Federal Register / Vol. 86, No. 133 / Thursday, July 15, 2021 / Notices 37367 

22 15 U.S.C. 78s(b)(3)(A)(ii). 23 17 CFR 240.19b–4(f)(2). 

24 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3By amendment of the proposed rule change, the 

Exchange has removed several of these proposed 

changes from the original proposal. See infra notes 

7 and 10. 

by the Exchange or pricing offered by 

the Exchange’s competitors. 

Additionally, Market Makers may opt to 

disfavor the Exchange’s pricing if they 

believe that alternatives offer them 

better value. Accordingly, the Exchange 

does not believe that the proposed 

change will impair the ability of Market 

Makers or competing venues to 

maintain their competitive standing in 

the financial markets. 

The Exchange believes that fees for 

the proposed Purge Ports and 

connectivity, in general, are constrained 

by the robust competition for order flow 

among exchanges and non-exchange 

markets. Further, excessive fees for 

connectivity, including Purge Port fees, 

would serve to impair an exchange’s 

ability to compete for order flow rather 

than burdening competition. The 

Exchange also does not believe the 

proposed rule change would impact 

intramarket competition as it would 

apply to all Market Makers equally. 

The Exchange also does not believe 

that the proposed rule change will result 

in any burden on inter-market 

competition that is not necessary or 

appropriate in furtherance of the 

purposes of the Act. The Exchange 

operates in a highly competitive 

environment, and as discussed above, 

its ability to price access and ports is 

constrained by competition among 

exchanges and third parties. There are 

15 other U.S. options exchanges, which 

the Exchange must consider in its 

pricing discipline in order to compete 

for market participants. In this 

competitive environment, market 

participants are free to choose which 

competing exchange to use to satisfy 

their business needs. As a result, the 

Exchange believes this proposed rule 

change permits fair competition among 

national securities exchanges. 

Accordingly, the Exchange does not 

believe its proposed fee changes impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. 

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 

The foregoing rule change has become 

effective pursuant to Section 

19(b)(3)(A)(ii) of the Act,22 and Rule 

19b–4(f)(2) 23 thereunder. 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– 

MIAX–2021–29 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–2021–29. 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 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–MIAX–2021–29 and should 

be submitted on or before August 5, 

2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.24

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–15034 Filed 7–14–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92374; File No. SR–NYSE– 

2020–89] 

Self-Regulatory Organizations; New 

York Stock Exchange LLC; Notice of 

Filing of Amendment No. 2 and Order 

Granting Accelerated Approval to a 

Proposed Rule Change, as Modified by 

Amendment No. 2, To Amend NYSE 

Rule 7.35C 

July 9, 2021. 

I. Introduction 

On October 23, 2020, New York Stock 

Exchange LLC (‘‘Exchange’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) pursuant 

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

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder,2 a proposed rule 

change to (1) provide the Exchange 

authority to facilitate a Trading Halt 

Auction if a security has not reopened 

by 3:30 p.m. following a market-wide 

circuit-breaker halt (‘‘MWCB Halt’’); (2) 

widen the Auction Collar for an 

Exchange-facilitated Trading Halt 

Auction following an MWCB Halt; (3) 

provide that certain DMM (designated 

market maker) Interest will not be 

canceled following an Exchangefacilitated Auction; and (4) change the 

Auction Reference Price for Exchangefacilitated Core Open Auctions.3 The 

proposed rule change was published for 


khammond on DSKJM1Z7X2PROD with NOTICES
37368 Federal Register / Vol. 86, No. 133 / Thursday, July 15, 2021 / Notices 

4See Securities Exchange Act Release No. 90363 

(Nov. 5, 2020), 85 FR 71964 (Nov. 12, 2020). 

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

6See Securities Exchange Act Release No. 90726 

(Dec. 20, 2020), 85 FR 84431 (Dec. 28, 2020). 

7 In Amendment No. 1, the Exchange removed 

one of the proposed changes from the original 

proposal. Specifically, the Exchange removed the 

proposed change to adopt a new definition of 

Auction Reference Price for exchange-facilitated 

Core Open Auctions and to amend the temporary 

rule related to such auctions set forth in 

Commentary .04 to Rule 7.35C. This aspect of the 

original proposal is now the subject of a separate 

proposed rule change filed by the Exchange on 

February 8, 2021 (SR–NYSE–2021–13). 

8 15 U.S.C. 78s(b)(2)(B). 

9See Securities Exchange Act Release No. 91095 

(Feb. 10, 2021), 86 FR 9978 (Feb. 17, 2020). 

10 In Amendment No. 2, the Exchange removed 

several more proposed changes from the original 

proposal, as modified by Amendment No. 1. 

Specifically, the Exchange removed the proposed 

changes to make permanent the temporary rules 

pertaining to: (i) Permitting the CEO to determine 

that the Exchange will facilitate a Trading Halt 

Auction in one or more securities following a 

MWCB Halt if the security has not reopened by 3:30 

p.m. Eastern Time, and (ii) establishing wider 

Auction Collars for Trading Halt Auctions following 

a MWCB Halt. 

