[Federal Register Volume 86, Number 27 (Thursday, February 11, 2021)]
[Notices]
[Pages 9112-9116]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-02777]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-91068; File No. SR-NYSEAMER-2021-06]


Self-Regulatory Organizations; NYSE American LLC; Notice of 
Filing and Immediate Effectiveness of Proposed Rule Change To Modify 
Rule 971.2NY Regarding Its Complex Customer Best Execution Auction

February 5, 2021.
    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 January 27, 2021, NYSE American LLC (``NYSE American'' or the 
``Exchange'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I and 
II below, which Items have been prepared by the Exchange. The 
Commission is publishing this notice to solicit comments on the 
proposed rule change from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to modify Rule 971.2NY regarding its Complex 
Customer Best Execution (``CUBE'') auction to provide optional all-or-
none functionality for larger-sized orders and to make conforming 
changes to Rule 971.1NY to clarify existing functionality of the 
Single-Leg AON CUBE functionality. 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.

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 expand its electronic crossing mechanism--
the CUBE Auction, to provide optional all-or-none (``AON'') \4\ 
functionality for ATP Holders to execute larger-sized orders (i.e., at 
least 500 contracts on the smallest leg) in the Complex CUBE Auction 
and to make conforming changes to Rule 971.1NY to clarify existing 
functionality of the Single-Leg AON CUBE functionality.\5\
---------------------------------------------------------------------------

    \4\ An All-or-None Order or AON Order is a ``Market or Limit 
Order that is to be executed on the Exchange in its entirety or not 
at all.'' See Rule 900.3NY(d)(4).
    \5\ See proposed Commentary .04 to Rule 971.2NY; proposed 
Commentary .05 to Rule 971.1NY. Capitalized terms have the same 
meaning as the defined terms in Rules 971.1NY and 971.2NY.
---------------------------------------------------------------------------

    The proposed rule change would be consistent with the recently 
approved AON CUBE Order functionality for the Single-Leg CUBE 
Auction.\6\ In this regard, the Exchange seeks to expand this 
functionality to the Complex CUBE Auction, which functionality is also 
consistent with similar price-improvement mechanisms for larger-sized 
complex orders already available on other options exchanges.\7\ As 
such,

[[Page 9113]]

this is a filing that will allow the Exchange to compete with other 
options exchanges for such larger-sized Complex Orders which would in 
turn benefit market participants already familiar with such price-
improvement mechanisms in that it would provide another venue to trade 
their larger-sized orders.
---------------------------------------------------------------------------

    \6\ See Commentary .05 to Rule 971.1NY; see also Securities 
Exchange Act Release No. 90584 (December 7, 2020), 85 FR 80196 
(December 11, 2020) (SR-NYSEAmer-2020-60) (order approving auction 
functionality for Single-Leg AON CUBE Orders of at least 500 
contracts). As proposed, AON Complex CUBE Orders would be processed 
and executed in the Complex CUBE Auction in a similar manner as 
Single-Leg AON CUBE Orders are processed and executed in the Single-
Leg CUBE Auction--the differences for Complex relating primarily to 
the underlying differences between simple and complex order 
processing and execution (i.e., auction pricing and allocation).
    \7\ See, e.g., Nasdaq ISE LLC (``ISE''), Options 3, Section 
11(e) (setting forth its Complex Solicited Order Mechanism which 
allows an agency complex order to execute in full against the 
solicited complex order--both of which are designated as AON--at the 
proposed execution net price so long as, at the time of execution 
such price is not inferior to interest in the ISE leg markets or 
ISE's complex order book and there are no ISE Priority Customers 
equal to the net execution price. If there is Priority Customer 
interest at the proposed execution price and there is sufficient 
size in the aggregate (i.e., Customer interest plus any other 
quotes, orders, and responses) to fill the agency complex order, 
such agency order will trade first with the Priority Customer, 
followed by other interest and the solicited order is canceled. If, 
however, in such a scenario, there is insufficient size of the 
Priority Customer and aggregated interest to fill the agency order, 
both the agency complex order and solicited order are canceled). See 
also Cboe Options Rule 5.40 (Complex Solicitation Auction 
Mechanism).
---------------------------------------------------------------------------

