Federal Register / Vol. 87, No. 46 / Wednesday, March 9, 2022 / Notices 13339 

13 15 U.S.C. 78s(b)(3)(A). 

14 17 CFR 240.19b–4(f)(6). 

15 17 CFR 240.19b–4(f)(6). 

16 17 CFR 240.19b–4(f)(6)(iii). In addition, Rule 

19b–4(f)(6)(iii) 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. 

FINRA has satisfied this requirement. 

17For purposes 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). 

18 17 CFR 200.30–3(a)(12). 

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

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

FINRA does not believe that the 

proposed rule change will result in any 

burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. FINRA 

believes that extending the April 26, 

2022 implementation date to October 

26, 2022, pending further Commission 

action on the Proposed Amendments, 

will help to provide clarity to industry 

participants and to promote stability in 

the Covered Agency Transaction market, 

thereby benefiting all parties. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

Written comments were neither 

solicited nor 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) of the Act 13 and Rule 19b– 

4(f)(6) thereunder.14

A proposed rule change filed under 

Rule 19b–4(f)(6) 15 normally does not 

become operative for 30 days after the 

date of filing. However, pursuant to 

Rule 19b–(f)(6)(iii),16 the Commission 

may designate a shorter time if such 

action is consistent with the protection 

of investors and the public interest. 

FINRA has requested that the 

Commission waive the 30-day operative 

delay so that the proposal may become 

operative upon filing. FINRA has stated 

that the proposed rule change will help 

to provide clarity to industry 

participants and to promote stability in 

the Covered Agency Transaction market 

pending further Commission Action on 

the Proposed Amendments. 

The Commission believes that 

waiving the 30-day operative delay is 

consistent with the protection of 

investors and the public interest 

because the proposal to extend the 

implementation date of the amendments 

to Rule 4210 pursuant to SR–FINRA– 

2015–036 (other than the amendments 

pursuant to SR–FINRA–2015–036 that 

were implemented on December 15, 

2016) does not raise any new or novel 

issues and will reduce any potential 

uncertainty in the Covered Agency 

Transaction market. Therefore, the 

Commission hereby waives the 30-day 

operative delay requirement and 

designates the proposed rule change as 

operative upon filing.17

At any time within 60 days of the 

filing of the proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission 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– 

FINRA–2022–003 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–FINRA–2022–003. 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 such filing 

also will be available for inspection and 

copying at the principal office of 

FINRA. 

All comments received will be posted 

without change. Persons submitting 

comments are cautioned that we do not 

redact or edit personal identifying 

information from comment submissions. 

You should submit only information 

that you wish to make available 

publicly. All submissions should refer 

to File Number SR–FINRA–2022–003 

and should be submitted on or before 

March 30, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.18

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–04920 Filed 3–8–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94353; File No. SR–MIAX– 

2021–58] 

Self-Regulatory Organizations; Miami 

International Securities Exchange, 

LLC; Notice of Filing of Amendment 

Nos. 1 and 2 and Order Granting 

Accelerated Approval of a Proposed 

Rule Change, as Modified by 

Amendment Nos. 1 and 2, To Adopt 

Exchange Rule 532, Order and Quote 

Price Protection Mechanisms and Risk 

Controls 

March 3, 2022. 

I. Introduction 

On November 16, 2021, Miami 

International Securities Exchange, LLC 

(‘‘MIAX Options’’ or the ‘‘Exchange’’) 

filed with the Securities and Exchange 

Commission (the ‘‘Commission’’), 

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

Securities Exchange Act of 1934 (the 


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2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4See Securities Exchange Act Release No. 93676 

(November 29, 2021), 86 FR 68695. 

5 15 U.S.C. 78s(b)(2). 

6See Securities Exchange Act Release No. 93972 

(January 13, 2022), 87 FR 3137 (January 20, 2022). 

The Commission designated March 3, 2022, as the 

date by which the Commission shall approve or 

disapprove, or institute proceedings to determine 

whether to approve or disapprove, the proposed 

rule change. 

7Amendment No. 1 modifies the original filing to 

(1) indicate that, if enabled, the proposed Managed 

Protection Override will apply to all of the risk 

protections listed in proposed Exchange Rule 532; 

(2) revise the Max Put Price Protection for Simple 

Orders to indicate that an offer eQuote greater than 

the maximum trading price limit will be cancelled; 

(3) add clarifying detail to the proposed definition 

of Butterfly Spread and revise the proposed 

Butterfly Spread Variance Price Protection to 

describe the treatment of orders and eQuotes limit 

priced outside the minimum and maximum trading 

price limits in the proposed rule; (4) revise the 

Calendar Spread Variance Price Protection to 

describe the treatment of buy orders and bid 

eQuotes priced less than the minimum trading price 

limit in the proposed rule; (5) revise the Vertical 

Spread Price Protection to describe the treatment of 

orders and eQuotes priced outside the minimum 

and maximum trading price limits in the proposed 

rule; (6) revise the proposed MIAX Strategy Price 

Protection to indicate that complex orders with a 

time-in-force of Day or GTC are eligible for the 

protection; (7) add clarifying detail to the Market 

Maker Single Side Protection; (8) add Interpretation 

and Policy .01 to proposed Exchange Rule 532, 

which states that the System will apply the most 

conservative price protection to an order when an 

order is eligible for multiple price protections; (9) 

make non-substantive grammatical changes to the 

text of the proposed rules; (10) more clearly identify 

rules that the proposal will relocate to new 

proposed Exchange Rule 532 without substantive 

changes; and (11) describe the Exchange’s rationale 

for the pre-set value the Exchange will use in the 

proposed MIAX Strategy Price Protection Variance. 

Amendment No. 1 is available at https://

www.sec.gov/comments/sr-miax-2021-58/ 

srmiax202158.htm. 8Amendment No. 2 revises the proposal to 

describe the application of the proposed MIAX 

Strategy Price Protection applies to complex market 

orders. Amendment No. 2 is available at https://

www.sec.gov/comments/sr-miax-2021-58/ 

srmiax202158.htm. 

9The term ‘‘System’’ means the automated 

trading system used by the Exchange for the trading 

of securities. See Exchange Rule 100. 

10The term ‘‘Book’’ means the electronic book of 

buy and sell orders and quotes maintained by the 

System. See Exchange Rule 100. 

11A ‘‘complex order’’ is any order involving the 

concurrent purchase and/or sale of two or more 

different options in the same underlying security 

(the ‘‘legs’’ or ‘‘components’’ of the complex order), 

for the same account, in a ratio that is equal to or 

greater than one-to-three (.333) and less than or 

equal to three-to-one (3.00) and for the purposes of 

executing a particular investment strategy. Minioptions may only be part of a complex order that 

includes other mini-options. Only those complex 

orders in the classes designated by the Exchange 

and communicated to Members via Regulatory 

Circular with no more than the applicable number 

of legs, as determined by the Exchange on a classby-class basis and communicated to Members via 

Regulatory Circular, are eligible for processing. See 

Exchange Rule 518(a)(5). 

12For a complete description of the trading of 

complex orders on the Exchange, see Exchange Rule 

518. See also, Securities Exchange Act Release No. 

79072 (October 7, 2016), 81 FR 71131 (October 14, 

2016) (SR–MIAX–2016–26). 

13See Securities Exchange Act Release Nos. 

89085 (June 17, 2020), 85 FR 37719 (June 23, 2020) 

(SR–MIAX–2020–16) (Proposal to adopt new 

Complex Attributable Order); 89212 (July 1, 2020), 

85 FR 41075 (July 8, 2020) (SR–MIAX–2020–20) 

(Proposal to adopt new Complex Auction-onArrival-Only ‘‘cAOAO’’ order type). 

14The term ‘‘Member’’ means an individual or 

organization approved to exercise the trading rights 

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

proposed rule change to amend 

Exchange Rules 100 and 518 and to 

adopt new Exchange Rule 532, ‘‘Order 

and Quote Price Protection Mechanisms 

and Risk Controls.’’ The proposed rule 

change was published for comment in 

the Federal Register on December 3, 

2021.4 The Commission received no 

comment letters regarding the proposal. 

On January 13, 2022, pursuant to 

Section 19(b)(2) of the Act,5 the 

Commission designated a longer period 

within which to approve the proposed 

rule change, disapprove the proposed 

rule change, or institute proceedings to 

determine whether to approve or 

disapprove the proposed rule change.6

On February 22, 2022, the Exchange 

filed Amendment No. 1 to the proposal, 

which amends and replaces the original 

filing in its entirety.7 On March 2, 2022, 

the Exchange filed Amendment No. 2 to 

the proposal.8 The Commission is 

publishing this notice to solicit 

comment on Amendment Nos. 1 and 2 

to the proposed rule change from 

interested persons and is approving the 

proposed rule change, as modified by 

Amendment Nos. 1 and 2, on an 

accelerated basis. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

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

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to adopt new 

Exchange Rule 532, Order and Quote 

Price Protection Mechanisms and Risk 

Controls. The Exchange proposes to 

adopt a new Managed Protection 

Override feature, a new Max Put Price 

Protection feature, and a new MIAX 

Strategy Price Protection (‘‘MSPP’’) in 

new proposed Rule 532. 

The Exchange proposes to relocate 

and amend paragraph (a), Vertical 

Spread Variance (‘‘VSV’’) Price 

Protection; paragraph (b), Calendar 

Spread Variance (‘‘CSV’’) Price 

Protection; and paragraph (c) VSV and 

CSV Price Protection, from 

Interpretations and Policies .05 of 

Exchange Rule 518 to new proposed 

Rule 532 as described below. 

Additionally, the Exchange proposes to 

adopt a new Butterfly Spread Variance 

(‘‘BSV’’) Price Protection to proposed 

section (b)(2) of new proposed Rule 532. 

