77304 Federal Register / Vol. 85, No. 231 / Tuesday, December 1, 2020 / Notices 

1 15 U.S.C. 78s(b)(1). 

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

to the Commission (or its 

representatives), upon request; 

(4) Section 17(b) of the Exchange Act, 

and the rules and regulations 

thereunder, as it relates to the obligation 

of MGEX, in its capacity as a national 

securities exchange, to make itself 

available to inspection and examination 

by the Commission (or its 

representatives), upon request; and 

(5) the requirement that MGEX 

register with the Commission as a 

clearing agency, as set forth in Section 

17A of the Exchange Act, and the rules 

and regulations thereunder, including 

the exemption from registration in 

paragraph (b)(7) of that section. 

Such exemptions are subject to the 

conditions set forth below. To the extent 

that one or more of these conditions is 

no longer satisfied, the exemptions set 

forth in this order will no longer apply 

three calendar months after the end of 

the month in which any condition was 

no longer satisfied. 

(1) SPIKES measures the magnitude of 

changes in the level of the price of the 

units of the SPDR® S&P 500® ETF Trust 

(‘‘SPY’’) over a defined period of time, 

which magnitude is calculated using the 

prices of options on the SPY and 

represents: (a) An annualized standard 

deviation of percent changes in the 

price of the units of the SPY; (b) an 

annualized variance of percent changes 

in the price of the units of the SPY; or 

(c) on a non-annualized basis either the 

standard deviation or the variance of 

percent changes in the price of the units 

of the SPY. 

(2) The average daily dollar volume in 

the units of the SPY is at least $10 

billion calculated over the preceding 

180 days. 

(3) Units of the SPY are listed and 

traded on a national securities exchange 

registered under section 6(a) of the 

Exchange Act. 

(4) The aggregate average daily 

notional volume in options on the SPY 

is at least $400 million calculated over 

the preceding 180 days. 

(5) Options on the SPY are listed and 

traded on a national securities exchange 

registered under section 6(a) of the 

Exchange Act. 

(6) The SPY is a ‘‘unit investment 

trust,’’ as defined in Section 4(2) of the 

Investment Company Act of 1940, and 

is registered with the Commission as an 

investment company under the 

Investment Company Act of 1940. 

(7) The SPY holds a portfolio of 

common stocks designed to provide 

investment returns that, before 

expenses, correspond generally to the 

price and yield performance of the S&P 

500 Index. 

(8) The annualized tracking error 

between the net asset value (‘‘NAV’’) of 

the SPY and the S&P 500 Index does not 

meet or exceed 1%; provided, however, 

that if over two consecutive trading days 

the returns used to calculate annualized 

tracking error can be netted, such that 

the annualized tracking error falls below 

1%, then any such exceedance shall be 

deemed not to have occurred on those 

two consecutive trading days for 

purposes of this condition. For purposes 

of this condition, the term ‘‘annualized 

tracking error’’ should be calculated by 

taking the weekly return differences 

between the NAV of the SPY and the 

S&P 500 Index for the trailing 12 

months (with each week beginning and 

ending on a Friday), taking into account 

dividends (as applicable), and then 

multiplying the standard deviation of 

those return differences by the square 

root of 52. 

(9) The official closing price of the 

SPY, as determined pursuant to the 

rules of its primary listing exchange, 

does not deviate from the NAV of the 

SPY by more than 20 basis points for 

five or more consecutive trading days. 

(10) MGEX shall monitor the daily 

closing prices and the NAV of the SPY 

and the corresponding returns of the 

S&P 500 Index. If (i) at any time the 

annualized tracking error between the 

NAV of the SPY and the S&P 500 Index 

exceeds 0.5% or (ii) for two or more 

consecutive trading days the official 

closing price of the SPY, as determined 

pursuant to the rules of its primary 

listing exchange, deviates from the NAV 

of the SPY by more than 20 basis points, 

MGEX shall (A) promptly notify the 

Commission of such divergence, in a 

form and manner acceptable to the 

Commission, and (B) conduct an 

investigation in an attempt to determine 

its cause. 

Dated: November 24, 2020. 

By the Commission. 

Vanessa A. Countryman, 

Secretary. 

[FR Doc. 2020–26419 Filed 11–30–20; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–90495; File No. SR–NYSE– 

2020–95] 

Self-Regulatory Organizations; New 

York Stock Exchange LLC; Notice of 

Filing of Proposed Rule Change To 

Make Permanent Commentaries to 

Rule 7.35A and Commentaries to Rule 

7.35B and Make Related Changes to 

Rules 7.32, 7.35C, 46B, and 47 

November 24, 2020. 

Pursuant to Section 19(b)(1) 1 of the 

Securities Exchange Act of 1934 

(‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that, on 

November 13, 2020, New York Stock 

Exchange LLC (‘‘NYSE’’ or ‘‘Exchange’’) 

filed with the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change as described in 

Items I and II below, which Items have 

been prepared by the self-regulatory 

organization. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to make 

permanent Commentaries .01(a) and (b) 

and .06 to Rule 7.35A and 

Commentaries .01 and .03 to Rule 7.35B 

and make related changes to Rules 7.32, 

7.35C, 46B, and 47. The proposed rule 

change is available on the Exchange’s 

website at www.nyse.com, at the 

principal office of the Exchange, and at 

the Commission’s Public Reference 

Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant parts of such 

statements. 


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4Pursuant to Rule 7.1(e), the CEO notified the 

Board of Directors of the Exchange of her 

determination under Rule 7.1(c)(3). The Exchange’s 

rules establish how the Exchange will function 

fully-electronically. See Press Release, dated March 

18, 2020, available here: https://ir.theice.com/press/ 

press-releases/all-categories/2020/03-18-2020- 

204202110. 

5See Securities Exchange Act Release No. 88933 

(May 22, 2020), 85 FR 32059 (May 28, 2020) (SR– 

NYSE–2020–47) (Notice of filing and immediate 

effectiveness of proposed rule change). 

