36844 Federal Register / Vol. 86, No. 131 / Tuesday, July 13, 2021 / Notices 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4The weekly listing program is known as the 

Short Term Option Series Program and is described 

within Rule 6.4–O, Commentary .07. 

5The Exchange will open at least one expiration 

month for each class of options open for trading on 

the Exchange. See Rule 6.4–O(a). The monthly 

expirations are subject to certain listing criteria for 

underlying securities described within Rule 5.3–O. 

Monthly listings expire the third Friday of the 

month See The Options Clearing Corporation 

(‘‘OCC’’) By-Laws at Section 1. 

6The quarterly listing program is known as the 

Quarterly Options Series Program and is described 

within Rule 6.4–O, Commentary .08. 

7The interval between strike prices of series of 

options on individual stocks may be $2.50 or 

greater where the strike price is $25 or less, 

provided however, that the Exchange may not list 

$2.50 intervals below $50 (e.g., $12.50, $17.50) for 

any class included within the $1 Strike Price 

Program, as detailed below in Rule 6.4–O, 

Commentary .04 if the addition of $2.50 intervals 

would cause the class to have strike price intervals 

that are $0.50 apart. For series of options on 

Exchange-Traded Fund Shares that satisfy the 

criteria set forth in Rule 5.3–O(g), the interval of 

strike prices may be $1 or greater where the strike 

price is $200 or less or $5 or greater where the strike 

price is over $200. Exceptions to the strike price 

intervals above are set forth in Rule 6.4–O, 

Commentary .05. 

8The $1 Strike Interval Program is described 

within Rule 6.4–O, Commentary .04. 

9The $0.50 Strike Program is described within 

Rule 6.4–O, Commentary .13. 

10The $2.50 Strike Price Program is described 

within Rule 6.4–O, Commentary .03. 

11The $5 Strike Program is described within Rule 

6.4–O, Commentary .10. 

12As a result, the proposed rule change 

subsequently updates current Rule 6.4–O, 

Commentary .07(f) to (g). In this regard, the 

Exchange also proposes to update a cross-reference 

to this newly re-lettered paragraph .07(g) that 

appears in Rule 6.4–O, Commentary .07(a). See 

proposed Rule 6.4–O, Commentary .07(a). 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92335; File No. SR– 

NYSEArca–2021–55] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Amend Rules 6.4–O 

To Limit Short Term Options Series 

Intervals 

July 7, 2021. 

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

Securities Exchange Act of 1934 

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

notice is hereby given that, on June 28, 

2021, NYSE Arca, Inc. (‘‘NYSE Arca’’ or 

the ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the self-regulatory organization. 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 

Rules 6.4–O (Series of Options Contracts 

Open for Trading) in connection with 

limiting the number of strikes listed for 

Short Term Option Series which are 

available for quoting and trading on the 

Exchange. The proposed rule change is 

available on the Exchange’s website at 

www.nyse.com, at the principal office of 

the Exchange, and at the Commission’s 

Public Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

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

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend 

Rule 6.4–O (Series of Options Open for 

Trading). Specifically, this proposal 

seeks to widen the intervals between 

strikes in order to limit the number of 

strikes listed for multiply listed equity 

options classes (excluding options on 

Exchange-Traded Funds (‘‘ETFs’’) and 

Index-Linked Securities (as described 

herein, see infra n. 13) within the Short 

Term Option Series program that have 

an expiration date more than 21 days 

from the listing date. 

Background 

Current Rule 6.4–O permits the 

Exchange, after a particular class of 

options has been approved for listing 

and trading on the Exchange, to open for 

trading series of options therein. The 

Exchange may list series of options for 

trading on a weekly,4 monthly 5 or 

quarterly 6 basis. Rule 6.4–O(a) sets forth 

the intervals between strike prices of 

series of options on individual stocks 

generally 7 and Rule 6.4–O, Commentary 

.07(e) specifically sets forth intervals 

between strike prices Short Term 

Option Series. Additionally, the 

Exchange may list series of options 

pursuant to the $1 Strike Price Interval 

Program,8 the $0.50 Strike Program,9 the 

$2.50 Strike Price Program,10 and the $5 

Strike Program.11 The Exchange’s 

proposal seeks to amend the listing of 

weekly series of options (i.e. Short Term 

Option Series) by adopting new 

Commentary .07(f) to Rule 6.4–O,12

which widens the permissible intervals 

between strikes, thereby limiting the 

number of strikes listed, for 

multiplylisted [sic] equity options 


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13The term ‘‘ETF’’ (Exchange-Traded Fund) (or 

