Federal Register / Vol. 88, No. 164 / Friday, August 25, 2023 / Notices 58329 

12 15 U.S.C. 78s(b)(3)(A). 

13 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

4(f)(6) requires a self-regulatory organization to give 

the Commission written notice of its intent to file 

the proposed rule change, along with a brief 

description and text of the proposed rule change, 

at least five business days prior to the date of filing 

of the proposed rule change, or such shorter time 

as designated by the Commission. The Exchange 

has satisfied this requirement. 

14 17 CFR 240.19b–4(f)(6). 

15 17 CFR 240.19b–4(f)(6)(iii). 

16For purposes only of waiving the 30-day 

operative delay, the Commission has also 

considered the proposed rule’s impact on 

efficiency, competition, and capital formation. See 

15 U.S.C. 78c(f). 17 17 CFR 200.30–3(a)(12), (59). 

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

2 17 CFR 240.19b–4. 

operative for 30 days after the date of 

the filing, or such shorter time as the 

Commission may designate if consistent 

with the protection of investors and the 

public interest, it has become effective 

pursuant to section 19(b)(3)(A) of the 

Act 12 and Rule 19b–4(f)(6) 13

thereunder. 

A proposed rule change filed under 

Rule 19b–4(f)(6) 14 normally does not 

become operative prior to 30 days after 

the date of the filing. However, pursuant 

to Rule 19b–4(f)(6)(iii),15 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 proposed 

rule change may become operative upon 

filing. The Exchange requested the 

waiver because it intended to 

decommission the ETF Implied 

Liquidity feed effective August 8, 2023, 

and eliminate such references from the 

Exchange’s rulebook to alleviate 

potential confusion as to what data 

products the Exchange currently offers. 

Because the proposed rule change does 

not raise any novel legal or regulatory 

issues, the Commission believes that 

waiving the 30-day operative delay is 

consistent with the protection of 

investors and the public interest. 

Therefore, the Commission hereby 

waives the 30-day operative delay and 

designates the proposal operative upon 

filing.16

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 shall institute proceedings 

to determine whether the proposed rule 

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 (https://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include file number SR– 

CboeBZX–2023–059 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–2023–059. 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 (https://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 

a.m. and 3 p.m. Copies of the filing also 

will be available for inspection and 

copying at the principal office of the 

Exchange. Do not include personal 

identifiable information in submissions; 

you should submit only information 

that you wish to make available 

publicly. We may redact in part or 

withhold entirely from publication 

submitted material that is obscene or 

subject to copyright protection. All 

submissions should refer to file number 

SR–CboeBZX–2023–059 and should be 

submitted on or before September 15, 

2023. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.17

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–18303 Filed 8–24–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98184; File No. SR–MRX– 

2023–14] 

Self-Regulatory Organizations; Nasdaq 

MRX, LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Amend Options 3, 

Section 15 (Simple Order Risk 

Protections) To Adopt an Active Quote 

Protection 

August 21, 2023. 

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 August 

11, 2023, Nasdaq MRX, LLC (‘‘MRX’’ or 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission (‘‘SEC’’ or 

‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III, 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. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend 

Options 3, Section 15 (Risk Protections) 

to adopt an active quote protection. 

The text of the proposed rule change 

is available on the Exchange’s website at 

https://listingcenter.nasdaq.com/ 

rulebook/mrx/rules, 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 

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 


ddrumheller on DSK120RN23PROD with NOTICES1
58330 Federal Register / Vol. 88, No. 164 / Friday, August 25, 2023 / Notices 

3As described below, the Exchange will 

specifically define this passive risk counter 

functionality as ‘‘Rapid Fire’’ within this Rule. 

4See MEMX LLC (‘‘MEMX’’) Rule 21.16(b) 

(Active Risk Counter). See also Securities Exchange 

Act Release No. 95445 (August 8, 2022), 87 FR 

49894 (August 12, 2022) (SR–MEMX–2022–10). 

Similar to the proposed Active Quote Protection, 

the active risk counter on MEMX is voluntary and 

offers a way for users to proactively manage their 

risk. The MEMX risk protection, however, allows 

the user to actively manage all the risk limits 

specified in MEMX’s rule (e.g., executed contracts, 

notional value, etc.) whereas the Exchange’s 

proposal would allow Market Makers to actively 

manage executed contracts only, as discussed later 

in this filing. In addition, the Exchange’s proposal 

will only apply to quotes whereas MEMX’s 

functionality applies to both orders and quotes. 

5The Thresholds are described in detail in 

Options 3, Section 15(a)(3)(B)(i)(a)–(d). If a Market 

Maker does not provide a parameter for each 

Threshold, the Exchange will apply default 

parameters announced to Members. 