6See Securities Exchange Act Release No. 89086 

(June 17, 2020) (SR–NYSE–2020–52) (Notice of 

filing and immediate effectiveness of proposed rule 

change). 

7See Securities Exchange Act Release Nos. 88444 

(March 20, 2020), 85 FR 17141 (March 26, 2020) 

(SR–NYSE–2020–22) (amending Rules 7.35A to add 

Commentary .01, 7.35B to add Commentary .01, and 

7.35C to add Commentary .02) and 89086 (June 17, 

2020), 85 FR 37712 (SR–NYSE–2020–52) (amending 

Rules 7.35A to add Commentary .06, 7.35B to add 

Commentary .03, 76 to add Supplementary Material 

20, and Supplementary Material .30 to Rule 36). 

8See Securities Exchange Act Release No. 90005 

(September 25, 2020), 85 FR 61999 (October 1, 

2020) (SR–NYSE–2020–78) (Notice of filing and 

immediate effectiveness of proposed rule change to 

extend the temporary period for Commentaries to 

Rules 7.35, 7.35A, 7.35B, and 7.35C; and temporary 

rule relief in Rule 36.30 to end on the earlier of a 

full reopening of the Trading Floor facilities to 

DMMs or after the Exchange closes on December 31, 

2020). 

9The term ‘‘Consolidated Last Sale Price’’ is 

defined in Rule 7.35 to mean the most recent 

consolidated last-sale eligible trade in a security on 

any market during Core Trading Hours on that 

trading day, and if none, the Official Closing Price 

from the prior trading day for that security. 

10The term ‘‘Exchange Last Sale Price’’ is defined 

in Rule 7.35 to mean the most recent trade on the 

Exchange of a round lot or more in a security during 

Core Trading Hours on that trading day, and if 

none, the Official Closing Price from the prior 

trading day for that security. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to make 

permanent Commentaries .01(a) and (b) 

and .06 to Rule 7.35A (DMM-Facilitated 

Core Open and Trading Halt Auctions) 

and Commentaries .01 and .03 to Rule 

7.35B (DMM-Facilitated Closing 

Auctions) and make related changes to 

Rules 7.32 (Order Entry), 7.35C 

(Exchange-Facilitated Closing 

Auctions), 46B (Regulatory Trading 

Official), and 47 (Floor Officials— 

Unusual Situations). 

Background 

In connection with the closing of the 

Trading Floor facilities located at 11 

Wall Street in New York City as of 

March 23, 2020 and moving the 

Exchange, on a temporary basis, to fully 

electronic trading,4 and subsequent 

reopening of the Trading Floor on a 

limited basis first to Floor Brokers on 

May 26, 2020 5 and then to DMMs on 

June 15, 2020,6 the Exchange added 

Commentaries .01 and .06 to Rule 7.35A 

and Commentaries .01 and .03 to 

7.35B.7 Currently, these Commentaries 

are in effect until the earlier of a full 

reopening of the Trading Floor facilities 

to DMMs or after the Exchange closes on 

December 31, 2020.8

Specifically, Commentary .01 to Rule 

7.35A provides: 

For a temporary period that begins 

March 23, 2020, when the Trading Floor 

facilities have been closed pursuant to 

Rule 7.1(c)(3), and ends on the earlier of 

a full reopening of the Trading Floor 

facilities to DMMs or after the Exchange 

closes on December 31, 2020: 

(a) The percentage price parameters in 

paragraph (c)(1)(G) and (c)(2) of this 

Rule are suspended and a DMM may not 

effect a Core Open or Trading Halt 

Auction electronically if the Core Open 

or Trading Halt Auction Price will be 

more than 10% away from the 

Consolidated Last Sale Price. 

(b) The volume parameters in 

paragraph (c)(1)(H) of this Rule are 

suspended. 

(c) The requirement to publish a preopening indication pursuant to 

paragraph (d) of this Rule before either 

a Core Open or Trading Halt Auction is 

suspended. 

Commentary .06 to Rule 7.35A 

provides: 

For a temporary period that begins on 

June 17, 2020 and ends on the earlier of 

a full reopening of the Trading Floor 

facilities to DMMs or after the Exchange 

closes on December 31, 2020, the 

Applicable Price Range specified in 

paragraphs (d)(3)(A) and (B) of this Rule 

is suspended and the Applicable Price 

Range will be 10% for securities with an 

Indication Reference Price higher than 

$3.00 and $0.30 for securities with an 

Indication Reference Price equal to or 

lower than $3.00. 

Commentary .01 to Rule 7.35B 

provides: 

For a temporary period that begins 

March 23, 2020, when the Trading Floor 

facilities have been closed pursuant to 

Rule 7.1(c)(3), and ends on the earlier of 

a full reopening of the Trading Floor 

facilities to DMMs or after the Exchange 

closes on December 31, 2020: 

(a) The percentage price parameters in 

paragraph (c)(1)(G) of this Rule are 

suspended and a DMM may not effect 

a Closing Auction electronically if the 

Closing Auction Price will be more than 

10% away from the Exchange Last Sale 

Price. 

(b) The volume parameters in 

paragraph (c)(1)(H) of this Rule are 

suspended. 

Finally, Commentary .03 to Rule 

7.35B provides: 

For a temporary period that begins on 

June 17, 2020 and ends on the earlier of 

a full reopening of the Trading Floor 

facilities to DMMs or after the Exchange 

closes on December 31, 2020, Floor 

Broker Interest will not be eligible to 

participate in the Closing Auction. 

Proposed Rule Changes 

Proposed Changes to Parameters for 

DMM-Facilitated Electronic Auctions 

The Exchange proposes to make 

permanent the parameters for DMMfacilitated electronic auctions that are 

currently in effect on a temporary basis 

as set forth in Commentaries .01(a) and 

(b) to Rule 7.35A and Commentary .01 

to Rule 7.35B. 