11For purposes of Auctions, the term ‘‘DMM 

Interest’’ is defined in Rule 7.35(a)(8) to mean all 

buy and sell interest entered by a DMM unit in its 

assigned securities and includes: ‘‘DMM Auction 

Liquidity,’’ which is non-displayed buy and sell 

interest that is designated for an Auction only (see 

Rule 7.35(a)(8)(A)); ‘‘DMM Orders’’ which are 

orders, as defined under Rule 7.31, entered by a 

DMM unit (see Rule 7.35(a)(8)(B)); and ‘‘DMM 

After-Auction Orders,’’ which are orders entered by 

a DMM unit before either the Core Open Auction 

or Trading Halt Auction that do not participate in 

an Auction and are intended instead to maintain 

price continuity with reasonable depth following an 

Auction (see Rule 7.35(a)(8)(C)). 

12 In this Amendment No. 2, the Exchange is 

removing its proposed changes to (1) the Exchange 

authority to facilitate a Trading Halt Auction if a 

security has not reopened following a Level 1 or 

Level 2 trading halt due to extraordinary market 

volatility under Rule 7.12 (‘‘MWCB Halt’’) by 3:30 

p.m.; and (2) widen the Auction Collar for an 

Exchange-facilitated Trading Halt Auction 

following a MWCB Halt, which are currently 

temporary rules set forth in Commentaries .01 and 

.02 to Rule 7.35C. 

13Pursuant to Rule 7.1(e), the CEO notified the 

Board of Directors of the Exchange of this 

determination. The Exchange’s current rules 

establish how the Exchange will function fullyelectronically. The CEO also closed the NYSE 

American Options Trading Floor, which is located 

at the same 11 Wall Street facilities, and the NYSE 

Arca Options Trading Floor, which is located in 

San Francisco, CA. See Press Release, dated March 

18, 2020, available here: https://ir.theice.com/press/ 

press-releases/all-categories/2020/03-18-2020- 

204202110. 

14See Securities Exchange Act Release No. 88933 

(May 22, 2020), 85 FR 32059 (May 28, 2020) (SR– 

NYSE–2020–47) (Notice of filing and immediate 

effectiveness of proposed rule change). 

15See Securities Exchange Act Release No. 89086 

(June 17, 2020) (SR–NYSE–2020–52) (Notice of 

filing and immediate effectiveness of proposed rule 

change). 

16See Securities Exchange Act Release No. 88413 

88562 (April 3, 2020), 85 FR 20002 (April 9, 2020) 

(SR–NYSE–2020–29) (amending Rule 7.35C to add 

Commentary .03) (‘‘DMM Interest Filing’’). 

17See Securities Exchange Act Release No. 90795 

(December 23, 2020), 85 FR 86608 (December 30, 

2020) (SR–NYSE–2020–106) (Notice of filing and 

immediate effectiveness of proposed rule change to 

comment in the Federal Register on 

November 12, 2020.4

On December 18, 2020, 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 disapprove the 

proposed rule change, extending the 

date for Commission action to February 

10, 2020.6 On February 5, 2021, the 

Exchange filed Amendment No. 1 to the 

proposed rule change, which replaced 

and superseded the proposed rule 

change in its entirety.7 On February 10, 

2021, the Commission published notice 

of Amendment No. 1 and instituted 

proceedings pursuant to Section 

19(b)(2)(B) of the Act 8 to determine 

whether to approve or disapprove the 

proposed rule change, as modified by 

Amendment No. 1.9 On March 17, 2021, 

the Exchange filed Amendment No. 2 to 

the proposed rule change, which 

replaced and superseded the proposed 

rule change, as modified by Amendment 

No. 1, in its entirety.10 The Commission 

has received no comment letters on the 

proposal. 

The Commission is publishing this 

notice to solicit comments on 

Amendment No. 2 to the proposed rule 

change from interested persons, and is 

approving the proposed rule change, as 

modified by Amendment No. 2, on an 

accelerated basis. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change, as Modified by Amendment 

No. 2 

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 7.35C (Exchange-Facilitated 

Auctions) to provide that certain DMM 

Interest 11 would not be cancelled 

following an Exchange-facilitated 

Auction.12

These proposed changes are currently 

in place on a temporary basis, as 

described in Commentary .03 to Rule 

7.35C. 

