66464 Federal Register / Vol. 83, No. 246 / Wednesday, December 26, 2018 / Notices 

1On May 31, 2012, the Commission approved the 

Plan, as modified by Amendment No. 1. See 

Securities Exchange Act Release No. 67091, 77 FR 

33498 (June 6, 2012) (File No. 4–631) (‘‘Approval 

Order’’). On February 20, 2013, the Commission 

noticed for immediate effectiveness the Second 

Amendment to the Plan. See Securities Exchange 

Act Release No. 68953, 78 FR 13113 (February 26, 

2013). On April 3, 2013, the Commission approved 

the Third Amendment to the Plan. See Securities 

Exchange Act Release No. 69287, 78 FR 21483 

(April 10, 2013). On August 27, 2013, the 

Commission noticed for immediate effectiveness 

the Fourth Amendment to the Plan. See Securities 

Exchange Act Release No. 70273, 78 FR 54321 

(September 3, 2013). On September 26, 2013, the 

Commission approved the Fifth Amendment to the 

Plan. See Securities Exchange Act Release No. 

70530, 78 FR 60937 (October 2, 2013). On January 

7, 2014, the Commission noticed for immediate 

effectiveness the Sixth Amendment to the Plan. See 

Securities Exchange Act Release No. 71247, 79 FR 

2204 (January 13, 2014). On April 3, 2014, the 

Commission approved the Seventh Amendment to 

the Plan. See Securities Exchange Act Release No. 

71851, 79 FR 19687 (April 9, 2014). On February 

19, 2015, the Commission approved the Eight 

Amendment to the Plan. See Securities Exchange 

Act Release No. 74323, 80 FR 10169 (February 25, 

2015). On October 22, 2015, the Commission 

approved the Ninth Amendment to the Plan. See 

Securities Exchange Act Release No. 76244, 80 FR 

66099 (October 28, 2015). On April 21, 2016, the 

Commission approved the Tenth Amendment to the 

Plan. See Securities Exchange Act Release No. 

77679, 81 FR 24908 (April 27, 2016). On August 26, 

2016, the Commission noticed for immediate 

effectiveness the Eleventh Amendment to the Plan. 

See Securities Exchange Act Release No. 78703, 81 

FR 60397 (September 1, 2016). On January 19, 2017, 

the Commission approved the Twelfth Amendment 

to the Plan. See Securities Exchange Act Release 

No. 79845, 82 FR 8551 (January 26, 2017). On April 

13, 2017, the Commission approved the Thirteenth 

Amendment to the Plan. See Securities Exchange 

Act Release No. 80455, 82 FR 18519 (April 19, 

2017). On April 28, 2017, the Commission noticed 

for immediate effectiveness the Fourteenth 

Amendment to the Plan. See Securities Exchange 

Act Release No. 80549, 82 FR 20928 (May 4, 2017). 

On September 26, 2017, the Commission noticed for 

immediate effectiveness the Fifteenth Amendment 

to Plan. See Securities Exchange Act Release No. 

81720, 82 FR 45922 (October 2, 2017). On March 

15, 2018, the Commission noticed for immediate 

effectiveness the Sixteenth Amendment to the Plan. 

See Securities Exchange Act Release No. 82887, 83 

FR 12414 (March 21, 2018) (File No. 4–631). On 

April 12, 2018, the Commission approved the 

Seventeenth Amendment to the Plan. See Securities 

Exchange Act Release No. 83044, 83 FR 17205 

(April 18, 2018). 

2 15 U.S.C. 78k–1(a)(3). 

3 17 CFR 242.608. 

4See Letter from Elizabeth King, General Counsel 

and Corporate Secretary, NYSE, to Brent Fields, 

Secretary, Commission, dated November 2, 2018 

(‘‘Transmittal Letter’’). 

5Unless otherwise specified, the terms used 

herein have the same meaning as set forth in the 

Plan. 

6All times are Eastern Standard or ET. 

7 17 CFR 242.608. 

8See 17 CFR 242.608(a)(4) and (a)(5). 

9See Transmittal Letter, supra note 4. The 

statement of the purpose and summary of the 

amendment and the information required by Rule 

608(a)(4) and (5) is reproduced verbatim from the 

Transmittal Letter unless otherwise noted; crossreferences have been revised to conform with the 

footnote sequencing of this notice. 

10 17 CFR 242.600(b)(47). 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–84843; File No. 4–631] 

Joint Industry Plan; Notice of Filing of 

the Eighteenth Amendment to the 

National Market System Plan To 

Address Extraordinary Market 

Volatility by Cboe BYX Exchange, Inc., 

Cboe BZX Exchange, Inc., Cboe EDGA 

Exchange, Inc., Cboe EDGX Exchange, 

Inc., Chicago Stock Exchange, Inc., 

Financial Industry Regulatory 

Authority, Inc., Investors Exchange 

LLC, NASDAQ BX, Inc., NASDAQ PHLX 

LLC, The Nasdaq Stock Market LLC, 

NYSE National, Inc., New York Stock 

Exchange LLC, NYSE American LLC, 

and NYSE Arca, Inc. 

December 18, 2018. 

I. Introduction 

On November 5, 2018, NYSE Group, 

Inc., on behalf of the following parties 

to the National Market System Plan to 

Address Extraordinary Market Volatility 

(‘‘the Plan’’): 1 Cboe BZX Exchange, Inc., 

Cboe BYX Exchange, Inc., Cboe EDGA 

Exchange, Inc., Cboe EDGX Exchange, 

Inc., Chicago Stock Exchange, Inc., the 

Financial Industry Regulatory 

Authority, Inc. (‘‘FINRA’’), Investors 

Exchange LLC, NASDAQ BX, Inc., 

NASDAQ PHLX LLC, The NASDAQ 

Stock Market LLC (‘‘Nasdaq’’), New 

York Stock Exchange LLC (‘‘NYSE’’), 

NYSE Arca, Inc., NYSE National Inc., 

and NYSE American LLC (collectively, 

the ‘‘Participants’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) pursuant to Section 

11A(a)(3) of the Securities Exchange Act 

of 1934 (‘‘Exchange Act’’) 2 and Rule 608 

thereunder,3 a proposal to amend the 

Plan (‘‘Eighteenth Amendment’’).4 The 

proposal reflects changes unanimously 

approved by the Participants. The 

Eighteenth Amendment proposes to: (i) 

Amend Section VIII of the Plan to 

transition the Plan from operating on a 

pilot to a permanent basis; (ii) adopt a 

mechanism for periodic review and 

assessment of the Plan; (iii) eliminate 

the doubling of the Percentage 

Parameters 5 between 9:30 a.m. and 9:45 

a.m.; 6 and (iv) eliminate the doubling of 

the Percentage Parameters between 3:35 

p.m. and 4:00 p.m., or in the case of an 

early scheduled close, during the last 25 

minutes of trading before the early 

scheduled close, for Tier 2 NMS Stocks 

with a Reference Price above $3.00., as 

discussed below. A copy of the Plan, as 

proposed to be amended is attached as 

Exhibit A hereto. The Commission is 

publishing this notice to solicit 

comments from interested persons on 

the Eighteenth Amendment.7

II. Description of the Plan 

Set forth in this Section II is the 

statement of the purpose and summary 

of the Eighteenth Amendment, along 

with the information required by Rule 

608(a)(4) and (5) under the Exchange 

Act,8 substantially prepared and 

submitted by the Participants to the 

Commission.9

A. Statement of Purpose and Summary 

of the Plan Amendment 

The Participants filed the Plan with 

the Commission on April 5, 2011 to 

create a market-wide limit up-limit 

down mechanism intended to address 

extraordinary market volatility in NMS 

Stocks, as defined in Rule 600(b)(47) of 

Regulation NMS under the Exchange 

Act.10 The Plan sets forth procedures 

that provide for market-wide limit uplimit down requirements to prevent 

trades in individual NMS Stocks from 

occurring outside of the specified Price 

Bands. These limit up-limit down 

requirements are coupled with Trading 

Pauses, as defined in Section I(Y) of the 

Plan, to accommodate more 

fundamental price moves. In particular, 

the Participants adopted this Plan to 

address extraordinary volatility in the 

securities markets, i.e., significant 

fluctuations in individual securities’ 

prices over a short period of time, such 

as those experienced during the ‘‘Flash 

Crash’’ on the afternoon of May 6, 2010. 

As set forth in more detail in the Plan, 

all Trading Centers in NMS Stocks, 

including both those operated by 

Participants and those operated by 

members of Participants, shall establish, 

maintain, and enforce written policies 

and procedures that are reasonably 

designed to comply with the limit uplimit down requirements specified in 

the Plan. More specifically, the single 

plan processor (‘‘Processors’’) 

responsible for consolidation of 

information for an NMS Stock pursuant 

to Rule 603(b) of Regulation NMS under 

the Exchange Act is responsible for 

calculating and disseminating a lower 

Price Band and upper Price Band, as 

provided for in Section V of the Plan. 

Section VI of the Plan sets forth the 

limit up-limit down requirements of the 

Plan, and in particular, that all Trading 

Centers in NMS Stocks, including both 

those operated by Participants and those 

operated by members of Participants, 

shall establish, maintain, and enforce 

written policies and procedures that are 

reasonably designed to prevent trades at 

prices that are below the lower Price 

Band or above the upper Price Band for 

an NMS Stock, consistent with the Plan. 


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11 17 CFR 242.603(b). The Plan refers to this 

entity as the Processor. 

12See Section VIII of the Plan. 

13See supra note 1. 

14See id. 

15See id. 

16The implementation of Phase I of the Plan 

began on April 8, 2013 and ended on May 31, 2013. 

Phase I applied to securities included in the S&P 

500 and Russell 1000 and some high volume ETPs 

from 9:45 a.m. to 3:30 p.m. During Phase I, the Plan 

did not operate during the market open and close. 

The implementation of the first part of Phase II 

began on August 5, 2013 and ended on September 

3, 2013. The first part of Phase II applied to all NMS 

securities beginning at 9:30 a.m. and ending at 3:45 

p.m. Price Bands were calculated by applying 

double the Percentage Parameters during 9:30 to 

9:45 a.m. and during 3:35 to 3:45 p.m. The 

implementation of the second part of Phase II began 

on February 24, 2014. The second part of Phase II 

added Price Bands for the last 15 minutes of trading 

from 3:45 to 4:00 p.m. and applied to all exchangelisted securities except for Nasdaq. On May 12, 

2104, the second part of Phase 2 was implemented 

for Nasdaq-listed securities. 

As set forth in Section V of the Plan, 

the Price Bands consist of a Lower Price 

Band and an Upper Price Band for each 

NMS Stock. The Price Bands are 

calculated by the Processor responsible 

for consolidation of information for an 

NMS Stock pursuant to Rule 603(b) of 

Regulation NMS under the Act.11 Those 

Price Bands are based on a Reference 

Price for each NMS Stock that equals 

the arithmetic mean price of Eligible 

Reported Transactions for the NMS 

Stock over the immediately preceding 

five-minute period. The Price Bands for 

an NMS Stock are calculated by 

applying the Percentage Parameter for 

such NMS Stock to the Reference Price, 

with the Lower Price Band being a 

Percentage Parameter below the 

Reference Price, and the Upper Price 

Band being a Percentage Parameter 

above the Reference Price. Between 9:30 

a.m. and 9:45 a.m. and 3:35 p.m. and 

4:00 p.m., or in the case of an early 

scheduled close, during the last 25 

minutes of trading before the early 

scheduled close, the Price Bands are 

calculated by applying double the 

Percentage Parameters. 

The Processors also calculate a ProForma Reference Price for each NMS 

Stock on a continuous basis during 

Regular Trading Hours. If a Pro-Forma 

Reference Price does not move by one 

percent or more from the Reference 

Price in effect, no new Price Bands are 

disseminated, and the current Reference 

Price remains the effective Reference 

Price. If the Pro-Forma Reference Price 

moves by one percent or more from the 

Reference Price in effect, the Pro-Forma 

Reference Price becomes the Reference 

Price, and the Processors disseminates 

new Price Bands based on the new 

Reference Price. Each new Reference 

Price remains in effect for at least 30 

seconds. When the other side of the 

market reaches the applicable Price 

Band, the market for an individual 

security enters a Limit State, and the 

Processors are required to disseminate 

such National Best Offer or National 

Best Bid with an appropriate flag 

identifying it as a Limit State Quotation. 

All trading immediately enters a Limit 

State if the National Best Offer equals 

the lower Price Band and does not cross 

the National Best Bid, or the National 

Best Bid equals the upper Price Band 

and does not cross the National Best 

Offer. Trading for an NMS Stock exits a 

Limit State if, within 15 seconds of 

entering the Limit State, all Limit State 

Quotations were executed or canceled 

in their entirety. 

With respect to Trading Pauses, 

Section VII(A)(1) of the Plan provides 

that if trading for an NMS Stock does 

not exit a Limit State within 15 seconds 

of entry during Regular Trading Hours, 

the Primary Listing Exchange declares a 

Trading Pause for such NMS Stock and 

shall notify the Processor. Section 

VII(B)(1) of the Plan further provides 

that five minutes after declaring a 

Trading Pause for an NMS Stock, and if 

the Primary Listing Exchange has not 

declared a Regulatory Halt, the Primary 

Listing Exchange shall attempt to 

reopen trading using its established 

procedures and the Trading Pause shall 

end when the Primary Listing Exchange 

reports a Reopening Price. Section 

VII(B)(3) of the Plan provides that 

Trading Centers may not resume trading 

in an NMS Stock following a Trading 

Pause without Price Bands in such NMS 

Stock. 

The Plan was initially approved for a 

one-year pilot period, which began on 

April 8, 2013.12 Accordingly, the pilot 

period was scheduled to end on April 

8, 2014. As initially contemplated, the 

Plan would have been fully 

implemented across all NMS Stocks 

within six months of initial Plan 

operations, which meant there would 

have been full implementation of the 

Plan for six months before the end of the 

pilot period. However, pursuant to the 

fourth amendment to the Plan,13 the 

Participants modified the 

implementation schedule of Phase II of 

the Plan to extend the time period as to 

when the Plan would fully apply to all 

NMS Stocks. Accordingly, the Plan was 

not implemented across all NMS Stocks 

until December 8, 2013. Pursuant to the 

sixth amendment to the Plan,14 which 

further modified the implementation 

schedule of Phase II of the Plan, the date 

for full implementation of the Plan was 

moved to February 24, 2014. Pursuant to 

the seventh, ninth, tenth, and thirteenth 

amendments to the Plan,15 the pilot 

period was extended from April 8, 2014 

to February 20, 2015, from February 20, 

2015 to April 22, 2016, from April 22, 

2016 to April 17, 2017, from April 17, 

2017 to April 16, 2018, and from April 

16, 2018 to April 15, 2019. 

The Participants now propose to: (i) 

Amend Section VIII of the Plan to 

transition the Plan from operating on a 

pilot to a permanent basis; (ii) adopt a 

mechanism for periodic review and 

assessment of the Plan; (iii) eliminate 

the doubling of the Percentage 

Parameters between 9:30 a.m. and 9:45 

a.m.; and (iv) eliminate the doubling of 

the Percentage Parameters between 3:35 

p.m. and 4:00 p.m., or in the case of an 

early scheduled close, during the last 25 

minutes of trading before the early 

scheduled close, for Tier 2 NMS Stocks 

with a Reference Price above $3.00. 

The Plan Should Operate on a 

Permanent Basis 

As mentioned above, the Plan was 

designed to prevent potentially harmful 

price volatility in NMS Stocks, 

including the kind of volatility 

experienced during the market 

disruption that occurred on May 6, 

2010, often referred to as the ‘‘Flash 

Crash’’. Among other things, the prices 

of a large number of individual 

securities suddenly declined by 

significant amounts in a very short time 

period, before suddenly reversing to 

prices consistent with their pre-decline 

levels. This severe price volatility led to 

a large number of trades being executed 

at temporarily depressed prices, 

including many that were more than 

60% away from pre-decline prices and 

were broken by the exchanges and 

FINRA. Occasionally a sudden and 

unanticipated price movement, 

unrelated to a security’s fundamental 

and/or fair value, can be so drastic that 

market orders and stop loss orders face 

an increased risk of being executed at 

prices far away from their fundamental 

and/or fair values. Such extreme 

volatility causing significant 

fluctuations in an individual security‘s 

price over short periods of time can 

undermine the integrity of the securities 

market. Key features of the Plan—Price 

Bands, Trading Pauses, and Limit 

States—are intended to reduce the 

frequency of these large, transitory price 

movements. 

The Plan was implemented in phases 

beginning on April 8, 2013.16 Prior to 

the operation of the Plan, each 

Participant adopted uniform rules on a 

pilot basis in response to the market 

events of May 6, 2010 that paused 


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17See Securities Exchange Act Release No. 62252 

(June 10, 2010), 75 FR 34186 (June 16, 2010) (SR– 

BATS–2010–014; SR–EDGA–2010–01; SR– 

EDGX2010–01; SR–BX–2010–037; SR–ISE–2010– 

48; SR–NYSE–2010–39; SR–NYSEAmex–2010–46; 

SR–NYSEArca–2010–41; SR–NASDAQ–2010–061; 

SR–CHX–2010–10; SR–NSX–2010–05; SR–CBOE– 

2010–047) (Order Granting Accelerated Approval to 

Proposed Rule Changes Relating to Trading Pauses 

Due to Extraordinary Market Volatility). 

18The 10% threshold is for securities in the S&P 

500. A 30% price movement is required for all other 

listed securities priced above $1.00 and a 50% price 

movement is for all listed securities priced below 

$1.00. Calculation of whether a securities price 

meets the required threshold is based on the price 

of executed trades. 

19For example, the number of multiple 

cancellation events decreased after the 

implementation of the Plan. See page 34, Table 15 

of the Limit Up—Limit Down; National Market 

System Plan Assessment to Address Extraordinary 

Market Volatility (the ‘‘Supplemental Joint 

Assessment’’ or ‘‘Assessment’’), available athttps:// 

www.sec.gov/comments/4-631/4631-39.pdf 

(indicating a decrease from an average of 35.63 to 

13.45 multiple cancelation events per month from 

the time during the SSCB Pilot Mechanism was in 

effect to after the Plan was fully implemented). For 

purposes of the Joint Assessment, a multiple 

cancellation event is an event in which there were 

six or more cancelled trade reports for a single stock 

during the day. 

20See Supplemental Joint Assessment, id. 

21See ‘‘ ‘Limit Up-Limit Down’’ Pilot Plan and 

Extraordinary Transitory Volatility’’, by Paul 

Hughes, John Ritter, and Hao Zhang, DERA, dated 

December 2017, available at https://www.sec.gov/ 

comments/4-631/4631-2830173-161647.pdf. 

22See Appendix B, Section III of the Plan. 

23See the Supplemental Joint Assessment, supra 

note 19. 

24 Id. at page 19. 

25 Id. 

26 Id. at page 35. 

27 Id. at page 39. 

28See the Supplemental Joint Assessment, supra 

note 19, at page 39. 

trading in individual securities during 

times of price volatility (‘‘Single-Stock 

Circuit Breaker’’ or ‘‘SSCB’’).17 The 

SSCB rules were an earlier attempt to 

address extraordinary market volatility 

under which a Participant paused an 

individual security for five minutes 

across all exchanges if the security 

experienced a 10% change in price over 

the preceding five minutes.18 The SSCB 

pilot mechanism was later replaced by 

the Plan, which is a more finely 

calibrated mechanism to address 

extraordinary price volatility.19

Specifically and unlike SSCB wherein a 

security was halted only after three 

trades at an extreme price, the Plan’s 

mechanism suspends trading before 

such execution occurs. 

The Plan was approved on a pilot 

basis to allow the Participants and the 

public to gain valuable practical 

experience with the Plan’s operations 

during the pilot period. This experience 

has proven instructive to the 

Participants and the public in assessing 

whether further modifications to the 

Plan were necessary and whether the 

Plan should operate on a permanent 

basis. During the pilot period, the 

Participants provided the Commission 

and the public 20 with a significant 

amount of data bearing on the Plan’s 

performance to aid in an assessment of 

its operations. Based on the Plan’s 

performance, the Participants now 

propose to implement the Plan on a 

permanent basis. The Participants 

believe that the Plan has been beneficial 

to the national market system by serving 

to dampen price volatility and prevent 

unwarranted Trading Pauses that are 

unrelated to volatility, as intended. 

Therefore, the Participants believe that 

the Plan should be approved to operate 

on a permanent basis. 

The data collected during the pilot 

period and numerous studies conducted 

by the Participants and the 

Commission’s Department of Economic 

and Risk Analysis (‘‘DERA’’) have 

shown that the Plan has been beneficial 

to the markets by serving to dampen 

price volatility. For instance, DERA 

issued a number of papers studying the 

operation of the Plan. In one paper, 

DERA described their study of the 

Plan’s effect on extraordinary transitory 

volatility and found evidence that the 

Plan’s mechanism reduced 

extraordinary transitory volatility 

relative to the prior SSCB mechanism 

depending on which methodology was 

employed.21 In particular, DERA found 

evidence that the magnitude of the 

largest price reversals that occurred 

each day for both Tier 1 and Tier 2 NMS 

Stocks were smaller during the Plan 

time period than during the SSCB Pilot 

time period or the time period before 

the SSCB Pilot went into effect. DERA 

also found evidence that the frequency 

of moderate price reversal decreased 

during the eight week phase-in 

implementation during which Tier 1 

NMS Stocks were subject to the Plan 

and Tier 2 NMS Stocks were subject to 

the SSCB mechanism. 

Moreover, pursuant to the Plan’s 

requirements,22 the Participants 

provided the Commission with an 

assessment relating to the impact of the 

Plan and calibration of the Percentage 

Parameters on May 28, 2015.23 In 

performing the Joint Assessment, the 

Participants, in conjunction with a third 

party consultant, studied data from each 

exchange and FINRA for the time period 

from the implementation of the Plan on 

April 2012 through December 2014. The 

Participants studied the impact of 

approaching Price Bands on limit order 

books, the Plan’s impact on erroneous 

executions, appropriateness of 

Percentage Parameters, length of Limit 

States, concerns by options market 

participants regarding limit states, the 

process for entering Limit States and the 

impact of Straddle States, exiting Limit 

States, as well as the length of Trading 

Pauses and the reopening process. 

Based on the data analyzed, the 

Supplemental Joint Assessment found 

that the Plan has been largely effective 

at reducing the negative impacts of 

sudden, unanticipated price movements 

in NMS Stocks, thereby protecting 

investors and promoting a fair and 

orderly market. In particular, the data in 

the Supplemental Joint Assessment had 

shown that the Price Bands dampened 

price volatility by keeping prices within 

the Price Bands. For instance, the data 

in the Supplemental Joint Assessment 

showed that even in the cases where a 

Limit State is reached, a majority 

(63.3%) of those Limit States naturally 

resolved themselves within one second 

without triggering a Trading Pause.24

Only 4.08% of Limit States resulted in 

a Trading Pause.25 The data in the 

Supplemental Joint Assessment further 

showed that the Percentage Parameters 

used to determine the width of the Price 

Bands were reasonably designed to 

ensure that they were not too wide as to 

permit trades to occur at prices that do 

not properly reflect supply and demand, 

and not too narrow as to cause excessive 

disruptions, inhibiting the price 

discovery process.26 In reaching this 

conclusion, the Supplemental Joint 

Assessment examined, among other 

things, the frequency distribution of 

intraday stock returns to gain insight on 

reasonable price moves that could take 

place within a day as well as frequency 

of Reference Price changes. Based on 

this study, the Supplemental Joint 

Assessment stated that the ‘‘relative 

rarity of large price updates of 

comparable magnitude to the wider 

Price Bands indicate that the Price 

Bands could be narrowed substantially 

without causing undue restrictions on 

trading.’’ 27 The Supplemental Joint 

Assessment also examined minute by 

minute changes in stock prices to 

examine short-term price reversals for 

the month of October 2014, the most 

volatile month in the sample period. It 

further found the five minute time 

period within which Reference Prices 

are calculated provided a representative 

measure of price trends on which to 

base such calculation.28

The data in the Supplemental Joint 

Assessment also showed that the length 

of Limit States is clearly adequate for 

the markets in individual stocks to 

revert to normal market condition. The 


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29 Id. 

30 Id. at page 54. 

31 Id. 

32Section V(B)(1) of the Plan provides that the 

first Reference Price for a Trading Day shall be the 

Opening Price on the Primary Listing Exchange in 

an NMS Stock if such Opening Price occurs less 

than five minutes after the start of Regular Trading 

Hours. 33See Securities Exchange Act Release No. 77205 

(February 22, 2016), 81 FR 10315 (February 29, 

2016) (‘‘Amendment No. 10 Notice’’). 