6Specialized Quote Feed or ‘‘SQF’’ is an interface 

that only Market Makers may use to submit quotes 

to the Exchange. See Supplementary Material .03(c) 

to Options 3, Section 7. 

7See Options 3, Section 15(a)(3)(B)(ii) 

(renumbered as Section 15(a)(3)(B)(iii) under this 

proposal, as noted below). 

8The time of receipt for an order or quote is the 

time such message is processed by the Exchange’s 

order book. 

9See current Options 3, Section 15(a)(3)(B)(ii)(b). 

The Exchange will renumber this as Section 

15(a)(3)(B)(iii)(b) and clarify this provision in the 

manner described later in this filing. 

10See supra note 8. 

11For both the current Automated Quotation 

Adjustments and proposed Active Quote Protection, 

the System will execute marketable interest up to 

the size of the Market Maker’s quote, but cannot 

guarantee interest will be fully executed, as is the 

case with any execution in the Exchange’s order 

book. There is always the possibility that the 

Market Maker’s quote size (and/or Market Maker’s 

quote plus other interest on the order book) may not 

be sufficient volume to fill the incoming interest. 

12As discussed later in this filing, in order to reenter the System after their quotes are purged 

pursuant to the Active Quote Protection, Market 

Makers will need to submit the same request to 

fully decrement their Limit Counter to zero. 

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 purpose of the proposed rule 

change is to adopt an active risk counter 

functionality called active quote 

protection (‘‘Active Quote Protection’’) 

in Options 3, Section 15. The Exchange 

intends to begin implementation prior 

to December 20, 2024, and will provide 

prior notice of the implementation date 

to Members in an Options Trader Alert. 

The Exchange proposes to offer an 

optional active risk counter 

functionality called Active Quote 

Protection, which will be available to 

Market Makers as an alternative to 

existing passive risk counter 

functionality described in Options 3, 

Section 15(a)(3)(B) (i.e., ‘‘Automated 

Quotation Adjustments’’).3 The 

proposed Active Quote Protection 

functionality will be similar to existing 

active risk counter functionality on 

another options exchange, which 

currently allows exchange users to 

actively decrement the risk counter by 

a specified amount at any time, rather 

than waiting until a risk limit is reached 

or the user otherwise sends a specific 

instruction to the exchange to 

completely reset the counting program.4

Today, the Exchange requires Market 

Makers to configure risk exposure 

thresholds based on various metrics for 

each options class, including percentage 

of executed quotes (‘‘Percentage 

Threshold’’), total number of executed 

contracts (‘‘Volume Threshold’’), 

absolute value of the difference between 

long and short positions (‘‘Delta 

Threshold’’), and absolute value of the 

difference between contracts bought and 

contracts sold (‘‘Vega Threshold’’) 

(collectively, ‘‘Thresholds’’).5 As set 

forth in Options 3, Section 15(a)(3)(B)(i), 

the System tracks each Threshold with 

a corresponding risk counter over a 

Market Maker-specified rolling time 

period not to exceed 30 seconds. 

Furthermore, Section 15(a)(3)(B)(i) and 

(ii) describes that when a risk counter 

exceeds the corresponding Threshold 

during the specified time period, the 

System would automatically remove the 

Market Maker’s quotes in all series of 

the applicable options class (each, a 

‘‘Purge Event’’). As a result of a Purge 

Event, the corresponding risk counter 

and Threshold would reset upon such 

removal. The Exchange also notes that 

pursuant to Section 15(a)(3)(B)(iii) 

today, the Thresholds and risk counters 

can be completely reset if the Market 

Maker specifically requests the System 

to remove quotes in all series of an 

options class. This risk protection is 

passive in that the risk counters wait to 

reset until the expiry of a specified time 

period, a Purge Event, or when the 

Market Maker otherwise sends a specific 

instruction to the Exchange to remove 

quotes to completely reset the counters. 