Background 

To slow the spread of COVID–19 

through social-distancing measures, on 

March 18, 2020, the CEO of the 

Exchange made a determination under 

Rule 7.1(c)(3) that, beginning March 23, 

2020, the Trading Floor facilities located 

at 11 Wall Street in New York City 

would close and the Exchange would 

move, on a temporary basis, to fully 

electronic trading.13 On May 14, 2020, 

the CEO of the Exchange made a 

determination under Rule 7.1(c)(3) to 

reopen the Trading Floor on a limited 

basis on May 26, 2020 to a subset of 

Floor brokers, subject to safety measures 

designed to prevent the spread of 

COVID–19.14 On June 15, 2020, the CEO 

of the Exchange made a determination 

under Rule 7.1(c)(3) to begin the second 

phase of the Trading Floor reopening by 

allowing DMMs to return on June 17, 

2020, subject to safety measures 

designed to prevent the spread of 

COVID–19.15

Rule 7.35C sets forth the procedures 

for Exchange-facilitated Auctions. The 

first time the Exchange facilitated any 

Auctions pursuant to Rule 7.35C was on 

March 19, 2020, when two DMM firms 

temporarily left the Trading Floor in 

connection with implementing their 

business continuity plans related to the 

COVID–19 pandemic. Beginning on 

March 23, 2020, when the Exchange 

temporarily closed the Trading Floor, 

the Exchange began facilitating 

Auctions on behalf of all DMM firms. 

During the period of March 23, 2020 

through June 16, 2020, among the DMM 

firms, the percentage of Auctions that 

were facilitated by the Exchange ranged 

from 1% to 3.2% of the securities 

assigned to each DMM. During this 

period, the vast majority of Auctions 

were facilitated electronically by DMMs 

pursuant to Rules 7.35A and 7.35B. 

In connection with both the marketwide volatility associated with the 

COVID–19 pandemic in March 2020 and 

the full and partial closing of the 

Trading Floor facilities, the Exchange 

added Commentary .03 to Rule 7.35C,16

which is in effect until the earlier of a 

full reopening of the Trading Floor 

facilities to DMMs or after the Exchange 

closes on April 30, 2021.17


khammond on DSKJM1Z7X2PROD with NOTICES
Federal Register / Vol. 86, No. 133 / Thursday, July 15, 2021 / Notices 37369 

extend the temporary period for Commentaries to 

Rules 7.35, 7.35A, 7.35B, and 7.35C; and temporary 

rule relief in Rule 36.30 to end on the earlier of a 

full reopening of the Trading Floor facilities to 

DMMs or after the Exchange closes on April 30, 

2020). [The Commission notes that, after submitting 

Amendment No. 2, the Exchange extended the 

outside date for effectiveness of the temporary relief 

from April 30, 2021 to August 31, 2021. See 

Securities Exchange Act Release No. 91778 (May 5, 

2021), 86 FR 25902 (May 11, 2021)]. 

18See DMM Interest Filing, supra note 10. 

19See Rule 7.35A(h)(3)(C) (providing that after a 

Core Open or Trading Halt Auction, better at-priced 

DMM Orders that do not receive an allocation and 

that lock or cross other unexecuted orders and buy 

and sell better-priced DMM Orders will be 

cancelled after the Auction Processing Period 

concludes). 

The Exchange believes that 

Commentary .03 to Rule 7.35C, which is 

in effect on a temporary basis, has 

supported the fair and orderly operation 

of the Exchange during both the market 

volatility associated with COVID–19 

and the temporary period that the 

Trading Floor facilities have been closed 

either in full or in part due to COVID– 

19. The Exchange further believes the 

functionality that has been operating on 

a temporary basis would continue to 

support the fair and orderly operation of 

the Exchange under any circumstances 

where there may be either market-wide 

volatility or the need for the Exchange 

to facilitate one or more Auctions. 

Accordingly, the Exchange proposes 

that the changes to how DMM Interest 

may participate in an Exchangefacilitated Auction be made permanent. 

Proposed Rule Changes 

As set forth in Rule 7.35C(a)(1), if the 

Exchange facilitates an Auction, DMM 

Interest would not be eligible to 

participate in such Auction and 

previously-entered DMM Interest would 

be cancelled. When a DMM cannot 

facilitate an Auction because the DMM 

unit is experiencing a system issue that 

prevents it from communicating with 

Exchange systems, cancelling DMM 

Interest following an Exchangefacilitated Auction would help ensure 

that DMM Interest that may be at stale 

prices does not participate in trading on 

the Exchange. On the other hand, by 

cancelling DMM Interest when the 

DMM units’ systems are operating 

normally, DMMs may be limited in their 

ability to maintain price continuity with 

reasonable depth, i.e., provide passive 

liquidity at the Exchange best bid and 

offer and at depth, immediately 

following an Exchange-facilitated 

Auction. 

After a period of operating Exchangefacilitated Auctions, the Exchange 

identified a way to provide DMMs with 

a greater opportunity to provide passive 

liquidity immediately following an 

Auction, thereby dampening volatility, 

while still limiting DMM risk. To effect 

this change, the Exchange added 

Commentary .03 to Rule 7.35C, which 

provides that for the temporary period 

that begins on April 6, 2020 and ends 

on the earlier of a full reopening of the 

Trading Floor facilities to DMMs or after 

the Exchange closes on December 31, 

2020, if the Exchange facilitates an 

Auction, DMM Interest (i) will not be 

eligible to participate if such Auction 

results in a trade, and will be eligible to 

participate if such Auction results in a 

quote, and (ii) will not be cancelled 

unless the limit price of such DMM 

Interest would be priced through the 

Auction Price or Auction Collars, as 

applicable, or such DMM Interest would 

be marketable against other unexecuted 

orders.18

The Exchange proposes to make 

permanent the changes to how 

Exchange-facilitated Auctions function, 

as described in Commentary .03 to Rule 

7.35C. By making this functionality 

permanent, such rules would continue 

to apply both during the continuation of 

the current Trading Floor closure and if 

the Exchange were to facilitate Auctions 

any time after the Trading Floor fully 

reopens. 

