66094 Federal Register / Vol. 88, No. 185 / Tuesday, September 26, 2023 / Notices 

44See id. 

45See id. at 26625–26. 

46See id. at 26626. 

47See id. 

48See id. 

49See id. at 26627. 

50The Exchange calculated for each of SPXW 

options (with Monday, Wednesday, and Friday 

expirations) and SPY Weekly options (with 

Monday, Wednesday, and Friday expirations) the 

daily time-weighted bid-ask spread on the Exchange 

during its regular trading hours session, adjusted for 

the difference in size between SPXW options and 

SPY options (SPXW options are approximately ten 

times the value of SPY options). 

51The Exchange calculated the volume-weighted 

average daily effective spread for simple trades for 

each of SPXW options (with Monday, Wednesday, 

and Friday expirations) and SPY Weekly options 

(with Monday, Wednesday, and Friday expirations) 

as twice the amount of the absolute value of the 

difference between an order execution price and the 

midpoint of the national best bid and offer at the 

time of execution, adjusted for the difference in size 

between SPXW options and SPY options. 

52For purposes of comparison, the Exchange 

paired SPXW options and SPY options with the 

same moneyness and same days to expiration. 

53See Notice, 88 FR at 26626–27. 

54See id. at 26627. 

55See id. at 26626. 

56See id. at 26628. 

57 15 U.S.C. 78f(b)(5). 

58 15 U.S.C. 78s(b)(2). 

59 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

Exchange further analyzed volatility on 

days when the S&P 500 was rebalanced, 

and states its results suggest more 

closing volatility on rebalance dates 

compared to non-rebalance expiration 

dates, indicating that rebalancing of the 

S&P 500 may have a greater impact on 

S&P 500 volatility than p.m.-settled 

option expirations.44

The Exchange also reviewed a sample 

of post-2018 pilot data for potential 

correlation between excess market 

volatility and price reversals and the 

hedging activity of liquidity providers.45

To determine whether there is a 

correlation, the Exchange calculated an 

estimate of the amount of market-onclose (‘‘MOC’’) volume in the S&P 500 

component markets attributable to 

expected hedging activity as a result of 

expiring in-the-money options.46 The 

Exchange states its results indicate that 

other sources of MOC share volume 

generally exceed the volume resulting 

from hedging activity for p.m.-settled 

SPX options.47 Further, the Exchange 

also compared hedging futures positions 

that would correspond to expiring inthe-money p.m.-settled SPX options and 

concludes the data indicate negligible 

capacity for hedging activity to increase 

volatility in the underlying markets.48

Finally, the Exchange states that the 

significant changes in the closing 

procedures of the primary markets in 

recent decades, including considerable 

advances in trading systems and 

technology, have significantly 

minimized risks of any potential impact 

of Weekly and EOM options on the 

underlying cash markets.49

Market Quality Considerations 

The Exchange also completed an 

analysis intended to evaluate whether 

the Program impacted the quality of the 

a.m.-settled options market. 

Specifically, the Exchange compared 

values of key market quality indicators 

(specifically, the bid-ask spread 50 and 

effective spread 51) in p.m.-settled SPX 

weekly (‘‘SPXW’’) options both before 

and after the introduction of Tuesday 

expirations and Thursday expirations 

for SPXW options on April 18 and May 

11, 2022, respectively.52 The Exchange 

concludes from this analysis that the 

introduction of SPX options with 

Tuesday and Thursday options had no 

significant impact on the market quality 

of SPXW options with Monday, 

Wednesday, and Friday expirations.53

For a majority of the series analyzed, the 

Exchange observed no statistically 

significant difference in bid-ask spread 

or effective spread.54 The Exchange 

states that analyzing whether the 

introduction of new SPXW p.m.-settled 

expirations (i.e., SPXW options with 

Tuesday and Thursday expirations) 

impacted the market quality of thenexisting SPXW p.m.-settled expirations 

(i.e., SPXW options with Monday, 

Wednesday, and Friday expirations) 

provides a reasonable substitute to 

evaluate whether the introduction of 

Weekly and EOM options impacted the 

market quality of any corresponding 

a.m.-settled options when the Program 

began.55 Therefore, the Exchange 

believes the results of its analysis permit 

the Exchange to extrapolate that it is 

unlikely the introduction of any other 

Weekly or EOM options significantly 

impacted the market quality of 

corresponding a.m.-settled options 

when the Program began.56

The Commission believes that the 

evidence contained in the Exchange’s 

filing, the Exchange’s pilot data and 

reports, and the Pilot Memo analysis 

demonstrate that the Program has 

benefitted investors and other market 

participants by providing more flexible 

trading and hedging opportunities while 

also having no disruptive impact on the 

market. The market for the options in 

the Program has grown significantly in 

size over the course of the Program, and 

analysis of the pilot data did not 

identify any significant economic 

impact on the underlying component 

securities surrounding the close as a 

result of expiring p.m.-settled options, 

nor did it indicate a deterioration in 

market quality (as measured by bid-ask 

and effective spreads) for an existing 

product when a new p.m.-settled 

expiration was introduced. Further, 

significant changes in closing 

procedures in the decades since index 

options moved to a.m. settlement may 

also serve to mitigate the potential 

impact of p.m.-settled index options on 

the underlying cash markets. 

