12510 Federal Register / Vol. 87, No. 43 / Friday, March 4, 2022 / Notices 

21 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

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

4 17 CFR 240.19b–4(f)(6). 

5The term ‘‘User’’ shall mean any Member or 

Sponsored Participant who is authorized to obtain 

access to the System pursuant to Rule 11.3. See 

Rule 1.5(cc). 

6A ‘‘Stop Order’’ is an order that becomes a BZX 

market order when the stop price is elected. A Stop 

Order to buy is elected when the consolidated last 

sale in the security occurs at, or above, the specified 

stop price. A Stop Order to sell becomes a limit 

order when the consolidated last sale in the security 

occurs at, or below, the specified stop price. See 

Rule 11.9(c)(16). 

7A ‘‘Stop-Limit Order’’ is an order that becomes 

a limit order when the stop price is elected. A Stop 

Limit Order to buy is elected when the consolidated 

last sale in the security occurs at, or above, the 

specified stop price. A Stop Limit Order to sell 

becomes a sell limit order when the consolidated 

last sale in the security occurs at, or below, the 

specified stop price. See Rule 11.9(c)(17). 

8See Rule 21.17(d). 

9 ‘‘System’’ means the electronic communications 

and trading facility designated by the Board through 

which securities orders of Users are consolidated 

for ranking, execution and, when applicable, 

routing away. See Rule 1.5(aa). 

10 ‘‘BZX Book’’ means the System’s electronic file 

of orders. See Rule 1.5.(e). 

11See Rule 5.34(a)(4)(A). 

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 

filings will also be available for 

inspection and copying at the principal 

office of ICE Clear Credit and on ICE 

Clear Credit’s website at https://

www.theice.com/clear-credit/regulation. 

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–ICC–2022–001 and 

should be submitted on or before March 

25, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.21

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–04567 Filed 3–3–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94328; File No. SR– 

CboeBZX–2022–009] 

Self-Regulatory Organizations; Cboe 

BZX Exchange, Inc.; Notice of Filing 

and Immediate Effectiveness of a 

Proposed Rule Change Relating To 

Modify How Drill-Through Price 

Protection Applies to Users’ Orders 

When Multiple Stop Order and StopLimit Orders Are Triggered by the 

Same Price 

February 28, 2022. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that on February 

17, 2022, Cboe BZX Exchange, Inc. (the 

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

Securities and Exchange Commission 

(the ‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the Exchange. The Exchange filed the 

proposal as a ‘‘non-controversial’’ 

proposed rule change pursuant to 

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

Rule 19b–4(f)(6) thereunder.4 The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

Cboe BZX Exchange, Inc. (‘‘BZX’’ or 

the ‘‘Exchange’’) is filing with the 

Securities and Exchange Commission 

(the ‘‘Commission’’) a proposal to 

modify how drill-through price 

protection applies to Users’ 5 orders 

when multiple Stop Order and StopLimit Orders are triggered by the same 

price. The text of the proposed rule 

change is provided in Exhibit 5. 

The text of the proposed rule change 

is also available on the Exchange’s 

website (https://markets.cboe.com/us/ 

equities/regulation/rule_filings/bzx/), at 

the Exchange’s Office of the Secretary, 

and at the Commission’s Public 

Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV below. The 

Exchange has prepared summaries, set 

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

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The purpose of this rule filing is to 

amend current Rule 21.17, Additional 

Price Protection Mechanisms and Risk 

Controls, to add new Rule 21.17(d)(3), 

which modifies what the drill-through 

price will be for Stop Orders 6 and StopLimit Orders 7 when multiple Stop 

Orders and Stop-Limit Orders are 

triggered by the same stop price 

specified by Users. 

