Federal Register / Vol. 86, No. 162 / Wednesday, August 25, 2021 / Notices 47529 

29 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. 

4 An ‘‘Index Combo’’ order is an order to 

purchase or sell one or more index option series 

and the offsetting number of Index Combinations 

(with an ‘‘Index Combination’’ defined as a 

purchase (sale) of an index option call and sale 

(purchase) of an index option put with the same 

underlying index, expiration date, and strike price) 

defined by the delta (defined as the positive 

(negative) number of Index Combinations that must 

be sold (purchased) to establish a market neutral 

hedge with one or more series of the same index 

option. See Rule 5.33(b)(5). 

5 The minimum increment for bids and offers on 

complex orders in options on the S&P 500 Index 

(SPX) or on the S&P 100 Index (OEX and XEO), 

except for box/roll spreads, is $0.05 or greater, or 

in any increment, which may be determined by the 

Exchange on a class-by-class basis. Rule 5.4(c) sets 

forth the minimum increment applicable to other 

types of options. 

6 If the Securities and Exchange Commission (the 

‘‘Commission’’) approves the proposed rule change, 

the Exchange intends to begin accepting complex 

orders with ratios greater than three-to-one or less 

than one-to-three for electronic execution, in 

addition to open outcry. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.29

Jill M. Peterson, 

Assistant Secretary. 

[FR Doc. 2021–18237 Filed 8–24–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92709; File No. SR–CBOE– 

2021–046] 

Self-Regulatory Organizations; Cboe 

Exchange, Inc.; Notice of Filing of a 

Proposed Rule Change To Amend Rule 

5.4 and Make Corresponding Changes 

to Other Rules 

August 19, 2021. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that on August 6, 

2021, Cboe Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘Cboe Options’’) filed 

with the Securities and Exchange 

Commission (the ‘‘Commission’’) the 

proposed rule change as described in 

Items I, II, and III below, which Items 

have been prepared by the selfregulatory 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 

Cboe Exchange, Inc. (the ‘‘Exchange’’ 

or ‘‘Cboe Options’’) proposes to amend 

Rule 5.4 and make corresponding 

changes to other Rules. The text of the 

proposed rule change is provided 

below. 

(additions are italicized; deletions are 

[bracketed]) 

* * * * * 

Rules of Cboe Exchange, Inc. 

* * * * * 

Rule 5.4. Minimum Increments for Bids and 

Offers 

(a) No change. 

(b) Except as provided in Rule 5.33, the 

minimum increment for bids and offers on 

complex orders [with any ratio equal to or 

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

or equal to three-to-one (3.00) for equity and 

index options, and for Index Combo orders,] 

is $0.01 or greater, which may be determined 

by the Exchange on a class-by-class basis, 

and the legs may be executed in $0.01 

increments. [The minimum increment for 

bids and offers on complex orders with any 

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

than three-to-one (3.00) for equity and index 

options (except for Index Combo orders) is 

the standard increment for the class pursuant 

to paragraph (a), and the legs may be 

executed in the minimum increment 

applicable to the class pursuant to paragraph 

(a).] Notwithstanding the foregoing, the 

minimum increment for bids and offers on 

complex orders in options on the S&P 500 

Index (SPX) or on the S&P 100 Index (OEX 

and XEO), except for box/roll spreads, is 

$0.05 or greater, or in any increment, which 

may be determined by the Exchange on a 

class-by-class basis. 

* * * * * 

Rule 5.33. Complex Orders 

Trading of complex orders (as defined in 

Rule 1.1) is subject to all other Rules 

applicable to the trading of orders, unless 

otherwise provided in this Rule 5.33. 

(a)–(e) No change. 

(f) Minimum Increments, Execution Prices, 

and Priority. 

(1) Minimum Increments. No change. 

(2) Execution Prices and Complex Order 

Priority. 

(A) Complex Orders. The System does not 

execute a complex order pursuant to this 

Rule 5.33 at a net price: 

(i)–(iv) No change. 