34 Id. 

35An ‘‘unwarranted Trading Pause’’ is one that 

occurs because of factors unrelated to trading 

volatility. For example, if the Price Bands based on 

poor Reference Prices result in a Trading Pause, 

such Trading Pause would be considered 

unwarranted. Unwarranted Trading Pauses in 

illiquid stocks are typically characterized by wide 

or skewed spreads between buy and sell orders and 

no trading activity leading into the Trading Pause. 

Another example of an unwarranted Trading Pause 

is discussed below under the section entitled 

Proposal to Amend Calculation of Percentage 

Parameters beginning on page 21. 

Supplemental Joint Assessment 

observed that over 99% of the Limit 

States in stocks with a market 

capitalization of over $1 billion resolved 

themselves without a Trading Pause, 

and the vast majority of them were 

resolved in one second.29 The same 

general pattern was also true for small 

capitalization NMS Stocks. 

In its conclusion, the Supplemental 

Joint Assessment found that 

cancellation events decreased 

significantly under the Plan and that the 

Plan’s parameters are successful in 

preventing trades from occurring 

outside of the Price Bands, avoiding the 

types of mispriced trades that resulted 

in the Flash Crash.30 However, the 

Supplemental Joint Assessment 

expressed concern regarding potential 

disruption in the price discovery 

process around the opening of trading 

due to the possible calculation of an 

inaccurate Reference Price, which may 

trigger Limit States or Trading Pauses 

for reasons unrelated to the market for 

the security. Therefore, the 

Supplemental Joint Assessment 

recommended that the previous day’s 

closing price be used as the Reference 

Price where there are no trades in the 

opening auction. Based on these 

findings, the Supplemental Joint 

Assessment recommended that the Plan 

be made permanent with the one 

modification to the Reference Price 

calculation,31 which the Participants 

later adopted in Amendment No. 10 

discussed below. 

Notwithstanding the Plan’s positive 

impact on the markets, the Participants 

continued to monitor the scope and 

operation of the Plan during the pilot 

period. As a result, the Participants 

identified two areas of the Plan that 

needed improvement; namely, the 

calculation of Reference Prices during 

the opening of trading and the 

performance of the reopening process 

following a Trading Pause. As a result, 

the Participants filed Amendments Nos. 

10 and 12 to the Plan proposing 

modifications that the Participants 

deemed necessary and appropriate to 

improve the Plan’s performance in these 

two areas. 

Amendment No. 10. First, in 

Amendment No. 10, the Participants 

amended the Plan to modify the 

definition of Opening Price, which is 

used to determine the first Reference 

Price of the day.32 Prior to Amendment 

No. 10, the Opening Price was defined 

as the first trade or the midpoint of the 

Primary Listing Exchange’s best bid and 

offer where the Primary Listing 

Exchange opened with a quotation, if 

such Opening Price occurred within the 

first five minutes of the start of Regular 

Trading Hours. Amendment No. 10 

changed the definition of Opening Price 

where the Primary Listing Exchange 

opens with a quotation from the 

midpoint of that quotation to the 

previous day’s official closing price. In 

proposing Amendment No. 10, the 

Participants noted that the midpoint of 

the bid and offer often resulted in an 

unrealistic Reference Price 33 where a 

security opens on quotes that are 

extremely wide or improperly skewed. 

The Participants noted that this could, 

in turn, trigger Limit States and Trading 

Pauses at inaccurate price levels.34

The revised definition of Opening 

Price in Amendment No. 10 altered the 

determination of a security’s first 

Reference Price when that security does 

not trade in an opening auction in an 

effort to reduce the incidence of 

unnecessary price moves and reduce the 

number of unwarranted 35 Trading 

Pauses and Limit States during the 

commencement of Regular Trading 

Hours. 

Amendment No. 10 improved the 

operation of the Plan. Since its 

implementation on July 18, 2016, 

Amendment No. 10 reduced the number 

of unwarranted Trading Pauses and 

Limit States during the commencement 

of Regular Trading Hours as intended. 

Chart A sets forth the number of Trading 

Pauses in all NMS Stocks across all 

Primary Listing Exchanges from January 

4, 2016 through August 30, 2018. The 

data in Chart A illustrates the decrease 

in Trading Pauses for all NMS Stocks in 

the time since Amendment No. 10 was 

implemented in July 2016. Trading 

Pauses dropped from an average of 64.4 

per day to an average of 9.2 per after 

Amendment No. 10 was implemented. 


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Further, as evidenced by the data in 

Chart B, Trading Pauses in ETPs 

declined from 13.7 per day to 2.2 per 

day since Amendment No. 10 was 

implemented. 


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36See ‘‘The Effects of Amendment No. 10 of the 

‘Limit Up-Limit Down’’ Pilot Plan’’, by Paul 

Hughes, DERA, dated December 2017, available at 

https://www.sec.gov/comments/4-631/4631- 

2830189-161648.pdf. 

37 Id. at 2. 

38 Id. at page 4. 

39See Research Note: Equity Market Volatility on 

August 24, 2015, by Commission Staff of the Office 

of Analytics and Research, Division of Trading and 

Markets, dated December 2015, available at https:// 

www.sec.gov/marketstructure/research/equity_

market_volatility.pdf. 

40See Securities Exchange Act Release Nos. 

79846 (January 19, 2017), 82 FR 8548 (January 26, 

2017) (SR–NYSEArca–2016–130) (Approval Order); 

79884 (January 26, 2017), 82 FR 8968 (February 1, 

2017) (SR–BatsBZX–2016–61) (Approval Order); 

79876 (January 25, 2017), 82 FR 8888 (January 31, 

2017) (SR–Nasdaq–2016–131) (Approval Order). 

The Primary Listing Exchanges implemented these 

changes to their automated reopenings on 

November 20, 2017. 

In addition, DERA issued a white 

paper studying the impact of 

Amendment No. 10 and found that 

Trading Pauses for both Tier 1 and Tier 

2 NMS Stocks were less frequent 

following the implementation of the 

amendment.36 DERA found that the 

‘‘decrease in the frequency of Trading 

Pauses was largest for Tier 2 securities, 

relative to Tier 1, and also larger in the 

first 30 minutes after the opening of the 

trading day.’’ 37 In particular, from May 

12, 2014 (the day Phase 2 of the Plan 

was implemented) to December 31, 

2016, DERA found that the number of 

Trading Pauses decreased by nearly 

80%.38 Since the implementation of 

Amendment No. 10, DERA found a 

further decrease in Trading Pauses, with 

the largest decrease occurring prior to 

10:00 a.m. As evidenced by the above 

data and DERA’s study, Amendment 

No. 10 improved the performance of the 

Plan during the commencement of 

trading by refining the selection method 

of an NMS Stock’s Reference Price, 

resulting in a decrease in the number of 

Trading Pauses at the open. 

Amendments Nos. 12 and 13. On 

August 24, 2015, the U.S. markets 

experienced extraordinary equities 

market volatility in which 257 securities 

triggered more than one halt, and those 

multi-halt securities accounted for 1,064 

of the 1,278 total halts.39 Following this 

event, the Participants focused on a 

method to improve the accuracy of the 

reopening price so as to avoid triggering 

repeated Trading Pauses and adopted a 

set of common elements across all 

Primary Listing Exchanges for 

automated reopenings. The overarching 

objective was to ensure consistent and 

standardized behavior across markets, 

while carefully balancing Halt Auction 

price quality and the speed with which 

continuous trading can be resumed. 

The process of reopening a security 

after a Trading Pause prior to 

Amendment No. 12, provided that the 

Primary Listing Exchange would 

attempt to open the paused symbol five 

minutes after the commencement of the 

pause and, if unsuccessful, again 10 

minutes later. If the Primary Listing 

Market was unable to reopen 10 minutes 

after the commencement of the pause, 

other markets were permitted to resume 

trading that symbol. Amendment No. 12 

improved and standardized the 

automated reopening process following 

a Trading Pause. The Primary Listing 

Exchanges also adopted rules revising 

their automated reopening processes 

following a Trading Pause consistent 

with Amendment No. 12.40

Under the original reopening process 

after a Trading Pause, the Primary 

Listing Exchange would attempt to open 

the paused symbol at five minutes and 

then again at 10 minutes after the initial 


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41For example, if there is selling pressure, the 

auction reference price will be the lower Price 

Band. The lower Auction Collars would be 5% 

below that auction reference price (or $0.15 for 

stocks with a reference price below $3.00). To 

address mean price reversion, the upper Auction 

Collar will be the upper Price Band. 

42See U.S. Securities and Exchange Commission 

Equity Market Structure Advisory Committee, 

Recommendations for Rulemaking on Issues of 

Market Quality, dated November 29, 2016, available 

at https://www.sec.gov/spotlight/emsac/emsacrecommendations-rulemaking-market-quality.pdf. 

43The Participants will address the EMSAC 

recommendations in their first annual report 

regarding the Plan’s operation, proposed herein and 

discussed below. 

pause. If the Primary Listing Market was 

unable to reopen at 10 minutes under its 

own auction rules (e.g., a market order 

imbalance was remaining or the auction 

clearing price is outside of the auction 

collar bands), other markets were 

permitted to resume trading that 

symbol. Amendment No. 12 changed 

this reopening process by generally 

requiring a Primary Listing Exchange to 

conduct a reopening auction prior to 

trade resumption by other Trading 

Centers. Specifically, Amendment No. 

12 provided that, if the Primary Listing 

Exchange is unable to reopen after 10 

minutes following a Trading Pause, nonprimary markets would no longer be 

allowed to resume trading. Instead, 

Amendment No. 12 required that the 

Trading Pause continue until the 

Primary Listing Exchange reopens and 

non-primary exchanges have received 

Price Bands from the Processor. 

In tandem with Amendment No. 12, 

the Primary Listing Exchanges amended 

their rules to harmonize certain aspects 

of their automated re-opening 

procedures following a Trading Pause. 

The amended rules require that the 

Primary Listing Exchange publish 

auction price collars, which use a 

Reference Price based on the upper or 

lower Price Band that triggered the 

Trading Pause.41 The initial Trading 

Pause remains in effect for a full five 

minute period. If the Primary Listing 

Exchange is unable to reopen, a second 

full five minute Trading Pause begins 

and the auction price collar will be 

widened by another 5% (based on the 

last Reference Price. Price collars will be 

widened with each extension. 

Subsequent Trading Pause time periods 

also have a five minute duration, 

however re-openings after the initial 10 

minutes can occur whenever the reopening criteria have been met, without 

waiting for a full five minutes. In the 

event a Trading Pause is in effect and 

trading has not resumed by 3:50 p.m., 

trading in the NMS Stock will be 

deferred until 4:00 p.m. and combined 

with the closing auction process at each 

exchange. 

To preclude potential scenarios when 

trading may resume without Price 

Bands, Amendment No. 12 also 

prohibits a Trading Center from 

resuming trading in an NMS Stock 

following a Trading Pause in the 

absence of Price Bands. In addition, to 

address potential scenarios in which 

there is no Reopening Price from the 

Primary Listing Exchange to use to 

calculate Price Bands, Amendment No. 

12 also addressed when trading may 

resume if the Primary Listing Exchange 

is unable to reopen due to a systems or 

technology issue. Lastly, Amendment 

No. 12 also addressed how an NMS 

Stock’s Reference Price would be 

determined in such a scenario as well as 

where the Primary Listing Exchange 

reopens trading on a zero bid or zero 

offer, or both. The Participants 

subsequently submitted Amendment 

No. 13 to build upon Amendment No. 

12 by providing that the Processor will 

publish the following information 

provided by a Primary Listing Exchange 

in connection with the reopening of 

trading following a Trading Pause: 

Auction reference price; upper auction 

collar; lower auction collar; and number 

of extensions to the reopening auction. 

This information provides greater 

transparency regarding the price range 

in which an NMS Stock can reopen and 

the elapsed time duration of the 

reopening process. 

The Commission-empaneled Equity 

Structure Advisory Committee 

(‘‘EMSAC’’) tasked its Market Quality 

Subcommittee to examine the events of 

August 24, 2015 and to recommend 

changes as needed. Like the 

Participants, the Market Quality 

Subcommittee (‘‘Subcommittee’’) 

studied mechanisms and functions that 

‘‘could fix the auction process so that it 

would more successfully re-price 

securities to its new fair range.’’ 42 The 

Subcommittee recommended that, 

instead of halting trading when a stock 

hits a Price Band as provided in the 

Plan, trading should continue within 

the current Price Bands for four minutes 

and then new Price Bands should be 

reset using the limit Price Band as the 

Reference Price for those Price Bands. 

Several members of the Subcommittee 

were also members of the Plan’s 

Advisory Committee and the 

Subcommittee recommendations were 

discussed over a number of Operating 

Committee meetings on fixing the 

auction process. The Participants raised 

concerns that continued trading at the 

Price Bands would expose retail 

investors to disadvantageous pricing 

and determined to address the 

reopening auction process as described 

in Amendment No. 12.43

The changes adopted by the Primary 

Listing Exchanges to extend the Trading 

Pause and widen the Reopening 

Auction Collar on the side of the 

Impermissible Price set forth a 

measured approach to provide 

additional time to attract offsetting 

interest, to help to address an imbalance 

that may not be resolved within the 

prior Halt Auction Collars, and to 

reduce the potential for triggering 

another Trading Pause. 

Conclusion. As supported by the 

above data and the Plan’s overall 

performance, the Plan has proved to be 

a valuable tool in dampening and 

preventing extreme price volatility. 

Therefore, the Participants believe that 

the above data justifies the Plan being 

approved to operate on a permanent, 

rather than pilot, basis. Operation of the 

Plan on a permanent basis would 

provide market participants with greater 

assurance regarding the ongoing 

operation of the Plan and application of 

controls reasonably designed to stifle 

extraordinary price volatility. 

The Plan has been in effect for over 

five years since it commenced operation 

on April 18, 2013. The improvements 

made to the Plan in Amendments Nos. 

10, 12, and 13 have been in place in 

since July 18, 2016 (for Amendment No. 

10) and November 20, 2017 (for 

Amendments Nos. 12 and 13). In 

Amendment No. 17 to the Plan, the 

Participants extended the pilot period 

until April 15, 2019 to provide 

additional time for the public, the 

Participants, and the Commission to 

assess the operation of Amendment No. 

12. The extension of the pilot period 

was also intended to provide additional 

time for the Participants, the 

Commission, and the public to consider 

other potential modifications to the 

Plan, including changes to how NMS 

Stocks are tiered under the Plan, and the 

applicable Percentage Parameters 

associated with such tiers, as well as the 

EMSAC recommendations. 

Since the implementation of 

Amendment Nos. 10, 12, and 13, the 

U.S. equity markets have not 

experienced a disruption similar to 

what had occurred on August 24, 2015, 

with stable price continuity occurring at 

the open and following reopenings after 

a Trading Pause. Nonetheless, the 

amended Plan has worked well during 

normal market conditions as well as the 

volatile market activity that occurred in 

February 2018. The Plan met the 

expectations of the Pilot by preventing 

unwarranted Trading Pauses that are 

unrelated to volatility while also 


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44See supra note 1, 77 FR 33498 at 33508. 

45See Supplemental Joint Assessment, supra note 

19. 

46See Appendix B, Section III of the Plan. 

47See Supplemental Joint Assessment, supra note 

19. 

reducing the negative impacts of 

sudden, unanticipated price movements 

in NMS Stocks, as evidenced by the 

above data. Amendment No. 10 has 

served to greatly reduce the potential for 

a Reference Price to invoke an 

unwarranted Trading Pause. The 

Participants also believe that 

Amendment No. 12 will continue to 

perform as expected and will do so 

during times of potential future market 

volatility. In addition, the Participants 

propose to adopt a mechanism for the 

periodic review and assessment of the 

Plan’s performance discussed below. 

That assessment would encompass an 

ongoing review of the Plan’s operation 

generally, including the effectiveness of 

Amendments Nos. 12 and 13. 

The Participants believe that the five 

year pilot period has provided a robust 

sample size for ‘‘the public, the 

Participants, and the Commission to 

assess the operation of the Plan and 

whether the Plan should be modified 

prior to approval on a permanent 

basis.’’ 44 In particular, this time has also 

allowed the public, the Participants, and 

the Commission time to assess the 

operation of the Plan as amended by 

Amendment Nos. 10 and 12. The 

Participants believe that the amended 

Plan has positively impacted the 

markets by meeting its intended goal, to 

dampen and prevent extreme price 

volatility, and should therefore be 

approved to operate on a permanent 

basis. 

Proposed Mechanism for Periodic 

Review and Assessment 

As part of its proposal to operate the 

Plan on a permanent basis, the 

Participants propose a periodic 

reporting mechanism by which they, 

along with the Commission and other 

market participants may continue to 

monitor the Plan’s ongoing operation. 

The proposed structure would allow for 

the continued evaluation of the Plan’s 

performance while accounting for an 

evolving market structure. The proposed 

mechanism would also ensure that the 

Plan continues to be monitored in a 

data-driven manner by requiring data, 

analyses and reporting on a periodic 

basis. The proposed mechanism would 

provide transparency into the 

effectiveness of the Plan and allow the 

public and the Commission to examine 

its ongoing performance. 

Appendix B of the Plan currently 

requires that the Participants collect and 

transmit to the Commission certain 

information on a monthly basis, to be 

provided 30 calendar days following 

month end. Unless otherwise specified 

in Appendix B, the Primary Listing 

Exchanges are responsible for collecting 

and transmitting the data to the SEC. In 

sum, Sections I and II of Appendix B of 

the Plan require the Participants to 

produce the following data to the 

Commission as set forth in the Plan: 

• Summary statistics concerning the 

frequency with which NMS Stocks enter 

a Limit State and when a Trading Pause 

has been declared for an NMS Stock; 

• Raw Data concerning a record of 

every Straddle State, Price Band, Limit 

State, Trading Pause or halt; 

• Data set of orders entered into 

reopening auctions during halts or 

Trading Pauses; 

• Data set of order events received 

during Limit States; and, 

• Summary data on order flow of 

arrivals and cancellations for each 15- 

second period for discrete time periods 

and sample stocks to be determined by 

the SEC in subsequent data requests. 

The Plan also includes a provision 

under Appendix B, Section III that 

required the Participants to produce a 

one-time report to the Commission 

relating to the impact of the Plan and 

calibration of the Percentage Parameters, 

as discussed above. The Participants 

produced that report to the Commission 

on May 25, 2015.45 As part of its 

proposal to operate the Plan on a 

permanent basis, the Participants 

propose to replace the current reporting 

provision under Appendix B, Section III 

with a reporting mechanism by which 

the performance of the Plan would be 

reviewed and assessed on an ongoing 

basis. 

As described earlier, Appendix B, 

Section III of the Plan required the 

Participants to provide the Commission 

at least two months prior to the end of 

the initial pilot period with an 

assessment relating to the impact of the 

Plan and calibration of the Percentage 

Parameters.46 The Participants 

submitted their Supplemental Joint 

Assessment on May 28, 2015.47

As part of its proposal to implement 

the Plan on a permanent basis, the 

Participants propose to replace these 

data reporting requirements with a 

mechanism by which the Participants 

would periodically review and assess 

the performance of the Plan. 

Data Provision. The Participants 

believe that regular, ongoing provision 

of data to the Commission is no longer 

necessary as public information 

provided in standard data products 

provides much of the information 

currently required by Appendix B.I and 

B.II.A through B.II.D. With respect to 

the data that is not publicly available, 

the Participants propose that the Plan 

would require the Participants to 

provide certain data listed below to the 

Commission upon request. 

As proposed, the Commission may 

request from the Primary Listing 

Exchanges the following data elements: 

A. Data set of all orders entered during 

halts or Trading Pauses 

1. Normal or Auction Only orders, 

Arrivals, Changes, Cancels, # shares, 

limit/market, side, Limit State side 

2. Pipe delimited with field name as 

first record 

B. Data set of order events received 

during Limit States 

C. Summary data on order flow of 

arrivals and cancellations for each 

15-second period for discrete time 

periods and sample stocks to be 

determined by the SEC in 

subsequent data requests. Must 

indicate side(s) of Limit State 

1. Market/marketable sell orders 

arrivals and executions 

a. Count 

b. Shares 

c. Shares executed 

2. Market/marketable buy orders 

arrivals and executions 

a. Count 

b. Shares 

c. Shares executed 

3. Count arriving, volume arriving and 

shares executing in limit sell orders 

above NBBO mid-point 

4. Count arriving, volume arriving and 

shares executing in limit sell orders 

at or below NBBO mid-point (nonmarketable) 

5. Count arriving, volume arriving and 

shares executing in limit buy orders 

at or above NBBO mid-point (nonmarketable) 

6. Count arriving, volume arriving and 

shares executing in limit buy orders 

below NBBO mid-point 

7. Count and volume arriving of limit 

sell orders priced at or above NBBO 

mid-point plus $0.05 

8. Count and volume arriving of limit 

buy orders priced at or below NBBO 

mid-point minus $0.05 

9. Count and volume of (3–8) for 

cancels 

10. Include: Ticker, date, time at start, 

time of Limit State, all data item 

fields in 1, last sale prior to 15- 

second period (null if no trades 

today), range during 15-second 

period, last trade during 15-second 

period. 

These data elements are substantially 

similar to that currently required to be 


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48The Participants understand the data requested 

pursuant to proposed Appendix B.I may be used by 

the Commission for analysis and assessment of the 

Plan and that any portion of the data utilized as part 

of a public report produced by the Commission 

would be included on an anonymous and 

aggregated basis. 

49See U.S. Securities and Exchange Commission 

Equity Market Structure Advisory Committee, 

Recommendations for Rulemaking on Issues of 

Market Quality, dated November 29, 2016, available 

at https://www.sec.gov/spotlight/emsac/emsacrecommendations-rulemaking-market-quality.pdf. 

50As is the case today with proposed 

amendments to National Market System Plan 

submitted pursuant to Rule 608 of Regulation NMS, 

17 CFR 242.608, and published by the Commission 

for public comment, the Participants would consult 

with Commission staff when evaluating comments 

submitted by the public on the Annual Report and 

whether a response is necessary. The Participants 

note that a similar process is also currently in place 

when evaluating public comments submitted on 

proposed rule changes submitted by self-regulatory 

organizations under Section 19(b) of the Exchange 

Act. Neither Rule 608 nor Section 19(b) of the 

Exchange Act, 15 U.S.C. 78s(b), require that the 

Participants respond to each comment submitted on 

a proposed amendment to a National Market 

System Plan or rule change proposed to an 

individual exchange rule. Nonetheless, as with 

current practice, potential public comments on the 

reports proposed herein that raise material issues 

relevant to the Plan’s operation would likely 

warrant a response from the Participants. 

produced monthly under Appendix 

B.II.E through G. The only difference is 

that amended Appendix B.I.A would 

require data for all orders entered 

during a halt or Trading Pause as well 

as identifying whether an order was an 

auction-eligible order. The requested 

data would be collected and transmitted 

to the Commission in an agreed-upon 

format, and would be provided 30 

calendar days following the date of the 

request, or such other date as agreed 

upon by the Commission and Primary 

Listing Exchange(s). As is the case 

today, the proposed data collected and 

provided to the Commission under the 

Plan would be transmitted to the 

Commission with a request for 

confidential treatment under the 

Freedom of Information Act. 5 U.S.C. 

552, and the Commission’s rules and 

regulations thereunder.48 The proposed 

data collection requirements under 

Appendix B.I would expire at the time 

the above data becomes available via the 

National Market System Plan Governing 

the Consolidated Audit Trail or becomes 

publicly available. 

Reporting. The Participants propose 

to provide the Commission, and make 

publicly available, three categories of 

reports concerning the Plan’s ongoing 

operation on either a periodic or ad hoc 

basis, as described below. Specifically, 

the Participants propose to submit to the 

Commission an annual report assessing 

the Plan’s performance, quarterly 

reports providing basic statistics, as well 

as an ad hoc report on the effectiveness 

of LULD following a significant market 

event if requested by the Commission. 

The Participants would perform the 

proposed ongoing assessment and 

reporting concerning the Plan’s 

performance based on an empirical 

analysis of relevant data. Each report 

proposed herein and provided to the 

Commission would be made publicly 

available and published on the Plan’s 

website. 

Annual Report. As amended, 

Appendix B, Section III of the Plan 

would require that by no later than 

March 31, 2020 and annually thereafter, 

the Operating Committee would provide 

the Commission and make publicly 

available a report containing key 

information concerning the Plan’s 

performance during the preceding 

calendar year (‘‘Annual Report’’). The 

proposed Annual Report would be 

produced in consultation with the 

Advisory Committee and include the 

following items: (i) An update on the 

Plan’s operations; (ii) an analysis of any 

amendments to the Plan implemented 

during the period covered by the report; 

and (iii) an analysis of potential material 

emerging issues that may directly 

impact the operation of the Plan. 

• Update on the Plan’s Operations. 