    The Complex CUBE Auction operates seamlessly with the Consolidated 
Book--while still affording Complex CUBE Orders an opportunity to 
receive price improvement.\8\ In particular, the Exchange utilizes the 
concept of a CUBE BBO, which requires price improvement over resting 
interest to initiate a Complex CUBE Auction.\9\ Upon entry of a Complex 
CUBE Order in the System, the CUBE BBO is determined to be the more 
aggressive of (i) the Complex BBO improved by $0.01, or (ii) the 
Derived BBO improved by: $0.01 multiplied by the smallest leg of the 
complex order strategy.\10\ A Complex CUBE Auction begins with an 
``initiating price,'' which for a Complex CUBE Order is the less 
aggressive of the net debit/credit price of such order or the price 
that locks the contra-side CUBE BBO and the ``range of permissible 
executions'' of a Complex CUBE Order is all prices equal to or between 
the initiating price and the same-side CUBE BBO.\11\ As proposed, the 
initiation of, and the range of permissible executions for, an AON 
Complex CUBE Order would align with the protections afforded a standard 
(non-AON) Complex CUBE Order.
---------------------------------------------------------------------------

    \8\ See Rule 900.2NY(14) (defining Consolidated Book (or 
``Book'') and providing that all quotes and orders ``that are 
entered into the Book will be ranked and maintained in accordance 
with the rules of priority as provided in Rule 964NY''). Rule 964NY 
(Display, Priority and Order Allocation--Trading Systems) dictates 
the priority of quotes and orders. The Exchange has integrated the 
Complex CUBE Auction into the Complex Matching Engine (or CME), 
which ensures that the Complex CUBE Auction respects the priority of 
interest in the Consolidated Book. See Rule 971.2NY(a).
    \9\ See generally Rule 971.2NY and Commentary .02 (definitions). 
See also Rule 900.2NY(7)(b),(c) (defining Complex BBO and Derived 
BBO). The ``same-side CUBE BBO'' and ``contra-side CUBE BBO'' refer 
to the CUBE BBO on the same or opposite side of the market as the 
Complex CUBE Order, respectively. See Rule 971.2NY(a)(2).
    \10\ See Rule 971.2NY(a)(2). A complex order strategy is entered 
with the ratio expressed in the fewest number of contracts for each 
leg of the ratio. For a complex order strategy with a ratio of 2, 3, 
and 6 contracts per leg, the $0.01 figure would be multiplied by 2 
contracts, which represents the smallest leg. To calculate the CUBE 
BBO for this strategy, the Derived BBO would need to be priced 
improved by $0.02.
    \11\ See Rule 971.2NY(a)(2)-(4).
---------------------------------------------------------------------------

    The proposal to expand the current Complex CUBE Auction 
functionality by providing an additional (optional) method for market 
participants to effect larger-sized orders in the Complex CUBE Auction 
would likewise operate seamlessly with the Consolidated Book. The 
Exchange also believes this proposal would encourage ATP Holders to 
compete vigorously to provide the opportunity for price improvement for 
larger-sized orders in a competitive auction process, which may lead to 
enhanced liquidity and tighter markets.
Proposed AON Complex CUBE Functionality \12\
---------------------------------------------------------------------------

    \12\ See generally Rule 971.2NY (for detailed description of 
operation of Complex CUBE Auction).
---------------------------------------------------------------------------

    The Exchange proposes to add new Commentary .04 to Rule 971.2NY to 
provide that a Complex CUBE Order that has at least 500 contracts on 
the smallest leg would execute in full at the single stop price against 
the Complex Contra Order, except under specified circumstances (the 
``AON Complex CUBE Order'').\13\ As further proposed, a Complex Contra 
Order would not be permitted to guarantee an AON Complex CUBE Order for 
auto-match limit, which feature is otherwise available in a Complex 
CUBE Auction.\14\
---------------------------------------------------------------------------