The Exchange proposes to relocate 

paragraph (d), Implied Away Best Bid or 

Offer (‘‘ixABBO’’) Price Protection; and 

paragraph (f), Complex MIAX Options 

Price Collar Protection; from 

Interpretations and Policies .05 of 

Exchange Rule 518 to new proposed 

Rule 532 in their entirety and without 

modification as section (b)(6), Complex 

MIAX Options Price Collar Protection; 

and section (b)(7), Implied Away Best 

Bid or Offer (‘‘ixABBO’’) Price 

Protection. The Exchange also proposes 

to relocate paragraph (g), Market Maker 

Single Side Protection, from 

Interpretations and Policies .05 of 

Exchange Rule 518 to new proposed 

Rule 532 as section (b)(8), Market Maker 

Single Side Protection. The Exchange 

also proposes to make a minor nonsubstantive edit to the rule text of 

Market Maker Single Side Protection. 

The Exchange proposes to adopt new 

Interpretations and Policies .01, to new 

proposed Rule 532 to state that, when 

an order is eligible for multiple price 

protections the System 9 will apply the 

most conservative. 

The Exchange proposes to amend 

Exchange Rule 100, Definitions to insert 

a clarifying term to the definition of 

‘‘Book.’’ 10

The Exchange proposes to relabel 

paragraph (e) of Interpretations and 

Policies .05 of Exchange Rule 518 to 

paragraph (a), and to make a number of 

non-substantive changes to update 

internal cross references throughout 

Exchange Rule 518 that have changed as 

a result of the proposed changes 

contained herein. 

Background 

The Exchange began trading complex 

orders 11 in October, 2016.12 As part of 

its effort to continue to build out its 

complex order market segment the 

Exchange has continued to add order 

types 13 and functionality. To encourage 

Members 14 to send complex orders to 


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associated with a Trading Permit. Members are 

deemed ‘‘members’’ under the Exchange Act. See 

Exchange Rule 100. 

15See Interpretations and Policies .05(c) of 

Exchange Rule 518. 

16The ‘‘Strategy Book’’ is the Exchange’s 

electronic book of complex orders and complex 

quotes. See Exchange Rule 518(a)(17). 

17See Interpretations and Policies .01(g) of 

Exchange Rule 518. 

18The term ‘‘put’’ means an option contract under 

which the holder of the option has the right, in 

accordance to the terms and provisions of the 

option, to sell to the Clearing Corporation the 

number of units of the underlying security covered 

by the option contract. See Exchange Rule 100. 19The Exchange notes that the Cboe Exchange 

offers a similar Buy Order Put Protection which 

provides that if a User enters a buy limit order for 

a put with, or if a buy market order (or unexecuted 

portion) for a put would execute at, a price higher 

than or equal to the strike price of the option, the 

System cancels or rejects the order (or unexecuted 

portion) or quote. This check does not apply to 

adjusted series or bulk messages. See Cboe 

Exchange Rule 5.34(a)(3). 

20The proposed pre-set value for the Put Price 

Variance will be $0.10 to align to other similar price 

protections on the Exchange and will apply to all 

classes. The Exchange believes this value provides 

an adequate price range for executions while 

offering price protection against potentially 

erroneous executions. See MIAX Regulatory 

Circular 2016–47, MIAX Complex Order Price 

Protection Pre-set Values (October 20, 2016) 

available at https://www.miaxoptions.com/sites/ 

default/files/circular-files/MIAX_RC_2016_47.pdf, 

which establishes a $0.10 pre-set value for Vertical 

Spreads and Calendar Spreads. 

21The Exchange offers two different types of 

quotes for use in its simple market: A Standard 

quote, which is submitted by a Market Maker that 

cancels and replaces the Market Maker’s previous 

Standard quote, if any; and an eQuote which is a 

quote with a specific time in force that does not 

automatically cancel and replace a previous 

Standard quote or eQuote. An eQuote can be 

cancelled by the Market Maker at any time, or can 

be replaced by another eQuote that contains 

specific instructions to cancel an existing eQuote. 

See Exchange Rule 517(a)(1) and (2). 

22Currently, eQuotes offered on the Exchange do 

not have a time in force setting that would allow 

them to be managed. See Exchange Rule 517(a)(2). 

23The term ‘‘MBBO’’ means the best bid or offer 

on the Simple Order Book on the Exchange. See 

Exchange Rule 518(a)(13). The ‘‘Simple Order 

Book’’ is the Exchange’s regular electronic book of 

orders and quotes. See Exchange Rule 518(a)(15). 

the Exchange the Exchange has 

implemented numerous risk protections 

specifically tailored to complex orders. 

The Exchange is now proposing to 

modify Exchange Rule 518, Complex 

Orders, to relocate and consolidate 

certain risk protection functionality in 

new proposed Exchange Rule 532, 

Order and Quote Price Protection 

Mechanisms and Risk Controls, and to 

adopt additional risk protection 

functionality as described below. 

Proposal 

Managed Protection Override 

The Exchange proposes to adopt a 

new Managed Protection Override 

feature which will work in conjunction 

with certain risk protections on the 

Exchange. If a Member enables the 

Managed Protection Override then all 

risk protections connected to the 

Managed Protection Override feature are 

engaged. When a risk protection 

connected to the Managed Protection 

Override feature is triggered, and the 

Managed Protection Override feature 

has been enabled, the order subject to 

the risk protection will be cancelled. 

The Managed Protection Override will 

be available for the following risk 

protections: Vertical Spread Variance 

(‘‘VSV’’) Price Protection, Calendar 

Spread Variance (‘‘CSV’’) Price 

Protection, new proposed Butterfly 

Spread Variance (‘‘BSV’’) Price 

Protection, Parity Price Protection, and 

new proposed Max Put Price Protection. 

Currently, when the Vertical Spread 

Variance (‘‘VSV’’) Price Protection and 

the Calendar Spread Variance (‘‘CSV’’) 

Price Protection are triggered the default 

behavior is to manage the order in 

accordance to Exchange Rule 

518(c)(4).15 Additionally, when the 

Parity Price Protection is triggered the 

default behavior is to place the order on 

the Strategy Book 16 at its parity 

protected price.17 The Exchange 

believes that offering Members the 

option to have their orders either 

managed by the Exchange or cancelled 

gives Members greater flexibility and 

control over their orders while retaining 

risk protection functionality. 

Max Put Price Protection (‘‘MPPP’’) 

The Exchange proposes to adopt a 

new price protection for put options 18

by establishing a maximum price at 

which a put option may trade.19 To 

determine the maximum price the 

Exchange will add a pre-set value, the 

Put Price Variance,20 to the strike price 

of the put option. The pre-set value will 

be determined by the Exchange and 

communicated to Members via 

Regulatory Circular. Buy orders that are 

priced through the maximum trading 

price limit will trade up to, and 

including, the maximum trading price 

limit, and will then be placed on the 

Book and managed to the appropriate 

trading price limit as described in Rule 

515(c)(1)(ii), or cancelled if the Managed 

Protection Override (‘‘MPO’’) is enabled. 

Sell orders that are priced higher than 

the maximum trading price limit will be 

rejected. 

A bid quote through the maximum 

trading price limit will trade up to, and 

including, the maximum trading price 

limit, then will be placed on the Book 

and managed to the appropriate trading 

price limit as described in Rule 

515(c)(1)(ii), or in the case of a bid 

eQuote,21 will be cancelled.22 An offer 

quote greater than the maximum trading 

price limit is not rejected and will be 

placed on the Book and displayed. An 

offer eQuote greater than the maximum 

trading price limit will be cancelled. 

Example Max Put Price Protection for a 

Buy Market Order 

An order to Buy 10 XYZ Jan 5 Put @

Market is received. 

The current market is: 

MBBO 23 0.50 (10) × 5.50 (10) 

The price protection is: 

Put Price Variance (PPV) = $0.10 

Max Put Price Protection = (Strike + 

PPV) = $5.10 

The Max Put Price Protection 

establishes the maximum trading price 

limit at which an order can trade. 

Because the Buy Order is priced through 

the Max Put Price Protection of $5.10, 

the order is subject to management 

pursuant to 515(c)(1)(ii) and is posted to 

the order book at $5.10. 

MBBO 5.10 (10) × 5.50 (10) 

Example Max Put Price Protection for a 

Sell Limit Order 

An Order to Sell 10 XYZ Jan 5 Put @

$5.25 is received. 

The current market is: 

MBBO 0.50 (10) × 5.50 (10) 

The price protection is: 

Put Price Variance (PPV) = $0.10 

Put Option = XYZ Jan 5 Put 

Max Put Price Protection = (Strike + 

PPV) = $5.10 

Because the Sell Order is priced 

higher than the Max Put Price 

Protection of $5.10, the order is rejected. 

Example Max Put Price Protection for a 

Buy Quote 

A Quote to Buy 10 XYZ Jan 5 Put @

$5.50 is received. 

The current market is: 

MBBO 0.50 (10) × 5.50 (10) 

The price protection is: 

Put Price Variance (PPV) = $0.10 

Put Option = XYZ Jan 5 Put 

Max Put Price Protection = (Strike + 

PPV) = $5.10 

Because the Buy Quote is priced 

through the Max Put Price Protection of 

$5.10, the quote is posted to the order 

book and managed at $5.10. 

MBBO 5.10 (10) × 5.50 (10) 

Example Max Put Price Protection for a 

Sell Quote 

A Quote to Sell 10 XYZ Jan 5 Put @

$5.25 is received. 

The current market is: 


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24The term ‘‘Electronic Exchange Member’’ or 

‘‘EEM’’ means the holder of a Trading Permit who 

is not a Market Maker. Electronic Exchange 

Members are deemed ‘‘members’’ under the 

Exchange Act. See Exchange Rule 100. 

25The term ‘‘Market Makers’’ refers to ‘‘Lead 

Market Makers’’, ‘‘Primary Lead Market Makers’’ 

and ‘‘Registered Market Makers’’ collectively. See 

Exchange Rule 100. 