This section of the Annual Report 

would analyze the Plan’s operation 

during the covered period, including a 

discussion of any areas of the Plan’s 

operation that require additional 

analysis. In particular, this section of 

the Annual Report would examine the 

calibration of the parameters set forth in 

the Plan (e.g., Price Bands, duration of 

Limit States, impact of Straddle States, 

duration of Trading Pauses, and the 

performance of reopening procedures 

following a Trading Pause). This section 

of the Annual Report also would 

consider stock characteristics and 

variations in market conditions over 

time, and will include tests that 

differentiate results for different 

characteristics, both in isolation and in 

combination. 

• Analysis of Amendments 

Implemented. This section of the 

Annual Report would provide an 

analysis of any amendments 

implemented during the covered period. 

The analysis would include a 

discussion of the amendment’s 

operation and its impact on the overall 

operation of the Plan. For example, this 

section of the Annual Report would 

include an analysis of the amendments 

proposed herein to Section V.A. I of the 

Plan concerning the calculation of the 

Percentage Parameters should those 

changes be approved by the 

Commission and implemented by the 

Participants during the period covered 

by that Annual Report. 

• Analysis of Emerging Issues. This 

section of the Annual Report should 

vary from year-to-year and would 

include a discussion and analysis of the 

Plan’s operation during a significant 

market event that may have occurred 

during the covered period. This section 

shall also include any additional 

analyses performed during the covered 

period on issues that were raised in 

previous Annual Reports. In this section 

of the first Annual Report to be 

produced by March 31, 2020, the 

Participants intend to discuss the 

November 29, 2016 recommendations 

made by EMSAC’s Market Quality 

Subcommittee.49

The Participants would perform the 

proposed ongoing assessment and 

reporting concerning the Plan’s 

performance based on an empirical 

analysis of relevant data. Any analysis 

conducted by the Participants and 

included in the Annual Report would be 

based on aggregated data from all 

relevant exchanges and FINRA, 

depending on the issue that is being 

analyzed. The Annual Report would be 

published on the Plan’s website.50

Quarterly Data. 30 days following the 

end of each calendar quarter, the 

Participants would provide the 

Commission and make publicly 

available a report including basic 

statistics regarding the Plan’s operation 

(‘‘Monitoring Report’’) during the 

preceding calendar quarter as well as 

aggregated data from the previous 12 

quarters beginning with the calendar 

quarter covered by the first Monitoring 

Report. The data included in the 

Monitoring Report would be collected 

and transmitted to the Commission in 

an agreed-upon format that would allow 

for the download and analysis by the 

Commission and the public. The 

purpose of the Monitoring Report is to 

identify trends in the performance and 

impact of the Plan on market activity. 

The Monitoring Report would include 

data, for example, of the number and 

rate of recurrence of Limit States, 

Straddle States and Trading Pauses for 

each month during the calendar quarter. 

The Monitoring Report would also 

examine the number of Clearly 

Erroneous Executions that occur during 

the operation of the Plan and the 

performance of reopening procedures 

following a Trading Pause. Appendix 

B.II.B would require the quarterly data 

production to include the following data 

for each month during the preceding 

calendar quarter: 

A. Events Data. 


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51 If the Processor has not yet disseminated Price 

Bands, but a Reference Price is available, a Trading 

Center may calculate and apply Price Bands based 

on the same Reference Price that the Processor 

would use for calculating such Price Bands until 

such trading center receives Price Bands from the 

Processor. 

52The Participants would include in an Annual 

Report an analysis of the amendments proposed 

herein to Section V.A.I of the Plan concerning the 

calculation of the Percentage Parameters if 

implemented by the Participants during the period 

covered by that Annual Report. 

1. Number of Limit States, Trading 

Pauses, and Straddle States per day, 

including distribution statics such 

as the mean, median, minimum and 

maximum percentiles 

2. Number of NMS Stocks that 

experience more than one Limit 

State, Trading Pause, or Straddle 

State in a single day including the 

length of each Limit State, Trading 

Pause, and Straddle State per day 

B. The number of Clearly Erroneous 

Events per day for all NMS Stocks 

that occurred during the time when 

Price Bands are disseminated by the 

Processor 

C. Reopening Data 

1. Number of times an automated 

reopening process is extended for 

and the length of the Trading Pause 

2. Whether the reopening process 

ended in a trade 

3. The price calculated by an 

automated reopening process for an 

NMS Stock exiting a Trading Pause 

4. For the five minutes following the 

conclusion of a Trading Pause, the 

highest price of all last sale eligible 

trades, the lowest price of all last 

sale eligible trades, and the average 

price of all last sale eligible trades 

Appendix B.II.B would also require 

that the data production partition stocks 

by the following categories, which are 

identical to that currently required for 

the monthly data productions under the 

existing text to Appendix B.I.A.1. 

A. Tier 1 non-ETP issues >$3.00 

B. Tier 1 non-ETP issues >=$0.75 and 

=$3.00 

C. Tier 1 non-ETP issues <$0.75 

D. Tier 1 non-leveraged ETPs in each of 

above categories 

E. Tier 1 leveraged ETPs in each of 

above categories 

F. Tier 2 non-ETPs in each of above 

categories 

G. Tier 2 non-leveraged ETPs in each of 

above categories 

H. Tier 2 leveraged ETPs in each of 

above categories 

Appendix B.II.B would also require 

that the above data be partitioned by 

time of day into the following 

categories, which are identical to that 

currently required for the monthly data 

productions under the existing text to 

Appendix B.I.A.2. 

A. Opening (prior to 9:45 a.m. ET) 

B. Regular (between 9:45 a.m. ET and 

3:35 p.m. ET) 

C. Closing (after 3:35 p.m. ET) 

D. Within five minutes of a Trading 

Pause re-open or IPO open 

Reports on Market Events. As 

proposed, the Plan would include a 

provision that would describe when the 

Operating Committee would be required 

to produce a report at the Commission’s 

request. Specifically, upon Commission 

request, the Operating Committee would 

provide the Commission and make 

publicly available a report analyzing the 

Plan’s operation during a significant 

market event that (1) materially 

impacted the trading of more than one 

security across multiple Trading 

Centers; (2) and is directly related to or 

implicating the performance of the Plan. 

For example, this report will evaluate 

the performance of Market-Wide Circuit 

Breakers during the covered period and 

their relationship to and interaction 

with the operation of the Plan during 

times when the Market Wide Circuit 

Breakers have been triggered. The 

Participants note that a discussion of the 

Plan’s operation during a significant 

market event is also proposed to be 

included in the proposed Annual 

Report. Depending on the timing of the 

ad hoc report requested by the 

Commission, the Participants anticipate 

that the report requested by the 

Commission may be satisfied by 

inclusion of an analysis of the Plan’s 

operation during a significant market 

event in the proposed Annual Report. 

Proposal To Amend Calculation of 

Percentage Parameters 

The Price Bands for an NMS Stock are 

calculated by applying the Percentage 

Parameter for such NMS Stock to the 

Reference Price, with the Lower Price 

Band being a Percentage Parameter 

below the Reference Price, and the 

Upper Price Band being a Percentage 

Parameter above the Reference Price. 

The Price Bands are calculated during 

Regular Trading Hours. The Price Bands 

are calculated by applying double the 

Percentage Parameters between 9:30 

a.m. and 9:45 a.m., and 3:35 p.m. and 

4:00 p.m., or in the case of an early 

scheduled close, during the last 25 

minutes of trading before the early 

scheduled close.51 Doubling of 

Percentage Parameters results in Price 

Bands for Tier 1 and Tier 2 NMS Stocks 

priced above $3.00 of 10% and 20%, 

respectively. 

As part of their ongoing obligation to 

study and make recommendations for 

improvement and in consultation with 

the Advisory Committee, the 

Participants propose to amend the Plan 

to change the calculation of Price Bands 

between 9:30 a.m. and 9:45 a.m. by 

eliminating the requirement to double 

the applicable Percentage Parameters 

under Section V.A.1. The Participants 

also propose to amend Section V.A.1 of 

the Plan to double the Percentage 

Parameters between 3:35 p.m. and 4:00 

p.m., or in the case of an early 

scheduled close, during the last 25 

minutes of trading before the early 

scheduled close, for only Tier 1 NMS 

Stocks and Tier 2 NMS Stocks with a 

Reference Price equal to or below $3.00. 

This change would result in no longer 

doubling the Percentage Parameters of 

Tier 2 NMS Stocks with a Reference 

Price above $3.00 near the close.52

Chart C illustrates the 

disproportionate number of Limit States 

and Trading Pauses that occur at or 

shortly after 9:45 a.m., the only time 

Price Bands contract intraday. Wider 

Price Bands could cause displayed 

quotations that are within the Price 

Bands prior to 9:45 a.m. to then be 

outside of the Price Bands once they 

contract. This, in turn, results in an 

increased number of Limit States and 

Trading Pauses starting at 9:45 a.m. 

when quotations may not be updated 

quickly enough. (The chart also shows 

that the number of Limit States and 

Trading Pauses then decreases as 

trading adjusts to the tighter Price 

Bands.) 

As illustrated in Chart C, over 21% of 

all Trading Pauses occur in the five 

minutes following the contraction of the 

Price Bands between 9:45 a.m. and 9:50 

a.m. Chart D shows that the increase in 

Trading Pauses at 9:45 a.m. is not due 

to an increase in volatility at or around 

9:45 a.m., but is primarily driven by the 

sudden contraction of Price Bands as 

currently required by the Plan. 


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Chart C 

* Source. Participant data. 

Chart D 

* Source. Participant data. 
Federal Register / Vol. 83, No. 246 / Wednesday, December 26, 2018 / Notices 66475 

53The Commission understands that this 

reference to ‘‘Advisors’’ is related to Section II(D) 

of the plan, which discusses the Advisory 

Committee. 

Chart E and F below review the same 

data as Chart C over 15-minute periods, 

rather than 5-minutes, and show that 

the first 15 minutes of the trading day 

from 9:30 a.m. to 9:45 a.m. account for 

less than 10% of all Trading Pauses. 

Meanwhile, the subsequent 15 minutes 

following the contraction of Price Bands 

at 9:45 a.m. account for nearly 30% of 

all Trading Pauses despite no evidence 

of abnormal volatility. 

To further illustrate distortions 

caused by double wide Price Bands 

from 9:30–9:45 a.m., the Participants 

studied the distribution of clearly 

erroneous executions during the trading 

day. Chart F shows that 44% of all 

clearly erroneous executions occur 

between 9:30 a.m. and 9:45 a.m. since 

the implementation of Amendment No. 

10 on July 18, 2016. With regard to 

ETPs, 64% of all clearly erroneous 

executions occur between 9:30 a.m. and 

9:45 a.m. during that same period. The 

Participants and Advisors 53 believe that 

narrower Price Bands during this 15 

minute period would have prevented 

some of these clearly erroneous 

executions by pausing trading at the 

Price Bands. 

The Participants analyzed the 

potential impact of eliminating double 

wide Price Bands on the number of 

Limit States and Trading Pauses. As 

expected, using trading data from 

January 2, 2018 to June 30, 2018, our 

model predicts a hypothetical increase 

in the number of Limit States and 

Trading Pauses. Under existing 

procedures for calculating Price Bands, 

the Participants observed that an 

average of 1.3 NMS Stocks per day 

experienced one or more Limit States 

between 9:30 a.m. and 9:45 a.m. Those 

Limit States resulted in an average of 

0.85 NMS Stocks experiencing a 

Trading Pause each day. Based on 

historical data, the Participants 

estimated that eliminating the doubling 

of Percentage Parameters between 9:30 

a.m. and 9:45 a.m. would increase the 

number of NMS Stocks that experience 

a Limit State from 1.3 to 5.5 per day, 

leading to an estimated average of 3.60 

NMS Stocks experiencing a Trading 

Pause, an increase of 2.75 per day. 


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With regard to ETPs, the Participants 

observed that an average of 0.5 ETPs per 

day experienced one or more Limit 

States between 9:30 a.m. and 9:45 a.m. 

from January 2, 2018 to June 30, 2018. 

Those Limit States resulted in an 

average of 0.34 symbols experiencing a 

Trading Pause each day. Based on 

historical data, the Participants 

anticipate that no longer doubling the 

Percentage Parameters between 9:30 

a.m. and 9:45 a.m. would increase the 

number of ETP symbols with limit states 

from 0.5 per day to 1.4 per day, with an 

average of 0.94 symbols experiencing a 

Trading Pause, and increase of 0.6 per 

day. 

Despite this theoretical increase in 

Limit States and Trading Pauses, the 

Participants and Advisors believe that 

eliminating double wide Price Bands 

would not result in an actual increase. 

Instead, the Participants and Advisors, 

in particular, believe that market 

participants will quickly adapt their 

systems to quote and trade within the 

new, tighter Price Bands. Furthermore, 

market participants will no longer need 

to adjust their quotes in response to a 

sudden narrowing of Price Bands at 

9:45. It is anticipated that market 

makers would quote within the 

proposed tighter Price Bands and their 

quotes would remain within the Price 

Bands as they adjust due to market 

conditions, rather than at a set time 

where they drastically contract. The 

expectation is that market makers would 

continue to provide liquidity within the 

Price Bands, even if the Price Bands are 

tighter than the current levels. As a 

result of the proposal, the Participants 

and Advisors anticipate that overall the 

average number of Limit States and 

Trading Pauses will decrease. 

Currently, Percentage Parameters are 

also doubled at the close of trading—i.e., 

the period between 3:35 p.m. and 4:00 

p.m., or in the case of an early 

scheduled close, during the last 25 

minutes of trading before the early 

scheduled close. The Participants 

propose to amend Section V.A.1 of the 

Plan to double the Percentage 

Parameters at the close for only Tier 1 

NMS Stocks and Tier 2 NMS Stocks 

with a Reference Price equal to or below 

$3.00. Tier 2 NMS Stocks priced above 

$3.00, which are already subject to a 

wide Percentage Parameter of 10% 

during the rest of the trading day, would 

not be doubled. This proposed change is 

intended to dampen extreme price 

movements that may occur inside of the 


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expanded Price Bands near the close of 

trading. 

The Participants originally designed 

the Plan to include doubled Percentage 

Parameters around the opening and 

close of trading to ensure that the new 

Limit Up-Limit Down mechanism 

would perform as intended in periods of 

higher volatility. Although there was no 

available data on which to base this 

decision, at the time the Participants 

believed that this exception to the 

regular Percentage Parameters was an 

appropriate cautionary measure while 

the Participants and the industry gained 

experience with this new mechanism. 

Specifically, as stated in the 

Participants’ response to comments on 

the proposed Plan, the Participants 

stated that, ‘‘[t]he Participants believe 

that the proposed doubling of the 

Percentage Parameters is appropriate in 

light of the volatility profiles around the 

opening and closing periods, and that 

no adjustment to the timing or levels of 

the Price Bands should be made to the 

Plan until experience is gained from 

both Phases I and II’’ (emphasis added). 

In approving this aspect of the Plan, the 

Commission relied on the expertise of 

the Participants but further provided 

that the pilot period would provide 

additional time to gain experience with 

the operation of the Plan that would 

inform any permanent approval. 

Based on the Participants’ collective 

experience in operating the Plan over 

the past five years, as well as advice 

from market participants including the 

Advisory Committee, the Participants 

believe that the original concerns about 

volatility around the close were 

unfounded with respect to Tier 2 NMS 

Stocks where the applicable Percentage 

Parameters are already 10% during the 

remainder of the trading day. 

Specifically, the Participants found that 

only a de minimis number of trades 

actually occur outside of the regular 

10% Percentage Parameter, and that 

therefore the doubling of the Percentage 

Parameters for Tier 2 NMS Stocks at the 

close is unwarranted. 

Furthermore, the Participants believe 

that the currently doubled Percentage 

Parameters for Tier 2 NMS Stocks— 

which would accommodate price 

swings of as much as 40% when trading 

from the upper Price Band to the lower 

Price Band—are inconsistent with the 

stated goal of the Plan, which is to 

address extraordinary volatility in NMS 

Stocks, and thereby protect investors 

and promote fair and orderly markets. 

While data collected by the Participants 

shows that such extreme price moves 

are rare today, the Participants believe 

that waiting for a major event to occur 

before closing this gap would weaken 

investor confidence in the markets, and 

is inconsistent with principles of 

investor protection. 

As shown by Chart I, extreme price 

changes remain rare and are readily 

accommodated within the normal, nondoubled, Percentage Parameter for Tier 

2 NMS Stocks. To illustrate, the 

Participants reviewed how far every 

NMS Stock’s price moved (high to low) 

during every 30-second period from 

January 2018 to March 2018, a period 

that included relatively higher volatility 

in February 2018. As described by the 

below data, over that period, 99.9% of 

30-second high-low price changes were 

less than 3%. Less than .02% of 30- 

second periods (22,347 out of 117 

million measured) included a price 

change greater than 5%. Only 126 30- 

second periods included price change of 

more than 20%. 

BILLING CODE 8011–01–P 


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As illustrated in Charts J and K below, 

Trading Pauses are significantly 

underrepresented during the last 25 

minutes of the trading day where the 

Percentage Parameters are doubled. 

Based on data compiled by the 

Participants, during 2017 and 2018 

through October 12, an average of 0.06 

Trading Pauses occurred each day at the 

close (about one pause every 17 trading 

days). By comparison, the average for 

any 25 minute period across the entire 

trading day is 0.57 Trading Pauses per 

day (about one pause every 2 trading 

days). Even with the proposed change to 

only double Percentage Parameters for 

Tier 2 NMS Stocks with a Reference 

Price below $3.00, the Participants 

expect that the total number of Trading 

Pauses experienced during this period 

would be de minimis. The Participants 

estimate that eliminating double wide at 

the close will results in about 0.2 new 

Trading Pauses per day (out of a total of 

9 per day during 2017 and 2018 through 

October 12, 2018) would result from the 

proposed change, without accounting 

for a reduction attributable to behavioral 

changes. Trading Pauses would 

therefore continue to be 

underrepresented at the close 

notwithstanding any minimal increase. 


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BILLING CODE 8011–01–C 

Furthermore as discussed above, the 

Participants believe that the real number 

of new Trading Pauses under the 

proposed modified percentage 

parameters would be significantly lower 

than suggested by historical data 

because that data does not take into 

account changes in behavior by market 

participants. Specifically, the 

Participants believe, based on 

experience operating the Plan and the 

advice of the Advisory Committee, that 

market participants would adjust their 

quoting behavior in response to these 

changes, resulting in a much lower 

number of Trading Pauses than 

suggested by the historical data. 

Eliminating the doubling of the 

Percentage Parameters at the close for 

Tier 2 NMS Stocks priced above $3.00 

would therefore come with almost no 

cost in terms of additional Trading 

Pauses and would remove the 

possibility of extreme price movements 

within the Price Bands. While volatility 

near the close has been rare, continuing 

to double Percentage Parameters leaves 

investors at risk of extreme price 

changes of up to 40% from the Upper 

Price Band to the Lower Price Band. At 

the same time, there is no evidence that 

eliminating the doubling of Percentage 


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66480 Federal Register / Vol. 83, No. 246 / Wednesday, December 26, 2018 / Notices 

54See text accompanying 82 FR 45922, note 1, 

supra. 

Parameters at the close for Tier 2 NMS 

Stocks priced above $3.00 would be 

disruptive to the market. The 

Participants therefore believe that it is 

consistent with the protection of 

investors and the public interest to no 

longer double the Percentage Parameters 

at the close for these securities. In 

addition, the Participants believe that 

this change is consistent with the goals 

of the Plan itself as Price Bands that are 

40% wide from the Upper Band to the 

Lower Band at the close leave open the 

potential for the extraordinary price 

movements that resulted in the Plan 

being adopted in the first place. In fact, 

Participants believe that these double 

wide Price Bands leave open the 

potential for future mini-Flash Crashes 

that can and should be prevented. 

In addition, there have been 

discussions around eliminating clearly 

erroneous rules when the Limit UpLimit Down mechanism is in effect. 

Broadly, the Limit Up-Limit Down 

mechanism prevents trades from 

happening at prices where one party to 

the trade would be considered 

‘‘aggrieved,’’ and thus could be viewed 

as an appropriate mechanism to 

supplant clearly erroneous rules. The 

Participants believe, however, that 

without the backstop of clearly 

erroneous rules, it is vital that the Price 

Bands are appropriately tailored to 

prevent trades that are so far from 

current market prices that they would 

be viewed as having been executed in 

error. Continuing to permit trading to 

occur within Price Bands that are as 

much as 20% above or below the 

Reference Price without the protections 

provided by the clearly erroneous rules 

does not satisfy this requirement, and 

would be detrimental to investors and 

the public interest. 

B. Governing or Constituent Documents 

The governing documents of the 

Processor, as defined in Section I(P) of 

the Plan, will not be affected by the 

Plan, but once the Plan is implemented, 

the Processor’s obligations will change, 

as set forth in detail in the Plan. 

C. Implementation of Plan 

The Plan was initially implemented 

as a one-year pilot program in two 

phases, consistent with Section VIII of 

the Plan: Phase I of Plan 

implementation began on April 8, 2013 

and was completed on May 3, 2013. 

Implementation of Phase II of the Plan 

began on August 5, 2013 and was 

completed on February 24, 2014. 

The Participants propose to 

implement the proposal to operate the 

Plan on a permanent basis upon 

Commission approval of this 

amendment. 

The Participants propose to 

implement the proposed changes to 

Section V.A.1 of the Plan no later than 

12 months after approval of this 

amendment. The implementation of 

these changes is contingent upon the 

Processors’ ability to implement this 

amendment on the proposed timeline. 

The Participants will provide six month 

advance public notice to market 

participants of the implementation date 

of the proposed changes to Section 

V.A.1 of the Plan. 

Quarterly Monitoring Reports 

required under Appendix B.II.B would 

be submitted no later than 30 days after 

the end of the covered calendar quarter. 

The Participants propose that the first 

quarterly Monitoring Report would 

cover the second full calendar quarter 

following the approval of this 

amendment. For example, if this 

amendment is approved during Q1 2019 

then the first quarterly Monitoring 

Report would cover Q3 2019 and would 

be submitted no later than October 30, 

2019. The Participants would continue 

to submit monthly data required by 

current Appendix B.I and B.II for 

months that would not be included in 

a quarterly Monitoring Report. The 

Participants would cease producing 

monthly data required by current 

Appendix B.I and B.II at the beginning 

of the calendar quarter covered by the 

first quarterly Monitoring Report. 

The Participants propose to submit 

the first Annual Report required under 

Appendix B.II.A no later than March 31, 

2020. 

D. Development and Implementation 

Phases 

The Plan was initially implemented 

as a one-year pilot program in two 

Phases, consistent with Section VIII of 

the Plan: Phase I of Plan 

implementation began on April 8, 2013 

and was completed on May 3, 2013. 

Implementation of Phase II of the Plan 

began on August 5, 2013 and was 

completed on February 24, 2014. The 

tenth amendment to the Plan was 

implemented on July 18, 2016 and the 

twelfth and thirteenth amendments to 

the Plan were implemented on 

November 20, 2017.54 Pursuant to this 

proposed amendment, the Participants 

propose to make the Plan permanent 

upon approval of this amendment. 

E. Analysis of Impact on Competition 

The proposed amendments to the 

Plan would apply to all market 

participants equally and would not 

impose a competitive burden on one 

category of market participant in favor 

of another category of market 

participant. The proposed amendment 

would apply to trading on all Trading 

Centers and all NMS Stocks would be 

subject to the amended Plan’s 

requirements. Therefore, the proposed 

Plan does not impose any burden on 

competition that is not necessary or 

appropriate in furtherance of the 

purposes of the Exchange Act. The 

Participants do not believe that the 

proposed Plan introduces terms that are 

unreasonably discriminatory for the 

purposes of Section 11A(c)(1)(D) of the 

Exchange Act because it would apply to 

all market participants equally. 

F. Written Understanding or Agreements 

Relating to Interpretation of, or 

Participation in, Plan 

The Participants have no written 

understandings or agreements relating 

to interpretation of the Plan. Section 

II(C) of the Plan sets forth how any 

entity registered as a national securities 

exchange or national securities 

association may become a Participant. 

G. Approval of Amendment of the Plan 

On October 31, 2018, the Operating 

Committee, duly constituted and 

chaired by Mr. Robert Books of Cboe 

Global Markets, Inc., voted unanimously 

to amend the Plan as set forth herein in 

accordance with Section III(C) of the 

Plan. The Plan Advisory Committee was 

notified in connection with the 

Eighteenth Amendment and was in 

favor. Each of the Plan’s Participants has 

executed a written amended Plan. 

H. Terms and Conditions of Access 

Section II(C) of the Plan provides that 

any entity registered as a national 

securities exchange or national 

securities association under the 

Exchange Act may become a Participant 

by: (1) Becoming a participant in the 

applicable Market Data Plans, as defined 

in Section I(F) of the Plan; (2) executing 

a copy of the Plan, as then in effect; (3) 

providing each then-current Participant 

with a copy of such executed Plan; and 

(4) effecting an amendment to the Plan 

as specified in Section III(B) of the Plan. 