Accordingly, the Commission finds 

that the proposed rule change is 

consistent with section 6(b)(5) of the 

Act 57 and the rules and regulations 

thereunder applicable to a national 

securities exchange. 

V. Conclusion 

It is therefore ordered, pursuant to 

section 19(b)(2) of the Act,58 that the 

proposed rule change (SR–CBOE–2023– 

020) be, and hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.59

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–20812 Filed 9–25–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98445; File No. SR–MRX– 

2023–16] 

Self-Regulatory Organizations; Nasdaq 

MRX LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Amend Options 3, 

Section 13 Related to PIM 

September 20, 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 

September 8, 2023, Nasdaq MRX, LLC 

(‘‘MRX’’ or ‘‘Exchange’’) 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 

The Exchange proposes to amend 

Options 3, Section 7, Types of Orders 

and Order and Quote Protocols; Options 

3, Section 11, Auction Mechanisms; and 

Options 3, Section 13, Price 


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Federal Register / Vol. 88, No. 185 / Tuesday, September 26, 2023 / Notices 66095 

3An Opening Sweep is a one-sided order entered 

by a Market Maker through SQF for execution 

against eligible interest in the System during the 

Opening Process. This order type is not subject to 

any protections listed in Options 3, Section 15, 

except for Automated Quotation Adjustments. The 

Opening Sweep will only participate in the 

Opening Process pursuant to Options 3, Section 

8(b)(1) and will be cancelled upon the open if not 

executed. See Options 3, Section 7(u). 

4An Opening Only (‘‘OPG’’) order is entered with 

a TIF of ‘‘OPG’’. This order can only be executed 

in the Opening Process pursuant to Options 3, 

Section 8. This order type is not subject to any 

protections listed in Options 3, Section 15, except 

Size Limitation. Any portion of the order that is not 

executed during the Opening Process is cancelled. 

OPG orders may not route. See Supplementary 

Material .02(e) to Options 3, Section 7. 

5MRX’s System will round up to the nearest 

whole number during the allocation in the 

Facilitation Mechanism. 

Improvement Mechanism for Crossing 

Transactions. 

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 

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 

Options 3, Section 7, Types of Orders 

and Order and Quote Protocols; Options 

3, Section 11, Auction Mechanisms; and 

Options 3, Section 13, Price 

Improvement Mechanism for Crossing 

Transactions. Each change is described 

below. 

Options 3, Section 7 

Opening Only 

The Exchange proposes to amend 

Options 3, Section 7(u), Opening 

Sweep 3 and Supplementary Material 

.02(e) to Options 3, Section 7 related to 

Opening Only 4 or ‘‘OPG’’ orders. 

Options 3, Section 7(t) currently 

provides that an Opening Sweep would 

not be subject to any protections listed 

in Options 3, Section 15, except 

Automated Quotation Adjustments in 

Options 3, Section 15. Supplementary 

Material .02(e) to Options 3, Section 7 

currently provides that an OPG Order 

would not be subject to any protections 

listed in Options 3, Section 15, except 

Size Limitation. At this time, the 

Exchange proposes to amend the rule 

text to specify that an Opening Sweep 

and an OPG Order would be subject to 

the Market Wide Risk Protection in 

Options 3, Section 15. 

The Market Wide Risk Protection in 

Options 3, Section 15(a)(1)(C) 

automatically removes Member orders 

when certain firm-set thresholds are 

met. Specifically, the Market Wide Risk 

Protection requires all Members to 

provide parameters for the order entry 

and execution rate protections. The 

Market Wide Risk Protection would 

apply to an Opening Sweep and an OPG 

Order because it captures the order 

entry and execution rate for both 

Opening Sweeps and OPG Orders that 

are entered in the Opening Process as 

described in Options 3, Section 8. The 

Exchange believes the availability of the 

Market Wide Risk Protection during the 

Opening Process would assist Members 

in managing their pre-open risk by 

allowing Members to adhere to their 

firm thresholds. The Exchange notes 

that other risk protections within 

Options 3, Section 15 do not apply to 

wither an Opening Sweep or an 

Opening Only Order because the risk 

protection either relies on the BBO, 

which available after the Opening 

Process, or the risk protection is 

optional. Finally, the Exchange also 

proposes a technical amendment to 

capitalize the word ‘‘orders’’ in 

Supplementary Material .02(e) to 

Options 3, Section 7. 