‘‘Fund Shares’’) has the same meaning as the term 

‘‘exchange-traded fund’’ as defined in Rule 6c–11 

under the Investment Company Act of 1940. See 

Rule 5.3–O(g). Securities deemed appropriate for 

options trading shall include shares or other 

securities (‘‘Exchange-Traded Fund Shares’’ or 

‘‘Fund Shares’’) that are traded on a national 

securities exchange and are defined as an ‘‘NMS 

stock’’ in Rule 600(b)(47) of Regulation NMS, and 

that (i) represent an interest in a registered 

investment company organized as an open-end 

management investment company, a unit 

investment trust or a similar entity which holds 

securities and/or financial instruments, options on 

securities and indices, equity caps, collars and 

floors, swap agreements, forward contracts, 

repurchase agreements and reverse repurchase 

agreements (the ‘‘Financial Instruments’’), and 

money market instruments, including, but not 

limited to, U.S. government securities and 

repurchase agreements (the ‘‘Money Market 

Instruments’’) constituting or otherwise based on or 

representing an investment in an index or portfolio 

of securities and/or Financial Instruments and 

Money Market Instruments, or (ii) represent 

interests in a trust or similar entity that holds a 

specified non-U.S. currency deposited with the 

trust or similar entity when aggregated in some 

specified minimum number may be surrendered to 

the trust by the beneficial owner to receive the 

specified non-U.S. currency and pays the beneficial 

owner interest and other distributions on the 

deposited non-U.S. currency, if any, declared and 

paid by the trust; or (iii) represent commodity pool 

interests principally engaged, directly or indirectly, 

in holding and/or managing portfolios or baskets of 

securities, commodity futures contracts, options on 

commodity futures contracts, swaps, forward 

contracts and/or options on physical commodities 

and/or non-U.S. currency (‘‘Commodity Pool 

Units’’), or (iv) represent interests in the SPDR Gold 

Trust, or (v) represent interests in the iShares 

COMEX Gold Trust, or (vi) represent interests in the 

iShares Silver Trust, (vii) represents an interest in 

a registered investment company (‘‘Investment 

Company’’) organized as an open-end management 

investment company or similar entity, that invests 

in a portfolio of securities selected by the 

Investment Company’s investment adviser 

consistent with the Investment Company’s 

investment objectives and policies, which is issued 

in a specified aggregate minimum number in return 

for a deposit of a specified portfolio of securities 

and/or a cash amount with a value equal to the next 

determined net asset value (‘‘NAV’’), and when 

aggregated in the same specified minimum number, 

may be redeemed at a holder’s request, which 

holder will be paid a specified portfolio of 

securities and/or cash with a value equal to the next 

determined NAV (‘‘Managed Fund Share’’), or, (viii) 

represents interests in the ETFS Silver Trust or 

ETFS Gold Trust, or, (ix) represents interests in the 

ETFS Palladium Trust or ETFS Platinum Trust. 14Securities deemed appropriate for options 

trading shall include shares or other securities 

(‘‘Equity Index-Linked Securities’’, ‘‘CommodityLinked Securities,’’ ‘‘Currency-Linked Securities,’’ 

‘‘Fixed Income Index-Linked Securities,’’ ‘‘FuturesLinked Securities,’’ and ‘‘Multifactor Index-Linked 

Securities,’’ collectively known as ‘‘Index-Linked 

Securities’’), as defined in Rule 5.2–E(j)(6), that are 

principally traded on a national securities exchange 

and an ‘‘NMS stock’’ (as defined in Rule 600 of 

Regulation NMS under the Securities and Exchange 

Act of 1934), and represent ownership of a security 

that provides for the payment at maturity, as 

described below; Equity Index-Linked Securities are 

securities that provide for the payment at maturity 

of a cash amount based on the performance or the 

leveraged (multiple or inverse) performance of an 

underlying index or indexes of equity securities 

(‘‘Equity Reference Asset’’); Commodity-Linked 

Securities are securities that provide for the 

payment at maturity of a cash amount based on the 

performance or the leveraged (multiple or inverse) 

performance of one or more physical commodities 

or commodity futures, options on commodities, or 

other commodity derivatives or Commodity-Based 

Trust Shares or a basket or index of any of the 

foregoing (‘‘Commodity Reference Asset’’); 

Currency-Linked Securities are securities that 

provide for the payment at maturity of a cash 

amount based on the performance or the leveraged 

(multiple or inverse) performance of one or more 

currencies, or options on currencies or currency 

futures or other currency derivatives or Currency 

Trust Shares (as defined in Rule 8.202–E(c)) or a 

basket or index of any of the foregoing (‘‘Currency 

Reference Asset’’); Fixed Income Index-Linked 

Securities are securities that provide for the 

payment at maturity of a cash amount based on the 

performance or the leveraged (multiple or inverse) 

performance of one or more notes, bonds, 

debentures or evidence of indebtedness that 

include, but are not limited to, U.S. Department of 

Treasury securities (‘‘Treasury Securities’’), 

government-sponsored entity securities (‘‘GSE 

Securities’’), municipal securities, trust preferred 

securities, supranational debt and debt of a foreign 

country or a subdivision thereof or a basket or index 

of any of the foregoing (‘‘Fixed Income Reference 

Asset’’); Futures-Linked Securities are securities 

that provide for the payment at maturity of a cash 

amount based on the performance or the leveraged 

(multiple or inverse) performance of an index or 

indexes of futures contracts or options or 

derivatives on futures contracts (a ‘‘Futures 

Reference Asset’’); and Multifactor Index-Linked 

Securities are securities that provide for the 

payment at maturity of a cash amount based on the 

performance or the leveraged (multiple or inverse) 

performance of any combination of two or more 

Equity Reference Assets, Commodity Reference 

Assets, Currency Reference Assets, Fixed Income 

Reference Assets, or Futures Reference Assets (a 

‘‘Multifactor Reference Asset’’). 

