Federal Register / Vol. 87, No. 71 / Wednesday, April 13, 2022 / Notices 21959 

25For purposes only of waiving the 30-day 

operative delay, the Commission has also 

considered the proposed rule’s impact on 

efficiency, competition, and capital formation. See 

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

26 15 U.S.C. 78s(b)(2)(B). 

27 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 92563 

(August 4, 2021), 86 FR 43704 (‘‘Notice’’). 

4 15 U.S.C. 78s(b)(2). 

5See Securities Exchange Act Release No. 93057 

(September 20, 2021), 86 FR 53128 (September 24, 

2021). 

6 15 U.S.C. 78s(b)(2)(B). 

7See Securities Exchange Act Release No. 93466 

(October 29, 2021), 86 FR 60955 (November 4, 

2021). 

8Amendment No. 1 makes certain nonsubstantive clarifying changes from the original 

filing (including alphabetizing the proposed 

definitions and relocating the description of 

Complex Only Orders), and makes the following 

substantive changes from the original filing: (1) 

Adds new definitions of Away Market Deviation 

and Leg Ratios; (2) revises the definition of DBBO 

to add cross-reference to ABBO, as that term is 

defined in the Single-Leg Pillar Filing, and to 

include details regarding market conditions that 

impact the trading of complex strategies; (3) revises 

the definition of an ECO to remove reference to 

Stock/Option Orders and Stock/Complex Orders; 

(4) adds Complex QCCs as an ECO order type and 

specifies that an ECO designated as FOK must also 

be designated as a Complex Only Order; (5) 

specifies that an ECO will not trade with leg market 

orders designated as FOK; (6) specifies 

circumstances when an ECO may trade with 

another ECO at the leg market price and when an 

ECO must price improve at least a portion of the 

leg markets when there is displayed Customer 

interest on the Exchange; and (7) modifies the 

description of how a COA Order trades on arrival 

and prior to initiating a COA. Amendment No. 1 is 

available on the Commission’s website at: https:// 

www.sec.gov/comments/sr-nysearca-2021-68/ 

srnysearca202168.htm. 

9Amendment No. 2 revises proposed Exchange 

Rule 6.91P–O(c)(4) to provide that bids and offers 

for complex strategies may be expressed in one cent 

($0.01) increments regardless of the MPV otherwise 

applicable to the individual leg(s) of the ECO. The 

Exchange notes that this provision is consistent 

with the rules of other options exchanges, including 

Nasdaq ISE, Options 3, Section 14 (c)(1). In 

addition, Amendment No. 2 revises proposed 

Exchange Rule 6.91P–O(d)(1)(B) to delete an 

erroneous cross-reference to proposed Exchange 

Rule 6.91P–O(a)(5)(B). Deleting the erroneous crossreference will make clear that the Exchange will not 

open a complex strategy in the absence of an 

Exchange BO or ABO, even if there is an Exchange 

BB or an ABB. Amendment No. 2 is available on 

the Commission’s website at: https://www.sec.gov/ 

comments/sr-nysearca-2021-68/ 

srnysearca202168.htm. 

to these rules are appropriate. Therefore, 

the Commission hereby waives the 30- 

day operative delay and designates the 

proposed rule change as operative upon 

filing.25

At any time within 60 days of the 

filing of such 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 

under Section 19(b)(2)(B) 26 of the Act to 

determine whether the proposed rule 

change 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– 

NYSECHX–2022–05 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–NYSECHX–2022–05. 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–NYSECHX–2022–05 

and should be submitted on or before 

May 4, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.27

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–07845 Filed 4–12–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94637; File No. SR– 

NYSEArca–2021–68] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing of 

Amendment Nos. 1 and 2 and Order 

Granting Accelerated Approval of a 

Proposed Rule Change, as Modified by 

Amendment Nos. 1 and 2, To Adopt 

New Exchange Rule 6.91P–O 

April 7, 2022. 

I. Introduction 

On July 23, 2021, NYSE Arca, Inc. 

(‘‘NYSE Arca’’ or the ‘‘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 adopt new Exchange Rule 

6.91P–O to govern the trading of 

Electronic Complex Orders (‘‘ECOs’’) on 

the Exchange’s Pillar technology 

platform and to make conforming 

amendments to Exchange Rule 6.47A– 

O. The proposed rule change was 

published for comment in the Federal 

Register on August 10, 2021.3 The 

Commission received no comments 

regarding the proposal. On September 

20, 2021, pursuant to Section 19(b)(2) of 

the Act,4 the Commission extended the 

time for Commission action on the 

proposal until November 8, 2021.5 On 

October 29, 2021, the Commission 

issued an order instituting proceedings 

pursuant to Section 19(b)(2)(B) of the 

Act 6 to determine whether to approve 

or disapprove the proposed rule 

change.7 On March 22, 2022, the 

Exchange filed Amendment No. 1 to the 

proposal, which supersedes the original 

filing in its entirety.8 April 4, 2022, the 

Exchange filed Amendment No. 2 to the 

proposal.9 The Commission is 

publishing this notice to solicit 

comment on Amendment Nos. 1 and 2 

to the proposed rule change from 

interested persons and is approving the 

proposed rule change, as modified by 


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10The Exchange’s national securities exchange 

affiliates are the New York Stock Exchange LLC 

(‘‘NYSE’’), NYSE American LLC (‘‘NYSE 

American’’), NYSE National, Inc. (‘‘NYSE 

National’’), and NYSE Chicago, Inc. (‘‘NYSE 

Chicago’’). 

11See Securities Exchange Act Release No. 94072 

(January 26, 2022), 87 FR 5592 (February 1, 2022) 

(Notice of filing Notice of Filing of Amendment No. 

4 and Order Granting Accelerated Approval of a 

Proposed Rule Change, as Modified by Amendment 

No. 4) (SR–NYSEArca–2021–47) (‘‘Single-Leg Pillar 

Filing’’). 

12The term ‘‘Electronic Complex Order’’ is 

currently defined in the preamble to Rule 6.91–O 

to mean any Complex Order, as defined in Rule 

6.62–O(e) or any Stock/Option Order or Stock/ 

Complex Order as defined in Rule 6.62–O(h) that 

is entered into the NYSE Arca System (the 

‘‘System’’). 13See Single-Leg Pillar Filing (providing that, 

once a symbol is trading on the Pillar trading 

platform, a rule with the same number as a rule 

with a ‘‘P’’ modifier would no longer be operative 

for that symbol and the Exchange would announce 

by Trader Update when symbols are trading on the 

Pillar trading platform). 

14This Amendment No. 1 makes certain nonsubstantive clarifying changes from the original 

filing (including alphabetizing the proposed 

definitions and relocating the description of 

Complex Only Orders), and makes the following 

substantive changes from the original filing: (1) 

Adds new definitions of Away Market Deviation 

and Leg Ratios; (2) revises the definition of DBBO 

to add cross-reference to ABBO, as that term is 

defined in the Single-Leg Pillar Filing, and to 

include details regarding market conditions that 

impact the trading of complex strategies; (3) revises 

the definition of an ECO to remove reference to 

Stock/Option Orders and Stock/Complex Orders; 

(4) adds Complex QCCs as an ECO order type and 

specifies that an ECO designated as FOK must also 

be designated as a Complex Only Order; (5) 

specifies that an ECO will not trade with leg market 

orders designated as FOK; (6) specifies 

circumstances when an ECO may trade with 

another ECO at the leg market price and when an 

ECO must price improve at least a portion of the 

leg markets when there is displayed Customer 

interest on the Exchange; and (7) modifies the 

description of how a COA Order trades on arrival 

and prior to initiating a COA. 

15 In the Single-Leg Pillar Filing, the Exchange 

defines the (new) term ‘‘Away Market BBO 

(‘ABBO’)’’ as referring to the best bid(s) or offer(s) 

disseminated by Away Markets and calculated by 

the Exchange based on market information the 

Exchange receives from OPRA and the terms ‘‘ABB’’ 

and ‘‘ABO’’ as referring to the best Away Market bid 

and best Away Market offer, respectively. See 

Single-Leg Pillar Filing (defining Away Market BBO 

in proposed Rule 1.1). 

Amendment Nos. 1 and 2, on an 

accelerated basis. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

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

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

Background 

The Exchange plans to transition its 

options trading platform to its Pillar 

technology platform. The Exchange’s 

and its national securities exchange 

affiliates’ 10 (together with the Exchange, 

the ‘‘NYSE Exchanges’’) cash equity 

markets are currently operating on 

Pillar. For this transition, the Exchange 

proposes to use the same Pillar 

technology already in operation for its 

cash equity markets. In doing so, the 

Exchange will be able to offer not only 

common specifications for connecting to 

both of its cash equity and equity 

options markets, but also common 

trading functions. The Exchange plans 

to roll out the new technology platform 

over a period of time based on a range 

of symbols, anticipated for the second 

quarter of 2022. 

In this regard, the Exchange recently 

filed a proposal to add new rules to 

reflect how options, particularly singleleg options, would trade on the 

Exchange once Pillar is implemented.11

The current proposal sets forth how 

Electronic Complex Orders 12 would 

trade on the Exchange once Pillar is 

implemented. As noted in the SingleLeg Pillar Filing, as the Exchange 

transitions to Pillar, certain rules would 

continue to be applicable to symbols 

trading on the current trading platform, 

but would not be applicable to symbols 

that have transitioned to trading on 

Pillar.13 Consistent with the Single-Leg 

Pillar Filing, proposed Rule 6.91P–O 

would have the same number as the 

current Electronic Complex Order 

Trading rule, but with the modifier ‘‘P’’ 

appended to the rule number. Current 

Rule 6.91–O, governing Electronic 

Complex Order Trading, would remain 

unchanged and continue to apply to any 

trading in symbols on the current 

system. Proposed Rule 6.91P–O would 

govern Electronic Complex Orders for 

trading in options symbols migrated to 

the Pillar platform. This Amendment 

No. 1 supersedes the original filing in its 

entirety.14

Similar to the Single-Leg Pillar Filing, 

proposed Rule 6.91P–O would (1) use 

Pillar terminology based on Pillar 

terminology that the Exchange uses for 

cash equities trading, as described in 

Exchange Rule 7–E; and (2) introduce 

new functionality for Electronic 

Complex Order trading (e.g., adopting a 

DBBO and Away Market Deviation price 

check as well as enhancing the opening 

process for ECOs as described below). 

Finally, as discussed in the Single-Leg 

Pillar Filing, the Exchange will 

announce by Trader Update when 

symbols are trading on the Pillar trading 

platform. The Exchange intends to 

transition Electronic Complex Order 

trading on Pillar at the same time that 

single-leg trading is transitioned to 

Pillar. 

Proposed Rule 6.91P–O: Electronic 

Complex Order Trading 

Current Rule 6.91–O (Electronic 

Complex Order Trading) specifies how 

the Exchange processes Electronic 

Complex Orders submitted to the 

Exchange. The Exchange proposes new 

Rule 6.91P–O to establish how such 

orders would be processed after the 

transition to Pillar. To promote clarity 

and transparency, the Exchange 

proposes to add a preamble to current 

Rule 6.91–O specifying that it would not 

be applicable to trading on Pillar. 

As discussed in greater detail below 

and unless otherwise specified herein, 

the Exchange is not proposing 

fundamentally different functionality 

regarding how Electronic Complex 

Orders would trade on Pillar than is 

currently available on the Exchange. 

However, with Pillar, the Exchange 

would use Pillar terminology to describe 

functionality that is not changing and 

also introduce certain new or updated 

functionality for Electronic Complex 

Orders (i.e., enhancing the opening 

auction process, including introducing 

the ‘‘ECO Auction Collars’’) that will 

also be available for outright options 

trading on the Pillar platform. 

Definitions. Proposed Rule 6.91P–O(a) 

would set forth the definitions 

applicable to trading on Pillar under the 

new rule. 

• Proposed Rule 6.91P–O(a)(1) would 

define the term ‘‘Away Market 

Deviation’’ as the difference between the 

Exchange BB (BO) for a series and the 

ABB (ABO) for that same series when 

the Exchange BB (BO) is lower (higher) 

than the ABB (ABO).15 The maximum 

allowable Away Market Deviation is the 

greater of $0.05 or 5% below (above) the 

ABB (ABO) (rounded down to the 

nearest whole penny). As further 

proposed, no ECO on the Exchange 

would execute at a price that would 

exceed the maximum allowable Away 

Market Deviation on any component of 

the complex strategy. The maximum 

allowable Away Market Deviation is 

designed to protect market participants 

from having their complex strategies 


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16See, e.g., BOX Options Exchange LLC (‘‘BOX’’) 

Rule 7240(b)(3)(iii)(A) (providing that each leg of a 

complex strategy trade equal to or better than the 

‘‘Extended cNBBO,’’ which has a default setting 

(per Rule 7240(a)(5)) of 5% of the cNBB or cNBO 

(per Rule 7240(a)(2) and (4), respectively) as 

applicable, or $0.05); Nasdaq ISE, LLC (‘‘Nasdaq 

ISE’’), Options 3, Section 16 (a) (providing that, in 

regard to ‘‘Price limits for Complex Orders, 

‘‘[n]otwithstanding, the System will not permit any 

leg of a complex strategy to trade through the NBBO 

for the series or any stock component by a 

configurable amount calculated as the lesser of (i) 

an absolute amount not to exceed $0.10, and (ii) a 

percentage of the NBBO not to exceed 500%, as 

determined by the [ISE] Exchange on a class, series 

or underlying basis’’). 

17The term ‘‘marketable’’ is defined in proposed 

Rule 1.1 of the Single-Leg Pillar Filing. 

18See, e.g., NYSE American Rules 

971.1NY(c)(2)(B) (providing that for a Customer 

Best Execution Auction ‘‘[t]he minimum/maximum 

parameters for the Response Time Interval will be 

no less than 100 milliseconds and no more than one 

(1) second’’) and 971.2NY(c)(1)(B) (same); Cboe 

Exchange Inc. (‘‘Cboe’’) Rule 5.33(d)(3) (providing 

that Cboe ‘‘determines the duration of the Response 

Time Interval on a class-by-class basis, which may 

not exceed 3000 milliseconds’’). 

19See, e.g., Securities Exchange Act Release Nos. 

82498 (January 12, 2018), 83 FR 2823 (January 19, 

2018) (SR–NYSEAmer-2017–26) (Notice of filing 

and immediate effectiveness of proposed rule 

change to reduce the response time interval for a 

CUBE Auction to no less than 100 milliseconds); 

83384 (June 5, 2018), 83 FR 27061 (June 11, 2018) 

(SR–NYSEAMER–2018–05) (Order approving 

Complex CUBE functionality, including Rule 

971.2NY(c)(1)(B), providing that ‘‘[t]he minimum/ 

maximum parameters for the Response Time 

Interval will be no less than 100 milliseconds and 

no more than one (1) second’’)). 

20See, e.g., Cboe Rule 5.33(a) (defining ‘‘complex 

strategy’’ as ‘‘a particular combination of 

components and their ratios to one another’’ and 

further providing that ‘‘[n]ew complex strategies 

can be created as the result of the receipt of a 

complex instrument creation request or complex 

order for a complex strategy that is not currently in 

the System’’); MIAX Options Exchange (‘‘MIAX’’) 

Rule 518(a)(6) (same). 

execute at prices that are significantly 

outside of (and inferior to) the market 

for the individual legs. The proposed 

functionality provides the Exchange 

with flexibility in determining the 

acceptable execution range by allowing 

that it be calculated using either a 

percentage amount or a dollar amount. 

This proposed risk protection is not new 

or novel as it is available on other 

options exchanges.16 As discussed 

further below, the Exchange proposes 

that its calculation of the DBBO (for 

each leg of a complex strategy) as well 

as trading of ECOs with the leg markets 

would be bound by the maximum 

allowable Away Market Deviation as an 

additional protection against ECOs 

being executed on the Exchange at 

prices too far away from the current 

market. This proposed definition is new 

and would promote clarity and 

transparency. 

• Proposed Rule 6.91P–O(a)(2) would 

define the term ‘‘Complex NBBO’’ to 

mean the derived national best net bid 

and derived national best net offer for a 

complex strategy calculated using the 

NBB and NBO for each component leg 

of a complex strategy. This definition is 

based on current Rule 6.1A–O(a)(11)(b), 

without any substantive differences. 

• Proposed Rule 6.91P–O(a)(3) would 

define ‘‘Complex Order Auction’’ or 

‘‘COA’’ to mean an auction of an ECO 

as set forth in proposed Rule 6.91P–O(f) 

(discussed below). This definition is 

based on the title of paragraph (c) of 

current Rule 6.91–O, which sets forth 

the COA Process for ECOs without any 

substantive differences. Proposed Rule 

6.91P–O(a)(3) would also state that the 

terms defined in paragraphs (a)(3)(A)– 

(D) would be used for purposes of a 

COA. 

Proposed Rule 6.91P–O(a)(3)(A) 

would define a ‘‘COA Order’’ to mean 

an ECO that is designated by the OTP 

Holder as eligible to initiate a COA. This 

definition is based on the definition of 

a ‘‘COA-eligible order’’ as set forth in 

current Rule 6.91–O(c)(1) and (c)(1)(i), 

with a difference that the proposed 

definition would not require that an 

option class be designated as COAeligible because all option classes that 

trade on Pillar would be COA-eligible. 

Proposed Rule 6.91P–O(a)(3)(B) 

would define the term ‘‘Request for 

Response’’ or ‘‘RFR’’ to refer to the 

message disseminated to the Exchange’s 

proprietary complex data feed 

announcing that the Exchange has 

received a COA Order and that a COA 

has begun. As further proposed, the 

definition would provide that each RFR 

message would identify the component 

series, the price, the size and side of the 

market of the COA Order. This 

definition is based on the description of 

RFR in Rule 6.91–O(c)(3) without any 

substantive differences. The Exchange 

proposes a clarifying difference to make 

clear that RFR messages would be sent 

over the Exchange’s proprietary 

complex data feed, which is based on 

current functionality. 

Proposed Rule 6.91P–O(a)(3)(C) 

would define the term ‘‘RFR Response’’ 

to mean any ECO received during the 

Response Time Interval (defined below) 

that is in the same complex strategy, on 

the opposite side of the market of the 

COA Order that initiated the COA, and 

marketable against the COA Order.17

This definition is based in part on the 

description of RFR Responses in Rule 

6.91–O(c)(5). However, unlike the 

current definition, an RFR Response 

would not have a time-in-force 

contingency for the duration of the 

COA. Instead, the Exchange would 

consider any ECOs received during the 

Response Time Interval (defined below) 

that are marketable against the COA 

Order as an RFR Response. As described 

below, the Exchange proposes to define 

separately the term ‘‘ECO GTX Order,’’ 

which would be more akin to the 

current definition of RFR Response. In 

addition, the proposed definition omits 

the current rule description that an RFR 

Response may be entered in $0.01 

increments or that such responses may 

be modified or cancelled because these 

features are applicable to all ECOs and 

therefore not necessary to separately 

state in connection with RFR Responses. 

Proposed Rule 6.91P–O(a)(3)(D) 

would define the term ‘‘Response Time 

Interval’’ to mean the period of time 

during which RFR Responses for a COA 

may be entered and would provide that 

the Exchange would determine and 

announce by Trader Update the length 

of the Response Time Interval; 

provided, however, that the duration of 

the Response Time Interval would not 

be less than 100 milliseconds and 

would not exceed one (1) second. This 

definition is based in part on the 

description of Response Time Interval 

in Rule 6.91–O(c)(4), with a difference 

that the Exchange proposes to reduce 

the minimum time from 500 

milliseconds to 100 milliseconds. While 

other options exchanges do not establish 

a minimum duration for a COA, the 

Exchange notes that the proposed 100 

millisecond minimum is consistent with 

the minimum auction length for 

electronic-paired auctions on NYSE 

American and for auctions on other 

markets.18 Given that other options 

exchanges have (for years) offered 

electronic auction mechanisms with a 

Response Time Interval of at least 100 

milliseconds, the Exchange believes that 

the proposed Response Time Interval of 

at least this length would provide OTP 

Holders and OTP Firms adequate time 

to respond to a COA.19

• Proposed Rule 6.91P–O(a)(4) would 

define the term ‘‘Complex strategy’’ to 

mean a particular combination of leg 

components and their ratios to one 

another. The proposed definition would 

further provide that new complex 

strategies can be created when the 

Exchange receives either a request to 

create a new complex strategy or an 

ECO with a new complex strategy. This 

proposed definition is new and is 

consistent with how this concept is 

defined on other options exchanges and 

would promote clarity and 

transparency.20

• Proposed Rule 6.91P–O(a)(5) would 

define the term ‘‘DBBO’’ to address 

situations where it is necessary to derive 

a (theoretical) bid or offer for a 

particular complex strategy. As 


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21The term BBO when used with respect to 

options traded on the Exchange would mean ‘‘the 

best displayed bid or best displayed offer on the 

Exchange.’’ See Single-Leg Pillar Filing (defining 

BBO in Rule 1.1, which definition is substantially 

identical to the current definition of BBO in Rule 

6.1A–O(a)(2)(a)). 