Options 3, Sections 11 and 13 

The Exchange proposes to amend 

Options 3, Section 11(b)(4)(A) related to 

the Facilitation Mechanism. Currently, 

the last sentence in Options 3, Section 

11(b)(4)(A) provides that a facilitation 

order will be cancelled at the end of an 

exposure period if an execution would 

take place at a price that is inferior to 

the best bid (offer) on MRX. The 

Exchange proposes to amend this 

sentence to state, the ‘‘Exchange best bid 

(offer)’’ and remove the phrase ‘‘on 

Nasdaq MRX.’’ Additionally, the 

Exchange proposes to add the following 

rule text to the end of the sentence, ‘‘or 

if there is a Priority Customer order on 

the same side Exchange best bid (offer) 

at the same price as the facilitation price 

unless the Facilitation Order can 

execute at a price that is better than the 

same side Priority Customer Order.’’ 

Today, a facilitation order must execute 

at a price that is better than the same 

side BBO if there is a Priority Customer 

order on the same side. The proposed 

rule text is being amended to align to 

current System functionality which 

prevents a Facilitation Order from 

trading ahead of a Priority Customer 

Order. As such, a Priority Customer 

order on the same side of the offer must 

be considered when executing a 

Facilitation Order. The Exchange 

proposes to add similar language to the 

last sentence of Options 3, Section 

11(d)(3)(A) related to the Solicited 

Order Mechanism. The Exchange notes 

that these amendments do not amend 

the current System functionality. 

The Exchange proposes to add a new 

Options 3, Section 11(b)(4)(iv) to 

describe the allocation percentage that 

an Electronic Access Member is able to 

obtain in the Facilitation Mechanism. 

Today, under the current System 

functionality, the facilitating Electronic 

Access Member may not receive an 

allocation percentage, at the final price 

point, of more than 40% of the original 

size of the Facilitation Order with one 

or multiple competing quote(s), order(s), 

or Response(s), except for rounding,5

when competing quotes, orders, or 

Responses have contracts available for 

execution. Options 3, Section 

11(b)(4)(ii) makes clear that the 

facilitating Electronic Access Member 

will be allocated up to forty percent 

(40%) (or such lower percentage 

requested by the Member) of the original 

size of the facilitation order, but only 

after better-priced Responses, orders 

and quotes, as well as Priority Customer 

Orders and Priority Customer Responses 

at the facilitation price, are executed in 

full at such price point. The proposed 

rule text expressly notes that the 

allocation percentage will not be 

exceeded except for rounding purposes. 

This language represents current System 

functionality. The Exchange proposes to 

add similar language to Options 3, 

Section 11(c)(7)(E) related to the 

Complex Facilitation Mechanism, 

Options 3, Section 13(d)(7) related to 

the Price Improvement Mechanism for 

Crossing Transactions, and Options 3, 

Section 13(e)(5)(vi) related to the 

Complex Price Improvement 

Mechanism to note the limitations with 

respect to allocations. 

The Exchange proposes to amend 

Supplementary Material .04 to Options 

3, Section 11 to replace the word 

‘‘quotes’’ with ‘‘Responses’’ in the Split 

Price description. Orders and responses 

in the market that receive the benefit of 

the facilitation price may receive 


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66096 Federal Register / Vol. 88, No. 185 / Tuesday, September 26, 2023 / Notices 

6See Phlx Options 3, Section 13(b)(1)(D). 

7For example, if the market is 0.98 bid and 0.99 

offer, a Priority Customer PIM Order to buy for less 

than 50 contracts must be stopped at 0.98 cents in 

this scenario to be accepted into a PIM Auction, 

provided there is no resting order or quote on the 

Exchange order book at 0.98 in which case the PIM 

Order would be rejected. 

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

9 15 U.S.C. 78f(b)(5). 

executions at Split Prices. This change 

to the rule text is intended to utilize the 

defined term ‘‘Response’’ pursuant to 

Options 3, Section 11(b)(3) may be 

priced at the price of the order to be 

facilitated or at a better price and will 

only be considered up to the size of the 

order to be facilitated. 

The Exchange proposes to add a new 

Supplementary Material .09 to Options 

3, Section 11 and a new Supplementary 

Material .09 to Options 3, Section 11 to 

provide that, today, if an allocation 

would result in less than one contract, 

then one contract will be allocated. The 

Exchange does not allocate fractional 

contracts. This language represents the 

current System functionality. The 

Exchange proposes to add the same 

sentence within new Supplementary 

Material .10 to Options 3, Section 13 

regarding a PIM. Phlx has similar 

language.6

The Exchange proposes to amend 

Options 3, Section 13(b)(1) through (3) 

to harmonize the language within the 

PIM entry checks with language within 

Nasdaq GEMX, LLC’s (‘‘GEMX’’) PIM, 

Nasdaq ISE, LLC’s (‘‘ISE’’) PIM, Nasdaq 

Phlx LLC’s (‘‘Phlx’’) PIXL and BX’s 

PRISM, without changing the 

substantive operations of these price 

improvement auctions. The Exchange 

believes that by utilizing similar 

language, Members will be able to 

compare MRX’s PIM entry checks with 

similar mechanisms on Nasdaq 

affiliated markets. 