    \13\ See also proposed Commentary .04 to Rule 971.2NY. See Rule 
971.2NY(b)(1)(A) (setting forth parameters for single stop price). 
An AON Complex CUBE Order would be rejected for the same reasons as 
a Complex CUBE Order (see Rule 971.2NY(b)(2)-(5)).
    \14\ See also proposed Commentary .04 to Rule 971.2NY. See also 
Rule 971.2NY(b)(1)(B) (regarding parameters for auto-match limit 
price).
---------------------------------------------------------------------------

    The CUBE BBO for a proposed AON Complex CUBE Order would be 
determined in the same manner as for a standard Complex CUBE Order.\15\ 
An AON Complex CUBE Order Auction would also be subject to the same 
early end events as a Complex CUBE Order.\16\
---------------------------------------------------------------------------

    \15\ An AON Complex CUBE Order and its paired Complex Contra 
Order would be rejected if it failed to meet the pricing parameters. 
See Rule 971.2NY(b) (regarding auction eligibility requirements).
    \16\ See Rule 971.2NY(c)(3) (setting forth the type of interest 
that causes the early end to a Complex CUBE Auction). In particular, 
to respect priority of the leg markets, the AON Complex CUBE Auction 
would end early if during the Auction the Exchange receives 
``[i]nterest in the leg market that causes the contra-side CUBE BBO 
to be better than the stop price or auto-match limit price.'' See 
Rule 971.2NY(c)(3)(F).
---------------------------------------------------------------------------

    As proposed, an AON Complex CUBE Order would execute in full with 
the Complex Contra Order at the single stop price even if there is non-
Customer interest priced better than the stop price that, either on its 
own or when aggregated with other better-priced non-Customer RFR 
Responses, is insufficient to satisfy the full quantity of the AON 
Complex CUBE Order.\17\ In addition, as proposed, an AON Complex CUBE 
Order would not execute with the Complex Contra Order if the entire AON 
Complex CUBE Order can be satisfied in full by certain eligible contra-
side interest. Specifically, the Exchange proposes that paragraph (b) 
to Commentary .04 to Rule 971.2NY would provide that:
---------------------------------------------------------------------------

    \17\ See proposed Commentary .04(a) to Rule 971.2NY. The 
Exchange also proposes to modify Commentary .05 to Rule 971.1NY to 
clarify the handling of AON CUBE Orders in a Single-Leg CUBE 
Auction--including by relocating certain text to a new paragraph 
(a), which would not alter existing functionality and mirrors the 
handling of AON Complex CUBE Orders in a Complex CUBE Auction. See 
proposed Commentary .05(a) to Rule 971.1NY (providing that ``[a]n 
AON CUBE Order to buy (sell) will execute in full with the Contra 
Order at the single stop price even if there is non-Customer 
interest priced higher (lower) than the stop price that, either on 
its own or when aggregated with other non-Customer RFR Responses at 
the stop price or better, is insufficient to satisfy the full 
quantity of the AON CUBE Order''). In addition, the Exchange 
proposes to make a non-substantive change to remove the now 
extraneous text ``provided that'' and to re-number existing 
paragraphs (a) and (b) to new paragraphs (b) and (c), which makes 
the Rule easier to navigate and would align with the AON Complex 
CUBE rule. See proposed Commentary .05(b), (c) to Rule 971.1NY.