22See Single-Leg Pillar Filing (describing the 

calculation of Trading Collars, per Rule 6.62P– 

O(a)(4)(C), which ‘‘for an order to buy (sell) will be 

a specified amount above (below) the Reference 

Price, as follows: (1) For orders with a Reference 

Price of $1.00 or lower, $0.25; or (2) for orders with 

a Reference Price above $1.00, the lower of $2.50 

or 25%)’’). The Reference Price for calculating the 

Trading Collar for an order to buy (sell) will be the 

NBO (NBB), except in certain enumerated 

circumstances. See id. (setting forth the applicable 

Reference Price, per Rule 6.62P–O(a)(4)(B)). 

23See Rules 6.87–O(c)(1) (thresholds for Obvious 

Errors) and 6.87–O(d)(1) (thresholds for 

Catastrophic Errors). 

24See, e.g., NYSE American Rule 900.2NY(7)(b) 

(providing that the Derived BBO ‘‘is calculated 

using the BBO from the Consolidated Book for each 

of the options series comprising a given complex 

order strategy’’); Cboe Rule 5.33(a) (defining 

‘‘Synthetic Bed Bid or Offer and SBBO’’ for 

complex orders as ‘‘the best bid and offer on the 

Exchange for a complex strategy calculated using’’ 

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 [Cboe] 

Simple Book’’). 

25The reliability of the Exchange’s calculated 

DBBO is essential to ECO trading on the Exchange 

as this concept permeates all aspects of complex 

trading, including to determine price parameters at 

the opening of each series and in determining 

when, and at what price, a COA Order may initiate 

a COA as well as market events impacting the 

DBBO that would result in an early end to a COA. 

See, e.g., proposed Rule 6.91P–O(d)(3) (relying on 

the DBBO to determine ECO Auction Collars for the 

ECO Opening Auction Process) and 6.91P– 

O(f)(2)(A) and (f)(3) (relying on the DBBO to both 

initiate and price a COA Order as well as to 

terminate a COA early under certain market 

conditions)). 

proposed, ‘‘DBBO’’ would mean the 

derived best net bid (‘‘DBB’’) and 

derived best net offer (‘‘DBO’’) for a 

complex strategy. The bid (offer) price 

used to calculate the DBBO on each leg 

would be the Exchange BB (BO) 21 (if 

available), bound by the maximum 

allowable Away Market Deviation (as 

defined above). If a leg of a complex 

strategy does not have an Exchange BB 

(BO), the bid (offer) price used to 

calculate the DBBO would be the ABB 

(ABO) for that leg. Thus, the ‘‘bid 

(offer)’’ prices used to calculate the 

DBBO would be based on the Exchange 

BB (BO) for each leg when available, 

and, absent an Exchange BB (BO) for a 

given leg, the ABB (ABO). The proposed 

definition would also provide that the 

DBBO would be updated as the 

Exchange BBO or ABBO, as applicable, 

is updated. 

Proposed Rule 6.91P–O(a)(5)(A) 

would provide further detail about how 

the DBBO would be derived when, for 

a leg, there is no Exchange BB (BO) and 

no ABB (ABO). As proposed, in such 

circumstances, the bid (offer) price used 

to calculate the DBBO would be the 

offer (bid) price for that leg (i.e., 

Exchange BO (BB), bound by the 

maximum allowable Away Market 

Deviation (or the ABO (ABB) for that leg 

if no Exchange BO (BB) is available)), 

minus (plus) ‘‘one collar value,’’ which 

would be (i) $0.25 where the offer (bid) 

is priced $1.00 or lower, or the lesser of 

$2.50 or 25% of the offer (bid) where the 

offer (bid) is priced above $1.00 

(rounded down to the nearest whole 

penny); or (ii) $0.01, if the offer is equal 

to or less than one collar value. The 

proposed values used to generate a 

DBBO in the absence of local or Away 

Market interest is consistent with the 

values used in the Trading Collars for 

single-leg orders, per Rule 6.62P– 

O(a)(4)(C).22 In addition, such values are 

within the current parameters for 

determining whether a trade is an 

Obvious Error or Catastrophic Error.23

This proposed definition of the DBBO is 

new and is based, in part, on the current 

definition of Complex BBO set forth in 

Rule 6.1A–O(a)(2)(b), as well as on how 

this concept is defined on other options 

exchanges, including on NYSE 

American.24 The Exchange believes that 

providing an alternative means of 

calculating the DBBO (i.e., by looking to 

the contra-side best bid (offer) in the 

absence of same-side interest) would 

benefit market participants as it should 

increase opportunities for trading. For 

example, absent this proposed 

functionality, the Exchange would not 

be able to trade complex strategies 

when, for at least one leg of such 

strategy, the Exchange has no displayed 

interest on one or both sides of such 

component leg. Allowing the Exchange 

to look to the ABBO to calculate the 

DBBO in such circumstances would 

increase trading opportunities for ECOs 

to the benefit of all market participants. 

The Exchange believes that the 

additional detail about how the DBBO 

would be calculated in the absence of an 

Exchange BB (BO) and ABB (ABO), 

including that it would be rounded 

down to the nearest whole penny, 

would promote clarity and 

transparency. As noted above and 

herein, the Exchange believes that 

binding the DBBO (when calculated 

using the Exchange BBO) to the 

maximum allowable Away Market 

Deviation would help prevent ECOs 

from executing on the Exchange at 

prices too far away from the current 

market. 

Proposed Rule 6.91P–O(a)(5)(B) 

would provide that, if for a leg of a 

complex strategy, there is neither an 

Exchange BBO nor an ABBO, the 

Exchange would not allow the complex 

strategy to trade until, for that leg, there 

is either an Exchange BB or BO, or an 

ABB or ABO, on at least one side of the 

market. The Exchange believes that 

preventing a complex strategy from 

trading when, for a leg, there is no 

reliable pricing indication—either on 

the Exchange or in Away Markets, 

would benefit market participants by 

preventing potentially erroneous 

executions. Moreover, including this 

additional detail in the proposed rule 

about when a complex strategy would 

not trade would benefit market 

participants as it would promote clarity 

and transparency in Exchange rules 

regarding ECO trading. 

Proposed Rule 6.91P–O(a)(5)(C) 

would provide that if the best bid and 

offer prices (when not based solely on 

the Exchange BBO) for a component leg 

of a complex strategy are locked or 

crossed, the Exchange would not allow 

an ECO for that strategy to execute 

against another ECO until the condition 

resolves. The Exchange notes that, as 

described above, the DBBO may be 

calculated using leg prices derived 

either exclusively from, or a 

combination of, the Exchange BBO, the 

ABBO, or the Exchange BBO as adjusted 

to be priced within the maximum 

allowable Away Market Deviation. As 

such, if the best bid and offer prices 

(when not based solely on Exchange 

BBO) for a component leg of a complex 

strategy are locked or crossed, a DBBO 

calculated when using those prices 

could be erroneous.25 Accordingly, the 

Exchange believes that it is appropriate 

to not permit an ECO to execute against 

another ECO under these circumstances 

until the locked or crossed market 

resolves. The Exchange believes 

preventing ECO-to-ECO trading in this 

circumstance would benefit market 

participants by preventing potentially 

erroneous ECO executions. Moreover, 

including this additional detail in the 

proposed rule about when an ECO 

would be prevented from trading with 

another ECO would benefit market 

participants as it would promote clarity 

and transparency in Exchange rules 

regarding ECO trading. 

Further, per proposed Rule 6.91P– 

O(a)(5)(C), if an Away Market quote 

updates to lock or cross the current 

Exchange BB (BO) or ABB (ABO) for a 

component leg of a complex strategy, 

the Exchange would allow an ECO for 

that strategy to execute against leg 

market interest on the Exchange. 

Allowing an eligible ECO to execute 

against leg market interest in these 


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26See Single-Leg Pillar Filing (discussing Rules 

6.76P–O(b)(3) providing that ‘‘[i]f an Away Market 

locks or crosses the Exchange BBO, the Exchange 

will not change the display price of any Limit 

Orders or quotes ranked Priority 2—Display Orders 

and any such orders will be eligible to be displayed 

as the Exchange’s BBO’’). 

27See Rule 6.94–O(b)(3) (exempting from tradethrough liability transactions that occur ‘‘when 

there was a Crossed Market’’). See also the Options 

Order Protection And Locked/Crossed Market Plan, 

dated April 14, 2009, available here, https://

www.theocc.com/getmedia/7fc629d9-4e54-4b99- 

9f11-c0e4db1a2266/options_order_protection_

plan.pdf. 

28See Single-Leg Pillar Filing (describing opening 

Auction Process rule per Rule 6.64P–O). 

29The proposed definition of Complex Order 

under Pillar is set forth in Rule 6.62P–O(f), as 

described in the Single-Leg Pillar Filing, and is 

substantially identical to the current definition. 

30See Single-Leg Pillar Filing (describing Stock/ 

Option Orders and Stock/Complex Orders, per Rule 

6.642–O(H)(6)(A) and (B) respectively, as open 

outcry only orders). Although current Rule 6.91–O 

provides that Stock/Option Orders and Stock/ 

Complex Orders may trade as ECOs, under current 

functionality (and consistent with Pillar) such 

orders only trade in open outcry. 

31See, e.g., Cboe, US Options Complex Book 

Process, Complex Order Basics, Section 2.1, Ratios, 

available here: https://cdn.batstrading.com/ 

resources/membership/US-Options-Complex-BookProcess.pdf (providing that ‘‘[t]he quantity of each 

leg of a complex order broken down to the lowest 

terms will determine the ratio of the complex 

order’’). 

32See Single-Leg Pillar Filing (describing Limit 

Orders and Complex QCC Orders per Rule 6.62P– 

O(a)(2) and (g)(1)(A), (C) and (D)). 

33See, infra, for discussion of proposed Rule 

6.91P–O(e)(1)(C) (discussing Complex Only Order 

functionality). 

34The term ‘‘pre-open state’’ is defined in Rule 

6.64P–O(a)(12), as described in the Single-Leg Pillar 

Filing, to mean ‘‘the period before a series is opened 

or reopened.’’ 

circumstances is consistent with the 

way single-leg orders trade. In this 

regard, the Exchange notes that, to the 

extent that leg prices are locked or 

crossed as a result of updates to the 

ABBO, such updates do not prevent 

resting leg market interest from trading 

at its resting price with all eligible 

contra-side interest, which includes 

incoming ECOs in the same complex 

strategy.26

Moreover, to the extent that an ECO 

trades with leg market interest in a 

complex strategy when interest in the 

leg markets is crossed, such executions 

are not deemed as trade-throughs.27 As 

such, the Exchange believes that 

allowing an ECO to trade with leg 

market interest in this circumstance 

would maximize the execution 

opportunities of such ECO while 

respecting price-time priority of the leg 

markets. 

• Proposed Rule 6.91P–O(a)(6) would 

define the term ‘‘ECO Order 

Instruction’’ to mean a request to cancel, 

cancel and replace, or modify an ECO. 

As described further below, this concept 

relates to order processing when a series 

opens or reopens for trading and is 

based on the term ‘‘order instruction’’ as 

used in Rule 7.35–E(g) and proposed to 

be used in Rules 6.64P–O(e) and (f), 

which (similarly) would define an 

‘‘order instruction’’ for options as a 

request to cancel, cancel and replace, or 

modify an order or quote.28

• Proposed Rule 6.91P–O(a)(7) would 

define the term ‘‘Electronic Complex 

Order’’ or ‘‘ECO’’ to mean a Complex 

Order as defined in Rule 6.62P–O(f) that 

would be submitted electronically to the 

Exchange.29 This proposed definition is 

based on the preamble to Rule 6.91–O, 

except that, under Pillar, an ECO would 

not include Stock/Option Orders and 

Stock/Complex Order 30 and the 

Exchange proposes to replace reference 

to the ‘‘NYSE Arca System’’ with the 

term ‘‘Exchange’’ and to update crossreference to the definition of a Complex 

Order as proposed in the Single-Leg 

Pillar Filing. 

• Proposed Rule 6.91P–O(a)(8) would 

define the term ‘‘leg’’ or ‘‘leg market’’ to 

mean each of the component option 

series that comprise an ECO. This 

definition is consistent with the concept 

of leg markets as used in current Rule 

6.91–O(a), which defines legs as 

individual orders and quotes in the 

Consolidated Book. The Exchange 

believes the proposed definition would 

add clarity regarding how the terms 

‘‘leg’’ and ‘‘leg market’’ would be used 

in connection with ECO trading on 

Pillar. 

• Proposed Rule 6.91P–O(a)(9) would 

define ‘‘Ratio’’ or ‘‘leg ratio’’ to mean the 

quantity of each leg of an ECO broken 

down to the least common denominator 

such that the ‘‘smallest leg ratio’’ is the 

portion of the ratio represented by the 

leg with the fewest contracts. The 

Exchange believes the proposed 

definition would add clarity regarding 

how the terms ‘‘ratio’’ and ‘‘leg ratio’’ 

would be used in connection with ECOs 

trading on Pillar, which definition is 

consistent with how this concept is 

described on other options exchanges.31

Types of ECOs. Proposed Rule 6.91P– 

O(b) would set forth the types of ECOs 

that would trade on Pillar. Proposed 

Rule 6.91P–O(b)(1) would provide that 

ECOs may be entered as Limit Orders, 

Limit Orders designated as Complex 

Only Orders, or as Complex QCCs.32

This proposed text is based on current 

Rule 6.91–O(b)(1), with a difference to 

provide that the Exchange would offer 

Complex Only Orders and Complex 

QCCs on Pillar. Allowing ECOs to be 

designated as Complex QCCs (which 

order type is described in the Single-Leg 

Pillar Filing) is consistent with current 

functionality not described in the rule 

and the Exchange believes that this 

additional specificity to the proposed 

rule would add clarity and 

transparency. Complex Only Orders (as 

described below) are based on existing 

functionality for PNP Plus orders, with 

updated functionality available on 

Pillar.33

• Proposed Rule 6.91P–O(b)(2) would 

set forth the time-in-force contingencies 

available to ECOs, which would be Day, 

IOC, FOK, or GTC, as those terms are 

defined in the Single-Leg Pillar Filing in 

Rule 6.62P–O(b), and GTX (per 

proposed Rule 6.91P–O(b)(2)(C) as 

described below). The proposed text is 

based on current Rules 6.91–O(b)(2) and 

(3), except that it adds GTX (as 

described below). The proposed text 

also omits AON because the Exchange 

would not offer AONs for ECO trading 

on Pillar. 

• Proposed Rule 6.91P–O(b)(2)(A) 

would provide that an ECO designated 

as IOC or FOK would be rejected if 

entered during a pre-open state,34 which 

is consistent with the time-in-force of 

the order (because they could not be 

traded when a complex strategy is not 

open for trading) as well as with current 

functionality. 

• Proposed Rule 6.91P–O(b)(2)(B) 

would provide that an ECO designated 

as FOK must also be designated as a 

Complex Only Order (per proposed Rule 

6.91P–O(b)(1) and described further 

below). This proposed rule, which is 

new under Pillar, would simplify the 

operation of electronic complex order 

trading and would add clarity and 

transparency that ECOs designated as 

FOK (i.e., that have conditional sizerelated instructions) would not be 

eligible to trade with the leg markets. 

• Proposed Rule 6.91P–O(b)(2)(C) 

would provide that an ECO designated 

as GTX would be defined as an ‘‘ECO 

GTX Order’’ and would have the 

following features: It would not be 

displayed; it may be entered only during 

the Response Time Interval of a COA; it 

must be on the opposite side of the 

market as the COA Order; and it must 

specify the price, size, and side of the 

market. As further proposed, ECO GTX 

Orders may be modified or cancelled 

during the Response Time Interval and 

any remaining size that does not trade 

with the COA Order would be cancelled 

at the end of the COA. This definition 

is based on the description of an RFR 

Response in current Rule 6.91– 

O(c)(5)(A)–(C), which likewise are not 

displayed and expire at the end of the 

COA. 

Priority and Pricing of ECOs. 

Proposed Rule 6.91P–O(c) would set 


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35Proposed Rule 6.91P–O(a)(5)(B)–(C) describe 

conditions related to the leg markets when complex 

strategies will not trade. 

36See, e.g., Cboe Rule 5.33(f)(2) (setting forth 

parameters for the ‘‘net price’’ of complex orders 

traded on Cboe); Nasdaq ISE, Options 3, Section 14 

(c) (providing, in relevant part, that ‘‘[c]omplex 

strategies will not be executed at prices inferior to 

the best net price achievable from the best ISE bids 

and offers for the individual legs’’). 

37For example, an ECO designated as IOC that 

does not immediately execute would cancel rather 

than be ranked on the Consolidated Book, whereas 

an ECO designated as Day or GTC that does not 

immediately execute would be ranked on the 

Consolidated Book. 

38See Rule 6.91–O(a)(2)(ii) (providing that ‘‘[i]f, at 

a price, the leg markets can execute against an 

incoming [ECO] in full (or in a permissible ratio), 

the leg markets will have first priority at that price 

and will trade with the incoming [ECO] pursuant 

to Rule 6.76A before [ECO] resting in the 

Consolidated Book can trade at that price’’). 39The term ‘‘Aggressing Order’’ is defined in Rule 

1.1, as described in the Single-Leg Pillar Filing, to 

mean ‘‘a buy (sell) order or quote that is or becomes 

marketable against sell (buy) interest on the 

Consolidated Book.’’ 

40See, infra, for discussion of proposed Rule 

6.91P–O(e)(1) (discussing ‘‘Execution of ECOs 

During Core Trading Hours,’’ including the 

treatment of ECOs that have executed, at a price, to 

the extent possible with the leg markets and of 

ECOs designated as Complex Only). 

41As noted herein, no ECO on the Exchange 

would execute at a price that would exceed the 

maximum allowable Away Market Deviation on any 

component of the complex strategy. See proposed 

Rule 6.91P–O(a)(1) (defining Away Market 

Deviation). 

42See, e.g., BOX Rule 7240(b)(3)(ii). See also 

Securities Exchange Act Release Nos. 69027 (March 

4, 2013), 78 FR 15093, 15094 (March 8, 2013) (SR– 

BOX–2013–01) (providing that ‘‘where two 

Complex Orders trade against each other, the 

resulting execution prices will be at a price equal 

to or better than NBBO and BOX best bid or offer 

(‘‘BBO’’) for each of the component Legs,’’ per 

proposed Rule 7240(b)(3)(ii)). See, e.g., Cboe Rule 

5.33(f)(2) (providing that complex orders may not 

execute at a net price that would cause any 

component of the complex strategy to be executed 

at a price of zero). 

43See Amendment No. 2 and Nasdaq ISE, 

Options 3, Section 14 (c)(1) (providing, in relevant 

part, that ‘‘[b]ids and offers for Complex Options 

Strategies may be expressed in one cent ($0.01) 

increments, and the options leg of Complex Options 

Strategies may be executed in one cent ($0.01) 

increments, regardless of the minimum increments 

otherwise applicable to the individual options legs 

of the order’’). 

44See Single-Leg Pillar Filing (describing opening 

Auction Process rule per Rule 6.64P–O). 

forth how ECOs would be prioritized 

and priced under Pillar. The proposed 

priority scheme for ECOs under Pillar is 

consistent with current functionality, 

with the differences and clarifications 

noted below. As proposed, an ECO 

received by the Exchange that is not 

immediately executed (or cancelled), 

including an ECO that cannot trade due 

to conditions described in paragraphs 

(a)(5)(B)–(C) (above) 35 and (c)(1)–(2) of 

this proposed Rule (below) or does not 

initiate a COA per paragraph (f)(1) 

(below), would be ranked in the 

Consolidated Book according to pricetime priority based on the total net price 

and the time of entry of the order. This 

proposed rule adds cross-references to 

new rule text but is otherwise based on 

Rule 6.91–O(a)(1), without any 

substantive differences. The Exchange 

proposes a non-substantive difference to 

refer simply to a ‘‘net price’’ rather than 

a ‘‘net debit or credit price,’’ which 

streamlined terminology is consistent 

with the use of the term ‘‘net price’’ on 

other options exchanges.36 The 

proposed rule also incorporates the first 

sentence of Rule 6.91–O(a)(2)(iii)(A), 

regarding the ranking and priority of 

ECOs not immediately executed, with 

additional detail regarding the time-inforce modifier of the ECO, which adds 

clarity and transparency to the proposed 

Rule.37

Proposed Rule 6.91P–O(c) would 

further provide that, unless otherwise 

specified in this Rule, ECOs would be 

processed as follows: 

• Proposed Rule 6.91P–O(c)(1) would 

provide that when trading with the leg 

markets, an ECO would trade at the 

price(s) of the leg markets provided the 

leg markets are priced no more than the 

maximum allowable Away Market 

Deviation (as defined herein). The 

proposed rule requiring that when 

trading with the leg markets, the 

components of the ECO would trade at 

the prices of the leg markets is 

consistent with current functionality, 

per Rule 6.91–O(a)(2)(ii); requiring that 

such prices be bound by the Away 

Market Deviation for an ECO to trade 

with the leg markets is new under Pillar, 

as discussed further below).38

For example, if there is sell interest in 

a leg market at $1.00, and a leg of an 

ECO to buy could trade up to $1.05, the 

ECO would trade with such leg market 

at $1.00. This would result in the ECO 

receiving price improvement and is 

consistent with the ECO trading as the 

Aggressing Order.39 The proposed 

functionality that an ECO would trade 

with leg markets only if the prices of the 

leg markets are within (and do not 

exceed the maximum allowable) Away 

Market Deviation would be new under 

Pillar and is designed to operate as an 

additional protection against ECOs 

being executed on the Exchange at 

prices too far away from the current 

market. 