To effect this change, the Exchange 

proposes to amend 7.35C(a)(1) as 

follows (new text underlined, deleted 

text bracketed): 

This proposed rule change would 

make permanent the temporary 

functionality set forth in paragraph 

(a)(1) to Commentary .03. 

With this change, DMM Interest 

would not participate in any Exchangefacilitated Auctions that would result in 

a trade. This is how DMM Interest 

currently functions when the Exchange 

facilitates an Auction pursuant to either 

Rule 7.35C(a)(1) or Commentary .03 to 

Rule 7.35C. Based on experience 

operating pursuant to Commentary .03 

to Rule 7.35C, the Exchange believes 

that this functionality should continue 

permanently when the Exchange 

facilitates an Auction, including, for 

example, when the Trading Floor is 

open but the DMM is unable to facilitate 

an Auction because of a systems or 

technical issue. 

More specifically, when a DMM 

facilitates an Auction that results in a 

trade, the DMM determines whether to 

participate on the buy or sell side and, 

based on that direction from the DMM, 

DMM Orders that do not participate in 

the Auction and that would lock or 

cross other orders, which would include 

other DMM Orders, will be cancelled.19

If the DMM has entered both buy and 

sell interest in advance of the Auction 

and the Exchange facilitates the 

Auction, the DMM would not be able to 

control whether the DMM’s buy or sell 

interest would participate in a trade and 

the Exchange would not have that 

instruction from the DMM of which side 

of the market that the DMM would 

participate. As a result, there may be 

crossing DMM Interest that could result 

in a wash-sale trade that would not have 

occurred if the DMM had facilitated the 

Auction. Excluding DMM Interest from 

participating in an Exchange-facilitated 

Auction that results in a trade 

eliminates the potential for a wash-sale 

trade. In addition, the Exchange believes 

it promotes fair and orderly Exchangefacilitated Auctions that result in a trade 

to exclude DMM Interest from 

participating in such Auctions, because 

if a DMM’s buy or sell interest does not 

reflect up-to-date prices, it could impact 

pricing of the Auction. 

By contrast, the Exchange believes 

that the proposed change for DMM 


khammond on DSKJM1Z7X2PROD with NOTICESEN15JY21.105</GPH>

If the Exchange facilitates an Auction, DMM Interest will not be eligible to 

participate [in ]if such Auction results in a trade, and will be eligible to participate 

if such Auction results in a quote[ and previously-entered DMM Interest will be 

cancelled]. 
37370 Federal Register / Vol. 86, No. 133 / Thursday, July 15, 2021 / Notices 

20See Rule 104(f)(2). 

Interest to participate in an Exchangefacilitated Auction that results in a 

quote would promote fair and orderly 

markets. This proposed change is 

consistent with Commentary .03(a)(1) to 

Rule 7.35C, but differs from current 

Rule 7.35C(a)(1). A security opens on a 

quote if there is no buy interest willing 

to trade with sell interest at the same 

price. The Exchange believes that under 

such circumstances, including DMM 

Interest in the Exchange’s quote would 

assist the DMMs in meeting their 

obligation to maintain a two-sided quote 

as well as to maintain continuity and 

depth in their assigned securities.20

Accordingly, the Exchange believes that 

making this change permanent would 

promote fair and orderly markets in 

connection with Exchange-facilitated 

Auctions that result in a quote. 

The final element of the proposed 

change to Rule 7.35C(a)(1) is that DMM 

Interest would no longer be 

automatically cancelled after an 

Exchange-facilitated Auction. The 

Exchange believes that this proposed 

change would assist DMMs in meeting 

their obligation, as required by Rule 

104(f)(2), to provide passive liquidity in 

order to maintain continuity with 

reasonable depth in their assigned 

securities immediately following a Core 

Open Auction or Trading Halt Auction 

that was facilitated by the Exchange. In 

advance of an Auction, DMMs can enter 

DMM Orders, which if not traded in an 

Auction, would be part of the DMM 

Interest on the Exchange Book after the 

Auction. In addition, DMMs can enter 

DMM After-Auction Orders, which do 

not participate in Auctions and are 

specifically designed to assist the DMMs 

to maintain passive liquidity on the 

Exchange immediately following an 

Auction, which supports their ability to 

maintain continuity with reasonable 

depth immediately following an 

Auction. If DMM Interest is not 

automatically cancelled following an 

Exchange-facilitated Auction, the DMM 

would be better able to timely meet 

these obligations by ensuring that 

passive liquidity remains on the 

Exchange Book immediately following 

an Auction. 