(v) that would cause any component of the 

complex strategy to be executed at a price 

ahead of a Priority Customer Order on the 

Simple Book without improving the BBO of 

(a) at least one component of the complex 

strategy, if the complex order has a ratio 

equal to or greater than one-to-three (.333) 

and less than or equal to three-to-one (3.00), 

or is an Index Combo order, or (b) each 

component of the complex strategy with a 

Priority Customer Order at the BBO, if the 

complex order has a ratio less than one-tothree (.333) or greater than three-to-one 

(3.00). 

* * * * * 

The text of the proposed rule change 

is also available on the Exchange’s 

website (http://www.cboe.com/ 

AboutCBOE/CBOELegalRegulatory

Home.aspx), at the Exchange’s Office of 

the Secretary, and at the Commission’s 

Public Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

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

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The proposed rule change amends the 

minimum increment for complex orders 

with ratios of greater than three-to-one 

or less than one-to-three. Currently, 

Rule 5.4(b) provides that the minimum 

increment for bids and offers on 

complex orders with any ratio greater 

than or equal to one-to-three (.333) and 

less than or equal to three-to-one (3.00) 

for equity and index options, and for 

Index Combo 4 orders, is $0.01 or 

greater, which may be determined by 

the Exchange on a class-by-class basis, 

and the legs may be executed in $0.01 

increments. However, the minimum 

increment for bids and offers on 

complex orders with any ratio less than 

one-to-three (.333) or greater than threeto-one (3.00) for equity and index 

options (except for Index Combo orders) 

is the standard increment for the class 

pursuant to Rule 5.4(a), and the legs 

may be executed in the minimum 

increment applicable to the class 

pursuant to paragraph 5.4(a).5 The 

Exchange currently only permits 

complex orders with ratios greater than 

three-to-one or less than one-to-three for 

execution on the Exchange’s trading 

floor.6 The proposed rule change 

provides that the minimum increment 

for bids and offers on complex orders 

with any ratio may be in $0.01 or 

greater, as determined by the Exchange 

on a class-by-class basis. This will 

provide TPHs with the same pricing 

flexibility with respect to all complex 

orders they submit to the Exchange, 

regardless of their ratios. 

Complex orders involve special 

pricing and handling. Bids and offers for 


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7 For example, assume the market for the 

December SPX 4350 calls is 18 bid, 19 asked, and 

the market for the December SPX 4375 calls is 6.50 

bid and 7.50 asked. The fair value of a call 

comprised of one leg to buy and one leg to sell the 

same number of contracts of this series is 11.50 (the 

difference between the prices quoted for each 

option). If an order to buy 100 of the 4350 calls and 

to sell 100 of the 4375 calls is quoted and executed 

at a net debit of 11.50 (expressed in a multiple of 

the minimum increment), the parties to the trade 

can easily determine and record a price for each 

component option that comprises the complex 

order. Any combination of purchase and sale prices 

within the quoted ranges for the component options 

that yield a net debit or credit of 11.50 could be 

used (e.g., 18.50 for the 4350 calls, and 7 for the 

4375 calls). 

8 Using the example in the previous footnote, if 

instead a customer wants to pay 11.48 rather than 

11.50 for a complex order, in order to determine 

prices for the component options that are expressed 

in a multiple of $0.05 the trader must perform a 

series of calculations. In this case, the trader might 

determine that the trade must be split up into a 40- 

contract spread that traded at a net debit of 11.45 

and a 60-contract spread that traded at a net debit 

of 11.50, which together yield a net debit of 11.48 

for the entire amount. This is ultimately a better net 

price for the customer. 

9The ‘‘SBBO’’ means the best bid and offer on the 

Exchange for a complex strategy calculated using 

(1) for complex orders, the BBO for each component 

(or the NBBO for a component if the BBO for that 

component is not available) of a complex strategy 

from the Simple Book; and (2) for stock-option 

orders, the BBO for each option component (or the 

NBBO for a component if the BBO for that 

component is not available) and the NBBO of the 

stock component of a complex strategy. 