• Proposed Rule 6.91P–O(c)(2) would 

provide that when trading with another 

ECO, each component leg of the ECO 

must trade at a price at or within the 

Exchange BBO for that series, and no leg 

of the ECO may trade at a price of 

zero.40 This provision is based in part 

on current Rule 6.91–O(a)(2), which 

provides that no leg of an ECO will be 

executed outside of the Exchange 

BBO.41 This proposed rule, which 

ensures that ECOs would never trade 

through interest in the leg markets, is 

consistent with current functionality 

and adds clarity and transparency to the 

proposed Rule. This proposed rule is 

also consistent with how ECOs are 

processed on other options exchanges.42

• Proposed Rule 6.91P–O(c)(3) would 

provide that an ECO may trade without 

consideration of prices of the same 

complex strategy available on other 

exchanges, which is based on the same 

text as contained in current Rule 6.91– 

O(a)(2) without any substantive 

differences. 

• Proposed Rule 6.91P–O(c)(4) would 

provide that bids and offers for complex 

strategies may be expressed in one cent 

($0.01) increments, and the leg(s) of 

complex strategies may trade in one 

cent ($0.01) increments regardless of the 

MPV otherwise applicable to the 

individual leg(s) of the ECO, which is 

based on current Rule 6.91–O, 

Commentary .01 without any 

substantive differences, except that it 

provides for bids and offers to be 

expressed in pennies rather than in 

decimals which is consistent with 

current functionality as well as with 

other options exchanges.43

Execution of ECOs at the Open (or 

Reopening after a Trading Halt). Current 

Rule 6.91–O(a)(2)(i) sets forth how ECOs 

are executed upon opening or reopening 

of trading. Proposed Rule 6.91P–O(d) 

would set forth details about how ECOs 

would be executed at the open or 

reopen following a trading halt. 

With the transition to Pillar, the 

Exchange proposes new functionality 

regarding the ‘‘ECO Opening Auction 

Process’’ on the Exchange, which would 

be applicable both to openings and 

reopenings following a trading halt. The 

Exchange proposes to incorporate into 

the ECO Opening Auction Process 

certain functionality currently available 

on the Exchange’s cash equity platform, 

which the Exchange has similarly 

proposed to include in the Auction 

Process for single-leg options.44

Accordingly, proposed Rule 6.91P–O(d) 

would use Pillar terminology relating to 

auctions that is based in part on Pillar 

terminology set forth in Rule 7.35–E for 

cash equity trading and in part on Rule 

6.64P–O for single-leg options. 

• Proposed Rule 6.91P–O(d)(1) would 

set forth the conditions required for the 

commencement of an ECO Opening 

Auction Process. Specifically, as 

proposed, the Exchange would initiate 

an ECO Opening Auction Process for a 

complex strategy only if all legs of the 

complex strategy have opened or 


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45See Amendment No. 2. 

46See Rule 6.91–O(a)(2)(i)(B) (providing that 

‘‘[t]he CME will use an opening auction process if 

there are Electronic Complex Orders in the 

Consolidated Book that are marketable against each 

other and priced within the Complex NBBO’’). Per 

Rule 6.1A–O(a)(11)(b) (and proposed Rule 6.91P– 

O(a)(2), the ‘‘Complex NBBO’’ for each complex 

strategy is derived from the national best bid and 

national best offer for each leg. 

47See Single-Leg Pillar Filing (defining Auction 

Collars in Rule 6.64P–O(a)(2)). 

48See Single-Leg Pillar Filing (describing Rule 

6.64P–O(a)(9)). 

49See Single-Leg Pillar Filing (describing Rules 

6.64P–O(a)(9)(B)(i) and 6.64P–O(b)). 

reopened for trading, which text is 

based on current Rule 6.91–O(a)(2)(i)(A) 

without any substantive differences. 

Proposed Rule 6.91P–O(d)(1)(A)–(B) 

would set forth conditions that would 

prevent the opening of a complex 

strategy, as follows: 

Æ Any leg of the complex strategy has 

neither an Exchange BO nor an ABO; or 

Æ The complex strategy cannot trade 

per proposed Rule 6.91P–O(a)(5)(C).45

The proposal to detail these 

conditions for opening (and reopening) 

are consistent with current functionality 

not set forth in the current rule. The 

Exchange believes that this added detail 

would not only add clarity and 

transparency to Exchange rules but 

would also protect market participants 

from potentially erroneous executions 

when there is a lack of reliable 

information regarding the price at which 

a complex strategy should execute, 

thereby promoting a fair and orderly 

ECO Opening Auction Process. 

• Proposed Rule 6.91P–O(d)(2) would 

provide that any ECOs in a complex 

strategy with prices that lock or cross 

one another would be eligible to trade 

in the ECO Opening Auction Process. 

This proposed rule is based on current 

Rule 6.91–O(a)(2)(i)(B), which provides 

than an opening process will be used if 

there are ECOs that ‘‘are marketable 

against each other.’’ The Exchange 

proposes a difference in Pillar not to 

require that such ECOs be ‘‘priced 

within the Complex NBBO’’ because the 

proposed ECO Opening Auction Process 

under Pillar would instead rely on the 

DBBO (as described below).46 As such, 

the Exchange may open a series based 

on the Exchange BBO, bound by the 

Away Market Deviation (or, the ABBO 

if the Exchange BBO is not available), 

which is consistent with ECO handling 

during Core Trading (per proposed Rule 

6.91P–O(e)). The Exchange believes this 

proposed change would better align the 

permissible opening price for a series 

with the permissible execution price 

during Core Trading, which adds 

consistency to ECO order handling to 

the benefit of investors. 

Proposed Rule 6.91P–O(d)(2)(A) 

would provide that an ECO received 

during a pre-open state would not 

participate in the Auction Process for 

the leg markets pursuant to Rule 6.64P– 

O, which is based on the same text (in 

the second sentence) of current Rule 

6.91–O(a)(2)(i)(A) without any 

substantive differences. 

Proposed Rule 6.91P–O(d)(2)(B) 

would provide that a complex strategy 

created intra-day when all leg markets 

are open would not be subject to an ECO 

Opening Auction Process and would 

instead trade pursuant to paragraph (e) 

of the proposed Rule (discussed below) 

regarding the handling of ECOs during 

Core Trading Hours. 

Proposed Rule 6.91P–O(d)(2)(C) 

would provide that the ECO Opening 

Auction Process would be used to 

reopen trading in ECOs after a trading 

halt. This proposed rule is consistent 

with current Rule 6.64–O(e) and makes 

clear that the ECO Opening Auction 

Process would be applicable to 

reopenings, which would add internal 

consistency to Exchange rules and 

promote a fair and orderly ECO Opening 

Auction Process following a trading 

halt. 

• Proposed Rule 6.91P–O(d)(3) would 

describe each aspect of the ECO 

Opening Auction Process. First, 

proposed Rule 6.91P–O(d)(3)(A) would 

describe the ‘‘ECO Auction Collars,’’ 

which terminology would be new for 

ECO trading and is based on the term 

‘‘Auction Collars’’ used in Rule 7.35–E 

for trading cash equity securities as well 

as in Rule 6.64P–O(a)(2) for single-leg 

options trading.47

As proposed, the upper (lower) price 

of an ECO Auction Collar for a complex 

strategy would be the DBO (DBB); 

provided, however, that if the DBO 

(DBB) is calculated using the Exchange 

BBO for all legs of the complex strategy 

and all such Exchange BBOs have 

displayed Customer interest, the upper 

(lower) price of an ECO Auction Collar 

would be one penny ($0.01) times the 

smallest leg ratio inside the DBO (DBB). 

This new functionality on Pillar would 

ensure that if there is displayed 

Customer interest on the Exchange on 

all legs of the strategy, the opening price 

for the complex strategy would price 

improve the DBBO, which the Exchange 

believes is consistent with fair and 

orderly markets and investor protection. 

• Next, proposed Rule 6.91P– 

O(d)(3)(B) would describe the ‘‘ECO 

Auction Price.’’ As proposed, the ECO 

Auction Price would be the price at 

which the maximum volume of ECOs 

can be traded in an ECO Opening 

Auction, subject to the proposed ECO 

Auction Collar. As further proposed, if 

there is more than one price at which 

the maximum volume of ECOs can be 

traded within the ECO Auction Collar, 

the ECO Auction Price would be the 

price closest to the midpoint of the ECO 

Auction Collar, or, if the midpoint falls 

within such prices, the ECO Auction 

Price would be the midpoint, provided 

that the ECO Auction Price would not 

be lower (higher) than the highest 

(lowest) price of an ECO to buy (sell) 

that is eligible to trade in the ECO 

Opening (or Reopening) Auction 

Process. The concept of an ECO Auction 

Price is consistent with the concept of 

‘‘single market clearing price’’ set forth 

in current Rule 6.91–O(a)(2)(i)(B). For 

Pillar, the Exchange proposes to 

determine the ECO Auction Price in a 

manner that is based in part on how an 

Indicative Match Price is determined for 

trading of cash equity securities, as set 

forth in Rule 7.35–E(a)(8)(A), and how 

the Exchange proposes to determine the 

price for Auctions on Pillar for singleleg options trading.48

Finally, as proposed, if the ECO 

Auction Price would be a sub-penny 

price, it would be rounded to the 

nearest whole penny, which text is 

based on current Rule 6.91–O(a)(2)(i)(B), 

with a difference that the current rule 

refers to the midpoint of the Complex 

NBBO (which could be a sub-penny 

price and if so, is rounded down to the 

nearest penny) as opposed to referring 

to the ECO Auction Price, which would 

be a new Pillar term for trading ECOs, 

which price, if in sub-pennies, would be 

rounded (up or down) to the nearest 

MPV. 

Proposed Rule 6.91P–O(d)(3)(B)(i) 

would provide that an ECO to buy (sell) 

with a limit price at or above (below) 

the upper (lower) ECO Auction Collar 

would be included in the ECO Auction 

Price calculation at the price of the 

upper (lower) ECO Auction Collar, but 

ranked for participation in the ECO 

Opening (or Reopening) Auction 

Process in price-time priority based on 

its limit price. This proposed text is 

based in part on current Rule 6.91– 

O(a)(2)(i)(B). The proposed rule is also 

based on how the Exchange processes 

auctions for cash equity trading, as 

described in Rules 7.35–E(a)(10)(B) and 

(a)(6) and how the Exchange proposes to 

process Auctions on Pillar for single-leg 

options trading.49

Proposed Rule 6.91P–O(d)(3)(B)(ii) 

would provide that locking and crossing 

ECOs in a complex strategy would trade 

at the ECO Auction Price. As further 

proposed, if there are no locking or 

crossing ECOs in a complex strategy at 


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50See Single-Leg Pillar Filing (describing Rule 

6.64P–O(d)(2)(B)). 

51See proposed Rule 6.91P–O(e)(1)(C) and (D) (for 

description of ECOs that are not eligible to trade 

with the leg markets). 

52See Single-Leg Pillar Filing (describing Rule 

6.76AP–O, Order Execution and Routing, which is 

the substantively identical Pillar version of current 

Rule 6.76AP–O). 

53See Rule 6.91–O(a)(2)(ii) (providing that ‘‘[i]f, at 

a price, the leg markets can execute against an 

incoming [ECO] in full (or in a permissible ratio), 

the leg markets will have first priority at that price 

and will trade with the incoming [ECO]pursuant to 

Rule 6.76A before [ECO] resting in the Consolidated 

Book can trade at that price’’). 

54See BOX Rule 7240(b)(2)(ii). See also Securities 

Exchange Act Release Nos. 69027 (March 4, 2013) 

78 FR 15093 (March 8, 2013) (Notice of Proposed 

Rule Change, as Modified by Amendment No. 1, 

regarding, among other things, allowing the 

execution of certain Complex Orders to trading at 

the same price as best-priced interest in the BOX 

Book after such eligible leg interest has been 

exhausted) (‘‘BOX Notice’’); 69419 (April 19, 2013) 

78 FR 24449 (April 25, 2013) (Order Approving 

BOX Notice) (‘‘BOX Approval Order’’) (SR–BOX– 

2013–01). 

55See BOX Rule 7240(b)(2)(ii). The ‘‘BOX Book’’ 

is conceptually the same as the leg markets and are 

defined as ‘‘the electronic book of orders on each 

single series of options maintained by the BOX 

Trading Host.’’ See BOX Rule 100(a)(10). 

56See BOX Rule 7240(b)(2)(ii). 

or within the ECO Auction Collars, the 

Exchange would open the complex 

strategy without a trade. This proposed 

text would be new and is based in part 

on Rule 6.64P–O(d)(2)(B) for single-leg 

options, which describes when an 

option series could open without a 

trade.50

• Proposed Rule 6.91P–O(d)(4) would 

describe the ‘‘ECO Order Processing 

during ECO Opening Auction Process.’’ 

Because the Exchange would be using 

the same Pillar auction functionality for 

ECO trading that is used for its cash 

equity market and that the Exchange is 

proposing for single-leg options trading, 

the Exchange proposes to apply existing 

Pillar auction functionality regarding 

how to process ECOs that may be 

received during the period when an 

ECO Auction Process is ongoing. 

Accordingly, as proposed, new ECOs 

and ECO Order Instructions (as defined 

in proposed Rule 6.91P–O(a)(6), 

described above) that are received when 

the Exchange is conducting the ECO 

Opening Auction Process for the 

complex strategy would be accepted but 

would not be processed until after the 

conclusion of this process. As further 

proposed, when the Exchange is 

conducting the ECO Opening Auction 

Process, ECO Order Instructions would 

be processed as follows: 

Æ Proposed Rule 6.91P–O(d)(4)(A) 

would provide that an ECO Order 

Instruction received during the ECO 

Opening Auction Process would not be 

processed until after this process 

concludes if it relates to an ECO that 

was received before the process begins 

and that any subsequent ECO Order 

Instruction(s) relating to such ECO 

would be rejected if received during the 

ECO Opening Auction Process when a 

prior ECO Order Instruction is pending. 

Æ Proposed Rule 6.91P–O(d)(4)(B) 

would provide that an ECO Order 

Instruction received during the ECO 

Opening Auction Process would be 

processed on arrival if it relates to an 

order that was received during this 

process. 

Proposed Rule 6.91P–O(d)(4) and subparagraphs (A) and (B) are based on 

both current Rule 7.35–E(g) and its subparagraphs (1) and (2) and Rule 6.64P– 

O(e) and its sub-paragraphs (1) and (2) 

(as described in the Single-Leg Pillar 

Filing) with differences only to 

reference the defined term ECO Order 

Instruction and to refer to the ECO 

Opening Auction Process. The Exchange 

believes that the proposed rule text 

would provide transparency regarding 

how ECO Order Instructions that arrived 

during the ECO Opening Auction 

Process would be processed. 

• Proposed Rule 6.91P–O(d)(5) would 

describe the ‘‘Transition to continuous 

trading’’ after the ECO Opening Auction 

Process. As proposed, after the ECO 

Opening Auction, ECOs would be 

subject to ECO Price Protection, per 

proposed Rule 6.91P–O(g)(2) (as 

described below) and, if eligible to 

trade, would trade as follows: 

Æ Proposed Rule 6.91P–O(d)(5)(A) 

would provide that ECOs received 

before the complex strategy was opened 

that did not trade in whole in the ECO 

Opening Auction Process and that lock 

or cross other ECOs or leg markets in the 

Consolidated Book would trade 

pursuant to proposed Rule 6.91P–O(e) 

(discussed below) regarding the 

handling of ECOs during Core Trading 

Hours; otherwise, such ECOs would be 

added to the Consolidated Book. This 

provision is based on the (last sentence) 

of current Rule 6.91–O(a)(2)(i)(B) and 

(C), with non-substantive differences to 

use Pillar terminology. 

Æ Proposed Rule 6.91P–O(d)(5)(B) 

would provide that ECOs received 

during the ECO Opening Auction 

Process would be processed in time 

sequence relative to one another based 

on original entry time. This proposed 

rule is based on both current 

functionality and how the Exchange 

proposes to process orders in an option 

series that were received during an 

Auction Processing Period, as described 

in the Single-Leg Pillar Filing for Rule 

6.64P–O(a)(6). 

Execution of ECOs During Core 

Trading Hours. Proposed Rule 6.91P– 

O(e) would describe how ECOs would 

be processed during Core Trading 

Hours. 

Proposed Rule 6.91P–O(e)(1) would 

provide that once a complex strategy is 

open for trading, an ECO would trade 

with the best-priced contra-side interest 

as follows: 

• Proposed Rule 6.91P–O(e)(1)(A) 

relates to ECOs that are permitted to 

trade with the leg markets and would 

provide that if, at a price, the leg 

markets can trade with an eligible 

ECO,51 in full or in a permissible ratio, 

the leg markets would trade first at that 

price, pursuant to proposed Rule 

6.76AP–O,52 until the quantities on the 

leg markets are insufficient to trade with 

the ECO, at which time such ECO would 

trade with contra-side ECOs resting in 

the Consolidated Book at that price, 

which is based on Rule 6.91– 

O(a)(2)(ii).53 Although the current rule 

makes clear that the leg markets have 

first priority, at a price, to trade with an 

ECO in full or in a permissible ratio, the 

proposed rule would add text to specify 

that an ECO may trade with another 

ECO at the leg market price only after 

such ECO has executed to the extent 

possible with the leg markets at that 

price. In other words, such ECO must 

first exhaust any available interest in the 

leg markets at that price that can satisfy 

the ECO, in full or in a permissible ratio, 

before it may trade with another ECO at 

that price. 

This proposed description regarding 

how ECOs would trade with other ECOs 

is consistent with the rules of the BOX, 

and is therefore not new or novel.54 Per 

BOX Rule 7240(b)(2)(ii), ‘‘[a] Complex 

Order for which a leg of such Complex 

Orders’ underlying Strategy is not in a 

one-to-one ratio with each other leg of 

such Strategy’’ must first trade with all 

eligible interest in the leg markets, i.e., 

‘‘for all of the quantity available at the 

best price in a permissible ratio until the 

quantities remaining on the BOX Book 

are insufficient to execute against the 

Complex Order while respecting the 

ratio.’’ 55 And, after such execution on 

the BOX Book, ‘‘the remaining quantity 

of the Complex Order may execute 

against other Complex Orders and the 

component Legs of the Complex Order 

may trade at prices equal to the 

corresponding prices on the BOX 

Book.’’ 56

Consistent with BOX Rule 

7240(b)(2)(ii), proposed Rule 6.91P– 

O(e)(1)(A) would provide that an ECO 

that is eligible to trade with the leg 

markets must first trade with the leg 

markets, at a price, to the extent 

possible (i.e., in full or in a permissible 


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57See proposed Rule 6.91P–O(e)(1)(A). 

58See id. Unlike BOX, the Exchange has deemed 

it unnecessary to refer to ECOs with other than oneto-one ratios and believes the proposed rule text is 

clear and concise in stating that if the leg markets 

have sufficient quantity to satisfy an ECO in full or 

in a permissible ratio, such leg markets have first 

priority to trade with such ECO (ahead of any ECOs 

resting in the Consolidated Book at that price) 

unless or until the leg market interest cannot satisfy 

the ECO ratio spread. 

59The Exchange does not propose to copy into 

Rule 6.91P–O(e)(1)(A) the requirement of current 

Commentary .02 to Rule 6.91–O that at least one leg 

of an ECO must execute at a price better than the 

corresponding leg market price containing 

Customer interest because this requirement would 

be incorporated into how Complex Only Orders 

would function on the Exchange, and therefore the 

Exchange no longer needs to separately specify that 

requirement. See proposed Rule 6.91P–O(a)(1)(C) 

(requiring of Complex Only Order that, when there 

is displayed Customer interest on all legs of the 

complex strategy, such Complex Only Order must 

price improve at least a portion of such displayed 

Customer interest). 