I. Method of Determination and 

Imposition, and Amount of, Fees and 

Charges 

This section is not applicable as the 

proposed amendment to the Plan does 

not involve fees or charges. 


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55One academic study examined trading pauses 

during the SSCB Pilot and LULD Pilot and found 

that, on average, trading pauses increase volatility 

and widen bid-ask spreads. Hautsch, Nikolaus and 

Akos Horvath, 2018. ‘‘How Effective Are Trading 

Pauses?’’, Journal of Financial Economics, 

forthcoming, available at https://

www.sciencedirect.com/science/article/pii/S030440

5X18302356. 

56Another DERA study looked at the frequency 

of Trading Pauses around the introduction of Limit 

up Limit Down and found that a disproportionate 

number of trading pauses occurred during the five 

minutes after the opening bands contracted, i.e. 

9:45–9:50 a.m. See Moise, C. and P. Flaherty, 2017. 

‘‘Limit Up-Limit Down Pilot Plan and Associated 

Events’’, SEC White Paper, available at https://

www.sec.gov/dera/staff-papers/whitepapers/ 

10mar17moiseflahertyluld. 

J. Method and Frequency of Processor 

Evaluation 

This section is not applicable as the 

operation of the Plan is conducted by 

the Primary Listing Exchange. 

K. Dispute Resolution 

Section III(C) of the Plan provides that 

each Participant shall designate an 

individual to represent the Participant 

as a member of an Operating Committee. 

No later than the initial date of the Plan, 

the Operating Committee shall designate 

one member of the Operating Committee 

to act as the Chair of the Operating 

Committee. Any recommendation for an 

amendment to the Plan from the 

Operating Committee that receives an 

affirmative vote of at least two-thirds of 

the Participants, but is less than 

unanimous, shall be submitted to the 

Commission as a request for an 

amendment to the Plan initiated by the 

Commission under Rule 608. 

III. Solicitation of Comments 

Interested persons are invited to 

submit written data, views and 

arguments concerning the foregoing, 

including whether the amendment is 

consistent with the Exchange Act and 

the rules thereunder. 

Proposal To Narrow Bands Between 

9:30 and 9:45 

1. Is the proposal to amend the Plan 

by eliminating the requirement to 

double the applicable Percentage 

Parameters between 9:30 a.m. and 9:45 

a.m. under Section V.A.1 appropriate? 

2. Alternatively, would it be 

preferable and appropriate to maintain 

the current provision that doubles the 

Percentage Parameters between 9:30 

a.m. and 9:45 a.m.? Please support any 

response with data, if possible. 

3. The requirement to double the 

Percentage Parameters between 9:30 

a.m. and 9:45 a.m. for purposes of 

calculating the Price Bands was 

established in light of the higher 

volatility at the beginning of the trading 

day. Chart D in the Transmittal Letter 

accompanying the Eighteenth 

Amendment shows that the most 

volatile period of the trading day is 

between 9:30 a.m. and 9:45 a.m. Would 

the proposed narrower Price Bands 

increase the occurrence of Limit States 

and Trading Pauses that occur between 

9:30 a.m. and 9:45 a.m.? Are there any 

concerns that narrowing the Price Bands 

between 9:30 a.m. and 9:45 a.m. as 

proposed in the Eighteenth Amendment 

would impede an orderly trading 

environment during this more volatile 

period of the trading day? Please 

support any response with data, if 

possible. 

4. The Transmittal Letter provides 

historical analysis in Charts G and H 

estimating the impact of eliminating 

double-wide Price Bands between 9:30 

a.m. and 9:45 a.m. This analysis 

estimates an increase in both limit states 

and trading pauses were the doublewide bands eliminated during the time 

period analyzed. The Participants state, 

however, that this estimated impact is 

theoretical in nature and that market 

participant behavior would adjust to 

narrower Price Bands at the open, 

ultimately resulting in fewer limit states 

and trading pauses than reflected in 

Charts G and H. Do commenters agree 

with the Participants that market 

participant behavior would change such 

that eliminating double-wide bands at 

the open would not result in an increase 

in limit states and trading pauses 

similar to what the Participants project 

based on Charts G and H? If the doublewide bands did in fact result in a higher 

incidence of trading pauses and limit 

states as estimated based on Charts G 

and H, would market participants be 

concerned about impacts of the Plan on 

trading and market quality between 9:30 

a.m. and 9:45 a.m. and beyond? 55 Please 

support any response with data, if 

possible. 

5. Charts G and H demonstrate a spike 

in actual and projected limit states and 

trading pauses during February 2018. 

This spike appears to have occurred 

during the volatile trading day of 

February 5, 2018. Are commenters 

concerned about the impact of 

narrowing double-wide bands between 

9:30 a.m. and 9:45 a.m. on volatile 

trading days? Please support any 

response with data, if possible. 

6. Is there a disproportionate number 

of Limit States and Trading Pauses that 

occur at or shortly after 9:45 a.m.? 56 Are 

these Limit States and Trading Pauses 

caused by the contraction of the Price 

Bands rather than an increase in 

volatility of the type the Plan is 

designed to prevent? Would the 

proposed narrower Price Bands reduce 

the occurrence of Limit States and 

Trading Pauses that presently occur at 

or shortly after the Price Bands contract 

at 9:45 a.m.? 

7. Would the proposed narrower Price 

Bands reduce the number of clearly 

erroneous executions that occur 

between 9:30 a.m. and 9:45 a.m.? 

Proposal to Narrow Bands Between 3:35 

and 4:00 

8. Is the proposal to amend the Plan 

to eliminate the doubling of Percentage 

Parameters of Tier 2 NMS Stocks with 

a Reference Price above $3.00 between 

3:35 p.m. and 4:00 p.m. appropriate? 

9. Alternatively, would it be 

preferable and appropriate to maintain 

the current provision that doubles the 

Percentage Parameters of Tier 2 NMS 

Stocks with a Reference Price above 

$3.00 between 3:45 p.m. and 4:00 p.m.? 

Please support any response with data, 

if possible. 

10. The requirement to double the 

Percentage Parameters of Tier 2 NMS 

Stocks with a Reference Price above 

$3.00 between 3:35 p.m. and 4:00 p.m. 

for purposes of calculating the Price 

Bands was established in light of the 

higher volatility at the end of the trading 

day. Chart D shows that the volatility 

gradually increases as the trading day 

progresses towards the close of trading. 

Would the proposed narrower Price 

Bands between 3:35 p.m. and 4:00 p.m. 

increase the occurrence of Limit States 

and Trading Pauses that occur during 

that time period? Are there any 

concerns that narrowing the Price Bands 

between 3:35 p.m. and 4:00 p.m. as 

proposed would impede an orderly 

trading environment during this more 

volatile period of the trading day? 

Would an increase in Limit States and 

Trading Pauses between 3:35 p.m. and 

4:00 p.m. impact negatively the primary 

listing exchange closing auction 

processes? Please support any response 

with data, if possible. 

11. Do commenters agree with the 

Participants that market participant 

behavior would change such that 

eliminating double-wide bands at the 

close would not result in an increase in 

limit states and trading pauses similar to 

what the Participants project based on 

Chart K? If the double-wide bands did 

in fact result in a higher incidence of 

trading pauses and limit states as 

estimated based on Chart K, would 

market participants be concerned about 

impacts of the Plan on trading between 

3:35 p.m. and 4:00 p.m. or the primary 

listing exchange closing auction 

processes? Please support any response 

with data, if possible. 

12. Are commenters concerned about 

the impact of narrowing double-wide 


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bands between 3:35 p.m. and 4:00 p.m. 

on volatile trading days? Please support 

any response with data, if possible. 

13. Would the proposed narrower 

Price Bands increase the occurrence of 

Limit States and Trading Pauses near 

the close? Is the current doubling of 

Percentage Parameters for such stocks 

near the close unwarranted? Are 

potential price swings of as much as 

40% for such stocks inconsistent with 

the Plan’s goal of addressing 

extraordinary market volatility in NMS 

Stocks? 

Proposal To Provide Data to the 

Commission That Would Not Be Made 

Public 

14. The Participants propose to 

provide certain data to the Commission 

upon request that would not be made 

publicly available. Should any data that 

is provided to the Commission also be 

made publicly available? Please 

describe any concerns with respect to 

making public, or not making public, 

the data that will be provided to the 

Commission. 

Participant Statement Regarding 

Competition 

15. The Participants state that Plan 

does not impose any burden on 

competition that is not necessary or 

appropriate in furtherance of the 

purposes of the Exchange Act. Do 

commenters believe that the Plan 

imposes any burden on competition that 

is not necessary or appropriate in 

furtherance of the purposes of the 

Exchange Act? 

16. Further, would the proposal have 

a positive, negative, or neutral impact 

on competition? Please explain. How 

would any impact on competition from 

the proposal benefit or harm the 

national market system or the various 

market participants? Please describe and 

explain how, if at all, aspects of the 

national market system or different 

market participants would be affected. 

Please support any response with data, 

if possible. 

17. More generally, to the extent 

possible please provide specific data, 

analyses, or studies for support 

regarding any impacts of the proposal 

on competition. 

Comments may be submitted by any 

of the following methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number 4– 

631 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Brent J. Fields, Secretary, Securities 

and Exchange Commission, 100 F Street 

NE, Washington, DC 20549–1090. 

All submissions should refer to File 

Number 4–631.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 (http://www.sec.gov/rules/ 

sro.shtml). Copies of the submission, all 

subsequent amendments, all written 

statements with respect to the proposed 

plan amendment that are filed with the 

Commission, and all written 

communications relating to the 

amendment between the Commission 

and any person, other than those that 

may be withheld from the public in 

accordance with the provisions of 5 

U.S.C. 552, will be available for website 

viewing and printing in the 

Commission’s Public Reference Room, 

100 F Street NE, Washington, DC 20549, 

on official business days between the 

hours of 10:00 a.m. and 3:00 p.m. 

Copies of such filing also will be 

available for inspection and copying at 

the Participants’ offices. All comments 

received will be posted without change. 

Persons submitting comments are 

cautioned that we do not redact or edit 

personal identifying information from 

comment submissions. You should 

submit only information that you wish 

to make available publicly. All 

submissions should refer to File 

Number 4–631 and should be submitted 

on or before January 16, 2019. 

By the Commission. 

Eduardo A. Aleman, 

Deputy Secretary. 


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Exhibit A 

Proposed new language is underlined; proposed deletions are in [brackets] 

PLAN TO ADDRESS EXTRAORDINARY MARKET VOLATILITY 

SUBMITTED TO 

THE SECURITIES AND EXCHANGE COMMISSION 

PURSUANT TO RULE 608 OF REGULATION NMS 

UNDER THE 

SECURITIES EXCHANGE ACT OF 1934 
66484 Federal Register / Vol. 83, No. 246 / Wednesday, December 26, 2018 / Notices 


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Table of Contents 

Section 

Preamble........................................................................................................................ 1 

I. Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 

II. Parties.................................................................................................................... 4 

III. Amendments to Plan............................................................................................. 7 

IV. Trading Center Policies and Procedures............................................................... 8 

V. Price Bands . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 

VI. Limit Up-Limit Down Requirements................................................................... 11 

VII. Trading Pauses...................................................................................................... 13 

VIII. Implementation..................................................................................................... 15 

IX. Withdrawal from Plan........................................................................................... 15 

X. Counterparts and Signatures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 

Appendix A - Percentage Parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 

Appendix A- Schedule 1 .............................................................................................. 19 

Appendix B- Data and Reporting................................................................................. [35]37 
Federal Register / Vol. 83, No. 246 / Wednesday, December 26, 2018 / Notices 66485 

Preamble 

The Participants submit to the SEC 

this Plan establishing procedures to 

address extraordinary volatility in NMS 

Stocks. The procedures provide for 

market-wide limit up-limit down 

requirements that prevent trades in 

individual NMS Stocks from occurring 

outside of the specified Price Bands. 

These limit up-limit down requirements 

are coupled with Trading Pauses to 

accommodate more fundamental price 

moves. The Plan procedures are 

designed, among other things, to protect 

investors and promote fair and orderly 

markets. The Participants developed 

this Plan pursuant to Rule 608(a)(3) of 

Regulation NMS under the Exchange 

Act, which authorizes the Participants 

to act jointly in preparing, filing, and 

implementing national market system 

plans. 

I. Definitions 

(A) ‘‘Eligible Reported Transactions’’ 

shall have the meaning prescribed by 

the Operating Committee and shall 

generally mean transactions that are 

eligible to update the last sale price of 

an NMS Stock. 

(B) ‘‘Exchange Act’’ means the 

Securities Exchange Act of 1934, as 

amended. 

(C) ‘‘Limit State’’ shall have the 

meaning provided in Section VI of the 

Plan. 

(D) ‘‘Limit State Quotation’’ shall have 

the meaning provided in Section VI of 

the Plan. 

(E) ‘‘Lower Price Band’’ shall have the 

meaning provided in Section V of the 

Plan. 

(F) ‘‘Market Data Plans’’ shall mean 

the effective national market system 

plans through which the Participants act 

jointly to disseminate consolidated 

information in compliance with Rule 

603(b) of Regulation NMS under the 

Exchange Act. 

(G) ‘‘National Best Bid’’ and ‘‘National 

Best Offer’’ shall have the meaning 

provided in Rule 600(b)(42) of 

Regulation NMS under the Exchange 

Act. 

(H) ‘‘NMS Stock’’ shall have the 

meaning provided in Rule 600(b)(47) of 

Regulation NMS under the Exchange 

Act. 

(I) ‘‘Opening Price’’ shall mean the 

price of a transaction that opens trading 

on the Primary Listing Exchange. If the 

Primary Listing Exchange opens with 

quotations, the ‘‘Opening Price’’ shall 

mean the closing price of the NMS 

Stock on the Primary Listing Exchange 

on the previous trading day, or if no 

such closing price exists, the last sale on 

the Primary Listing Exchange. 

(J) ‘‘Operating Committee’’ shall have 

the meaning provided in Section III(C) 

of the Plan. 

(K) ‘‘Participant’’ means a party to the 

Plan. 

(L) ‘‘Plan’’ means the plan set forth in 

this instrument, as amended from time 

to time in accordance with its 

provisions. 

(M) ‘‘Percentage Parameter’’ shall 

mean the percentages for each tier of 

NMS Stocks set forth in Appendix A of 

the Plan. 

(N) ‘‘Price Bands’’ shall have the 

meaning provided in Section V of the 

Plan. 

(O) ‘‘Primary Listing Exchange’’ shall 

mean the Participant on which an NMS 

Stock is listed. If an NMS Stock is listed 

on more than one Participant, the 

Participant on which the NMS Stock has 

been listed the longest shall be the 

Primary Listing Exchange. 

(P) ‘‘Processor’’ shall mean the single 

plan processor responsible for the 

consolidation of information for an 

NMS Stock pursuant to Rule 603(b) of 

Regulation NMS under the Exchange 

Act. 

(Q) ‘‘Pro-Forma Reference Price’’ shall 

have the meaning provided in Section 

V(A)(2) of the Plan. 

(R) ‘‘Reference Price’’ shall have the 

meaning provided in Section V of the 

Plan. 

(S) ‘‘Regular Trading Hours’’ shall 

have the meaning provided in Rule 

600(b)(64) of Regulation NMS under the 

Exchange Act. For purposes of the Plan, 

Regular Trading Hours can end earlier 

than 4:00 p.m. ET in the case of an early 

scheduled close. 

(T) ‘‘Regulatory Halt’’ shall have the 

meaning specified in the Market Data 

Plans. 

(U) ‘‘Reopening Price’’ shall mean the 

price of a transaction that reopens 

trading on the Primary Listing Exchange 

following a Trading Pause or a 

Regulatory Halt, or, if the Primary 

Listing Exchange reopens with 

quotations, the midpoint of those 

quotations. 

(V) ‘‘SEC’’ shall mean the United 

States Securities and Exchange 

Commission. 

(W) ‘‘Straddle State’’ shall have the 

meaning provided in Section VII(A)(2) 

of the Plan. 

(X) ‘‘Trading center’’ shall have the 

meaning provided in Rule 600(b)(78) of 

Regulation NMS under the Exchange 

Act. 

(Y) ‘‘Trading Pause’’ shall have the 

meaning provided in Section VII of the 

Plan. 

(Z) ‘‘Upper Price Band’’ shall have the 

meaning provided in Section V of the 

Plan. 

II. Parties 

(A) List of Parties 

The parties to the Plan are as follows: 

(1) Cboe BZX Exchange, Inc., 400 South 

LaSalle Street, Chicago, Illinois 

60605 

(2) Cboe BYX Exchange, Inc., 400 South 

LaSalle Street, Chicago, Illinois 

60605 

(3) Cboe EDGA Exchange, Inc., 400 

South LaSalle Street, Chicago, 

Illinois 60605 

(4) Cboe EDGX Exchange, Inc., 400 

South LaSalle Street, Chicago, 

Illinois 60605 

(5) Chicago Stock Exchange, Inc., 440 

South LaSalle Street, Chicago, 

Illinois 60605 

(6) Financial Industry Regulatory 

Authority, Inc., 1735 K Street NW, 

Washington, DC 20006 

(7) Investors Exchange LLC, 4 World 

Trade Center, 44th Floor, New 

York, New York 10007 

(8) NASDAQ BX, Inc., One Liberty 

Plaza, New York, New York 10006 

(9) NASDAQ PHLX LLC, 1900 Market 

Street, Philadelphia, Pennsylvania 

19103 

(10) The Nasdaq Stock Market LLC, 1 

Liberty Plaza, 165 Broadway, New 

York, NY 10006 

(11) NYSE National, Inc., 11 Wall Street, 

New York, NY 10005 

(12) New York Stock Exchange LLC, 11 

Wall Street, New York, New York 

10005 

(13) NYSE American LLC, 11 Wall 

Street, New York, New York 10005 

(14) NYSE Arca, Inc., 11 Wall Street, 

New York, New York 10005 

(B) Compliance Undertaking 

By subscribing to and submitting the 

Plan for approval by the SEC, each 

Participant agrees to comply with and to 

enforce compliance, as required by Rule 

608(c) of Regulation NMS under the 

Exchange Act, by its members with the 

provisions of the Plan. To this end, each 

Participant shall adopt a rule requiring 

compliance by its members with the 

provisions of the Plan, and each 

Participant shall take such actions as are 

necessary and appropriate as a 

participant of the Market Data Plans to 

cause and enable the Processor for each 

NMS Stock to fulfill the functions set 

forth in this Plan. 

(C) New Participants 

The Participants agree that any entity 

registered as a national securities 

exchange or national securities 

association under the Exchange Act may 

become a Participant by: (1) Becoming 

a participant in the applicable Market 

Data Plans; (2) executing a copy of the 


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Plan, as then in effect; (3) providing 

each then-current Participant with a 

copy of such executed Plan; and (4) 

effecting an amendment to the Plan as 

specified in Section III (B) of the Plan. 

(D) Advisory Committee 

(1) Formation. Notwithstanding other 

provisions of this Plan, an Advisory 

Committee to the Plan shall be formed 

and shall function in accordance with 

the provisions set forth in this section. 

(2) Composition. Members of the 

Advisory Committee shall be selected 

for two-year terms as follows: 

(A) Advisory Committee Selections. 

By affirmative vote of a majority of the 

Participants, the Participants shall select 

at least one representatives from each of 

the following categories to be members 

of the Advisory Committee: (1) A 

broker-dealer with a substantial retail 

investor customer base; (2) a brokerdealer with a substantial institutional 

investor customer base; (3) an 

alternative trading system; (4) a brokerdealer that primarily engages in trading 

for its own account; and (5) an investor. 

(3) Function. Members of the 

Advisory Committee shall have the right 

to submit their views to the Operating 

Committee on Plan matters, prior to a 

decision by the Operating Committee on 

such matters. Such matters shall 

include, but not be limited to, proposed 

material amendments to the Plan. 

(4) Meetings and Information. 

Members of the Advisory Committee 

shall have the right to attend meetings 

of the Operating Committee and to 

receive any information concerning Plan 

matters; provided, however, that the 

Operating Committee may meet in 

executive session if, by affirmative vote 

of a majority of the Participants, the 

Operating Committee determines that an 

item of Plan business requires 

confidential treatment. 

III. Amendments to Plan 

(A) General Amendments 

Except with respect to the addition of 

new Participants to the Plan, any 

proposed change in, addition to, or 

deletion from the Plan shall be effected 

by means of a written amendment to the 

Plan that: (1) Sets forth the change, 

addition, or deletion; (2) is executed on 

behalf of each Participant; and, (3) is 

approved by the SEC pursuant to Rule 

608 of Regulation NMS under the 

Exchange Act, or otherwise becomes 

effective under Rule 608 of Regulation 

NMS under the Exchange Act. 

(B) New Participants 

With respect to new Participants, an 

amendment to the Plan may be effected 

by the new national securities exchange 

or national securities association 

executing a copy of the Plan, as then in 

effect (with the only changes being the 

addition of the new Participant’s name 

in Section II(A) of the Plan) and 

submitting such executed Plan to the 

SEC for approval. The amendment shall 

be effective when it is approved by the 

SEC in accordance with Rule 608 of 

Regulation NMS under the Exchange 

Act or otherwise becomes effective 

pursuant to Rule 608 of Regulation NMS 

under the Exchange Act. 

(C) Operating Committee 

(1) Each Participant shall select from 

its staff one individual to represent the 

Participant as a member of an Operating 

Committee, together with a substitute 

for such individual. The substitute may 

participate in deliberations of the 

Operating Committee and shall be 

considered a voting member thereof 

only in the absence of the primary 

representative. Each Participant shall 

have one vote on all matters considered 

by the Operating Committee. No later 

than the initial date of Plan operations, 

the Operating Committee shall designate 

one member of the Operating Committee 

to act as the Chair of the Operating 

Committee. 

(2) The Operating Committee shall 

monitor the procedures established 

pursuant to this Plan and advise the 

Participants with respect to any 

deficiencies, problems, or 

recommendations as the Operating 

Committee may deem appropriate. The 

Operating Committee shall establish 

specifications and procedures for the 

implementation and operation of the 

Plan that are consistent with the 

provisions of this Plan and the 

Appendixes thereto. With respect to 

matters in this paragraph, Operating 

Committee decisions shall be approved 

by a simple majority vote. 

(3) Any recommendation for an 

amendment to the Plan from the 

Operating Committee that receives an 

affirmative vote of at least two-thirds of 

the Participants, but is less than 

unanimous, shall be submitted to the 

SEC as a request for an amendment to 

the Plan initiated by the Commission 

under Rule 608 of Regulation NMS. 

IV. Trading Center Policies and 

Procedures 

All trading centers in NMS Stocks, 

including both those operated by 

Participants and those operated by 

members of Participants, shall establish, 

maintain, and enforce written policies 

and procedures that are reasonably 

designed to comply with the limit up— 

limit down requirements specified in 

Sections VI of the Plan, and to comply 

with the Trading Pauses specified in 

Section VII of the Plan. 

V. Price Bands 

(A) Calculation and Dissemination of 

Price Bands 


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(1) The Processor for each NMS stock shall calculate and disseminate to the public a 

Lower Price Band and an Upper Price Band during Regular Trading Hours for such NMS Stock. The 

Price Bands shall be based on a Reference Price for each NMS Stock that equals the arithmetic mean 

price of Eligible Reported Transactions for the NMS stock over the immediately preceding five-minute 

period (except for periods following openings and reopenings, which are addressed below). If no 

Eligible Reported Transactions for the NMS Stock have occurred over the immediately preceding fiveminute period, the previous Reference Price shall remain in effect. The Price Bands for an NMS Stock 

shall be calculated by applying the Percentage Parameter for such NMS Stock to the Reference Price, 

with the Lower Price Band being a Percentage Parameter below the Reference Price, and the Upper 

Price Band being a Percentage Parameter above the Reference Price. The Price Bands shall be 

calculated during Regular Trading Hours. Between [9:30a.m. and 9:45 a.m. ET, and ]3:35p.m. and 

4:00 p.m. ET, or in the case of an early scheduled close, during the last 25 minutes of trading before 

the early scheduled close, the Price Bands shall be calculated by applying double the Percentage 

Parameters set forth in Appendix A for (i) all Tier 1 NMS Stocks and (ii) Tier 2 NMS Stocks priced 

equal to or below $3 .00. If the Processor has not yet disseminated Price Bands, but a Reference Price 

is available, a trading center may calculate and apply Price Bands based on the same Reference Price 

that the Processor would use for calculating such Price Bands until such trading center receives Price 

Bands from the Processor. If, under Section VII(B)(2), the Primary Listing Exchange notifies the 

Processor that it is unable to reopen an NMS Stock due to a systems or technology issue and it has not 

declared a Regulatory Halt, the Processor will calculate and disseminate Price Bands by applying triple 

the Percentage Parameters set forth in Appendix A for the first 30 seconds such Price Bands are 

disseminated. 
66488 Federal Register / Vol. 83, No. 246 / Wednesday, December 26, 2018 / Notices 

(B) Openings 

(1) Except when a Regulatory Halt is 

in effect at the start of Regular Trading 

Hours, the first Reference Price for a 

trading day shall be the Opening Price 

on the Primary Listing Exchange in an 

NMS Stock if such Opening Price occurs 

less than five minutes after the start of 

Regular Trading Hours. During the 

period less than five minutes after the 

Opening Price, a Pro-Forma Reference 

Price shall be updated on a continuous 

basis to be the arithmetic mean price of 

Eligible Reported Transactions for the 

NMS Stock during the period following 

the Opening Price (including the 

Opening Price), and if it differs from the 

current Reference Price by 1% or more 

shall become the new Reference Price, 

except that a new Reference Price shall 

remain in effect for at least 30 seconds. 