The Exchange believes that there 

remain circumstances when DMM 

Interest should be cancelled following 

an Exchange-facilitated Auction. As 

proposed, the Exchange would cancel 

unexecuted DMM Interest under the 

same circumstances that unexecuted 

orders of other member organizations 

would be cancelled following such 

Auctions. 

To effect this change, the Exchange 

proposes to amend Rule 7.35C(g)(1), 

which currently describes which 

unexecuted orders would be cancelled if 

a security opens or reopens on a trade 

via an Exchange-facilitated Auction, and 

Rule 7.35C(g)(2), which currently 

describes which unexecuted orders 

would be cancelled if a security opens 

or reopens on a quote that is above 

(below) the upper (lower) Auction 

Collar via an Exchange-facilitated 

Auction. The Exchange proposes that 

these two subparagraphs would be 

replaced with the following text to 

incorporate that under the same 

circumstances, DMM Interest would 

similarly be cancelled (proposed new 

text underlined): 

These proposed rule changes would 

make permanent the temporary 

functionality set forth in paragraphs 

(b)(1) and (2) to Commentary .03. 

The Exchange further believes that if 

previously-entered DMM Interest would 

be marketable against either other DMM 

Interest or contra-side unexecuted 

orders, such DMM Interest should be 

cancelled. For example, if for a security, 

the Auction Reference Price is $10.00, 

the lower Auction Collar is $9.00 and 

the upper Auction Collar is $11.00, and 

the orders on the Exchange Book in 

advance of the Auction are as follows: 

• Order 1—Buy DMM Order 1000 

shares at $10.05 

• Order 2—Sell DMM Order 1000 

shares at $10.00 

• Order 3—Buy DMM Order 1000 

shares at $10.02 

• Order 4—Sell Limit Order at 

$10.03, 

the orders in this example would be 

processed as follows in an Exchangefacilitated Auction: 

• Order 1 would be cancelled 

(because DMM Interest would not be 

eligible to participate in an Auction 

trade, and here, Order 1 is marketable 

with Orders 2 and 4) 


khammond on DSKJM1Z7X2PROD with NOTICESEN15JY21.106</GPH>

( 1) If a security opens or reopens on a trade, Market Orders (including sell short 

Market Orders during a Short Sale Period) and Limit Orders, including DMM 

Interest, with a limit price that is better-priced than the Auction Price and were 

not executed in the applicable Auction will be cancelled. 

(2) If a security opens or reopens on a quote that is above (below) the upper 

(lower) Auction Collar, Market Orders (including sell short Market Orders during 

a Short Sale Period) and Limit Orders, including DMM Interest, with a limit price 

that is better-priced than the upper (lower) Auction Collar will be cancelled before 

such quote is published. 
Federal Register / Vol. 86, No. 133 / Thursday, July 15, 2021 / Notices 37371 

21As described in an Exchange blog post, this 

metric is calculated using second-to-second ‘‘quote 

returns,’’ which is calculated by averaging the 

midpoints of all NBBO updates for a security within 

each second of the day from 9:35 a.m. to 4:00 p.m., 

and then calculating the percentage rate of return 

of these average quote midpoints from one second 

to the next. The variance of returns are then 

calculated in aggregated time periods (e.g., 5-minute 

buckets) and annualized from seconds to 6.5 hour 

trading days to 252 trading days in the years. 

Finally, the Exchange takes the square root of the 

annualized variance in the aggregated periods, 

which creates the Exchange’s quote volatility 

metric. See NYSE Data Insights, Introducing Quote 

Volatility (QV)—a new metric to measure price 

volatility, available here: https://www.nyse.com/ 

data-insights/introducing-quote-volatility-qv-a-newmetric-to-measure-price-volatility. 

22 15 U.S.C. 78f(b). 

23 15 U.S.C. 78f(b)(5). 

• Order 2 would be cancelled 

(because DMM Interest would not be 

eligible to participate in an Auction 

trade, and here Order 2 is marketable 

with Order 3), and 

• Order 3 would not be cancelled 

because it is no longer marketable with 

any other interest, i.e., it no longer locks 

or crosses the price of any other contraside interest in the Exchange Book. 

Order 3 would therefore be included in 

the opening quote. 

This Exchange-facilitated Auction 

would result in the following quote: 

$10.02 (Order 3¥DMM Order) × $10.03 

(Order 4¥Limit Order). 

To effect this change, the Exchange 

proposes new subparagraph (g)(3) to 

Rule 7.35C to specify the additional 

circumstances when DMM Interest 

would be cancelled, as follows: 

The Exchange will cancel DMM Interest 

that is marketable against contra-side 

unexecuted orders. If the contra-side 

unexecuted order against which such DMM 

Interest is marketable is DMM Interest, the 

DMM Interest with the earlier working time 

will be canceled. 

This proposed rule change would 

make permanent the temporary 

functionality set forth in paragraph 

(b)(3) to Commentary .03. 