60See BOX Notice, 78 FR, at 15093. 

61See proposed Rule 6.91P–O(e)(1)(A); see also 

BOX Rule 7240(b)(2)(ii)). 

62See BOX Notice, 78 FR at 15093. 

63See BOX Approval Order, 78 FR at 24449. 

64See Single-Leg Pillar Filing (describing 

Minimum Trade Size or MTS Modifier in Rule 

6.62P–O(i)(3)(B)). 

65See Rule 6.91–O(b)(1) (providing that ECOs 

may be designated as Limit Orders designated as 

PNP Plus); Rule 6.62–O(y) (describing PNP Plus 

Continued 

ratio) before that ECO can trade at the 

same price with another ECO.57 As 

proposed, such ECO would never trade 

ahead of interest (Customer or 

otherwise) in the leg markets if that 

interest is sufficient to satisfy the ECO 

in full or in a permissible ratio. 

However, such ECO may execute with 

another ECO, at a price, after exhausting 

eligible leg market interest—Customer 

or otherwise—at that price if the leg 

markets cannot satisfy the ratio spread 

of the ECO).58 Thus, per proposed Rule 

6.91P–O(e)(1)(A), such ECO would be 

eligible to trade with contra-side ECOs 

resting in the Consolidated Book at the 

same price, which is consistent with 

BOX’s rules.59

The Exchange believes this proposed 

Rule makes clear that the priority of the 

leg markets remains primary—as such 

interest is afforded the opportunity to 

trade at the best price, but also ensures 

that ECO trading opportunities are 

maximized. As noted by BOX, the 

Exchange proposes to apply the 

‘‘straightforward principle’’ of allowing 

the execution of an ECO against another 

ECO once any eligible interest on the leg 

markets at the same net price has 

already been executed.60

The following example illustrates 

how proposed Rule 6.91P–O(e)(1)(A) 

would be applied. 

Example: Assume an ECO consisting 

of the simultaneous purchase of one 

Option A instrument and two Option B 

instruments (A+2B). 

The interest in the leg markets is 

initially as follows: 

Leg market for Option A is: 

Order to buy 2 at 

$1.00.

Order to sell 20 at 

$1.06. 

Order to buy 5 at 

$0.99.

Order to sell 2 at 

$1.10. 

Leg market for Option B is: 

Order to buy 3 at 

$1.00.

Order to sell 3 at 

$1.10. 

Complex Order Book for Strategy 

A+2B: 

ECO to buy 2 at 

$3.00.

ECO to sell 10 at 

$3.20. 

ECO to buy 5 at 

$2.90.

The DBBO is $3.00 bid, $3.26 offered. 

In this example, an ECO is received to 

sell 2 A+2B at $3.00. This order can 

match with either the existing $3.00 bid 

on A+2B in the Complex Order Book or 

with the interest on the leg markets for 

$3.00. However, as the Exchange 

proposes to give priority to interest on 

the leg markets over executable ECOs, 1 

unit of the incoming order to sell A+2B 

at $3.00 will execute against the orders 

on the respective legs (selling 1 A and 

2 B at $1.00 each ($1.00 + 2($1.00) = 

$3.00)). 

After this initial execution against the 

leg markets, the leg markets are as 

follows: 

Leg Market for Option A is: 

Order to buy 1 at 

$1.00.

Order to sell 20 at 

$1.06. 

Order to buy 5 at 

$0.99.

Order to sell 2 at 

$1.10. 

Leg Market for Option B is: 

Order to buy 1 at 

$1.00.

Order to sell 3 at 

$1.10. 

Complex Order Book for Strategy 

A+2B: 

ECO to buy 2 at 

$3.00.

ECO to sell 10 at 

$3.20. 

ECO to buy 5 at 

$2.90.

One ECO to sell 

A+2B at $3.00 remains.

Because insufficient quantity remains 

on the bid of B at $1.00 to combine with 

the bid on A (of $1.00) to respect the 

ECO ratio (i.e., the incoming ECO seeks 

to sell 2B, but the remaining leg market 

bid is for 1B), the remaining order to sell 

1 A+2B at $3.00 would be executed 

against the resting ECO to buy at $3.00. 

In the above scenario, consistent with 

proposed Rule (e)(1)(A), the Exchange 

may trade two ECOs without at least one 

leg having a price better than the best 

prices on the leg markets.61

The Exchange believes that proposed 

Rule 6.91P–O(e)(1)(A) would benefit 

market participants because it is 

designed to protect the priority of orders 

on the leg markets by requiring an ECO 

to execute first against interest on the 

leg markets at the best price to the 

extent possible, i.e., in full or in a 

permissible ratio, and only then 

permitting an ECO to execute against 

another ECO at that price. Thus, 

following the executions against the 

best-priced interest on the leg markets, 

an ECO would no longer be executable 

against interest on the leg markets at the 

best price because the leg markets 

would lack sufficient quantity to fill the 

ECO in a permissible ratio at that price. 

Absent this provision in Rule 6.91P– 

O(e)(1)(A), the Exchange believes that 

otherwise executable ECOs at the leg 

market price would lose execution 

opportunities without any benefit to 

interest on the leg markets, which is 

unable to trade with the ECO at that 

price.62 Because ‘‘orders are executable 

against each other only when both the 

price and the quantity of the orders 

match,’’ the Exchange believes it is 

appropriate (and does not deny leg 

markets priority) to allow ECOs to trade 

with other ECOs at the leg market price 

when such eligible leg market interest at 

that price has been exhausted.63

• Proposed Rule 6.91P–O(e)(1)(B) 

would provide that an ECO would not 

trade with orders in the leg markets 

designated as AON, FOK, or with an 

MTS modifier. This proposed text 

would be new and is based in part on 

existing functionality (for AON and 

FOK) and also reflects the Exchange’s 

proposed treatment under Pillar of its 

new MTS modifier for orders in the leg 

markets.64 Consistent with current 

functionality, orders with an AON, 

FOK, or (new) MTS modifier are 

conditional and, by design, will miss 

certain execution opportunities. The 

Exchange believes that this proposed 

rule would simplify the operation of 

electronic complex order trading and 

would add clarity and transparency that 

ECOs would not trade with orders that 

have conditional size-related 

instructions. 

• Proposed Rule 6.91P–O(e)(1)(C) 

would provide that an ECO designated 

as Complex Only would be eligible to 

trade solely with another ECO and 

would not trade with the leg markets. 

The proposed Complex Only Orders are 

based on existing functionality for PNP 

Plus orders, with updated functionality 

available on Pillar.65 The Exchange 


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orders as ECOs that may only trade with other 

ECOs, but which will continuously be repriced if 

locking or crossing the Complex BBO). Unlike the 

PNP Plus Order, which trades inside the Complex 

BBO (conceptual equivalent to the DBBO), the 

Complex Only Order may trade with another ECO 

at the DBBO, unless there is certain displayed 

Customer interest on the Exchange (as described 

herein), in which case the Complex Only Order 

must trade inside the DBBO. 

66See proposed Rule 6.91P–O(e)(1)(C). Other 

options exchanges likewise offer Complex Orders 

that trade only with Complex Orders. See, e.g., Cboe 

Rule 5.33(a) (defining ‘‘Complex Only’’ order as an 

ECO ‘‘that a [Cboe] Market-Maker may designate to 

execute only against complex orders in the COB 

and not Leg into the Simple Book’’). The proposed 

Complex Only Order (like its predecessor PNP Plus 

Order) would be available to all market 

participants. 

67See proposed Rule 6.91P–O(e)(1)(C). Because 

Complex Only Orders would never trade with the 

leg markets, whether or not there is sufficient 

quantity at the displayed Customer price is 

irrelevant to the operation of this order type. 

68See NYSE American Rule 980NY, Commentary 

.02(i) (providing that, when executing an ECO, if 

each leg of the contra-side Derived BBO—calculated 

using the BBO from the Consolidated Book for each 

of the options series comprising a given complex 

order strategy per Rule 900.2NY(7)(a)(b)—for the 

components of the ECO includes Customer interest, 

the price of at least one leg of the order must ‘‘trade 

at a price that is better than the corresponding price 

of all customer bids or offers in the Consolidated 

Book for the same series, by at least one standard 

trading increment as defined in Rule 960NY,’’ 

which minimum trading increment is one cent 

($0.01). See NYSE American Rule 960NY(b). 

69See Single-Leg Pillar Filing (describing the 

activity-based controls with updated functionality 

under Pillar that Market Makers would be required 

to use to manage risk in connection with their 

quotes, per Rule 6.40P–O(a)(3) and (b)(2)). The 

proposed Pillar risk controls are substantively 

identical to the existing risk controls set forth in 

Rules 6.40–O(b)(2), (c)(2) and (d)(2) and 

Commentary .04 to Rule 6.40–O. 

70See, e.g., Cboe Rule 5.33(g) (providing the ECOs 

may be restricted from trading with the leg markets 

if such ECO has more than a maximum number of 

legs, which maximum the Exchange determines on 

a class-by-class basis and may be two, three, or 

four). 

71See, e.g., Nasdaq ISE Options 3, Section 14 

(d)(3)(A)–(B) (providing that ECOs with these 

complex strategies may trade only with other 

ECOs). 

proposes on Pillar not to use the term 

‘‘PNP Plus Order’’ and instead rename 

this order type as a Complex Only 

Order, which is more aptly named, and 

is consistent with similar order types 

available on other options exchanges.66

As further proposed, an ECO 

designated as Complex Only must trade 

at a price at or within the DBBO; 

provided that, if the DBB (DBO) is 

calculated using the Exchange BBO for 

all legs of the complex strategy and all 

such Exchange BBOs have displayed 

Customer interest, the Complex Only 

Order would not trade below (above) 

one penny ($0.01) times the smallest leg 

ratio inside the DBB (DBO), regardless 

of whether there is sufficient quantity 

on such leg markets to satisfy the ECO.67

This proposed requirement is designed 

to ensure that, if there is displayed 

Customer interest on all legs of the 

strategy on the Exchange, a Complex 

Only Order would price improve at least 

some portion of such interest making up 

the DBBO. Thus, a Complex Only Order 

does not get the benefit of the priority 

treatment set out in proposed Rule 

6.91P–O(e)(1)(A). If a Complex Only 

Order is unable to trade within the 

aforementioned price parameters, it 

would remain on the Consolidated Book 

until it can trade with another ECO per 

the requirements of proposed Rule 

6.91P–O(e)(1)(C). 

As noted above, the (renamed) 

Complex Only Order type is based on 

existing PNP Plus Order functionality, 

with updated functionality for trading 

on Pillar. Specifically, unlike the 

operation of the PNP Plus Order, the 

Exchange would not reprice a resting 

Complex Only Order and instead would 

restrict a Complex Only Order from 

trading until such order could trade at 

a price at or inside the DBBO, as 

described above. The Exchange believes 

that allowing Complex Only Orders to 

trade up to the DBBO unless there is 

displayed Customer interest on all legs 

of the strategy on the Exchange at the 

DBBO (as described above), provides 

market participants additional trading 

opportunities while still protecting 

displayed Customer interest on the 

Exchange. 

The proposed operation of the 

Complex Only Order, insofar as it 

protects displayed Customer interest in 

the leg markets when an ECO trades 

with another ECO, is consistent with the 

rules of NYSE American and is therefore 

not new or novel.68

• Proposed Rule 6.91P–O(e)(1)(D) 

would provide that ECOs with any one 

of the following complex strategies 

would be ineligible to trade with the leg 

markets and would be processed as a 

Complex Only Order: 

Æ A complex strategy with more than 

five legs; 

Æ a complex strategy with two legs 

and both legs are buying or both legs are 

selling, and both legs are calls or both 

legs are puts; or 

Æ a complex strategy with three or 

more legs and all legs are buying or all 

legs are selling. 

The proposal to restrict ECOs with 

more than five legs from trading with 

the leg markets (and being treated as 

Complex Only Orders), per proposed 

Rule 6.91P–O(e)(1)(D)(i), would be new 

functionality under Pillar and is 

designed to help Market Makers manage 

risk. The Exchange currently requires 

Market Makers to utilize certain risk 

controls for quoting to help mitigate risk 

particularly during periods of market 

volatility, and would require Market 

Makers to continue to use risk controls 

on Pillar.69 Because the execution of a 

multi-legged ECO is a single transaction, 

comprising discrete legs that must all 

trade simultaneously, allowing ECOs 

with more than five legs to trade with 

the leg markets may allow a multilegged transaction to occur before a 

Market Maker’s risk settings would be 

triggered. This proposed limitation is 

designed to prevent such multi-legged 

transactions, which would help ensure 

that Market Makers continue to provide 

liquidity and do not trade above their 

established risk tolerance levels. The 

Exchange notes that this restriction is 

consistent with similar limits 

established on other options 

exchanges.70

Proposed Rule 6.91P–O(e)(1)(D)(ii)– 

(iii), which treats ECOs with certain 

complex strategies as Complex Only 

Orders, is based in part on current Rule 

6.91–O(b)(4)(i)–(ii), with a difference 

that currently, such so-called 

‘‘directional strategies’’ are rejected. The 

proposed handling under Pillar would 

be less restrictive than the current rule 

because such strategies would not be 

rejected and is consistent with the 

treatment of such complex strategies on 

other options exchanges.71 As with the 

proposal to restrict ECOs with more 

than five legs trading with the leg 

markets, this proposed restriction is also 

designed to ensure that Market Maker 

risk settings would not be bypassed. 

Because ECOs with directional 

strategies are typically geared towards 

an aggressive directional capture of 

volatility, such ECOs can represent 

significantly more risk than trading any 

one of the legs in isolation. As such, 

because Market Maker risk settings are 

only triggered after the entire ECO 

package has traded, the Exchange 

believes this proposed rule change 

would help ensure fair and orderly 

markets by preventing such orders from 

trading with the leg markets, which 

would minimize risk to Market Makers. 

Proposed Rule 6.91P–O(e)(2) would 

provide that the Exchange would 

evaluate trading opportunities for a 

resting ECO when the leg markets 

comprising a complex strategy update, 

provided that during periods of high 

message volumes, such evaluation may 

be done less frequently. The Exchange 

believes that this proposed rule 

promotes transparency of the frequency 

with which the Exchange would be 

evaluating the leg markets for updates. 

The Exchange believes the proposed 

handling of ECOs during Core Trading 


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72As discussed infra regarding proposed Rule 

6.91P–O(a)(5) and the definition of the Derived 

BBO, ‘‘the DBBO will be updated as the Exchange 

BBO or ABBO, as applicable, is updated’’). 

is reasonably designed to facilitate 

increased interaction between orders on 

the leg markets and ECOs, and to do so 

in such a manner as to ensure a 

dynamic, real-time trading mechanism 

that maximizes the opportunity for trade 

executions for both ECOs and orders on 

single option series. 

Execution of ECOs During a COA. 

Proposed Rule 6.91P–O(f) would 

describe how ECOs would trade during 

a COA. The COA Process is currently 

described in Rule 6.91–O(c). Under 

Pillar, the Exchange proposes to modify 

the COA process, including by relying 

on the DBBO (as described above) for 

pricing, allowing a COA Order to 

initiate a COA only on arrival, and 

streamlining the rule text describing the 

circumstances that would cause an early 

end to a COA. 

As proposed, a COA Order received 

when a complex strategy is open for 

trading and that satisfies the 

requirements of paragraph (f)(1) of the 

proposed Rule would initiate a COA 

only on arrival after trading with 

eligible interest per proposed Rule 

6.91P–O(f)(2)(A) (described below). As 

further proposed, a COA Order would 

be rejected if entered during a pre-open 

state or if entered during Core Trading 

Hours with a time-in-force of FOK or 

GTX. This proposed order handling is 

based in part on current Rule 6.91– 

O(c)(1)(ii), which requires that COA 

Orders be submitted during Core 

Trading Hours. The proposed rejection 

of such orders during a pre-open state 

would be new under Pillar and is 

consistent with the Exchange’s 

proposed functionality that a COA 

Order would initiate a COA only on 

arrival. In addition, the proposal would 

clarify that COA Orders designated as 

FOK or GTX would be rejected, even if 

submitted during Core Trading Hours, is 

based on current functionality and this 

addition would add further detail and 

clarification to the rule text. Finally, as 

further proposed, only one COA may be 

conducted at a time in a complex 

strategy, which is identical to text in 

current Rule 6.91–O(c)(3). 

Proposed Rule 6.91P–O(f)(1) would 

describe the conditions required for the 

‘‘Initiation of a COA.’’ As proposed, to 

initiate a COA, the limit price of the 

COA Order to buy (sell) must be higher 

(lower) than the best-priced, same-side 

ECOs resting on the Consolidated Book 

and equal to or higher (lower) than the 

midpoint of the DBBO, which is 

designed to encourage aggressivelypriced COA Orders and, in turn, to 

attract a meaningful number of RFR 

Responses to potentially provide price 

improvement of the COA Order’s limit 

price. This proposed text is based in 

part on current Rule 6.91–O(c)(3)(i), 

with a difference to add a new 

‘‘midpoint of the DBBO’’ requirement to 

reflect this new concept under Pillar. As 

further proposed, a COA Order that does 

not satisfy these pricing parameters 

would not initiate a COA and, unless it 

is cancelled (i.e., if an IOC), such order 

would be ranked in Consolidated Book 

and processed as an ECO, per proposed 

Rule 6.91P–O(e) (described above). This 

would be new under Pillar, as current 

Rule 6.91–O(c)(3) allows an order 

designated for COA to reside on the 

Consolidated Book unless or until such 

order meets the requisite pricing 

conditions to initiate a COA. The 

Exchange believes this proposed change 

would simplify the COA process and 

promote the orderly initiation of COAs, 

which is essential to maintaining a fair 

and orderly market for ECOs. 

Finally, as proposed, once a COA is 

initiated, the Exchange would 

disseminate a Request for Response 

message, the Response Time Interval 

would begin and, during such interval, 

the Exchange would accept RFR 

Responses, including ECO GTX Orders. 

This proposed text is based on current 

functionality set forth in Rule 6.91–O(c), 

with non-substantive differences to use 

Pillar terminology, including using the 

new Pillar term for ECO GTX Orders. 

Proposed Rule 6.91P–O(f)(2) would 

describe the ‘‘Pricing of a COA.’’ As 

proposed, a COA Order to buy (sell) 

would initiate a COA at its limit price, 

unless its limit price locks or crosses the 

DBO (DBB), in which case it would 

initiate a COA at a price equal to one 

penny ($0.01) times the smallest leg 

ratio inside the DBO (DBB) (the ‘‘COA 

initiation price’’). This proposed 

functionality utilizes the new concept of 

a DBBO, is consistent with current 

functionality (that relies on 

substantively similar concept of 

Complex BBO), and ensures (consistent 

with current functionality) that interest 

on the leg markets maintain priority. 

• Proposed Rule 6.91P–O(f)(2)(A) 

would provide that prior to initiating a 

COA, a COA Order to buy (sell) would 

trade with any ECO to sell (buy) resting 

in the Consolidated Book that is priced 

equal to or lower (higher) than the DBO 

(DBB), unless the DBO (DBB) is 

calculated using the Exchange BBO for 

all legs of the complex strategy and all 

such Exchange BBOs have displayed 

Customer interest, in which case the 

COA Order will trade up (down) to one 

penny ($0.01) times the smallest leg 

ratio inside the DBO (DBB) (i.e., priced 

better than the leg markets) and any 

unexecuted portion of such COA Order 

would initiate a COA. This proposed 

rule is based on current Rule 6.91– 

O(c)(2) with a difference to use the 

Pillar concept of DBBO rather than refer 

to the contra-side Complex BBO and to 

specify that the COA Order must price 

improve the DBBO when there is 

displayed Customer interest on the 

Exchange leg markets, as noted above. 

• Proposed Rule 6.91P–O(f)(2)(B) 

would provide that a COA Order would 

not be eligible to trade with the leg 

markets until after the COA ends, which 

added detail, while not explicitly stated 

in the current rule, is consistent with 

current functionality described in Rules 

6.91–O(c)(7)(A) and (B) that only RFR 

Responses (i.e., GTX orders) and ECOs 

will be allocated in a COA and that the 

COA Order would not trade with the leg 

markets until after the COA allocations. 

• Proposed Rule 6.91P–O(f)(3) would 

set forth the conditions that would 

result in the ‘‘Early End to a COA’’ (i.e., 

a COA ending prior to the expiration of 

the Response Time Interval), which 

conditions are consistent with current 

Rule 6.91–O(c)(6) as described below. 