15The Exchange may have no more than a total 

of five Short Term Option Expiration Dates, not 

including any Monday or Wednesday SPY 

Expirations as provided in paragraph (g). If the 

Exchange is not open for business on the respective 

Thursday or Friday, the Short Term Option 

Opening Date will be the first business day 

immediately prior to that respective Thursday or 

Friday. Similarly, if the Exchange is not open for 

business on the Friday that the options are set to 

expire, the Short Term Option Expiration Date will 

be the first business day immediately prior to that 

Friday. See Rule 6.4–O, Commentary .07. The 

Exchange may open for trading on any Friday or 

Monday that is a business day series of options on 

the SPDR S&P 500 ETF Trust (‘‘SPY’’) to expire on 

any Monday of the month that is a business day and 

is not a Monday on which Quarterly Options Series 

expire (‘‘Monday SPY Expirations’’), provided that 

any Friday on which the Exchange opens for 

trading a Monday SPY Expiration is one business 

week and one business day prior to expiration. The 

Exchange may also open for trading on any Tuesday 

or Wednesday that is a business day series of SPY 

options to expire on any Wednesday of the month 

that is a business day and is not a Wednesday on 

which Quarterly Options Series expire 

(‘‘Wednesday SPY Expirations’’). The Exchange 

may list up to five consecutive Monday SPY 

Expirations and up to five consecutive Wednesday 

SPY Expirations at one time; the Exchange may 

have no more than a total of five Monday SPY 

Expirations and no more than a total of five 

Wednesday SPY Expirations. Monday and 

Wednesday SPY Expirations will be subject to the 

provisions of this Rule. See Rule 6.4–O, 

Commentary .07(f). With the exception of Monday 

and Wednesday SPY Expirations, no Short Term 

Option Series may expire in the same week in 

which monthly option series on the same class 

expire or, in the case of Quarterly Options Series, 

on an expiration that coincides with an expiration 

of Quarterly Options Series on the same class. See 

Rule 6.4–O, Commentary .07. 

16See Rule 6.4–O, Commentary .07(a). 

(excluding options on ETFs 13 and 

Index-Linked Securities 14 that have an 

expiration date more than 21 days from 

the listing date. This proposal does not 

amend the monthly or quarterly listing 

rules, nor does it amend the $1 Strike 

Price Interval Program, the $0.50 Strike 

Program, the $2.50 Strike Price Program, 

or the $5 Strike Program. 

Short Term Option Series Program 

After an option class has been 

approved for listing and trading on the 

Exchange,15 Rule 6.4–O, Commentary 

.07 permits the Exchange to open for 

trading on any Thursday or Friday that 

is a business day (‘‘Short Term Option 

Opening Date’’) series of options on that 

class that expire at the close of business 

on each of the next five Fridays that are 

business days and are not Fridays on 

which monthly options series or 

Quarterly Options Series expire (‘‘Short 

Term Option Expiration Dates’’). The 

Exchange may select up to fifty 

currently listed option classes on which 

Short Term Option Series may be 

opened on any Short Term Option 

Opening Date. In addition to the fifty 

option class restriction, the Exchange 

may also list Short Term Option Series 

on any option classes that are selected 

by other securities exchanges that 

employ a similar program under their 

respective rules. For each option class 

eligible for participation in the Short 

Term Option Series Program, the 

Exchange may open up to 30 Short 

Term Option Series for each expiration 

date in that class. The Exchange may 

also open Short Term Option Series that 

are opened by other securities 

exchanges in option classes selected by 

such exchanges under their respective 

short term option rules.16 Pursuant to 

Rule 6.4–O Commentary .07(c), the 

Exchange may open up to 30 initial 

series for each option class that 

participates in the Short Term Option 

Series Program and, pursuant to Rule 

6.4–O Commentary .07(d), if the 

Exchange opens less than 30 Short Term 

Option Series for a Short Term Option 

Expiration Date, additional series may 

be opened for trading on the Exchange 

when the Exchange deems it necessary 

to maintain an orderly market, to meet 

customer demand, or when the market 

price of the underlying security moves 

substantially from the exercise price or 

prices of the series already opened. Rule 

6.4–O, Commentary .07(e) provides that, 

if the class does not trade in $1 strike 

price intervals, the strike price interval 

for Short Term Option Series may be: (i) 


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17Additionally, Rule 6.4–O, Commentary .07 (e) 

provides that the interval between strike prices on 

Short Term Option Series shall be the same as the 

strike prices for series in that same option class that 

expire in accordance with the normal monthly 

expiration cycle. During the expiration week of an 

option class that is selected for the Short Term 

Option Series Program pursuant to this rule (‘‘Short 

Term Option’’), the strike price intervals for the 

related non-Short Term Option (‘‘Related non-Short 

Term Option’’) shall be the same as the strike price 

intervals for the Short Term Option. 

18See Securities Exchange Act Release No. 91125 

(February 12, 2021), 86 FR 10375 (February 19, 

2021) (SR–BX–2020–032) (‘‘BX Strike Interval 

Approval Order’’); and SR–2020–BX–032 as 

amended by Amendment No. 1 (February 10, 2021) 

available at: https://www.sec.gov/comments/sr-bx2020-032/srbx2020032-8359799-229182.pdf (‘‘BX 

proposal’’); see also BX Options Strike Proliferation 

Proposal (February 25, 2021) available at: https://

www.nasdaq.com/solutions/bx-options-strikeproliferation-proposal). 

19See BX Strike Interval Approval Order, id. 

20The Exchange notes that corporate actions 

resulting in change ownership would result in a 

surviving company, such as a merger of two 

publicly listed companies, and the Share Price of 

the surviving company would be used to determine 

strike intervals pursuant to the proposed table. 

Corporate actions that do not result in a change of 

ownership, such as stock-splits or distribution of 

special cash dividends, would not result in a 

‘‘surviving company,’’ therefore would not impact 

which Share Price to apply pursuant to the 

proposed Rule. 

21For example, options listed as of April 1, 2021 

would be calculated on April 2, 2021 using the 

Average Daily Volume from October 1, 2020 to 

December 31, 2020. 

22The Exchange notes that any strike intervals 

imposed by the Exchange’s Rules will continue to 

apply. In this example, the strikes would be in $1 

intervals up to (but not including) $150, which is 

the upper limit imposed by Rule 6.4–O, 

Commentary .07(e). 