Drill-through price protection is 

currently described in Exchange Rule 

21.17(d). Rule 21.17(d) provides that if 

a buy (sell) order enters the BZX 

Options Book at the conclusion of the 

opening auction process or would 

execute or post to the BZX Book at the 

time of order entry, the System executes 

the orders up to a buffer amount (the 

Exchange determines the buffer amount 

on a class and premium basis) above 

(below) the offer (bid) limit of the 

Opening Collar or the NBO (NBB) that 

existed at the time of order entry, 

respective (the, ‘‘Drill Through Price’’).8

Currently, when multiple Stop Orders 

or Stop-Limit Orders are triggered by the 

same price, the System 9 considers them 

separate orders received in sequence 

and enters them sequentially into the 

BZX Book.10 As such, when 

determining the Drill-Through Price for 

each order, the System uses the contra 

side NBBO that existed at the time each 

of the orders was entered into the BZX 

Book.11 By applying drill-through price 

protection in this manner, the Exchange 

has observed, particularly in thinly 

traded markets, that the first order 

triggered will trade with the best priced 

contra-side order, while the second 

triggered order can trade at prices that 

may be multiple price levels away, as it 

is using the NBBO that existed after the 

first triggered order executed. 

Accordingly, the Exchange seeks to 

enhance the drill-through price 

functionality as it relates to Stop Orders 

and Stop Limit Orders, through the 

addition of proposed Rule 21.17(d)(3). 

Under proposed Rule 21.17(d)(3), rather 

than using separate Drill-Through Prices 

for each individual Stop Order and 

Stop-Limit Order, the System will 

instead use the contra-side NBBO that 

existed at the time the first order in 


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Federal Register / Vol. 87, No. 43 / Friday, March 4, 2022 / Notices 12511 

12The Exchange determines the buffer amount on 

a premium and class basis. 

13 15 U.S.C. 78f(b). 

14 15 U.S.C. 78f(b)(5). 

sequence was entered into the BZX 

Book as the Drill-Through Price, for all 

orders. This is the Drill-Through Price 

that would apply to each Stop Order or 

Stop-Limit Order if it was the only one 

triggered at that price. By way of 

illustration, consider the following 

examples: 

Example 1—Current Functionality 

Assume that the Drill-Through Price 

buffer 12 for a certain option series is 

$0.25, and that the following quotes are 

in the BZX Book: Quote 1 (NBBO): 5.00 

× 7.00; Quote 2: 4.00 × 8.00. Each quote 

has a size of 1. Additionally, the 

following Stop Orders/Stop Limit 

Orders are being held in the System 

when the Quote 1 offer is updated to 

$6.50 (they were received by the System 

in sequence): 

Order 1: Sell 1 @ Market, Stop Price = 

$6.50 

Order 2: Sell 1 @ Market, Stop Price = 

$6.55 

Order 3: Sell 1 @ Market, Stop Price = 

$6.50 

Per current Rule 21.17(d), the 

following will occur: 

1. Orders 1, 2 and 3 are held in the 

System, and handled as separate orders 

received in sequence. Each have stop 

prices less than the NBO, and are 

therefore triggered by the 6.50 quote, 

and enter the BZX Book for execution or 

posting. Under today’s functionality, the 

System assigns each order a separate 

Drill-Through Price, equal to the contraside NBBO in existence at the time each 

order separately entered the BZX Book 

for execution. 

2. Order 1 will execute against Quote 

1 @ $5.00. Using the NBB of $5.00 as the 

Drill-Through Price, the System would 

prevent execution beyond $4.75. 

3. When Order 1 executes against 

Quote 1 @ 5.00, that NBB will no longer 

be in the BZX Book. Instead Order 2 will 

execute against Quote 2 @ 4.00 and use 

the NBB of 4.00 as the Drill-Through 

Price and prevent execution beyond 

$3.75. 

4. Order 3 will cancel due to no 

liquidity left at the drill-through price of 

$3.75. 