Currently, as described in Rule 6.91– 

O(c)(3), the Exchange takes a snapshot 

of the Complex BBO at the start of a 

COA and uses that snapshot as the basis 

for determining whether to end a COA 

early. Under Pillar, the Exchange would 

no longer use a snapshot of the Complex 

BBO as the basis for determining 

whether to end a COA early but would 

instead rely on the DBBO (calculated 

per proposed Rule 6.91P–O(a)(5)), 

which is updated as market conditions 

change (including during the Response 

Time Interval).72 The Exchange believes 

relying on the DBBO is appropriate and 

would benefit investors as it would 

provide real-time trading information 

that includes an additional layer of 

price protection for ECO trading as the 

DBBO is based on Exchange BBOs, 

when available, or the ABBO. The 

Exchange proposes a COA would end 

early under the following conditions: 

Æ Proposed Rule 6.91P–O(f)(3)(A) 

would provide that a COA would end 

early if the Exchange receives an 

incoming ECO or COA Order to buy 

(sell) in the same complex strategy that 

is priced higher (lower) than the 

initiating COA Order to buy (sell), 

which proposed text is based on current 

Rule 6.91–O(c)(6)(B)(i) without any 

substantive differences. 

Æ Proposed Rule 6.91P–O(f)(3)(B) 

would provide that a COA would end 

early if the Exchange receives an RFR 

Response that locks or crosses the DBBO 

on the same-side as the COA Order, 


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73See proposed Rule 6.91P–O(f)(5) (emphasis 

added). In addition, rather than copy into proposed 

Rule 6.91P–O the second sentence of current Rule 

6.91–O, Commentary .04, which provides that 

dissemination of information related to COA Orders 

to third parties would also be deemed as conduct 

inconsistent with just and equitable principles of 

trade, the Exchange proposes to add more 

expansive language regarding this prohibited 

conduct to the order exposure rule. See infra for 

discussion of proposed change to Rule 6.47A–O. 

74The Exchange has proposed to add the 

definition of MPID to proposed Rule 1.1, which 

would refer to ‘‘the identification number(s) 

assigned to the orders and quotes of a single ETP 

Holder, OTP Holder, or OTP Firm for the execution 

and clearing of trades on the Exchange by that 

permit holder. An ETP Holder, OTP Holder, or OTP 

Firm may obtain multiple MPIDs and each such 

MPID may be associated with one or more subidentifiers of that MPID.’’ See Single-Leg Pillar 

Filing. 

which proposed text is based on current 

Rule 6.91–O(c)(6)(A)(i), except (as noted 

above) it refers to the DBBO rather than 

the ‘‘initial Complex BBO.’’ 

Æ Proposed Rule 6.91P–O(f)(3)(C) 

would provide that a COA would end 

early if the leg markets update causing 

the DBBO on the same-side as the COA 

Order to lock or cross (i) any RFR 

Response(s) or (ii) if no RFR Responses 

have been received, the best-priced, 

contra-side ECOs. This proposed rule is 

based in part on current Rule 6.91– 

O(c)(6)(C)(i), with differences to use 

Pillar terminology, including reference 

to the DBBO. 

Æ Proposed Rule 6.91P–O(f)(3)(D) 

would provide that a COA would end 

early if the leg markets update causing 

the contra-side DBBO to lock or cross 

the COA initiation price. This proposed 

rule is based in part on current Rule 

6.91–O(c)(6)(C)(ii), except that it would 

refer to the DBBO and the COA 

initiation price, which would be new 

concepts under Pillar. 

Because the DBBO may be calculated 

using the ABBO for a given leg, the 

Exchange notes that it would be new 

under Pillar to have a COA end early 

based on (locking or crossing) market 

conditions outside of the Exchange. The 

Exchange believes this proposed 

functionality would benefit market 

participants by preventing COA Orders 

from executing at prices too far away 

from the prevailing market for that 

complex strategy. In addition, the 

Exchange believes this proposed 

functionality would promote internal 

consistency and benefit market 

participants because, as proposed, the 

execution of ECOs on the Exchange, 

including whether such ECO may 

initiate a COA as a COA Order, is based 

on the DBBO. As such, the Exchange 

believes it is appropriate and to the 

benefit of market participants that the 

early termination of a COA likewise be 

based on the DBBO—regardless of 

whether the prices used to calculate 

such DBBO include (or consist entirely 

of) ABBO prices. 

• Proposed Rule 6.91P–O(f)(4) would 

set forth the ‘‘Allocation of COA 

Orders’’ after a COA either ends early or 

after the expiration of the Response 

Time Interval. Current Rule 6.91– 

O(c)(7)(A) sets forth that the COAeligible orders are allocated against the 

best-priced interest received in the COA 

at each price on a ‘‘Size Pro Rata Basis,’’ 

as that concept is defined in Rule 6.75– 

O(f)(6). Under Pillar, the allocation of 

the COA Order would be based on 

price-time priority, rather than Size Pro 

Rata, which would align the allocation 

of ECOs in a COA with standard 

processing of ECOs on the Exchange, 

which adds transparency and 

consistency to ECO processing on the 

Exchange as well as internal consistency 

to Exchange rules, all to the benefit of 

market participants. 

Proposed Rule 6.91P–O(f)(4)(A) 

would provide that RFR Responses to 

sell (buy) that are priced lower (higher) 

than a COA Order to buy (sell) would 

trade in price-time priority up (down) to 

the DBBO; provided, however, that if all 

legs of the DBB (DBO) are calculated 

using Exchange BBOs and all such 

Exchange BBOs have displayed 

Customer interest, RFR Responses to 

sell (buy) would not trade below (above) 

one penny ($0.01) times the smallest leg 

ratio inside the DBB (DBO). This 

proposed rule would ensure that the 

COA Order would not trade at a worse 

price than the leg markets and would 

price improve the DBBO where there is 

displayed Customer interest on all legs 

of the complex strategy on the 

Exchange. The proposed text is based in 

part on current Rule 6.91–O(c)(7)(A) 

insofar as it ensures that the COA Order 

would trade with the best-priced RFR 

Responses received in the COA and 

differs substantively because the COA 

Order would not trade ahead of certain 

displayed Customer interest and, as 

discussed above, the COA Order would 

trade with RFR Responses in price-time 

priority (and not Size Pro Rata). 

Proposed Rule 6.91P–O(f)(4)(B) would 

provide that after COA allocations 

pursuant to paragraph (f)(4)(A) of this 

proposed Rule, any unexecuted balance 

of a COA Order (including COA Orders 

designated as IOC) would be eligible to 

trade with any contra-side interest, 

including the leg markets unless the 

COA Order is designated or treated as a 

Complex Only Order. This proposed 

text is based on existing functionality 

and makes explicit that a COA Order 

would trade solely with complex 

interest (and not the leg markets) during 

a COA. This proposed rule is designed 

to provide clarity and transparency that 

the remaining balance of a COA Order 

would be eligible to trade with the leg 

markets after the COA ends. 

Proposed Rule 6.91P–O(f)(4)(C) would 

provide that after a COA Order trades 

pursuant to proposed Rule 6.91P– 

O(f)(4)(B), any unexecuted balance of a 

COA Order that is not cancelled (i.e., if 

an IOC) would be ranked in the 

Consolidated Book and processed as an 

ECO pursuant to paragraph (e) of this 

Rule. The proposed text is based on 

current Rule 6.91–O(c)(7)(B) without 

any substantive differences. 

Proposed Rule 6.91P–O(f)(5) would 

set forth ‘‘Prohibited Conduct related to 

COAs,’’ and is based on the first 

sentence of current Commentary .04 to 

Rule 6.91–O with one substantive 

differences: To add reference to quotes, 

and would provide that a pattern or 

practice of submitting ‘‘unrelated quotes 

or orders that cause a COA to conclude 

early would be deemed conduct 

inconsistent with just and equitable 

principles of trade,’’ 73 which addition 

would broaden the scope of ‘‘Prohibited 

Conduct’’ to the benefit of market 

participants and would also add clarity 

and transparency to Exchange rules. 

ECO Risk Checks. Proposed Rule 

6.91P–O(g) would describe the ‘‘ECO 

Risk Checks,’’ which are designed to 

help OTP Holders and OTP Firms to 

effectively manage risk when trading 

ECOs. Current Commentaries .03, .05, 

and .06 of Rule 6.91–O set forth the 

existing risk checks for ECOs. With the 

transition to Pillar, the Exchange 

proposes to modify and enhance its 

existing risk checks for ECOs, as 

follows: 

• Proposed Rule 6.91P–O(g)(1) would 

set forth the ‘‘Complex Strategy Limit.’’ 

As proposed, the Exchange would 

establish a limit on the maximum 

number of new complex strategies that 

may be requested to be created per 

MPID, which limit would be announced 

by Trader Update.74 As further 

proposed, when an MPID reaches the 

limit on the maximum number of new 

complex strategies, the Exchange would 

reject all requests to create new complex 

strategies from that MPID for the rest of 

the trading day. In addition, and 

notwithstanding the established 

Complex Strategy Limit, the Exchange 

proposes that it may reject a request to 

create a new complex strategy from any 

MPID whenever the Exchange 

determines it is necessary in the 

interests of a fair and orderly market. 

This is new functionality proposed 

under Pillar but is conceptually similar 

to the Complex Order Table Cap (the 

‘‘Cap’’), set forth in Commentary .03 to 

Rule 6.91–O, which Cap (like the 


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75See, e.g., Cboe Rule 5.33(a) (providing, in its 

definition of ‘‘complex strategy’’ that Cboe ‘‘may 

limit the number of new complex strategies that 

may be in the [Cboe] System at a particular time’’) 

and MIAX Rule 518(a)(6) (providing, in its 

definition of ‘‘complex strategy’’ that MIAX ‘‘may 

limit the number of new complex strategies that 

may be in the System at a particular time and will 

communicate this limitation to Members via 

Regulatory Circular’’). 

76As noted above, the Exchange proposes to 

define the Complex NBBO as the derived national 

best bid and derived national best offer for a 

complex strategy calculated using the NBB and 

NBO for each component leg of a complex strategy. 

See proposed Rule 6.91P–O(a)(2). 

77See Single-Leg Pillar Filing (Rule 6.62P–O(a)(3) 

sets forth the Limit Order Price Protection 

applicable to Limit Orders and quotes). 

78See Single-Leg Pillar Filing (discussion 

regarding Rule 6.62P–O(a)(3)(A)(i)). 

79See discussion infra regarding proposed Rule 

6.91P–O(d), which describes the ECO Opening 

Auction Process (or Reopening after a Trading Halt) 

as well as the concepts of ECO Auction Collars and 

ECO Auction Price. 

80See Single-Leg Pillar Filing (discussion 

regarding Rule 6.62P–O(a)(3)(A)(ii)). 

81See Single-Leg Pillar Filing (discussion 

regarding Rule 6.62P–O(a)(3)(A)(iii)). 

82See Single-Leg Pillar Filing (discussion 

regarding Rule 6.62P–O(g)(1)(C) and (D) regarding 

price requirements for execution of QCC Orders and 

Complex QCC Orders, respectively). 

83See Single-Leg Pillar Filing (discussion 

regarding Rule 6.62P–O(a)(3)(A) excluding Cross 

Orders). 

84See Single-Leg Pillar Filing (discussion 

regarding Rule 6.62P–O(a)(3)(A)). 

85See Single-Leg Pillar Filing (discussion 

regarding Rule 6.62P–O(a)(3)(B) describing that the 

Reference Price for Limit Order Price Protection 

would be adjusted immediately following an 

Auction would ensure that the most up-to-date 

price would be used to assess whether to cancel a 

Limit Order that was received during a pre-open 

state or would be reevaluated after a Trading Halt 

Auction). 

86See Single-Leg Pillar Filing (discussion 

regarding the definition of ‘‘NBBO’’ in Rule 1.1 

describing that the ‘‘NBBO’’ for purposes of options 

trading as referring to the national best bid or offer 

and that ‘‘[u]nless otherwise specified, the 

Exchange may adjust its calculation of the NBBO 

based on information about orders it sends to Away 

Markets, execution reports received from those 

Away Markets, and certain orders received by the 

Exchange’’). 

87References to the NBBO, NBB, and NBO in 

Rule 7.31–E refer to using a determination of the 

national best bid and offer that has not been 

Continued 

Complex Strategy Limit), would help 

maintain a fair and orderly market 

because it would operate as a system 

protection tool that enables the 

Exchange to prevent any single MPID 

from creating more than a limited 

number of complex strategies during the 

trading day. The Exchange also notes 

that other options exchanges likewise 

impose a limit on new complex order 

strategies.75

• Proposed Rule 6.91P–O(g)(2) would 

set forth the ECO Price Protection. The 

existing ECO ‘‘Price Protection Filter’’ is 

set forth in Commentary .05 to current 

Rule 6.91–O (the ‘‘ECO Filter’’). The 

proposed ‘‘ECO Price Protection’’ on 

Pillar would work similarly to how the 

current ECO price protection 

mechanism functions on the Exchange 

because an ECO would be rejected if it 

is priced a specified percentage away 

from the contra-side Complex NBB or 

NBO.76 However, on Pillar, the 

Exchange proposes to use new 

thresholds and reference prices, which 

would not only simplify the existing 

price check, but it would also align the 

proposed functionality with the 

proposed ‘‘Limit Order Price 

Protection’’ for single-leg interest, thus 

adding uniformity to Exchange rules.77

Although the mechanics of the ECO 

Price Protection would vary slightly 

from the existing Price Protection Filter, 

the goal of this feature would remain the 

same: To prevent the execution of ECOs 

that are priced too far away from the 

prevailing market for the same strategy 

and therefore potentially erroneous. 

Whereas the Away Market Deviation 

(vis a vis a DBBO based on an Exchange 

BBO) is designed to make sure that 

ECOs do not trade too far away from the 

prevailing market, the ECO Order 

Protection as proposed (and as is the 

case today) is to prevent the execution 

of ECOs that were potentially 

(inadvertently) entered at prices too far 

away from the prevailing market and, as 

such, this mechanism protects the order 

sender from itself. 

Proposed Rule 6.91P–O(g)(2)(A) 

would provide that each trading day, an 

ECO to buy (sell) would be rejected or 

cancelled (if resting) if it is priced a 

Specified Threshold amount or more 

above (below) the Reference Price (as 

described below), subject to proposed 

paragraphs (g)(2)(A)(i)–(v) of the Rule as 

described below. Because ECO Price 

Protection would be applied each 

trading day, an ECO designated GTC 

would be re-evaluated for ECO Price 

Protection on each day that it is eligible 

to trade and would be cancelled if the 

limit price is equal to or through the 

Specified Threshold. 

Æ Proposed Rule 6.91P–O(g)(2)(A)(i) 

would provide that an ECO that arrives 

when a complex strategy is open for 

trading would be evaluated for ECO 

Price Protection on arrival. The 

Exchange has proposed similar 

functionality for single-leg options.78

Æ Proposed Rule 6.91P–O(g)(2)(A)(ii) 

would provide that an ECO received 

during a pre-open state would be 

evaluated for ECO Price Protection after 

the ECO Opening Auction Process 

concludes.79 The Exchange has 

proposed similar functionality for 

single-leg options.80

Æ Proposed Rule 6.91P–O(g)(2)(A)(iii) 

would provide that an ECO resting on 

the Consolidated Book before a trading 

halt would be reevaluated for ECO Price 

Protection after the ECO Opening 

Auction Process concludes. The 

Exchange has proposed similar 

functionality for single-leg options.81

Æ Proposed Rule 6.91P–O(g)(2)(A)(iv) 

would provide that QCC Orders (per 

Rule 6.62P–O(g)(1)) would not be 

subject to ECO Price Protection, as the 

Exchange subjects such paired orders to 

distinct price validations.82 The 

Exchange has proposed similar 

functionality for single-leg options.83

Æ Proposed Rule 6.91P–O(g)(2)(A)(v) 

would provide that ECO Price 

Protection would not be applied if there 

is no Reference Price for an ECO. The 

Exchange has proposed similar 

functionality for single-leg options.84

Proposed Rule 6.91P–O(g)(2)(B) 

would specify the ‘‘Reference Price’’ 

used in connection with the ECO Price 

Protection. As proposed, the Reference 

Price for calculating ECO Price 

Protection for an ECO to buy (sell) 

would be the Complex NBO (NBB), 

provided that, immediately following an 

ECO Opening Auction Process, the 

Reference Price would be the ECO 

Auction Price or, if none, the Complex 

NBO (NBB). The Exchange believes that 

adjusting the Reference Price for ECO 

Price Protection immediately following 

an ECO Opening Auction would ensure 

that the most up-to-date price would be 

used to assess whether to cancel an ECO 

that was received during a pre-open 

state, including during a Trading Halt. 

The Exchange notes this functionality is 

consistent with the proposed operation 

of the Limit Order Price Protection for 

single-leg options.85

As further proposed, there would be 

no Reference Price for an ECO if there 

is no NBBO for any leg of such ECO (i.e., 

the Exchange would not calculate a 

Complex NBB (NBO)), which text is 

based on current Rule 6.91–O, 

Commentary .05(c), except that the 

proposed rule would not reference 

OPRA because, as further proposed, for 

purposes of determining a Reference 

Price, the Exchange would not use an 

adjusted NBBO (i.e., such NBBO is 

implicitly reliant on information from 

OPRA).86 The Exchange notes that using 

an unadjusted NBBO to calculate the 

Reference Price is based on how Limit 

Order Price Protection currently 

functions on the Exchange’s cash equity 

market, as described in Rule 7.31– 

E(a)(2)(B) and is also consistent with the 

proposed operation of the Limit Order 

Price Protection for single-leg options.87


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adjusted. See Single-Leg Pillar Filing (describing 

use of unadjusted NBBO for single-leg Limit Order 

Price Protection in Rule 6.62P–O(a)(3)(B)). 

88See, e.g., Cboe Rule 5.34(b)(6) (describing the 

‘‘Drill-Through Protection’’ and that Cboe 

‘‘determines a default buffer amount on a class-byclass basis). See Single-Leg Pillar Filing (describing 

use of Trader Update to modify Specified 

Thresholds in Rule 6.62P–O (a)(3)(C)). 

89See proposed Rule 6.47A–O(iii). Consistent 

with the Single-Leg Pillar Filing, the Exchange also 

proposes to replace reference to ‘‘OX’’ with ‘‘the 

Exchange.’’ See id. (preamble). 

Proposed Rule 6.91P–O(g)(2)(C) would 

set forth the ‘‘Specified Threshold’’ used 

in connection with the ECO Price 

Protection. As proposed, the Specified 

Threshold for calculating ECO Price 

Protection would be $1.00, unless 

determined otherwise by the Exchange 

and announced to OTP Holders and 

OTP Firms by Trader Update. 

The Exchange believes that the 

proposed Specified Threshold of $1.00 

simplifies how the Reference Price 

would be calculated as compared to the 

calculations currently specified in 

Commentary .05 to Rule 6.91–O. In 

addition, consistent with Commentary 

.05(d), the Exchange proposes that the 

Specified Threshold could change, 

subject to announcing the changes by 

Trader Update. Providing flexibility in 

Exchange rules regarding how the 

Specified Threshold would be set is 

consistent with the rules of other 

options exchanges as well as the 

proposed functionality for the single-leg 

Limit Order Price Protection feature.88

• Proposed Rule 6.91P–O(g)(3) would 

set forth the ‘‘Complex Strategy 

Protections.’’ The proposed protections 

are based on current Rule 6.91–O, 

Commentary .06, which are referred to 

as the ‘‘Debit/Credit Reasonability 

Checks.’’ The Exchange believes this 

name change is appropriate because it 

more accurately conveys that the check 

applies solely to certain complex 

strategies and because (as discussed 

above), the Exchange proposes to refer 

simply to a ‘‘net price’’ as opposed to 

the ‘‘total net debit or credit price.’’ The 

proposed Pillar Complex Strategy 

Protections would function similarly to 

the current Debit/Credit Reasonability 

Checks because potentially erroneously 

priced incoming ECOs would be 

rejected. However, rather than to refer to 

specified debit or credit amounts as a 

way to determine whether a given 

strategy is erroneously priced, the 

proposed rule would instead focus on 

the expectation of the order sender and 

what would result if the ECO were not 

rejected. Consistent with current 

functionality, the proposed Complex 

Strategy Protections are designed to 

prevent the execution of ECOs at prices 

that are inconsistent with/not aligned 

with their strategies. 

As proposed, to protect an OTP 

Holder or OTP Firm that sends an ECO 

(each an ‘‘ECO sender’’) with the 

expectation that it would receive (or 

pay) a net premium but has priced the 

ECO such that the ECO sender would 

instead pay (or receive) a net premium, 

the Exchange would reject any ECO that 

is comprised of the erroneously-priced 

complex strategies as set forth in 

proposed Rule 6.91P–O(g)(3)(A)–(C) and 

described below. 