10See Rule 5.85(b). 

11See Securities Exchange Act Release 48858 

(December 1, 2003), 68 FR 68128 (December 5, 

2003) (SR–CBOE–2003–007) (‘‘Approval Order’’). In 

approving ratio orders (which had ratios no less 

than one-to-three and no greater than three-to-one), 

the Commission stated that ‘‘[t]he Commission 

believes that ratio orders within certain permissible 

ratios may provide market participants with greater 

flexibility and precision in effectuating trading and 

hedging strategies. In addition, the Commission 

believes that including such ratio orders in the 

exception to the priority rules provided in CBOE 

Rule 6.45(e) will facilitate the execution of ratio 

orders. In this regard, the Commission believes that 

the procedures governing the execution of complex 

orders, such as ratio orders, serve to reduce the risk 

of incomplete or inadequate executions while 

increasing efficiency and competitive pricing by 

requiring price improvement before the order can 

receive priority over other orders.’’ Id. Pursuant to 

SR–CBOE–2019–060, Rule 6.45 was replaced with 

Rule 5.33. 

complex orders are typically 

represented on the basis of a total debit 

or credit for the order. After a complex 

order executes at the total debit or 

credit, the parties to the trade record the 

contract quantities and prices for each 

component option of the order. For 

complex orders executed electronically, 

the Exchange’s system performs this 

calculation (within the pricing and 

priority parameters set forth in Rule 

5.33(f)). For complex orders executed in 

open outcry, this task is straightforward 

and uncomplicated when the total debit 

or credit for a complex strategy 

expressed in the minimum increment 

under Rule 5.4(b).7 However, if a 

complex order is unable to be expressed 

in increments smaller than the 

increment for the class (such as $0.05), 

it may be difficult for brokers to obtain 

the desired prices for their customers’ 

orders, because the transaction parties 

must perform complicated and timeconsuming mathematical calculations to 

break down a complex order into the 

required contract quantities and prices 

to fit within the constraint of executing 

complex orders at a minimum 

increment other than $0.01.8 This 

difficulty is exacerbated when the 

quantity of such an order is an odd lot 

quantity (such as 106 contracts). The 

result is that on active trading days, 

brokers executing these types of orders 

cannot be as efficient in representing 

other customer orders that they are 

holding. This difficulty exists for 

complex orders with any ratio and with 

legs in any combination. 

The proposed rule change will enable 

Trading Permit Holders (‘‘TPHs’’) to 

execute complex orders more 

efficiently, including on behalf of 

customers that wish to execute highly 

complicated complex orders, by 

permitting the parties to execute the 

trades more expeditiously on the trading 

floor. As noted above, the Exchange also 

intends to accept complex orders with 

ratios larger than three-to-one or smaller 

than one-to-three for electronic 

execution, which would further 

improve efficiency of execution of 

electronic orders, as the System would 

perform this calculation. The Exchange 

believes this increased efficiency would 

increase execution opportunities for 

complex orders with investment 

strategies that do not fit within the 

three-to-one ratio requirement. 

Additionally, the proposed rule change 

may enable TPHs to execute customers’ 

complex orders with these larger ratios 

at better prices, rather than executing at 

prices that fit within the confines of a 

larger increment. 

While the proposed rule change 

amends the minimum increment at 

which all complex orders and their legs 

may execute, the Exchange does not 

propose to extend the complex order 

priority afforded to complex orders with 

ratios equal to or greater than one-tothree and less than or equal to three-toone to these larger-ratio complex orders. 