The Exchange now proposes to 

introduce a new risk protection called 

Active Quote Protection that would 

enable Market Makers to actively 

manage their executed contract limit 

(‘‘Contract Limit’’) by sending an 

electronic instruction to the Exchange to 

decrement their executed contract limit 

counter (‘‘Limit Counter’’) by a specified 

amount at any time, rather than waiting 

until the expiry of a defined time 

period, when the risk limit is exceeded 

(like a Purge Event), or when the Market 

Maker otherwise sends a specific 

instruction to purge quotes to 

completely reset the risk counter. The 

Contract Limit, as set by the Market 

Maker, would apply for the duration of 

the trading day. Once the Market 

Maker’s Limit Counter exceeds the 

Contract Limit set by the Market Maker, 

the System would automatically remove 

quotes in all series of the applicable 

options class submitted through the 

Exchange’s Specialized Quote Feed 

protocol,6 identical to how the quote 

removal mechanism works for a Purge 

Event today.7 Today, Purge Events are 

triggered under the existing Automated 

Quotation Adjustments on the first 

execution that exceeds the applicable 

Threshold. Once an execution occurs, 

the System checks all Thresholds to see 

if they have been exceeded. If exceeded, 

the Market Maker’s quote would be 

purged pursuant to Options 3, Section 

15(a)(3)(B)(iii). In order to remain 

consistent with the firm quote 

obligations of a broker-dealer pursuant 

to Rule 602 of Regulation NMS, any 

marketable orders or quotes that are 

executable against a Market Maker’s 

quotes that are received 8 prior to the 

time the applicable Threshold is 

triggered will be automatically executed 

up to the size of the Market Maker’s 

quote, regardless of whether the 

execution would cause the Market 

Maker to exceed their pre-set Percentage 

Threshold, Volume Threshold, Delta 

Threshold, or Vega Threshold.9

Under Active Quote Protection, the 

System would similarly handle the 

Market Maker’s quote in that the quote 

could be filled one execution over the 

Contract Limit before the Market 

Maker’s remaining quotes are cancelled 

by the System in order to be consistent 

with the firm quote obligations under 

Rule 602 of Regulation NMS. 

Specifically, the Exchange notes that 

any marketable orders or quotes that are 

executable against a Market Maker’s 

quotes that are received 10 prior to the 

time the Contract Limit is triggered will 

be automatically executed up to the size 

of the Market Maker’s quote, regardless 

of whether the execution would cause 

the Market Maker to exceed the Contract 

Limit.11

Additionally, under Active Quote 

Protection, Market Makers will be able 

to submit a request (i) to decrement 

their Limit Counter by a specified 

number of contracts, or (ii) to fully 

decrement their Limit Counter to zero.12

Market Makers that elect to use the 

proposed Active Quote Protection on a 


ddrumheller on DSK120RN23PROD with NOTICES1
Federal Register / Vol. 88, No. 164 / Friday, August 25, 2023 / Notices 58331 

13A ‘‘badge’’ shall mean an account number, 

which may contain letters and/or numbers, 

assigned to Market Makers. A Market Maker 

account may be associated with multiple badges. 

See Options 1, Section 1(a)(5). 

14As a result, the Exchange will also renumber 

existing subparagraphs (B)(ii)–(vi) as proposed 

subparagraphs (B)(iii)–(vii). 15See supra note 8. 

16The Exchange will initially set the default 

Contract Limit at 100 contracts. 

badge 13 will not be able to use the 

existing Threshold risk protections 

described above on the same badge (i.e., 

the active and passive risk counter 

functionality would be mutually 

exclusive per badge) given that it would 

be unnecessarily complex to implement 

from a technology standpoint. Market 

Makers may be associated with multiple 

badges today, so if they want to use both 

risk protections for their activity on the 

Exchange, they will be able to set either 

the active or passive risk counter 

functionality on each one. 

To effectuate the foregoing changes, 

the Exchange proposes to set forth the 

new risk protection in subparagraph 

(B)(ii) of Options 3, Section 15(a)(3), as 

follows: 14

In lieu of Rapid Fire, a Market Maker 

may provide an executed contract limit 

(‘‘Contract Limit’’) that, if exceeded, the 

System will automatically remove the 

Market Maker’s quotes in all series of an 

options class submitted through SQF. 

The System will apply the Contract 

Limit for the duration of the trading day. 

For each class of options, the System 

will maintain an active limit counter 

that will track the current number of 

contracts executed through the Market 

Maker’s quotes (‘‘Limit Counter’’). If the 

Limit Counter exceeds the Contract 

Limit established by the Market Maker, 

the System will automatically remove 

the Market Maker’s quotes as described 

in Section 15(a)(3)(B)(iii). Market 

Makers may submit a request (i) to 

decrement their Limit Counter by a 

specified number of contracts, or (ii) to 

fully decrement their Limit Counter to 

zero, including to re-enter the System as 

described in Section 15(a)(3)(B)(v). For 

Market Makers that elect to utilize the 

Contract Limit, the Percentage 

Threshold, Volume Threshold, Delta 

Threshold, and Vega Threshold will not 

be available for use on the Market 

Maker’s badge. 