Current Rules 7.35A(c)(1)(G) and (H) 

provide that a DMM may not effect a 

Core Open or Trading Halt Auction 

electronically if (i) the Auction Price 

will be more than 4% away from the 

Consolidated Last Sale Price,9 or (ii) the 

paired volume for the Auction will be 

more than 1,500 round lots for securities 

with an average opening volume of 

1,000 round lots or fewer in the 

previous calendar quarter, or 5,000 

round lots for securities with an average 

opening volume of over 1,000 round lots 

in the previous calendar quarter. Rule 

7.35A(c)(2) further provides that if as of 

9:00 a.m., the E-mini S&P 500 Futures 

are +/¥2% from the prior day’s closing 

price of the E-mini S&P 500 Futures, or 

if the Exchange determines that it is 

necessary or appropriate for the 

maintenance of a fair and orderly 

market, a DMM may effect an opening 

or reopening electronically if the 

Auction Price will be up to 8% away 

from Consolidated Last Sale Price, 

without any volume limitations. 

Current Rule 7.35B(c)(1)(G) and (H) 

provide that a DMM may not effect a 

Closing Auction electronically if (i) the 

Auction Price will be more than a 

designated percentage away from the 

Exchange Last Sale Price,10 or (ii) the 

paired volume for the Closing Auction 

will be more than 1,000 round lots for 

such security. The designated 

percentages are currently as follows: 

Exchange last sale price Designated 

percentage 

$25.00 and below ................. 5% 

$25.01 to $50.00 .................. 4% 

Above $50.00 ....................... 2% 

The Exchange proposes to make the 

price percentage parameter 10% and 

eliminate the volume restrictions for all 

DMM-facilitated Auctions. These 


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77306 Federal Register / Vol. 85, No. 231 / Tuesday, December 1, 2020 / Notices 

11When Floor Broker Interest was eligible to 

participate in the Closing Auction, DMM 

electronically-facilitated Closing Auctions occurred 

at 4:02 p.m. Eastern Time. Because there has been 

no Floor Broker Interest for the Closing Auction 

during the period while the Trading Floor has been 

temporarily closed, the Exchange moved the time 

for DMM electronically-facilitated Closing Auctions 

to closer to 4:00 p.m. With the proposed change, 

described below, to permanently eliminate Floor 

Broker Interest for the Closing Auction, the 

Exchange would continue to conduct DMM 

electronically-facilitated Closing Auctions shortly 

after 4:00 p.m., rather than revert to the 4:02 p.m. 

time for such auctions. 

12Market volatility was, on average, lower in 

February 2020 as compared to July 2020–October 

2020. Calculating the price dislocation metric in 

terms of a security’s average spread incorporates the 

wider spreads in the latter period and allows for a 

better comparison between the two periods. 

13Closing Auction price dislocation is generally 

lower than Core Open Auction price dislocation, 

due to the relatively lower levels of volatility 

around the Closing Auction compared to the Core 

Open Auction. 

parameters are currently in effect on a 

temporary basis pursuant to 

Commentaries .01(a) and (b) to Rule 

7.35A and Commentary .01 to Rule 

7.35B. The Exchange believes that 

making these temporary Commentaries 

permanent would promote fair and 

orderly DMM-facilitated Auctions. 

In particular, DMMs have been 

operating with the temporary 

parameters for Core Open, Trading Halt 

Auctions, and Closing Auctions since 

March 23, 2020. Accordingly, these 

temporary parameters have been in 

effect not only during the period when 

the Trading Floor was closed in full, but 

also for the period when the Trading 

Floor has partially reopened to reduced 

staff of DMM and Floor brokers firms. In 

addition, these temporary parameters 

have been in effect during periods of 

both extreme volatility and high trading 

volumes. Accordingly, DMMs have had 

over six months’ of experience of 

electronically facilitating Auctions 

within these temporary parameters and 

apply them during varying market 

conditions. 

The Exchange has observed that 

during the period when these temporary 

parameters have been in effect, DMMs 

have facilitated more Core Open 

Auctions electronically, resulting in a 

higher percentage of Core Open 

Auctions occurring within two seconds 

of 9:30 a.m. Eastern Time. For example, 

in February 2020, which was before the 

Trading Floor closed, DMMs effected 

electronically 85.9% of all Core Open 

Auctions and 75.9% of Core Open 

Auctions in S&P 500 securities. By 

contrast, for the period July 2020 

through October 2020, after when 

DMMs had returned to the Trading 

Floor, DMMs effected electronically 

96% of all Core Open Auctions and 

89.6% of Core Open Auctions in S&P 

500 securities. The increased number of 

DMM electronically-facilitated Core 

Open Auctions has resulted in more 

Core Open Auctions occurring close to 

the beginning of Core Trading Hours. 

For example, in February 2020, 85.9% 

of all Core Open Auctions, and 75.9% 

of Core Open Auctions in S&P 500 

securities, occurred within two seconds 

of 9:30 a.m. Eastern Time. By contrast, 

for the period July 2020 through October 

2020, 95.9% of all Core Open Auctions, 

and 89.6% of Core Open Auctions in 

S&P 500 securities, occurred within two 

seconds of 9:30 a.m. Eastern Time. 

The Exchange has observed similar 

trends for Closing Auctions, with DMMs 

facilitating more Closing Auctions 

electronically, which means more 

Closing Auctions occurring closer to 

4:00 p.m. Eastern Time. In February 

2020, DMMs effected electronically 57% 

of all Closing Auctions and 5.5% of 

Closing Auctions in S&P 500 securities. 

By contrast, for the period July 2020 

through October 2020, DMMs effected 

electronically 90.9% of all Closing 

Auctions, and 53.6% of Closing 

Auctions in S&P 500 securities. 

