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 Securities and Exchange Commission [Release No. 34-84843; File No. 4-631]
 
 
 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 up-limit 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 up-limit 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.
                        ( print page 66465) 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 Pro-Forma 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 
                        ( print page 66466)
                        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 
                        ( print page 66467)
                        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. 
 
  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. 
 
  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 
                        ( print page 66470)
                        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, non-primary 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 re-opening 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 
                        ( print page 66471)
                        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 (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 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 
                        ( print page 66472)
                        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.
                        ( print page 66473) 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. 
 
   
 
  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.  
 
  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 
                        ( print page 66477)
                        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, non-doubled, 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%. 
 
  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. 
 
   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 
                        ( print page 66480)
                        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 Up-Limit 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.
                        ( print page 66481) 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 double-wide 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 double-wide 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 
                        ( print page 66482)
                        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.
 
 
  
 
  
 
 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 
                        ( print page 66486)
                        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 broker-dealer with a substantial institutional investor customer base; (3) an alternative trading system; (4) a broker-dealer 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 
 
  
 
  (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. 
                        ( print page 66489)
                        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 re-opening 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. 
 
   
 
 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 
 
  Appendix A—Schedule 1 (as of July 2, 2018) Ticker
ETP name
ExchangeSPY
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.( print page 66493)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.( print page 66494)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.( print page 66495)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.( print page 66496)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.( print page 66497)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.( print page 66498)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.( print page 66499)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.( print page 66500)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.( print page 66501)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.( print page 66502)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.


# Footnotes

1.
    
                             On 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). Back to Citation
 2.
    
                             15 U.S.C. 78k-1(a)(3). Back to Citation
 3.
    
                             17 CFR 242.608. Back to Citation
 4.
    
                             
                            *See*
                             Letter from Elizabeth King, General Counsel and Corporate Secretary, NYSE, to Brent Fields, Secretary, Commission, dated November 2, 2018 (“Transmittal Letter”). Back to Citation
 5.
    
                             Unless otherwise specified, the terms used herein have the same meaning as set forth in the Plan. Back to Citation
 6.
    
                             All times are Eastern Standard or ET. Back to Citation
 7.
    
                             17 CFR 242.608. Back to Citation
 8.
    
                             
                            *See*17 CFR 242.608(a)(4) and (a)(5). Back to Citation
 9.
    
                             
                            *See*
                             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; cross-references have been revised to conform with the footnote sequencing of this notice. Back to Citation
 10.
    
                             17 CFR 242.600(b)(47). Back to Citation
 11.
    
                             17 CFR 242.603(b). The Plan refers to this entity as the Processor. Back to Citation
 12.
    
                             
                            *See*
                             Section VIII of the Plan. Back to Citation
 13.
    
                             
                            *See supra*
                             note 1. Back to Citation
 14.
    
                             
                            *See id.* Back to Citation
 15.
    
                             
                            *See id.* Back to Citation
 16.
    
                             The 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 exchange-listed securities except for Nasdaq. On May 12, 2104, the second part of Phase 2 was implemented for Nasdaq-listed securities. Back to Citation
 17.
    
                             
                            *See*
                             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). Back to Citation
 18.
    
                             The 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. Back to Citation
 19.
    
                             For 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. Back to Citation
 20.
    
                             
                            *See*
                             Supplemental Joint Assessment, 
                            *id.* Back to Citation
 21.
    
                             
                            *See*
                             “ `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*. Back to Citation
 22.
    
                             
                            *See*
                             Appendix B, Section III of the Plan. Back to Citation
 23.
    
                             
                            *See*
                             the Supplemental Joint Assessment, 
                            *supra*
                             note 19. Back to Citation
 24.
    
                             
                            *Id.*
                             at page 19. Back to Citation
 25.
    
                             
                            *Id.* Back to Citation
 26.
    
                             
                            *Id.*
                             at page 35. Back to Citation
 27.
    
                             
                            *Id.*
                             at page 39. Back to Citation
 28.
    
                             
                            *See*
                             the Supplemental Joint Assessment, 
                            *supra*
                             note 19, at page 39. Back to Citation
 29.
    
                             
                            *Id.* Back to Citation
 30.
    
                             
                            *Id.*
                             at page 54. Back to Citation
 31.
    
                             
                            *Id.* Back to Citation
 32.
    
                             Section 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. Back to Citation
 33.
    
                             
                            *See*
                             Securities Exchange Act Release No. 77205 (February 22, 2016), 81 FR 10315 (February 29, 2016) (“Amendment No. 10 Notice”). Back to Citation
 34.
    
                             
                            *Id.* Back to Citation
 35.
    
                             An “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. Back to Citation
 36.
    
                             
                            *See*
                             “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.* Back to Citation
 37.
    
                             
                            *Id.*
                             at 2. Back to Citation
 38.
    
                             
                            *Id.*
                             at page 4. Back to Citation
 39.
    
                             
                            *See 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.* Back to Citation
 40.
    
                             
                            *See*
                             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. Back to Citation
 41.
    
                             For 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. Back to Citation
 42.
    
                             
                            *See*
                             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/​emsac-recommendations-rulemaking-market-quality.pdf.* Back to Citation
 43.
    
                             The Participants will address the EMSAC recommendations in their first annual report regarding the Plan's operation, proposed herein and discussed below. Back to Citation
 44.
    
                             
                            *See supra*
                             note 1, 77 FR 33498 at 33508. Back to Citation
 45.
    
                             
                            *See*
                             Supplemental Joint Assessment, 
                            *supra*
                             note 19. Back to Citation
 46.
    
                             
                            *See*
                             Appendix B, Section III of the Plan. Back to Citation
 47.
    
                             
                            *See*
                             Supplemental Joint Assessment, 
                            *supra*
                             note 19. Back to Citation
 48.
    
                             The 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. Back to Citation
 49.
    
                             
                            *See*
                             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/​emsac-recommendations-rulemaking-market-quality.pdf.* Back to Citation
 50.
    
                             As 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. Back to Citation
 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. Back to Citation
 52.
    
                             The 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. Back to Citation
 53.
    
                             The Commission understands that this reference to “Advisors” is related to Section II(D) of the plan, which discusses the Advisory Committee. Back to Citation
 54.
    
                             
                            *See*
                             text accompanying 82 FR 45922, note 1, 
                            *supra.* Back to Citation
 55.
    
                             One 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?”, J
                            *ournal of Financial Economics,*
                             forthcoming, available at 
                            *https://www.sciencedirect.com/​science/​article/​pii/​S0304405X18302356.* Back to Citation
 56.
    
                             Another 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.* Back to Citation


BILLING CODE 8011-01-P BILLING CODE 8011-01-C [FR Doc. 2018-27819 Filed 12-21-18 8:45 am]