79552 Federal Register / Vol. 85, No. 238 / Thursday, December 10, 2020 / Notices 

15NetCoalition v. SEC, 615 F.3d 525, 539 (DC Cir. 

2010) (quoting Securities Exchange Act Release No. 

59039 (December 2, 2008), 73 FR 74770, 74782–83 

(December 9, 2008) (SR–NYSEArca-2006–21)). 

16 15 U.S.C. 78s(b)(3)(A). 

17 17 CFR 240.19b–4(f). 18 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 89725 

(September 1, 2020), 85 FR 55544 (‘‘Notice’’). 

Comment received on the Notice is available on the 

Commission’s website at: https://www.sec.gov/ 

comments/sr-phlx-2020-41/srphlx202041.htm. 

4 15 U.S.C. 78s(b)(2). 

5See Securities Exchange Act Release No. 90226, 

85 FR 67781 (October 26, 2020). The Commission 

designated December 7, 2020 as the date by which 

the Commission shall approve or disapprove, or 

institute proceedings to determine whether to 

disapprove, the proposed rule change. 

6 15 U.S.C. 78s(b)(2)(B). 

the U.S. national market system, buyers 

and sellers of securities, and the brokerdealers that act as their order-routing 

agents, have a wide range of choices of 

where to route orders for execution’; 

[and] ‘no exchange can afford to take its 

market share percentages for granted’ 

because ‘no exchange possesses a 

monopoly, regulatory or otherwise, in 

the execution of order flow from broker 

dealers’. . . .’’.15 Accordingly, the 

Exchange does not believe its proposed 

fee change imposes any burden on 

competition that is not necessary or 

appropriate in furtherance of the 

purposes of the Act. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange neither solicited nor 

received comments on the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective pursuant to Section 19(b)(3)(A) 

of the Act 16 and paragraph (f) of Rule 

19b–4 thereunder.17 At any time within 

60 days of the filing of the proposed rule 

change, the Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission will institute proceedings 

to determine whether the proposed rule 

change should be approved or 

disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SRCboeBZX–2020–088 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-CboeBZX–2020–088. 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-CboeBZX–2020–088 and 

should be submitted on or before 

December 31, 2020. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.18

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2020–27088 Filed 12–9–20; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–90573; File No. SR-Phlx– 

2020–41] 

Self-Regulatory Organizations; Nasdaq 

PHLX LLC; Order Instituting 

Proceedings To Determine Whether To 

Approve or Disapprove a Proposed 

Rule Change To List and Trade 

Options on a Nasdaq-100 Volatility 

Index 

December 4, 2020. 

I. Introduction 

On August 24, 2020, Nasdaq PHLX 

LLC (‘‘Exchange’’ or ‘‘Phlx’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

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

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder,2 a proposed rule 

change to list and trade options on a 

Nasdaq-100 Volatility Index (‘‘VOLQ’’ 

or ‘‘Volatility Index’’). The proposed 

rule change was published for comment 

in the Federal Register on September 8, 

2020.3 On October 20, 2020, pursuant to 

Section 19(b)(2) of the Act,4 the 

Commission designated a longer period 

within which to approve the proposed 

rule change, disapprove the proposed 

rule change, or institute proceedings to 

determine whether to disapprove the 

proposed rule change.5 This order 

institutes proceedings under Section 

19(b)(2)(B) of the Act 6 to determine 

whether to approve or disapprove the 

proposed rule change. 

II. Description of and Comment on the 

Proposed Rule Change 

A. Description of the Proposal 

The Exchange proposes to list and 

trade options on VOLQ, a new index 

that measures changes in 30-day 

implied volatility of the Nasdaq-100 

Index (‘‘Nasdaq-100 Index’’ or ‘‘NDX’’). 