    (b) The Complex Contra Order will not receive any allocation and 
will be cancelled (i) if RFR Responses that are priced better than 
the stop price can satisfy the full quantity of the AON Complex CUBE 
Order or (ii) there is contra-side Customer interest at the stop 
price or better that on its own, or when aggregated with RFR 
Responses equal to or priced better than the stop price, can satisfy 
the full quantity of the AON Complex CUBE Order. In either such 
case, the RFR Responses will be allocated as provided for in 
paragraphs (c)(4)(A) and (c)(4)(B)(i) of this Rule, as 
applicable.\18\
---------------------------------------------------------------------------

    \18\ See proposed Commentary .04(b) to Rule 971.2NY. The 
Exchange also proposes to modify (new) paragraph (b) to Commentary 
.05 to Rule 971.1NY regarding the Single-Leg CUBE Auction to make 
clear that Customer interest ``at the stop price or better'' may 
prevent the Contra Order from executing, which does not alter 
existing functionality and mirrors the handling of AON Complex CUBE 
Orders in a Complex CUBE Auction. See proposed Commentary .05(b) to 
Rule 971.1NY (emphasis added). In addition, the Exchange proposes to 
make a non-substantive change to capitalize the first sentence of 
this paragraph, which makes the Rule easier to navigate and would 
align with the AON Complex CUBE rule. See id.

    Thus, if there is price-improving contra-side interest that can 
satisfy the AON condition of the Auction, the AON

[[Page 9114]]

Complex CUBE Order would execute in full against those price-improving 
RFR Responses and the Complex Contra Order would cancel. Or, absent 
such price-improving interest, if there is contra-side Customer 
interest equal to the stop price or better that on its own, or when 
combined with equal or better-priced RFR Responses, can satisfy the AON 
condition of the Auction, the AON Complex CUBE Order would execute in 
full against such interest and the Complex Contra Order would cancel. 
Under either scenario, the AON Complex CUBE Order would be allocated 
against contra-side interest at the best price(s) pursuant to the 
Exchange's priority rules.\19\ This proposal is also consistent with 
the AON nature of similar mechanisms on other options exchanges.\20\
---------------------------------------------------------------------------

    \19\ See also Rule 971.2NY (c)(4)(A) (providing Customer 
interest first priority to trade with the Complex CUBE Order, at 
each price level, pursuant to the size pro rata algorithm set forth 
in Rule 964NY(b)(3)) and (c)(4)(B)(i)(a) (providing RFR Responses 
priced better than the stop price, beginning with the most 
aggressive price within the range of permissible executions, 
pursuant to the size pro rata algorithm set forth in Rule 
964NY(b)(3) at each price point).
    \20\ See, e.g., supra note 7 (regarding Nasdaq ISE's Complex 
Solicited Order Mechanism and Cboe's Complex Solicitation Auction 
Mechanism, both of which are mechanisms for larger-sized paired 
complex orders designated as AON).
---------------------------------------------------------------------------

    As further proposed, both the AON CUBE Order and Contra Order would 
be cancelled, i.e., the Auction would be cancelled, if there is contra-
side Customer interest at the stop price and such interest on its own 
or when combined with RFR Responses (at the stop price or better) is 
insufficient to satisfy the entire AON Complex CUBE Order. To effect 
this, the Exchange proposes that paragraph (b) [sic] to Commentary .04 
to Rule 971.2NY would provide that:

    (c) The AON Complex CUBE Order and Complex Contra Order will 
both be cancelled if there is contra-side Customer interest at the 
stop price or better and such interest, either on its own or when 
aggregated with RFR Responses equal to or priced better than the 
stop price is insufficient to satisfy the full quantity of the AON 
Complex CUBE Order.\21\
---------------------------------------------------------------------------

    \21\ See proposed Commentary .04(c) to Rule 971.2NY. The 
Exchange also proposes to modify (new) paragraph (c) to Commentary 
.05 to Rule 971.1NY regarding the Single-Leg CUBE Auction to make 
clear that Customer interest ``at the stop price or better'' would 
result in cancellation of the AON CUBE Order and the Contra Order, 
which would mirror the AON Complex CUBE functionality. See proposed 
Commentary .05(c) to Rule 971.1NY (emphasis added). In addition, the 
Exchange proposes to make a non-substantive change to capitalize the 
first sentence of this paragraph, which makes the Rule easier to 
navigate and would align with the AON Complex CUBE rule. See id.