$0.50 or greater where the strike price 

is less than $75; (ii) $1.00 or greater 

where the strike price is between $75 

and $150; or (iii) $2.50 or greater for 

strike prices greater than $150.17

The Exchange notes that listings in 

the weekly program comprise a 

significant part of the standard listing in 

options markets and that the industry 

has observed a notable increase over 

approximately the last five years in 

compound annual growth rate 

(‘‘CAGR’’) of weekly strikes as compared 

to CAGR for standard third-Friday 

expirations.18

Proposal 

The Exchange proposes to widen the 

intervals between strikes in order to 

limit the number of strikes listed for 

equity options (excluding options on 

ETFs and Index-Linked Securities) 

listed as part of the Short Term Option 

Series Program that have an expiration 

date more than 21 days from the listing 

date, by adopting proposed Rule 6.4–O, 

Commentary .07(f). The Exchange notes 

that this proposal is substantively 

identical to the strike interval proposal 

recently submitted by Nasdaq BX, Inc. 

(‘‘BX’’) and approved by the Securities 

and Exchange Commission 

(‘‘Commission’’).19

The proposal widens intervals 

between strikes for expiration dates of 

equity option series (excluding options 

on ETFs and Index-Linked Securities) 

beyond 21 days utilizing the three-tiered 

table in proposed Rule 6.4–O, 

Commentary .07(f) (presented below) 

which considers both the Share Price 

and Average Daily Volume for the 

option series. The table indicates the 

applicable strike intervals and 

supersedes Rule 6.4–O, Commentary 

.07(d), which currently permits 10 

additional series to be opened for 

trading on the Exchange when the 

Exchange deems it necessary to 

maintain an orderly market, to meet 

customer demand or when the market 

price of the underlying security moves 

substantially from the exercise price or 

prices of the series already opened. As 

a result of the proposal Rule 6.4–O, 

Commentary .07(d) would not permit an 

additional series of an equity option to 

have an expiration date more than 21 

days from the listing date to be opened 

for trading on the Exchange despite the 

noted circumstances in paragraph (d) 

when such additional series may 

otherwise be added. 

Tier Average daily volume 

Share price 

Less than $25 $25 to less 

than $75 

$75 to less 

than $150 

$150 to less 

than $500 

$500 or 

greater 

1 ........................... Greater than 5,000 ............................ $0.50 $1.00 $1.00 $5.00 $5.00 

2 ........................... Greater than 1,000 to 5,000 .............. 1.00 1.00 1.00 5.00 10.00 

3 ........................... 0 to 1,000 .......................................... 2.50 5.00 5.00 5.00 10.00 

Proposed Rule 6.4–O, Commentary 

.07(f)(1) provides that the Share Price is 

the closing price on the primary market 

on the last day of the calendar quarter. 

This value is used to derive the column 

from which to apply strike intervals 

throughout the next calendar quarter. 

Also, proposed Rule 6.4–O, 

Commentary .07(f)(1) provides that in 

the event of a corporate action, the 

Share Price of the surviving company is 

utilized.20 Proposed Rule 6.4–O, 

Commentary .07(f)(2) provides that the 

Average Daily Volume is the total 

number of option contracts traded in a 

given security for the applicable 

calendar quarter divided by the number 

of trading days in the applicable 

calendar quarter. Beginning on the 

second trading day in the first month of 

each calendar quarter, the Average Daily 

Volume is calculated by utilizing data 

from the prior calendar quarter based on 

Customer-cleared volume at OCC. For 

options listed on the first trading day of 

a given calendar quarter, the Average 

Daily Volume is calculated using the 

calendar quarter prior to the last trading 

calendar quarter.21 Pursuant to current 

Rule 6.4–O, Commentary .07, if the 

Exchange is not open for business on 

the respective Thursday or Friday, the 

Short Term Option Opening Date will 

be the first business day immediately 

prior to that respective Thursday or 

Friday. 

By way of example, if the Share Price 

for a symbol was $142 at the end of a 

calendar quarter, with an Average Daily 

Volume greater than 5,000, thereby, 

requiring strike intervals to be listed 

$1.00 apart, that strike interval would 

apply for the calendar quarter, 

regardless of whether the Share Price 

changed to $150 or greater during that 

calendar quarter.22 The proposed table 

within Rule 6.4–O, Commentary .07(f) 

takes into account the notional value of 

a security, as well as Average Daily 

Volume in the underlying stock, in 

order to widen the intervals between 

strikes and thereby limit the number of 

strikes listed for equity options 

(excluding options on ETFs and IndexLinked Securities) in the Short Term 

Option Series listing program. The 

Exchange will utilize OCC Customercleared volume, as customer volume is 

an appropriate proxy for demand. The 

OCC Customer-cleared volume 

represents the majority of options 

volume executed on the Exchange, 

which, in turn, reflects the demand in 

the marketplace. The options series 

listed on the Exchange are intended to 

meet customer demand by offering an 

appropriate number of strikes. NonCustomer cleared OCC volume generally 

represents the supply side. 


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23See BX proposal, supra note 18, which presents 

tables that focus on data for 10 of the most and least 

actively traded symbols and demonstrate average 

spreads in weekly options during the month of 

August 2020. 24The Exchange notes that this proposal is an 

initial attempt at reducing strikes and anticipates 

filing additional proposals to continue reducing 

strikes. The percentage of underlying products and 

percentage of and total number of strikes, are 

approximations and may vary slightly at the time 

of this filing. The Exchange intends to decrease the 

overall number of strikes listed on the NYSE Group 

options exchanges in a methodical fashion, so that 

it may monitor progress and feedback from its OTP 

Holders. The Exchange also notes that its affiliated 

options exchange, NYSE American Options LLC 

plans to submit an identical proposal. 