Subsequent Reference Prices shall be 

calculated as specified in Section V(A) 

of the Plan. 

(2) If the Opening Price on the 

Primary Listing Exchange in an NMS 

Stock does not occur within five 

minutes after the start of Regular 

Trading Hours, the first Reference Price 

for a trading day shall be the arithmetic 

mean price of Eligible Reported 

Transactions for the NMS Stock over the 

preceding five minute time period, and 

subsequent Reference Prices shall be 

calculated as specified in Section V(A) 

of the Plan. 

(C) Reopenings 

(1) Following a Trading Pause in an 

NMS Stock, and if the Primary Listing 

Exchange has not declared a Regulatory 

Halt, if the Primary Listing Exchange 

reopens trading with a transaction or 

quotation that does not include a zero 

bid or zero offer, the next Reference 

Price shall be the Reopening Price on 

the Primary Listing Exchange. 

Subsequent Reference Prices shall be 

determined in the manner prescribed for 

normal openings, as specified in Section 

V(B)(1) of the Plan. If the Primary 

Listing Exchange notifies the Processor 

that it is unable to reopen an NMS Stock 

due to a systems or technology issue, or 

if the Primary Listing Exchange reopens 

trading with a quotation that has a zero 

bid or zero offer, or both, the next 

Reference Price shall be the last 

effective Price Band that was in a Limit 

State before the Trading Pause. 

Subsequent Reference Prices shall be 

calculated as specified in Section V(A) 

of the Plan. 

(2) Following a Regulatory Halt, the 

next Reference Price shall be the 

Opening or Reopening Price on the 

Primary Listing Exchange if such 

Opening or Reopening Price occurs 

within five minutes after the end of the 

Regulatory Halt, and subsequent 

Reference Prices shall be determined in 

the manner prescribed for normal 

openings, as specified in Section V(B)(1) 

of the Plan. If such Opening or 

Reopening Price has not occurred 

within five minutes after the end of the 

Regulatory Halt, the Reference Price 

shall be equal to the arithmetic mean 

price of Eligible Reported Transactions 

for the NMS Stock over the preceding 

five minute time period, and subsequent 

Reference Prices shall be calculated as 

specified in Section V(A) of the Plan. 

VI. Limit Up-Limit Down Requirements 

(A) Limitations on Trades and 

Quotations Outside of Price Bands 

(1) All trading centers in NMS Stocks, 

including both those operated by 

Participants and those operated by 

members of Participants, shall establish, 

maintain, and enforce written policies 

and procedures that are reasonably 

designed to prevent trades at prices that 

are below the Lower Price Band or 

above the Upper Price Band for an NMS 

Stock. Single-priced opening, 

reopening, and closing transactions on 

the Primary Listing Exchange, however, 

shall be excluded from this limitation. 

In addition, any transaction that both (i) 

does not update the last sale price 

(except if solely because the transaction 

was reported late or because the 

transaction was an odd-lot sized 

transaction), and (ii) is excepted or 

exempt from Rule 611 under Regulation 

NMS shall be excluded from this 

limitation. 

(2) When a National Best Bid is below 

the Lower Price Band or a National Best 

Offer is above the Upper Price Band for 

an NMS Stock, the Processor shall 

disseminate such National Best Bid or 

National Best Offer with an appropriate 

flag identifying it as non-executable. 


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When a National Best Offer is equal to 

the Lower Price Band or a National Best 

Bid is equal to the Upper Price Band for 

an NMS Stock, the Processor shall 

distribute such National Best Bid or 

National Best Offer with an appropriate 

flag identifying it as a ‘‘Limit State 

Quotation’’. 

(3) All trading centers in NMS Stocks, 

including both those operated by 

Participants and those operated by 

members of Participants, shall establish, 

maintain, and enforce written policies 

and procedures that are reasonably 

designed to prevent the display of offers 

below the Lower Price Band and bids 

above the Upper Price Band for an NMS 

Stock. The Processor shall disseminate 

an offer below the Lower Price Band or 

bid above the Upper Price Band that 

may be submitted despite such 

reasonable policies and procedures, but 

with an appropriate flag identifying it as 

non-executable; provided, however, that 

any such bid or offer shall not be 

included in National Best Bid or 

National Best Offer calculations. 

(B) Entering and Exiting a Limit State 

(1) All trading for an NMS Stock shall 

immediately enter a Limit State if the 

National Best Offer equals the Lower 

Price Band and does not cross the 

National Best Bid, or the National Best 

Bid equals the Upper Price Band and 

does not cross the National Best Offer. 

(2) When trading for an NMS Stock 

enters a Limit State, the Processor shall 

disseminate this information by 

identifying the relevant quotation (i.e., a 

National Best Offer that equals the 

Lower Price Band or a National Best Bid 

that equals the Upper Price Band) as a 

Limit State Quotation. At this point, the 

Processor shall cease calculating and 

disseminating updated Reference Prices 

and Price Bands for the NMS Stock until 

either trading exits the Limit State or 

trading resumes with an opening or reopening as provided in Section V. 

(3) Trading for an NMS Stock shall 

exit a Limit State if, within 15 seconds 

of entering the Limit State, the entire 

size of all Limit State Quotations are 

executed or cancelled. 

(4) If trading for an NMS Stock exits 

a Limit State within 15 seconds of entry, 

the Processor shall immediately 

calculate and disseminate updated Price 

Bands based on a Reference Price that 

equals the arithmetic mean price of 

Eligible Reported Transactions for the 

NMS Stock over the immediately 

preceding five-minute period (including 

the period of the Limit State). 

(5) If trading for an NMS Stock does 

not exit a Limit State within 15 seconds 

of entry, the Limit State will terminate 

when the Primary Listing Exchange 

declares a Trading Pause pursuant to 

Section VII of the Plan or at the end of 

Regular Trading Hours. 

VII. Trading Pauses 

(A) Declaration of Trading Pauses 

(1) If trading for an NMS Stock does 

not exit a Limit State within 15 seconds 

of entry during Regular Trading Hours, 

then the Primary Listing Exchange shall 

declare a Trading Pause for such NMS 

Stock and shall notify the Processor. 

(2) The Primary Listing Exchange may 

also declare a Trading Pause for an NMS 

Stock when an NMS Stock is in a 

Straddle State, which is when National 

Best Bid (Offer) is below (above) the 

Lower (Upper) Price Band and the NMS 

Stock is not in a Limit State, and trading 

in that NMS Stock deviates from normal 

trading characteristics such that 

declaring a Trading Pause would 

support the Plan’s goal to address 

extraordinary market volatility. The 

Primary Listing Exchange shall develop 

policies and procedures for determining 

when it would declare a Trading Pause 

in such circumstances. If a Trading 

Pause is declared for an NMS Stock 

under this provision, the Primary 

Listing Exchange shall notify the 

Processor. 

(3) The Processor shall disseminate 

Trading Pause information to the public. 

No trades in an NMS Stock shall occur 

during a Trading Pause, but all bids and 

offers may be displayed. 

(B) Reopening of Trading During 

Regular Trading Hours 

(1) Five minutes after declaring a 

Trading Pause for an NMS Stock, and if 

the Primary Listing Exchange has not 

declared a Regulatory Halt, the Primary 

Listing Exchange shall attempt to 

reopen trading using its established 

reopening procedures. The Processor 

will publish the following information 

that the Primary Listing Exchange 

provides to the Processor in connection 

with such reopening: Auction reference 

price; auction collars; and number of 

extensions to the reopening auction. 

The Trading Pause shall end when the 

Primary Listing Exchange reports a 

Reopening Price. 

(2) The Primary Listing Exchange 

shall notify the Processor if it is unable 

to reopen trading in an NMS Stock due 

to a systems or technology issue and if 

it has not declared a Regulatory Halt. 

The Processor shall disseminate this 

information to the public. 

(3) Trading centers may not resume 

trading in an NMS Stock following a 

Trading Pause without Price Bands in 

such NMS Stock. 

(4) The Processor shall update the 

Price Bands as set forth in Section 

V(C)(1)–(2) of the Plan after receiving 

notification from the Primary Listing 

Exchange of a Reopening Price 

following a Trading Pause (or a resume 

message in the case of a reopening quote 

that has a zero bid or zero offer, or both) 

or that it is unable to reopen trading 

following a Trading Pause due to a 

systems or technology issue, provided 

that if the Primary Listing Exchange is 

unable to reopen due to a systems or 

technology issue, the update to the Price 

Bands will be no earlier than ten 

minutes after the beginning of the 

Trading Pause. 

(C) Trading Pauses Within Ten Minutes 

of the End of Regular Trading Hours 

(1) If an NMS Stock is in a Trading 

Pause during the last ten minutes of 

trading before the end of Regular 

Trading Hours, the Primary Listing 

Exchange shall not reopen trading and 

shall attempt to execute a closing 

transaction using its established closing 

procedures. All trading centers may 

begin trading the NMS Stock when the 

Primary Listing Exchange executes a 

closing transaction. 

(2) If the Primary Listing Exchange 

does not execute a closing transaction 

within five minutes after the end of 

Regular Trading Hours, all trading 

centers may begin trading the NMS 

Stock. 

VIII. Implementation 

IX. Withdrawal From Plan 

If a Participant obtains SEC approval 

to withdraw from the Plan, such 

Participant may withdraw from the Plan 

at any time on not less than 30 days’ 

prior written notice to each of the other 

Participants. At such time, the 

withdrawing Participant shall have no 

further rights or obligations under the 

Plan. 

X. Counterparts and Signatures 

The Plan may be executed in any 

number of counterparts, no one of 

which need contain all signatures of all 

Participants, and as many of such 

counterparts as shall together contain all 

such signatures shall constitute one and 

the same instrument. 


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66490 Federal Register / Vol. 83, No. 246 / Wednesday, December 26, 2018 / Notices 


amozie on DSK3GDR082PROD with NOTICES2EN26DE18.018</GPH> EN26DE18.019</GPH>

The initial date ofPlan operations shall be April 8, 2013. 

[The Plan shall be implemented on a pilot basis set to end on April 15. 2019.1 

IN WITNESS THEREOF, this Plan has been executed as of the _ day of [July ]November 

2018 by each of the parties hereto. 

Cboe BZX EXCHANGE, INC. 

BY: ----------------------

Cboe EDGA EXCHANGE, INC. 

BY: ----------------------

CHICAGO STOCK EXCHANGE, INC. 

BY: ---------------------

INVESTORS EXCHANGE LLC 

BY: ----------------------

NASDAQ PHLX LLC 

BY: ----------------------

NYSE NATIONAL, INC. 

BY: ----------------------

NYSE American LLC 

BY: ----------------------

Cboe BYX EXCHANGE, INC. 

BY: ---------------------

Cboe EDGX EXCHANGE, INC. 

BY: ---------------------

FINANCIAL INDUSTRY 

REGULATORY AUTHORITY, INC. 

BY: ---------------------

NASDAQ BX, Inc. 

BY: ---------------------

THE NASDAQ STOCK MARKET LLC 

BY: ---------------------

NEW YORK STOCK EXCHANGE LLC 

BY: ---------------------

NYSE ARCA, INC. 

BY: ---------------------
Federal Register / Vol. 83, No. 246 / Wednesday, December 26, 2018 / Notices 66491 

Appendix A—Percentage Parameters 

I. Tier 1 NMS Stocks 

(2) The Percentage Parameters for Tier 

1 NMS Stocks with a Reference Price 

more than $3.00 shall be 5%. 

(3) The Percentage Parameters for Tier 

1 NMS Stocks with a Reference Price 

equal to $0.75 and up to and including 

$3.00 shall be 20%. 

(4) The Percentage Parameters for Tier 

1 NMS Stocks with a Reference Price 

less than $0.75 shall be the lesser of (a) 

$0.15 or (b) 75%. 

(5) The Reference Price used for 

determining which Percentage 

Parameter shall be applicable during a 

trading day shall be based on the closing 

price of the NMS Stock on the Primary 

Listing Exchange on the previous 

trading day, or if no closing price exists, 

the last sale on the Primary Listing 

Exchange reported by the Processor. 

II. Tier 2 NMS Stocks 


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Appendix A—Schedule 1 

(as of July 2, 2018) 

Ticker ETP name Exchange 

SPY ............................ SPDR S&P 500 ETF Trust ...................................................................................................................... NYSE Arca. 

QQQ ........................... Invesco QQQ Trust .................................................................................................................................. NASDAQ. 

IWM ............................ iShares Russell 2000 ETF ....................................................................................................................... NYSE Arca. 

EEM ........................... iShares MSCI Emerging Markets ETF .................................................................................................... NYSE Arca. 

EFA ............................ iShares MSCI EAFE ETF ........................................................................................................................ NYSE Arca. 

XLF ............................. Financial Select Sector SPDR Fund ........................................................................................................ NYSE Arca. 

VXX ............................ iPath S&P 500 VIX Short-Term Futures ETN Class A ............................................................................ NYSE Arca. 

DIA ............................. SPDR Dow Jones Industrial Average ETF Trust .................................................................................... NYSE Arca. 

HYG ........................... iShares iBoxx $ High Yield Corporate Bond ETF ................................................................................... NYSE Arca. 

IVV ............................. iShares Core S&P 500 ETF ..................................................................................................................... NYSE Arca. 

XLE ............................ Energy Select Sector SPDR Fund ........................................................................................................... NYSE Arca. 

FXI .............................. iShares China Large-Cap ETF ................................................................................................................ NYSE Arca. 

TLT ............................. iShares 20+ Year Treasury Bond ETF .................................................................................................... NASDAQ. 

XLI .............................. Industrial Select Sector SPDR Fund ....................................................................................................... NYSE Arca. 

XLK ............................ Technology Select Sector SPDR Fund ................................................................................................... NYSE Arca. 

GLD ............................ SPDR Gold Trust ..................................................................................................................................... NYSE Arca. 

EWZ ........................... iShares MSCI Brazil ETF ......................................................................................................................... NYSE Arca. 

XLU ............................ Utilities Select Sector SPDR Fund .......................................................................................................... NYSE Arca. 

GDX ........................... VanEck Vectors Gold Miners ETF ........................................................................................................... NYSE Arca. 

XLP ............................ Consumer Staples Select Sector SPDR Fund ........................................................................................ NYSE Arca. 

XLV ............................ Health Care Select Sector SPDR Fund ................................................................................................... NYSE Arca. 

VOO ........................... Vanguard S&P 500 ETF .......................................................................................................................... NYSE Arca. 

LQD ............................ iShares iBoxx $ Investment Grade Corporate Bond ETF ....................................................................... NYSE Arca. 

XOP ............................ SPDR S&P Oil & Gas Exploration & Production ETF ............................................................................. NYSE Arca. 


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Ticker ETP name Exchange 

IEMG .......................... iShares Core MSCI Emerging Markets ETF ........................................................................................... NYSE Arca. 

IYR ............................. iShares U.S. Real Estate ETF ................................................................................................................. NYSE Arca. 

VWO ........................... Vanguard FTSE Emerging Markets ETF ................................................................................................. NYSE Arca. 

XLY ............................ Consumer Discretionary Select Sector SPDR Fund ............................................................................... NYSE Arca. 

SMH ........................... VanEck Vectors Semiconductor ETF ...................................................................................................... NYSE Arca. 

EWJ ............................ iShares MSCI Japan ETF ........................................................................................................................ NYSE Arca. 

IEFA ........................... iShares Core MSCI EAFE ETF ............................................................................................................... Cboe BZX. 

JNK ............................ SPDR Bloomberg Barclays High Yield Bond ETF .................................................................................. NYSE Arca. 

VNQ ........................... Vanguard Real Estate ETF ...................................................................................................................... NYSE Arca. 

XBI ............................. SPDR S&P BIOTECH ETF ...................................................................................................................... NYSE Arca. 

VEA ............................ Vanguard FTSE Developed Markets ETF ............................................................................................... NYSE Arca. 

AGG ........................... iShares Core U.S. Aggregate Bond ETF ................................................................................................. NYSE Arca. 

MDY ........................... SPDR S&P Midcap 400 ETF Trust .......................................................................................................... NYSE Arca. 

XLB ............................ Materials Select Sector SPDR Fund ....................................................................................................... NYSE Arca. 

GDXJ .......................... VanEck Vectors Junior Gold Miners ETF ................................................................................................ NYSE Arca. 

KRE ............................ SPDR S&P Regional Banking ETF ......................................................................................................... NYSE Arca. 

VTI .............................. Vanguard Total Stock Market ETF .......................................................................................................... NYSE Arca. 

SVXY .......................... ProShares Short VIX Short-Term Futures ETF ....................................................................................... NYSE Arca. 

EMB ........................... iShares JP Morgan USD Emerging Markets Bond ETF ......................................................................... NASDAQ. 

EZU ............................ iShares MSCI Eurozone ETF .................................................................................................................. Cboe BZX. 

IEF .............................. iShares 7–10 Year Treasury Bond ETF .................................................................................................. NASDAQ. 

IBB ............................. iShares NASDAQ. Biotechnology ETF .................................................................................................... NASDAQ. 

VGK ............................ Vanguard FTSE Europe ETF ................................................................................................................... NYSE Arca. 

IJR .............................. iShares Core S&P Small Cap ETF .......................................................................................................... NYSE Arca. 

IWF ............................. iShares Russell 1000 Growth ETF .......................................................................................................... NYSE Arca. 

USO ........................... United States Oil Fund LP ....................................................................................................................... NYSE Arca. 

IWD ............................ iShares Russell 1000 Value ETF ............................................................................................................. NYSE Arca. 

IJH .............................. iShares Core S&P Mid-Cap ETF ............................................................................................................. NYSE Arca. 

XRT ............................ SPDR S&P Retail ETF ............................................................................................................................. NYSE Arca. 

EWY ........................... iShares MSCI South Korea ETF .............................................................................................................. NYSE Arca. 

MCHI .......................... iShares MSCI China ETF ........................................................................................................................ NASDAQ. 

OIH ............................. VanEck Vectors Oil Services ETF ........................................................................................................... NYSE Arca. 

RSX ............................ VanEck Vectors Russia ETF ................................................................................................................... NYSE Arca. 

EWT ........................... iShares MSCI Taiwan ETF ...................................................................................................................... NYSE Arca. 

EWW .......................... iShares MSCI Mexico ETF ...................................................................................................................... NYSE Arca. 

BND ............................ Vanguard Total Bond Market ETF ........................................................................................................... NYSE Arca. 

IWB ............................ iShares Russell 1000 ETF ....................................................................................................................... NYSE Arca. 

VTV ............................ Vanguard Value ETF ............................................................................................................................... NYSE Arca. 

ACWI .......................... iShares MSCI ACWI ETF ........................................................................................................................ NASDAQ. 

AMLP ......................... Alerian MLP ETF ...................................................................................................................................... NYSE Arca. 

DXJ ............................ WisdomTree Japan Hedged Equity Fund ................................................................................................ NYSE Arca. 

IAU ............................. iShares Gold Trust ................................................................................................................................... NYSE Arca. 

TIP .............................. iShares TIPS Bond ETF .......................................................................................................................... NYSE Arca. 

FEZ ............................ SPDR EURO STOXX 50 ETF ................................................................................................................. NYSE Arca. 

SHV ............................ iShares Short Treasury Bond ETF .......................................................................................................... NASDAQ. 

SHY ............................ iShares 1–3 Year Treasury Bond ETF .................................................................................................... NASDAQ. 

EWG ........................... iShares MSCI Germany ETF ................................................................................................................... NYSE Arca. 

BSV ............................ Vanguard Short-Term Bond ETF ............................................................................................................. NYSE Arca. 

VEU ............................ Vanguard FTSE All-World ex-US Index Fund ......................................................................................... NYSE Arca. 

VUG ........................... Vanguard Growth ETF ............................................................................................................................. NYSE Arca. 

IVE ............................. iShares S&P 500 Value ETF ................................................................................................................... NYSE Arca. 

INDA ........................... iShares MSCI India ETF .......................................................................................................................... Cboe BZX. 

SH .............................. ProShares Short S&P 500 ....................................................................................................................... NYSE Arca. 

EWH ........................... iShares MSCI Hong Kong ETF ................................................................................................................ NYSE Arca. 

SLV ............................ iShares Silver Trust .................................................................................................................................. NYSE Arca. 

IVW ............................ iShares S&P 500 Growth ETF ................................................................................................................. NYSE Arca. 

VCSH ......................... Vanguard Short-Term Corporate Bond ETF ............................................................................................ NASDAQ. 

ITB .............................. iShares U.S. Home Construction ETF ..................................................................................................... Cboe BZX. 

IWN ............................ iShares Russell 2000 Value ETF ............................................................................................................. NYSE Arca. 

SOXX ......................... iShares PHLX Semiconductor ETF ......................................................................................................... NASDAQ. 

KBE ............................ SPDR S&P Bank ETF .............................................................................................................................. NYSE Arca. 

VGT ............................ Vanguard Information Technology ETF ................................................................................................... NYSE Arca. 

IWO ............................ iShares Russell 2000 Growth ETF .......................................................................................................... NYSE Arca. 

MTUM ........................ iShares Edge MSCI USA Momentum Factor ETF .................................................................................. Cboe BZX. 

XHB ............................ SPDR S&P Homebuilders ETF ................................................................................................................ NYSE Arca. 

XME ........................... SPDR S&P Metals & Mining ETF ............................................................................................................ NYSE Arca. 

XLRE .......................... Real Estate Select Sector SPDR Fund ................................................................................................... NYSE Arca. 

VCIT ........................... Vanguard Intermediate-Term Corporate Bond ETF ................................................................................ NASDAQ. 

VT ............................... Vanguard Total World Stock ETF ............................................................................................................ NYSE Arca. 

USMV ......................... iShares Edge MSCI Min Vol USA ETF ................................................................................................... Cboe BZX. 

BKLN .......................... Invesco Senior Loan ETF ........................................................................................................................ NYSE Arca. 

EWC ........................... iShares MSCI Canada ETF ..................................................................................................................... NYSE Arca. 

PFF ............................ iShares U.S. Preferred Stock ETF ........................................................................................................... NASDAQ. 

FLOT .......................... iShares Floating Rate Bond ETF ............................................................................................................. Cboe BZX. 


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Ticker ETP name Exchange 

BIL .............................. SPDR Bloomberg Barclays 1–3 Month T-Bill ETF .................................................................................. NYSE Arca. 

OEF ............................ iShares S&P 100 ETF .............................................................................................................................. NYSE Arca. 

UNG ........................... United States Natural Gas Fund LP ........................................................................................................ NYSE Arca. 

VB .............................. Vanguard Small-Cap ETF ........................................................................................................................ NYSE Arca. 

MINT .......................... PIMCO Enhanced Short Maturity Active ETF ......................................................................................... NYSE Arca. 

SPLV .......................... Invesco S&P 500 Low Volatility ETF ....................................................................................................... NYSE Arca. 

VIG ............................. Vanguard Dividend Appreciation ETF ..................................................................................................... NYSE Arca. 

HEDJ .......................... WisdomTree Europe Hedged Equity Fund .............................................................................................. NYSE Arca. 

SCZ ............................ iShares MSCI EAFE Small-Cap ETF ...................................................................................................... NASDAQ. 

EWU ........................... iShares MSCI United Kingdom ETF ........................................................................................................ NYSE Arca. 

VYM ........................... Vanguard High Dividend Yield Yield Index Fund .................................................................................... NYSE Arca. 

SCHF ......................... Schwab International Equity ETF ............................................................................................................ NYSE Arca. 

AAXJ .......................... iShares MSCI All Country Asia ex Japan ETF ........................................................................................ NASDAQ. 

FDN ............................ First Trust Dow Jones Internet Index Fund ............................................................................................. NYSE Arca. 