Electronic execution of complex orders 

with any ratio will continue to be 

required at net prices: (i) That would 

cause any component of the complex 

strategy to be executed at a price of zero; 

(ii) worse than the Synthetic Best Bid or 

Offer (‘‘SBBO’’) 9 or equal to the SBBO 

when there is a priority customer order 

at the SBBO (except all-or-none 

(‘‘AON’’); (iii) that would cause any 

component of the complex strategy to be 

executed at a price worse than the 

individual component prices on the 

Simple Book; or (iv) worse than the 

price that would be available if the 

complex order legged into the Simple 

Book. The proposed rule change amends 

Rule 5.33(f)(2)(A)(v) to provide that a 

complex order may not execute at a net 

price that would cause any component 

of the complex strategy to be executed 

at a price ahead of a Priority Customer 

Order on the Simple Book without 

improving the BBO of (a) at least one 

component of the complex strategy, if 

the complex order has a ratio equal to 

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

less than or equal to three-to-one (3.00), 

or is an Index Combo order (which is 

consistent with current functionality 

and thus for all complex orders that may 

be executed electronically), or (b) each 

component the complex strategy with a 

Priority Customer Order at the BBO, if 

the complex order has a ratio less than 

one-to-three (.333) or greater than threeto-one (3.00) (which is consistent with 

current open outcry rules, where 

complex orders with any such ratio may 

currently be executed).10 As a result, to 

the extent a complex order with a ratio 

of four-to-one (for example) is submitted 

for electronic execution, the complex 

order may be executed at a net debit or 

credit price only if each leg of the order 

betters the corresponding bid (offer) of 

a priority customer order(s) in the 

Simple Book. Therefore, the complex 

order priority rules will continue to 

protect Priority Customer interest on the 

Simple Book. 

When the Exchange first proposed to 

restrict penny pricing for complex 

orders to those with ratios no greater 

than three-to-one, investors had only 

begun to use multi-leg strategies. At the 

time, the Commission held that ‘‘ratio 

orders within certain permissible ratios 

may provide market participants with 

greater flexibility and precision in 

effectuating trading and hedging 

strategies.’’ 11 In the nearly 20 years 

since, market participants have 

expanded the use and complexity of 

multi-leg trading strategies, which 

represent a critical portion of their 

overall investment strategies, while the 

rules regarding the increments of largerratio orders have remained unchanged 

and no longer reflect the current 

marketplace. Market participants 

regularly submit legitimate multi-leg 

trading and hedging strategies with 

ratios greater than three-to-one (or less 

than one-to-three). From January 3 


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12Currently, simple orders in classes with 

minimum increments of $0.05 or $0.10 may trade 

in penny increments in certain circumstances. See, 

e.g., Rule 5.37(a)(4) (pursuant to which the 

minimum price improvement increment for the 

Automated Improvement Mechanism (‘‘AIM’’) must 

be at least $0.01, which is the current minimum 

increment as determined by the Exchange for all 

classes eligible for AIM except for S&P 500 Index 

(‘‘SPX’’) options); and Rule 5.33(f)(1)(B) (pursuant 

to which the option leg(s) of a stock-option order 

may be $0.01 or greater, which the Exchange 

determines on a class-by-class basis, regardless of 

the minimum increments otherwise applicable to 

the option leg(s)); see also Rule 5.39(a)(4). 

13See Approval Order at 68128. 

14Although the marketplace may in fact be better 

served by a structure that does not require multilegged orders to, among other things, yield priority 

to a simple order (which cannot on its own satisfy 

the terms of a multi-leg order), this proposal does 

not require the Commission to pass judgment on 

that issue. 

15See Rule 5.4(d) (which provides that the penny 

program applies to 363 of the over 2000 classes that 

currently trade on the Exchange). 

16A market participant could already attempt to 

do this today by submitting a smaller-ratio complex 

order by adding an inexpensive, out-of-the-money 

leg to an order. However, the Exchange has not 

observed this behavior. 

through June 17, 2021, nearly 31% of 

complex orders executed on the 

Exchange’s trading floor had a ratio 

greater than three-to-one. For example, 

a complex order consisting of one leg to 

buy 30 VIX calls and another leg to sell 

30 VIX puts—both in the same series— 

combined with a third leg to purchase 

100 VIX calls in a separate series that 

have a delta of ‘‘30’’ (30% or .30) creates 

a delta neutral position, and there is no 

reason such a transaction should not 

receive the complex order benefits. 