MRX proposes to add ‘‘a price that is’’ 

to the end of Options 3, Section 13(b)(1) 

and add new subparagraphs (A) and (B) 

to distinguish opposite and same side 

checks. The opposite side check is 

currently spelled out in the current rule 

text, however the same side check does 

not specify the NBBO check. Today, if 

the Agency Order is for less than 50 

option contracts, and if the difference 

between the NBBO or the difference 

between the internal best bid and the 

internal best offer is $0.01, the Crossing 

Transaction must be entered at a price 

that is, on the same side of the Agency 

Order equal or better than the NBBO 

and better than any Limit Order or quote 

on MRX’s order book. The Exchange 

believes that the addition of the NBBO 

check will add clarity to the rule text 

because the NBBO check is always 

relevant in the same side check to avoid 

a trade-through. The Exchange also 

proposes to capitalize ‘‘Limit Order,’’ 

remove the word ‘‘Nasdaq’’ before 

‘‘MRX’’ and remove other extraneous 

words as the sentence has been 

rearranged. 

Next, the Exchange proposes to 

bifurcate the entry check for Agency 

Orders of 50 options contracts or more 

for the account of a Priority Customer 

from the entry checks for the account of 

a broker dealer or any other person or 

entity that is not a Priority Customer 

similar to other Nasdaq affiliated 

markets to provide consistent 

formatting. While the entry checks for 

new Options 3, Section 13(b)(2) and 

(b)(3) will not differ, the Exchange 

believes that retaining the same rule text 

format across its Nasdaq affiliated 

markets will allow for an easier 

comparison. To that end, the Exchange 

proposes to amend Options 3, Section 

13(b)(2) to format it similar to Options 

3, Section 13(b)(1). The Exchange 

proposes to add ‘‘for the account of a 

Priority Customer’’ to (b)(2) to 

distinguish it from (b)(3) which 

addresses the account of a broker dealer 

or any other person or entity that is not 

a Priority Customer. Options 3, Section 

13(b)(2)(A) will also add rule text to 

address the opposite side of the market, 

which is not explicitly noted. Proposed 

Options 3, Section 13(b)(2)(A) will 

provide that if the Agency Order is for 

the account of a Priority Customer, and 

such order is for 50 option contracts or 

more, or if the difference between the 

NBBO or the difference between the 

internal BBO is greater than $0.01, a 

Crossing Transaction must be entered 

only at a price that is equal to or better 

than the internal BBO and NBBO on the 

opposite side of the market from the 

Agency Order. Further, Options 3, 

Section 13(b)(2)(B) will explicitly note 

the entry check on the same side of the 

market and similar to Options 3, Section 

13(b)(1) will include the NBBO check. 

Proposed Options 3, Section 13(b)(2)(B) 

will provide that if the Agency Order is 

for the account of a Priority Customer, 

and such order is for 50 option contracts 

or more, or if the difference between the 

NBBO or the difference between the 

internal BBO is greater than $0.01, a 

Crossing Transaction must be entered 

only on the same side of the market as 

the Agency Order, at a price that is at 

least $0.01 better than any Limit Order 

or quote on the MRX order book and 

equal to or better than the NBBO.7 The 

Exchange believes that the addition of 

the NBBO check will add clarity to the 

rule text because the NBBO check is 

always relevant in the same side check 

to avoid a trade-through. The Exchange 

also proposes to capitalize ‘‘Limit 

Order,’’ remove the word ‘‘Nasdaq’’ 

before ‘‘MRX’’ and remove other 

extraneous words as the sentence has 

been rearranged. 

As noted herein, proposed Options 3, 

Section 13(b)(3) will mirror Options 3, 

Section 13(b)(2) except that it will refer 

to the account of a broker dealer or any 

other person or entity that is not a 

Priority Customer. The Exchange also 

proposes to renumber the remainder of 

the paragraphs within Options 3, 

Section 13(b). 

Finally, the Exchange proposes to add 

a new Options 3, Section 13(e)(5)(vii), 

similar to rule text in Phlx at Options 3, 

Section 13(b)(8) for Complex Orders. 

The current MRX Complex Price 

Improvement Mechanism rule text is 

silent as to same side execution price 

validations. The Exchange proposes to 

state, 

[i]f the Complex PIM execution price 

would be the same or better than a Complex 

Order on the Complex Order Book on the 

same side of the market as the Agency 

Complex Order, for options classes assigned 

to allocate in time priority or pro-rata 

pursuant to Options 3, Section 14(d)(2), the 

Agency Complex Order may be executed at 

a price that is equal to the resting Complex 

Order’s limit price. 