    Thus, as proposed, if there is contra-side Customer interest at the 
stop price, but there is not enough size (considering the Customer 
interest and all RFR Responses at the stop price or better) to satisfy 
the entire AON Complex CUBE Order, then both the AON Complex CUBE Order 
and the Contra Complex Order would be cancelled. The Exchange believes 
that this proposal is consistent with the terms of how AONs function 
generally without violating the Exchange's general priority rules.\22\ 
With respect to allocation, the Exchange notes that the proposed 
functionality differs from the allocation of a standard Complex CUBE 
Order in that the Complex Contra Order is not guaranteed a minimum 
allocation at the stop price. Instead, given the AON nature of the 
functionality, the Complex Contra Order either trades with the entire 
AON Complex CUBE Order or not at all.\23\ This proposal is also 
consistent with the AON nature of similar mechanisms on other options 
exchanges.\24\
---------------------------------------------------------------------------

    \22\ See Rule 980NY(b) (``Priority of Electronic Complex Orders 
in the Consolidated Book''). See also Rule 971.2NY (regarding 
processing of Complex CUBE Orders per Rule 980NY).
    \23\ See Rule 971.2NY(c)(4)(B)(i)(b) (providing that, ``[a]t the 
stop price, if there is sufficient size of the Complex CUBE Order 
still available after executing at prices better than the stop price 
or against Customer interest, the Complex Contra Order will receive 
an allocation of the greater of 40% of the original Complex CUBE 
Order size or one contract (or the greater of 50% of the original 
Complex CUBE Order size or one contract if there is only one RFR 
Response)'').
    \24\ See e.g., supra note 7 (regarding Nasdaq ISE's Complex 
Solicited Order Mechanism and Cboe's Complex Solicitation Auction 
Mechanism, both of which are mechanisms for larger-sized paired 
complex orders designated as AON).
---------------------------------------------------------------------------

    With the exception of differences to the minimum size and 
allocation described in proposed Commentary .04 to Rule 971.2NY, an AON 
Complex CUBE auction would be subject to all of the provisions of Rule 
971.2NY.\25\
---------------------------------------------------------------------------

    \25\ See proposed Commentary .04 to Rule 971.2NY. The Exchange 
also proposes to modify the text in the last paragraph of Commentary 
.05 to Rule 971.1NY regarding the Single-Leg CUBE Auction to clarify 
that ``[e]xcept as provided in this Commentary .05, an AON CUBE 
auction will be subject to all of the provisions of Rule 971.1NY,'' 
which makes the Rule easier to navigate and would align with the AON 
Complex CUBE rule. See proposed Commentary .05 to Rule 971.1NY.
---------------------------------------------------------------------------

    Finally, proposed paragraph (d) to Commentary .04 to Rule 971.2NY 
would provide that prior to entering an agency order (i.e., Complex 
CUBE Order) on behalf of a Customer into the Complex CUBE Auction as an 
AON Complex CUBE Order, Initiating Participants would be required to 
deliver to the Customer a written notification informing the Customer 
that such order may be executed using the Complex CUBE Auction, which 
notification would disclose the terms and conditions of Commentary .04 
to Rule 971.2NY and be in a form approved by the Exchange.\26\ This 
notification requirement is consistent with the rules of other options 
exchanges that offer an AON paired order auction mechanism for complex 
orders.\27\
---------------------------------------------------------------------------

    \26\ See proposed Commentary .04(d) to Rule 971.2NY. The 
Exchange also proposes to add a paragraph (d) to Commentary .05 to 
Rule 971.1NY regarding the Single-Leg CUBE Auction to adopt a notice 
provision identical to that being proposed for the AON Complex CUBE 
functionality, which clarifies the obligations of ATP Holders to 
their customers and does not alter existing functionality. See 
proposed Commentary .05(d) to Rule 971.1NY.
    \27\ See, e.g., supra note 7, Nasdaq ISE, Options 3, Section 
11(e)(5) and Cboe Options Rule 5.40, Interpretations and Policies 
.01 (both setting forth substantially similar notice requirements 
for agency orders handled on behalf of customers).
---------------------------------------------------------------------------