25From information drawn from time period 

between January 2020 and May 2020. See BX 

proposal, supra note 18. 

26See BX proposal, supra note 18. 

27For example, two strikes that are densely 

clustered may have the same risk properties and 

may also be the same percentage out-of-the money. 

28For example, if an options class became newly 

eligible for listing pursuant to Rule 5.3–O on March 

1, 2021 (and was actually listed for trading that 

day), the first full quarterly lookback would be 

available on July 1, 2021. This option would 

become subject to the proposed strike intervals on 

July 2, 2021. 29See Rule 6.37A–O. 

The proposal is intended to remove 

repetitive and unnecessary strike 

listings across the weekly expiries. 

Specifically, the proposal seeks to 

reduce the number of strikes listed in 

the furthest weeklies, which generally 

have wider markets and therefore lower 

market quality.23 The proposed strike 

intervals are intended to widen 

permissible strike intervals in multiply 

listed equity options (excluding options 

on ETFs and Index-Linked Securities) 

where there is less volume as measured 

by the Average Daily Volume tiers. 

Therefore, the lower the Average Daily 

Volume, the greater the proposed spread 

between strike intervals. Options classes 

with higher volume contain the most 

liquid symbols and strikes, which the 

Exchange believes makes the finer 

proposed spread between strike 

intervals for those symbols appropriate. 

Additionally, lower-priced shares have 

finer strike intervals than higher-priced 

shares when comparing the proposed 

spread between strike intervals. Today, 

weeklies are available on 16% of 

underlying products. The proposal 

limits the density of strikes listed in 

series of options, without reducing the 

classes of options available for trading 

on the Exchange. Short Term Option 

Series with an expiration date greater 

than 21 days from the listing date 

currently equate to 7.5% of the total 

number of strikes in the options market, 

which equals 81,000 strikes.24 The 

Exchange expects this proposal to result 

in the limitation of approximately 

20,000 strikes within the Short Term 

Option Series, which is approximately 

2% of the total strikes in the options 

markets.25 The Exchange understands 

there has been an inconsistency of 

demand for series of options beyond 21 

calendar days.26 The proposal takes into 

account customer demand for certain 

options classes, by considering both the 

Share Price and the Average Daily 

Volume, in order to remove certain 

strike intervals where there exist 

clusters of strikes whose characteristics 

closely resemble one another and, 

therefore, do not serve different trading 

needs,27 rendering these strikes less 

useful. The Exchange also notes that the 

proposal focuses on strikes in multiply 

listed equity options, and excludes ETFs 

and Index-Linked Securities, as the 

majority of strikes reside within equity 

options. 

Additionally, proposed Rule 6.4–O, 

Commentary .07(f)(3) provides that 

options that are newly eligible for listing 

pursuant to Rule 5.3–O and designated 

to participate in the Short Term Option 

Series program pursuant to Rule 6.4–O, 

Commentary .07(f) will not be subject to 

subparagraph (f) (as proposed) until 

after the end of the first full calendar 

quarter following the date the option 

class was first listed for trading on any 

options market.28 As proposed, the 

Exchange is permitted to list options on 

newly eligible listings, without having 

to apply the wider strike intervals, until 

the end of the first full calendar quarter 

after such options were listed. The 

proposal thereby permits the Exchange 

to add strikes to meet customer demand 

in a newly listed options class. A newly 

eligible option class may fluctuate in 

price after its initial listing; such 

volatility reflects a natural uncertainty 

about the security. By deferring the 

application of the proposed wider strike 

intervals until after the end of the first 

full calendar quarter, additional 

information on the underlying security 

will be available to market participants 

and public investors, as the price of the 

underlying has an opportunity to settle 

based on the price discovery that has 

occurred in the primary market during 

this deferment period. Also, the 

Exchange has the ability to list as many 

strikes as are permissible for the Short 

Term Option Series once the expiry is 

no more than 21 days. Short Term 

Option Series that have an expiration 

date no more than 21 days from the 

listing date are not subject to the 

proposed strike intervals, which allows 

the Exchange to list additional, and 

potentially narrower, strikes in the 

event of market volatility or other 

market events. These metrics are 

intended to align expectations for 

determining which strike intervals will 

be utilized. Finally, proposed Rule 6.4– 

O, Commentary .07(f)(4) provides that, 

notwithstanding the strike intervals 

imposed in proposed subparagraph (f), 

the proposal does not amend the range 

of strikes that may be listed pursuant to 

subparagraph (e). 

While the current listing rules permit 

the Exchange to list a number of weekly 

strikes on its market, in an effort to 

encourage Market Makers to deploy 

capital more efficiently, as well as 

improve displayed market quality, the 

proposal aims to reduce the density of 

strikes listed in later weeks by widening 

the intervals between strikes listed for 

equity options (excluding options on 

ETFs and Index-Linked Securities) 