Proposed Rule 6.91P–O(g)(3)(A) 

would provide that ‘‘ ‘All buy’ or ‘all 

sell’ strategies’’ would be rejected as 

erroneously-priced if it is an ECO for a 

complex strategy where all legs are to 

buy (sell) and it is entered at a price less 

than one penny ($0.01) times the sum of 

the number of options in the ratio of 

each leg of such strategy (e.g., a complex 

strategy to buy (sell) 2 calls and buy 

(sell) 1 put with a price less than $0.03). 

The proposed text is based on Rule 

6.91–O, Commentary .06(a)(1), with no 

substantive differences, except that the 

Exchange has streamlined the text and 

set forth the minimum price (i.e., $0.03) 

for any ‘‘all buy’’ or ‘‘all sell’’ strategies. 

Proposed Rule 6.91P–O(g)(3)(B) 

would provide for the rejection of 

erroneously-priced ‘‘Vertical spreads,’’ 

which are defined as complex strategies 

that consists of a leg to sell a call (put) 

option and a leg to buy a call (put) 

option in the same option class with the 

same expiration but at different strike 

prices. As proposed, the Exchange 

would reject as erroneously-priced: (i) 

An ECO for a vertical spread to buy a 

lower (higher) strike call and sell a 

higher (lower) strike call and the ECO 

sender would receive (pay) a net 

premium (proposed Rule 6.91P– 

O(g)(3)(B)(i)); and (ii) an ECO for a 

vertical spread to buy a higher (lower) 

strike put and sell a lower (higher) strike 

put and the ECO sender would receive 

(pay) a net premium (proposed Rule 

6.91P–O(g)(3)(B)(ii)). The proposed 

strategy protections for vertical spreads 

are based on current Rule 6.91–O, 

Commentary .06(a)(2), except that, as 

noted above, the proposed Rule is 

written from the standpoint of the 

expectation of the ECO sender as 

opposed to reviewing total net debit or 

credit price of the strategy. 

Proposed Rule 6.91P–O(g)(3)(C) 

would provide for the rejection of 

erroneously-priced ‘‘Calendar spreads,’’ 

which are defined as consisting of a leg 

to sell a call (put) option and a leg to 

buy a call (put) option in the same 

option class at the same strike price but 

with different expirations. As proposed, 

the Exchange would reject as 

erroneously-priced: (i) An ECO for a 

calendar spread to buy a call leg with a 

shorter (longer) expiration while selling 

a call leg with a longer (shorter) 

expiration and the ECO sender would 

pay (receive) a net premium (proposed 

Rule 6.91P–O(g)(3)(C)(i)); and (ii) an 

ECO for a calendar spread to buy a put 

leg with a shorter (longer) expiration 

while selling a put leg with a longer 

(shorter) expiration and the ECO sender 

would pay (receive) a net premium 

(proposed Rule 6.91P–O(g)(3)(C)(ii)). 

The proposed strategy protections for 

calendar spreads are based on current 

Rule 6.91–O, Commentary .06(a)(3), 

except that, as noted above, the 

proposed Rule is written from the 

standpoint of the expectation of the ECO 

sender as opposed to reviewing the total 

net debit or credit price of the strategy. 

The Exchange has also not retained 

discretion to disable the strategy 

protections for calendar spreads (as 

contained in Commentary .06(a)(3)(i) of 

the current Rule) because since adopting 

this provision in 2017, the Exchange has 

never exercised this discretion and 

therefore has determined that such 

discretion is no longer needed. 

Proposed Rule 6.91P–O(g)(3)(D) 

would provide that any ECO that is not 

rejected by the complex strategy 

protections would still be subject to the 

ECO Price Protection, per paragraph 

(g)(2) of this Rule, which proposed text 

is based on Rule 6.91–O, Commentary 

.06(b) without any substantive 

difference. 

Rule 6.47A–O: Order Exposure 

Requirements—OX 

The Exchange also proposes 

conforming, non-substantive 

amendments to Rule 6.47A–O, regarding 

order exposure, to add a cross-reference 

to new Pillar Rule 6.91P–O. Current 

Rule 6.47A–O(iii) exempts orders 

submitted to the COA Process, (per 

current Rule 6.91–O) from its onesecond order exposure requirements. 

This proposed amendment would 

extend the exemption from the order 

exposure requirements to orders 

submitted to a COA on Pillar.89 The 

Exchange also proposes to modify the 

reference to ‘‘Complex Order Auction 

Process (‘COA’)’’ to simply ‘‘Complex 

Order Auction (‘COA’)’’ (i.e., removing 

the word Process) consistent with how 

this concept is defined in proposed Rule 

6.91P–O(a)(3). As previously stated, the 

Exchange believes that the proposed 

Response Time Interval for a COA (with 

a duration of no less than 100 

milliseconds) is of sufficient length to 

allow OTP Holders and OTP Firms time 

to respond to a COA. As such, the 


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90See, e.g., NYSE American Rule 935NY(iii) 

(exempting from the one-second order exposure 

requirement orders submitted to the Customer Best 

Execution Auction (or CUBE) process per Rules 

971.1NY (for single-leg CUBE) and 971.2NY (for 

Complex CUBE)). 

91See Rule 6.47A–O, Commentary .01 (‘‘Rule 

6.47A–O prevents a User from executing agency 

orders to increase its economic gain from trading 

against the order without first giving other trading 

interest on the Exchange an opportunity to either 

trade with the agency order or to trade at the 

execution price when the User was already bidding 

or offering on the book’’). 

92See, e.g., NYSE American Rule 935NY, 

Commentary .04 (providing that ‘‘[p]rior to or after 

submitting an order to the System, an ATP Holder 

cannot inform another ATP Holder or any other 

third party of any of the terms of the order’’). 

93 15 U.S.C. 78f(b). 

94 15 U.S.C. 78f(b)(5). 

95See generally the Single-Leg Pillar Filing. 

proposal is designed to promote timely 

execution of the COA Order, while 

ensuring adequate exposure of such 

orders. Accordingly, the Exchange 

proposes to amend Rule 6.47A–O(iii) to 

extend the exemption from the onesecond exposure requirement to COA 

Orders under Pillar, which exemption is 

consistent with the treatment of similar 

orders on other options exchanges.90

Consistent with Rule 6.47A–O, 

Commentary .01, OTP Holders and OTP 

Firms would only utilize the COA 

where there is a genuine intention to 

execute a bona fide transaction.91

The Exchange also proposes to modify 

Commentary .03 to Rule 6.47A–O, 

which is currently Reserved, to provide 

that ‘‘[p]rior to or after submitting an 

order to the Exchange, an OTP Holder 

or OTP Firm cannot inform another OTP 

Holder or OTP Firm or any other third 

party of any of the terms of the order.’’ 

The proposed provision is designed to 

prevent OTP Holders or OTP Firms from 

providing material, non-public 

information to third parties and is 

consistent with similar provisions on 

other options exchanges.92

* * * * * 

As discussed above, because of the 

technology changes associated with the 

migration to the Pillar trading platform, 

subject to approval of this proposed rule 

change, the Exchange will announce by 

Trader Update when rules with a ‘‘P’’ 

modifier will become operative and for 

which symbols. The Exchange believes 

that keeping existing rules on the 

rulebook pending the full migration of 

Pillar will reduce confusion because it 

will ensure that the rules governing 

trading on the Exchange’s current 

system will continue to be available 

pending the full migration to Pillar. 

2. Statutory Basis 

The proposed rule change is 

consistent with Section 6(b) of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’),93 in general, and furthers the 

objectives of Section 6(b)(5),94 in 

particular, because it is designed to 

prevent fraudulent and manipulative 

acts and practices, to promote just and 

equitable principles of trade, to foster 

cooperation and coordination with 

persons engaged in facilitating 

transactions in securities, to remove 

impediments to, and perfect the 

mechanism of, a free and open market 

and a national market system and, in 

general, to protect investors and the 

public interest. The Exchange believes 

that proposed Rule 6.91P–O to support 

electronic complex trading on Pillar 

would remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system because the proposed rule would 

promote transparency in Exchange rules 

by using consistent terminology 

governing trading on both the 

Exchange’s cash equity and options 

Pillar trading platforms, thereby 

ensuring that members, regulators, and 

the public can more easily navigate the 

Exchange’s rulebook and better 

understand how options trading is 

conducted on the Exchange. 

The Exchange believes that adding 

new Rule 6.91P–O with the modifier 

‘‘P’’ to denote that this rule would be 

operative for the Pillar trading platform 

would remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system by providing transparency of 

which rules would govern trading once 

a symbol has been migrated to the Pillar 

platform. The Exchange similarly 

believes that adding a preamble to 

current Rule 6.91–O stating that it 

would not be applicable to trading on 

Pillar would remove impediments to 

and perfect the mechanism of a free and 

open market and a national market 

system because it would promote 

transparency regarding which rules 

would govern trading on the Exchange 

during and after the transition to Pillar. 

The Exchange believes that 

incorporating Pillar functionality 

currently available on the Exchange’s 

cash equity market (and recently 

proposed for single-leg options),95 for 

trading of electronic complex orders on 

its options market in proposed Rule 

6.91P–O would remove impediments to 

and perfect the mechanism of a free and 

open market and a national market 

system because the Exchange would be 

able to offer consistent functionality 

across both its options and cash equity 

trading platforms, adapted as applicable 

for trading of electronic complex orders. 

As discussed herein, and unless 

otherwise specified herein, the 

Exchange is not proposing 

fundamentally different functionality 

regarding how ECOs would trade on 

Pillar than is currently available on the 

Exchange. Accordingly, with the 

transition to Pillar, the Exchange would 

use Pillar terminology to describe 

functionality that is not changing and 

also introduce certain new or updated 

functionality for Electronic Complex 

Orders (i.e., enhancing the opening 

auction process, including introducing 

the ‘‘ECO Auction Collars’’) that will 

also be available for outright options 

trading on the Pillar platform. As such, 

the Exchange believes that using Pillar 

terminology and incorporating updated 

functionality for the proposed new rule 

would remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system because it would promote 

consistency in the Exchange’s rules 

across both its options and cash equity 

platforms. 

Definitions, Types of ECOs and Priority 

and Pricing of ECOs 

The Exchange believes that the 

proposed definitions in Rule 6.91P–O(a) 

would remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system because the proposed changes 

are designed to promote clarity and 

transparency by consolidating existing 

defined terms related to electronic 

complex trading into one section of the 

proposed rule. The Exchange believes 

that the proposed non-substantive 

amendments to those terms currently 

defined in Rule 6.91–O would promote 

clarity and transparency by using Pillar 

terminology. The Exchange further 

believes consolidating defined terms in 

proposed Rule 6.91P–O(a) (including 

alphabetizing the proposed terms) 

would make the proposed rule more 

transparent and easier to navigate. 

The Exchange believes that the 

proposed new definition of Away 

Market Deviation would further remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system because it 

would promote clarity and transparency 

to market participants regarding how 

the Exchange would calculate this 

additional protection against ECOs 

being executed on the Exchange at 

prices too far away from the current 

market. 

The Exchange believes that the 

proposed new definition of DBBO (and 

related terms of DBB and DBO) would 

further remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 


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system because it would promote clarity 

and transparency to market participants 

regarding how the DBBO would be 

calculated under Pillar. The proposed 

definition is not novel and is based in 

part on similarly defined terms used on 

NYSE American and Cboe. The 

Exchange believes that providing an 

alternative means of calculating the 

DBBO (i.e., by looking to the contra-side 

best bid (offer) in the absence of sameside interest) would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system thereby 

benefitting as it should increase 

opportunities for trading. This proposed 

definition of Away Market Derivation is 

new and would promote clarity and 

transparency In addition, the proposal 

to use the Away Market Deviation as a 

means of binding the Exchange’s 

calculation of the DBBO as well as 

trading of ECOs with the leg markets 

would remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system because such limitation would 

benefit market participants by providing 

an additional protection against ECOs 

being executed on the Exchange at 

prices too far away from the current 

market. 

In addition, the Exchange believes 

that setting forth additional definitions 

in proposed Rule 6.91P–O(a), including 

those that are used on other options 

exchanges (e.g., ‘‘complex strategy’’ and 

‘‘ratio’’) and clarifying terms (e.g., ‘‘leg’’ 

and ‘‘leg markets’’), would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system because it 

would promote clarity and transparency 

to market participants regarding 

electronic complex trading under Pillar. 

Finally, the proposed definition of 

‘‘ECO Order Instruction’’ would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system because it 

would incorporate for ECOs existing 

Pillar order handling functionality in an 

auction that is currently available on the 

Exchange’s cash equity platform, as 

described in Rule 7.35–E(g) and is 

proposed for options trading in Rule 

6.64P–O(e) and its sub-paragraphs (1) 

and (2) (as described in the Single-Leg 

Pillar Filing). The Exchange similarly 

proposes this functionality for the ECO 

Opening Auction Process, with nonsubstantive differences only to use an 

ECO-specific defined term and to refer 

to the ECO Opening Auction Process. 

The Exchange believes that the 

proposed types of ECOs available per 

Rule 6.91P–O(b) would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system because it 

would describe the ECOs and time-inforce modifiers that would be available 

on Pillar, as well as specifying 

additional ECO types. The Exchange is 

not proposing any new ECO order types 

or time-in-force modifiers on Pillar and 

believes that the non-substantive 

differences to use Pillar terminology to 

describe the available ECO order types 

would promote transparency and clarity 

in Exchange rules. The Exchange 

believes that the proposed Complex 

Only Order is not novel because it is 

based in part on the existing PNP Plus 

order functionality as both order types 

only interact with other ECOs. In 

addition, the proposed ECO GTX Order 

uses Pillar terminology to describe what 

is referred to as an ‘‘RFR Response’’ in 

the current rules, and therefore is not 

novel. 

The Exchange believes that proposed 

new Rule 6.91P–O(c), and 

subparagraphs (2), (3), and (4), would 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system because 

the proposed rules would set forth a 

price-time priority model for Pillar and 

pricing requirements for ECO trading 

that are substantively the same as the 

Exchange’s current price-time priority 

model and pricing requirements as set 

forth in Rule 6.91–O(a)(1) and 

Commentaries .01 and .02(i) to Rule 

6.91–O. The Exchange proposes certain 

modified functionality, including the 

Complex Only Order as noted above, 

and regarding ECO trading vis a vis the 

DBBO (and binding such DBBO by the 

maximum allowable Away Market 

Deviation when the Exchange BBO is 

used to calculate the DBBO for a leg), 

which would benefit market 

participants as the proposes features 

would provide additional price 

protection in ECO trading and would 

add clarity and transparency to the 

rules. The Exchange believes that 

proposed Rule 6.91P–O(c)(1)–(4) would 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system because 

they would promote transparency and 

clarity in Exchange rules regarding how 

ECOs would trade with the leg markets 

and with other ECOs. 

Execution of ECOs at the Open (or 

Reopening After a Trading Halt) 

The Exchange believes that proposed 

Rule 6.91P–O(d) regarding the ECO 

Opening Auction Process would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system because 

the proposed rule maintains the 

fundamentals of an auction process that 

the Exchange currently uses for ECOs, 

as described in Rule 6.91–O(a)(2)(i)(B), 

while at the same time enhancing the 

process by incorporating Pillar auction 

functionality that is currently available 

on the Exchange’s cash equity platform, 

as described in Rule 7.35–E as well as 

proposed for single-leg options in Rule 

6.64P–O. For example, the Exchange 

proposes to use Pillar functionality to 

determine how to price an ECO Opening 

Auction Process, as described in 

proposed Rule 6.91P–O(d)(3), including 

using proposed ‘‘ECO Auction Collars’’ 

and an ‘‘ECO Auction Price,’’ which are 

consistent with the core functionality 

for opening ECOs, with additional detail 

that would promote clarity and 

transparency to market participants 

regarding this process. The Exchange 

believes it is appropriate to refrain from 

opening a series when there is a lack of 

reliable pricing indication(s) regarding 

the price at which a complex strategy 

should execute because doing so would 

protect market participants from 

potentially erroneous executions, 

thereby promoting a fair and orderly 

ECO Opening Auction Process. 

Moreover, the Exchange believes that 

the proposal to use the DBBO (as 

opposed to the currently used Complex 

NBBO) for the ECO Opening Process 

would allow the Exchange to open a 

series based on the Exchange BBO, 

bound by the Away Market Deviation 

(or, the ABBO if the Exchange BBO is 

not available), which is consistent with 

ECO handling during Core Trading (per 

proposed Rule 6.91P–O(e)). The 

Exchange believes this proposed change 

would better align the permissible 

opening price for a series with the 

permissible execution price during Core 

Trading, which adds consistency to ECO 

order handling (as well as internal 

consistency to Exchange rules) to the 

benefit of investors. As such, this 

proposed change would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system. 

In addition, the Exchange believes 

that requiring that the opening price for 

a complex strategy must improve the 

DBBO if there is displayed Customer 

interest on all legs of the strategy on the 

Exchange would protect displayed 

Customer interest, and protect investors 

in general, while ensuring a fair and 

orderly ECO Opening Process. 

The Exchange also proposes to 

process ECOs received during an ECO 

Opening Auction Process, as described 

in proposed Rule 6.91P–O(d)(4), and 

transition to continuous trading 

following an ECO Opening Auction 

Process, as described in proposed Rule 


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96See BOX Rule 7240(b)(2)(ii); see also BOX 

Notice, 78 FR at 15093 and BOX Approval, 78 FR, 

at 24449. 

97See BOX Approval Order, 78 FR, at 24449. 

98See discussion infra regarding rationale for 

proposed Rule 6.91P–O(e) to restrict certain ECOs 

from executing as a package and bypassing Market 

Maker risk settings. 

99See supra notes 62 and 63 (citing to Cboe Rule 

5.33(g) and Nasdaq ISE Options 3, Section 14 

(d)(3)(A)-(B) regarding similar functionality). 

6.91P–O(d)(5), in a manner similar to 

how the Exchange’s cash equity market 

processes orders that are received 

during an Auction Processing Period 

and transitions to continuous trading 

following a cash equity Trading Halt 

Auction, which the Exchange also 

proposes for single-leg options in Rule 

6.64P–O. The Exchange believes that 

using similar functionality for different 

types of auctions would promote 

consistency across the Exchange’s 

options and cash equity trading 

platforms. Because the Exchange would 

be harnessing Pillar technology to 

support the ECO Opening Auction 

Process for electronic complex options 

trading, the Exchange believes that 

structuring proposed Rule 6.91P–O(d) 

based on Rule 7.35–E and Rule 6.64P– 

O would promote transparency in the 

Exchange’s trading rules. 

The Exchange further believes that the 

proposed Rules 6.91P–O(d)(1) and (2), 

which describe when the Exchange 

would initiate an ECO Opening Auction 

Process and which ECOs would be 

eligible to trade in that process, would 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system because 

they would provide clarity and 

transparency of the conditions required 

before the Exchange would initiate an 

ECO Opening Auction Process. The 

Exchange further believes that those 

conditions are not novel and are based 

on existing conditions specified in Rule 

6.91–O(a)(2)(i)(A) and (B), with 

additional specificity designed to 

promote clarity and transparency. 

Accordingly, the Exchange believes that 

the ECO Opening Auction Process for 

ECOs trading on Pillar would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system because 

the proposed process is based on the 

current opening process, including that 

orders would be matched based on 

price-time priority at a price at which 

the maximum volume can be traded. 

Execution of ECOs During Core Trading 

Hours 

The Exchange believes that proposed 

Rule 6.91P–O(e), setting forth the 

execution of ECOs during Core Trading 

Hours, would remove impediments to 

and perfect the mechanism of a free and 

open market and a national market 

system because the proposed 

functionality would incorporate the 

Exchange’s existing price-time priority 

model for trading ECOs, including 

providing that the leg markets would 

have priority at a price. The Exchange 

believes that the proposed rule change 

to add text to specify that an ECO may 

trade with another ECO at the leg 

market price if the interest in the leg 

markets is insufficient to trade at that 

price (i.e., the leg markets cannot trade 

at that price in full or in a permissible 

ratio), would continue to respect the 

priority of the leg markets at a price, but 

would also ensures that ECO trading 

opportunities are maximized after 

eligible interest in the leg markets is 

exhausted at that price resulting in more 

efficient executions. The Exchange note 

that this proposed functionality is 

consistent with the rule of at least one 

options exchange and is therefore not 

new or novel.96 Once interest in the leg 

markets is exhausted at a price, such 

interest is no longer executable as 

‘‘orders are executable against each 

other only when both the price and the 

quantity of the orders match.’’ 97

In addition, the Exchange believes 

that allowing Complex Only Orders to 

trade up to the DBBO unless there is 

displayed Customer interest on each leg 

on the Exchange at the DBBO (as 

described above) would provide market 

participants additional trading 

opportunities while still protecting 

Customer interest on the Exchange, 

which would, in turn, remove 

impediments to and perfect the 

mechanism of a free and open market 

and national market system. 