Implementation
    The Exchange will announce the implementation date of the proposed 
rule change in a Trader Update to be published no later than 60 days 
following the approval of this proposed rule change. The Exchange has 
already notified ATP Holders about the planned implementation of AON 
Complex CUBE functionality, which has provided them advance time to 
prepare their systems for participation in the AON Complex CUBE Auction 
once it becomes available.\28\
---------------------------------------------------------------------------

    \28\ See Trader Update, October 6, 2020, NYSE American Options: 
AON CUBE Orders Available for Testing, available here: https://www.nyse.com/trader-update/history#110000319620.
---------------------------------------------------------------------------

2. Statutory Basis
    For the reasons set forth above, the Exchange believes the proposed 
rule change is consistent with Section 6(b) of the Act in general, and 
furthers the objectives of Section 6(b)(5) of the Act, in that it is 
designed to promote just and equitable principles of trade, 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.
    The proposed optional all-or-none functionality for larger-sized 
orders, which is consistent with Exchange's recently approved Single-
Leg AON CUBE Order functionality,\29\ is intended to benefit investors, 
because it is designed to provide investors seeking to execute larger-
sized option orders in the Complex CUBE Auction with greater certainty 
regarding the price at which the order would be executed. In this 
regard, the Exchange seeks to expand this functionality to the Complex 
CUBE Auction, which functionality is also consistent with similar 
price-improvement mechanisms for larger-

[[Page 9115]]

sized complex orders already available on other options exchanges. As 
such, this is a filing that will allow the Exchange to compete with 
other options exchanges for such larger-sized Complex Orders and would 
benefit market participants who are already familiar with such price-
improvement mechanisms.\30\
---------------------------------------------------------------------------

    \29\ See supra note 6 (regarding recent approval of Commentary 
.05 to Rule 971.1NY).
    \30\ See supra note 7 (regarding Nasdaq ISE's Complex Solicited 
Order Mechanism and Cboe's Complex Solicitation Auction Mechanism, 
both of which are mechanisms for larger-sized paired complex orders 
designated as AON).
---------------------------------------------------------------------------

    This proposal would remove impediments to and perfect the mechanism 
of a free and open market and a national market system because it would 
provide ATP Holders that locate liquidity for their customers' larger-
sized orders a facility in which to execute those orders at the agreed-
upon price, while also providing an opportunity for such orders to be 
price improved. In addition, ATP Holders that opt to utilize this 
proposed functionality would have an equal opportunity to initiate 
their own or to respond with their best prices to other AON CUBE 
Auctions. The Exchange believes the proposed functionality would 
promote and foster competition and provide more options contracts with 
the opportunity for price improvement.
    The Exchange believes that the proposed functionality would provide 
more efficient transactions, reduce execution risk to ATP Holders, and 
afford greater execution opportunities for larger-sized orders. The 
proposed functionality would operate within the Complex CUBE (including 
by integrating Complex CUBE into the Complex Matching Engine, per Rule 
971.2NY(a)) such that the Exchange is able to assure that the proposed 
functionality would continue to respect the priority of interest, in 
particular Customer interest. The proposal ensures that the AON Complex 
CUBE Order is exposed to ATP Holders for the possibility of price 
improvement and that Customer orders on the Exchange are protected. As 
noted above, at the conclusion of an AON Complex CUBE Auction, the AON 
Complex CUBE Order would be executed in full (against the Complex 
Contra Order or eligible contra-side auction interest) or would be 
cancelled, together with the Complex Contra Order.
    Further, the proposed functionality is reasonable and promotes a 
fair and orderly market and national market system, because it is 
substantially similar to the price- improvement mechanisms for larger-
sized orders available on other options exchanges. The Exchange 
believes this proposal may lead to an increase in Exchange volume and 
should allow the Exchange to better compete against other markets that 
already offer an all-or-none electronic solicitation mechanism for 
larger-sized orders. The Exchange believes that its proposal would 
allow the Exchange to better compete for solicited transactions, while 
providing an opportunity for price improvement on the larger-sized 
orders. In addition, the proposed functionality should promote and 
foster competition and provide more options contracts with the 
opportunity for price improvement, which should benefit market 
participants.
    The proposed clarifications to the Single-Leg CUBE Auction Rule 
would protect investors and the public interest because the proposed 
changes add clarity, transparency and internal consistency to Exchange 
rules.\31\
---------------------------------------------------------------------------

