IEX Rule 11.190(g)(3) provides that IEX reserves the right to
modify the quote instability calculations as appropriate, subject to a
filing of a proposed rule change with the SEC. Pursuant to this
provision, IEX identified a modification to CQI 2 that it believes will
enhance its effectiveness, as described below.
Proposal
IEX conducted an analysis of the efficacy of CQI 2 in predicting
whether a crumbling quote would occur, by reviewing randomly selected
market data from the second half of 2023 and the first quarter of 2024.
These results were then validated by testing different randomly
selected dates from the same time period. Based upon this analysis, IEX
proposes to make an incremental change to the CQI 2 Activation Value
calculation process, which is designed to enhance CQI 2's accuracy by
better reflecting market conditions. Specifically, the Exchange is
proposing to extend the amount of time the System waits after a quote
instability rule is True to assess if the quote moved to a less
aggressive price. Currently, the System waits two milliseconds
following the time a quote instability rule was True to assess whether
the quote instability rule accurately predicted that the next price
change would be to a less aggressive price. IEX proposes to modify IEX
Rule 11.190(g)(2)(D)(ii), so that the System would wait up to one
second after a quote instability rule is True to assess if the next
price change is to a less aggressive price (hereafter the ``CQI 2
Update''). If the next price change occurs within one second after a
quote instability rule is True and is to a less aggressive price, the
System would add .06 to that rule's previous Activation Value. However,
if one second passes from the time that a quote instability rule's
conditions are met with no price change, or if the next price change
was to a more aggressive price, then the System will not update that
quote instability rule's Activation Value.
In deciding to propose increasing the interval for the Activation
Value calculation process to assess if the next price change was to a
less aggressive price (from two milliseconds to one second), the
Exchange considered that a predicted price change may take more than
two milliseconds to occur for several reasons. For example, large
reserve orders might take more than two milliseconds to fully exhaust
the reserve volume allowing a price change to occur. Additionally,
periods of relatively higher market volume (or bursts of market data)
can impact the time it takes for price changes to materialize because
of increased time for markets to process incoming orders and
executions. During periods of market volatility, trading functions such
as order processing, order matching, and the publishing of market data
may be delayed due to higher message rates (which are correlated with
the Exchange making quote instability determinations). Significantly,
during these time periods of increased market activity and volatility,
latency arbitrage strategies have an opportunity to be more prevalent
because there are more opportunities to react to market volatility to
take advantage of resting orders.
In light of the foregoing, IEX believes a modest increase of the
time used in the Activation Value calculation process is a narrowly
tailored approach to enhance the efficacy of CQI 2 in predicting an
imminent quote change to a price adverse to a resting order.
IEX's market data analysis \44\ evidences that the proposed CQI 2
Update would result in an incremental enhancement to the efficacy of
CQI 2 as set forth in the chart below:
---------------------------------------------------------------------------
\44\ As noted above, IEX analyzed the efficacy of CQI 2 and
developed the proposed incremental enhancement in this rule filing
using market data from the second half of 2023 and the first quarter
of 2024. However, for Charts 1, 2, and 3, IEX used all the trading
days in January and February 2024, which, according to IEX's market
data analysis, were representative of regular trading activity
throughout the calendar year.
---------------------------------------------------------------------------
[[Page 31239]]
[GRAPHIC] [TIFF OMITTED] TN24AP24.157
Thus, IEX believes that the CQI 2 Update will incrementally enhance
the existing protection provided by D-Limit orders by providing greater
coverage (i.e., identifying more potentially crumbling quotes) with
increased accuracy. IEX estimated the impact of the CQI 2 Update
(compared to the existing CQI 2) on standard limit order executions by
simulating the markouts \45\ had the orders been subject to the
protection of the current CQI 2 or the CQI 2 Update. Assessment of
these executions is designed to simulate differences in adverse
selection protection from the current CQI 2 and the CQI 2 Update. As
shown in the chart below, both the current CQI 2 and the CQI 2 Update
result in improved markouts over executions without CQI protection, but
the CQI 2 Update would have provided incrementally enhanced protection
compared to the current CQI 2 (as measured by markouts) because it is
better at identifying situations when adverse selection is most likely:
---------------------------------------------------------------------------
\45\ 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.