EMLC ......................... VanEck Vectors J.P. Morgan EM Local Currency Bond ETF ................................................................. NYSE Arca. 

VIXY ........................... ProShares VIX Short-Term Futures ETF ................................................................................................. NYSE Arca. 

BNDX ......................... Vanguard Total International Bond ETF .................................................................................................. NASDAQ. 

MUB ........................... iShares National Muni Bond ETF ............................................................................................................ NYSE Arca. 

DVY ............................ iShares Select Dividend ETF ................................................................................................................... NASDAQ. 

ITA .............................. iShares U.S. Aerospace & Defense ETF ................................................................................................ Cboe BZX. 

AMJ ............................ J.P. Morgan Alerian MLP Index ETN ...................................................................................................... NYSE Arca. 

MBB ........................... iShares MBS ETF .................................................................................................................................... NASDAQ. 

RSP ............................ Invesco S&P 500 Equal Weight ETF ....................................................................................................... NYSE Arca. 

ITOT ........................... iShares Core S&P Total U.S. Stock Market ETF .................................................................................... NYSE Arca. 

SJNK .......................... SPDR Bloomberg Barclays Short Term High Yield Bond ETF ............................................................... NYSE Arca. 

BIV ............................. Vanguard Intermediate-Term Bond ETF ................................................................................................. NYSE Arca. 

ILF .............................. iShares Latin America 40 ETF ................................................................................................................. NYSE Arca. 

CWB ........................... SPDR Bloomberg Barclays Convertible Securities ETF ......................................................................... NYSE Arca. 

VO .............................. Vanguard Mid-Cap ETF ........................................................................................................................... NYSE Arca. 

IWV ............................ iShares Russell 3000 ETF ....................................................................................................................... NYSE Arca. 

CSJ ............................ iShares 1–3 Year Credit Bond ETF ......................................................................................................... NASDAQ. 

SCHX ......................... Schwab U.S. Large-Cap ETF .................................................................................................................. NYSE Arca. 

IEI ............................... iShares 3–7 Year Treasury Bond ETF .................................................................................................... NASDAQ. 

SCHB ......................... Schwab U.S. Broad Market ETF ............................................................................................................. NYSE Arca. 

PCY ............................ Invesco Emerging Markets Sovereign Debt ETF .................................................................................... NYSE Arca. 

DBC ............................ Invesco DB Commodity Index Tracking Fund ......................................................................................... NYSE Arca. 

EPI ............................. WisdomTree India Earnings Fund ........................................................................................................... NYSE Arca. 

SDY ............................ SPDR S&P Dividend ETF ........................................................................................................................ NYSE Arca. 

VFH ............................ Vanguard Financials ETF ........................................................................................................................ NYSE Arca. 

SCHD ......................... Schwab US Dividend Equity ETF ............................................................................................................ NYSE Arca. 

PSQ ............................ ProShares Short QQQ ............................................................................................................................. NYSE Arca. 

HYS ............................ PIMCO 0–5 Year High Yield Corporate Bond Index ETF ....................................................................... NYSE Arca. 

VXUS ......................... Vanguard Total International Stock ETF ................................................................................................. NASDAQ. 

EWA ........................... iShares MSCI Australia ETF .................................................................................................................... NYSE Arca. 

VV .............................. Vanguard Large-Cap ETF ........................................................................................................................ NYSE Arca. 

IYT .............................. iShares Transportation Average ETF ...................................................................................................... Cboe BZX. 

EUFN ......................... iShares MSCI Europe Financials ETF ..................................................................................................... NASDAQ. 

IYW ............................ iShares U.S. Technology ETF ................................................................................................................. NYSE Arca. 

EWI ............................ iShares MSCI Italy ETF ........................................................................................................................... NYSE Arca. 

FXE ............................ Invesco CurrencyShares Euro Trust ........................................................................................................ NYSE Arca. 

IWS ............................ iShares Russell Mid-Cap Value ETF ....................................................................................................... NYSE Arca. 

IYF .............................. iShares U.S. Financials ETF .................................................................................................................... NYSE Arca. 

DBEF .......................... Xtrackers MSCI EAFE Hedged Equity ETF ............................................................................................ NYSE Arca. 

EFV ............................ iShares MSCI EAFE Value ETF .............................................................................................................. Cboe BZX. 

IWR ............................ iShares Russell Midcap ETF ................................................................................................................... NYSE Arca. 

BOTZ .......................... Global X Robotics & Artificial Intelligence ETF ....................................................................................... NASDAQ. 

IGV ............................. iShares North American Tech-Software ETF .......................................................................................... Cboe BZX. 

VBR ............................ Vanguard Small Cap Value ETF ............................................................................................................. NYSE Arca. 

KWEB ......................... KraneShares CSI China Internet ETF ..................................................................................................... NYSE Arca. 

NEAR ......................... iShares Short Maturity Bond ETF ............................................................................................................ Cboe BZX. 

IXUS ........................... iShares Core MSCI Total International Stock ETF .................................................................................. NASDAQ. 

IWP ............................ iShares Russell Mid-Cap Growth ETF ..................................................................................................... NYSE Arca. 

GOVT ......................... iShares U.S. Treasury Bond ETF ............................................................................................................ Cboe BZX. 

CIU ............................. iShares Intermediate Credit Bond ETF .................................................................................................... NASDAQ. 

EWM .......................... iShares MSCI Malaysia ETF .................................................................................................................... NYSE Arca. 

EFAV .......................... iShares Edge MSCI Min Vol EAFE ETF ................................................................................................. Cboe BZX. 

EWP ........................... iShares MSCI Spain ETF ......................................................................................................................... NYSE Arca. 

HDV ............................ iShares Core High Dividend ETF ............................................................................................................ NYSE Arca. 

SCHP ......................... Schwab US TIPS ETF ............................................................................................................................. NYSE Arca. 

SHYG ......................... iShares 0–5 Year High Yield Corporate Bond ETF ................................................................................. NYSE Arca. 

EZA ............................ iShares MSCI South Africa ETF .............................................................................................................. NYSE Arca. 

IEV ............................. iShares Europe ETF ................................................................................................................................ NYSE Arca. 

EWQ ........................... iShares MSCI France ETF ....................................................................................................................... NYSE Arca. 

EWL ........................... iShares MSCI Switzerland ETF ............................................................................................................... NYSE Arca. 


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Ticker ETP name Exchange 

ASHR ......................... Xtrackers Harvest CSI 300 China A-Shares ETF ................................................................................... NYSE Arca. 

SCHE ......................... Schwab Emerging Markets Equity ETF ................................................................................................... NYSE Arca. 

VTIP ........................... Vanguard Short-Term Inflation-Protected Securities ETF ....................................................................... NASDAQ. 

VMBS ......................... Vanguard Mortgage-Backed Securities ETF ........................................................................................... NASDAQ. 

VOE ............................ Vanguard Mid-Cap Value ETF ................................................................................................................. NYSE Arca. 

ACWX ........................ iShares MSCI ACWI ex U.S. ETF ........................................................................................................... NASDAQ. 

QUAL ......................... iShares Edge MSCI USA Quality Factor ETF ......................................................................................... Cboe BZX. 

HEWJ ......................... iShares Currency Hedged MSCI Japan ETF .......................................................................................... NYSE Arca. 

VDE ............................ Vanguard Energy ETF ............................................................................................................................. NYSE Arca. 

EIDO .......................... iShares MSCI Indonesia ETF .................................................................................................................. NYSE Arca. 

IJK .............................. iShares S&P Mid-Cap 400 Growth ETF .................................................................................................. NYSE Arca. 

KBWB ......................... Invesco KBW Bank ETF .......................................................................................................................... NASDAQ. 

HEZU ......................... iShares Currency Hedged MSCI Eurozone ETF ..................................................................................... NYSE Arca. 

VHT ............................ Vanguard Health Care ETF ..................................................................................................................... NYSE Arca. 

VXF ............................ Vanguard Extended Market ETF ............................................................................................................. NYSE Arca. 

VLUE .......................... iShares Edge MSCI USA Value Factor ETF ........................................................................................... Cboe BZX. 

HEFA .......................... iShares Currency Hedged MSCI EAFE ETF ........................................................................................... Cboe BZX. 

SPIB ........................... SPDR Portfolio Intermediate Term Corporate Bond ETF ....................................................................... NYSE Arca. 

UUP ............................ Invesco DB US Dollar Index Bullish Fund ............................................................................................... NYSE Arca. 

SRLN .......................... SPDR Blackstone/GSO Senior Loan ETF ............................................................................................... NYSE Arca. 

VNQI .......................... Vanguard Global ex-U.S. Real Estate ETF ............................................................................................. NASDAQ. 

SCHA ......................... Schwab U.S. Small-Cap ETF .................................................................................................................. NYSE Arca. 

SPYG ......................... SPDR Portfolio S&P 500 Growth ETF ..................................................................................................... NYSE Arca. 

SCHH ......................... Schwab U.S. REIT ETF ........................................................................................................................... NYSE Arca. 

SCHG ......................... Schwab U.S. Large-Cap Growth ETF ..................................................................................................... NYSE Arca. 

PGX ............................ Invesco Preferred ETF ............................................................................................................................. NYSE Arca. 

FLRN .......................... SPDR Bloomberg Barclays Investment Grade Floating Rate ETF ......................................................... NYSE Arca. 

VPL ............................ Vanguard FTSE Pacific ETF .................................................................................................................... NYSE Arca. 

VTEB .......................... Vanguard Tax-Exempt Bond ETF ............................................................................................................ NYSE Arca. 

FTSM ......................... First Trust Enhanced Short Maturity ETF ................................................................................................ NASDAQ. 

FTEC .......................... Fidelity MSCI Information Technology Index ETF ................................................................................... NYSE Arca. 

SPSB .......................... SPDR Portfolio Short Term Corporate Bond ETF ................................................................................... NYSE Arca. 

EPP ............................ iShares MSCI Pacific ex-Japan ETF ....................................................................................................... NYSE Arca. 

DOG ........................... ProShares Short Dow30 .......................................................................................................................... NYSE Arca. 

EEMV ......................... iShares Edge MSCI Min Vol Emerging Markets ETF ............................................................................. Cboe BZX. 

IUSG .......................... iShares Core S&P U.S. Growth ETF ....................................................................................................... NASDAQ. 

VSS ............................ Vanguard FTSE All-World ex-US Small-Cap ETF .................................................................................. NYSE Arca. 

BWX ........................... SPDR Bloomberg Barclays International Treasury Bond ETF ................................................................ NYSE Arca. 

TFI .............................. SPDR Nuveen Bloomberg Barclays Municipal Bond ETF ...................................................................... NYSE Arca. 

SHM ........................... SPDR Nuveen Bloomberg Barclays Short Term Municipal Bond ETF ................................................... NYSE Arca. 

IJS .............................. iShares S&P Small-Cap 600 Value ETF ................................................................................................. NYSE Arca. 

ROBO ......................... ROBO Global Robotics and Automation Index ETF ............................................................................... NYSE Arca. 

EWS ........................... iShares MSCI Singapore ETF ................................................................................................................. NYSE Arca. 

VBK ............................ Vanguard Small-Cap Growth ETF ........................................................................................................... NYSE Arca. 

RWX ........................... SPDR Dow Jones International Real Estate ETF ................................................................................... NYSE Arca. 

DGRO ........................ iShares Core Dividend Growth ETF ........................................................................................................ NYSE Arca. 

IYE ............................. iShares U.S. Energy ETF ........................................................................................................................ NYSE Arca. 

IJT .............................. iShares S&P Small-Cap 600 Growth ETF ............................................................................................... NASDAQ. 

IDV ............................. iShares International Select Dividend ETF .............................................................................................. Cboe BZX. 

HYLB .......................... Xtrackers USD High Yield Corporate Bond ETF ..................................................................................... NYSE Arca. 

JUST .......................... Goldman Sachs JUST U.S. Large Cap Equity ETF ................................................................................ NYSE Arca. 

EFG ............................ iShares MSCI EAFE Growth ETF ............................................................................................................ Cboe BZX. 

MJ .............................. ETFMG Alternative Harvest ETF ............................................................................................................. NYSE Arca. 

SPHD ......................... Invesco S&P 500 High Dividend Low Volatility ETF ............................................................................... NYSE Arca. 

THD ............................ iShares MSCI Thailand ETF .................................................................................................................... NYSE Arca. 

IHI ............................... iShares U.S. Medical Devices ETF ......................................................................................................... NYSE Arca. 

SCHZ ......................... Schwab US Aggregate Bond ETF ........................................................................................................... NYSE Arca. 

VPU ............................ Vanguard Utilities ETF ............................................................................................................................. NYSE Arca. 

SPAB .......................... SPDR Portfolio Aggregate Bond ETF ...................................................................................................... NYSE Arca. 

HYD ............................ VanEck Vectors High-Yield Municipal Index ETF ................................................................................... NYSE Arca. 

SPTM ......................... SPDR Portfolio Total Stock Market ETF ................................................................................................. NYSE Arca. 

NOBL ......................... ProShares S&P 500 Dividend Aristocrats ETF ....................................................................................... Cboe BZX. 

MGK ........................... Vanguard Mega Cap Growth ETF ........................................................................................................... NYSE Arca. 

ECH ............................ iShares MSCI Chile ETF .......................................................................................................................... Cboe BZX. 

SCHO ......................... Schwab Short-Term US Treasury ETF .................................................................................................... NYSE Arca. 

VCLT .......................... Vanguard Long-Term Corporate Bond ETF ............................................................................................ NASDAQ. 

RWR ........................... SPDR Dow Jones REIT ETF ................................................................................................................... NYSE Arca. 

VIS ............................. Vanguard Industrials ETF ........................................................................................................................ NYSE Arca. 

DBEU ......................... Xtrackers MSCI Europe Hedged Equity ETF .......................................................................................... NYSE Arca. 

IUSV ........................... iShares Core S&P US Value ETF ........................................................................................................... NASDAQ. 

VAW ........................... Vanguard Materials ETF .......................................................................................................................... NYSE Arca. 

VGSH ......................... Vanguard Short-Term Treasury ETF ....................................................................................................... NASDAQ. 

DBJP .......................... Xtrackers MSCI Japan Hedged Equity ETF ............................................................................................ NYSE Arca. 

VDC ............................ Vanguard Consumer Staples ETF ........................................................................................................... NYSE Arca. 


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Ticker ETP name Exchange 

BLV ............................ Vanguard Long-Term Bond ETF ............................................................................................................. NYSE Arca. 

SPYV .......................... SPDR Portfolio S&P 500 Value ETF ....................................................................................................... NYSE Arca. 

SPDW ........................ SPDR Portfolio Developed World ex-US ETF ......................................................................................... NYSE Arca. 

VOT ............................ Vanguard Mid-Cap Growth ETF .............................................................................................................. NYSE Arca. 

PDBC ......................... Invesco Optimum Yield Diversified Commodity Strategy K–1 ETF ........................................................ NASDAQ. 

SCHR ......................... Schwab Intermediate-Term US Treasury ETF ........................................................................................ NYSE Arca. 

FPE ............................ First Trust Preferred Securities & Income ETF ....................................................................................... NYSE Arca. 

ERUS ......................... iShares MSCI Russia ETF ....................................................................................................................... NYSE Arca. 

IYG ............................. iShares US Financial Services ETF ........................................................................................................ NYSE Arca. 

LIT .............................. Global X Lithium & Battery Tech ETF ..................................................................................................... NYSE Arca. 

IEUR ........................... iShares Core MSCI Europe ETF ............................................................................................................. NYSE Arca. 

SCHM ......................... Schwab U.S. Mid-Cap ETF ...................................................................................................................... NYSE Arca. 

PRF ............................ Invesco FTSE RAFI US 1000 ETF .......................................................................................................... NYSE Arca. 

SPEM ......................... SPDR Portfolio Emerging Markets ETF .................................................................................................. NYSE Arca. 

SCHV ......................... Schwab U.S. Large-Cap Value ETF ........................................................................................................ NYSE Arca. 

QTEC ......................... First Trust NASDAQ–100 Technology Sector Index Fund ...................................................................... NASDAQ. 

VCR ............................ Vanguard Consumer Discretionary ETF .................................................................................................. NYSE Arca. 

TOTL .......................... SPDR DoubleLine Total Return Tactical ETF ......................................................................................... NYSE Arca. 

FXY ............................ Invesco CurrencyShares Japanese Yen Trust ........................................................................................ NYSE Arca. 

FVD ............................ First Trust Value Line Dividend Index Fund ............................................................................................ NYSE Arca. 

TUR ............................ iShares MSCI Turkey ETF ....................................................................................................................... NASDAQ. 

GSY ............................ Invesco Ultra Short Duration ETF ............................................................................................................ NYSE Arca. 

ARKK ......................... ARK Innovation ETF ................................................................................................................................ NYSE Arca. 

RPG ........................... Invesco S&P 500 Pure Growth ETF ........................................................................................................ NYSE Arca. 

IYM ............................. iShares U.S. Basic Materials ETF ........................................................................................................... NYSE Arca. 

PHB ............................ Invesco Fundamental High Yield Corporate Bond ETF .......................................................................... NYSE Arca. 

ISTB ........................... iShares Core 1–5 Year USD Bond ETF .................................................................................................. NASDAQ. 

EMLP ......................... First Trust North American Energy Infrastructure Fund .......................................................................... NYSE Arca. 

ACWV ........................ iShares Edge MSCI Min Vol Global ETF ................................................................................................ Cboe BZX. 

SPLG .......................... SPDR Portfolio Large Cap ETF ............................................................................................................... NYSE Arca. 

RWO .......................... SPDR Dow Jones Global Real Estate ETF ............................................................................................. NYSE Arca. 

SKYY .......................... First Trust Cloud Computing ETF ............................................................................................................ NASDAQ. 

ICF ............................. iShares Cohen & Steers REIT ETF ......................................................................................................... Cboe BZX. 

IYH ............................. iShares U.S. Healthcare ETF .................................................................................................................. NYSE Arca. 

IXC ............................. iShares Global Energy ETF ..................................................................................................................... NYSE Arca. 

ANGL ......................... VanEck Vectors Fallen Angel High Yield Bond ETF ............................................................................... NYSE Arca. 

XES ............................ SPDR S&P Oil & Gas Equipment & Services ETF ................................................................................. NYSE Arca. 

RWM .......................... ProShares Short Russell2000 .................................................................................................................. NYSE Arca. 

DBO ........................... Invesco DB Oil Fund ................................................................................................................................ NYSE Arca. 

IJJ ............................... iShares S&P Mid-Cap 400 Value ETF .................................................................................................... NYSE Arca. 

DBA ............................ Invesco DB Agriculture Fund ................................................................................................................... NYSE Arca. 

TBF ............................ Proshares Short 20+ Year Treasury ........................................................................................................ NYSE Arca. 

GSLC ......................... Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF ........................................................................ NYSE Arca. 

FNCL .......................... Fidelity MSCI Financials Index ETF ........................................................................................................ NYSE Arca. 

IGF ............................. iShares Global Infrastructure ETF ........................................................................................................... NASDAQ. 

FNDX ......................... Schwab Fundamental US Large Co. Index ETF ..................................................................................... NYSE Arca. 

REM ........................... iShares Mortgage Real Estate ETF ......................................................................................................... Cboe BZX. 

KIE ............................. SPDR S&P Insurance ETF ...................................................................................................................... NYSE Arca. 

ONEQ ......................... Fidelity NASDAQ Composite Index Tracking Stock ................................................................................ NASDAQ. 

LMBS ......................... First Trust Low Duration Opportunities ETF ............................................................................................ NASDAQ. 

GUNR ......................... FlexShares Morningstar Global Upstream Natural Resources Index Fund ............................................ NYSE Arca. 

HACK ......................... ETFMG Prime Cyber Security ETF ......................................................................................................... NYSE Arca. 

EWD ........................... iShares MSCI Sweden ETF ..................................................................................................................... NYSE Arca. 

AIA ............................. iShares Asia 50 ETF ................................................................................................................................ NASDAQ. 

IGOV .......................... iShares International Treasury Bond ETF ............................................................................................... NASDAQ. 

ARKW ........................ ARK Web x.0 ETF ................................................................................................................................... NYSE Arca. 

IXN ............................. iShares Global Tech ETF ........................................................................................................................ NYSE Arca. 

STIP ........................... iShares 0–5 Year TIPS Bond ETF .......................................................................................................... NYSE Arca. 

VOOG ........................ Vanguard S&P 500 Growth ETF ............................................................................................................. NYSE Arca. 

XAR ............................ SPDR S&P Aerospace & Defense ETF .................................................................................................. NYSE Arca. 

RYT ............................ Invesco S&P 500 Equal Weight Technology ETF ................................................................................... NYSE Arca. 

INDY ........................... iShares India 50 ETF ............................................................................................................................... NASDAQ. 

SCJ ............................ iShares MSCI Japan Small-Cap ETF ...................................................................................................... NYSE Arca. 

DEM ........................... WisdomTree Emerging Markets High Dividend Fund ............................................................................. NYSE Arca. 

IYJ .............................. iShares U.S. Industrials ETF ................................................................................................................... Cboe BZX. 

XT ............................... iShares Exponential Technologies ETF ................................................................................................... NASDAQ. 

FNDF .......................... Schwab Fundamental International Large Co. Index ETF ...................................................................... NYSE Arca. 

MLPI ........................... ETRACS Alerian MLP Infrastructure Index ETN ..................................................................................... NYSE Arca. 

VGIT ........................... Vanguard Intermediate-Term Treasury ETF ............................................................................................ NASDAQ. 

JPST .......................... JPMorgan Ultra-Short Income ETF ......................................................................................................... Cboe BZX. 

GVI ............................. iShares Intermediate Government/Credit Bond ETF ............................................................................... Cboe BZX. 

BOND ......................... PIMCO Active Bond ETF ......................................................................................................................... NYSE Arca. 

SLYV .......................... SPDR S&P 600 Small Cap Value ETF ................................................................................................... NYSE Arca. 

ZIV .............................. VelocityShares Daily Inverse VIX Medium-Term ETN ............................................................................ NASDAQ. 


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Ticker ETP name Exchange 

SPHB ......................... Invesco S&P 500 High Beta ETF ............................................................................................................ NYSE Arca. 

HEWG ........................ iShares Currency Hedged MSCI Germany ETF ..................................................................................... NASDAQ. 

AMZA ......................... InfraCap MLP ETF ................................................................................................................................... NYSE Arca. 

FNDA ......................... Schwab Fundamental US Small Co. Index ETF ..................................................................................... NYSE Arca. 

XLC ............................ Communication Services Select Sector SPDR Fund .............................................................................. NYSE Arca. 

BBRE ......................... JPMorgan BetaBuilders MSCI U.S. REIT ETF ........................................................................................ Cboe BZX. 

XSD ............................ SPDR S&P Semiconductor ETF .............................................................................................................. NYSE Arca. 

EUM ........................... ProShares Short MSCI Emerging Markets .............................................................................................. NYSE Arca. 

EPOL .......................... iShares MSCI Poland ETF ....................................................................................................................... NYSE Arca. 

SLYG .......................... SPDR S&P 600 Small Cap Growth ETF ................................................................................................. NYSE Arca. 

DJP ............................ iPath Bloomberg Commodity Index Total Return ETN ............................................................................ NYSE Arca. 

GSG ........................... iShares S&P GSCI Commodity Indexed Trust ........................................................................................ NYSE Arca. 

FDT ............................ First Trust Developed Markets ex-US AlphaDEX Fund .......................................................................... NASDAQ. 

VOX ............................ Vanguard Communication Services ETF ................................................................................................. NYSE Arca. 

VRP ............................ Invesco Variable Rate Preferred ETF ...................................................................................................... NYSE Arca. 

FFTY .......................... Innovator IBD 50 ETF .............................................................................................................................. NYSE Arca. 

IAT .............................. iShares U.S. Regional Banks ETF .......................................................................................................... NYSE Arca. 

EBND ......................... SPDR Bloomberg Barclays Emerging Markets Local Bond ETF ............................................................ NYSE Arca. 

DGRW ........................ WisdomTree US Quality Dividend Growth Fund ..................................................................................... NASDAQ. 

ITM ............................. VanEck Vectors AMT-Free Intermediate Municipal Index ETF ............................................................... NYSE Arca. 

SGOL ......................... ETFS Physical Swiss Shares .................................................................................................................. NYSE Arca. 

FBT ............................ First Trust NYSE Arca Biotechnology Index Fund .................................................................................. NYSE Arca. 

VONG ......................... Vanguard Russell 1000 Growth ETF ....................................................................................................... NASDAQ. 

FXL ............................. First Trust Technology AlphaDEX Fund .................................................................................................. NYSE Arca. 

FTSL .......................... First Trust Senior Loan Fund ................................................................................................................... NASDAQ. 

DON ........................... WisdomTree U.S. MidCap Dividend Fund ............................................................................................... NYSE Arca. 