which have an expiration date more 

than 21 days from the listing date. The 

Exchange requires Lead Market Makers 

(‘‘LMMs’’) and Market Makers to quote 

during a certain amount of time in the 

trading day and in a certain percentage 

of series in their assigned options 

classes to maintain liquidity in the 

market.29 With an increasing number of 

strikes being listed across options 

exchanges, Market Makers must expend 

their capital to ensure that they have the 

appropriate infrastructure to meet their 

quoting obligations on all options 

markets in which they are assigned in 

option classes. The Exchange believes 

that by widening the intervals between 

strikes listed for equity options 

(excluding options on ETFs and IndexLinked Securities), thus reducing the 

number of strikes listed on the 

Exchange, the proposal will likewise 

reduce the number of weekly strikes in 

which LMMs and Market Makers are 

required to quote and, as a result, allow 

LMMs and Market Makers to expend 

their capital in the options market in a 

more efficient manner. Due to this 

increased efficiency, the Exchange 

believes that the proposal may improve 

overall market quality on the Exchange 

by widening the intervals between 

strikes in multiply listed equity options 

(excluding options on ETFs and IndexLinked Securities) that have an 

expiration date more than 21 days from 

the listing date. The proposal is 

intended to balance the goal of limiting 

the number of listed strikes with the 

needs of market participants. The 

Exchange believes that the various 

permissible strike intervals will 

continue to offer market participants the 

ability to select the appropriate strikes 

to meet their investment objectives. 

Implementation 

The Exchange will announce the 

implementation date of the proposed 


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36848 Federal Register / Vol. 86, No. 131 / Tuesday, July 13, 2021 / Notices 

30When the Exchange is the first exchange to list 

an option class Rule 6.4–O, Commentary .07 the 

Exchange shall provide a Trader Notice OTP 

Holders regarding the Short Term Option Series to 

be listed. Such notice will include for each eligible 

option class: The closing price of the underlying, 

the Average Daily Volume of the option class; and 

the eligible strike category (per the proposed table) 

in which the eligible option class falls under as a 

result of the closing price and the Average Daily 

Volume. 

31 15 U.S.C. 78f(b). 

32 15 U.S.C. 78f(b)(5). 

33 Id. 34See supra note 30. 

35The Exchange notes that is has discussed the 

proposed strike intervals with various OTP Holders. 

36Options contracts settle one business day after 

trade date. Strike listing determinations are made 

the day prior to the start of trading in each series. 

rule change by Trader Update to be 

published no later than 30 days 

following the operative date of the 

proposed rule. The implementation date 

will be no later than 30 days following 

the issuance of the Trader Update. The 

Exchange will issue a Trader Update 30

to its OTP Holders whenever the 

Exchange is the first exchange to list a 

class as eligible for Short Term Option 

Series pursuant to Rule 6.4–O, 

Commentary .07. 

2. Statutory Basis 

The Exchange believes the proposed 

rule change is consistent with the 

Securities Exchange Act of 1934 (the 

‘‘Act’’) and the rules and regulations 

thereunder applicable to the Exchange 

and, in particular, the requirements of 

Section 6(b) of the Act.31 Specifically, 

the Exchange believes the proposed rule 

change is consistent with the Section 

6(b)(5) 32 requirements that the rules of 

an exchange be 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. 

Additionally, the Exchange believes the 

proposed rule change is consistent with 

the Section 6(b)(5) 33 requirement that 

the rules of an exchange not be designed 

to permit unfair discrimination between 

customers, issuers, brokers, or dealers. 

The proposal seeks to widen the 

permissible intervals between strikes 

listed for equity options (excluding 

options on ETFs and Index-Linked 

Securities) in order to limit the number 

of strikes listed in the Short Term 

Option Series program that have an 

expiration date more than 21 days. The 

proposal removes impediments to and 

perfects the mechanism of a free and 

open market and a national market 

system by encouraging Market Makers 

to deploy capital more efficiently, 

which may improve market quality 

overall on the Exchange, by widening 

the intervals between strikes when 

applying the strike interval table to 

multiply listed equity options 

(excluding options on ETFs and IndexLinked Securities) that have an 

expiration date more than 21 days from 

the listing date. As described above, the 

Exchange requires LMMs and Market 

Makers to quote during a certain amount 

of time in the trading day and in a 

certain percentage of series in their 

assigned options classes to maintain 

liquidity in the market.34 With an 

increasing number of strikes due, in 

part, to tighter intervals being listed 

across options exchanges, Market 

Makers must expend their capital to 

ensure that they have the appropriate 

infrastructure to meet their quoting 

obligations on all options markets in 

which they are assigned in options 

classes. The Exchange believes that this 

proposal will widen the intervals 

between strikes listed on the Exchange, 

thereby reducing the number of weekly 

options listed on its market in later 

weeks in which Market Makers are 

required to quote and, in turn, allowing 

DPMs and Market Makers to expend 

their capital in the options market in a 

more efficient manner. 

The Exchange believes that limiting 

the permissible strikes for multiply 

listed equity options (excluding options 

on ETFs and Index-Linked Securities) 

that have an expiration date more than 

21 days from the listing date will not 

significantly disrupt the market, as the 

majority of the volume traded in weekly 

options exists in options series which 

have an expiration date of 21 days or 

less. The proposal will limit the number 

of strikes listed in series of options 

without reducing the number of classes 

of options available for trading on the 

Exchange. The proposal allows the 

Exchange to determine the weekly strike 

intervals for multiply listed equity Short 

Term Option Series listed in the later 

weeks by taking into account customer 

demand for certain options classes by 

considering both the Share Price and the 

Average Daily Volume in the underlying 

security. The Exchange utilizes OCC 

Customer-cleared volume, as customer 

volume is an appropriate proxy for 

demand. Whereas non-Customer cleared 

OCC volume generally represents the 

supply side, the Exchange believes OCC 

Customer-cleared volume represents the 

majority of options volume executed on 

the Exchange, which, in turn, reflects 

the demands in the marketplace and is 

therefore intended to assist the 

Exchange in meeting customer demand 

by offering an appropriate number of 

strikes. 