Currently, DMM electronicallyfacilitated Closing Auctions occur 

shortly after 4:00 p.m. Eastern Time.11

Accordingly, the increased number of 

DMM electronically-facilitated Closing 

Auctions translates to an increase in the 

number of Closing Auctions that occur 

close to 4:00 p.m. Eastern Time. Because 

the temporary wider percentage 

parameters and eliminated volume 

parameters have resulted in more Core 

Open Auctions and Closing Auctions 

occurring at 9:30 a.m. Eastern Time or 

4:00 p.m. Eastern Time, respectively, 

the Exchange believes that making these 

temporary parameters permanent would 

support the continued fair and orderly 

operation of Auctions on the Exchange. 

The Exchange also notes that during 

the period when the temporary 

parameters have been in place, the 

Exchange has not observed greater 

auction price dislocation compared to 

the period immediately preceding 

implementation of these temporary 

parameters, and has even observed 

modest improvement. The Exchange 

defines auction price dislocation as the 

difference between the Core Open 

Auction price and the consolidated 

volume-weighted average price 

(‘‘VWAP’’) over the subsequent fiveminute period, or the difference 

between the Closing Auction price and 

the consolidated VWAP over the two 

minutes preceding the Closing Auction; 

the lower the difference, the lower the 

auction price dislocation. In February 

2020, the Exchange’s average Core Open 

Auction dislocation was 3.27x a 

security’s average spread; for the period 

July 2020 through October 2020 the 

average was 3.22x a security’s average 

spread.12 Similarly, the median Core 

Open Auction dislocation fell from 

1.84x a security’s average spread to 

1.78x a security’s average spread. 

The Exchange also observed similar 

trends in the Closing Auction price 

dislocation statistics. In February 2020, 

the Exchange’s average Closing Auction 

Price Dislocation was 0.82x a security’s 

average spread; for the period July 2020 

through October 2020, the average was 

0.69x a security’s average spread.13

Median Closing Auction dislocation 

also dropped from 0.5x to 0.43x a 

security’s average spread in the 

respective periods. Because the 

temporary wider percentage parameters 

have not resulted in greater auction 

price dislocation, the Exchange believes 

that making these parameters permanent 

would continue to support fair and 

orderly Auctions on the Exchange. 

To effect these changes, the Exchange 

proposes to: 

• Amend Rule 7.35A(c)(1)(G) to 

replace the current 4% price parameter 

for Core Open and Trading Halt 

Auctions with a 10% price parameter. 

Because the proposed price parameter 

would be 10%, the Exchange believes 

that the need for the double-wide 

parameters set forth in Rule 7.35A(c)(2) 

for Core Open and Trading Halt 

Auctions would no longer be necessary 

and the Exchange proposes to delete 

that text. 

• Delete Rule 7.35A(c)(1)(H). 

• Amend Rule 7.35A(j)(1)(A) to delete 

reference to volume parameters and 

Rule 7.35A(c)(1)(H). 

• Amend Rule 7.35B(c)(1)(G) to 

replace the reference to ‘‘designated 

percentage’’ parameter for the Closing 

Auction with a 10% price parameter. 

The Exchange further proposes to delete 

the chart specifying the designated 

percentages for the Closing Auction. 

• Delete Rule 7.35B(c)(1)(H). 

• Delete Commentaries .01(a) and (b) 

to Rule 7.35A. 

• Delete the entirety of Commentary 

.01 to Rule 7.35B. 

The Exchange proposes to maintain 

Commentary .01(c) to Rule 7.35A, 

which provides that for a temporary 

period that begins March 23, 2020, 

when the Trading Floor facilities have 

been closed pursuant to Rule 7.1(c)(3), 

and ends on the earlier of a full 

reopening of the Trading Floor facilities 

to DMMs or after the Exchange closes on 

December 31, 2020, the requirement to 

publish a pre-opening indication 

pursuant to Rule 7.35A(d) before either 

a Core Open Auction or Trading Halt 


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14The Exchange notes that even though the 

requirement for pre-opening indications has been 

suspended, since June 17, 2020, when DMMs 

returned staff to the Trading Floor, DMMs have 

published pre-opening indications for IPO Auctions 

and the two Direct Listing Auctions on September 

30, 2020. 

15Pursuant to Commentaries .01 and .02 to Rule 

7.35, for the temporary period that ends on the 

earlier of a full reopening of the Trading Floor 

facilities to DMMs or after the Exchange closes on 

December 31, 2020, the Exchange includes IPOs 

and Direct Listings in the Auction Imbalance 

Information. The Exchange has filed a separate 

proposed rule change to include IPOs and Direct 

Listings in the Auction Imbalance Information on 

a permanent basis. See Securities Exchange Act 

Release No. 90387 (November 10, 2020) (SR–NYSE– 

2020–93) (Notice of Filing). 

16Rule 7.35(a)(4) provides that DMM Auction 

Liquidity is never included in Auction Imbalance 

Information. By its terms, DMM Auction Liquidity, 

as defined in Rule 7.35(d)(8)(A), is entered by the 

DMM either manually or electronically as part of 

the DMM unit’s electronic message to conduct an 

Auction. For an Auction effected electronically by 

the DMM, DMM Auction Liquidity is entered 

simultaneously with the DMM facilitating the 

Auction, which is why it is not included in the 

Auction Imbalance Information leading up to such 

Auction. For an Auction effected manually by the 

DMM, the DMM can factor such interest into the 

pre-opening indication price range. DMM Orders, as 

defined in Rule 7.35(d)(8)(B), that may be entered 

by the DMM in advance of such Auctions would 

be included in the Auction Imbalance Information. 

Auction is suspended. The Exchange 

proposes non-substantive amendments 

to delete subparagraph (c) numbering 

and move the text of that subparagraph 

into the body of Commentary .01.14

Proposed Changes to Applicable Price 

Range for Pre-Opening Indications 

The Exchange proposes to make 

permanent that the Applicable Price 

Range for determining whether to 

publish a pre-opening indication would 

be 10% for securities with an Indication 

Reference Price higher than $3.00 and 

$0.30 for securities with an Indication 

Reference Price equal to or lower than 

$3.00, which are currently in effect on 

a temporary basis, as set forth in 

Commentary .06 to Rule 7.35A. 