As described above, once the Limit 

Counter exceeds the Contract Limit set 

by the Market Maker under the 

proposed Active Quote Protection, the 

System would automatically remove 

quotes in the same manner as currently 

specified for a Purge Event in proposed 

subparagraph (B)(iii) of Options 3, 

Section 15(a)(3). Accordingly, the 

Exchange proposes to add Active Quote 

Protection’s Contract Limit throughout 

this Rule. Specifically, proposed 

subparagraph (B)(iii) will provide that 

the System will automatically remove 

quotes in all series of an options class 

when the Percentage Threshold, Volume 

Threshold, Delta Threshold, Vega 

Threshold, or Contract Limit has been 

exceeded. The System will send a Purge 

Notification Message to the Market 

Maker for all affected series when the 

above thresholds have been exceeded. 

Proposed subparagraph (B)(iii)(a) will 

provide that the Percentage Threshold, 

Volume Threshold, Delta Threshold, 

Vega Threshold, and Contract Limit are 

considered independently of each other. 

Further, as discussed above, any 

marketable orders or quotes that are 

executable against a Market Maker’s 

quotes that are received 15 prior to the 

time the applicable Threshold or 

Contract Limit is triggered will be 

automatically executed up to the size of 

the Market Maker’s quote, even if such 

execution would cause the Market 

Maker to exceed any of their pre-set risk 

limits with respect to any of the 

foregoing risk parameters. The Exchange 

notes that the current related Rule in 

sub-paragraph (B)(ii)(b)(3) only 

mentions that quotes will execute up to 

the Market Maker’s size, and is silent on 

marketable orders. In addition, the 

current Rule does not specify the time 

of receipt of such marketable interest 

that is executable against the size of the 

Market Maker’s quote. As such, the 

Exchange proposes to add this 

specificity in proposed sub-paragraph 

(B)(iii)(b)(3) to better describe how the 

System operates today for Automated 

Quotation Adjustments and how the 

System will operate for proposed Active 

Quote Protection. In particular, subparagraph (B)(iii)(b)(3) will provide: 

The System will execute any marketable 

orders or quotes that are executable against 

a Market Maker’s quote and received prior to 

the time the Percentage Threshold, Volume 

Threshold, Delta Threshold, Vega Threshold, 

or Contract Limit is triggered up to the size 

of the Market Maker’s quote, even if such 

execution results in executions in excess of 

the Market Maker’s applicable Threshold or 

Contract Limit with respect to any parameter. 

In addition, when the System removes 

quotes as a result of exceeding the 

Contract Limit under Active Quote 

Protection, the Exchange proposes to 

require the Market Maker to submit a 

request to re-enter the System. This 

request will be the same type of message 

as the request described in proposed 

subparagraph (B)(ii) where the Market 

Maker must request to fully decrement 

their Limit Counter back to zero in order 

to re-enter the System. This requirement 

will be added in proposed subparagraph 

(B)(v) of Options 3, Section 15(a)(3), and 

will be similar to how the existing quote 

purge mechanism works for the 

Thresholds today, except the Market 

Maker needs to send a separate message 

(i.e., a re-entry indicator) to re-enter the 

System when their quotes are purged as 

a result of exceeding any of the existing 

Thresholds. 

Similar to how default parameters are 

currently applied for each of the 

existing Thresholds described above, 

the Exchange proposes to apply a 

default parameter for the Active Quote 

Protection Contract Limit (which would 

be announced to Members) if the Market 

Maker opting to use Active Quote 

Protection does not provide a Contract 

Limit at the outset.16 Accordingly, 

proposed subparagraph (B)(vi) will 

provide that if a Market Maker does not 

provide a parameter for each of the 

automated quotation removal 

protections described in (B)(i)(a)–(d) 

and (B)(ii) above, the Exchange will 

apply default parameters, which are 

announced to Members. 

The Exchange also proposes that the 

new Active Quote Protection would 

leverage the existing market-wide speed 

bump (‘‘MWSB’’) functionality currently 

set forth in Options 3, Section 

15(a)(3)(B)(vi) (renumbered as Section 

15(a)(3)(B)(vii) under this proposal). 

Today, MWSB is a risk protection 

offered alongside the current Automated 

Quotation Adjustments and triggers 

when, during a time period established 

by the Market Maker, the total number 

of Purge Events exceeds a market-wide 

parameter provided to the Exchange by 

the Market Maker. When MWSB is 

triggered, the Exchange automatically 

purges the Market Maker’s quotes in all 

classes, and the Market Maker must 

request re-entry to the System by 

contacting the Exchange’s Operations 

Department. Today, MWSB is meant to 

provide Market Makers with protection 

from the risk of multiple executions 

across multiple series of an option or 

across multiple options. This risk 

protection recognizes that risk to Market 

Makers is not limited to a single series 

in an option or even to all series in an 

option; Market Makers that quote in 

multiple series of multiple options have 

significant exposure, requiring them to 

offset or hedge their overall positions. 