The proposal is intended to remove 

certain strikes where there exist clusters 

of strikes whose characteristics closely 

resemble one another and, therefore, do 

not serve different trading needs, which 

currently results in less useful strikes. 

As such, the proposal protects investors 

and the general public by removing 

unnecessary choices for an options 

series, which the Exchange believes may 

improve market quality. The proposal 

seeks to reduce the number of strikes in 

the furthest weeklies, which generally 

have wider markets, and, therefore, 

lower market quality. The 

implementation of the Strike Interval 

table is intended to allow for greater 

spreads between strike intervals in 

multiply listed equity options where 

there is less volume as measured by the 

Average Daily Volume tiers. Therefore, 

the lower the Average Daily Volume, the 

wider the proposed spread between 

strike intervals, and the higher the 

Average Daily Volume (i.e., the options 

classes that contain the most liquid 

symbols and strikes), the narrower the 

proposed spread between strike 

intervals. Additionally, the proposed 

strike intervals are finer for lower-priced 

shares than higher-priced shares.35 As a 

result, the Exchange believes that, by 

limiting the permissible strikes for 

multiply listed equity options 

(excluding options on ETFs and IndexLinked Securities) that have an 

expiration date more than 21 days from 

the listing date pursuant to the proposed 

Strike Interval table, the proposal may 

improve overall market quality on the 

Exchange, which serves to protect 

investors and the general public. 

Further, utilizing the second trading 

day of a calendar quarter allows the 

Exchange to accumulate data regarding 

OCC Customer-cleared volume from the 

entire prior calendar quarter and allows 

the calculation of Average Daily Volume 

to account for trades executed on the 

last day of the previous calendar 

quarter, which will have settled by the 

second trading day.36 The Exchange 

believes that applying the previous 

calendar quarter for the calculation is 

appropriate to reduce the impact of 

unusual trading activity as a result of 

unique market events, such as a 

corporate action (i.e., it may result in a 

more reliable measure of Average Daily 

Volume than a shorter period). 


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Federal Register / Vol. 86, No. 131 / Tuesday, July 13, 2021 / Notices 36849 

37See BX Strike Interval Approval Order, supra 

note 18. 

38See BX Strike Interval Approval Order, supra 

note 18. 

39 15 U.S.C. 78s(b)(3)(A)(iii). 

40 17 CFR 240.19b–4(f)(6). 

41 In addition, Rule 19b–4(f)(6)(iii) requires the 

Exchange 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. 

42 17 CFR 240.19b–4(f)(6). 

43 17 CFR 240.19b–4(f)(6)(iii). 

44For purposes only of waiving the 30-day 

operative delay, the Commission also has 

considered the proposed rule’s impact on 

efficiency, competition, and capital formation. See 

15 U.S.C. 78c(f). 

As stated, the proposal is 

substantively identical to the strike 

interval proposal recently submitted by 

BX and approved by the Commission.37

The Exchange believes that varied strike 

intervals will continue to offer market 

participants the ability to select the 

appropriate strike interval to meet that 

market participants’ investment 

objectives. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. The 

Exchange does not believe that the 

proposed rule change will impose any 

burden on intramarket competition that 

is not necessary or appropriate in 

furtherance of the purposes of the Act 

as the proposed rule change limits the 

number of Short Term Option Series 

strikes available for quoting and trading 

on the Exchange for all market 

participants. Therefore, all market 

participants will equally be able to 

transact in options series in the strikes 

listed for trading on the Exchange. The 

proposal is intended to reduce the 

number of strikes for weekly options 

listed in later weeks without reducing 

the number of classes of options 

available for trading on the Exchange 

while also continuing to offer an 

appropriate number of strikes the 

Exchange believes will meet market 

participants’ investment objectives. 

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 

as it only impacts the permissible strike 

intervals for certain options series listed 

on the Exchange. Additionally, another 

options exchange has recently 

implemented a substantively identical 

rule for listing Short Term Option Series 

strike intervals on its exchange, 

approved by the Commission.38 The 

proposal is a competitive response that 

will permit the Exchange to list the 

same series in multiply listed options as 

another options exchange. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The Exchange has filed the proposed 

rule change pursuant to Section 

19(b)(3)(A)(iii) 39 of the Act and Rule 

19b–4(f)(6) thereunder.40 Because the 

foregoing proposed rule change does 

not: (i) Significantly affect the 

protection of investors or the public 

interest; (ii) impose any significant 

burden on competition; and (iii) become 

operative for 30 days from the date on 

which it was filed, or such shorter time 

as the Commission may designate, it has 

become effective pursuant to Section 

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

subparagraph (f)(6) of Rule 19b–4 

thereunder.41

A proposed rule change filed 

pursuant to Rule 19b–4(f)(6) under the 

Act 42 normally does not become 

operative for 30 days after the date of its 

filing. However, Rule 19b–4(f)(6)(iii) 43

permits the Commission to designate a 

shorter time if such action is consistent 

with the protection of investors and the 

public interest. The Exchange has asked 

the Commission to waive the 30-day 

operative delay so that the Exchange 

may implement the proposed rule 

change at the same time that all other 

options exchanges implement their 

respective rule changes. The 

Commission believes that waiver of the 

30-day operative delay is consistent 

with the protection of investors and the 

public interest because the proposed 

rule change is substantively identical to 

rules adopted by each other options 

exchange, and therefore the Exchange’s 

proposal does not raise any new or 

novel issues. Waiver of the operative 

delay will allow the Exchange to 

implement its new rule on the same 

timeline as the other options exchanges, 

and such coordinated implementation 

will reduce potential investor confusion 

and facilitate a harmonized approach to 

strike listings for options within the 

Short Term Option Series program that 

have an expiration date more than 21 

days from the listing date. Therefore, the 

Commission hereby waives the 

operative delay and designates the 

proposal as operative upon filing.44

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– 

NYSEArca–2021–55 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–NYSEArca–2021–55. 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 


jbell on DSKJLSW7X2PROD with NOTICES
36850 Federal Register / Vol. 86, No. 131 / Tuesday, July 13, 2021 / Notices 

45 17 CFR 200.30–3(a)(12). 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4See Securities Exchange Act Release No. 51808 

(June 9, 2005), 70 FR 37496, 37499 (June 29, 2005) 

(S7–10–04) (Final Rule) (‘‘Regulation NMS’’). 