Today, if the Complex PIM execution 

is the same or better than the Complex 

Order resting on the Complex Order 

Book on the same side of the market as 

the Agency Complex Order, for options 

assigned to allocate in time priority or 

pro-rata pursuant to Options 3, Section 

14(d)(2), the Agency Complex Order 

may execute at a price that is equal to 

the resting Complex Order’s limit price. 

This proposed rule text would make 

clear the manner in which the System 

validates prices for Complex PIMs on 

the same side of the market. 

2. Statutory Basis 

The Exchange believes that its 

proposal is consistent with Section 6(b) 

of the Act,8 in general, and furthers the 

objectives of Section 6(b)(5) of the Act,9

in particular, in that it is designed to 

promote just and equitable principles of 

trade and to protect investors and the 

public interest. 

Options 3, Section 7 

Opening Only 

The Exchange’s proposal to amend 

Options 3, Section 7(u), Opening 

Sweeps and Supplementary Material 

.02(e) to Options 3, Section 7 related to 

OPG Orders is consistent with the Act 

and the protection of investors and the 


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Federal Register / Vol. 88, No. 185 / Tuesday, September 26, 2023 / Notices 66097 

10See also MRX Options 3, Section 13(d)(1), ‘‘At 

a given price, ‘Priority Customer Interest’ (Priority 

Customer Orders and Improvement Orders from 

Priority Customers) is executed in full before ‘nonPriority Customer Interest’ (non-Priority Customer 

Orders, Improvement Orders from non-Priority 

Customers and Market Maker quotes).’’ 11See Phlx Options 3, Section 13(b)(1)(D). 

general public because the Market Wide 

Risk Protection would capture the order 

entry and execution rate for those 

Opening Sweeps and OPG Orders 

entered in the Opening Process, which 

is described in Options 3, Section 8, and 

would assist Members in managing their 

pre-open risk by allowing Members to 

adhere to their firm thresholds. The 

Exchange is providing both order and 

quote risk protections in the Opening 

Process to allow Members to manage 

their risk. The Exchange notes that other 

risk protections within Options 3, 

Section 15 do not apply to either an 

Opening Sweep or an Opening Only 

Order because the risk protection either 

relies on the BBO, which is available 

after the Opening Process or the risk 

protection is optional. 

Options 3, Sections 11 and 13 

The Exchange’s proposal to amend 

Options 3, Section 11(b)(4)(A) related to 

the Facilitation Mechanism is consistent 

with the Act and the protection of 

investors and the general public because 

the System ensures that the facilitation 

order is at a price that is not inferior to 

the Exchange best bid (offer) or if there 

is a Priority Customer on the same side 

Exchange best bid (offer) at the same 

price as the facilitation price, otherwise 

the order would be cancelled. This price 

check ensures that the auction order 

may not trade at or through the Priority 

Customer order on the same side. This 

language represents the current System 

functionality. Similar changes are 

proposed to Options 3, Section 

11(d)(3)(i) related to the Solicited Order 

Mechanism, and Options 3, Section 

11(e)(4)(A) related to the Complex 

Solicited Order Mechanism with respect 

to the contra-side. These amendments 

represent current System functionality 

and similarly ensure that the auction 

order may not trade at or through the 

Priority Customer order on the contra 

side. This is consistent with the 

treatment of Priority Customer in MRX’s 

order book allocation, described in 

Options 3, Section 10, wherein Priority 

Customer interest is executed within 

PIM ahead of any other interest of 

Members.10

The Exchange’s proposal to amend 

new Options 3, Section 11(b)(4)(iv) 

related to the Facilitation Mechanism, 

Options 3, Section 11(c)(7)(E) related to 

the Complex Facilitation Mechanism, 

Options 3, Section 13(d)(7) related to 

the Price Improvement Mechanism for 

Crossing Transactions, and Options 3, 

Section 13(e)(5)(vi) related to the 

Complex Price Improvement 

Mechanism is consistent with the Act 

and the protection of investors and the 

general public by permitting rounding 

to occur as specified in the Exchange’s 

rules. The proposal states how rounding 

interacts with the allocation 

percentages. The Exchange proposed to 

state that it will not permit an allocation 

percentage greater than the stated 

amounts in the auction rules, unless 

rounding is necessary. This proposed 

language represents the current System 

functionality. 