26A Primary Lead Market Maker must provide 

continuous two-sided Standard quotes and/or Day 

eQuotes, which for the purpose of paragraph (e) of 

Rule 604 which shall mean 90% of the time, for the 

options classes to which it is appointed. See 

Exchange Rule 604(e)(1)(i); A Lead Market Maker 

must provide continuous two-sided Standard 

quotes and/or Day eQuotes, which for the purpose 

of paragraph (e) of Rule 604 which shall mean 90% 

of the time, for the option classes to which it is 

appointed. See Exchange Rule 604(e)(2)(i); A 

Registered Market Maker must provide continuous 

two-sided Standard quotes and/or Day eQuotes 

throughout the trading day in 60% of the nonadjusted series that have a time to expiration of less 

than nine months in each of its appointed classes. 

For the purpose of paragraph (e) of Rule 604 which, 

continuous two-sided quoting shall mean 90% of 

the time, for the options classes to which the 

Registered Market Maker is appointed. See 

Exchange Rule 604(e)(3)(i). 

27The term ‘‘call’’ means an option contract 

under which the holder of the option has the right, 

in accordance with the terms of the option, to 

purchase from the Clearing Corporation the number 

of units of the underlying security covered by the 

option contract. See Exchange Rule 100. 28The Exchange notes that its proposed definition 

of a Butterfly Spread is substantially similar to the 

definition of a Butterfly Spread used by at least one 

other options exchange. See Cboe Exchange Rule 

5.34(b)(1)(B). 

29The Exchange proposes to use a pre-set value 

of $0.10 for Butterfly Spreads which will apply to 

all classes to align to the pre-set value which is used 

on the Exchange for Calendar Spreads and Vertical 

Spreads. See supra note 24. 

MBBO 0.50 (10) × 5.50 (10) 

The price protection is: 

Put Price Variance (PPV) = $0.10 

Put Option = XYZ Jan 5 Put 

Max Put Price Protection = (Strike + 

PPV) = $5.10 

Although the Sell Quote is priced 

higher than the Max Put Price 

Protection of $5.10, sell Quotes priced 

higher than the Max Put Price 

Protection are not rejected and therefore 

it is posted to the order book at $5.25. 

MBBO 5.10 (10) × 5.25 (10) 

The Exchange treats orders and quotes 

differently on the Exchange as orders 

may only be submitted by Electronic 

Exchange Members (‘‘EEMs’’) 24 and 

quotes may only be submitted by Market 

Makers 25 on the Exchange. Market 

Makers have heightened obligations on 

the Exchange including the requirement 

to provide continuous two sided quotes 

under Exchange Rule 604(e),26 and as 

such the Exchange minimizes the times 

it will cancel Market Maker quotes. 

The Exchange believes that offering 

Members the option to have orders 

either managed by the Exchange or 

cancelled when a risk protection is 

triggered gives Members greater 

flexibility and control over their orders 

while retaining the risk protection 

functionality. If the Managed Protection 

Override is enabled the Exchange will 

return the unexecuted order to the 

Member for further analysis and 

evaluation. If the Managed Protection 

Override is not enabled the Exchange 

will manage the unexecuted order on 

behalf of the Member. 

Definitions 

The Exchange proposes to include a 

‘‘Definitions’’ section as paragraph (b)(1) 

in Rule 532. For the purposes of 

proposed paragraph (b) the Exchange 

will adopt the following definition of a 

Butterfly Spread in section (b)(1)(i): A 

‘‘Butterfly Spread’’ is a three legged 

Complex Order with two legs to buy 

(sell) the same number of calls 27 (puts) 

and one leg to sell (buy) twice the 

number of calls (puts), all legs have the 

same expiration date but different 

exercise prices, and the exercise price of 

the middle leg is between the exercise 

prices of the other legs. The strike price 

of each leg is equidistant from the next 

sequential strike price.28

The Exchange also proposes to 

relocate the definition of Calendar 

Spread and Vertical Spread from 

Interpretations and Policies .05(b) and 

.05(a) of Exchange Rule 518 

respectively, to proposed section 

(b)(1)(ii) and (iii) of proposed Rule 532 

respectively. The definition of a 

Calendar Spread is a complex strategy 

consisting of one call (put) option and 

the sale of another call (put) option 

overlaying the same security that have 

different expirations but the same strike 

price. The definition of a Vertical 

Spread is a complex strategy consisting 

of the purchase of one call (put) option 

and the sale of another call (put) option 

overlying the same security that have 

the same expiration but different strike 

prices. The Exchange notes its 

definition of a Calendar Spread and a 

Vertical Spread is not changing under 

this proposal. 

Butterfly Spread Price Variance (‘‘BSV’’) 

Price Protection 

The Exchange proposes to adopt a 

new price protection for Butterfly 

Spreads as section (b)(2) of new 

proposed Rule 532. A butterfly spread is 

comprised of three legs which have the 

same expiration date, and are of the 

same type, either calls or puts, and are 

at equal strike intervals. The upper and 

lower strikes are each a buy (sell) and 

the middle strike is a sell (buy). The 

ratio of a butterfly spread will always be 

+1 ¥2 +1 or ¥1 +2 ¥1. 

Butterfly Spread Example 

Buy 1 XYZ April 50 Call 

Sell 2 XYZ April 55 Calls 

Buy 1 FYX April 60 Call 

The Exchange will determine a 

Butterfly Spread Variance which 

establishes minimum and maximum 

trading price limits for Butterfly 

Spreads. The minimum value of a 

Butterfly Spread is zero and the 

maximum value is capped at the 

absolute value of the difference between 

the closest strikes (the upper strike price 

minus the middle strike price or the 

middle strike price minus the lower 

strike price). To establish the maximum 

and minimum trading price limits, a 

configurable pre-set value is added to 

the maximum value of the Butterfly 

Spread and subtracted from the 

minimum value of the Butterfly Spread. 

The pre-set value will be determined by 

the Exchange and communicated to 

Members via Regulatory Circular.29 The 

minimum and maximum trading price 

limits are used together to create an 

allowable trading range for the Butterfly 

Spread. 

If the execution price of a complex 

order would be outside of the minimum 

and maximum trading price limits (bid 

higher than the maximum trading price 

limit or offer lower than the minimum 

trading price limit), such complex order 

will trade up to, and including the 

maximum trading price limit for bids or 

down to, and including, the minimum 

trading price limit for offers. Remaining 

interest will then be placed on the 

Strategy Book and managed to the 

appropriate trading price limit as 

described in Rule 518(c)(4), or cancelled 

if the Managed Protection Override is 

enabled. 

By establishing minimum and 

maximum trading price limits the 

Exchange can then evaluate the 

reasonableness of the prices of orders 

and eQuotes against these limits. The 

Exchange will reject an order, or cancel 

an eQuote, if the price is determined to 

be unreasonable relative to the 

minimum or maximum trading price 

limit. Buy orders with a limit price less 

than the minimum trading price limit 

will be rejected. Bid eQuotes with a 

limit price less than the minimum 

trading price limit will be cancelled. 

Sell orders with a limit price greater 

than the maximum trading price limit 

will be rejected. Offer eQuotes with a 

limit price greater than the maximum 

trading price limit will be cancelled. 


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30The Exchange notes that proposed 

subparagraph (i) is identical to current paragraph 

(1) of Interpretations and Policies .05(b) of 

Exchange Rule 518. 

31The Exchange notes that proposed 

subparagraph (i) is identical to current paragraph 

(1) of Interpretations and Policies .05(a) of Exchange 

Rule 518. 

Example 

Butterfly Spread: Buy 1 April 50 Call, 

Sell 2 April 55 Calls, Buy 1 April 60 

Call. 

April 50 Call MBBO: $11.00 × $16.00 

April 55 Call MBBO: $6.00 × $11.00 

April 60 Call MBBO: $1.00 × $6.00 

The maximum spread value is the 

absolute value of the difference between 

the closest strikes or $5.00 

(60.00¥55.00 or 55.00¥50.00). The 

minimum spread value is zero. If the 

pre-set value is $0.10 the maximum 

allowable price limit is then $5.10 and 

the minimum allowable price limit is 

then ¥$0.10. A strategy order to buy at 

$5.15 will be managed on the Strategy 

Book at $5.10. 

Calendar Spread Variance (‘‘CSV’’) Price 

Protection 

The Exchange proposes to (i) relocate 

the Calendar Spread Variance (‘‘CSV’’) 

Price Protection from Rule 518; (ii) 

restructure the rule text for internal 

consistency with other similar price 

protections in the Exchange’s rules (BSV 

and VSV); (iii) make clarifying changes 

to the rule text; and (iv) amend the rule 

text to enable the operation of the 

Managed Protection Override. 

Currently, paragraph (b) of 

Interpretation and Policy .05 of Rule 

518, Calendar Spread Variance (‘‘CSV’’) 

Price Protection, provides that, a 

‘‘Calendar Spread’’ is a complex strategy 

consisting of the purchase of one call 

(put) option and the sale of another call 

(put) option overlying the same security 

that have different expirations but the 

same strike price. The CSV establishes 

a minimum trading price limit for 

Calendar Spreads. Current subparagraph 

(1) provides that, the maximum possible 

value of a Calendar Spread is unlimited, 

thus there is no maximum price 

protection for Calendar Spreads. The 

minimum possible trading price limit of 

a Calendar Spread is zero minus a preset value. Current subparagraph (2) 

provides that, the pre-set value will be 

uniform for all option classes traded on 

the Exchange as determined by the 

Exchange and communicated to 

Members via Regulatory Circular. 

Current subparagraph (3) provides that, 

CSV Price Protection applies only to 

strategies in American-style option 

classes. Current paragraph (c) of 

Interpretation and Policy .05 of Rule 518 

provides that, if the execution price of 

a complex order would be outside of the 

limits set forth in subparagraphs (a)(1) 

and (b)(1) of this Interpretations and 

Policies .05, such complex order will be 

placed on the Strategy Book and will be 

managed to the appropriate trading 

price limit as described in subparagraph 

(c)(4) of Rule 518. Orders to buy below 

the minimum trading price limit and 

orders to sell above the maximum 

trading price limit (in the case of 

Vertical Spreads) will be rejected by the 

System. 