However, market participants who 

submit such orders are disadvantaged 

compared to strategies with smaller 

ratios due to the restrictiveness of the 

current pricing increment. The 

Exchange sees no reason to restrict 

complex orders with a ratio of four-toone, for example, in a class with a 

minimum increment of $0.05 from being 

expressed in, or having their legs 

execute in, $0.01 increments while legs 

of complex orders with a ratio of threeto-one in the same class may be 

expressed in, and have their legs 

execute in, $0.01 increments.12 The 

Exchange believes it is appropriate to 

expand the availability of the smaller 

pricing increment to complex orders 

with larger ratios so that all market 

participants may have the same 

flexibility with respect to the pricing of 

their multi-legged investment strategies, 

regardless of ratio. In the same way the 

Commission held that ‘‘the procedures 

governing the execution of complex 

orders, such as . . . orders [with ratios 

no greater than three-to-one or less than 

one-to-three], serve to reduce the risk of 

incomplete or inadequate executions 

while increasing efficiency and 

competitive pricing by requiring price 

improvement before the order can 

receive priority over other orders[,]’’ 13

the Exchange believes expanding penny 

pricing to all complex orders regardless 

of ratios will serve to reduce the risk of 

incomplete or inadequate executions for 

larger-ratio complex orders while 

increasing efficiency and competitive 

pricing by requiring price improvement 

before the order can receive priority 

over other orders. 

The Exchange understands that the 

Commission is concerned that the 

simple order market may be somehow 

disadvantaged by allowing larger-ratio 

multi-legged orders to receive the 

complex order benefit. The chief 

concern appears to be that if the ratios 

are too greatly expanded, market 

participants will, for example, enter 

multi-legged strategies designed 

primarily to trade orders in a class in 

pennies that cannot otherwise execute 

as simple orders in that class in pennies 

rather than to effectuate a bona fide 

trading or hedging strategy. 

Additionally, the Commission believes 

there is a risk that market participants 

may possibly enter such strategies to 

trade ahead of orders on the book by a 

smaller amount.14 The Exchange first 

notes a significant amount of volume 

executed on the Exchange is already 

done in penny increments. From 

January 3 through June 17, 2021, over 

half the volume executed on the 

Exchange as part of a complex order, the 

majority of which (all electronic 

complex orders and all open outcry 

complex orders with ratios no greater 

than three-to-one (which represents 

nearly 70% of open outcry complex 

orders)) are able to trade in pennies 

(both the package price and leg prices, 

except for SPX, for which the package 

price must be in nickels, but the legs 

may trade in pennies) under current 

rules. Additionally, during that same 

time period, approximately 43% of 

simple volume on the Exchange 

executed in AIM Auctions, which 

permit executions in pennies (for all 

classes except SPX). Therefore, the 

majority of contracts that execute on the 

Exchange already execute in pennies 

(even though penny increments are 

available for fewer than 400 classes),15

and the Exchange does not believe 

permitting all complex orders to trade in 

pennies will significantly increase the 

volume that may already execute in 

pennies on the Exchange. 

The Exchange believes it is highly 

unlikely that market participants will 

submit non-bona-fide trading strategies 

with larger ratios just to trade in 

pennies. First, with respect to a nonbona-fide trading strategy, it is unlikely 

other market participants would rest an 

order for such a strategy on the complex 

order book or be willing to execute 

against such an order given that it is a 

non-bona-fide strategy, thus reducing 

the likelihood a market participant 

would be able to execute such strategy. 