The Exchange believes that it would 

remove impediments to and perfect the 

mechanism of a free and open market 

and national market system to specify 

that ECOs will not trade with orders in 

the leg markets designated AON, FOK or 

with an MTS modifier (as described in 

the Single-Leg Pillar Filing) because it 

would add clarity and transparency to 

the proposed Rule regarding the 

handling of ECO vis a vis these singleleg order types that are conditional 

based on order size. The Exchange 

further believes that it would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system for ECOs 

to trade as Complex Only Orders (rather 

than be rejected as they would under 

current rules) if they have a complex 

strategy that could result in a Market 

Maker breaching their established risk 

settings.98 This proposed process is also 

consistent with the treatment of similar 

ECOs on other options markets.99 The 

Exchange further believes that it would 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system to specify 

the frequency with which the Exchange 

would evaluate trading opportunities for 

an ECO with the leg markets update 

because it would promote clarity and 

transparency in Exchange rules. 

Overall, the Exchange believes the 

proposal for ECO trading during Core 

Trading would help maintain a fair and 

orderly market and would benefit 

investors by facilitating increased 

interaction between ECOs (not 

designated as Complex Only) and leg 

markets interest. In particular, such 

ECOs would execute against interest in 

the leg markets for all of the quantity 

available at the best price in a 

permissible ratio until the quantities 

remaining on such leg markets are 

insufficient to execute against the ECO 

while respecting the spread ratio. The 

Exchange believes that requiring 

Complex Only Orders to improve at 

least a portion of the displayed 

Customer interest on the leg markets 

when all legs of a complex strategy 

contain displayed Customer interest 

would provide market participants with 

additional trading opportunities while 

still protecting displayed Customer 

interest on the Exchange. To the extent 

that this proposed handling of ECOs on 

the Exchange during Core Trading 

results in greater liquidity (because of 

increased opportunity for order 

execution) this increased liquidity 

should, in turn, enhance execution 

quality. 

Execution of ECOs During a COA 

The Exchange believes that proposed 

Rule 6.91P–O(f), setting forth the 

execution of ECOs during a COA, would 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system and 

promote just and equitable principles of 

trade because the proposed 

functionality would both incorporate 

existing functionality to provide that 

COA Orders would trade solely with 

other ECOs (and not the leg markets) 

during the auction and that a COA 

Order would be allocated on price-time 

priority, which is consistent with the 

Exchange’s priority scheme. The 

Exchange believes that relying on the 

DBBO (and binding such DBBO by the 

maximum allowable Away Market 

Deviation when the Exchange BBO is 

used to calculate the DBBO for a leg) as 


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100See supra note 67 (citing Cboe Rule 5.33(a) 

and MIAX Rule 518(a)(6) regarding each exchange’s 

ability to limit the number of new complex 

strategies in their systems at any particular time). 

101As noted above, the Exchange proposes to 

define the Complex NBBO as the derived national 

best bid and derived national best offer for a 

complex strategy calculated using the NBB and 

NBO for each component leg of a complex strategy. 

See proposed Rule 6.91P–O(a)(2). 

102See Single-Leg Pillar Filing (Rule 6.62P– 

O(a)(3) sets forth the Limit Order Price Protection 

Filter applicable to Limit Orders and quotes). 

opposed to an initial snapshot of the 

Complex BBO (as is currently the case), 

would benefit market participants as the 

proposed operation of the DBBO would 

provide additional price protection in 

ECO trading, including during a COA, 

and would add clarity and transparency 

to the rules. The Exchange also believes 

that the proposed change to add 

reference to quotes (in addition to 

orders) to Rule 6.91P–O(f)(5) (Prohibited 

Conduct) regarding the COA Process, 

would benefit market participants as it 

would broaden the scope of such the 

prohibition. Overall, the Exchange 

believes the proposed rule would add 

clarity and transparency to OTP Holders 

and OTP Firms utilizing the COA 

process. 

In addition, the Exchange further 

believes that the proposed changes to 

the COA process on Pillar that either 

differ from current functionality or that 

would be new would remove 

impediments to and perfect the 

mechanism of a free and open market 

and national market system because: 

• Requiring that a COA Order initiate 

a COA on arrival, else be treated as a 

standard ECO, is new under Pillar as, 

per the current Rule, a COA Order may 

sit on the Consolidated Book until 

market conditions change such that it 

may initiate a COA. The Exchange 

believes the proposed change would 

provide OTP Holders and OTP Firms 

with a higher level of transparency and 

determinism of when a COA Order 

could initiate a COA and would also 

encourage market participants to submit 

aggressively-priced orders in order to 

qualify for initiation of a COA, which 

better-priced interest benefits all 

investors and improves market quality. 

• Making explicit that COA Orders 

may only execute with ECOs (and not 

the leg markets) until after the COA 

ends is consistent with current 

functionality, per Rule 6.91–O(c)(2), but 

is designed to make clear that ECOs 

have priority during a COA. 

• Streamlining the rule text that 

would describe the market events that, 

under Pillar, would cause an early end 

to a COA would simplify the COA 

process and would provide OTP 

Holders and OTP Firms with a higher 

level of transparency and determinism 

regarding the handling of COA Orders. 

• Allowing a COA to end early based 

on the DBBO, which may be calculated 

using ABBO leg prices, would benefit 

market participants and promote 

internal consistency because, as 

proposed, such early termination would 

prevent COA Orders from executing at 

prices too far away from the prevailing 

market for that complex strategy. In 

addition, the DBBO is used to determine 

the execution of ECOs on the Exchange, 

including whether such ECO may 

initiate a COA as a COA Order. As such, 

the Exchange believes it is appropriate 

and to the benefit of market participants 

that the early termination of a COA 

likewise be based on the DBBO— 

regardless of whether the prices used to 

calculate such DBBO include (or consist 

entirely of) ABBO prices. 

ECO Risk Checks 

The Exchange believes that proposed 

Rule 6.91P–O(g), setting forth ECO Risk 

Checks, would remove impediments to 

and perfect the mechanism of a free and 

open market and a national market 

system and promote just and equitable 

principles of trade because the proposed 

functionality would incorporate existing 

risk controls, without any substantive 

differences. The Exchange further 

believes that the proposed changes to 

ECO Risk Checks on Pillar that either 

differ from current functionality or 

would be new would remove 

impediments to and perfect the 

mechanism of a free and open market 

and national market system because: 

• The Exchange believes that the new 

Complex Strategy Limit (which is 

conceptually similar to the Complex 

Order Table Cap under the current Rule) 

would help maintain a fair and orderly 

market because it would operate as a 

system protection tool that enables the 

Exchange to prevent any single MPID 

from creating more than a limited 

number of complex strategies during the 

trading day. The proposed limits are not 

novel and are based on limits imposed 

by other options exchanges on new 

complex order strategies.100

• The proposed ECO Price Protection 

on Pillar would work similarly to how 

the current ECO price protection 

mechanism functions on the Exchange 

because an ECO would be rejected if it 

is priced a specified percentage away 

from the contra-side Complex NBB or 

NBO.101 The Exchange believes that the 

proposed differences on Pillar, to use 

new thresholds and reference prices, 

would not only simplify the existing 

price check, but it would also align the 

proposed functionality with the 

proposed ‘‘Limit Order Price 

Protection’’ for single-leg interest, thus 

adding uniformity to Exchange rules.102

Although the mechanics of the ECO 

Price Protection would vary slightly 

from the existing Price Protection Filter, 

the goal of this feature would remain the 

same: Prevent the execution of ECOs 

that are priced too far away from the 

prevailing market for the same strategy 

and therefore potentially erroneous to 

be benefit of market participants. 

• The proposed Pillar Complex 

Strategy Protections would function 

similarly to the current Debit/Credit 

Reasonability Checks because 

erroneously priced incoming ECOs 

would be rejected. Consistent with 

current functionality, the proposed 

Complex Strategy Protections are 

designed to prevent the execution of 

ECOs at prices that are inconsistent 

with/not aligned with their strategies to 

the benefit of market participants. The 

Exchange believes that the nonsubstantive differences to focus on the 

expectation of the ECO sender and what 

would result if the ECO were not 

rejected rather than refer to specified 

debit or credit amounts as a way to 

determine whether a given strategy is 

erroneously priced would remove 

impediments to and perfect the 

mechanism of a free and open market 

system because it would promote clarity 

and transparency in Exchange rules. 

Rule 6.47A–O 

The Exchange believes that the 

proposed non-substantive change to 

Rule 6.47A–O to update references to 

‘‘COA’’ (versus COA Process) and ‘‘the 

Exchange,’’ to delete reference to ‘‘OX,’’ 

and add the reference to Rule 6.91P–O 

would remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system and, in general, protect investors 

and the public interest because the 

proposed conforming changes would 

add clarity, transparency and 

consistency to the Exchange’s rules. The 

Exchange believes that market 

participants would benefit from the 

increased clarity, thereby reducing 

potential confusion. Similarly, the 

Exchange believes that adding a crossreference to proposed Rule 6.91P–O(f) 

and extending the exemption from the 

one-second order exposure requirement 

of Rule 6.47A–O would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system because it 

would promote clarity and transparency 

of which Pillar rules would be eligible 

for the exception specified in that Rule. 


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103See supra note 82 (regarding NYSE American 

Rule 935NY(iii)). 

104See supra note 83 (regarding Rule 6.47A–O, 

Commentary .01). 

105See supra note 84 (regarding similarly 

provision contained in NYSE American Rule 

935NY, Commentary .04). 

106 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). 

107 15 U.S.C. 78f(b)(5). 

108See, e.g., BOX Rule 7240(a)(3) (stating that the 

term ‘‘cNBBO’’ means the best net bid and offer 

price for a Complex Order Strategy based on the 

NBBO for the individual options components of 

such Strategy); and MIAX Rule 518(a)(2)) (stating, 

in part, that the cNBBO is calculated using the 

NBBO for each component of a complex strategy to 

establish the best net bid and offer for a complex 

strategy). 

109See, e.g., BOX Rule 7240(a)(9) (stating that the 

term Complex Order Strategy or Strategy means a 

particular combination of components of a Complex 

Order and their ratios to one another. BOX will 

assign a strategy identifier to each Strategy); and 

MIAX Rule 518(a)(6) (stating that the term 

‘‘complex strategy’’ means a particular combination 

of components and their ratios to one another. New 

complex strategies can be created as the result of 

the receipt of a complex order or by the Exchange 

for a complex strategy that is not currently in the 

System. The Exchange may limit the number of new 

complex strategies that may be in the System at a 

particular time and will communicate this 

limitation to Members via Regulatory Circular). 

110Exchange Rule 7.35E(g) states that, for 

purposes of paragraphs (g) and (h) of Exchange Rule 

7.35E, an ‘‘order instruction’’ refers to a request to 

cancel, cancel and replace, or modify an order. 

Exchange Rule 6.64P–O(e), which the Commission 

approved in the Single-Leg Pillar Proposal, states 

that, for purposes of paragraphs (e) and (f) of 

Exchange Rule 6.64P–O, an ‘‘order instruction’’ 

refers to a request to cancel, cancel and replace, or 

modify an order or quote. 

As previously stated, the Exchange 

believes that the proposed Response 

Time Interval for a COA (i.e. no less 

than 100 milliseconds) is of sufficient 

length so as to permit OTP Holders and 

OTP Firms time to respond to a COA. 

As such, the Exchange believes the 

proposed rule change would provide the 

order sender with a timely execution of 

its COA Order, while ensuring that there 

is an adequate exposure of such order. 

Accordingly, the Exchange proposes to 

amend Rule 6.47A–O(iii) to extend the 

exemption from the one-second order 

exposure requirement to COA Orders 

under Pillar, which exemption is 

consistent with the treatment of similar 

orders on other options exchanges.103

Consistent with Rule 6.47A–O, 

Commentary .01, OTP Holders and OTP 

Firms would only utilize the COA 

where there is a genuine intention to 

execute a bona fide transaction.104

The Exchange believes that the 

proposed prohibition that OTP Holder 

and OTP Firms not inform another OTP 

Holder or OTP Firm or any other third 

party of any of the terms of the order, 

per proposed Commentary .03 to Rule 

6.47A–O, would remove impediments 

to and perfect the mechanism of a free 

and open market and a national market 

system and, in general, protect investors 

and the public interest because the 

proposed change is designed to prevent 

OTP Holders or OTP Firms from 

providing material, non-public 

information to third parties and 

consistent with similar provisions on 

other options exchanges.105

* * * * * 

For the reasons set forth above, the 

Exchange believes proposed Rule 

6.91P–O, regarding ECO trading, 

including the priority and execution of 

such ECOs vis a vis the leg markets, is 

consistent with the goals of the Act to 

remove impediments to and to perfect 

the mechanism of a free and open 

market and a national market system, 

and to protect investors and the public 

interest. 

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 operates in a competitive 

market and regularly competes with 

other options exchanges for order flow. 

The Exchange believes that the 

transition to Pillar for trading of ECOs 

on its options trading platform would 

promote competition among options 

exchanges by offering a low-latency 

platform that offers more deterministic 

outcomes for trading interest, which, in 

turn, facilities ECO trading on a 

continuous and real-time basis on the 

Exchange. 

The proposed rule changes would 

support that inter-market competition 

by allowing the Exchange to offer 

additional functionality to its OTP 

Holders and OTP Firms, thereby 

potentially attracting additional order 

flow to the Exchange. Otherwise, the 

proposed changes are not designed to 

address any competitive issues, but 

rather to amend the Exchange’s rules 

relating to trading of ECOs to support 

the transition to Pillar. As discussed in 

detail above, with this rule filing, the 

Exchange is not proposing to change its 

core functionality regarding the 

treatment of ECOs. Rather, the Exchange 

believes that the proposed rule changes 

would promote consistent use of 

terminology to support options (both 

single-leg and complex) and cash equity 

trading on the Exchange, making the 

Exchange’s rules easier to navigate. The 

Exchange does not believe that the 

proposed rule changes would raise any 

intra-market competition as the 

proposed rule changes would be 

applicable to all OTP Holders and OTP 

Firms, and reflects the Exchange’s 

existing treatment of ECOs, without 

proposing any material substantive 

changes. 

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. Discussion and Commission 

Findings 

After careful review, the Commission 

finds that the proposed rule change, as 

modified by Amendment Nos. 1 and 2, 

is consistent with the requirements of 

the Act and the rules and regulations 

thereunder applicable to a national 

securities exchange.106 In particular, for 

the reasons discussed below, the 

Commission finds that the proposed 

rule change, as amended, is consistent 

with Section 6(b)(5) of the Act,107 which 

requires, among other things, that the 

rules of a national securities exchange 

be designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 

trade, to remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system, and, in general, to protect 

investors and the public interest. This 

order approves the proposed rule 

change in its entirety, although only 

certain more significant aspects of the 

proposed rules are discussed below. 

A. Definitions 

Several defined terms in proposed 

Exchange Rule 6.91P–O(a) are 

consistent with defined terms in the 

Exchange’s rules or in the rules of other 

options exchanges. The definition of 

Complex NBBO in proposed Exchange 

Rule 6.91P–O(a)(2) is consistent with 

defined terms used on other options 

exchanges.108 Similarly, the definition 

of complex strategy in proposed 

Exchange Rule 6.91P–O(a)(4) is 

consistent with definitions in the rules 

of other options exchanges.109 The 

definition of ECO Order Instruction in 

proposed Exchange Rule 6.90P–O(a)(6) 

is based on the term ‘‘order instruction’’ 

used in Exchange Rules 7.35–E(g) and 

6.64P–O(e), which the Commission has 

previously approved.110 The 

Commission believes that the 

definitions of ‘‘leg’’ or ‘‘leg market,’’ and 

‘‘ratio’’ or ‘‘leg ratio’’ in proposed 

Exchange Rules 6.91P–O(a)(8) and (9), 

respectively, should help to clarify the 


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111Exchange Rule 6.62P–O(f), which the 

Commission approved in the Single-Leg Pillar 

Proposal, defines a Complex Order as any order 

involving the simultaneous purchase and/or sale of 

two or more option series in the same underlying 

security (the ‘‘legs’’ or ‘‘components’’ of the 

Complex Order), for the same account, in a ratio 

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

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

the purpose of executing a particular investment 

strategy. 

112See, e.g., BOX rule 7240(a)(7); EDGX Rule 

21.20(a); ISE Options 3, Section 14(a)(1); and MIAX 

Rule 518(a)(5). 

113Stock/Option Orders and Stock/Complex 

Orders are available only for open outcry trading on 

the Exchange. See Exchange Rule 6.62P–O(h)(6). 

See also Amendment No. 1 at n. 23. 

114See proposed Exchange Rules 6.91P–O(a)(1). 

115See Amendment No. 1 at 43. 

116See, e.g., ISE Options 3, Section 16(a) 

(providing that ISE’s system ‘‘will not permit any 

leg of a complex strategy to trade through the NBBO 

for the series or any stock component by a 

configurable amount calculated as the lesser of (i) 

an absolute amount not to exceed $0.10, and (ii) a 

percentage of the NBBO not to exceed 500%, as 

determined by the Exchange on a class, series or 

underlying basis. A Member can also include an 

instruction on a Complex Order that each leg of the 

Complex Order is to be executed only at a price that 

is equal to or better than the NBBO for the options 

series or any stock component, as applicable’’); and 

BOX Rule 7240(a)(5) (providing that the ‘‘’Extended 

cNBBO’ means the maximum permissible net bid 

and offer execution price for a Complex Order 

Strategy. The Extended cNBBO is calculated by 

subtracting the Extended cNBBO Limit from the 

cNBB and adding the Extended cNBBO Limit to the 

cNBO. In calculating the Extended cNBBO, each 

side of the Extended cNBBO is rounded to the 

nearest penny within the Extended cNBBO (i.e., the 

cNBB is rounded up to the nearest penny and the 

cNBO is rounded down to the nearest penny’’)). 

117For example, the definition of COA Order in 

proposed Exchange Rule 6.91P–O(a)(3)(A), unlike 

the current definition of COA-eligible order, will 

not require that an option class be designated as 

COA-eligible because all option classes that trade 

on Pillar will be COA-eligible. The definition of 

RFR in proposed Exchange Rule 6.91P–O(a)(3)(B) 

will indicate that the Exchange disseminates RFR 

messages through its proprietary data feed. 

118The Exchange also proposes to adopt an ECO 

GTX Order that is similar to the current RFR 

Response. See Amendment No. 1 at 7–8 and 

proposed Exchange Rule 6.91P–O(b)(2)(C). 

119See Amendment No. 1 at 8, citing NYSE 

American Rule 971.1NY(c)(2)(B) (providing that for 

a Customer Best Execution Auction ‘‘[t]he 

minimum/maximum parameters for the Response 

Time Interval will be no less than 100 milliseconds 

and no more than one (1) second’’); and 

971.2NY(c)(1)(B) (same); Cboe Exchange Inc. 

(‘‘Cboe’’) Rule 5.33(d)(3) (providing that Cboe 

‘‘determines the duration of the Response Time 

Interval on a class-by-class basis, which may not 

exceed 3000 milliseconds’’). See also BOX Rule 

7245(f)(1) (providing for a Complex Order Price 

Improvement Period of 100 milliseconds); and ISE 

Options 3, Section 13(e)(4)(i) (providing an 

exposure period for the Complex Price 

Improvement Mechanism of no less than 100 

milliseconds and no more than one second). The 

Exchange states that other options exchanges do not 

establish a minimum duration for a COA. See 

Amendment No. 1 at 8. 

120See Amendment No. 1 at 50. 

121The Commission notes that another options 

exchange also uses away market prices to calculate 

the synthetic best bid and offer for a strategy when 

the exchange has no bid or offer for a component 

leg of the strategy. See Cboe Rule 5.33(a) (defining 

the Synthetic Best Bid or Offer or SBBO to mean 

the best net bid and net 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). 

terminology used to describe the trading 

of ECOs. 