The Exchange now proposes to 

relocate Calendar Spread Variance 

(‘‘CSV’’) Price Protection from 

Interpretations and Policies .05(b) of 

Rule 518 to paragraph (b)(3) of new 

proposed Rule 532 and to restructure 

the rule text for internal consistency 

with other similar price protections in 

the Exchange’s rules. Specifically, the 

Exchange proposes to relocate current 

paragraph (1) of the rule to new 

proposed subparagraph (i) 30 of the rule, 

without change. The Exchange proposes 

to adopt new subparagraph (ii) to new 

proposed Rule 532(b)(3) to clarify the 

operation of the price protection. New 

subparagraph (ii) will state that, if the 

execution price of a complex order 

would be outside of the limit set forth 

in subparagraph (i) of this rule (offers 

lower than the minimum trading price 

limit), such complex order will trade 

down to, and including, the minimum 

trading price limit. Remaining interest 

will then be placed on the Strategy Book 

and managed to the appropriate trading 

price limit as described in Rule 

518(c)(4), or cancelled if the Managed 

Protection Override is enabled. Further, 

the Exchange proposes to adopt new 

subparagraph (iii) which will provide 

that, buy orders with a limit price less 

than the minimum trading price limit 

will be rejected. Bid eQuotes with a 

limit price less than the minimum 

trading price limit will be cancelled. 

The Exchange proposes to relocate 

current paragraph (3) of Interpretations 

and Policies .05(b) of Rule 518 to new 

subparagraph (iv) and current paragraph 

(2) of Interpretations and Policies .05(b) 

of Rule 518 to new subparagraph (v) of 

proposed Rule 532(b)(3), in their 

entirety and without modification. 

Vertical Spread Variance (‘‘VSV’’) Price 

Protection 

The Exchange proposes to (i) relocate 

Vertical Spread Variance (‘‘VSV’’) Price 

Protection from Rule 518; (ii) restructure 

the rule text for internal consistency 

with other similar price protections in 

the Exchange’s rules (BSV and CSV); 

(iii) make clarifying changes to the rule 

text; and (iv) amend the rule text to 

enable the operation of the Managed 

Protection Override. 

Currently, paragraph (a) of 

Interpretation and Policy .05 of Rule 

518, Vertical Spread Variance (‘‘VSV’’) 

Price Protection, provides that, a 

‘‘Vertical Spread’’ is a complex strategy 

consisting of the purchase of one call 

(put) option and the sale of another call 

(put) option overlying the same security 

that have the same expiration but 

different strike prices. The VSV 

establishes minimum and maximum 

trading price limits for Vertical Spreads. 

Current subparagraph (1) provides, the 

maximum possible trading price limit of 

the VSV is the difference between the 

two component strike prices plus a preset value. For example, a Vertical 

Spread consisting of the purchase of one 

January 30 call and the sale of one 

January 35 call would have a maximum 

trading price limit of $5.00 plus a preset value. The minimum possible 

trading price limit of a Vertical Spread 

is always zero minus a pre-set value. 

Current subparagraph (2) provides that, 

the pre-set value will be uniform for all 

option classes traded on the Exchange 

as determined by the Exchange and 

communicated to Members via 

Regulatory Circular. 

The Exchange now proposes to 

relocate paragraph (a), Vertical Spread 

Variance (‘‘VSV’’) Price Protection, from 

Interpretations and Policies .05(a) of 

Rule 518 to paragraph (b)(4) of new 

proposed Rule 532. The Exchange 

proposes to bifurcate the current rule 

text of paragraph (a) by adding the 

definition of a Vertical Spread to the 

Definitions section of proposed Rule 

532, and retaining the rule text that 

states, the VSV establishes minimum 

and maximum trading price limits for 

Vertical Spreads. 

The Exchange proposes to adopt new 

subparagraph (i) 31 to new proposed 

Rule 532(b)(4) which will state that, the 

maximum possible trading price limit of 

the VSV is the difference between the 

two component strike prices plus a preset value. For example, a Vertical 

Spread consisting of the purchase of one 

January 30 call and the sale of one 

January 35 call would have a maximum 

trading price limit of $5.00 plus a preset value. The minimum possible 

trading price limit of a Vertical Spread 

is always zero minus a pre-set value. 

The Exchange proposes to adopt new 

subparagraph (ii) to state that, if the 

execution price of a complex order 

would be outside of the limits set forth 

in subparagraph (i) of this rule (bid 

higher than the maximum trading price 

limit or offer lower than the minimum 

trading price limit), such complex order 


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13344 Federal Register / Vol. 87, No. 46 / Wednesday, March 9, 2022 / Notices 

32The cNBBO is calculated using the NBBO for 

each component of a complex strategy to establish 

the best net bid and offer for a complex strategy. 

For stock-option orders, the cNBBO for a complex 

strategy will be calculated using the NBBO in the 

individual option component(s) and the NBBO in 

the stock component. See Exchange Rule 518(a)(2). 

33The dcMBBO is calculated using the best 

displayed price for each component of a complex 

strategy from the Simple Order Book. For stockoption orders, the dcMBBO for a complex strategy 

will be calculated using the Exchange’s best 

displayed bid or offer in the individual option 

component(s) and the NBBO in the stock 

component. See Exchange Rule 518(a)(8). 

34A complex strategy is not evaluated until all 

the components of the complex strategy are open 

on the Simple Order Book. Therefore, a dcMBBO 

will always be available as the System prevents the 

Simple Order Book from displaying a locked or 

crossed market. See Exchange Rule 518(c)(2)(i). 

35The Exchange proposes to use a pre-set value 

of $2.50 for the MIAX Strategy Price Protection 

Variance (‘‘MSPPV’’). The Exchange believes this 

value provides an adequate price range for 

executions while offering price protection against 

potentially erroneous executions and aligns to other 

price protections on the Exchange. See Exchange 

Rule 518 Interpretations and Policies .06. 

36A market order is an order to buy or sell a 

stated number of option contracts at the best price 

available at the time of execution. See Exchange 

Rule 516(a). 

37A Day Limit Order is an order to buy or sell 

which, if not executed, expires at the end of trading 

in the security on the day on which it was entered. 

See Exchange Rule 516(k). 

38A Good ‘til Cancelled or ‘‘GTC’’ Order is an 

order to buy or sell which remains in effect until 

it is either executed, cancelled or the underlying 

option expires. See Exchange Rule 516(l). 

39See Securities Exchange Act Release No. 85155 

(February 15, 2019), 84 FR 5739 (February 22, 2019) 

(SR–MIAX–2018–36). 

40The Exchange notes that there are no changes 

to the Complex MIAX Price Collar functionality 

under this proposal. 

41See Exchange Rule 518.05(f). 

42See Exchange Rule 518.05(f)(3). 

43See Exchange Rule 518.05(f)(5). 

44See Exchange Rule 518(e). 

45 Id. 

will trade up to, and including, the 

maximum trading price limit for bids or 

down to, and including, the minimum 

trading price limit for offers. Remaining 

interest will then be placed on the 

Strategy Book and managed to the 

appropriate trading price limit as 

described in Rule 518(c)(4), or cancelled 

if the Managed Protection Override is 

enabled. Further, the Exchange proposes 

to adopt new subparagraph (iii) which 

will provide that, buy orders with a 

limit price less than the minimum 

trading price limit will be rejected. Bid 

eQuotes with a limit price less than the 

minimum trading price limit will be 

cancelled. Sell orders with a limit price 

greater than the maximum trading price 

limit will be rejected. Offer eQuotes 

with a limit price greater than the 

maximum trading price limit will be 

cancelled. 

The Exchange proposes to relocate 

current subparagraph (2) of 

Interpretations and Policies .03(a) of 

Rule 518 to new subparagraph (iv) of 

proposed Rule 532(b)(4), in its entirety 

and without modification. 

MIAX Strategy Price Protection 

(‘‘MSPP’’) 

The Exchange now proposes to 

introduce a MIAX Strategy Price 

Protection (‘‘MSPP’’) which will 

establish a maximum protected price for 

buy orders and a minimum protected 

price for sell orders. To determine the 

maximum price for a buy order the 

Exchange will add a pre-set value, the 

MIAX Strategy Price Protection 

Variance (‘‘MSPPV’’), to the offer side 

value of the cNBBO 32 (or the offer side 

of the dcMBBO 33 if the cNBBO is 

crossed).34 To determine the minimum 

protected price for sell orders the 

Exchange will subtract the MSPPV 

value from the bid side value of the 

cNBBO, (or the bid side of the dcMBBO 

if the cNBBO is crossed). The MSPPV 

value will be determined by the 

Exchange and communicated to 

Members via Regulatory Circular.35 For 

market orders 36 the functional limit will 

be the MSPP. Complex orders with a 

time in force of Day 37 or GTC38 are 

eligible for the MIAX Strategy Price 

Protection. The MIAX Strategy Price 

Protection is an additional price 

protection feature provided to all 

Members of the Exchange. 

If the MSPP is priced less aggressively 

than the limit price of a complex order 

(i.e., the MSPP is less than the complex 

order’s bid price for a buy order, or the 

MSPP is greater than the complex 

order’s offer price for a sell order), or if 

the order is a complex market order, the 

order will be (i) executed up to, and 

including, its MSPP for buy orders; or 

(ii) executed down to, and including, its 

MSPP for sell orders. Any unexecuted 

portion of such a complex order will be 

cancelled. 

If the MSPP is priced equal to, or 

more aggressively than, the limit price 

of a complex order (i.e., the MSPP is 

greater than the complex order’s bid 

price for a buy order, of the MSPP is less 

than the complex order’s offer price for 

a sell order) the order will be (i) 

displayed and/or executed up to, and 

including, its limit price for buy orders; 

or (ii) displayed and/or executed down 

to, and including, its limit price for sell 

orders. Any unexecuted portion of such 

a complex order: (A) Will be subject to 

the cLEP as described in subsection (e) 

of Exchange Rule 518; (B) may be 

submitted, if eligible, to the managed 

interest process described in Exchange 

Rule 518(c)(4); or (C) may be placed on 

the Strategy Book at its limit price. 