Rule 7.35A(d)(1)(A) currently 

provides that a DMM will publish a preopening indication before a security 

opens or reopens if the Core Open or 

Trading Halt Auction is anticipated to 

be a change of more than the 

‘‘Applicable Price Range,’’ as specified 

in Rule 7.35A(d)(3), from a specified 

‘‘Indication Reference Price,’’ as 

specified in Rule 7.35A(d)(2). 

Rule 7.35A(d)(3)(A) provides that the 

Applicable Price Range will be 5% for 

securities with an Indication Reference 

Price over $3.00 and $0.15 for securities 

with an Indication Reference Price equal 

to or lower than $3.00. Rule 

7.35A(d)(3)(B) further provides that, 

If as of 9:00 a.m., the E-mini S&P 500 

Futures are +/¥2% from the prior day’s 

closing price of the E-mini S&P 500 

Futures, when reopening trading 

following a market-wide trading halt 

under Rule 7.12, or if the Exchange 

determines that it is necessary or 

appropriate for the maintenance of a fair 

and order market, the Applicable Price 

Range for determining whether to 

publish a pre-opening indication will be 

10% for securities with an Indication 

Reference Price over $3.00 and $0.30 for 

securities with an Indication Reference 

Price equal to or lower than $3.00. 

Current Rule 7.35A(1)(A) further 

provides that a DMM may not effect a 

Core Open or Trading Halt Auction 

electronically if a pre-opening 

indication has been published for the 

Core Open Auction. Accordingly, 

Exchange Rules already provide for a 

correlation between pre-opening 

indications and whether a DMM may 

effect a Core Open or Trading Halt 

Auction electronically. Currently, that is 

achieved through similar, though not 

identical, percentage parameters: The 

price parameter for DMM-facilitated 

electronic Core Open and Trading Halt 

Auctions is 4% and the Applicable 

Price Range for pre-opening indications 

is 5%. When there is market-wide 

volatility, both are doubled. 

The Exchange believes that because of 

this existing correlation, in connection 

with permanently widening the price 

parameters for DMM-facilitated 

electronic Core Open and Trading Halt 

Auctions to 10%, the Applicable Price 

Range for determining whether to 

publish a pre-opening indication should 

similarly not only be widened, but also 

be aligned to 10%. With this proposed 

change, if there is a significant enough 

price movement to require a DMM to 

effect a Core Open or Trading Halt 

Auction manually, the DMM would be 

required to publish a pre-opening 

indication for such Core Open or 

Trading Halt Auction. The Exchange 

notes that if a DMM chooses to facilitate 

a Core Open Auction or Trading Halt 

Auction manually (i.e., if there is less 

than a 10% price movement), a DMM 

could still choose to publish a preopening indication in connection with 

such Auction, even if the Applicable 

Price Range has not been triggered. For 

example, DMMs generally publish preopening indications for IPO Auctions 

and Direct Listing Auctions regardless 

of whether the Applicable Price Range 

has been triggered. 

The Exchange does not believe that 

permanently widening the Applicable 

Price Range for when a DMM is required 

to publish a pre-opening indication 

would reduce transparency in 

connection with Core Open and Trading 

Halt Auctions. The Exchange currently 

disseminates Auction Imbalance 

Information for all Core Open Auctions 

and Trading Halt Auctions.15 Since 

August 2019, when the Exchange 

transitioned Exchange-listed securities 

to the Pillar trading platform, all Floor 

broker orders for the Core Open and 

Trading Halt Auctions must be entered 

electronically. Accordingly, all such 

interest is reflected in the Auction 

Imbalance Information, which was not 

the case before the Exchange 

transitioned to Pillar. Accordingly, the 

Auction Imbalance Information includes 

information about all buy and sell 

orders entered in advance of such 

Auctions.16

To effect this change, the Exchange 

proposes to amend Rule 7.35A(d)(3)(A) 

and (B) to make it a single subparagraph 

(A) that would provide that the 

Applicable Price Range for determining 

whether to publish a pre-opening 

indication would be 10% for securities 

with an Indication Reference Price over 

$3.00 and $0.30 for securities with an 

Indication Reference Price equal to or 

lower than $3.00. The Exchange further 

proposes to delete the introductory text 

to Rule 7.35A(d)(3)(B) regarding 

circumstances when the Exchange could 

widen the Applicable Price Range under 

the current Rule. The Exchange further 

proposes to delete Commentary .06 to 

Rule 7.35A. 

Proposed Changes to Floor Broker 

Interest for the Closing Auction 

The Exchange proposes to make 

permanent that Floor Broker Interest 

would not be eligible to participate in 

the Closing Auction, as set forth in 

Commentary .03 to Rule 7.35B. The 

term ‘‘Floor Broker Interest’’ is defined 

in Rule 7.35(a)(9) to mean orders 

represented orally by a Floor broker at 

the point of sale. 

Rule 7.35B(a)(1) currently provides 

that Floor Broker Interest is eligible to 

participate in the Closing Auction 

provided that the Floor broker has 

electronically entered such interest 

before the Auction Processing Period for 

the Closing Auction begins. The Rule 

further provides that for such interest to 

be eligible to participate in the Closing 

Auction, a Floor broker must first, by 

the end of, but not after, Core Trading 

Hours, orally represent Floor Broker 

Interest at the point of sale, including 

symbol, side, size, and limit price, and 

then second, electronically enter such 

interest after the end of Core Trading 

Hours. Current Rules 7.35B(a)(1)(B) and 

(C) set forth additional requirements 

relating to electronic acceptance of such 


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77308 Federal Register / Vol. 85, No. 231 / Tuesday, December 1, 2020 / Notices 

17For Exchange-listed securities, Auction-Only 

Orders are defined in Rule 7.31 to mean a Limit or 

Market Order that is to be traded only in an auction 

pursuant to the Rule 7.35 Series. The Exchange 

accepts the following Auction-Only Orders for the 

Closing Auction: Limit-on-Close Order (‘‘LOC 

Order’’), Market-on-Close Order (‘‘MOC Order’’), 

Closing D Order, and Closing Imbalance Offset 

Orders. All four types of Auction-Only Orders are 

available to Floor brokers. 