The Exchange’s proposal to amend 

Supplementary Material .04 to Options 

3, Section 11 to replace the word 

‘‘quotes’’ with ‘‘Responses’’ in the Split 

Price description is consistent with the 

Act and the protection of investors and 

the general public because orders and 

Responses in the market that receive the 

benefit of the facilitation price may 

receive executions at Split Prices. This 

change to the rule text is intended to 

utilize the defined term Response which 

pursuant to Options 3, Section 11(b)(3) 

may be priced at the price of the order 

to be facilitated or at a better price and 

will only be considered up to the size 

of the order to be facilitated. 

The Exchange’s proposal to add a new 

Supplementary Material .09 to Options 

3, Section 11 and a new Supplementary 

Material .10 to Options 3, Section 13 to 

provide that if an allocation would 

result in less than one contract, then one 

contract would be allocated is 

consistent with the Act and the 

protection of investors and the general 

public because one contract is the 

minimum unit in which an option may 

trade on MRX. This language represents 

the current System functionality. Phlx 

has similar language.11

The Exchange’s proposal to amend 

Options 3, Section 13(b)(1) through (3) 

to harmonize the language within the 

PIM entry checks with language within 

GEMX’s PIM, ISE’s PIM, Phlx’s PIXL 

and BX’s PRISM, without changing the 

substantive operations of these price 

improvement auctions, is consistent 

with the Act and the protection of 

investors and the general public because 

by utilizing similar language, Members 

will be able to compare MRX’s PIM 

entry checks with similar mechanisms 

on Nasdaq affiliated markets. 

Amending Options 3, Section 13(b)(1) 

to add new subparagraphs (A) and (B) 

to distinguish opposite and same side 

checks and add within the same side 

check a reference to the NBBO check, is 

consistent with the Act and the 

protection of investors and the general 

public because the NBBO check is 

always relevant in the same side check 

to avoid a trade-through. The Exchange 

believes that the addition of the NBBO 

check will add clarity to the rule text 

because the NBBO check is always 

relevant in the same side check to avoid 

a trade-through. The remainder of the 

changes are non-substantive. 

The Exchange’s proposal to bifurcate 

the entry check for Agency Orders of 50 

options contracts or more for the 

account of a Priority Customer from the 

entry checks for the account of a broker 

dealer or any other person or entity that 

is not a Priority Customer into two new 

paragraphs, a (b)(2) and a (b)(3), is 

consistent with the Act and the 

protection of investors and the general 

public because retaining the same rule 

text format across its Nasdaq affiliated 

markets will allow for an easier 

comparison. 

The Exchange’s proposal to add ‘‘for 

the account of a Priority Customer’’ to 

new subparagraph (b)(2) to explicitly 

address the opposite side of the market 

and also note the NBBO entry check on 

the same side of the market is consistent 

with the Act and the protection of 

investors and the general public because 

the new format will provide the 

parameters for each check. Further, the 

NBBO check is always relevant in the 

same side check to avoid a tradethrough. The remainder of the changes 

are non-substantive. Mirroring the same 

language within Options 3, Section 

13(b)(2)(B), except to note that it is for 

the account of a broker dealer or any 

other person or entity that is not a 

Priority Customer will allow Members 

to compare MRX’s PIM entry checks 

with similar mechanisms on Nasdaq 

affiliated markets. 

The Exchange’s proposal to add a new 

Options 3, Section 13(e)(5)(vii) for 

Complex PIM Orders is consistent with 

the Act and the protection of investors 

and the general public because it 

ensures the Complex PIM would not 

execute at a price that trades at or 

through the Complex Order’s limit 

price. Today, the rule text does not 

specify the price at which an Agency 

Complex Order may execute. The 

Exchange notes that there are no Priority 

Customer overlays in Options 3, Section 

14(d)(2) and therefore, the Agency 

Complex Order may be executed at a 

price that is equal to the resting 

Complex Order’s limit price. Phlx has 

substantially similar rule text at Options 

3, Section 13(b)(8). 


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66098 Federal Register / Vol. 88, No. 185 / Tuesday, September 26, 2023 / Notices 

12See BX Options 3, Section 13(ii)(A)(1). 

13See Phlx Options 3, Section 13(b)(1)(D). 14See Phlx Options 3, Section 13(b)(5)(B)(vi). 

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. 

Options 3, Section 7 

Opening Only 

The Exchange’s proposal to amend 

Options 3, Section 7(u), Opening 

Sweeps and Supplementary Material 

.02(e) to Options 3, Section 7 related to 

OPG Orders does not impose an intramarket burden on competition because 

the Market Wide Risk Protection is 

available to all Members in the Opening 

Process. The Exchange’s proposal to 

amend Opening Sweeps and OPG 

Orders does not impose an inter-market 

burden on competition because other 

options exchanges may similarly offer 

such risk protections on their opening 

order types. 