The MSPP is designed to work in 

conjunction with other features on the 

Exchange such as the Complex 

Liquidity Exposure (‘‘cLEP’’) Process. 

The Exchange introduced the Complex 

Liquidity Exposure Process (cLEP) in 

2018.39 The cLEP process was designed 

for complex orders and complex 

eQuotes that violate their Complex 

MIAX Price Collar (‘‘MPC) price.40 The 

MPC price protection feature is an 

Exchange-wide mechanism under 

which a complex order or complex 

eQuote to sell will not be displayed or 

executed at a price that is lower than the 

opposite side cNBBO bid at the time the 

MPC is assigned by the System (i.e., 

upon receipt or upon opening) by more 

than a specific dollar amount expressed 

in $0.01 increments (the ‘‘MPC 

Setting’’), and under which a complex 

order or eQuote to buy will not be 

displayed or executed at a price that is 

higher than the opposite side cNBBO 

offer at the time the MPC is assigned by 

the System by more than the MPC 

Setting (each the ‘‘MPC Price’’).41 The 

MPC Price is established (i) upon 

receipt of the complex order or eQuote 

during free trading, or (ii) if the complex 

order or eQuote is not received during 

free trading, at the opening (or 

reopening following a halt) of trading in 

the complex strategy; or (iii) upon 

evaluation of the Strategy Book by the 

System when a wide market condition, 

as described in Interpretations and 

Policies .05(e)(1) of this Rule, no longer 

exists.42 Once established the MPC Price 

will not change during the life of the 

complex order or eQuote. If the MPC 

Price is priced less aggressively than the 

limit price of the complex order or 

eQuote (i.e., the MPC Price is less than 

the complex order or eQuote’s bid price 

for a buy, or the MPC Price is greater 

than the complex order or eQuote’s offer 

price for a sell), or if the complex order 

is a market order, the complex order or 

eQuote will be displayed and/or 

executed up to its MPC Price.43

A complex order or complex eQuote 

that would violate its MPC Price begins 

a cLEP Auction.44 The System will post 

the complex order or eQuote to the 

Strategy Book at its MPC Price and 

begin the cLEP Auction by broadcasting 

a liquidity exposure message to all 

subscribers of the Exchange’s data 

feeds.45 Remaining liquidity with an 

original limit price that is (i) less 

aggressive (lower for a buy order or 

eQuote, or higher for a sell order or 

eQuote) than or equal to the MPC Price 

will be handled in accordance with 

subsection (c)(2)(ii)–(v) of Rule 518, or 

(ii) more aggressive than the MPC Price 


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46 Id. 

47The term ‘‘NBBO’’ means the national best bid 

or offer as calculated by the Exchange based on 

market information received by the Exchange from 

the appropriate Securities Information Processor 

(‘‘SIP’’). See Exchange Rule 518(a)(14). 

48The cMBBO is calculated using the MBBO for 

each component of a complex strategy to establish 

the best net bid and offer for a complex strategy on 

the Exchange. 49See proposed Rule 532(b)(5)(v). 

will be subject to the Reevaluation 

Process.46

The Reevaluation process occurs at 

the conclusion of a cLEP Auction where 

the System will calculate the next 

potential MPC Price for remaining 

liquidity with an original limit price 

more aggressive than the existing MPC 

Price. The next MPC Price will be 

calculated as the MPC Price plus 

(minus) the next MPC increment for buy 

(sell) orders (the ‘‘New MPC Price’’). 

Liquidity with an original limit price 

equal to or less aggressive than the New 

MPC Price is no longer subject to the 

MPC price protection. Liquidity with an 

original limit price more aggressive than 

the New MPC Price (or market order 

liquidity) is subject to the MPC price 

protection feature using the New MPC 

Price. In certain scenarios this could 

lead to a cycle of cLEP Auctions and 

ever increasing MPC price protection 

prices. 

The operation of the MIAX Strategy 

Price Protection feature during a cLEP 

Auction can be seen in the following 

example. 

Example 

MPC: 0.25 

The Exchange has one order (Order 1) 

resting on its Strategy Book: +1 

component A, ¥1 component B: 

The current market is: 

MBBO component A: 4.00(10) × 6.00(10) 

MBBO component B: 1.00(10) × 2.50(10) 

NBBO 47 component A: 4.05(10) × 

4.15(10) 

NBBO component B: 2.30(10) × 2.40(10) 

cMBBO: 48 1.50 (10) × 5.00 (10) 

cNBBO: 1.65 (10) × 1.85 (10) 

The price protection is: 

MSPPV: 2.50 

Buy MSPPV: 1.85 + 2.50 = 4.35 

Sell MSPPV: 1.65 ¥ 2.50 = ¥.85 

Order 1 to sell 10 at 1.90 is received 

and updates the cMBBO. 

cMBBO: 1.50 (10) × 1.90 (10) 

The Exchange receives a new order 

(Order 2) to buy 30 at the Market. For 

Market Orders the functional limit is the 

MSPP or 4.35. 

Order 2 buys 10 from Order 1 at $1.90 

and initiates the Complex Liquidity 

Exposure Process: Order 2 reprices to its 

MPC protected price of $2.10 (cNBO of 

1.85 + 0.25) and is posted at that price 

on the Strategy Book and the cLEP 

Auction begins. 

During the cLEP Auction the 

Exchange receives a new order (Order 3) 

to sell 10 at 2.10. This order locks the 

current same side Book Price of $2.10. 

At the end of the auction, Order 3 sells 

10 to Order 2 at $2.10, filling Order 3. 

Order 2 reprices to the next MPC 

protected price of $2.35 (initial MPC of 

2.10 + 0.25) and is posted at that price 

on the Strategy Book and the next cLEP 

Auction begins. 

During the next cLEP Auction the 

Exchange does not receive any interest 

to sell. At the end of the auction Order 

2 is reevaluated and reprices to the next 

MPC protected price of 2.60 (previous 

MPC of 2.35 + 0.25) and is posted at that 

price on the Strategy Book and the next 

cLEP Auction begins. 

During all subsequent cLEP Auctions 

the Exchange does not receive any 

interest to sell. At the end of each 

subsequent auction, Order 2 is 

reevaluated and repriced to the next 

MPC protected price as seen below until 

the MSPP protected price is equal to or 

less than the MPC protected price. 

3rd MPC evaluation 2.60 + 0.25 = 2.85 

4th MPC evaluation 2.85 + 0.25 = 3.10 

5th MPC evaluation 3.10 + 0.25 = 3.35 

6th MPC evaluation 3.35 + 0.25 = 3.60 

7th MPC evaluation 3.60 + 0.25 = 3.85 

8th MPC evaluation 3.85 + 0.25 = 4.10 

9th MPC evaluation 4.10 + 0.25 = 4.35 

At the end of the final auction, 

because the MSPP protected price of 

4.35 is equal to the MPC protected price 

of 4.35, Order 2 is not repriced to the 

next MPC and is cancelled subject to 

MSPP as Order 2 was a market order.49

cMBBO: 4.35 (10) × 5.00 (10) 

The Exchange proposes to amend 

Exchange Rule 518(e), Reevaluation, to 

account for the introduction of a 

protected price in the cLEP process. The 

proposed rule text will provide that, at 

the conclusion of a cLEP Auction, the 

System will calculate the next potential 

MPC Price for remaining liquidity with 

an original limit price or protected price 

more aggressive than the existing MPC 

Price. The next MPC Price will be 

calculated as the MPC Price plus 

(minus) the next MPC increment for buy 

(sell) orders (the ‘‘New MPC Price’’). 

The System will initiate a cLEP Auction 

for liquidity that would execute or post 

at a price that would violate its New 

MPC Price. Liquidity with an original 

limit price or protected price less 

aggressive (lower for a buy order or 

eQuote, or higher for a sell order or 

eQuote) than or equal to the New MPC 

Price will be posted to the Strategy Book 

at its original limit price or handled in 

accordance with subsection (c)(2)(ii)— 

(v) of this Rule. The cLEP process will 

continue until no liquidity remains with 

an original limit price that is more 

aggressive than its MPC Price. At the 

conclusion of the cLEP process, any 

liquidity that has not been executed will 

be posted to the Strategy Book at its 

original limit price. 

The Exchange also proposes to amend 

Rule 518(e), Allocation at the 

Conclusion of a Complex Liquidity 

Exposure Auction. Currently the rule 

states that, orders and quotes executed 

in a cLEP Auction will be allocated first 

in price priority based upon their 

original limit price, and thereafter in 

accordance with the Complex Auction 

allocation procedures described in 

subsection (d)(7)(i)–(vi) of this Rule. The 

Exchange now proposes to amend this 

provision to state that orders subject to 

MSPP are allocated using their 

protected price. As proposed the 

amended rule will state that, orders and 

quotes executed in a cLEP Auction will 

be allocated first in price priority based 

upon their original limit price, orders 

subject to MSPP are allocated using 

their protected price, and thereafter in 

accordance with the Complex Auction 

allocation procedures described in 

subsection (d)(7)(i)–(vi) of this Rule. 

Parity Price Protection 

The Exchange proposes to amend 

paragraph (g), Parity Price Protection, 

Interpretations and Policies .01 of 

Exchange Rule 518, to incorporate the 

Managed Protection Override feature. 

Currently the rule text states, MarriedPut and Buy-Write interest to sell (sell 

put and sell stock; or sell call and buy 

stock) that is priced below the parity 

protected price for the strategy will be 

placed on the Strategy Book at the parity 

protected price for the strategy. The 

Exchange proposes to amend this 

sentence to provide that, Married-Put 

and Buy-Write interest to sell (sell put 

and sell stock; or sell call and buy stock) 

that is priced below the parity protected 

price for the strategy will be placed on 

the Strategy Book at the parity protected 

price for the strategy, or cancelled if the 

Managed Protection Override is 

enabled. This provision allows the 

Parity Price Protection functionality to 

operate in conjunction with the 

Managed Protection Override feature 

which cancels an order when its price 

protection feature is triggered. The 

Exchange believes that offering 

Members the option to have orders 

either managed by the Exchange or 

cancelled when a risk protection is 

triggered gives Members greater 

flexibility and control over their orders 


jspears on DSK121TN23PROD with NOTICES1
13346 Federal Register / Vol. 87, No. 46 / Wednesday, March 9, 2022 / Notices 

50See Exchange Rule 515(c)(1). 