18The Exchange has a pending proposed rule 

change to amend Rule 7.35C(a). See (SR–NYSE– 

2020–89). 

19See Securities Exchange Act Release No. 88765 

(April 29, 2020), 85 FR 26771 (May 5, 2020) (SR– 

NYSE–2020–03) (‘‘RTO Approval Order’’). 

20 Id. at 26772. 

21RTOs were approved when the Trading Floor 

was temporarily closed. Id. Because Commentary 

.03 to Rule 7.35B was implemented when DMMs 

returned to the Trading Floor, there has not been 

any Floor Broker Interest for Closing Auctions since 

RTOs were created and therefore RTOs have not 

had to perform the functions as described in Rule 

46(b). 

22 15 U.S.C. 78f(b). 

23 15 U.S.C. 78f(b)(5). 

interest by the DMM and circumstances 

when such interest can be cancelled. 

On June 17, 2020, when the Exchange 

reopened the Trading Floor to limited 

numbers of DMMs, the Exchange added 

Commentary .03 to Rule 7.35B. 

Accordingly, from June 17, 2020 to the 

present, even though reduced numbers 

of DMMs and Floor brokers are present 

on the Trading Floor, Floor Broker 

Interest has not been eligible to 

participate in the Closing Auction. 

During this period, the Exchange has 

observed that even in the absence of 

Floor Broker Interest, Floor broker 

participation in Closing Auctions has 

returned to similar levels of Floor broker 

participation in the Closing Auction for 

the period before March 23, 2020. For 

example, in February 2020, 34.5% of 

Auction-Only Orders for the Closing 

Auction were entered as Closing D 

Orders, which are available only to 

Floor brokers.17 In October 2020, 38.8% 

of the Auction-Only Orders for the 

Closing Auction were Closing D Orders, 

which demonstrates that Floor broker 

participation in the Closing Auction has 

not only returned since the Trading 

Floor reopened, but has actually 

increased as compared to February 

2020. Moreover, in February 2020, only 

0.1% of total Floor broker orders for the 

Closing Auction was represented as 

Floor Broker Interest, and that Floor 

Broker Interest represented less than 

0.01% of the total interest that 

participated in the Closing Auction. 

Based on both the relatively small levels 

of Floor Broker Interest that was 

participating in the Closing Auction 

before the Trading Floor closed and the 

ongoing availability of Closing D Orders 

for Floor brokers, the Exchange does not 

believe that eliminating Floor Broker 

Interest for the Closing Auction would 

materially impact the ability of Floor 

brokers to represent customer orders for 

the Closing Auction. 

Based on this experience, the 

Exchange proposes to make permanent 

Commentary .03 to Rule 7.35B. To effect 

this change, the Exchange proposes to 

amend Rule 7.35B(a)(1) to provide that 

Floor Broker Interest would not be 

eligible to participate in the Closing 

Auction. To provide clarity that a Floor 

broker would not be permitted to 

represent verbal interest intended for 

the Closing Auction, the Exchange 

further proposes to provide that Floor 

brokers must enter any orders for the 

Closing Auction, as defined in Rule 

7.31, electronically during Core Trading 

Hours. The Exchange believes that the 

cross-reference to Rule 7.31 in the Rule 

would provide notice to Floor brokers 

and their customers of which order 

types are available for electronic entry 

by Floor brokers for the Closing 

Auction, which include both AuctionOnly Orders described in Rule 7.31(c) 

and other orders that may be resting on 

the Exchange Book that are eligible to 

participate in the Closing Auction. The 

Exchange also proposes to delete 

Commentary .03 to Rule 7.35B. 

The Exchange proposes to make 

related changes by deleting the clause 

‘‘and Floor Broker Interest intended for 

the Closing Auction as defined in Rule 

7.35B(a)(1)’’ from Rule 7.32. Similarly, 

the Exchange proposes to delete the text 

set forth in Rule 7.35C(a)(2) relating to 

Floor Broker Interest that provides that 

‘‘Floor Broker Interest that has been 

electronically accepted by the DMM and 

that has not been cancelled as provided 

for in Rule 7.35B(a)(1)(C) will be eligible 

to participate in an Exchange-facilitated 

Closing Auction.’’ The Exchange 

proposes to designate that subparagraph as ‘‘Reserved.’’ 18

In addition, the Exchange proposes to 

delete Rule 46B and amend Rule 47(b). 

Under Rule 47, Floor Officials have the 

authority to ‘‘supervise and regulate 

active openings and unusual situations 

that may arise in connection with the 

making of bids, offers or transactions on 

the Floor.’’ The Exchange recently 

amended its rules to add Regulatory 

Trading Officials (‘‘RTO’’), which are 

defined in Rule 46B.19 As described in 

the RTO Approval Order, unusual 

situations that may arise in connection 

with Floor Broker Interest for the 

Closing Auction could be ‘‘if the Floor 

broker hand-held device malfunctions 

or ceases to work or if a Floor broker is 

physically impeded, as a result of a 

crowd condition beyond that of normal 

traffic flow on the Exchange’s trading 

Floor or some other circumstance 

beyond the Floor broker’s control, in his 

or her ability to be present at a post 

before the DMM closes the security.’’ 20

The Exchange amended Rule 47 to add 

subparagraph (b), which provides that 

RTOs, instead of Floor Officials, would 

be responsible for supervising and 

regulating situations regarding whether 

a verbal bid or verbal offer is eligible for 

inclusion in the Closing Auction by the 

DMM. 

Because the Exchange proposes to 

eliminate verbal bids or verbal offers for 

the Closing Auction, the Exchange 

proposes to delete the last clause of Rule 

47(a) and subparagraph (b) to Rule 47.21

As proposed, Rule 47 would revert to 

the rule text in effect prior to the RTO 

Approval Order and would provide that 

‘‘Floor Officials shall have power to 

supervise and regulate active openings 

and unusual situations that may arise in 

connection with the making of bids, 

offers or transactions on the Floor.’’ 