    \31\ See supra notes 17, 18, 21 and 26.
---------------------------------------------------------------------------

    Finally, consistent with other options exchanges offering similar 
price- improvement auctions, the proposed rule change would require ATP 
Holders to provide customers with the terms and conditions of agency 
orders that might be submitted as AON Complex CUBE Orders on their 
behalf.\32\
---------------------------------------------------------------------------

    \32\ See Nasdaq ISE, Options 3, Section 11(e)(5) and Cboe 
Options Rule 5.40, Interpretations and Policies .01 (both setting 
forth substantially similar notice requirements for agency orders 
handled on behalf of customers). See supra note 26 (regarding the 
addition of a notice provisions to the Single-Leg CUBE auction 
rule).
---------------------------------------------------------------------------

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Act. The Exchange does not 
believe the proposed rule change would impose any burden on intramarket 
competition, as the proposed rule change will apply in the same manner 
to all orders submitted as AON Complex Orders to the Complex CUBE 
Auction. The Exchange recently received rule approval for AON CUBE 
Order functionality in the Single-Leg CUBE Auction, which operates in a 
substantially similar manner to the complex functionality, accounting 
for differing priority and allocation rules.\33\
---------------------------------------------------------------------------

    \33\ See supra note 6 (regarding recent approval of Commentary 
.05 to Rule 971.1NY).
---------------------------------------------------------------------------

    The Exchange is proposing the functionality for Complex Orders as 
an optional market enhancement that, if utilized, should increase 
competition for ATP Holders seeking to execute such larger-sized orders 
in an electronic auction mechanism. ATP Holders that opt to utilize 
this proposed functionality would have an equal opportunity to initiate 
their own or to respond with their best prices to other AON CUBE 
Auctions. The Exchange notes that other options exchanges offer 
electronic auction mechanisms for larger-sized orders on an AON basis. 
The Exchange believes the proposed functionality would provide ATP 
Holders with a greater choice of exchanges from which to execute such 
orders. The proposal is structured to offer the same enhancement to all 
market participants and would not impose an intra-market competitive 
burden on any participant. The price-improvement functionality for the 
AON Complex CUBE Auction is designed to promote competition for ATP 
Holders to compete amongst each other by responding with not only their 
best price, but also the full size for a particular auction.
    The Exchange notes that it operates in a highly competitive market 
in which market participants can readily direct order flow to competing 
venues who offer similar functionality. The Exchange believes that the 
proposed rule change will relieve any burden on, or otherwise promote, 
competition. The Exchange believes this proposed rule change is 
necessary to permit fair competition among the options exchanges and to 
establish more uniform price-improvement auction rules on the various 
options exchanges. The proposed functionality may lead to an increase 
in Exchange volume and should allow the Exchange to better compete 
against other markets that already offer similar price-improvement 
mechanisms for larger-sized orders. The Exchange anticipates that this 
proposal will create new opportunities for the Exchange to attract new 
business and compete on equal footing with those options exchanges that 
offer auction AON functionality for larger-sized Complex Orders and for 
this reason the proposal does not create an undue burden on intermarket 
competition. By contrast, not having the proposed functionality places 
the Exchange at a competitive disadvantage vis-[agrave]-vis other 
exchanges that offer similar price-improvement mechanisms for larger-
sized Complex Orders.

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.