SPSM ......................... SPDR Portfolio Small Cap ETF ............................................................................................................... NYSE Arca. 

GXC ........................... SPDR S&P China ETF ............................................................................................................................ NYSE Arca. 

FV ............................... First Trust Dorsey Wright Focus 5 ETF ................................................................................................... NASDAQ. 

CEF ............................ Sprott Physical Gold and Silver Trust Units ............................................................................................ NYSE Arca. 

SPMD ......................... SPDR Portfolio Mid Cap ETF .................................................................................................................. NYSE Arca. 

IDU ............................. iShares U.S. Utilities ETF ........................................................................................................................ NYSE Arca. 

MDYG ........................ SPDR S&P 400 Mid Cap Growth ETF .................................................................................................... NYSE Arca. 

IYZ .............................. iShares U.S. Telecommunications ETF ................................................................................................... Cboe BZX. 

FNDE ......................... Schwab Fundamental Emerging Markets Large Co. Index ETF ............................................................. NYSE Arca. 

CQQQ ........................ Invesco China Technology ETF ............................................................................................................... NYSE Arca. 

IGM ............................ iShares North American Tech ETF .......................................................................................................... NYSE Arca. 

GBIL ........................... Goldman Sachs TreasuryAccess 0–1 Year ETF ..................................................................................... NYSE Arca. 

VGLT .......................... Vanguard Long-Term Treasury ETF ........................................................................................................ NASDAQ. 

EPHE ......................... iShares MSCI Philippines ETF ................................................................................................................ NYSE Arca. 

MLPA ......................... Global X MLP ETF ................................................................................................................................... NYSE Arca. 

EWN ........................... iShares MSCI Netherlands ETF .............................................................................................................. NYSE Arca. 

FM .............................. iShares MSCI Frontier 100 ETF .............................................................................................................. NYSE Arca. 

IVOG .......................... Vanguard S&P Mid-Cap 400 Growth ETF ............................................................................................... NYSE Arca. 

LRGF .......................... iShares Edge MSCI Multifactor USA ETF ............................................................................................... NYSE Arca. 

DFJ ............................. WisdomTree Japan SmallCap Dividend Fund ......................................................................................... NYSE Arca. 

KBA ............................ KraneShares Bosera MSCI China A Share ETF ..................................................................................... NYSE Arca. 

CWI ............................ SPDR MSCI ACWI ex-US ETF ............................................................................................................... NYSE Arca. 

SPTL .......................... SPDR Portfolio Long Term Treasury ETF ............................................................................................... NYSE Arca. 

SUB ............................ iShares Short-Term National Muni Bond ETF ......................................................................................... NYSE Arca. 

FHLC .......................... Fidelity MSCI Health Care Index ETF ..................................................................................................... NYSE Arca. 

GNR ........................... SPDR S&P Global Natural Resources ETF ............................................................................................ NYSE Arca. 

IUSB ........................... iShares Core Total USD Bond Market ETF ............................................................................................ NASDAQ. 

USMC ......................... Principal U.S. Mega-Cap Multi-Factor Index ETF ................................................................................... NASDAQ. 

SPYD ......................... SPDR Portfolio S&P 500 High Dividend ETF .......................................................................................... NYSE Arca. 

GREK ......................... Global X MSCI Greece ETF .................................................................................................................... NYSE Arca. 

EDV ............................ Vanguard Extended Duration Treasury ETF ........................................................................................... NYSE Arca. 

VWOB ........................ Vanguard Emerging Markets Government Bond ETF ............................................................................. NASDAQ. 

CLY ............................ iShares 10+ Year Credit Bond ETF ......................................................................................................... NYSE Arca. 

JPIN ........................... J.P. Morgan Diversified Return International Equity ETF ........................................................................ NYSE Arca. 

SCHC ......................... Schwab International Small-Cap Equity ETF .......................................................................................... NYSE Arca. 

SDOG ......................... ALPS Sector Dividend Dogs ETF ............................................................................................................ NYSE Arca. 

FEP ............................ First Trust Europe AlphaDEX Fund ......................................................................................................... NASDAQ. 

VNM ........................... VanEck Vectors Vietnam ETF ................................................................................................................. NYSE Arca. 

INTF ........................... iShares Edge MSCI Multifactor Intl ETF .................................................................................................. NYSE Arca. 

VTWO ........................ Vanguard Russell 2000 ETF .................................................................................................................... NASDAQ. 

PICK ........................... iShares MSCI Global Metals & Mining Producers ETF ........................................................................... Cboe BZX. 

XMLV ......................... Invesco S&P MidCap Low Volatility ETF ................................................................................................. NYSE Arca. 

VYMI .......................... Vanguard International High Dividend Yield ETF .................................................................................... NASDAQ. 

PXH ............................ Invesco FTSE RAFI Emerging Markets ETF ........................................................................................... NYSE Arca. 

XSLV .......................... Invesco S&P SmallCap Low Volatility ETF ............................................................................................. NYSE Arca. 

CRED ......................... iShares U.S. Credit Bond ETF ................................................................................................................. NASDAQ. 

FENY .......................... Fidelity MSCI Energy Index ETF ............................................................................................................. NYSE Arca. 

PZA ............................ Invesco National AMT-Free Municipal Bond ETF ................................................................................... NYSE Arca. 


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66498 Federal Register / Vol. 83, No. 246 / Wednesday, December 26, 2018 / Notices 

Ticker ETP name Exchange 

EMQQ ........................ Emerging Markets Internet & Ecommerce ETF ....................................................................................... NYSE Arca. 

PPA ............................ Invesco Aerospace & Defense ETF ........................................................................................................ NYSE Arca. 

HYLS .......................... First Trust Tactical High Yield ETF .......................................................................................................... NASDAQ. 

VONV ......................... Vanguard Russell 1000 Value ETF ......................................................................................................... NASDAQ. 

DGS ........................... WisdomTree Emerging Markets SmallCap Dividend Fund ..................................................................... NYSE Arca. 

PSCH ......................... Invesco S&P SmallCap Health Care ETF ............................................................................................... NASDAQ. 

FIDU ........................... Fidelity MSCI Industrials Index ETF ........................................................................................................ NYSE Arca. 

FEM ............................ First Trust Emerging Markets AlphaDEX Fund ....................................................................................... NASDAQ. 

FXO ............................ First Trust Financials AlphaDEX Fund .................................................................................................... NYSE Arca. 

SPLB .......................... SPDR Portfolio Long Term Corporate Bond ETF ................................................................................... NYSE Arca. 

IXG ............................. iShares Global Financials ETF ................................................................................................................ NYSE Arca. 

IPE ............................. SPDR Bloomberg Barclays TIPS ETF ..................................................................................................... NYSE Arca. 

CORP ......................... PIMCO Investment Grade Corporate Bond Index ETF ........................................................................... NYSE Arca. 

WIP ............................ SPDR FTSE International Government Inflation-Protected Bond ETF ................................................... NYSE Arca. 

RPV ............................ Invesco S&P 500 Pure Value ETF .......................................................................................................... NYSE Arca. 

BSJI ............................ Invesco BulletShares 2018 High Yield Corporate Bond ETF .................................................................. NYSE Arca. 

IEO ............................. iShares U.S. Oil & Gas Exploration & Production ETF ........................................................................... Cboe BZX. 

PRFZ .......................... Invesco FTSE RAFI US 1500 Small-Mid ETF ......................................................................................... NASDAQ. 

FXR ............................ First Trust Industrials/Producer Durables AlphaDEX Fund ..................................................................... NYSE Arca. 

FEX ............................ First Trust Large Cap Core AlphaDEX Fund ........................................................................................... NASDAQ. 

DLS ............................ WisdomTree International SmallCap Dividend Fund ............................................................................... NYSE Arca. 

DFE ............................ WisdomTree Europe SmallCap Dividend Fund ....................................................................................... NYSE Arca. 

FTCS .......................... First Trust Capital Strength ETF .............................................................................................................. NASDAQ. 

BSJJ ........................... Invesco BulletShares 2019 High Yield Corporate Bond ETF .................................................................. NYSE Arca. 

PNQI .......................... Invesco NASDAQ Internet ETF ............................................................................................................... NASDAQ. 

TLH ............................ iShares 10–20 Year Treasury Bond ETF ................................................................................................ NYSE Arca. 

SLQD ......................... iShares 0–5 Year Investment Grade Corporate Bond ETF .................................................................... NASDAQ. 

EXI ............................. iShares Global Industrials ETF ................................................................................................................ NYSE Arca. 

PGF ............................ Invesco Financial Preferred ETF ............................................................................................................. NYSE Arca. 

GEM ........................... Goldman Sachs ActiveBeta Emerging Markets Equity ETF ................................................................... NYSE Arca. 

PPH ............................ VanEck Vectors Pharmaceutical ETF ...................................................................................................... NASDAQ. 

PDP ............................ Invesco DWA Momentum ETF ................................................................................................................ NASDAQ. 

FDIS ........................... Fidelity MSCI Consumer Discretionary Index ETF .................................................................................. NYSE Arca. 

FXB ............................ Invesco CurrencyShares British Pound Sterling Trust ............................................................................ NYSE Arca. 

PHYS ......................... Sprott Physical Gold Trust Units .............................................................................................................. NYSE Arca. 

IAI ............................... iShares U.S. Broker-Dealers & Securities Exchanges ETF .................................................................... NYSE Arca. 

LEMB ......................... iShares J.P. Morgan EM Local Currency Bond ETF ............................................................................... NYSE Arca. 

BLOK .......................... Amplify Transformational Data Sharing ETF ........................................................................................... NYSE Arca. 

USRT ......................... iShares Core U.S. REIT ETF ................................................................................................................... NYSE Arca. 

SPTS .......................... SPDR Portfolio Short Term Treasury ETF .............................................................................................. NYSE Arca. 

IYC ............................. iShares U.S. Consumer Services ETF .................................................................................................... NYSE Arca. 

CMF ........................... iShares California Muni Bond ETF .......................................................................................................... NYSE Arca. 

FXH ............................ First Trust Health Care AlphaDEX Fund ................................................................................................. NYSE Arca. 

FNDC ......................... Schwab Fundamental International Small Co. Index ETF ...................................................................... NYSE Arca. 

OGIG .......................... O’Shares Global Internet Giants ETF ...................................................................................................... NYSE Arca. 

IGHG .......................... ProShares Investment Grade-Interest Rate Hedged ............................................................................... Cboe BZX. 

MGC ........................... Vanguard Mega Cap ETF ........................................................................................................................ NYSE Arca. 

DES ............................ WisdomTree U.S. SmallCap Dividend Fund ........................................................................................... NYSE Arca. 

DWX ........................... SPDR S&P International Dividend ETF ................................................................................................... NYSE Arca. 

PTLC .......................... Pacer Trendpilot US Large Cap ETF ...................................................................................................... Cboe BZX. 

MGV ........................... Vanguard Mega Cap Value ETF ............................................................................................................. NYSE Arca. 

BSJK .......................... Invesco BulletShares 2020 High Yield Corporate Bond ETF .................................................................. NYSE Arca. 

MOAT ......................... VanEck Vectors Morningstar Wide Moat ETF ......................................................................................... NYSE Arca. 

EELV .......................... Invesco S&P Emerging Markets Low Volatility ETF ................................................................................ NYSE Arca. 

SDIV ........................... Global X Superdividend ETF ................................................................................................................... NYSE Arca. 

DSI ............................. iShares MSCI KLD 400 Social ETF ......................................................................................................... NYSE Arca. 

VIGI ............................ Vanguard International Dividend Appreciation ETF ................................................................................ NASDAQ. 

MDYV ......................... SPDR S&P 400 Mid Cap Value ETF ....................................................................................................... NYSE Arca. 

REET .......................... iShares Global REIT ETF ........................................................................................................................ NYSE Arca. 

ITE .............................. SPDR Bloomberg Barclays Intermediate Term Treasury ETF ................................................................ NYSE Arca. 

IWY ............................ iShares Russell Top 200 Growth ETF ..................................................................................................... NYSE Arca. 

QDF ............................ FlexShares Quality Dividend Index Fund ................................................................................................ NYSE Arca. 

FDL ............................ First Trust Morningstar Dividend Leaders Index Fund ............................................................................ NYSE Arca. 

SPHQ ......................... Invesco S&P 500 Quality ETF ................................................................................................................. NYSE Arca. 

AOR ........................... iShares Core Growth Allocation ETF ....................................................................................................... NYSE Arca. 

AOM ........................... iShares Core Moderate Allocation ETF ................................................................................................... NYSE Arca. 

COMT ......................... iShares Commodities Select Strategy ETF ............................................................................................. NASDAQ. 

IBND ........................... SPDR Bloomberg Barclays International Corporate Bond ETF .............................................................. NYSE Arca. 

EMHY ......................... iShares Emerging Markets High Yield Bond ETF ................................................................................... Cboe BZX. 

WPS ........................... iShares International Developed Property ETF ....................................................................................... NYSE Arca. 

FXZ ............................ First Trust Materials AlphaDEX Fund ...................................................................................................... NYSE Arca. 

ECON ......................... Columbia Emerging Markets Consumer ETF .......................................................................................... NYSE Arca. 

DLN ............................ WisdomTree U.S. LargeCap Dividend Fund ........................................................................................... NYSE Arca. 

MOO ........................... VanEck Vectors Agribusiness ETF .......................................................................................................... NYSE Arca. 


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Ticker ETP name Exchange 

IBUY ........................... Amplify Online Retail ETF ........................................................................................................................ NASDAQ. 

BSCJ .......................... Invesco BulletShares 2019 Corporate Bond ETF ................................................................................... NYSE Arca. 

GSIE ........................... Goldman Sachs ActiveBeta International Equity ETF ............................................................................. NYSE Arca. 

TAN ............................ Invesco Solar ETF ................................................................................................................................... NYSE Arca. 

RING .......................... iShares MSCI Global Gold Miners ETF ................................................................................................... NASDAQ. 

VNLA .......................... Janus Henderson Short Duration Income ETF ....................................................................................... NYSE Arca. 

FXN ............................ First Trust Energy AlphaDEX Fund ......................................................................................................... NYSE Arca. 

PPLT .......................... ETFS Physical Platinum Shares .............................................................................................................. NYSE Arca. 

EEMO ......................... Invesco S&P Emerging Markets Momentum ETF ................................................................................... NYSE Arca. 

VXZ ............................ iPath S&P 500 VIX Mid-Term Futures ETN Class A .............................................................................. NYSE Arca. 

RODM ........................ Hartford Multifactor Developed Markets (ex-US) ETF ............................................................................. NYSE Arca. 

VIOO .......................... Vanguard S&P Small-Cap 600 ETF ........................................................................................................ NYSE Arca. 

EEMA ......................... iShares MSCI Emerging Markets Asia ETF ............................................................................................ NASDAQ. 

URA ............................ Global X Uranium ETF ............................................................................................................................. NYSE Arca. 

BSCK ......................... Invesco BulletShares 2020 Corporate Bond ETF ................................................................................... NYSE Arca. 

QAI ............................. IQ Hedge Multi-Strategy Tracker ETF ..................................................................................................... NYSE Arca. 

REMX ......................... VanEck Vectors Rare Earth/Strategic Metals ETF .................................................................................. NYSE Arca. 

STPZ .......................... PIMCO 1–5 Year US TIPS Index ETF .................................................................................................... NYSE Arca. 

FPX ............................ First Trust US Equity Opportunities ETF ................................................................................................. NYSE Arca. 

FXC ............................ Invesco CurrencyShares Canadian Dollar Trust ..................................................................................... NYSE Arca. 

IAGG .......................... iShares Core International Aggregate Bond ETF .................................................................................... Cboe BZX. 

PXF ............................ Invesco FTSE RAFI Developed Markets ex-U.S. ETF ............................................................................ NYSE Arca. 

BBH ............................ VanEck Vectors Biotech ETF .................................................................................................................. NASDAQ. 

BSCI ........................... Invesco BulletShares 2018 Corporate Bond ETF ................................................................................... NYSE Arca. 

VONE ......................... Vanguard Russell 1000 ETF .................................................................................................................... NASDAQ. 

PWV ........................... Invesco Dynamic Large Cap Value ETF ................................................................................................. NYSE Arca. 

CIBR ........................... First Trust NASDAQ. Cybersecurity ETF ................................................................................................ NASDAQ. 

TOK ............................ iShares MSCI Kokusai ETF ..................................................................................................................... NYSE Arca. 

ARGT ......................... Global X MSCI Argentina ETF ................................................................................................................. NYSE Arca. 

IYK ............................. iShares U.S. Consumer Goods ETF ....................................................................................................... NYSE Arca. 

IYY ............................. iShares Dow Jones U.S. ETF .................................................................................................................. NYSE Arca. 

IHF ............................. iShares U.S. Healthcare Providers ETF .................................................................................................. NYSE Arca. 

TDTT .......................... FlexShares iBoxx 3 Year Target Duration TIPS Index Fund .................................................................. NYSE Arca. 

CFO ............................ VictoryShares US 500 Enhanced Volatility Wtd ETF .............................................................................. NASDAQ. 

CLRG ......................... IQ Chaikin U.S. Large Cap ETF .............................................................................................................. NASDAQ. 

RTM ........................... Invesco S&P 500 Equal Weight Materials ETF ....................................................................................... NYSE Arca. 

SMIN .......................... iShares MSCI India Small Cap ETF ........................................................................................................ Cboe BZX. 

RWL ........................... Oppenheimer S&P 500 Revenue ETF .................................................................................................... NYSE Arca. 

SCHK ......................... Schwab 1000 Index ETF ......................................................................................................................... NYSE Arca. 

PSI ............................. Invesco Dynamic Semiconductors ETF ................................................................................................... NYSE Arca. 

RHS ............................ Invesco S&P 500 Equal Weight Consumer Staples ETF ........................................................................ NYSE Arca. 

FTA ............................ First Trust Large Cap Value AlphaDEX Fund ......................................................................................... NASDAQ. 

FCG ............................ First Trust Natural Gas ETF .................................................................................................................... NYSE Arca. 

DDWM ........................ WisdomTree Dynamic Currency Hedged International Equity Fund ....................................................... Cboe BZX. 

DBB ............................ Invesco DB Base Metals Fund ................................................................................................................ NYSE Arca. 

MNA ........................... IQ Merger Arbitrage ETF ......................................................................................................................... NYSE Arca. 

PKW ........................... Invesco Buyback Achievers ETF ............................................................................................................. NASDAQ. 

EWO ........................... iShares MSCI Austria ETF ....................................................................................................................... NYSE Arca. 

NANR ......................... SPDR S&P North American Natural Resources ETF ............................................................................. NYSE Arca. 

HYMB ......................... SPDR Nuveen S&P High Yield Municipal Bond ETF .............................................................................. NYSE Arca. 

IWC ............................ iShares Micro-Cap ETF ........................................................................................................................... NYSE Arca. 

XLG ............................ Invesco S&P 500 Top 50 ETF ................................................................................................................. NYSE Arca. 

SIL .............................. Global X Silver Miners ETF ..................................................................................................................... NYSE Arca. 

FXD ............................ First Trust Consumer Discretionary AlphaDEX Fund .............................................................................. NYSE Arca. 

BSCL .......................... Invesco BulletShares 2021 Corporate Bond ETF ................................................................................... NYSE Arca. 

ICVT ........................... iShares Convertible Bond ETF ................................................................................................................ Cboe BZX. 

BAB ............................ Invesco Taxable Municipal Bond ETF ..................................................................................................... NYSE Arca. 

FLTR .......................... VanEck Vectors Investment Grade Floating Rate ETF ........................................................................... NYSE Arca. 

PSK ............................ SPDR Wells Fargo Preferred Stock ETF ................................................................................................ NYSE Arca. 

IXJ .............................. iShares Global Healthcare ETF ............................................................................................................... NYSE Arca. 

EEMS ......................... iShares MSCI Emerging Markets Small Cap ETF .................................................................................. NYSE Arca. 

AOA ............................ iShares Core Aggressive Allocation ETF ................................................................................................ NYSE Arca. 

GWX ........................... SPDR S&P International Small Cap ETF ................................................................................................ NYSE Arca. 

FREL .......................... Fidelity MSCI Real Estate Index ETF ...................................................................................................... NYSE Arca. 

RFDI ........................... First Trust Riverfront Dynamic Developed International ETF .................................................................. NASDAQ. 

FMAT ......................... Fidelity MSCI Materials Index ETF .......................................................................................................... NYSE Arca. 

SLX ............................ VanEck Vectors Steel ETF ...................................................................................................................... NYSE Arca. 

WOOD ........................ iShares Global Timber & Forestry ETF ................................................................................................... NASDAQ. 

IEZ .............................. iShares U.S. Oil Equipment & Services ETF .......................................................................................... NYSE Arca. 

FEMS ......................... First Trust Emerging Markets Small Cap AlphaDEX Fund ..................................................................... NASDAQ. 

CHIQ .......................... Global X China Consumer ETF ............................................................................................................... NYSE Arca. 

JKD ............................ iShares Morningstar Large-Cap ETF ....................................................................................................... NYSE Arca. 

IFV .............................. First Trust Dorsey Wright International Focus 5 ETF .............................................................................. NASDAQ. 

BSCM ......................... Invesco BulletShares 2022 Corporate Bond ETF ................................................................................... NYSE Arca. 


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Ticker ETP name Exchange 

FTXO .......................... First Trust NASDAQ. Bank ETF .............................................................................................................. NASDAQ. 

SCIF ........................... VanEck Vectors India Small-Cap Index ETF ........................................................................................... NYSE Arca. 

IPAC ........................... iShares Core MSCI Pacific ETF .............................................................................................................. NYSE Arca. 

FTC ............................ First Trust Large Cap Growth AlphaDEX Fund ....................................................................................... NASDAQ. 

PALL .......................... ETFS Physical Palladium Shares ............................................................................................................ NYSE Arca. 

RDVY ......................... First Trust Rising Dividend Achievers ETF .............................................................................................. NASDAQ. 

XPH ............................ SPDR S&P Pharmaceuticals ETF ........................................................................................................... NYSE Arca. 

HYEM ......................... VanEck Vectors Emerging Markets High Yield Bond ETF ...................................................................... NYSE Arca. 

ICSH ........................... iShares Ultra Short-Term Bond ETF ....................................................................................................... Cboe BZX. 

URTH ......................... iShares MSCI World ETF ........................................................................................................................ NYSE Arca. 

BAR ............................ GraniteShares Gold Shares ..................................................................................................................... NYSE Arca. 

BNO ........................... United States Brent Oil Fund LP ............................................................................................................. NYSE Arca. 

RYH ............................ Invesco S&P 500 Equal Weight Health Care ETF .................................................................................. NYSE Arca. 

BSJL ........................... Invesco Bulletshares 2021 High Yield Corporate Bond ETF .................................................................. NYSE Arca. 

USCI ........................... United States Commodity Index Fund ..................................................................................................... NYSE Arca. 

RYF ............................ Invesco S&P 500 Equal Weight Financials ETF ..................................................................................... NYSE Arca. 

IVOO .......................... Vanguard S&P Mid-Cap 400 ETF ........................................................................................................... NYSE Arca. 

SLY ............................ SPDR S&P 600 Small Cap ETF .............................................................................................................. NYSE Arca. 

XHE ............................ SPDR S&P Health Care Equipment ETF ................................................................................................ NYSE Arca. 

IBDL ........................... iShares iBonds Dec 2020 Term Corporate ETF ..................................................................................... NYSE Arca. 

AGGY ......................... WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund ...................................................... NYSE Arca. 

FMB ............................ First Trust Managed Municipal ETF ........................................................................................................ NASDAQ. 

IFGL ........................... iShares International Developed Real Estate ETF .................................................................................. NASDAQ. 

IBDK ........................... iShares iBonds Dec 2019 Term Corporate ETF ..................................................................................... NYSE Arca. 

IBDM .......................... iShares iBonds Dec 2021 Term Corporate ETF ..................................................................................... NYSE Arca. 

IQDF ........................... FlexShares International Quality Dividend Index Fund ........................................................................... NYSE Arca. 

FLTB .......................... Fidelity Limited Term Bond ETF .............................................................................................................. NYSE Arca. 

KSA ............................ iShares MSCI Saudi Arabia ETF ............................................................................................................. NYSE Arca. 

BLCN .......................... Reality Shares Nasdaq NextGen Economy ETF ..................................................................................... NASDAQ. 

IOO ............................. iShares Global 100 ETF .......................................................................................................................... NYSE Arca. 

VOOV ......................... Vanguard S&P 500 Value ETF ................................................................................................................ NYSE Arca. 

EWX ........................... SPDR S&P Emerging Markets Small Cap ETF ...................................................................................... NYSE Arca. 

OUSA ......................... O’Shares FTSE US Quality Dividend ETF .............................................................................................. NYSE Arca. 