Additionally, adding a single leg to a 

larger order just to obtain penny pricing 

may further reduce execution 

opportunities for that order, because it 

may be less likely that sufficient 

contracts in the appropriate ratio would 

be available. The Exchange also believes 

it is unlikely market participants will 

attempt to submit large-ratio complex 

orders solely to use penny pricing to 

trade ahead of customers on the simple 

book. From January 2 to June 17, 2021, 

there was only a customer order on the 

top of the book across all series listed on 

the Exchange for 0.328% of that time. 

Therefore, there would be minimal 

amounts of time when a market 

participant would even have the need to 

attempt to do this. Additionally, as 

proposed, unlike complex orders with 

ratios between one-to-three and three-toone, complex orders with ratios less 

than one-to-three or greater than threeto-one will have to improve all legs with 

customers on the book, rather than just 

improve one leg like complex orders 

with smaller ratios, and such orders 

would also have to honor away markets. 

Therefore, if a market participant were 

to attempt to submit a complex order 

with a large ratio 16 primarily to trade in 

pennies or ahead of customers, it may 

need to improve more legs than a 

smaller ratio order, and would have to 

honor all away markets, potentially 

reducing any potential savings the 

market participant was attempting to 

achieve. Note also that rather than 

adding an extra leg to a large order 

simply to be able to improve the book 

by $0.01 is unnecessary because such 

order could already be executed in an 

AIM Auction in $0.01 increments. 

Additionally, these orders would be 

subject to review by the Exchange’s 

regulatory division, which may 

determine submission of such orders to 

be in violation of the Exchange’s Rules, 

including Rule 8.1, which prohibits 

TPHs from engaging in acts or practices 

inconsistent with just and equitable 

principles of trade. For these reasons, 

the Exchange believes there is a de 

minimis chance that market participants 

would submit non-bona-fide trading 

strategies to trade the legs in pennies or 


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17 15 U.S.C. 78f(b). 

18 15 U.S.C. 78f(b)(5). 

19 Id. 

20See BOX Options LLC (‘‘BOX’’) Rule 7600(c) 

(which rule is silent on the minimum increment for 

orders submitted for execution on BOX’s trading 

floor, but the Exchange has been informed by 

multiple TPHs that are also members of BOX that 

they may execute multi-legged orders (with ratios 

greater than three-to-one or less than one-to-three) 

on BOX’s trading floor in penny increments). 21As noted above, there are instances in which 

simple orders with minimum increments of $0.05 

or $0.10 may trade in penny increments. See supra 

note 8. 22See proposed Rule 5.34(f)(A)(v) and current 

Rule 5.85(b). As noted above, currently, complex 

orders with ratios greater than three-to-one or less 

than one-to-three may only be submitted for open 

outcry trading. If the Commission approves the 

proposed rule change, the Exchange will permit 

such orders to be submitted for electronic execution 

in addition to open outcry execution. 

23See Approval Order at 68128. 

24See Id. 

25See Id. 

trade ahead of customers on the book 

and that the benefits of permitting all 

complex orders to trade in pennies 

significantly outweigh this risk. 

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.17 Specifically, 

the Exchange believes the proposed rule 

change is consistent with the Section 

6(b)(5) 18 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) 19 requirement that 

the rules of an exchange not be designed 

to permit unfair discrimination between 

customers, issuers, brokers, or dealers. 

In particular, the Exchange believes 

the proposed rule change will remove 

impediments to and perfect the 

mechanism of a free and open market 

and benefit investors, because it will 

provide market participants with the 

same pricing flexibility with respect to 

all their complex trading and hedging 

strategies. Market participants may 

determine that investment and hedging 

strategies with ratios greater than threeto-one or less than one-to-three are 

appropriate for their investment 

purposes, and the Exchange believes it 

will benefit market participants if they 

have additional flexibility to price their 

investment and hedging strategies to 

achieve their desired investment results. 