Example 2—Proposed Functionality 

Again, assume that the drill-through 

price buffer for a certain option series is 

$0.25, and that the following quotes are 

in the BZX Book: Quote 1 (NBBO): 5.00 

× 7.00; Quote 2: 4.00 × 8.00. Each quote 

has a size of 1. Additionally, the 

following Stop Orders/Stop Limit 

Orders are being held in the System 

when the Quote 1 offer is updated to 

$6.50 (they were received by the System 

in sequence): 

Order 1: Sell 1 @ Market, Stop Price = 

$6.50 

Order 2: Sell 1 @ Market, Stop Price = 

$6.55 

Order 3: Sell 1 @ Market, Stop Price = 

$6.50 

Per proposed Rule 21.17(d), the 

following will occur: 

1. Orders 1, 2 and 3 each have stop 

prices less than the NBO, and will 

therefore be triggered by the $6.50 

quote, and enter the BZX Book for 

execution or posting. A Drill-Through 

Price for all three orders is set at the 

contra-side NBB of 5.00. 

2. Order 1 will execute against Quote 

1 @ $5.00. 

3. Orders 2 and 3 will cancel due to 

no liquidity left at the drill-through 

price of $4.75. 

The Exchange notes that aside from 

the difference in Drill-Through Price, 

the drill-through mechanism will apply 

in the same manner to these orders. The 

Exchange is not proposing wholly new 

drill-through protection behavior, but 

rather only seeks to modify the 

reference price utilized by the drillthrough price protection for Stop Orders 

and Stop Limit Orders if multiple such 

orders are triggered and entered into the 

BZX Book for execution due to the same 

price event. By using the same DrillThrough Price for all triggered orders 

eligible for execution, the proposed 

modification will help the drill-through 

protection prevent executions too far 

away from the NBBO when multiple 

Stop Orders and Stop Limit Orders 

become eligible for execution. In doing 

so, Stop Orders and Stop Limit Orders 

will receive executions at prices more 

closely aligned to the stop prices 

specified by Exchange Users. 

2. Statutory Basis 

The Exchange believes the proposed 

rule amendment is consistent with the 

requirements of Section 6(b) of the 

Act,13 in general, and Section 6(b)(5) of 

the Act,14 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 

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. 

Specifically, the Exchange believes 

that proposed Rule 21.17(d)(3) does not 

unfairly discriminate amongst Users. 

Under proposed Rule 21.17(d)(3), all 

Users with Stop Orders and Stop-Limit 

Orders triggered by the same price event 

will have the same drill-through 

reference price. The primary purpose of 

the drill-through price protection is to 

prevent orders from executing at prices 

‘‘too far away’’ from the market when 

they enter the BZX Book for potential 

execution. The Exchange believes the 

proposed rule change is consistent with 

this purpose, and thus will promote just 

and equitable principles of trade and 

protect investors, because Users who 

submit Stop Orders and Stop-Limit 

Orders will receive the same level of 

drill-through price protection against 

execution at potentially erroneous 

prices, regardless of the sequence in 

which they enter the BZX Book. As a 

result of the proposed rule change, all 

Users’ Stop Orders and Stop-Limit 

Orders will receive protection based on 

the NBBO at the time those orders were 

triggered to enter the BZX Book for 

potential execution, which is consistent 

with the drill-through protection as well 

as Stop Order functionality. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change imposes any 

burden on intramarket competition that 

is not necessary or appropriate in 

furtherance of the purposes of the Act. 

Under the current drill-through price 

protection functionality, the System’s 

use of separate Drill-Through Prices can 

result in Stop Orders executed later in 

sequence being filled at prices several 

levels away from the NBBO in existence 

at the time they are triggered and 

entered into the BZX Book for execution 

merely because those orders were 

submitted after another Stop Order. As 

discussed above, the proposed rule 

change will apply the same DrillThrough Price (and thus the same level 

of drill-through price protection) to Stop 

Orders and Stop-Limit Orders that 

become eligible for potential execution 

at the same time due to the same price 

triggering event. 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on intermarket competition 

that is not necessary or appropriate in 

furtherance of the purposes of the Act 

because it relates solely to how an 

Exchange price protection applies to 

Stop Orders and Stop Limit Orders. The 

proposed enhancement to the drillthrough protection is consistent with 

the current protection and provides 

orders subject to drill-through price 

protection with improved protection 

against execution at potentially 

erroneous prices. 