FNX ............................ First Trust Mid Cap Core AlphaDEX Fund .............................................................................................. NASDAQ. 

FUTY .......................... Fidelity MSCI Utilities Index ETF ............................................................................................................. NYSE Arca. 

DHS ............................ WisdomTree U.S. High Dividend Fund .................................................................................................... NYSE Arca. 

DVYE ......................... iShares Emerging Markets Dividend ETF ............................................................................................... NYSE Arca. 

HYGH ......................... iShares Interest Rate Hedged High Yield Bond ETF .............................................................................. NYSE Arca. 

MLPX ......................... Global X MLP & Energy Infrastructure ETF ............................................................................................ NYSE Arca. 

AGZ ............................ iShares Agency Bond ETF ...................................................................................................................... NYSE Arca. 

FDD ............................ First Trust Stoxx European Select Dividend Index Fund ........................................................................ NYSE Arca. 

RGI ............................. Invesco S&P 500 Equal Weight Industrials ETF ..................................................................................... NYSE Arca. 

SOCL ......................... Global X Social Media ETF ..................................................................................................................... NASDAQ. 

IGE ............................. iShares North American Natural Resources ETF .................................................................................... Cboe BZX. 

TDTF .......................... FlexShares iBoxx 5 Year Target Duration TIPS Index Fund .................................................................. NYSE Arca. 

IPAY ........................... ETFMG Prime Mobile Payments ETF ..................................................................................................... NYSE Arca. 

TDIV ........................... First Trust NASDAQ Technology Dividend Index Fund .......................................................................... NASDAQ. 

JKE ............................. iShares Morningstar Large-Cap Growth ETF .......................................................................................... NYSE Arca. 

RYE ............................ Invesco S&P 500 Equal Weight Energy ETF .......................................................................................... NYSE Arca. 

IHE ............................. iShares U.S. Pharmaceuticals ETF ......................................................................................................... NYSE Arca. 

PJP ............................. Invesco Dynamic Pharmaceuticals ETF .................................................................................................. NYSE Arca. 

PID ............................. Invesco International Dividend Achievers ETF ........................................................................................ NASDAQ. 

PEY ............................ Invesco High Yield Equity Dividend Achievers ETF ................................................................................ NASDAQ. 

ILTB ............................ iShares Core 10+ Year USD Bond ETF .................................................................................................. NYSE Arca. 

RDIV ........................... Oppenheimer S&P Ultra Dividend Revenue ETF .................................................................................... NYSE Arca. 

LVHD .......................... Legg Mason Low Volatility High Dividend ETF ....................................................................................... NASDAQ. 

EZM ............................ WisdomTree U.S. MidCap Earnings Fund .............................................................................................. NYSE Arca. 

ARKG ......................... ARK Genomic Revolution Multi-Sector ETF ............................................................................................ NYSE Arca. 

HFXI ........................... IQ 50 Percent Hedged FTSE International ETF ...................................................................................... NYSE Arca. 

SNLN .......................... Highland iBoxx Senior Loan ETF ............................................................................................................ NASDAQ. 

CSML ......................... IQ Chaikin U.S. Small Cap ETF .............................................................................................................. NASDAQ. 

FXU ............................ First Trust Utilities AlphaDEX Fund ......................................................................................................... NYSE Arca. 

PSLV .......................... Sprott Physical Silver Trust ...................................................................................................................... NYSE Arca. 

QQEW ........................ First Trust Nasdaq-100 Equal Weighted Index Fund .............................................................................. NASDAQ. 

EMGF ......................... iShares Edge MSCI Multifactor Emerging Markets ETF ......................................................................... Cboe BZX. 

FXF ............................ Invesco CurrencyShares Swiss Franc Trust ........................................................................................... NYSE Arca. 

HYZD ......................... WisdomTree Interest Rate Hedged High Yield Bond Fund .................................................................... NASDAQ. 

AGGP ......................... IQ Enhanced Core Plus Bond U.S. ETF ................................................................................................. NYSE Arca. 

AIEQ ........................... AI Powered Equity ETF ........................................................................................................................... NYSE Arca. 

PCEF .......................... Invesco CEF Income Composite ETF ..................................................................................................... NYSE Arca. 

KBWY ......................... Invesco KBW Premium Yield Equity REIT ETF ...................................................................................... NASDAQ. 

IBDN ........................... iShares iBonds Dec 2022 Term Corporate ETF ..................................................................................... NYSE Arca. 

PBP ............................ Invesco S&P 500 BuyWrite ETF .............................................................................................................. NYSE Arca. 

CFA ............................ VictoryShares US 500 Volatility Wtd ETF ............................................................................................... NASDAQ. 


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Ticker ETP name Exchange 

BWZ ........................... SPDR Bloomberg Barclays Short Term International Treasury Bond ETF ............................................ NYSE Arca. 

VIIX ............................ VelocityShares VIX Short-Term ETN ....................................................................................................... NASDAQ. 

SJB ............................. ProShares Short High Yield ..................................................................................................................... NYSE Arca. 

FSTA .......................... Fidelity MSCI Consumer Staples Index ETF ........................................................................................... NYSE Arca. 

DWM .......................... WisdomTree International Equity Fund ................................................................................................... NYSE Arca. 

ESGE ......................... iShares MSCI EM ESG Optimized ETF .................................................................................................. NASDAQ. 

FXG ............................ First Trust Consumer Staples AlphaDEX Fund ....................................................................................... NYSE Arca. 

CXSE ......................... WisdomTree China ex-State-Owned Enterprises Fund .......................................................................... NASDAQ. 

EQAL .......................... Invesco Russell 1000 Equal Weight ETF ................................................................................................ NYSE Arca. 

SMDV ......................... ProShares Russell 2000 Dividend Growers ETF .................................................................................... Cboe BZX. 

MXI ............................. iShares Global Materials ETF .................................................................................................................. NYSE Arca. 

IHDG .......................... WisdomTree International Hedged Quality Dividend Growth Fund ........................................................ NYSE Arca. 

FYX ............................ First Trust Small Cap Core AlphaDEX Fund ........................................................................................... NASDAQ. 

JPUS .......................... JPMorgan Diversified Return U.S. Equity ETF ........................................................................................ NYSE Arca. 

CGW .......................... Invesco S&P Global Water Index ETF .................................................................................................... NYSE Arca. 

SIZE ........................... iShares Edge MSCI USA Size Factor ETF ............................................................................................. NYSE Arca. 

XNTK .......................... SPDR NYSE Technology ETF ................................................................................................................. NYSE Arca. 

CDC ........................... VictoryShares US EQ Income Enhanced Volatility Wtd ETF .................................................................. NASDAQ. 

SIVR ........................... ETFS Physical Silver Shares ................................................................................................................... NYSE Arca. 

IDLV ........................... Invesco S&P International Developed Low Volatility ETF ....................................................................... NYSE Arca. 

FBND ......................... Fidelity Total Bond ETF ........................................................................................................................... NYSE Arca. 

VRIG .......................... Invesco Variable Rate Investment Grade ETF ........................................................................................ NASDAQ. 

XMX ........................... WisdomTree Global ex-Mexico Equity Fund ........................................................................................... NYSE Arca. 

QABA ......................... First Trust NASDAQ ABA Community Bank Index Fund ........................................................................ NASDAQ. 

RIGS .......................... RiverFront Strategic Income Fund ........................................................................................................... NYSE Arca. 

FDRR ......................... Fidelity Dividend ETF for Rising Rates .................................................................................................... NYSE Arca. 

EPU ............................ iShares MSCI Peru ETF .......................................................................................................................... NYSE Arca. 

QYLD ......................... Recon Capital NASDAQ 100 Covered Call ETF ..................................................................................... NASDAQ. 

CSM ........................... ProShares Large Cap Core Plus ............................................................................................................. Cboe BZX. 

FINX ........................... Global X FinTech ETF ............................................................................................................................. NASDAQ. 

GLTR .......................... ETFS Physical Precious Metals Basket Shares ...................................................................................... NYSE Arca. 

MDIV .......................... First Trust Multi-Asset Diversified Income Index Fund ............................................................................ NASDAQ. 

AADR ......................... AdvisorShares Dorsey Wright ADR ETF ................................................................................................. NYSE Arca. 

PFXF .......................... VanEck Vectors Preferred Securities ex Financials ETF ........................................................................ NYSE Arca. 

PGHY ......................... Invesco Global Short Term High Yield Bond ETF ................................................................................... NYSE Arca. 

BKF ............................ iShares MSCI BRIC ETF ......................................................................................................................... NYSE Arca. 

PSCT .......................... Invesco S&P SmallCap Information Technology ETF ............................................................................. NASDAQ. 

JPN ............................ Xtrackers Japan JPX-Nikkei 400 Equity ETF .......................................................................................... NYSE Arca. 

ULVM ......................... USAA MSCI USA Value Momentum Blend Index ETF ........................................................................... NYSE Arca. 

AMU ........................... ETRACS Alerian MLP Index ETN ........................................................................................................... NYSE Arca. 

TFLO .......................... iShares Treasury Floating Rate Bond ETF ............................................................................................. NYSE Arca. 

FIXD ........................... First Trust TCW Opportunistic Fixed Income ETF .................................................................................. NASDAQ. 

EES ............................ WisdomTree U.S. SmallCap Earnings Fund ........................................................................................... NYSE Arca. 

FVC ............................ First Trust Dorsey Wright Dynamic Focus 5 ETF ................................................................................... NASDAQ. 

EDIV ........................... SPDR S&P Emerging Markets Dividend ETF ......................................................................................... NYSE Arca. 

FCVT .......................... First Trust SSI Strategic Convertible Securities ETF .............................................................................. NASDAQ. 

HDGE ......................... AdvisorShares Ranger Equity Bear ETF ................................................................................................. NYSE Arca. 

IBDO .......................... iShares iBonds Dec 2023 Term Corporate ETF ..................................................................................... NYSE Arca. 

TMFC ......................... Motley Fool 100 Index ETF ..................................................................................................................... Cboe BZX. 

FEU ............................ SPDR STOXX Europe 50 ETF ................................................................................................................ NYSE Arca. 

PKB ............................ Invesco Dynamic Building & Construction ETF ....................................................................................... NYSE Arca. 

PTMC ......................... Pacer Trendpilot US Mid Cap ETF .......................................................................................................... Cboe BZX. 

FTGC ......................... First Trust Global Tactical Commodity Strategy Fund ............................................................................ NASDAQ. 

ESGD ......................... iShares MSCI EAFE ESG Optimized ETF .............................................................................................. NASDAQ. 

KXI ............................. iShares Global Consumer Staples ETF ................................................................................................... NYSE Arca. 

PWB ........................... Invesco Dynamic Large Cap Growth ETF ............................................................................................... NYSE Arca. 

FXA ............................ Invesco CurrencyShares Australian Dollar Trust ..................................................................................... NYSE Arca. 

REGL ......................... ProShares S&P MidCap 400 Dividend Aristocrats ETF .......................................................................... Cboe BZX. 

JPGE .......................... J.P. Morgan Diversified Return Global Equity ETF ................................................................................. NYSE Arca. 

BSCN ......................... Invesco Bulletshares 2023 Corporate Bond ETF .................................................................................... NYSE Arca. 

JKG ............................ iShares Morningstar Mid-Cap ETF .......................................................................................................... NYSE Arca. 

GMF ........................... SPDR S&P Emerging Asia Pacific ETF .................................................................................................. NYSE Arca. 

NUAG ......................... NuShares Enhanced Yield U.S. Aggregate Bond ETF ........................................................................... NYSE Arca. 

NIB ............................. iPath Bloomberg Cocoa Subindex Total Return ETN ............................................................................. NYSE Arca. 

PIE ............................. Invesco DWA Emerging Markets Momentum ETF .................................................................................. NASDAQ. 

PUTW ......................... WisdomTree CBOE S&P 500 PutWrite Strategy Fund ........................................................................... NYSE Arca. 

FYC ............................ First Trust Small Cap Growth AlphaDEX Fund ....................................................................................... NASDAQ. 

SUSA ......................... iShares MSCI USA ESG Select ETF ...................................................................................................... NYSE Arca. 

RXI ............................. iShares Global Consumer Discretionary ETF .......................................................................................... NYSE Arca. 

IPKW .......................... Invesco International BuyBack Achievers ETF ........................................................................................ NASDAQ. 

TLTE .......................... FlexShares Morningstar Emerging Markets Factor Tilt Index ................................................................. NYSE Arca. 

UDN ........................... Invesco DB US Dollar Index Bearish Fund ............................................................................................. NYSE Arca. 

HDEF ......................... Xtrackers MSCI EAFE High Dividend Yield Equity ETF ......................................................................... NYSE Arca. 

ELD ............................ WisdomTree Emerging Markets Local Debt Fund .................................................................................. NYSE Arca. 


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Ticker ETP name Exchange 

XTL ............................. SPDR S&P Telecom ETF ........................................................................................................................ NYSE Arca. 

ZROZ ......................... PIMCO 25+ Year Zero Coupon US Treasury Index ETF ....................................................................... NYSE Arca. 

ATMP ......................... Barclays ETN+ Select MLP ETN ............................................................................................................. NYSE Arca. 

BILLING CODE 8011–01–P 


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Appendix B - Data and Reporting 

[Unless otherwise specified, the following data shall be collected and transmitted to the SEC in 

an agreed-upon format on a monthly basis, to be provided 30 calendar days following month end. 

Unless otherwise specified, the Primary Listing Exchanges shall be responsible for collecting and 

transmitting the data to the SEC. Data collected in connection with Sections II(E)- (G) below shall be 

transmitted to the SEC with a request for confidential treatment under the Freedom of Information Act. 

5 U.S.C. § 552, and the SEC's rules and regulations thereunder. 

I. Summary Statistics 

A Frequency with which NMS Stocks enter a Limit State. Such summary data shall be 

broken down as follows: 

1. Partition stocks by category 

a. Tier 1 non-ETP issues> $3.00 

b. Tier 1 non-ETP issues>= $0.75 and<= $3.00 

c. Tier 1 non-ETP issues < $0.75 

d. Tier 1 non-leveraged ETPs in each of above categories 

e. Tier 1 leveraged ETPs in each of above categories 

f. Tier 2 non-ETPs in each of above categories 

g. Tier 2 non-leveraged ETPs in each of above categories 

h. Tier 2 leveraged ETPs in each of above categories 

2. Partition by time of day 

a. Opening (prior to 9:45am ET) 

b. Regular (between 9:45am ET and 3:35pm ET) 

c. Closing (after 3:35pm ET) 

d. Within five minutes of a Trading Pause re-open or IPO open 

3. Track reasons for entering a Limit State, such as: 
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a. Liquidity gap -price reverts from a Limit State Quotation and returns to 

trading within the Price Bands 

b. Broken trades 

c. Primary Listing Exchange manually declares a Trading Pause pursuant 

to Section (VII)(2) of the Plan 

d. Other 

B. Determine (1), (2) and (3) for when a Trading Pause has been declared for an NMS 

Stock pursuant to the Plan. 

II. Raw Data (all Participants, except A-E, which are for the Primary Listing Exchanges only) 

A Record of every Straddle State. 

1. Ticker, date, time entered, time exited, flag for ending with Limit State, flag for 

ending with manual override. 

2. Pipe delimited with field names as first record. 

B. Record of every Price Band 

1. Ticker, date, time at beginning of Price Band, Upper Price Band, Lower Price 

Band 

2. Pipe delimited with field names as first record 

C. Record of every Limit State 

1. Ticker, date, time entered, time exited, flag for halt 

2. Pipe delimited with field names as first record 

D. Record of every Trading Pause or halt 

1. Ticker, date, time entered, time exited, type of halt (i.e., regulatory halt, nonregulatory halt, Trading Pause pursuant to the Plan, other) 

2. Pipe delimited with field names as first record 

E. Data set or orders entered into reopening auctions during halts or Trading Pauses 

1. Arrivals, Changes, Cancels, # shares, limit/market, side, Limit State side 

2. Pipe delimited with field name as first record 

F. Data set of order events received during Limit States 
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G. Summary data on order flow of arrivals and cancellations for each IS-second period for 

discrete time periods and sample stocks to be determined by the SEC in subsequent data 

requests. Must indicate side(s) of Limit State. 

I. Market/marketable sell orders arrivals and executions 

a. Count 

b. Shares 

c. Shares executed 

2. Market/marketable buy orders arrivals and executions 

a. Count 

b. Shares 

c. Shares executed 

3. Count arriving, volume arriving and shares executing in limit sell orders above 

NBBO mid-point 

4. Count arriving, volume arriving and shares executing in limit sell orders at or 

below NBBO mid-point (non-marketable) 

S. Count arriving, volume arriving and shares executing in limit buy orders at or 

above NBBO mid-point (non-marketable) 

6. Count arriving, volume arriving and shares executing in limit buy orders below 

NBBO mid-point 

7. Count and volume arriving of limit sell orders priced at or above NBBO midpoint plus $0.0S 

8. Count and volume arriving of limit buy orders priced at or below NBBO midpoint minus $0.0S 

9. Count and volume of (3-8) for cancels 

IO. Include: ticker, date, time at start, time ofLimit State, all data item fields in I, 

last sale prior to IS-second period (null if no trades today), range during ISsecond period, last trade during IS-second period 

III. On May 28, 2015, Participants provided to the SEC a supplemental joint assessment 

relating to the impact of the Plan and calibration of the Percentage Parameters as 

follows: 

A Assess the statistical and economic impact on liquidity of approaching Price Bands. 
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B. Assess the statistical and economic impact of the Price Bands on erroneous trades. 

C. Assess the statistical and economic impact of the appropriateness of the Percentage 

Parameters used for the Price Bands. 

D. Assess whether the Limit State is the appropriate length to allow for liquidity 

replenishment when a Limit State is reached because of a temporary liquidity gap. 

E. Evaluate concerns from the options markets regarding the statistical and economic 

impact of Limit States on liquidity and market quality in the options markets. 

(Participants that operate options exchange should also prepare such assessment 

reports.) 

F. Assess whether the process for entering a Limit State should be adjusted and whether 

Straddle States are problematic. 

G. Assess whether the process for exiting a Limit State should be adjusted. 

H. Assess whether the Trading Pauses are too long or short and whether the reopening 

procedures should be adjusted.] 

I. Data Provision. The Commission may request from the Primary Listing Exchanges the below 

data that is not otherwise publicly available. The requested data shall be collected and transmitted to 

the Commission in an agreed-upon format, to be provided 30 calendar days following the date of the 

request, or such other date as agreed upon by the Commission and Primary Listing Exchange. Data 

collected in connection with a Commission request shall be transmitted to the Commission with a 

request for confidential treatment under the Freedom of Information Act. 5 U.S.C. § 552, and the 

Commission's rules and regulations thereunder. This section shall expire at the time the below data 

becomes available via the National Market System Plan Governing the Consolidated Audit Trail or 

becomes publicly available. 

A Data set of all orders entered during halts or Trading Pauses 

1. Normal or Auction Only orders, Arrivals, Changes, Cancels, # shares, 

limit/market, side, Limit State side 

2. Pipe delimited with field name as first record 

B. Data set of order events received during Limit States 
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C. Summary data on order flow of arrivals and cancellations for each 15-second period for 

discrete time periods and sample stocks to be determined by the SEC in subsequent data 

requests. Must indicate side(s) of Limit State. 

1. Market/marketable sell orders arrivals and executions 

a. Count 

b. Shares 

c. Shares executed 

2. Market/marketable buy orders arrivals and executions 

a. Count 

b. Shares 

c. Shares executed 

3. Count arriving, volume arriving and shares executing in limit sell orders above 

NBBO mid-point 

4. Count arriving, volume arriving and shares executing in limit sell orders at or 

below NBBO mid-point (non-marketable) 

5. Count arriving, volume arriving and shares executing in limit buy orders at or 

above NBBO mid-point (non-marketable) 

6. Count arriving, volume arriving and shares executing in limit buy orders below 

NBBO mid-point 

7. Count and volume arriving of limit sell orders priced at or above NBBO midpoint plus $0.05 

8. Count and volume arriving of limit buy orders priced at or below NBBO midpoint minus $0.05 

9. Count and volume of (3-8) for cancels 

10. Include: ticker, date, time at start, time of Limit State, all data item fields in 1, 

last sale prior to 15-second period (null if no trades today), range during ISsecond period, last trade during 15-second period 

II. Reporting 

A. Annual Report. No later than March 31, 2020 and annually thereafter, the Operating 

Committee, in consultation with the Advisory Committee, will provide the Commission and make 
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publicly available a report containing key information concerning the Plan's performance during the 

preceding calendar year which shall include the following items: (1) an update on the Plan's 

operations; (2) an analysis of any amendments to the Plan implemented during the period covered by 

the report; and (3) an analysis of potential material emerging issues that may directly impact the 

operation of the Plan. 

1. Update on the Plan's Operations. This section of the Annual Report shall 

analyze the Plan's operation during the covered period, including a discussion of any areas of 

the Plan's operation that require additional analysis. In particular, this section of the Annual 

Report shall examine the calibration of the parameters set forth in the Plan (e.g., Price Bands, 

duration of Limit States, impact of Straddle States, duration of Trading Pauses, and the 

performance of reopening procedures following a Trading Pause). The section of the Annual 

Report also shall consider stock characteristics and variations in market conditions over time, 

and may include tests that differentiate results for different characteristics, both in isolation and 

in combination. 

2. Analysis of Amendments Implemented. This section of the Annual Report shall 

provide an analysis of any amendments implemented during the covered period. The analysis 

shall include a discussion of any such amendment's operation and its impact on the overall 

operation of the Plan. 

3. Analysis of Emerging Issues. This section of the Annual Report should vary 

from year-to-year and will include a discussion and analysis of the Plan's operation during a 

significant market event that may have occurred during the covered period. This section shall 

also include any additional analyses performed during the covered period on issues that were 

raised in previous Annual Reports. 
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B. Quarterly Data. 30 days following the end of each calendar quarter, the Operating 

Committee shall provide the Commission and make publicly available a report including basic 

statistics regarding the Plan's operation ("Monitoring Report") during the preceding calendar quarter 

as well as aggregated data from the previous 12 quarters beginning with the calendar quarter covered 

by the first Monitoring Report. The purpose of the Monitoring Report is to identify trends in the 

performance and impact of the Plan on market activity. 

1. The quarterly production shall include the following data for each month during 

the preceding calendar quarter: 

a. Events Data. 

1. Number of Limit States, Trading Pauses, and Straddle States per 

day, including distribution statics such as the mean, median, 

minimum and maximum percentiles 

11. Number of NMS Stocks that experience more than one Limit 

State Trading Pause, or Straddle State in a single day including 

the length of each Limit State, Trading Pause, and Straddle State 

per day 

b. The number of Clearly Erroneous Events per day for all NMS Stocks 

that occurred during the time when Price Bands are disseminated by the 

Processor 

c. Reopening Data 

1. Number of times an automated reopening process is extended for 

and the length of the Trading Pause 

11. Whether the reopening process ended in a trade 
66510 Federal Register / Vol. 83, No. 246 / Wednesday, December 26, 2018 / Notices 


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111. The price calculated by an automated reopening process for an 

NMS Stock exiting a Trading Pause 

IV. For the five minutes following the conclusion of a Trading Pause, 

the highest price of all last sale eligible trades, the lowest price of 

all last sale eligible trades, and the average price of all last sale 

eligible trades 

2. Partition stocks by category 

a. Tier 1 non-ETP issues> $3.00 

b. Tier 1 non-ETP issues>= $0.75 and<= $3.00 

c. Tier 1 non-ETP issues< $0.75 

d. Tier 1 non-leveraged ETPs in each of above categories 

e. Tier 1 leveraged ETPs in each of above categories 

f. Tier 2 non-ETPs in each of above categories 

g. Tier 2 non-leveraged ETPs in each of above categories 

h. Tier 2 leveraged ETPs in each of above categories 

3. Partition by time of day 

a. Opening (prior to 9:45am ET) 

b. Regular (between 9:45am ET and 3:35pm ET) 

c. Closing (after 3:35pm ET) 

d. Within five minutes of a Trading Pause re-open or IPO open 

C. Reports on Market Events. At the Commission's request, the Operating Committee 

shall provide the Commission and make publicly available a report analyzing the Plan's operation 

during a significant market event that (1) materially impacted the trading of more than one security 

across multiple Trading Centers; and (2) is directly related to or implicating the performance of the 
Federal Register / Vol. 83, No. 246 / Wednesday, December 26, 2018 / Notices 66511 

[FR Doc. 2018–27819 Filed 12–21–18 8:45 am] 

BILLING CODE 8011–01–C 


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Plan. Such report shall be provided to the Commission no later than 30 days following the 

Commission's request, or at a later date as agreed upon between the Commission and the Operating 

Committee. The requirement to submit a report under this section may be satisfied by including the 

required analysis within an Annual Report.