The Exchange believes that these 

proposed rule changes would promote 

fair and orderly markets whenever the 

Exchange facilitates an Auction under 

Rule 7.35C—under any circumstance— 

by supporting DMMs in maintaining 

continuity with reasonable depth in 

their assigned securities immediately 

following an Exchange-facilitated Core 

Open Auction or Trading Halt Auction 

that was facilitated by the Exchange. 

The Exchange proposes that, with 

these proposed changes to Rules 

7.35C(a)(1) and (g), Commentary .03 to 

Rule 7.35C would be deleted in its 

entirety. 

In further support of making the 

functionality set forth in Commentary 

.03 to Rule 7.35C permanent, the 

Exchange notes that after the Exchange 

implemented that Commentary, the 

Exchange observed improved 

performance relating to Exchangefacilitated Auctions. 

• For the period March 23, 2020 to 

April 3, 2020, 4.9% of all Core Open 

Auctions were facilitated by the 

Exchange. For the period April 6, 2020 

through June 16, 2020, the Exchange 

facilitated only 2% of all Core Open 

Auctions. In addition, the percentage of 

Exchange-facilitated Core Open 

Auctions that were bound by an 

Auction Collar decreased from 1.3% 

from the pre-April 6, 2020 period, to 

0.58% in the April 6, 2020–June 16, 

2020 period. 

• In addition, the Exchange observed 

that after April 6, 2020, Exchange-listed 

securities experienced reduced 

volatility in the first half hour of 

trading. The Exchange uses a quotebased metric to measure volatility in 

securities,21 and based on that metric, 

volatility in Exchange-listed securities 

between the period of April 6, 2020 and 

June 16, 2020 was 28.4% lower than the 

same measure between March 23, 2020 

and April 3, 2020. In addition, the 

Exchange further observed that between 

these two periods, the difference 

between the Core Open Auction Price 

and the subsequent five-minute VWAP 

dropped by 31.3%. 

For DMM firms that have already 

returned staff to the Trading Floor, this 

proposed change has limited 

application because the Exchange has 

not facilitated any Auctions on behalf of 

those firms since June 16, 2020. In 

addition, the Exchange anticipates that 

once the Trading Floor facilities open in 

full to DMMs, and all DMM firms have 

staffing on the Trading Floor, the need 

for Exchange-facilitated Auctions would 

be obviated, and the Exchange will 

revert to pre-pandemic rates of 

Exchange-facilitated Auctions, which 

were none. Accordingly, the proposed 

changes to Rule 7.35C will likely have 

limited application and would be 

available as a business continuity 

functionality should DMMs be unable to 

facilitate an Auction in one or more 

securities, for any reason. 

There are no technology changes 

associated with this proposed rule 

change and the Exchange would be able 

to implement it immediately upon 

approval of this proposed rule change. 

2. Statutory Basis 

The proposed rule change is 

consistent with Section 6(b) of the 

Act,22 in general, and furthers the 

objectives of Section 6(b)(5) of the Act,23

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, and to remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system. 

The Exchange believes that 

Commentary .03 to Rule 7.35C, which is 

currently in effect on a temporary basis, 

has supported the fair and orderly 

operation of the Exchange during both 

the market volatility associated with 

COVID–19 and the temporary period 

that the Trading Floor facilities have 

been closed either in full or in part due 

to COVID–19. The Exchange further 

believes the functionality that has been 

operating on a temporary basis would 

continue to support the fair and orderly 

operation of the Exchange under any 

circumstances where there may be 

either market-wide volatility or the need 

for the Exchange to facilitate one or 

more Auctions. 

As noted above, beginning March 19, 

2020, the Exchange began facilitating 

auctions as provided for under Rule 

7.35C for the first time, and then, 

beginning March 23, 2020, when the 

Trading Floor was temporarily closed to 

reduce the spread of COVID–19, began 

facilitating Auctions on behalf of all 

DMM firms. Based on that experience, 

the Exchange added Commentary .03 to 

Rule 7.35C, which is in effect only for 

a temporary period while the Trading 

Floor is closed. The Exchange believes 

that it would remove impediments to 

and perfect the mechanism of a free and 

open market and a national market 

system to make the changes described in 

Commentary .03 to Rule 7.35C 

permanent because it would allow 

DMMs to maintain continuity with 

reasonable depth in their assigned 

securities immediately following an 

Exchange-facilitated Auction. 

As described above, the Exchange is 

proposing that DMM Interest would 

continue not to participate in an 

Exchange-facilitated Auction that 

results in a trade. As noted above, under 

both the current Rule and temporary 

Commentary .03, DMM Interest does not 

participate in an Exchange-facilitated 

Auction that results in a trade in part to 

prevent wash-trade sales of previouslyentered DMM buy and sell interest and 

therefore reduces DMM units’ risk. It 

also protects the fair and orderly 

operation of such Auctions because 

such DMM Interest may be at stale 

prices, and therefore could impact 

pricing of the Auction in a manner that 

does not reflect up-to-date trading 

interest. For this reason, the Exchange 

believes it would continue to promote 


khammond on DSKJM1Z7X2PROD with NOTICES
37372 Federal Register / Vol. 86, No. 133 / Thursday, July 15, 2021 / Notices 

24 In approving this proposed rule change, the 

Commission has considered the proposed rule’s 

impact on efficiency, competition, and capital 

formation. See 15 U.S.C. 78c(f). 25 17 U.S.C. 78f(b)(5). 

fair and orderly Auctions for DMM 

Interest not to participate in an 

Exchange-facilitated Auction that 

results in a trade. 