Market Makers are required to 

continuously quote in assigned options, 

and quoting across many series in an 

option or multiple options creates the 

possibility of executions that can create 

large, unintended principal positions 

that could expose Market Makers to 


ddrumheller on DSK120RN23PROD with NOTICES1
58332 Federal Register / Vol. 88, No. 164 / Friday, August 25, 2023 / Notices 

17 15 U.S.C. 78f(b). 

18 15 U.S.C. 78f(b)(5). 

unnecessary risk. MWSB is therefore 

intended to assist Market Makers in 

managing their market risk by tracking 

the number of Purge Events relative to 

the market-wide parameter set by the 

Market Maker. The Exchange believes 

that tracking the number of Active 

Quote Protection Purge Events for a 

Market Maker against its MWSB marketwide parameter would be similarly 

useful for managing market risk. 

To that end, the Exchange proposes to 

update MWSB to add purge events 

under Active Quote Protection to the 

MWSB counter such that Active Quote 

Protection purge events and Purge 

Events under the current Automated 

Quotation Adjustments will be 

aggregated together as counting toward 

the specified market-wide parameter. 

Accordingly, the Exchange proposes to 

add references to the Active Quote 

Protection rule (i.e., proposed 

subparagraph (B)(ii) of Options 3, 

Section 15(a)(3)) throughout the MWSB 

rule in proposed subparagraph (B)(vii), 

specifically: 

In addition to the automated quotation 

removal protections described in (B)(i)(a)–(d) 

and (B)(ii) above, a Market Maker must 

provide a market wide parameter by which 

the Exchange will automatically remove a 

Market Maker’s quotes in all classes when, 

during a time period established by the 

Market Maker, the total number of quote 

removal events specified in (B)(i)(a)–(d) and 

(B)(ii) exceeds the market wide parameter 

provided to the Exchange by the Market 

Maker. Market Makers must request the 

Exchange enable re-entry by contacting the 

Exchange’s Operations Department. 

The following example illustrates the 

proposed behavior of the Active Quote 

Protection risk protection: 

Market Maker AAPL 

Contract Limit: 100. 

• Market Maker trades a transaction 

for 10 contracts in AAPL; Limit Counter 

goes from 0 to 10. 

• Market Maker sends a request to 

decrement its Limit Counter in AAPL 

for 10 contracts; Limit Counter goes 

from 10 to 0. 

• Market Maker trades a transaction 

for 20 contracts in AAPL; Limit Counter 

goes from 0 to 20. 

• Market Maker trades a transaction 

for 50 contracts in AAPL; Limit Counter 

goes from 20 to 70. 

• Market Maker sends a request to 

decrement its Limit Counter in AAPL 

for 20 contracts; Limit Counter goes 

from 70 to 50. 

• Market Maker trades a transaction 

for 60 contracts in AAPL; Limit Counter 

goes from 50 to 110 and all Market 

Maker quotes in AAPL are automatically 

purged after the execution because the 

Limit Counter exceeded the Market 

Maker’s Contract Limit of 100 executed 

contracts. 

• At this point, the Market Maker 

must send a request to fully decrement 

its Limit Counter in AAPL back to zero 

in order to begin quoting again. 

The following example illustrates 

how MWSB will work with the 

proposed Active Quote Protection 

functionality: 

• Assume Market Maker in AAPL and 

SPY has Automated Quotation 

Adjustments set for AAPL and Active 

QP set for SPY. 

• Market Maker sets its MWSB 

market-wide parameter so that it is 

triggered at 25 purge events within a 20 

second time period. 

• On a given trading day, if an Active 

Quote Protection Purge Event is 

triggered 15 times in SPY and an 

Automated Quotation Adjustment Purge 

Event is triggered 10 times in AAPL, all 

within 20 seconds, then the Exchange 

will automatically remove all of the 

Market Maker’s quotes AAPL and SPY. 

Technical Amendments 

The Exchange proposes a few 

technical, non-substantive amendments 

in Options 3, Section 15(a)(3)(B). With 

the addition of the new Active Quote 

Protection rule in proposed 

subparagraph (B)(ii), the Exchange 

proposes to renumber existing 

subparagraphs (B)(ii)–(vi) as proposed 

subparagraphs (B)(iii)–(vii) and make 

related changes to update existing crosscites within Section 15(a)(3)(B). The 

Exchange also proposes to title 

subparagraph (B)(i) as ‘‘Rapid Fire’’ and 

subparagraph (B)(vii) as ‘‘Market-Wide 

Speed Bump’’ to more clearly identify 

which rules apply to which risk 

protections. 