As proposed, options on the VOLQ will 

be cash-settled and will have Europeanstyle exercise provisions. The Exchange 

states that the Volatility Index will 

measure ‘‘at-the-money’’ volatility. The 

Volatility Index, calculated using 


jbell on DSKJLSW7X2PROD with NOTICES
Federal Register / Vol. 85, No. 238 / Thursday, December 10, 2020 / Notices 79553 

7The Exchange proposes to amend Phlx Options 

4A, Section 12, ‘‘Terms of Option Contracts,’’ at 

subparagraphs (b)(2), (b)(6) and (e) as well as 

Supplementary Material .01 to Options 4A, Section 

12. The Exchange also proposes to amend Phlx 

Options 3. Section 3, ‘‘Minimum Increments’’ and 

Options 4A, Section 6, ‘‘Position Limits.’’ 

8See Phlx Options 4A, Section 12, Terms of 

Option Contracts, proposed new section (b)(viii)(A). 

9Phlx Options 4A, Section 12(b)(2), as proposed 

to be amended. Phlx Rule Options 4A, Section 

12(b)(2) currently applies only to stock index 

options and would be amended to permit listing of 

long term Volatility Index options. 

10For the Exchange’s complete description of the 

proposal, including more information about the 

Volatility Index calculation methodology, see 

Notice, supra note 3. 

11The calculation of the Volatility Index is based 

on the methodology developed by NShares LLC. 

12The Exchange reports that as of June 30, 2020, 

there were 78 components in the bottom 25% of 

Nasdaq-100 Index weight. From January 1 through 

June 30, 2020, these components had an Average 

Daily Dollar Trading Volume of $29.7 billion. The 

Average Daily Dollar Trading Volume of the least 

active component was $41.1 million. The aggregate 

market capitalization of the 78 components was 

$2.60 trillion. The Exchange states that the Nasdaq100 Index reflects companies across major industry 

groups including computer hardware and software, 

telecommunications, retail/wholesale trade, and 

biotechnology. It does not contain securities of 

financial companies including investment 

companies. 

13Phlx Options 4A, Section 2(a)(13) define a 

‘‘market index’’ and ‘‘broad-based index’’ to mean 

an index designed to be representative of a stock 

market as a whole or of a range of companies in 

unrelated industries. The Exchange states that, like 

the Cboe Volatility Index (‘‘VIX’’), VOLQ is an 

implied volatility index and not a realized volatility 

index. 

14For any calculation of synthetic precisely ATM 

option prices, a total of thirty-two component 

options are used, comprising four calls and four 

puts from each of four consecutive weeks. 

15See Phlx Options 4A, Section 12, ‘‘Terms of 

Option Contracts,’’ proposed new section (b)(6)(B) 

and (C). 

16For a full description of the final settlement 

process, see Notice supra note 3. 

published real-time bid/ask quotes of 

NDX options, represents 30-day implied 

volatility and will be disseminated in 

annualized percentage points.7

The Exchange proposes to list up to 

six weekly expirations and up to 12 

standard (monthly) expirations in 

Volatility Index options. The six weekly 

expirations will be for the nearest 

weekly expirations from the actual 

listing date, and the weekly expirations 

will not expire in the same week in 

which standard (monthly) Volatility 

Index options expire. Standard 

(monthly) expirations in the Volatility 

Index options will not be counted as 

part of the maximum six weekly 

expirations permitted for Volatility 

Index options.8 In addition, the 

Exchange proposes that long term 

option series having up to sixty months 

to expiration may be listed and traded.9

Volatility Index Design and 

Composition 10

The Exchange states that the Volatility 

Index 11 reflects changes in 30-day 

implied volatility, which measures the 

magnitude of changes of the underlying 

broad-based securities index, NDX. The 

Exchange further states that NDX 

includes 100 of the largest 12 domestic 

and international non-financial 

companies listed on The Nasdaq Stock 

Market LLC based on market 

capitalization. According to the 

Exchange, the Volatility Index, which 

the Exchange considers a broad-based 

securities index pursuant to Phlx 

Options 4A, Section 2(a)(13),13

measures the expectation for market 

volatility over the next thirty calendar 

days as expressed by options on NDX. 

The Exchange explains that the 

Volatility Index uses the bid and offer 

prices of certain listed options on 

NDX 14 to obtain the prices of synthetic 

precisely at-the-money (‘‘ATM’’) 

options, which are then used to 

calculate 30-day closed-form implied 

volatility. Finally, the 30-day closedform implied volatility is multiplied by 

100 to calculate the Volatility Index 

level. The Volatility Index is quoted in 

annualized percentage points. For 

example, an Index level of 17.90 

represents an annualized implied 

volatility of 17.90%. 