By contrast, the Exchange believes 

that the proposed change that DMM 

Interest would be included in an 

Exchange-facilitated Auction that 

results in a quote would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system because it 

would promote fair and orderly 

resumption of trading by allowing DMM 

Interest to be considered as part of the 

opening quote. A security only opens on 

a quote when there are no buy and sell 

orders that can be crossed at a single 

price. Accordingly, when a security 

opens on a quote, the DMM has an 

immediate obligation to maintain a twosided quote and to provide continuity 

and depth. Including DMM interest in 

an Exchange-facilitated Auction that 

results in a quote would assist DMMs in 

meeting those obligations. 

The Exchange believes it would 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system not to 

automatically cancel DMM Interest 

following an Exchange-facilitated 

Auction because it would provide 

DMMs with the opportunity to provide 

passive liquidity immediately following 

an Exchange-facilitated Auction, 

thereby reducing volatility while still 

limiting DMM risk. Similarly, the 

Exchange believes that because DMM 

Interest would not be participating in an 

Exchange-facilitated Auction that 

results in a trade, it would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system to cancel 

DMM Interest that would be marketable 

against unexecuted orders because, if 

not cancelled, such interest could trade 

at a price that would not be consistent 

with the Auction Price or opening or 

reopening quote determined in the 

Exchange-facilitated Auction. The 

proposed changes would also remove 

impediments to and perfect the 

mechanism of a free and open market 

because DMM Interest that, following an 

Exchange-facilitated Auction, would be 

priced through the Auction Price or 

Auction Collars, as applicable, would be 

cancelled in the same manner that other 

unexecuted orders would be cancelled. 

The Exchange further believes that the 

proposed changes to Rules 7.35C(a) and 

(g) would remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system because the Exchange observed 

improved performance following 

Exchange-facilitated Auctions after the 

Exchange implemented Commentary .03 

to Rule 7.35C. Accordingly, should 

circumstances ever arise again that 

would require the Exchange to facilitate 

any Auctions, which, based on prepandemic experience, would likely be 

rare, the Exchange believes that these 

proposed changes would improve the 

performance of Exchange-facilitated 

Auctions by enabling better engagement 

by the DMMs in both the Auction and 

the immediate after-market while still 

limiting DMM risk. 

III. Discussion and Commission 

Findings 

After careful review, the Commission 

is approving the proposed rule change, 

as modified by Amendment No. 2, for 

the reasons discussed below.24 The 

Commission finds that the proposed 

rule change, as modified, is consistent 

with the requirements of the Act and the 

rules and regulations thereunder 

applicable to a national securities 

exchange, including Section 6(b)(5) of 

the Act, which requires that the rules of 

an exchange be designed, among other 

things, 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, 

and to remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system.25

The Exchange proposes to make 

permanent certain provisions of its rules 

that have been temporarily in effect 

during the course of the COVID–19 

pandemic, as the Exchange has operated 

with fully and partially closed floor 

trading facilities. The Exchange 

proposes that, when it facilitates an 

auction because a DMM is unable to 

connect to Exchange systems, DMM 

Interest will not be able to participate in 

the auction if that auction results in a 

trade, but will be able to participate if 

the auction results in a quote (i.e., if no 

buy interest in the auction is willing to 

trade with sell interest at the same 

price). This aspect of the proposal is 

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

Act because (1) in the case of an 

Exchange-facilitated auction that results 

in a trade, the rule is reasonably 

designed to prevent wash-sale trades 

between DMM Interest on opposite 

sides of the market and to prevent DMM 

Interest that does not reflect up-to-date 

prices from affecting the price of the 

auction; and (2) in the case of an 

Exchange-facilitated auction that results 

in a quote, to allow DMM Interest to 

populate the Exchange’s order book 

after the auction, assisting DMMs in 

meeting their obligations to maintain a 

two-sided quote and continuity and 

depth in their assigned securities. 

The Exchange also proposes that 

DMM Interest would no longer be 

automatically canceled after an 

Exchange-facilitated opening or 

reopening auction. Under the proposal, 

the Exchange would cancel DMM 

Interest after an auction under the same 

circumstances in which it cancels 

unexecuted limit orders of other 

member organizations, namely (1) in the 

case of an Exchange-facilitated auction 

that opens or reopens on a trade, when 

the interest is better-priced than the 

auction price, and (2) in the case of an 

Exchange-facilitated auction that opens 

or reopens on a quote, when the interest 

is priced better than the Auction Collar 

under the Exchange’s rules. Other DMM 

Interest, however, including DMM 

After-Auction Orders, would not be 

canceled and would be incorporated 

into the Exchange’s order book 

immediately upon the commencement 

of continuous trading following the 

auction. This aspect of the proposal is 

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

Act because the proposed rule is 

reasonably designed to permit DMMs to 

provide passive liquidity in continuous 

trading immediately following an 

auction and thereby meet their 

obligations to maintain price continuity 

with reasonable depth. 