The Exchange believes the proposed 

rule change will help protect investors 

by allowing market participants to 

receive the benefit of complex order 

pricing when executing bona-fide multilegged trading or hedging strategies. The 

Exchange sees no reason to restrict 

complex orders with a ratio of greater 

three-to-one (or less than one-to three) 

in a class with a minimum increment of 

$0.05 from being expressed in, or having 

their legs execute in, $0.01 increments 

while legs of complex orders with a 

ratio equal to or less than or equal to 

three-to-one (or greater than or equal to 

one-to-three) in the same class may be 

expressed in, and have their legs 

execute in, $0.01 increments. The 

proposed rule change will further 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system, as 

another options exchange permits 

complex orders with any ratio and their 

legs to trade in pennies.20

These changes will also enable traders 

on the Exchange’s trading floor to more 

efficiently execute all complex orders, 

including on behalf of customers that 

wish to execute highly complicated 

complex orders, by permitting the 

parties to execute the trades more 

expeditiously.21 Additionally, as 

discussed above, this may enable TPHs 

to execute customers’ complex orders at 

better prices, rather than executing at 

prices that fit within the confines of a 

larger increment, which ultimately 

benefits investors. 

The proposed rule change will 

continue to protect priority customer 

order interest on the Simple Book in the 

same manner it does today, as all 

complex orders with a ratio greater than 

three-to-one or less than one-to-three 

(except Index Combo orders) will 

continue to be executed only if each leg 

of the order improves the price of a 

priority customer order on the Simple 

Book on each leg by at least the 

applicable minimum trading 

increment.22 The proposed rule change 

has no impact on the priority of 

complex orders, as complex orders with 

ratios less than .333 or greater than 3.00 

will continue to be required to improve 

the price of leg of the complex order for 

which a Priority Customer Order is 

resting at the BBO in the Simple Book, 

and thus will continue to protect 

Priority Customer Orders in the Simple 

Book. 

Furthermore, the Exchange believes 

this proposal is consistent with the Act 

and SR–CBOE–2003–007 because in the 

same way that the Commission held that 

‘‘ratio orders within certain permissible 

ratios may provide market participants 

with greater flexibility and precision in 

effectuating trading and hedging 

strategies[,]’’ 23 complex orders that are 

fully hedged may provide market 

participants with greater flexibility and 

precision in effectuating trading and 

hedging strategies. The Exchange also 

believe this proposal is consistent with 

the Act and SR–CBOE–2003–007 

because in the same way that the 

Commission held that ‘‘including such 

ratio orders in the exception to the 

priority rules provided in CBOE Rule 

6.45(e) will facilitate the execution of 

ratio orders[,]’’ 24 including fully hedged 

complex orders in the exception to the 

priority rules provided in CBOE Rule 

6.45(b)(ii) will facilitate the execution of 

fully hedged complex orders. Finally, in 

the same way that the Commission held 

that ‘‘the procedures governing the 

execution of complex orders, such as 

ratio orders, serve to reduce the risk of 

incomplete or inadequate executions 

while increasing efficiency and 

competitive pricing by requiring price 

improvement before the order can 

receive priority over other orders[,]’’ 25

the Exchange believes the procedures 

governing the execution of fully hedged 

complex orders serve to reduce the risk 

of incomplete or inadequate executions 

while increasing efficiency and 

competitive pricing by requiring price 

improvement before the order can 

receive priority over other orders. The 

Exchange believes the proposed changes 

will increase opportunities for 

execution of complex orders and lead to 

tighter spreads on CBOE, which will 

benefit investors. The Exchange also 

believes that the proposed rule change 

is designed to not permit unfair 

discrimination among market 

participants, as all market participants 

may trade complex orders, and the 

priority eligibility requirements apply to 

complex orders of all market 

participants. 

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 the proposed 

rule change will impose any burden on 

intramarket competition, as the 

proposed rule change will apply in the 


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Federal Register / Vol. 86, No. 162 / Wednesday, August 25, 2021 / Notices 47533 

26See supra note 16. 27 17 CFR 200.30–3(a)(12). 

same manner to all TPHs. TPHs will 

have the discretion to submit complex 

orders with any ratio in the increments 

permitted by the proposed rule change. 