2. Statutory Basis 

The Exchange believes that its 

proposal is consistent with section 6(b) 

of the Act,17 in general, and furthers the 

objectives of section 6(b)(5) of the Act,18

in particular, in that it is designed 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. 

The Exchange believes that the 

proposed Active Quote Protection risk 

protection is consistent with the Act 

because it will enhance the risk 

protection tools available to Market 

Makers by introducing a new method of 

establishing and monitoring for risk 

parameters that will be offered as an 

alternative to existing Rapid Fire risk 

parameters, thereby supporting a Market 

Maker’s ability to manage their risk on 

the Exchange, and also providing them 

with flexibility to use additional tools to 

manage risk. As noted above, while the 

passive (Rapid Fire) and active (Active 

QP) risk counter functionality will be 

mutually exclusive on each badge, 

Market Makers will still be able to use 

both to cover their activity on the 

Exchange by getting multiple badges 

and setting each risk counter by badge. 

The Exchange believes that offering 

more risk management tools to Market 

Makers would mitigate their exposure to 

excessive risk. The Exchange further 

believes that having the new Active 

Quote Protection functionality leverage 

the existing MWSB functionality will 

similarly support a Market Maker’s 

ability to manage their risk on the 

Exchange by including Active Quote 

Protection purge events to the MWSB 

counter. As noted above, the risk to 

Market Makers is not limited to a single 

series in an option or even multiple 

series in an option as Market Makers 

that quote in multiple series of multiple 

options have significant exposure, 

requiring them to offset or hedge their 

overall positions. Market Makers are 

required to continuously quote in 

assigned options, and quoting across 

many series in an option or multiple 

options creates the possibility of 

executions that can create large, 

unintended principal positions that 

could expose Market Makers to 

unnecessary risk. Today, MWSB is 

designed to assist Market Makers in 

managing their market risk by tracking 

the number of Purge Events relative to 

the market-wide parameter set by the 

Market Maker. The Exchange therefore 

believes that tracking the number of 

Active Quote Protection purge events 

for a Market Maker against its MWSB 

market-wide parameter would be 

similarly useful for managing market 

risk so that they can provide deep and 

liquid markets to the benefit of all 

investors. Ultimately, the Exchange 

believes that providing Market Makers 

with additional tools in the manner 

described above to manage their risk 

parameters serves to perfect the 

mechanism of a free and open market 

and a national market system, and, in 

general to protect investors and the 

public interest because Market Makers 

will be better able to manage risks with 

these tools. 

With regard to the impact of this 

proposal on system capacity, the 

Exchange notes that it has analyzed its 

capacity and represents that it and the 


ddrumheller on DSK120RN23PROD with NOTICES1
Federal Register / Vol. 88, No. 164 / Friday, August 25, 2023 / Notices 58333 

19See supra note 8. 

20See proposed subparagraph (B)(iii)(b) of 

Options 3, Section 15(a)(3). 

21See supra note 4. 

22See supra note 4. 

23 15 U.S.C. 78s(b)(3)(A)(iii). 

24 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

4(f)(6) requires a self-regulatory organization to give 

the Commission written notice of its intent to file 

the proposed rule change at least five business days 

prior to the date of filing of the proposed rule 

change, or such shorter time as designated by the 

Commission. The Exchange has satisfied this 

requirement. 

Options Price Reporting Authority have 

the necessary systems capacity to 

handle any potential additional traffic 

associated with the proposed rule 

change. The Exchange believes that its 

members will not have a capacity issue 

as a result of this proposal. 

The Exchange further represents that 

its proposal will continue to operate 

consistently with the firm quote 

obligations of a broker-dealer pursuant 

to Rule 602 of Regulation NMS. 

Specifically, any marketable interest 

that is executable against a Market 

Maker’s quotes that are received 19 by 

the Exchange prior to the time this 

functionality is triggered will be 

automatically executed at the price up 

to the Market Maker’s size, regardless of 

whether such execution results in 

executions in excess of the Market 

Maker’s pre-set Contract Limit.20 As 

discussed above, this is also in line with 

how current Rapid Fire operates today. 

The Exchange believes that the 

proposed changes in proposed subparagraph (B)(iii)(b) to specify that this 

Rule will apply to marketable orders 

and quotes (currently silent on 

marketable orders), and to specify the 

time of receipt of such marketable 

interest that is executable against the 

size of the Market Maker’s quote, will 

promote clarity in how the System 

currently operates for Rapid Fire and 

will operate for Active Quote Protection. 