5See Securities Exchange Act Release No. 51808, 

84 FR 5202, 5253 (February 20, 2019) (File No. S7– 

05–18) (Transaction Fee Pilot for NMS Stocks Final 

Rule) (‘‘Transaction Fee Pilot’’). 6See Cboe Global Markets, U.S. Equities Market 

Volume Summary, available at http://

markets.cboe.com/us/equities/market_share/. See 

generally https://www.sec.gov/fast-answers/ 

divisionsmarketregmrexchangesshtml.html. 

7See FINRA ATS Transparency Data, available at 

https://otctransparency.finra.org/otctransparency/ 

AtsIssueData. Although 54 alternative trading 

systems were registered with the Commission as of 

July 29, 2019, only 31 are currently trading. A list 

of alternative trading systems registered with the 

Commission is available at https://www.sec.gov/ 

foia/docs/atslist.htm. 

8See Cboe Global Markets U.S. Equities Market 

Volume Summary, available at http://

markets.cboe.com/us/equities/market_share/. 

9See id. 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549 on official 

business days between the hours of 

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

filing also will be available for 

inspection and copying at the principal 

office of the Exchange. All comments 

received will be posted without change. 

Persons submitting comments are 

cautioned that we do not redact or edit 

personal identifying information from 

comment submissions. You should 

submit only information that you wish 

to make available publicly. All 

submissions should refer to File 

Number SR–NYSEArca–2021–55, and 

should be submitted on or before 

August 3, 2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.45

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–14792 Filed 7–12–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92343; File No. SR–NYSE– 

2021–39] 

Self-Regulatory Organizations; New 

York Stock Exchange LLC; Notice of 

Filing and Immediate Effectiveness of 

Proposed Rule Change To Amend Its 

Price List 

July 7, 2021. 

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

Securities Exchange Act of 1934 

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

notice is hereby given that, on June 30, 

2021, New York Stock Exchange LLC 

(‘‘NYSE’’ or ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

prepared by the self-regulatory 

organization. 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 its 

Price List to modify the requirements to 

qualify for Supplemental Liquidity 

Provider (‘‘SLP’’) Tier 5. The Exchange 

proposes to implement the rule change 

on July 1, 2021. The proposed rule 

change is available on the Exchange’s 

website at www.nyse.com, at the 

principal office of the Exchange, and at 

the Commission’s Public Reference 

Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

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

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend its 

to modify the requirements to qualify 

for SLP Tier 5. 

The proposed changes respond to the 

current competitive environment where 

order flow providers have a choice of 

where to direct liquidity-providing 

orders by offering further incentives for 

member organizations to send 

additional displayed liquidity to the 

Exchange. 

The Exchange proposes to implement 

the rule change on July 1, 2021. 

Current Market and Competitive 

Environment 

The Exchange operates in a highly 

competitive market. The Commission 

has repeatedly expressed its preference 

for competition over regulatory 

intervention in determining prices, 

products, and services in the securities 

markets. Specifically, in Regulation 

NMS, the Commission highlighted the 

importance of market forces in 

determining prices and SRO revenues 

and, also, recognized that current 

regulation of the market system ‘‘has 

been remarkably successful in 

promoting market competition in its 

broader forms that are most important to 

investors and listed companies.’’ 4

As the Commission itself has 

recognized, the market for trading 

services in NMS stocks has become 

‘‘more fragmented and competitive.’’ 5

Indeed, equity trading is currently 

dispersed across 16 exchanges,6 31 

alternative trading systems,7 and 

numerous broker-dealer internalizers 

and wholesalers. Based on publiclyavailable information, no single 

exchange has more than 18% of the 

market.8 Therefore, no exchange 

possesses significant pricing power in 

the execution of equity order flow. More 

specifically, the Exchange’s share of 

executed volume of equity trades in 

Tapes A, B and C securities is less than 

14%.9

The Exchange believes that the evershifting market share among the 

exchanges from month to month 

demonstrates that market participants 

can move order flow, or discontinue or 

reduce use of certain categories of 

products, in response to fee changes. 

With respect to non-marketable order 

flow that would provide displayed 

liquidity on an Exchange, member 

organizations can choose from any one 

of the numerous currently operating 

registered exchanges to route such order 

flow. Accordingly, competitive forces 

constrain exchange transaction fees that 

relate to orders that would provide 

liquidity on an exchange [sic]. 

Proposed Rule Change 

In response to the competitive 

environment described above, the 

Exchange has established incentives for 

its member organizations who submit 

orders that provide liquidity on the 

Exchange. The proposed fee change is 

designed to attract additional order flow 

to the Exchange by incentivizing 

member organizations to submit 

additional displayed liquidity to the 

Exchange. 

Proposed Changes to SLP Tier 5 

Under current SLP Tier 5, an SLP 

adding liquidity in securities with a per 

share price of $1.00 or more with orders, 

other than Mid-Point Liquidity (‘‘MPL’’) 


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