The Exchange believes that the 

proposed product does not have single 

or aggregated component concentration 

risk. The Exchange states that the 

methodology caps each single 

component as well as the top five 

weighted components. The Exchange 

further states that no component 

security of the Volatility Index 

comprises more than 12.50% of the 

index’s weighting and that the five 

weighted component securities of the 

Volatility Index in the aggregate do not 

comprise more than 43.75% of the 

index’s weighting. 

Index Calculation and Maintenance 

The Exchange states that the level of 

the Volatility Index will reflect the 

current 30-day implied volatility of 

NDX. The Volatility Index will be 

updated on a real-time basis on each 

trading day beginning at 9:30 a.m. and 

ending at 4:15 p.m. (New York time). If 

the current published value of a 

component is not available, the last 

published value will be used in the 

calculation. Values of the Volatility 

Index will be disseminated via the 

Nasdaq GIDS market data system every 

fifteen seconds during the Exchange’s 

regular trading hours to market 

information vendors such as Bloomberg 

and Thomson Reuters. In the event the 

Volatility Index ceases to be maintained 

or calculated the Exchange will not list 

any additional series for trading and 

will limit all transactions in such 

options to closing transactions only for 

the purpose of maintaining a fair and 

orderly market and protecting investors. 

Exercise and Settlement Value 

The exercise settlement value 

calculation used for Volatility Index 

option settlement will be calculated on 

the same day as the Volatility Index 

Options expiration date. The exercise 

settlement value of a Volatility Index 

option will be calculated on the specific 

date (usually a Wednesday) identified in 

the option symbol for the series. If that 

Wednesday or the Friday that is thirty 

days following that Wednesday is an 

Exchange holiday, the exercise 

settlement value will be calculated on 

the business day immediately preceding 

that Wednesday. The last trading day for 

a Volatility Index option will be the 

business day immediately preceding the 

expiration date of the Volatility Index 

option. When the last trading day is 

moved because of an Exchange holiday, 

the last trading day for an expiring 

Volatility Index option contract will be 

the day immediately preceding the last 

regularly scheduled business day.15

Monthly options on the Volatility 

Index will expire on the Wednesday 

that is thirty days prior to the third 

Friday of the calendar month 

immediately following the expiring 

month. Trading in expiring options on 

the Volatility Index will normally cease 

at 4:15 p.m. (New York time) on the 

Tuesday preceding an expiration 

Wednesday. 

Final Settlement 16

The Exchange states that the final 

settlement price (Ticker Symbol: VOLS) 

will be calculated as described below on 

Wednesday commencing at 9:32:000 

a.m. (New York time) on the expiration 

day, and continuing each second for the 

next 300 seconds (‘‘Closing Settlement 

Period’’). The exercise settlement 

amount will be equal to the difference 

between the final settlement price and 

the exercise price of the option, 

multiplied by $100. Exercise will result 

in the delivery of cash on the business 

day following expiration. 

The Volatility Index’s component 

NDX options are listed on Phlx as well 

as on the Exchange’s affiliates, Nasdaq 

ISE, LLC (‘‘ISE’’) and Nasdaq GEMX, 

LLC (‘‘GEMX’’). The settlement value for 

the Volatility Index options (VOLS) will 

be the Closing Volume Weighted 

Average Price (‘‘Closing VWAP’’), to be 

determined by reference to the prices 

and sizes of executed transactions or 


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79554 Federal Register / Vol. 85, No. 238 / Thursday, December 10, 2020 / Notices 

17The Exchange states that, dependent upon 

movement in the Nasdaq-100 Index, the thirty-two 

underlying NDX component options can change 

every second. 

18The Exchange calculates a volume weighted 

average price for each one-second observation 

period (a ‘‘One Second VWAP’’) for each 

component option. 

19The Volatility Index’s component NDX options 

are listed on Phlx as well as on the Exchange’s 

affiliates, ISE and GEMX. The Exchange reports that 

NDX average bid/ask spreads for all component 

options at each second for each of four expiration 

dates (11/21/2018, 12/19/2018, 1/16/2019, and 2/ 

13/2019) commencing at 9:30:15 a.m. is 5.52%. 