As noted above, the proposed Active 

Quote Protection functionality is similar 

to existing active risk counter 

functionality on another options 

exchange, which currently allows users 

to actively decrement the risk counter 

by a specified amount at any time, 

rather than waiting until a risk limit is 

reached or the user otherwise sends a 

specific instruction to the exchange to 

completely reset the counting 

program.21

Technical Amendments 

The Exchange believes that the 

technical amendments in Options 3, 

Section 15(a)(3)(B) described above are 

consistent with the Act because they 

will promote clarity in the rules and 

make the Rulebook easier to navigate for 

market participants by updating rule 

numbering and existing cross-cites as 

described above. Furthermore, the 

Exchange also believes that adding the 

defined terms for Rapid Fire and MWSB 

in the rule text will promote clarity so 

that Members can more easily locate the 

relevant functionalities in the Rulebook. 

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 not 

necessary or appropriate in furtherance 

of the purposes of the Act. 

The Exchange does not believe that 

the proposed Active Quote Protection 

functionality will impose any undue 

burden on intra-market competition as it 

is aimed at mitigating exposure to 

excessive risk when trading on the 

Exchange. While the Exchange will offer 

the proposed functionality to Market 

Makers only, the proposed risk 

protection is intended to provide Market 

Makers with an additional tool to 

manage their risk parameters in a 

manner they deem appropriate. As such, 

the Exchange believes that the proposed 

functionality may facilitate Market 

Makers’ provision of liquidity on the 

Exchange, thereby benefitting all market 

participants through additional 

execution opportunities at potentially 

improved prices. 

The Exchange also believes that its 

Active Quote Protection proposal does 

not impose an undue burden on intermarket competition as the proposed risk 

protection is similar to an existing risk 

protection on MEMX 22 as described 

above, and any options market could 

adopt similar rules. 

Lastly, the Exchange does not believe 

that the proposed technical 

amendments in Options 3, Section 

15(a)(3)(B) will impose an undue 

burden on competition as these are nonsubstantive changes to promote clarity 

in the rules and make the Rulebook 

easier to navigate for market 

participants. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were either 

solicited or received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Because the foregoing 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 for 30 days from the date on 

which it was filed, or such shorter time 

as the Commission may designate, it has 

become effective pursuant to section 

19(b)(3)(A)(iii) of the Act 23 and 

subparagraph (f)(6) of Rule 19b–4 

thereunder.24

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 shall institute proceedings 

to determine whether the proposed rule 

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 (https://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include file number SR– 

MRX–2023–14 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–MRX–2023–14. 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 (https://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 


ddrumheller on DSK120RN23PROD with NOTICES1
58334 Federal Register / Vol. 88, No. 164 / Friday, August 25, 2023 / Notices 

25 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3The ETF Implied Liquidity Feed was adopted in 

2017. See Securities Exchange Act Release No. 

80580 (May 3, 2017), 82 FR 21585 (May 9, 2017) 

(SR–BatsBZX–2017–25) and Securities Exchange 

Act Release No. 80772 (May 25, 2017), 82 FR 25389 

(June 1, 2017) (SR–BatsBZX–2017–036). 

4The Exchange’s affiliates are Cboe EDGA 

Exchange, Inc., (‘‘EDGA’’), Cboe EDGX Exchange, 

Inc. (‘‘EDGX’’), and Cboe BYX Exchange, Inc. 

(‘‘BYX’’) (‘‘collectively, the ‘‘Bats Exchanges’’). 

5The securities underlying each of the U.S. 

equity ETFs included in the proposed feed must be 

considered NMS Securities as defined under Rule 

600(b)(46) of Regulation NMS. 17 CFR 

242.600(b)(46) 

6A ‘‘Distributor’’ is defined as ‘‘any entity that 

receives the Exchange Market Data product directly 

from the Exchange or indirectly through another 

entity and then distributes it internally or externally 

to a third party.’’ An ‘‘Internal Distributor’’ is 

defined as ‘‘a Distributor that receives the Exchange 

Market Data product and then distributes that data 

to one or more Users within the Distributor’s own 

entity.’’ An ‘‘External Distributor’’ is defined as ‘‘a 

Distributor that receives the Exchange Market Data 

product and then distributes that data to a third 

party or one or more Users outside the Distributor’s 

own entity.’’ 

7A Professional User of an Exchange Market Data 

product is any User other than a Non-Professional 

User. 