Options 3, Sections 11 and 13 

The Exchange’s proposal to amend 

Options 3, Section 11(b)(4)(A) related to 

the Facilitation Mechanism, Options 3, 

Section 11(d)(3)(i) related to the 

Solicited Order Mechanism, and 

Options 3, Section 11(e)(4)(A) related to 

the Complex Solicited Order 

Mechanism to state that that the order 

must execute at a price that is better 

than the same side BBO if these is a 

Priority Customer on the same side does 

not impose an intra-market burden on 

competition because all auction orders 

in these aforementioned auction 

mechanisms would be handled in a 

uniform manner by the System such 

that those orders would not be 

permitted to trade at or through the 

Priority Customer order on the same 

side. The Exchange’s proposal to amend 

Options 3, Section 11(b)(4)(A) related to 

the Facilitation Mechanism, Options 3, 

Section 11(d)(3)(i) related to the 

Solicited Order Mechanism, and 

Options 3, Section 11(e)(4)(A) related to 

the Complex Solicited Order 

Mechanism to make clear that that the 

order must execute at a price that is 

better than the same side BBO if these 

is a Priority Customer on the same side 

does not impose an inter-market burden 

on competition because other options 

markets similarly have customer overlay 

priorities. 

The Exchange’s proposal to amend 

new Options 3, Section 11(b)(4)(iv) 

related to the Facilitation Mechanism, 

Options 3, Section 11(c)(7)(E) related to 

the Complex Facilitation Mechanism, 

Options 3, Section 13(d)(7) related to 

the Price Improvement Mechanism for 

Crossing Transactions, and Options 3, 

Section 13(e)(5)(vi) related to the 

Complex Price Improvement 

Mechanism does not impose an intramarket burden on competition because 

the Exchange’s rules regarding rounding 

are applied in a uniform manner to all 

Members submitting an order into an 

auction mechanism. The Exchange’s 

proposal to amend new Options 3, 

Section 11(b)(4)(iv) related to the 

Facilitation Mechanism, Options 3, 

Section 11(c)(7)(E) related to the 

Complex Facilitation Mechanism, 

Options 3, Section 13(d)(7) related to 

the Price Improvement Mechanism for 

Crossing Transactions, and Options 3, 

Section 13(e)(5)(vi) related to the 

Complex Price Improvement 

Mechanism does not impose an intermarket burden on competition because 

other options exchanges similarly round 

in excess of allocation percentages such 

as BX.12

The Exchange’s proposal to amend 

Supplementary Material .04 to Options 

3, Section 11 to replace the word 

‘‘quotes’’ with ‘‘Responses’’ in the Split 

Price description does not impose an 

intra-market burden on competition 

because orders and responses in the 

market that receive the benefit of the 

facilitation price may receive executions 

at Split Prices. This clarification to the 

rule text is intended to correct the 

current language. The Exchange’s 

proposal to amend Supplementary 

Material .04 to Options 3, Section 11 to 

replace the word ‘‘quotes’’ with 

‘‘Responses’’ in the Split Price 

description does not impose an intermarket burden on competition because 

this rule text change is specific to 

MRX’s rule language. 

The Exchange’s proposal to add a new 

Supplementary Material .09 to Options 

3, Section 11 and a new Supplementary 

Material .10 to Options 3, Section 13 to 

provide that, today, if an allocation 

would result in less than one contract, 

then one contract will be allocated does 

not impose an intra-market burden on 

competition because the System would 

uniformly allocate contracts with a 

minimum unit of one contract. The 

Exchange’s proposal to add a new 

Supplementary Material .09 to Options 

3, Section 11 and a new Supplementary 

Material .10 to Options 3, Section 13 to 

provide that, today, if an allocation 

would result in less than one contract, 

then one contract will be allocated does 

not impose an inter-market burden on 

competition because other options 

markets similarly specify a minimum 

unit of rounding such as Phlx.13

The Exchange’s proposal to amend 

Options 3, Section 13(b)(1) through (3) 

to harmonize the language within the 

PIM entry checks within GEMX’s PIM, 

ISE’s PIM, Phlx’s PIXL and BX’s PRISM, 

without changing the substantive 

operations of these price improvement 

auctions, distinguishing opposite and 

same side checks, and adding the NBBO 

check reference within the same side 

check do not impose an intra-market 

undue burden on competition because 

harmonizing the language will enable 

Members to compare MRX’s PIM entry 

checks with similar mechanisms on 

Nasdaq affiliated markets. Further, the 

NBBO check is always relevant in the 

same side check to avoid a tradethrough. The Exchange’s proposal to 

amend Options 3, Section 13(b)(1) 

through (3) to harmonize the language 

within the PIM entry checks within 

GEMX’s PIM, ISE’s PIM, Phlx’s PIXL 

and BX’s PRISM, without changing the 

substantive operations of these price 

improvement auctions, distinguishing 

opposite and same side checks, and 

adding the NBBO check reference 

within the same side check do not 

impose an inter-market undue burden 

on competition because other options 

markets have their own price 

improvement auctions and are free to 

denote their entry checks in a similar 

fashion and have both same and 

opposite side entry checks which may 

differ from MRX’s rule. 