[GRAPHIC] [TIFF OMITTED] TN24AP24.158
Similarly, IEX believes that the CQI 2 Update will incrementally
enhance the existing protection CQI 2 offers pegged orders by providing
greater coverage (i.e., identifying more potentially crumbling quotes)
with increased accuracy. IEX estimated the impact of the CQI 2 Update
(compared to the existing CQI 2) on traditional midpoint order
executions by simulating the markouts had the orders been subject to
the protection of the current CQI 2 or
[[Page 31240]]
the CQI 2 Update. Assessment of these executions is designed to
simulate differences in adverse selection protection from CQI 2 and CQI
2 Update. As shown in the chart below, both CQI 2 and the CQI 2 Update
result in improved markouts over executions without CQI protection, but
CQI 2 Update would have provided incrementally enhanced protection
compared to CQI 2 (as measured by markouts) because it is better at
identifying situations when adverse selection is most likely:
[GRAPHIC] [TIFF OMITTED] TN24AP24.159
IEX believes that this proposed minor change in methodology for the
calculation of Activation Values would increase CQI 2's efficacy by
better reflecting the market activity in a particular security, as
described above. Specifically, IEX believes that it is appropriate to
provide slightly more time to determine if the next price change is
adverse (i.e., consistent with the quote instability determination
prediction), and thus consistent with the quote instability
determination that the quote in question was about to become stale and
thus subject to potential latency arbitrage, in calculating whether the
rule's Activation Value should be increased. IEX believes that one
second is an appropriate time period to wait based on an analysis of
the effectiveness of various potential time frames (including the
current two milliseconds) in predicting whether a crumbling quote would
occur, by reviewing randomly selected market data from the second half
of 2023 and the first quarter of 2024.
Accordingly, based on this analysis, the Exchange believes that
extending the time period used to calculate Activation Value changes to
one second is a narrowly tailored approach that would incrementally
increase the effectiveness of CQI 2 in predicting whether a crumbling
quote will occur.
Cross-Reference and Typographical Error Fixes
IEX also proposes to correct two internal cross-reference errors in
IEX Rule 11.190(g)(2). Specifically, IEX proposes to modify the cross
reference in IEX Rule 11.190(g)(2)(B) to refer to IEX Rule
11.190(g)(2)(C), instead of IEX Rule 11.190(g)(1)(C), and to modify the
cross reference in IEX Rule 11.190(g)(2)(D)(i) to refer to IEX Rule
11.190(g)(2)(A), instead of IEX Rule 11.190(g)(1)(A). While these two
cross-references cite to the rule provisions for CQI 1 instead of CQI
2, IEX notes that the context of the rule text mitigates any possible
confusion since each is within the rule provisions describing CQI 2.
Moreover, the third paragraph of IEX Rule 11.190(g), which provides a
summary description of CQI 2, accurately describes the functionality
that is described in the two rule provisions containing cross-reference
errors.
Finally, IEX proposes to make a typographical correction to IEX
Rule 11.190(g)(2)(B)(vii) by adding a missing period to the end of the
text.
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 90 days of effectiveness of this
proposed rule change.
2. Statutory Basis
IEX believes that the proposed rule change is consistent with
Section 6(b) \46\ of the Act in general, and furthers the objectives of
Section 6(b)(5) of the Act,\47\ in particular, in that it is designed
to prevent fraudulent and manipulative acts and practices, to promote
just and equitable principles of trade, to foster cooperation and
coordination with persons engaged in facilitating transactions in
securities, 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. As discussed in the Purpose
section, the proposed minor change is based on the Exchange's analysis
of market data, which supports that the proposed change would
incrementally optimize the effectiveness
[[Page 31241]]
of CQI 2 by better reflecting market conditions that could delay a
predicted quote change being realized until more than two milliseconds
(but less than one second) has passed. Further, as noted in Chart 1 in
the Purpose section, the proposed CQI 2 Update would increase CQI 2's
volume-weighted coverage by 6.4% (from 63.3% to 69.7%) while increasing
its volume-weighted accuracy by 2% (from 78% to 80%). Thus, the
Exchange believes that it is consistent with the Act to expand the
amount of time used to calculate Activation Value updates because it is
designed to provide additional protection to D-Limit orders and CQI-
enhanced pegged orders from adverse selection associated with latency
arbitrage during periods of quote instability, thus protecting
investors and the public interest. Moreover, IEX's market data
analysis, as described in the Purpose section and demonstrated in Chart
1, evidences that, as with CQI 2, the CQI 2 Update would be ``on'' for
only a small portion of the trading day while providing robust
protection in a narrowly tailored manner that balances the ability of
long-term investors to access displayed liquidity in the ordinary
course against the current structural advantages enjoyed by short-term
latency arbitrage trading strategies that rely on superior access to
the fastest data and connectivity.
---------------------------------------------------------------------------
\46\ 15 U.S.C. 78f.