[[Page 9116]]

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    The Exchange has filed the proposed rule change pursuant to Section 
19(b)(3)(A)(iii) of the Act \34\ and Rule 19b-4(f)(6) thereunder.\35\ 
Because the proposed rule change does not: (i) Significantly affect the 
protection of investors or the public interest; (ii) impose any 
significant burden on competition; and (iii) become operative prior to 
30 days from the date on which it was filed, or such shorter time as 
the Commission may designate, if consistent with the protection of 
investors and the public interest, the proposed rule change has become 
effective pursuant to Section 19(b)(3)(A) of the Act and Rule 19b-
4(f)(6)(iii) thereunder.
---------------------------------------------------------------------------

    \34\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \35\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------

    A proposed rule change filed under Rule 19b-4(f)(6) \36\ normally 
does not become operative prior to 30 days after the date of the 
filing. However, pursuant to Rule 19b4(f)(6)(iii),\37\ the Commission 
may designate a shorter time if such action is consistent with the 
protection of investors and the public interest. The Exchange has asked 
the Commission to waive the 30-day operative delay so that the proposal 
may become operative immediately upon filing. The Exchange states that 
waiver of the operative delay would allow the Exchange to deploy the 
new functionality immediately, which would help to ease the potential 
disruption to floor trading in the event that the Exchange is required 
to temporarily close its trading floor for reasons related to COVID-
19.\38\ The Commission believes that waiver of the operative delay is 
consistent with the protection of investors and the public interest 
because it will allow the Exchange to implement the proposed 
functionality without delay in the event that the Exchange must 
temporarily close its trading floor. As discussed above, the proposed 
AON complex CUBE auction is substantially similar to the paired 
solicited complex order auctions in place on other options exchanges 
and does not raise new or novel regulatory issues.\39\ In addition, the 
proposed changes to the single-leg AON CUBE provisions in Rule 971.1NY 
should help to avoid confusion by assuring that the descriptions of the 
single-leg and the complex AON CUBE auctions remain consistent. 
Accordingly, the Commission hereby waives the 30-day operative delay 
and designates the proposal operative upon filing.\40\
---------------------------------------------------------------------------

    \36\ 17 CFR 240.19b-4(f)(6).
    \37\ 17 CFR 240.19b-4(f)(6)(iii).
    \38\ The Exchange notes that it temporarily closed its trading 
floor for several months in 2020 and for the last week of December 
2020 for reasons related to COVID-19. See Trader Update, December 
24, 2020, NYSE American Options to Move Temporarily to All-
Electronic Trading on December 28, 2020, available here: https://www.nyse.com/trader-update/history#110000331853.
    \39\ See, e.g., note 7, supra.
    \40\ For purposed only of waiving the 30-day operative delay, 
the Commission has considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
---------------------------------------------------------------------------

    At any time within 60 days of the filing of such 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 shall institute proceedings under 
Section 19(b)(2)(B) \41\ of the Act to determine whether the proposed 
rule change should be approved or disapproved.
---------------------------------------------------------------------------

    \41\ 15 U.S.C. 78s(b)(2)(B).
---------------------------------------------------------------------------

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

    <bullet> Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
    <bullet> Send an email to <a href="/cdn-cgi/l/email-protection#8ffdfae3eaa2ece0e2e2eae1fbfccffceaeca1e8e0f9"><span class="__cf_email__" data-cfemail="80f2f5ece5ade3efedede5eef4f3c0f3e5e3aee7eff6">[email protected]</span></a>. Please include 
File Number SR-NYSEAMER-2021-06 on the subject line.

Paper Comments

    <bullet> 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-NYSEAMER-2021-06. 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-NYSEAMER-2021-06, and should be 
submitted on or before March 4, 2021.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\42\
---------------------------------------------------------------------------

    \42\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-02777 Filed 2-10-21; 8:45 am]
BILLING CODE 8011-01-P


</pre><script data-cfasync="false" src="/cdn-cgi/scripts/5c5dd728/cloudflare-static/email-decode.min.js"></script></body>
</html>