Commencing at 9:32.010 a.m. the NDX average bid/ 

ask spreads for all component options at each 

second for each of four expiration dates is 3.72%. 

The Exchange believes that this demonstrates quote 

stability at 2 minutes after the opening. 

20By considering the NBBO of all three markets, 

the Exchange believes the risk of manipulation is 

tempered by the consideration of a larger number 

of quotes from multiple Market Makers. 

21Phlx Options 4A, Section 18(c), ‘‘Trading 

Rotations, Halts or Reopenings.’’ 

22Phlx Options 4A, Section 12(a)(1) titled 

‘‘Meaning of Premium Bids and Offers,’’ provides 

that bids and offers shall be expressed in terms of 

dollars and decimal equivalents of dollars per unit 

of the index (e.g., a bid of 85.50 would represent 

a bid of $85.50 per unit). 

23Phlx Options 4A, Section 12 ‘‘Terms of Option 

Contracts,’’ proposed new section (b)(6)(E). 24The Exchange states that Phlx Options 10, 

Section 6, which is designed to protect public 

customer trading, will apply to trading in options 

on the Volatility Index. Specifically, the rule 

prohibits members and member organizations from 

accepting a customer order to purchase or write an 

option, including options on the Volatility Index, 

unless such customer’s account has been approved 

in writing by an Options Principal. Additionally, 

Phlx Options 10, Section 8, ‘‘Suitability,’’ is 

designed to ensure that options, including options 

on the Volatility Index, are only sold to customers 

capable of evaluating and bearing the risks 

associated with trading in this instrument. Further, 

Phlx Options 10, Section 9, ‘‘Discretionary 

Accounts,’’ permits members and member 

organizations to exercise discretionary power with 

respect to trading options, including options on the 

Volatility Index, in a customer’s account only if the 

customer has given prior written authorization and 

the account has been accepted in writing by a 

Registered Options Principal. Phlx Options 10, 

Section 9 also requires a record to be made of every 

option transaction for an account in respect to 

which a member or member organization or a 

partner, officer or employee of a member 

organization is vested with any discretionary 

authority, such record to include the name of the 

customer, the designation, number of contracts and 

premium of the option contracts, the date and time 

when such transaction took place and clearly 

reflecting the fact that discretionary authority was 

exercised. Finally, Phlx Options 10, Section 7, 

‘‘Supervision of Accounts,’’ Phlx Options 10, 

Section 10,’’Confirmations to Customers,’’ and Phlx 

Options 10, Section 13, ‘‘Delivery of Options 

Disclosure Documents,’’ will also apply to trading 

in options on the Volatility Index. 25See Notice, supra note 3. 

quotes in the thirty-two underlying NDX 

component options 17 on the Exchange 

calculated at the opening of trading on 

the expiration date. As part of the 

Exchange’s calculation of the Closing 

VWAP, the Exchange will observe the 

number of contracts of the then-current 

NDX component options traded on Phlx 

at each price during individual onesecond intervals of the Closing 

Settlement Period on the expiration 

day.18 If no transactions occur on Phlx 

in a NDX component option during any 

one-second observation period, the 

NBBO midpoint of each of the NDX 

component options for which a 

transaction has not occurred 19 at the 

end of the one second observation 

period will be considered the One 

Second VWAP for that observation 

period for purposes of the settlement 

methodology. The NBBO midpoint will 

be the midpoint of the best bid and best 

offer from Phlx, ISE, and GEMX.20 Each 

One Second VWAP for each component 

option is then used to calculate the 

Volatility Index, resulting in the 

calculation of 300 sequential Volatility 

Index values. Finally, all 300 Volatility 

Index values will be arithmetically 

averaged (i.e., the sum of 300 Volatility 

Index calculations is divided by 300) 

and the resulting figure is rounded to 

the nearest .01 to arrive at the settlement 

value. 

The Exchange believes that the 

Volatility Index final settlement has 

exceedingly high hurdles for potential 

manipulation. First, the Exchange 

believes that market participants cannot 

predict which components will be 

included in the final settlement. 