8A ‘‘Non-Professional User’’ of an Exchange 

Market Data product is a natural person or 

qualifying trust that uses Data only for personal 

purposes and not for any commercial purpose and, 

for a natural person who works in the United States, 

is not: (i) registered or qualified in any capacity 

with the Securities and Exchange Commission, the 

Commodities Futures Trading Commission, any 

state securities agency, any securities exchange or 

association, or any commodities or futures contract 

market or association; (ii) engaged as an 

‘‘investment adviser’’ as that term is defined in 

section 202(a)(11) of the Investment Advisors Act 

of 1940 (whether or not registered or qualified 

under that Act); or (iii) employed by a bank or other 

organization exempt from registration under federal 

or state securities laws to perform functions that 

would require registration or qualification if such 

functions were performed for an organization not so 

exempt; or, for a natural person who works outside 

of the United States, does not perform the same 

functions as would disqualify such person as a 

Non-Professional User if he or she worked in the 

United States. 

Reference Room, 100 F Street NE, 

Washington, DC 20549, on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of the filing also 

will be available for inspection and 

copying at the principal office of the 

Exchange. Do not include personal 

identifiable information in submissions; 

you should submit only information 

that you wish to make available 

publicly. We may redact in part or 

withhold entirely from publication 

submitted material that is obscene or 

subject to copyright protection. All 

submissions should refer to file number 

SR–MRX–2023–14 and should be 

submitted on or before September 15, 

2023. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.25

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–18306 Filed 8–24–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98183; File No. SR– 

CboeBZX–2023–060] 

Self-Regulatory Organizations; Cboe 

BZX Exchange, Inc.; Notice of Filing 

and Immediate Effectiveness of a 

Proposed Rule Change To Amend Its 

Fee Schedule To Eliminate Reference 

to the ETF Implied Liquidity Feed and 

Corresponding Fees 

August 21, 2023. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that on August 8, 

2023, Cboe BZX Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘BZX’’) filed with the 

Securities and Exchange Commission 

(the ‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III 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. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

Cboe BZX Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘BZX’’ or ‘‘BZX 

Equities’’) proposes to amend its Fee 

Schedule. 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/ 

equities/regulation/rule_filings/bzx/), 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 amend its 

Fee Schedule applicable to its equities 

trading platform (‘‘BZX Equities’’) to 

eliminate reference to the ETF Implied 

Liquidity Feed and corresponding fees, 

effective August 8, 2023. 

The Exchange proposes to amend the 

Market Data section of its fee schedule 

to eliminate reference to, and 

corresponding fees for, a market data 

product called the ETF Implied 

Liquidity Feed.3 The ETF Implied 

Liquidity feed is an optional data feed 

that provides the Exchange’s proprietary 

calculation of the implied liquidity and 

the aggregate best bid and offer (‘‘BBO’’) 

of all displayed orders on the Exchange 

and its affiliated exchanges 4 for all 

standard, non-leveraged U.S. equity 

Exchange Traded Funds (‘‘ETFs’’) 

traded on the System.5 An ETF’s 

implied liquidity disseminated via the 

feed consists of the ETF’s implied BBO 

(including the implied size) calculated 

via a proprietary methodology based on 

the national best bid and offer 

(‘‘NBBO’’), the number of shares of 

securities underlying one creation unit 

of the ETF, and the estimated cash 

included in one creation unit of the 

ETF. The Exchange disseminates the 

aggregate BBO through the ETF Implied 

Liquidity feed no earlier than it 

provides its BBO to the processors 

under the CTA Plan or the Nasdaq/UTP 

Plan. The Exchange currently assesses 

(i) Distribution Fees for both Internal 

and External, Distributors 6 (ii) Usage 

Fees for both Professional 7 and NonProfessional 8 Users; and a (iii) Data 

Consolidation fee. Specifically, the 

Exchange assesses (i) Internal 

Distributors a monthly fee of $1,500 and 

External Distributors a monthly fee of 

$5,000; (ii) Professional Users a monthly 

fee of $0.25 (if receiving internally) or 

$25 (if receiving externally); (iii) NonProfessional Users a monthly fee of 

$1.00 (whether receiving internally or 

externally); and a monthly Data 

Consolidation Fee of $500. The Fee 

Schedule currently provides that 

Distributors of the Cboe One Feed (as 

described in Rule 11.22(j)) may also 

receive upon request access to the ETF 

Implied Liquidity Feed without 

incurring an additional Logical Port fee 

for the ETF Implied Liquidity Feed. It 

also provides that External Distributors 

of the Cboe One Feed will also receive 


ddrumheller on DSK120RN23PROD with NOTICES1