The Exchange’s proposal to add a new 

Options 3, Section 13(e)(5)(vii) for 

Complex Orders does not impose an 

intra-market undue burden on 

competition because the Exchange 

would uniformly apply the price check 

for the Agency Complex Orders such 

that the Agency Complex Order may be 

executed at a price that is equal to the 

resting Complex Order’s limit price. The 

Exchange’s proposal to add a new 

Options 3, Section 13(e)(5)(vii) for 

Complex Orders does not impose an 

inter-market undue burden on 

competition because the price check is 

similar to price checks on other options 

markets such as Phlx.14

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 


lotter on DSK11XQN23PROD with NOTICES1
Federal Register / Vol. 88, No. 185 / Tuesday, September 26, 2023 / Notices 66099 

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

16 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. 17 17 CFR 200.30–3(a)(12). 

1Because the compliance date for the VaR-based 

reporting requirements was August 1, 2022, we 

have made adjustments to estimate an annual 

number of VAR-based filings. 

2This estimate is based on the following 

calculations: (3 hours × $425/hour for an in house 

compliance attorney = $1,275), plus (1 hour × $386/ 

hour for a senior programmer = $386), for a 

combined total of 4 hours at total time costs of 

$1,661. The estimates concerning the wage rates for 

attorney and senior accountant time are based on 

salary information for the securities industry 

compiled by the Securities Industry and Financial 

Markets Association. The estimated wage figure is 

based on published rates for in-house compliance 

attorneys and senior programmers, modified to 

account for a 1,800-hour work-year and inflation, 

and multiplied by 5.35 to account for bonuses, firm 

Continued 

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 15 and 

subparagraph (f)(6) of Rule 19b–4 

thereunder.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 (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include file number SR– 

MRX–2023–16 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–2023–16. 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 

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–2023–16 and should be 

submitted on or before October 17, 

2023. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.17

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–20804 Filed 9–25–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[SEC File No. 270–803, OMB Control No. 

3235–0754] 

Proposed Collection; Comment 

Request; Extension: Rule 30b1–10, 

Form N–RN 

Upon Written Request, Copies Available 

From: Securities and Exchange 

Commission, Office of FOIA Services, 

100 F Street NE, Washington, DC 

20549–2736. 

Notice is hereby given that, pursuant 

to the Paperwork Reduction Act of 1995 

(44 U.S.C. 3501 et seq.), the Securities 

and Exchange Commission (the 

‘‘Commission’’) is soliciting comments 

on the collection of information 

summarized below. The Commission 

plans to submit this existing collection 

of information to the Office of 

Management and Budget for extension 

and approval. 

Rule 30b1–10 [17 CFR 270.30b1–10] 

and Form N–RN [17 CFR 274.223] 

require registered open-end 

management investment companies (not 

including entities regulated as money 

market funds under 17 CFR 270.2a–7), 

registered closed-end funds, and 

business development companies 

(collectively, ‘‘funds’’), to file a current 

report on Form N–RN on a non-public 

basis when certain events related to 

their liquidity and events regarding 

funds’ compliance with the VaR-based 

limit on fund leverage risk in 17 CFR 

270.18f–4 (‘‘rule 18f–4’’) occur. The first 

category of information reported on 

Form N–RN concerns events under 

which more than 15% of an open-end 

fund’s net assets are, or become, illiquid 

investments that are assets as defined in 

17 CFR 270.22e–4 (‘‘rule 22e–4’’) and 

when holdings in illiquid investments 

are assets that previously exceeded 15% 

of a fund’s net assets have changed to 

be less than or equal to 15% of the 

fund’s net assets. The second category of 

information reported on Form N–RN 

regards events for certain open-end 

funds under which a fund’s holdings in 

assets that are highly liquid investments 

fall below the fund’s highly liquid 

investment minimum defined in rule 

22e–4 for more than 7 consecutive 

calendar days. The third category of 

information reported on Form N–RN 

regards information about a fund’s 

breaches of the VaR test under rule 18f– 

4. A report on Form N–RN is required 

to be filed, as applicable, within one 

business day of the occurrence of one or 

more of these events. In addition, a fund 

is in certain cases required to file a 

second Form N–RN when it is no longer 

in breach of the applicable limit. 

Based on historical filing data and 

projected estimates of the annual 

number of VAR-based filings, the staff 

estimates that the Commission will 

receive roughly 66 reports per year on 

Form N–RN on average.1 When filing a 

report on Form N–RN, staff estimates 

that a fund will spend on average 

approximately 3 hours of an in-house 

compliance attorney’s time and 1 hour 

of a senior programmer time to prepare, 

review, and submit Form N–RN, at a 

total time cost of $1,661.2 Accordingly, 


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