51See Exchange Rule 510. 

52See Exchange Rule 518(a)(17). 

53See Exchange Rule 518(a)(15). 

54See Interpretations and Policies .05(g) of 

Exchange Rule 518. 

55 15 U.S.C. 78f(b). 

56 15 U.S.C. 78f(b)(5). 

while retaining the risk protection 

functionality. 

The Exchange proposes to adopt 

Interpretations and Policies .01 to 

proposed Rule 532, to state that, when 

an order is eligible for multiple price 

protections the System will apply the 

most conservative. The Exchange offers 

a number of price protections in the 

System, for example, if a limit order to 

buy a non-proprietary product had 

indicated a price protection 50 for the 

order at 5 MPVs 51 from the NBBO at the 

time of receipt and the NBBO for the 

XYZ Jan 5 put was 4.80 × 5.10 the price 

protection would not let the order trade 

at more than 5.35, however, in this 

instance the proposed Max Put Price 

Protection would be applied and the 

order would not trade higher than 5.10, 

which is the more conservative of the 

price protections. The Exchange 

believes that this change promotes the 

protection of investors as it protects 

investors from executions at undesirable 

prices. 

Miscellaneous 

The Exchange proposes to rename 

paragraph (e), Wide Market Conditions, 

SMAT Events and Halts, of 

Interpretations and Policies .05 of 

Exchange Rule 518, to new paragraph 

(a), as a result of the removal of the 

preceding paragraphs (a), (b), (c), and (d) 

from Interpretations and Policies .05 of 

Exchange Rule 518, which have been 

relocated to new proposed Rule 532. 

Additionally, the Exchange proposes to 

make a number of non-substantive 

changes in Rule 518 to correct internal 

cross references that have changed as a 

result of this proposal. 

The Exchange also proposes to amend 

the definition of ‘‘Book’’ in Exchange 

Rule 100 by adding the clarifying term 

‘‘simple’’ to the current definition. The 

Exchange proposes to define the term 

‘‘Book’’ to mean the electronic book of 

simple buy and sell orders and quotes 

maintained by the System. When the 

Exchange introduced complex orders 

the Exchange defined the ‘‘Strategy 

Book’’ 52 as the Exchange’s electronic 

book of complex orders and complex 

quotes. Additionally, the Exchange 

defined the ‘‘Simple Order Book’’ 53 as 

the Exchange’s regular electronic book 

of orders and quotes in Rule 518. The 

Exchange believes its proposal to amend 

the definition provided in Exchange 

Rule 100 adds clarity to the definition 

regarding which book of orders and 

quotes is being referenced. 

The Exchange proposes to make a 

minor non-substantive edit to the rule 

text of Market Maker Single Side 

Protection (proposed Rule 532(b)(8)). 

Currently, the rule text provides that, 

when triggered, the System will cancel 

all complex Standard quotes and block 

all new inbound complex Standard 

quotes and cIOC eQuotes for that 

particular side of that strategy for that 

MPID. The System will provide a 

notification message to the Market 

Maker.54 The Exchange now proposes to 

expand on the previously mentioned 

sentence to read, the System will 

provide a notification message to the 

Market Maker that the protection has 

been triggered. The Exchange believes 

that this amendment provides 

additional detail and clarity regarding 

the operation of the rule. 

2. Statutory Basis 

The Exchange believes that its 

proposed rule change is consistent with 

Section 6(b) of the Act 55 in general, and 

furthers the objectives of Section 6(b)(5) 

of the Act 56 in particular, in that it is 

designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 

trade, to foster cooperation and 

coordination with persons engaged in 

regulating, clearing, settling, processing 

information with respect to, and 

facilitating transactions in securities, to 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system and, in 

general, to protect investors and the 

public interest. 

Managed Protection Override 

The Exchange believes that the 

Managed Protection Override feature 

promotes just and equitable principles 

of trade, removes impediments to and 

perfects the mechanism of a free and 

open market and a national market 

system and, in general, protects 

investors and the public interest by 

providing a mechanism by which 

Members may determine the way their 

orders are handled when a risk 

protection is triggered. The Exchange 

believes that it has an effective way to 

manage orders on the Exchange so that 

they do not execute at potentially 

erroneous prices, however the Exchange 

believes that giving Members the option 

to have their orders cancelled if a risk 

protection is triggered protects investors 

and the public interest. When the 

Exchange cancels an order, a Member 

can make a decision on what to do with 

that order based on the then current 

market conditions and may choose to resubmit the order at the same or different 

limit price. Specifically, the Exchange 

believes the proposed change will 

remove impediments to and perfect the 

mechanism of a free and open market by 

providing market participants with the 

option to either manage their own 

orders or have the Exchange manage 

their orders when a price protection is 

triggered which will promote fair and 

orderly markets, increase overall market 

confidence, and promote the protection 

of investors. 

Max Put Price Protection 

The Exchange believes that the Max 

Put Price Protection feature promotes 

just and equitable principles of trade, 

removes impediments to and perfects 

the mechanism of a free and open 

market and a national market system 

and, in general, protects investors and 

the public interest by providing a risk 

protection mechanism to prevent trades 

from occurring at potentially unwanted 

or erroneous prices. Additionally, the 

Exchange believes that making this risk 

protection feature eligible for the 

Managed Protection Override feature 

benefits Members as it gives them the 

option to have their order cancelled if 

the Max Put Price Protection is triggered 

and the Managed Protection Override 

feature is enabled. Cancelling orders 

back to Members allows them to make 

a decision on what to do with their 

order based on the then current market 

conditions and a Member may choose to 

re-submit the order at the same or 

different limit price. Specifically, the 

Exchange believes the proposed change 

will remove impediments to and perfect 

the mechanism of a free and open 

market by providing market participants 

with the option to either manage their 

own orders or have the Exchange 

manage their orders when a price 

protection is triggered which will 

promote fair and orderly markets, 

increase overall market confidence, and 

promote the protection of investors. 

Butterfly Spread Variance (‘‘BSV’’) Price 

Protection 

The Exchange believes that the 

Butterfly Spread Variance (‘‘BSV’’) Price 

Protection feature promotes just and 

equitable principles of trade, removes 

impediments to and perfects the 

mechanism of a free and open market 

and a national market system and, in 

general, protects investors and the 

public interest by providing a risk 

protection mechanism that will 


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establish minimum and maximum 

trading limits to prevent an order from 

trading at a potentially unwanted or 

erroneous price. 

Additionally, the Exchange believes 

that making the Butterfly Spread 

Variance (‘‘BSV’’) Price Protection 

eligible for the Managed Protection 

Override feature benefits Members as it 

gives them the option to have their 

order cancelled if the Butterfly Spread 

Variance Price Protection is triggered 

and the Managed Protection Override 

feature is enabled. Cancelling orders 

back to Members allows them to make 

a decision on what to do with their 

order based on the then current market 

conditions and a Member may choose to 

re-submit the order at the same or 

different limit price. Specifically, the 

Exchange believes the proposed change 

will remove impediments to and perfect 

the mechanism of a free and open 

market by providing market participants 

with the option to either manage their 

own orders or have the Exchange 

manage their orders when a price 

protection is triggered which will 

promote fair and orderly markets, 

increase overall market confidence, and 

promote the protection of investors. 

Calendar Spread Variance (‘‘CSV’’) Price 

Protection 

The Exchange believes that amending 

the Calendar Spread Variance (‘‘CSV’’) 

Price Protection feature to enable the 

Managed Protection Override feature 

promotes just and equitable principles 

of trade, removes impediments to and 

perfects the mechanism of a free and 

open market and a national market 

system and, in general, protects 

investors and the public interest by 

providing Members the option of having 

the Exchange manage their order when 

a price protection is triggered, or having 

their order cancelled when a price 

protection is triggered, if the Managed 

Protection Override is enabled. The 

Exchange believes cancelling an order 

in this scenario benefits Members as it 

allows them to make a decision on what 

to do with their order based on the then 

current market conditions and a 

Member may choose to re-submit the 

order at the same or different limit 

price. Specifically, the Exchange 

believes the proposed change will 

remove impediments to and perfect the 

mechanism of a free and open market by 

providing market participants with the 

option to either manage their own 

orders or have the Exchange manage 

their orders when a price protection is 

triggered which will promote fair and 

orderly markets, increase overall market 

confidence, and promote the protection 

of investors. 

The Exchange believes amending the 

rule text to clarify the operation of the 

rule and to harmonize the rule text to 

that of the Vertical Spread Variance 

(‘‘VSV’’) and Butterfly Spread Variance 

(‘‘BSV’’) Price Protections promotes the 

protection of investors by having similar 

rule text and similar behavior for similar 

price protections which provides clarity 

and consistency within the Exchange’s 

rulebook. A clear and concise rulebook 

benefits investors and the public 

interest as it reduces the chance for 

confusion regarding the operation of 

price protection functionality. 

Vertical Spread Variance (‘‘VSV’’) Price 

Protection 

The Exchange believes that amending 

the Vertical Spread Variance (‘‘VSV’’) 

Price Protection feature to enable the 

Managed Protection Override feature 

promotes just and equitable principles 

of trade, removes impediments to and 

perfects the mechanism of a free and 

open market and a national market 

system and, in general, protects 

investors and the public interest by 

providing Members the option of having 

the Exchange manage their order when 

a price protection is triggered, or having 

their order cancelled, when a price 

protection is triggered, if the Managed 

Protection Override is enabled. The 

Exchange believes cancelling an order 

in this scenario benefits Members as it 

allows them to make a decision on what 

to do with their order based on the then 

current market conditions and a 

Member may choose to re-submit the 

order at the same or different limit 

price. Specifically, the Exchange 

believes the proposed change will 

remove impediments to and perfect the 

mechanism of a free and open market by 

providing market participants with the 

option to either manage their own 

orders or have the Exchange manage 

their orders when a price protection is 

triggered which will promote fair and 

orderly markets, increase overall market 

confidence, and promote the protection 

of investors. 