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12512 Federal Register / Vol. 87, No. 43 / Friday, March 4, 2022 / Notices 

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

16 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

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

the Commission written notice of its intent to file 

the proposed rule change at least five business days 

prior to the date of filing of the proposed rule 

change, or such shorter time as designated by the 

Commission. The Exchange has satisfied this 

requirement. 

17 17 CFR 240.19b–4(f)(6)(iii). 

18For purposes only of waiving the 30-day 

operative delay, the Commission has considered the 

proposed rule change’s impact on efficiency, 

competition, and capital formation. 15 U.S.C. 78c(f). 19 17 CFR 200.30–3(a)(12). 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange has not solicited, and 

does not intend to solicit, comments on 

this proposal. No written comments 

were solicited or received on the 

proposed rule change. 

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 after the date of 

the filing, or such shorter time as the 

Commission may designate, it has 

become effective pursuant to Section 

19(b)(3)(A) of the Act 15 and Rule 19b– 

4(f)(6) 16 thereunder. 

The Exchange has asked the 

Commission to waive the 30-day 

operative delay such that Exchange 

Users will be able to more quickly 

benefit from the proposed Drill through 

protections that are designed to: (1) 

Prevent potentially erroneous 

executions and (2) more closely align 

the execution prices of Stop Orders and 

Stop Limit Orders that become eligible 

for potential execution at the same time 

due to the same price triggering event.17

The Commission finds that waiving the 

30-day operative delay is consistent 

with the protection of investors and the 

public interest. Specifically, waiver of 

the operative delay should allow 

Exchange Users to utilize Stop Orders 

and Stop Limit Orders with an 

increased likelihood that the execution 

price of such orders will be more closely 

related to the market at the time the 

order is triggered for entry onto the BZX 

Book. Accordingly, the Commission 

designates the proposal operative upon 

filing.18

At any time within 60 days of the 

filing of the proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

should be approved or disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

CboeBZX–2022–009 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–CboeBZX–2022–009. This 

file number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

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

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

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

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549 on official 

business days between the hours of 

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

filing also will be available for 

inspection and copying at the principal 

office of the Exchange. All comments 

received will be posted without change; 

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– 

CboeBZX–2022–009 and should be 

submitted on or before March 25, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.19

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–04565 Filed 3–3–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

Sunshine Act Meetings 

TIME AND DATE: Notice is hereby given, 

pursuant to the provisions of the 

Government in the Sunshine Act, Public 

Law 94–409, that the Securities and 

Exchange Commission Investor 

Advisory Committee will hold a public 

meeting on Thursday, March 10, 2022. 

The meeting will begin at 10:00 a.m. 

(ET) and will be open to the public. 

PLACE: The meeting will be conducted 

by remote means. Members of the public 

may watch the webcast of the meeting 

on the Commission’s website at 

www.sec.gov. 

STATUS: This Sunshine Act notice is 

being issued because a majority of the 

Commission may attend the meeting. 

PUBLIC COMMENT: The public is invited 

to submit written statements to the 

Committee, which should be received 

on or before March 9, 2022. 

Written statements may be submitted 

by any of the following methods: 

Electronic Statements 

• Use the Commission’s internet 

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

rules/other.shtml); or 

• Send an email message to rulescomments@sec.gov. Please include File 

No. 265–28 on the subject line; or 

• Paper Statements. Send paper 

statements to Vanessa A. Countryman, 

Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to File 

No. 265–28. This file number should be 

included on the subject line if email is 

used. To help us process and review 

your statement more efficiently, please 

use only one method. 

Statements also will be available for 

website viewing and printing in the 

Commission’s Public Reference Room, 

100 F Street NE, Room 1503, 

Washington, DC 20549, on official 

business days between the hours of 

10:00 a.m. and 3:00 p.m. All statements 

received will be posted without change. 


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