Second, the Exchange believes that 

traders are subject to highly competitive 

market forces of deep and established 

market liquidity. For example, the 

Exchange notes that during each second 

of the final settlement observation 

period on January 16, 2019 and 

February 13, 2019, the average notional 

value of each bid of the thirty-two 

components was $21.1 million; the 

average notional value of each offer was 

$13.5 million. Third, the Exchange 

states that since the Volatility Index 

assesses each second of all listed NDX 

options, this is a continuous assessment 

of competitive price action and 

voluminous trading activity for all 

Nasdaq-100 Index stock components. In 

support, the Exchange notes that during 

the final settlement observation period 

(five-minute period) on January 16, 2019 

and February 13, 2019, the average 

summation of traded volume for all 

Nasdaq-100 Index component shares 

was 18.8 million shares. The average 

total value of all Nasdaq-100 Index 

shares traded during the final settlement 

observation period was $1.93 billion. 

The corresponding market capitalization 

for all Nasdaq-100 Index components 

during the final settlement period was 

$7.8 trillion. 

Contract Specifications 

The proposed Options on the 

Volatility Index are European-style and 

cash-settled. The Exchange’s standard 

trading hours for broad-based index 

options (9:30 a.m. to 4:15 p.m., New 

York time) will apply to the Volatility 

Index options under Phlx Options 4A, 

Section 12 at Supplementary Material 

.01, as proposed to be amended. The 

Exchange proposes to apply margin 

requirements for the purchase and sale 

of options on the Volatility Index that 

are identical to those applied for its 

other broad-based index options. 

The trading of options on the 

Volatility Index will be subject to the 

trading halt procedures applicable to 

other index options traded on the 

Exchange.21 Options on the Index will 

be quoted and traded in U.S. dollars.22

Accordingly, the Exchange believes that 

all Exchange and The Options Clearing 

Corporation members will be able to 

accommodate trading, clearance and 

settlement of the Volatility Index 

without alteration. All options on the 

index will have a minimum increment 

of $0.05 for options trading below $3.00 

and $0.10 for all other series. 

The Exchange proposes to set the 

minimum strike price interval for 

options on the Volatility Index at $0.50 

or greater where the strike price is less 

than $75, $1 or greater where the strike 

price is $200 or less and $5 or greater 

where the strike price is more than 

$200.23 The Exchange proposes that 

there shall be no position or exercise 

limits for options on the Volatility 

Index. 

The trading of options on the 

Volatility Index will be subject to the 

same rules that presently govern the 

trading of Exchange index options, 

including sales practice rules, margin 

requirements, and trading rules.24

The Exchange represents that it has an 

adequate surveillance program in place 

for options traded on the Volatility 

Index and intends to apply those same 

program procedures that it applies to 

the Exchange’s other options products. 

Additionally, the Exchange states that it 

is a member of the Intermarket 

Surveillance Group, through which it 

can coordinate surveillance and 

investigative information sharing in the 

stock and options markets with all of 

the U.S. registered stock and options 

markets. The Exchange believes that it 

is unlikely that the Volatility Index 

settlement value could be manipulated 

because the likelihood of gaming the 

components over a 300 second period is 

extremely low. Phlx believes that its 

surveillance procedures currently in 

place, coupled with additional 

measures,25 will allow it to adequately 


jbell on DSKJLSW7X2PROD with NOTICES
Federal Register / Vol. 85, No. 238 / Thursday, December 10, 2020 / Notices 79555 

26See letter dated September 16, 2020 from Scott 

Nations, President, Nations Indexes, to Vanessa 

Countryman, Secretary, Commission, available at: 

https://www.sec.gov/comments/sr-phlx-2020-41/ 

srphlx202041-7783670-223493.pdf. 

27 15 U.S.C. 78s(b)(2)(B). 

28 Id. 

29 15 U.S.C. 78f(b)(5). 

30 15 U.S.C. 78f(b)(5). 

31 17 CFR 240.19b–4. 