The Exchange believes amending the 

rule text to clarify the operation of the 

rule and to harmonize the rule text to 

that of the Calendar Spread Variance 

(‘‘CSV’’) and Butterfly Spread Variance 

(‘‘BSV’’) Price Protections promotes the 

protection of investors by having similar 

rule text and similar behavior for similar 

price protections which provides clarity 

and consistency within the Exchange’s 

rulebook. A clear and concise rulebook 

benefits investors and the public 

interest as it reduces the chance for 

confusion regarding the operation of 

price protection functionality. 

MIAX Strategy Price Protection 

(‘‘MSPP’’) 

The Exchange believes that the 

adoption of the MIAX Strategy Price 

Protection (‘‘MSPP’’) promotes just and 

equitable principles of trade, and 

facilitates transactions in securities, 

remove impediments to and perfects the 

mechanism of a free and open market 

and a national market system and, in 

general, protects investors and the 

public interest, by providing an order 

price protection that establishes a 

minimum and maximum trading value 

to prevent potentially unwanted or 

erroneous executions from occurring. 

The Exchange believes that when the 

MSPP is priced less aggressively than 

the limit price of the complex order, or 

complex market order [sic], that 

executing the order, up to an [sic] 

including its MSPP for buy orders, or 

down to and including its MSPP for sell 

orders, and cancelling any unexecuted 

portion of the order, protects investors 

and the public interest. Cancelling 

orders back to Members allows them to 

make a decision on what to do with 

their order based on the then current 

market conditions and a Member may 

choose to re-submit the order at the 

same or different limit price. 

Specifically, the Exchange believes the 

proposed change will remove 

impediments to and perfect the 

mechanism of a free and open market by 

providing market participants with the 

option to either manage their own 

orders or have the Exchange manage 

their orders when a price protection is 

triggered which will promote fair and 

orderly markets, increase overall market 

confidence, and promote the protection 

of investors. 

Parity Price Protection 

The Exchange believes that amending 

Interpretations and Policies .01(g), 

Parity Price Protection, of Exchange 

Rule 518, to operate in conjunction with 

the Managed Protection Override feature 

promotes just and equitable principles 

of trade, and facilitates transactions in 

securities, removes impediments to and 

perfects the mechanism of a free and 

open market and a national market 

system and, in general, protects 

investors and the public interest, by 

providing Members greater flexibility 

and control over their orders if the 

Parity Price Protection is triggered. The 

Exchange believes that making this risk 

protection feature eligible for the 

Managed Protection Override feature 

benefits Members as it gives them the 

option to have their order cancelled if 

the Parity Price Protection is triggered 

and the Managed Protection Override 


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57 In approving this proposed rule change, the 

Commission notes that it has considered the 

proposed rule’s impact on efficiency, competition, 

and capital formation. See 15 U.S.C. 78c(f). 

58 15 U.S.C. 78(b)(5). 

feature is enabled. Cancelling orders 

back to Members allows them to make 

a decision on what to do with their 

order based on the then current market 

conditions and a Member may choose to 

re-submit the order at the same or 

different limit price. Specifically, the 

Exchange believes the proposed change 

will remove impediments to and perfect 

the mechanism of a free and open 

market by providing market participants 

with the option to either manage their 

own orders or have the Exchange 

manage their orders when a price 

protection is triggered which will 

promote fair and orderly markets, 

increase overall market confidence, and 

promote the protection of investors. 

Miscellaneous 

The Exchange believes that amending 

the definition of ‘‘Book’’ promotes just 

and equitable principles of trade, fosters 

cooperation and coordination with 

persons engaged in regulating, clearing, 

settling, processing information with 

respect to, and facilitating transactions 

in securities, removes impediments to 

and perfects the mechanism of a free 

and open market and a national market 

system and, in general, protects 

investors and the public interest by 

providing a clarifying term to the 

existing definition. In particular, the 

Exchange believes that the proposed 

change will provide greater clarity to 

Members and the public regarding the 

Exchange’s Rules. It is in the public 

interest for rules to be accurate and 

concise so as to eliminate the potential 

for confusion. 

The Exchange believes that relocating 

the Implied Away Best bid or Offer 

(‘‘ixABBO’’) Price Protection and the 

Complex MIAX Options Price Collar 

Protection from Interpretations and 

Policies .05 of Exchange Rule 518 to 

new proposed Rule 532 in their entirety 

and without modification promotes just 

and equitable principles of trade, and 

removes impediments to and perfects 

the mechanism of a free and open 

market and a national market system 

and, in general, protects investors and 

the public interest by organizing and 

consolidating risk protections into a 

single Rule. The Exchange believes that 

organizing and consolidating the 

Exchange’s risk protection features as 

described herein provides ease of 

reference for investors and the public 

when reviewing the Exchange’s 

rulebook and it is in the best interest of 

investors and the public for the 

Exchange’s rulebook to be clear and 

accurate so as to avoid confusion. 

The Exchange believes that the nonsubstantive update to the Market Maker 

Single Side Protection rule text provides 

additional detail and clarity regarding 

the operation of the rule by specifying 

that the notification message to Market 

Makers will indicate that the price 

protection has been triggered. The 

Exchange believes it benefits investors 

and the public interest for rules to be 

accurate and concise as it reduces the 

chance for confusion regarding the 

operation of Exchange functionality. 

The Exchange believes the proposed 

change to correct internal cross 

references within the Exchange’s 

Rulebook promotes just and equitable 

principles of trade and removes 

impediments to and perfects the 

mechanism of a free and open market 

and a national market system because 

the proposal ensures that the Exchange’s 

rules are accurate. The Exchange notes 

that the proposed changes to correct 

internal cross references and to make 

minor non-substantive edits does not 

alter the application of each rule. As 

such, the proposed amendments would 

foster cooperation and coordination 

with persons engaged in facilitating 

transactions in securities and would 

remove impediments to and perfect the 

mechanism of a free and open market 

and national exchange system. In 

particular, the Exchange believes that 

the proposed rule changes will provide 

greater clarity to Members and the 

public regarding the Exchange’s Rules. 

It is in the public interest for rules to be 

accurate and concise so as to eliminate 

the potential for confusion. 

The Exchange believes this proposal 

promotes just and equitable principles 

of trade, removes impediments to and 

perfects the mechanism of a free and 

open market and a national market 

system and, in general, protects 

investors and the public interest by 

providing new price protection features 

for MIAX Members. Additionally, the 

description of the System’s functionality 

is designed to promote just and 

equitable principles of trade by 

providing a clear and accurate 

description to all participants of how 

the price protection process is applied 

and should assist investors in making 

decisions concerning their orders. 

Further, the Exchange believes that the 

price protection features and 

functionality provides market 

participants with an appropriate level of 

risk protection to their orders and 

contributes to the maintenance of a fair 

and orderly market. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. 

Specifically, the Exchange does not 

believe that the proposed changes will 

impose any burden on intra-market 

competition as the rules of the Exchange 

apply equally to all MIAX participants. 

The price protections are available for 

any MIAX Member that submits orders 

or quotes to the Exchange. Any MIAX 

Member that submits a complex order to 

the Exchange will benefit from the risk 

protections proposed herein. Further 

any MIAX Member that seeks to buy or 

sell a put will be afforded the MAX Put 

Price Protection. Additionally, any 

Member may elect to enable the 

Managed Protection Override feature to 

allow the Exchange to cancel their 

orders when a risk protection is 

triggered. 

In addition, the Exchange does not 

believe the proposal will impose any 

burden on inter-market competition as 

the proposal is intended to protect 

investors by providing additional price 

protection functionality and further 

enhancements and transparency to the 

Exchange’s risk protections. The 

Exchange’s proposal may promote intermarket competition as the Exchange’s 

proposal adds additional price 

protection features and functionality 

that may attract additional order flow to 

the Exchange, thereby promoting intermarket competition. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange has neither solicited 

nor received comments on the proposed 

rule change. 

III. Discussion and Commission 

Findings 

After careful review of the proposed 

rule change, as modified by Amendment 

Nos. 1 and 2, the Commission finds that 

the proposed rule change, as amended, 

is consistent with the requirements of 

the Act and the rules and regulations 

thereunder applicable to a national 

securities exchange.57 In particular, the 

Commission finds that the proposed 

rule change, as modified by Amendment 

Nos. 1 and 2, is consistent with Section 

6(b)(5) of the Act,58 which requires, 

among other things, that the rules of a 

national securities exchange be 

designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 


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59See Amendment No. 1 at 32, 33, and 36. 

60See proposed Exchange Rule 532(a)(1). The 

Exchange states that the proposed pre-set value for 

the Put Price Variance will be $0.10 to align with 

other similar price protections on the Exchange and 

will apply to all classes. The Exchange believes this 

value provides an adequate price range for 

executions while offering price protection against 

potentially erroneous executions. See Amendment 

No. 1 at 11, n. 24. The Exchange will communicate 

the Put Price Variance to Members via Regulatory 

Circular. See proposed Exchange Rule 532(a)(1)(iv). 

61See Amendment No. 1 at 11, n. 33 (citing Cboe 

Rule 5.34(a)(3)). 

62See proposed Exchange Rule 532(b)(5) and 

Amendment No. 1 at 43. 

63See proposed Exchange Rule 532. 

64See proposed Exchange Rule 532. In addition 

to incorporating the proposed Managed Protection 

Override into the proposed new Max Put Price 

Protection and the proposed new Butterfly Spread 

Variance Price Protection, the proposal revises the 

existing Parity Price Protection in Exchange Rule 

518, Interpretation and Policy .01(g), the Calendar 

Spread Variance Price Protection in proposed 

Exchange Rule 532(b)(3), and the Vertical Spread 

Variance Price Protection in proposed Exchange 

Rule 532(b)(4) to reflect the operation of the 

proposed Managed Protection Override. 