With this proposed change, RTOs would 

no longer have a role under Exchange 

rules. Therefore, the Exchange proposes 

to delete Rule 46B. 

The Exchange also proposes to delete 

Commentary .02 to Rule 7.35B. This 

Commentary is obsolete because it has 

not been in effect since May 22, 2020. 

2. Statutory Basis 

The Exchange believes that the 

proposal is consistent with Section 6(b) 

of the Act,22 in general, and furthers the 

objectives of Sections 6(b)(5) of the 

Act,23 in particular, because it is 

designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 

trade, to foster cooperation and 

coordination with persons engaged in 

regulating, clearing, settling, processing 

information with respect to, and 

facilitating transactions in securities, to 

remove impediments to, and perfect the 

mechanisms of, a free and open market 

and a national market system and, in 

general, to protect investors and the 

public interest and because it is not 

designed to permit unfair 

discrimination between customers, 

issuers, brokers, or dealers. 

Proposed Changes to Parameters for 

DMM-Facilitated Electronic Auctions 

The Exchange believes that the 

proposed change to make permanent the 

parameters for DMM-facilitated 

electronic auctions that are currently in 

effect on a temporary basis as set forth 

in Commentaries .01(a) and (b) to Rule 

7.35A and Commentary .01 to Rule 

7.35B would remove impediments to 

and perfect the mechanism of a free and 

open market and a national market 


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Federal Register / Vol. 85, No. 231 / Tuesday, December 1, 2020 / Notices 77309 

24 15 U.S.C. 78f(b)(8). 

system because the Exchange believes 

that these updated parameters would 

promote fair and orderly Auctions on 

the Exchange. These temporary 

parameters have been in effect not only 

during the period when the Trading 

Floor was closed in full, but also for the 

period when the Trading Floor has 

partially reopened to reduced staff of 

DMM and Floor brokers firms. In 

addition, these temporary parameters 

have been in effect during periods of 

both extreme volatility and high trading 

volumes. Accordingly, DMMs have had 

over six months’ of experience of 

electronically facilitating Auctions 

within these temporary parameters and 

applying them during varying market 

conditions. 

During this period, the Exchange has 

observed that with these temporary 

parameters, a higher number of Core 

Open Auctions and Closing Auctions 

have been electronically facilitated by 

the DMM, which has resulted in a 

greater number of Core Open Auctions 

and Closing Auctions occurring shortly 

after 9:30 a.m. or 4:00 p.m., respectively. 

The Exchange has further observed that 

there have been modest improvements 

in auction price dislocation during the 

period when these temporary 

parameters have been in place. 

Accordingly, the Exchange believes that 

making these parameters permanent 

would promote the continued fair and 

orderly operation of Auctions for 

Exchange-listed securities. 

Proposed Changes to Applicable Price 

Range for Pre-Opening Indications 

The Exchange believes that the 

proposed change to make permanent 

that the Applicable Price Range for 

determining whether to publish a preopening indication would be 10% for 

securities with an Indication Reference 

Price higher than $3.00 and $0.30 for 

securities with an Indication Reference 

Price equal to or lower than $3.00, 

which are currently in effect on a 

temporary basis, would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system because 

the Exchange believes that this updated 

Applicable Price Range would promote 

fair and orderly Auctions on the 

Exchange. 

Exchange rules already provide for a 

correlation between the parameters for 

when a DMM may facilitate an Auction 

electronically and the Applicable Price 

Range for determining whether to 

disseminate a pre-opening indication. 

The Exchange believes that the 

proposed Applicable Price Range 

should be aligned with the Exchange’s 

proposed parameters for when a DMM 

may facilitate an Auction electronically. 

Specifically, with this proposed change, 

if there is a significant enough price 

movement to require a DMM to effect a 

Core Open or Trading Halt Auction 

manually, the DMM would be required 

to publish a pre-opening indication for 

such Core Open or Trading Halt 

Auction. The Exchange notes that if a 

DMM chooses to facilitate a Core Open 

Auction or Trading Halt Auction 

manually (i.e., if there is less than a 10% 

price movement), a DMM could still 

choose to publish a pre-opening 

indication in connection with such 

Auction, even if the Applicable Price 

Range has not been triggered. 

The Exchange does not believe that 

permanently widening the Applicable 

Price Range for when a DMM is required 

to publish a pre-opening indication 

would reduce transparency in 

connection with Core Open and Trading 

Halt Auctions. The Exchange currently 

disseminates Auction Imbalance 

Information for Core Open Auctions and 

Trading Halt Auctions. Since August 

2019, when the Exchange transitioned 

Exchange-listed securities to the Pillar 

trading platform, all Floor broker orders 

for the Core Open and Trading Halt 

Auctions must be entered electronically. 

Accordingly, all such interest is 

reflected in the Auction Imbalance 

Information, which was not the case 

before the Exchange transitioned to 

Pillar. Accordingly, the Auction 

Imbalance Information includes 

information about all buy and sell 

orders entered in advance of such 

Auctions. 

Proposed Changes to Floor Broker 

Interest for the Closing Auction 

The Exchange believes that the 

proposed change to make permanent 

that Floor Broker Interest would not be 

eligible to participate in the Closing 

Auction, which is currently in effect on 

a temporary basis as set forth in 

Commentary .03 to Rule 7.35B, would 

remove impediments to and perfect the 

mechanism of a free and open market 

because it would promote fair and 

orderly Closing Auctions on the 

Exchange. 

The Exchange has observed that even 

in the absence of Floor Broker Interest, 

Floor broker participation in the Closing 

Auction has returned, and indeed 

increased, as compared to the level of 

Floor broker participation in the Closing 

Auction for February 2020. Moreover, 

even when Floor Broker Interest was 

available to participate in Closing 

Auctions, such interest represented only 

0.1% of total Floor broker orders that 

participated in Closing Auctions. 