32Section 19(b)(2) of the Act, as amended by the 

Securities Act Amendments of 1975, Pub. L. 94–29 

(June 4, 1975), grants the Commission flexibility to 

determine what type of proceeding—either oral or 

notice and opportunity for written comments—is 

appropriate for consideration of a particular 

proposal by a self-regulatory organization. See 

Securities Act Amendments of 1975, Senate Comm. 

on Banking, Housing & Urban Affairs, S. Rep. No. 

75, 94th Cong., 1st Sess. 30 (1975). 

33See Notice, supra note 3. 34 17 CFR 200.30–3(a)(57). 

surveil for any potential manipulation 

in the trading of Volatility Index 

options. The Exchange also represents 

that it has the necessary system capacity 

to support additional quotations and 

messages that will result from the listing 

and trading of options on the Volatility 

Index. 

B. Comment on the Proposal 

A commenter, who states it is the 

provider of the VOLQ methodology, 

expressed support for the proposal. The 

commenter states that VOLQ is a 

response to requests from market 

participants and that competition and 

innovation generated by VOLQ are in 

the public interest and will benefit 

investors.26

III. Proceedings To Determine Whether 

To Approve or Disapprove SR-Phlx2020–41 and Grounds for Disapproval 

Under Consideration 

The Commission is instituting 

proceedings pursuant to Sections 

19(b)(2)(B) of the Act 27 to determine 

whether the proposed rule change 

should be approved or disapproved. 

Institution of proceedings is appropriate 

at this time in view of the legal and 

policy issues raised by the proposed 

rule change. Institution of proceedings 

does not indicate that the Commission 

has reached any conclusions with 

respect to any of the issues involved. 

Rather, as described below, the 

Commission seeks and encourages 

interested persons to provide additional 

comment on the proposed rule change 

to inform the Commission’s analysis of 

whether to approve or disapprove the 

proposed rule change. 

Pursuant to Section 19(b)(2)(B) of the 

Act,28 the Commission is providing 

notice of the grounds for possible 

disapproval under consideration. The 

Commission is instituting proceedings 

to allow for additional analysis of and 

input concerning the proposed rule 

change’s consistency with the Section 

6(b)(5) of the Act, which requires, 

among other things, that the rules of a 

national securities exchange be 

designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 

trade, to remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system, and, in general, to protect 

investors and the public interest.29

IV. Procedure: Request for Written 

Comments 

The Commission requests that 

interested persons provide written 

submissions of their views, data, and 

arguments with respect to the issues 

identified above, as well as any other 

concerns they may have with the 

proposal. In particular, the Commission 

invites the written views of interested 

persons concerning whether the 

proposal is consistent with Section 

6(b)(5) 30 of the Act or any other 

provision of the Act, or the rules and 

regulations thereunder. Although there 

do not appear to be any issues relevant 

to approval or disapproval that would 

be facilitated by an oral presentation of 

views, data, and arguments, the 

Commission will consider, pursuant to 

Rule 19b–4 under the Act,31 any request 

for an opportunity to make an oral 

presentation.32

Interested persons are invited to 

submit written data, views, and 

arguments regarding whether the 

proposed rule change should be 

approved or disapproved by December 

31, 2020. Any person who wishes to file 

a rebuttal to any other person’s 

submission must file that rebuttal by 

January 14, 2021. The Commission asks 

that commenters address the sufficiency 

of the Exchange’s statements in support 

of the proposal, which are set forth in 

the Notice,33 in addition to any other 

comments they may wish to submit 

about the proposed rule change. In this 

regard, the Commission seeks 

commenters’ views regarding whether 

the Exchange’s proposal to list and trade 

options on the Volatility Index, a new 

index that measures changes in 30-day 

implied volatility of the Nasdaq-100 

Index, is adequately designed to prevent 

fraudulent and manipulative acts and 

practices, to promote just and equitable 

principles of trade, and to protect 

investors and the public interest. 

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 No. SRPhlx–2020–41 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 No. 

SR-Phlx–2020–41. The 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 such 

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 publicly available. All 

submissions should refer to File No. SRPhlx–2020–41 and should be submitted 

on or before December 31, 2020. 

Rebuttal comments should be submitted 

by January 14, 2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.34

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2020–27090 Filed 12–9–20; 8:45 am] 

BILLING CODE 8011–01–P 


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