65Proposed Exchange Rule 532(b)(1) defines the 

terms Butterfly Spread, Calendar Spread, and 

Vertical Spread. The proposed definitions of 

Vertical Spread and Calendar Spread are 

substantially the same as the definitions of those 

terms in current Exchange Rule 518, Interpretation 

and Policy .05(a) and (b). The proposed definition 

of Butterfly Spread is substantially similar to the 

definition of Butterfly Spread used in the rules of 

another options exchange. See Cboe Rule 

5.33(b)(1)(B). 

66Current Exchange Rule 518, Interpretation and 

Policy .05(c) states that if the execution price of a 

complex order would be outside of the limits set 

forth in Exchange Rule 518, Interpretation and 

Policy .05(a)(1) and (b)(1) for Vertical Spreads and 

Calendar Spreads, respectively, the complex order 

will be placed on the Strategy Book and will be 

managed to the appropriate trading price limit as 

described in Exchange Rule 518(c)(4). Orders to buy 

below the minimum trading price limit and orders 

to sell above the maximum trading price limit (in 

the case of Vertical Spreads) will be rejected by the 

System. 

67See proposed Exchange Rules 532(b)(3)(iii) and 

(b)(4)(iii). 

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 Commission believes that the 

proposed rule changes are designed to 

provide useful risk management tools to 

Members on the Exchange. The proposal 

adopts a new Max Put Price Protection 

for simple orders and a new MIAX 

Strategy Price Protection and Butterfly 

Spread Variance Price Protection for 

complex orders. The Exchange states 

that each of these proposed price 

protections could help to prevent trades 

from occurring at potentially unwanted 

or erroneous prices.59 The proposed 

Max Put Price Protection for simple 

orders will establish a maximum trading 

price limit for put options, which the 

Exchange will determine by adding a 

pre-set value, the Put Price Variance, to 

the strike price of the option.60 The 

Exchange notes that another options 

exchange offers a similar protection for 

put options.61 The proposed MIAX 

Strategy Price Protection (‘‘MSPP’’), 

which will be available for complex 

orders with a time-in-force of Day or 

GTC, establishes a maximum protected 

price for buy orders and a minimum 

protected price for sell orders.62 The 

proposed Max Put Price Protection, 

MIAX Strategy Price Protection, and 

Butterfly Spread Variance Price 

Protection are designed to protect 

investors by helping to mitigate 

potential risks associated with executing 

trades at what the Exchange believes are 

potentially erroneous prices. 

The proposal also adopts a new 

Managed Protection Override feature.63

If a Member enables the Managed 

Protection Override for its orders, an 

order that triggers the Vertical Spread 

Variance Price Protection, the Calendar 

Spread Variance Price Protection, the 

proposed Butterfly Spread Variance 

Price Protection, the Parity Price 

Protection, or the proposed Max Put 

Price Protection will be cancelled back 

to the Member rather than managed by 

the Exchange.64 Returning the 

unexecuted order to the Member will 

allow the Member to evaluate the order 

and determine how to handle the order 

based on current market conditions. The 

proposed Managed Protection Override 

feature could benefit market 

participants by providing them with 

greater flexibility and control over 

orders that trigger a risk protection that 

is subject to the Managed Protection 

Override. 

The proposal relocates to proposed 

Exchange Rule 532, in their entirety and 

without modification, the Implied Away 

Best Bid or Offer (‘‘ixABBO’’) Price 

Protection in current Exchange Rule 

518, Interpretation and Policy .05(d) and 

the Complex MIAX Options Price Collar 

Protection in current Exchange Rule 

518, Interpretation and Policy .05(f). 

The proposal also relocates to proposed 

Exchange Rule 532 the Market Maker 

Single Side Protection in current 

Exchange Rule 518, Interpretation and 

Policy .05(g), the Vertical Spread 

Variance Price Protection in current 

Exchange Rule 518, Interpretation and 

Policy .05(a), and the Calendar Spread 

Variance Price Protection in current 

Exchange Rule 518, Interpretation and 

Policy .05(b).65 Consolidating these risk 

protection features, as well as the 

proposed Managed Protection Override, 

Max Put Price Protection, MIAX 

Strategy Price Protection, and Butterfly 

Spread Variance Price Protection, in a 

single rule could help market 

participants to more readily identify the 

price protections that could apply to 

their orders. The proposal also 

renumbers certain rules and updates 

internal cross-references within the 

Exchange’s rules, which could help to 

maintain the accuracy of the Exchange’s 

rules. 

The Calendar Spread Variance Price 

Protection and the Vertical Spread 

Variance Price Protection provisions in 

proposed Exchange Rule 532(b)(3) and 

(4), respectively, retain provisions of the 

existing Calendar Spread Variance Price 

Protection and Vertical Spread Variance 

Price Protection in current Exchange 

Rules 518, Interpretation and Policy 

.05(b) and (a), respectively, incorporate 

and add detail to the Vertical Spread 

Variance and Calendar Spread Variance 

Price Protection in current Exchange 

Rule 518, Interpretation and Policy 

.05(c),66 and provide additional detail to 

more fully describe the operation of the 

price protections. The additional detail 

could provide greater transparency 

regarding the way that an order will 

trade after it triggers the Vertical Spread 

Variance or Calendar Spread Variance 

Price Protection. In addition, the 

proposed rules will provide greater 

transparency regarding the treatment of 

orders and eQuotes entered at prices 

outside of the trading price limits 

established in those rules.67

The proposal adopts new Exchange 

Rule 532, Interpretation and Policy .01, 

which states that the System will apply 

the most conservative price protection 

when an order is eligible for multiple 

price protections. Specifying the price 

protection that the System will apply 

when an order is eligible for multiple 

price protections could provide market 

participants with greater transparency 

regarding the handling of their orders 

and help to protect against potentially 

erroneous executions. 

The proposal amends the Market 

Maker Single Side Protection, which 

will be relocated to proposed new 

Exchange Rule 532(b)(8), to specify that 

the notification message sent to a market 

maker will indicate that the Market 

Maker Single Side Protection has been 

triggered. This addition should provide 

clarifying detail to the rule. The 

proposal also revises the definition of 

Book in Exchange Rule 100 to indicate 

that the term refers to the electronic 

book of simple buy and sell orders and 

quotes maintained by the System. The 

addition of the reference to simple 

orders and quotes should help to clarify 

the Exchange’s rules by more 

specifically identifying the order book 

the term references. 


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68 15 U.S.C. 78s(b)(2). 

69 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

IV. Solicitation of Comments on 

Amendment Nos. 1 and 2 

Interested persons are invited to 

submit written data, views, and 

arguments concerning whether 

Amendment Nos. 1 and 2 are 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– 

MIAX–2021–58 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–MIAX–2021–58. This file 

number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

internet website (http://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

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

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549 on official 

business days between the hours of 

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

filing also will be available for 

inspection and copying at the principal 

office of the Exchange. All comments 

received will be posted without change; 

the Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR–MIAX– 

2021–58, and should be submitted on or 

before March 30, 2022. 

V. Accelerated Approval of Proposed 

Rule Change, as Modified by 

Amendment Nos. 1 and 2 

The Commission finds good cause to 

approve the proposed rule change, as 

modified by Amendment Nos. 1 and 2, 

prior to the thirtieth day after the date 

of publication of the notice of 

Amendment Nos. 1 and 2 in the Federal 

Register. As described more fully above, 

Amendment No. 1 revises the proposal 

to, among other things, indicate that, if 

enabled, the Managed Protection 

Override will apply to all of the price 

protections that are subject to the 

Managed Protection Override; add 

clarifying detail to the proposed 

definition of Butterfly Spread and to the 

Market Maker Single Side Protection; 

describe the treatment of orders and 

eQuotes priced outside the trading price 

limits in the proposed Butterfly Spread 

Variance, Calendar Spread Variance, 

and Vertical Spread Variance rules; add 

proposed Exchange Rule 532, 

Interpretation and Policy .01 to indicate 

that the System will apply the most 

conservative price protection when an 

order is eligible for multiple price 

protections; and describe the rationale 

for the pre-set value used in the 

proposed MIAX Strategy Price 

Protection Variance. Amendment No. 2 

adds clarifying detail to the proposed 

MIAX Strategy Price Protection by 

describing how the price protection will 

apply to complex market orders. 

Amendment Nos. 1 and 2 raise no novel 

regulatory issues and provide additional 

detail and clarifications that help to 

more fully describe the operation of the 

proposed rules. In addition, the 

additional information in Amendment 

Nos. 1 and 2 assists the Commission in 

evaluating the Exchange’s proposal and 

finding that it is consistent with the Act. 

Accordingly, the Commission finds 

good cause for approving the proposed 

rule change, as modified by Amendment 

Nos. 1 and 2, on an accelerated basis. 

VI. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,68 that the 

proposed rule change (File No. SR– 

MIAX–2021–58), as modified by 

Amendment Nos. 1 and 2, is approved 

on an accelerated basis. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.69

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–04921 Filed 3–8–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94354; File No. SR–ISE– 

2022–04] 

Self-Regulatory Organizations; Nasdaq 

ISE, LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Amend Index Options 

Rules 

March 3, 2022. 

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 February 

18, 2022, Nasdaq ISE, LLC (‘‘ISE’’ or 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission (‘‘SEC’’ or 

‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend ISE 

Rules at Options 3, Section 1, Days and 

Hours of Business; Options 4A, Section 

11, Trading Sessions; and Options 4A, 

Section 12, Terms of Index Options 

Contracts. The Exchange also proposes 

to adopt new Options 4A, Section 4 

which is currently reserved. Finally, the 

Exchange proposes to make a technical 

amendment to Options 7, Section 1, 

General Provisions. 

The text of the proposed rule change 

is available on the Exchange’s website at 

https://listingcenter.nasdaq.com/ 

rulebook/ise/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. 


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