For these reasons, the Commission 

finds that this proposed rule change is 

consistent with the requirements of the 

Act and in particular Section 6(b)(5) 

because it is reasonably 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, and to remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system. 

IV. Solicitation of Comments on 

Amendment No. 2 

Interested persons are invited to 

submit written data, views, and 

arguments concerning whether 

Amendment No. 2 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 


khammond on DSKJM1Z7X2PROD with NOTICES
Federal Register / Vol. 86, No. 133 / Thursday, July 15, 2021 / Notices 37373 

26See supra note 10. 

27 15 U.S.C. 78s(b)(2). 

28 15 U.S.C. 78s(b)(2). 

29 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Fee Schedule, Section 5(d)(ii). 

4The term ‘‘Market Makers’’ refers to Lead Market 

Makers (‘‘LMMs’’), Primary Lead Market Makers 

(‘‘PLMMs’’), and Registered Market Makers 

(‘‘RMMs’’) collectively. See Exchange Rule 100. 

5The term ‘‘System’’ means the automated 

trading system used by the Exchange for the trading 

of securities. See Exchange Rule 100. 

6See Cboe BXZ Exchange, Inc. (‘‘BZX’’) Options 

Fee Schedule, Options Logical Port Fees, Purge 

Ports ($750 per purge port per month); Cboe EDGX 

Exchange, Inc. (‘‘EDGX’’) Options Fee Schedule, 

Options Logical Port Fees, Purge Ports ($750 per 

purge port per month); Cboe Exchange, Inc. 

(‘‘Cboe’’) Fee Schedule ($850 per purge port per 

Continued 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

NYSE–2020–89 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–NYSE–2020–89. 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 this 

filing will also 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–NYSE–2020–89 and should 

be submitted on or before August 5, 

2021. 

V. Accelerated Approval of the 

Proposed Rule Change, as Modified by 

Amendment No. 2 

The Commission finds good cause to 

approve the proposed rule change, as 

modified by Amendment No. 2, prior to 

the thirtieth day after the date of 

publication of Amendment No. 2 in the 

Federal Register. In Amendment No. 2, 

the Exchange removed from the original 

proposal the proposed changes to its 

permanent rules to: (i) Permit the CEO 

to determine that the Exchange will 

facilitate a Trading Halt Auction in one 

or more securities following a MWCB 

Halt if the security has not reopened by 

3:30 p.m. Eastern Time, and (ii) 

establish wider Auction Collars for 

Trading Halt Auctions following a 

MWCB Halt.26

The Commission finds that 

Amendment No. 2 is consistent with the 

Act in that is designed, among other 

things, to prevent fraudulent and 

manipulative acts and practices and to 

promote just and equitable principles of 

trade. Accordingly, the Commission 

finds good cause, pursuant to Section 

19(b)(2) of the Act,27 to approve the 

proposed rule change, as modified by 

Amendment No. 2, on an accelerated 

basis. 

VI. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,28 that the 

proposed rule change SR–NYSE–2020– 

89, as modified by Amendment No. 2, 

be, and hereby is, approved on an 

accelerated basis. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.29

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–15039 Filed 7–14–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92360; File No. SR– 

EMERALD–2021–22] 

Self-Regulatory Organizations; MIAX 

Emerald, LLC; Notice of Filing and 

Immediate Effectiveness of a Proposed 

Rule Change To Amend Fees for Purge 

Ports 

July 9, 2021. 

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 July 1, 

2021, MIAX Emerald, LLC (‘‘MIAX 

Emerald’’ or ‘‘Exchange’’), filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) a proposed rule change 

as described in Items I, II, and III below, 

which Items have been prepared by the 

Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange is filing a proposal to 

amend the Exchange’s Fee Schedule 

(the ‘‘Fee Schedule’’) to amend the fees 

for Purge Ports.3

The text of the proposed rule change 

is available on the Exchange’s website at 

http://www.miaxoptions.com/rulefilings/emerald, at MIAX’s principal 

office, and at the Commission’s Public 

Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV below. The 

Exchange has prepared summaries, set 

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

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange currently provides 

Market Makers 4 the option to purchase 

Purge Ports to assist in their quoting 

activity. Purge Ports provide Market 

Makers with the ability to send quote 

purge messages to the Exchange 

System.5 Purge Ports are not capable of 

sending or receiving any other type of 

messages or information. The use of 

Purge Ports is completely optional and 

no rule or regulation requires that a 

Market Maker utilize them. 

The Exchange proposes to amend the 

monthly fee for Purge Ports under 

Section 5(d)(ii) of the Fee Schedule. 

Unlike other options exchanges that 

provide purge port functionality and 

charge fees on a per port basis,6 the 


khammond on DSKJM1Z7X2PROD with NOTICES