\47\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
Additionally, the Exchange believes that the proposed rule change
may result in more and larger sized displayed and non-displayed D-Limit
orders and CQI 2 enhanced pegged 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. And to the extent that more
displayed D-Limit orders are entered, price discovery and price
formation will be enhanced on IEX and in the market generally to the
benefit of all IEX Members and market participants. Furthermore, the
Exchange notes that all Members and their customers are eligible to use
D-Limit orders and CQI 2 enhanced pegged orders, and therefore all
Members and their customers are eligible to benefit from the proposed
enhanced protections against adverse selection in the CQI 2 Update.
Thus, the Exchange believes that application of the rule change is
equitable and not unfairly discriminatory.
Additionally, the Exchange notes that the existing CQI 2 is a
narrowly tailored fixed formula specified transparently in IEX rules,
that was previously approved by the SEC.\48\ The Exchange is not
proposing to add any new functionality, but merely to enhance an SEC
approved quote instability calculation as described in the Purpose
Section. And as proposed, CQI 2 will continue to be a fixed formula
specified transparently in IEX's rules. 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 the CQI 2 functionality was
previously approved by the Commission.\49\
---------------------------------------------------------------------------
\48\ See supra note 27.
\49\ See supra note 27.
---------------------------------------------------------------------------
Also, IEX Rule 11.190(g)(3) specifically contemplates that the
Exchange will periodically modify the quote instability calculations as
appropriate, and the proposed rule change is consistent with this
provision.
Furthermore, the Exchange believes that the proposed corrections of
the two internal cross-reference errors in IEX Rule 11.190(g)(2)(B) and
IEX Rule 11.190(g)(2)(D)(i) would remove impediments to and perfect the
mechanism of a free and open market and a national market system
because the proposed changes are designed to update internal rule
references. As noted in the Purpose section, the overall context of CQI
2's rule text mitigates any possible confusion attributable to the
erroneous cross-references. Nevertheless, the Exchange believes that
Users would benefit from the increased clarity of correct cross-
reference citations, thereby reducing potential confusion and ensuring
that persons subject to the Exchange's jurisdiction, regulators, and
the investing public can more easily navigate and understand the
Exchange's rules.
Additionally, IEX believes that the proposed addition of a period
at the end of IEX Rule 11.190(g)(2)(B)(vii) is consistent with Section
6(b)(5) of the Act because it will eliminate any confusion regarding
IEX rules by correcting an inadvertent typographical error without
changing the substance of such rule.
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
competition by incentivizing additional liquidity.
With regard to intra-market competition, the proposed change to CQI
2 would apply equally to all Members on a fair, impartial and
nondiscriminatory basis without imposing any new burdens on the Members
because D-Limit is an optional order type, and CQI 2 is one of two
choices of CQI that Members may apply to their eligible pegged orders.
The Commission has already approved CQI 2.\50\ As discussed in the
Purpose and Statutory Basis sections, the proposed rule change is
designed to provide a narrowly tailored enhancement to an SEC approved
quote instability calculation; therefore, no new burdens are being
proposed.
---------------------------------------------------------------------------
\50\ See supra note 27.
---------------------------------------------------------------------------
With regard to inter-market competition, other exchanges are free
to adopt similar quote instability calculations subject to the SEC rule
filing process. In this regard, the Exchange notes that NYSE American
LLC until recently had a ``discretionary pegged order type'', see
former NYSE American LLC Rule 7.31E(h)(3)(D), which copied an earlier
iteration of the Exchange's quote instability calculation.\51\
---------------------------------------------------------------------------
\51\ See Securities Exchange Act Release 34-99827 (March 21,
2024), 89 FR 21302 (March 27, 2024) (SR-NYSEAMER-2024-21) (modifying
NYSE American's discretionary pegged order type to remove its quote
instability calculation).
---------------------------------------------------------------------------
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
Because the foregoing proposed rule change does not:
(i) significantly affect the protection of investors or the public
interest;
(ii) impose any significant burden on competition; and
(iii) become operative for 30 days from the date on which it was
filed, or such shorter time as the Commission may designate, it has
become effective pursuant to Section 19(b)(3)(A) of the Act and Rule
19b-4(f)(6) thereunder.\52\
---------------------------------------------------------------------------
\52\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)
requires a self-regulatory organization to give the Commission
written notice of its intent to file the proposed rule change at
least five business days prior to the date of filing of the proposed
rule change, or such shorter time as designated by the Commission.
The Exchange has satisfied this requirement.
---------------------------------------------------------------------------
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
[[Page 31242]]
action is necessary or appropriate in the public interest, for the
protection of investors, or otherwise in furtherance of the purposes of
the Act.
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-2024-07 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-2024-07. 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-2024-07 and should be
submitted on or before May 15, 2024.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\53\
---------------------------------------------------------------------------
\53\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Vanessa A. Countryman,
Secretary.
[FR Doc. 2024-08683 Filed 4-23-24; 8:45 am]
BILLING CODE 8011-01-P