Accordingly, the Exchange does not 

believe that the proposed change would 

materially alter Floor brokers’ ability to 

meaningfully participate in the Closing 

Auction. Moreover, in the absence of 

Floor Broker Interest, the Exchange was 

able to move the time for DMMfacilitated electronic Closing Auctions 

from 4:02 p.m. to shortly after 4:00. By 

making this change permanent, DMMfacilitated electronic Closing Auctions 

would continue to occur shortly after 

4:00. 

The Exchange further believes that the 

proposed amendments to Rules 7.32, 

7.35, 46B, and 47(b) would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system because 

such rules would no longer be necessary 

in the absence of Floor Broker Interest 

for the Closing Auction. Accordingly, 

these proposed rule changes would 

promote transparency and clarity by 

removing references that would be 

obsolete. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

In accordance with Section 6(b)(8) of 

the Act,24 the Exchange believes that the 

proposed rule change would not impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. The 

proposed change is not designed to 

address any competitive issues. Instead, 

the proposed rule changes are designed 

to make permanent changes that have 

been implemented on a temporary basis 

relating to the functions of Auctions on 

the Exchange and that have contributed 

to the fair and orderly Auction process 

during the period that they have been in 

effect. The proposed rule change does 

not have any effect on intermarket 

competition because these proposed 

changes relate to Auctions in Exchangelisted securities for which the Exchange 

is the primary listing exchange. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 45 days of the date of 

publication of this notice in the Federal 

Register or within such longer period 

up to 90 days (i) as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 


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77310 Federal Register / Vol. 85, No. 231 / Tuesday, December 1, 2020 / Notices 

25 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3 ‘‘Early Trading Session’’ means the time 

between 7:00 a.m. and 8:00 a.m. ET. See Rule 

1.5(ii). 4 ‘‘Pre-Opening Session’’ means the time between 

8:00 a.m. and 9:30 a.m. ET. See Rule 1.5(s). 5 ‘‘Regular Trading Hours’’ means the time 

between 9:30 a.m. and 4:00 p.m. ET. See Rule 

1.5(y). 6 ‘‘Post-Closing Trading Session’’ means the time 

between 4:00 p.m. and 8:00 p.m. ET. See Rule 

1.5(r). 

7 ‘‘User’’ means any Member or Sponsored 

Participant who is authorized to obtain access to the 

System pursuant to Rule 11.3. See Rule 1.5(ee). 

8See Rule 11.8. 

reasons for so finding or (ii) as to which 

the self-regulatory organization 

consents, the Commission will: 

(A) By order approve or disapprove 

the proposed rule change, or 

(B) institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

NYSE–2020–95 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–NYSE–2020–95. 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 rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549 on official 

business days between the hours of 

10:00 a.m. and 3:00 p.m. Copies of the 

filing also will be available for 

inspection and copying at the principal 

office of the Exchange. All comments 

received will be posted without change. 

Persons submitting comments are 

cautioned that we do not redact or edit 

personal identifying information from 

comment submissions. You should 

submit only information that you wish 

to make available publicly. All 

submissions should refer to File 

Number SR–NYSE–2020–95 and should 

be submitted on or before December 22, 

2020. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.25

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2020–26399 Filed 11–30–20; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–90509; File No. SR– 

CboeEDGX–2020–056] 

Self-Regulatory Organizations; Cboe 

EDGX Exchange, Inc.; Notice of Filing 

and Immediate Effectiveness of a 

Proposed Rule Change To Extend Its 

Early Trading Session 

November 24, 2020. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 

(‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that on November 

16, 2020, Cboe EDGX Exchange, Inc. 

(the ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I and II, 

which Items have been prepared by the 

Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

Cboe EDGX Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘EDGX’’) proposes to 

extend its Early Trading Session. The 

text of the proposed rule change is 

provided in Exhibit 5. 

The text of the proposed rule change 

is also available on the Exchange’s 

website (http://markets.cboe.com/us/ 

options/regulation/rule_filings/edgx/), 

at the Exchange’s Office of the 

Secretary, and at the Commission’s 

Public Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV below. The 

Exchange has prepared summaries, set 

forth in sections A, B, and C below, of 

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to extend its 

Early Trading Session hours. The 

Exchange currently offers four distinct 

trading sessions where the Exchange 

accepts orders for potential execution: 

(1) The ‘‘Early Trading Session,’’ which 

begins at 7:00 a.m. Eastern Time (‘‘ET’’) 

and continues until 8:00 a.m. ET,3 (2) 

the ‘‘Pre-Opening Session,’’ which 

begins at 8:00 a.m. ET and continues 

until 9:30 a.m. ET,4 (3) ‘‘Regular Trading 

Hours,’’ which begin at 9:30 a.m. ET and 

continue until 4:00 p.m. ET,5 and (4) the 

‘‘Post-Closing Trading Session,’’ which 

begins at 4:00 p.m. ET and continues 

until 8:00 p.m. ET.6 Users 7 may 

designate when their orders are eligible 

for execution by selecting their desired 

Time-in-Force instruction.8 The 

proposed rule change amends Rule 

1.5(ii), which defines the Early Trading 

Session, to allowing trading to begin at 

4:00 a.m. ET. In addition to this, the 

proposed rule change amends the time 

when orders may start to be entered into 

the System prior to the Early Trading 

Session in Rule 11.1(a)(1), from 6:00 

a.m. ET to 3:30 a.m. ET. The proposed 

rule change also updates Rule 11.1(a)(1) 

and Rule 14.1(c)(2) to reflect the 

proposed Early Trading Session and 

order acceptance times, where 

applicable. Orders entered for 

participation in the Early Trading 

Session will continue to be handled in 

the same manner as they are today. The 

proposed rule change merely permits 

the Exchange to begin order acceptance 

and commence trading at earlier times, 

thereby providing additional time for 

market participants to source and access 

liquidity on the Exchange outside of 

Regular Trading Hours. The Exchange 


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