The proposed rule change will eliminate 

a current pricing disparity that exists 

between complex orders within the 

same class and thus provide the same 

pricing flexibility to all complex orders, 

regardless of their ratios. The Exchange 

does not believe the proposed rule 

change will impose any burden on 

intermarket competition, as it relates to 

the representation and execution of 

orders on the Exchange and will 

continue to protect Priority Customer 

Orders on the Simple Book. The 

Exchange believes the proposed rule 

change may promote competition, as 

market participants will have additional 

flexibility to execute their trading and 

hedging strategies in a more efficient 

manner and will permit all complex 

orders in the same class to trade in the 

same increments. Additionally, the 

Exchange understands from TPHs that 

another options market currently 

permits complex orders with ratios 

greater than three-to-one or less than 

one-to-three and their legs to execute in 

penny increments on its trading floor.26

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange neither solicited nor 

received comments on the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 45 days of the date of 

publication of this notice in the Federal 

Register or within such longer period 

up to 90 days (i) as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 

reasons for so finding or (ii) as to which 

the Exchange consents, the Commission 

will: 

A. By order approve or disapprove 

such proposed rule change, or 

B. institute proceedings to determine 

whether the proposed rule change 

should be 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– 

CBOE–2021–046 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–CBOE–2021–046. 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–CBOE–2021–046, and 

should be submitted on or before 

September 15, 2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.27

Jill M. Peterson, 

Assistant Secretary. 

[FR Doc. 2021–18236 Filed 8–24–21; 8:45 am] 

BILLING CODE 8011–01–P 

DEPARTMENT OF STATE 

[Public Notice: 11515] 

Industry Advisory Group; Notice of 

Charter Renewal 

The Department of State has renewed 

the charter for the Bureau of Overseas 

Buildings Operations’ (OBO) Industry 

Advisory Group for an additional twoyear period. The committee advises 

OBO’s senior management on issues 

relating to real property portfolio 

management, planning, acquisition, 

sales, leasing, design, engineering, 

construction, historic preservation, 

resiliency, natural hazards, emergency 

operations, program development, as 

well as facilities operations and 

maintenance. 

OBO provides safe, secure, functional, 

and resilient facilities that represent the 

U.S. government to the host nation and 

support staff in the achievement of U.S. 

foreign policy objectives. These 

facilities represent American values and 

the best in American architecture, 

design, engineering, technology, 

sustainability, art, culture, and 

construction execution. 

The authority for this Notice is the 

Federal Advisory Committee Act, 5 

U.S.C. appendix. For further 

information, please contact Christine 

Foushee at FousheeCT@state.gov. 

Kevin E. Bryant, 

Deputy Director, Office of Directives 

Management, U.S. Department of State. 

[FR Doc. 2021–18227 Filed 8–24–21; 8:45 am] 

BILLING CODE 4710–51–P 

DEPARTMENT OF STATE 

[Public Notice: 11512] 

Industry Advisory Group; Notice of 

Open Meeting 

The Industry Advisory Group (IAG) of 

the Bureau of Overseas Buildings 

Operations (OBO), U.S. Department of 

State, will meet on Friday, September 

17, 2021, from 9:00 a.m. until 1:00 p.m. 

Eastern Daylight Time. The meeting is 

open to the public and will be held via 

Webex Event. 

The IAG serves the U.S. government 

in a solely advisory capacity concerning 

industry and academia’s latest concepts, 

methods, best practices, innovations, 

and ideas related to the OBO mission of 

providing safe, secure, resilient and 

functional facilities that represent the 

U.S. government to the host nation and 

support the Department’s achievement 

of U.S. foreign policy objectives abroad. 

The majority of the meeting will be 

devoted to discussions between the 


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