Currently, Exchange Rule 6.91–O 

defines Electronic Complex Order to 

mean any Complex Order as defined in 

Exchange Rule 6.62–O(e) or any Stock/ 

Option Order or Stock/Complex Order 

as defined in Exchange Rule 6.62–O(h) 

that is entered into the NYSE Arca 

System. Proposed Exchange Rule 6.91P– 

O(a)(7) eliminates the references to 

Stock/Option and Stock/Complex 

Orders and defines an Electronic 

Complex Order or ECO to mean a 

Complex Order as defined in Exchange 

Rule 6.62P–O(f) that is submitted 

electronically to the Exchange.111 The 

definition of Complex Order in 

Exchange Rule 6.62P–O(f) is consistent 

with the definition of complex order 

used on other options exchanges.112 In 

addition, the elimination of references 

to Stock/Option and Stock/Complex 

Orders helps to ensure that the 

definition of ECO accurately reflects the 

Exchange’s functionality because the 

Exchange does not permit trading of 

such orders electronically.113

Proposed Exchange Rule 6.91P– 

O(a)(1) defines the Away Market 

Deviation to mean the difference 

between the Exchange BB(BO) for a 

series and the ABB(ABO) for that same 

series when the Exchange BB(BO) is 

lower (higher) than the ABB(ABO). The 

maximum allowable Away Market 

Deviation is the greater of $0.05 or 5% 

below (above) the ABB(ABO) (rounded 

down to the nearest whole penny). No 

ECO on the Exchange will execute at a 

price that would exceed the maximum 

allowable Away Market Deviation on 

any component of the complex 

strategy.114 The Exchange states that the 

Away Market Deviation will provide 

additional protection against ECOs 

being executed on the Exchange at 

prices too far away from the current 

market.115 The Commission notes that 

other options exchanges have adopted 

similar protections for complex 

orders.116

The definitions in proposed Exchange 

Rule 6.91P–O(a)(3) related to the COA 

are substantially similar to the current 

COA definitions in Exchange Rule 6.91– 

O(c), with certain differences.117 The 

definition of RFR Response in proposed 

Exchange Rule 6.91–O(a)(3)(C) 

eliminates the time-in-force contingency 

in the current definition of RFR 

Response and would include as an RFR 

Response any ECO received during the 

Response Time Interval that is on the 

opposite side of the market of, and 

marketable against, the COA Order.118

By treating any ECO received during the 

Response Time Interval that is 

marketable against the COA Order as an 

RFR Response, the Commission believes 

that the proposed definition of RFR 

Response could help to increase 

competition in the COA, thereby 

potentially increasing price 

improvement opportunities for the COA 

Order. 

The definition of Response Time 

Interval in proposed Exchange Rule 

6.91P–O(a)(3)(D) will reduce the 

minimum duration of the Response 

Time Interval from no less than 500 

milliseconds, as provided in Exchange 

Rule 6.91–O(c)(4), to no less than 100 

milliseconds. The Exchange also 

proposes to amend Exchange Rule 

6.47A–O to provide that orders 

submitted to the proposed COA will 

satisfy the order exposure requirements 

of Exchange Rule 6.47A–O. The 

Exchange states that the proposed 

Response Time Interval will provide 

OTP Holders and OTP Firms with 

adequate time to respond to a COA, 

given that other options exchanges have 

for several years offered electronic 

paired auctions with a Response Time 

Interval of at least 100 milliseconds.119

The Exchange further states that the 

proposal is designed to provide the 

order sender with a timely execution of 

the COA Order while ensuring adequate 

exposure of the order.120 Based on the 

Exchange’s representations, the 

Commission believes that the proposed 

Response Time Interval is designed to 

provide market participants with 

adequate time to respond to a COA, 

which should continue to assure 

competition for the auctioned orders. 

Accordingly, the Commission also 

believes that it is consistent with the 

Act to allow Users to utilize the 

proposed COA to satisfy the order 

exposure requirements of Exchange 

Rule 6.47A–O. 

As described more fully above, 

proposed Exchange Rule 6.91P–O(a)(5) 

defines the DBBO as the derived best 

net bid (‘‘DBB’’) and derived best net 

offer (‘‘DBO’’) for a complex strategy, 

calculated using the Exchange BB(BO) 

for each leg of the strategy (if available) 

or the ABB (ABO) for a leg if the 

Exchange has no BB(BO) for that leg.121

The proposed definition states that 

when the Exchange uses the Exchange 


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122See proposed Exchange Rule 6.91P–O(a)(5) 

and Amendment No. 1 at 10. 

123See Amendment No. 1 at 9. 

124See id. at 10. 

125See proposed Exchange Rule 6.91P–O(a)(5)(B). 

126See proposed Exchange Rule 6.91P–O(a)(5)(C). 

127See Amendment No. 1 at 11. 

128See proposed Exchange Rule 6.91P–O(a)(5)(C). 

129See Amendment No. 1 at 11–12 (citing 

Exchange Rule 6.76P–O(b)(3), which provides that 

‘‘[i]f an Away Market locks or crosses the Exchange 

BBO, the Exchange will not change the display 

price of any Limit Orders or quotes ranked Priority 

2—Display Orders and any such orders will be 

eligible to be displayed as the Exchange’s BBO’’). 

130See Amendment No. 1 at 12 and Exchange 

Rule 6.94–O(b)(3) (providing an exception from 

trade-through liability for trade-throughs that occur 

when there was a Crossed Market). See also the 

Options Order Protection And Locked/Crossed 

Market Plan, dated April 14, 2009, available here, 

https://www.theocc.com/getmedia/7fc629d9-4e54- 

4b99-9f11-c0e4db1a2266/options_order_protection_

plan.pdf. 

131See Amendment No. 1 at 12. 

132The Commission approved the Exchange’s 

Complex QCC Orders in the Single-Leg Pillar 

Proposal. See Single-Leg Pillar Approval Order, 

supra note 11. The Exchange states that allowing 

ECOs to be designated as Complex QCCs is 

consistent with current functionality. See 

Amendment No. 1 at 13. 

133See proposed Exchange Rule 6.91P–O(c)(1)(C) 

and Amendment No. 1 at 26. See also Exchange 

Rule 6.62–O(y) (stating that an Electronic Complex 

Order designated as PNP Plus will be automatically 

re-priced by the Exchange as an MPV greater than 

the Complex BBO bid (for sell orders) or an MPV 

lower than the Complex BBO offer (for buy orders) 

for any or all of the order that remains unexecuted 

and would otherwise lock or cross the Complex 

BBO should it be displayed in the Consolidated 

Book. The re-priced order will then be posted in the 

Consolidated Book. The PNP Plus order will 

continue to be repriced at an MPV greater than the 

Complex BBO bid (for sell orders) or an MPV lower 

than the Complex BBO offer (for buy orders) and 

re-posted in the Consolidated Book, with each 

change in the Complex BBO, until such time as the 

Complex BBO has moved to a price where the 

original limit price of the PNP Plus Order no longer 

locks or crosses the Complex BBO, at which time 

the PNP Plus Order will revert to the original limit 

price of such order. Electronic Complex Orders 

designated as PNP Plus shall be ranked in the 

Consolidated Book pursuant to Rule 6.91–O(a)(1) 

and assigned a new price time priority as of the 

time of each reposting). Unlike PNP Plus Orders, 

the Exchange will not reprice a resting Complex 

Only Order and instead will restrict a Complex 

Only Order from trading with leg market interest. 

See Amendment No. 1 at 27. 

134See proposed Exchange Rule 6.91P–O(e)(1)(C). 

135As noted above, ECO GTX Orders are similar 

to the RFR Responses provided in current Exchange 

Rule 6.91O–(c)(5). See Amendment No. 1 at 8 and 

14. 

136See Exchange Rules 6.91–O(b)(2) and (3). 

137See, e.g., BOX Rule 7240(b)(4)(i) (allowing 

complex orders to be entered as Fill-and-Kill orders, 

Limit Orders, Market Orders, or Session Orders); 

ISE Options 3, Section 14(b) (allowing complex 

orders to be entered as, among others, market 

orders, limit orders, AON orders, Day orders, FOK 

orders, IOC orders, and GTC orders; and MIAX Rule 

518(b)(1) (permitting the entry of complex orders 

that are limit orders, market orders, GTC, or day 

limit orders, among others). 

138See proposed Exchange Rule 6.91P–O(b)(2)(B). 

In addition, an ECO designated as IOC or FOK will 

be rejected if entered during a pre-open state. See 

proposed Exchange Rule 6.91P–O(b)(2)(A). The 

Exchange notes that this is consistent with the timein-force of these orders, which could not be traded 

when a complex strategy is not open for trading. 

See Amendment No. 1 at 14. 

139See proposed Exchange Rule 6.91P–O(e)(1)(B). 

140See Cboe Rules 5.33(d)(5) (stating that an AON 

complex order may only execute against COA 

Responses and unrelated orders resting in the COB 

in price-time priority if there is sufficient size to 

satisfy the AON complex order (and may not 

execute against orders resting in the Simple Book)); 

and 5.33(g)(4) (stating that Post Only complex 

orders and AON complex orders may not Leg into 

the Simple Book); and EDGX Rules 21.20(d)(5)(A) 

and 21.20(g)(4) (same). See also NYSE American 

Rule 900.3NY(d)(4) (providing that an All-or-None 

Order is a Market or Limit Order that is to be 

Continued 

BB(BO) to calculate the DBBO, the 

Exchange BB(BO) will be bound by the 

maximum allowable Away Market 

Deviation, which the Exchange believes 

will help to prevent ECOs from 

executing on the Exchange at prices that 

are too far away from the current 

market.122 The proposed definition of 

DBBO further provides that the 

Exchange will calculate the DBBO by 

adding or subtracting one ‘‘collar value’’ 

from a quote on one side of the market 

when there is no quote available on the 

other side of the market. The Exchange 

notes that the proposed values used to 

generate a DBBO in the absence of local 

or Away Market interest are consistent 

with the values used in the Trading 

Collars for single-leg orders.123 The 

Exchange states that providing 

alternative means for calculating the 

DBBO will benefit market participants 

by providing increased trading 

opportunities for ECOs.124

The proposed definition of DBBO 

provides that the Exchange will not 

allow a strategy to trade if there is 

neither an Exchange BBO nor an ABBO 

for a component leg of a strategy, which 

could help to protect investors by 

preventing a strategy from trading when 

reliable pricing for a component leg of 

the strategy is unavailable.125 ECOs for 

a strategy will not be permitted to 

execute against each other when the 

bids and offers (when not based solely 

on the Exchange BBO) are locked or 

crossed.126 The Exchange states that 

preventing ECO-to-ECO trading in this 

circumstance would benefit market 

participants by preventing potentially 

erroneous ECO executions.127 If an 

Away Market quote updates to lock or 

cross the current Exchange BB (BO) or 

ABB (ABO) for a component leg of a 

complex strategy, the Exchange will 

allow an ECO for that strategy to execute 

against leg market interest on the 

Exchange.128 The Exchange states that 

allowing an eligible ECO to execute 

against leg market interest in these 

circumstances is consistent with the 

trading of single-leg orders because 

updates to the ABBO that lock or cross 

leg market prices do not prevent resting 

leg market interest from trading at its 

resting price with eligible contra-side 

interest.129 The Exchange further notes 

that if an ECO trades with leg market 

interest in a complex strategy when the 

leg markets are crossed, such an 

execution would not be deemed a tradethrough.130 The Exchange states that 

allowing these executions against leg 

market interest will maximize the 

execution opportunities for ECO while 

respecting the price-time priority of the 

leg markets.131

B. Order Types and Times-in-Force 

The ECO order types and times-inforce in proposed Exchange Rule 6.91P– 

O(b) are similar to the order types and 

times-in-force currently available for 

Electronic Complex Orders on the 

Exchange or on other options markets. 

Current Exchange Rule 6.91–O(b)(1) 

provides that Electronic Complex 

Orders may be entered as Limit Orders 

or as Limit Orders designated as PNP 

Plus. Proposed Exchange Rule 6.91P– 

O(b)(1) states that ECOs may be entered 

as Limit Orders, Limit Orders 

designated as Complex Only Orders, or 

Complex QCCs.132 The Exchange states 

that Complex Only Orders are based on 

the existing functionality for PNP Plus 

Orders, and, like PNP Plus Orders, will 

trade only with another ECO and not 

with leg market interest.133 As 

discussed more fully below, a Complex 

Only Order will be required to execute 

at a price that is better than the 

DBB(DBO) if the DBB(DBO) is 

calculated using the Exchange BBO for 

all of the legs of the complex strategy 

and all of the Exchange BBOs for those 

legs have displayed Customer 

interest.134

Proposed Exchange Rule 6.91P– 

O(b)(2) states that ECOs may be 

designated with a time-in-force of Day, 

IOC, FOK, or GTC, as those terms are 

defined in Exchange Rule 6.62P–O(b), or 

GTX.135 The Exchange’s current rules 

allow Electronic Complex Orders to be 

designated as FOK or AON and to be 

entered with a time-in-force of IOC, Day, 

or GTC.136 The Commission notes that 

other options exchanges offer similar 

order types and times-in-force for 

complex orders.137 Under the proposal, 

an ECO designated as FOK must also be 

designated as a Complex Only Order.138

Similarly, an ECO will not trade with 

orders in the leg markets designated as 

AON, FOK, or with an MTS Modifier.139

The Commission notes that other 

options exchanges have adopted similar 

restrictions with respect to the 

execution of AON orders.140


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executed on the Exchange in its entirety or not at 

all. AON Orders that do not execute on arrival will 

not have standing in any Order Process in the 

Consolidated Book and will not be routed or 

displayed. AON Orders will not be eligible to 

execute against incoming interest and may execute 

solely against interest resting in the Consolidated 

Book when sufficient size is available. The System 

monitors the Consolidated Book for AON Order 

execution opportunities). 

141See Amendment No. 1 at 44. Proposed 

Exchange Rule 6.91P–O(c) states that an ECO that 

is not executed immediately (or cancelled), 

including if it cannot trade under proposed 

Exchange Rules 6.91(a)(5)(B)–(C) and 6.91(c)(1)–(2), 

or does not initiate a COA, as provided in proposed 

Exchange Rule 6.91(f)(1), will be ranked in the 

Consolidated Book according to price-time priority 

based on the total net price and time of entry of the 

order. Current Exchange Rule 6.91–O(a)(1) provides 

that Electronic Complex Orders in the Consolidated 

Book will be ranked according to price/time priority 

based on the total or net debit or credit and the time 

of entry of the order. 

142See Amendment No. 1 at 15. Exchange Rule 

6.91–O(a)(2)(ii) states that ‘‘[i]f, at a price, the leg 

markets can execute against an incoming Electronic 

Complex Order in full (or in a permissible ratio), 

the leg markets will have first priority at that price 

and will trade with the incoming Electronic 

Complex Order pursuant to Rule 6.76A before 

Electronic Complex Orders resting in the 

Consolidated Book can trade at that price.’’ 

143See note 116, supra. 

144See proposed Exchange Rule 6.91P–O(c)(2) 

and Amendment No. 1 at 16. Exchange Rule 

6.91(a)(2) states that no leg of an Electronic 

Complex Order will be executed at a price outside 

the Exchange best bid/offer for that leg. See also 

BOX Rule 7240(b)(3)(iii) (stating that the exchange 

will filter inbound Complex Orders to ensure that 

each leg of a Complex Order will be executed at a 

price that is equal to or better than the BOX BBO 

for each of the component series); and Cboe Rule 

5.33(f)(2)(A)(iii) (stating that the System does not 

execute a complex order at a price 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). 

145See, e.g., Cboe Rule 5.33(f)(2)(A)(i) and MIAX 

Rule 518(c)(1)(iii) (prohibiting any component leg 

of a complex strategy from executing at a price of 

zero); Exchange Rule 6.91O–(a)(2) (stating that 

Electronic Complex Orders submitted to the System 

may be executed without consideration of prices of 

either single-legged orders or the same complex 

order strategy that might be available on other 

exchanges) and BOX Rule 7420(b)(3) (stating that 

Complex Orders will be executed without 

consideration of any prices on the same Strategy 

that might be available on other exchanges); and 

ISE, Options 3, Section 14(c)(1) (stating that bids 

and offers for Complex Options Strategies may be 

expressed in one cent ($0.01) increments, and the 

options leg of Complex Options Strategies may be 

executed in one cent ($0.01) increments, regardless 

of the minimum increments otherwise applicable to 

the individual options legs of the order) and MIAX 

Rule 518(c)(1)(i) (stating that bids and offers on 

complex orders and quotes may be expressed in 

$0.01 increments, and the component(s) of a 

complex order may be executed in $0.01 

increments, regardless of the minimum increments 

otherwise applicable to individual components of 

the complex order). See also Amendment No. 2 

(revising proposed Exchange Rule 6.91P–O(c)(4) to 

state that bids and offers for complex strategies may 

be expressed in one cent ($0.01) increments). 

146See proposed Exchange Rule 6.91P–O(d)(2)(C) 

(stating that the ECO Opening Auction Process will 

be used to reopen trading in ECOs after a trading 

halt). The Exchange notes that this is consistent 

with current Rule 6.64–O(e). See Amendment No. 

1 at 18. 

147See proposed Exchange Rule 6.91P– 

O(d)(3)(A). 

148See Amendment No. 1 at 45. 

149See Amendment No. 1 at 44. 

150See Amendment No. 1 at 19 and Exchange 

Rule 6.64P–O(a)(9). 

151See Amendment No. 1 at 17. Proposed 

Exchange Rule 6.91P–O(d)(1) provides, in part, that 

a complex strategy will not be opened if any leg of 

the complex strategy has neither an Exchange BO 

C. Priority and Pricing of ECOs 

The Exchange states that proposed 

Exchange Rule 6.91P–O(c) sets forth a 

price-time priority model and ECO 

pricing requirements that are 

substantively the same as the price-time 

priority model and pricing requirements 

currently forth in Exchange Rules 6.91– 

O(a)(1) and 6.91–O, Commentaries .01 

and .02(i).141 Proposed Exchange Rule 

6.91P–O(c)(1) states that when trading 

with the leg markets, an ECO will trade 

at the price(s) of the leg markets unless 

the leg markets are priced more than the 

maximum allowable Away Market 

Deviation. The requirement that an ECO 

trading with the leg markets trade at the 

price(s) of the leg markets is consistent 

with current Exchange Rule 6.91– 

O(a)(2)(ii).142 The The Commission 

believes that the proposed limitation on 

the execution prices to within the 

maximum allowable Away Market 

Deviation for the component legs of an 

ECO is designed to protect investors by 

helping to prevent ECOs from executing 

at prices that do not reflect the current 

market. The Commission notes that 

other options exchanges have adopted 

similar protections for complex 

orders.143

The Commission believes that 

proposed Exchange Rules 6.91P–O(c)(2), 

(3), and (4) are consistent with the 

Exchange’s current rules and with the 

rules of other options exchanges. The 

requirement that each component leg of 

an ECO that executes against another 

ECO trade at a price at or within the 

Exchange BBO for that series is 

consistent with current Exchange Rule 

6.91–O(a)(2) and the rules of other 

options exchanges, and ensures that 

ECOs will never trade through leg 

market interest.144 Similarly, the 

provisions in proposed Exchange Rule 

6.91P–O(c)(2) (stating that no leg of an 

ECO may trade at a price of zero), 

proposed Exchange Rule 6.91P–O(c)(3) 

(stating that ECOs may trade without 

consideration of prices of the same 

complex strategy available on other 

exchanges), and proposed Exchange 

Rule 6.91P–O(c)(4) (allowing complex 

strategies to be quoted and traded in 

$0.01 increments regardless of the MPV 

otherwise applicable to the individual 

leg(s) of the ECO) are consistent with 

the existing rules of other options 

exchanges.145

D. Execution of ECOs at the Opening or 

Reopening After a Trading Halt 

The Commission believes that the 

ECO opening auction process in 

proposed Exchange Rule 6.91P–O(d) is 

designed to provide for the orderly 

opening, or re-opening after a trading 

halt, of ECOs on the Exchange.146 As 

discussed below, the proposed ECO 

opening auction process is similar to the 

Exchange’s current opening process for 

Electronic Complex Orders and 

incorporates Pillar auction functionality 

that is currently available for single-leg 

options and on the Exchange’s cash 

equity platform. The Commission notes 

that the proposed ECO Auction Collar, 

which establishes the boundaries for the 

ECO Auction Price, protects the priority 

of resting displayed Customer leg 

market interest by providing that when 

the DBO (DBB) used to determine the 

ECO Auction Collar is calculated using 

the Exchange BBO for all legs of the 

complex strategy and all the Exchange 

BBOs have displayed Customer interest, 

the upper (lower) price of the ECO 

Auction Collar will be one penny 

($0.01) times the smallest leg ratio 

inside the DBO (DBB).147 The Exchange 

states that this requirement will protect 

displayed Customer interest, and protect 

investors in general, while ensuring a 

fair and orderly ECO Opening 

Process.148

The Exchange states that proposed 

Exchange Rule 6.91P–O(d) maintains 

the fundamentals of the opening auction 

process for Electronic Complex Orders 

in current Exchange Rule 6.91– 

O(a)(2)(i)(B).149 The Exchange notes that 

the proposed ECO Auction Price—the 

price at which the maximum volume of 

ECOs can be traded in an ECO Opening 

Auction, subject to the ECO Auction 

Collar—is consistent with the ‘‘single 

market clearing price’’ in current 

Exchange Rule 6.91–O(a)(2)(i)(B) and 

will be determined in a manner that is 

based, in part, on how an Indicative 

Match Price is determined for the 

trading of cash equity securities and 

how the Exchange will determine the 

price for auctions on Pillar for single-leg 

options.150 The Exchange believes that 

proposed Exchange Rule 6.91P–O(d)(1), 

which provides that the Exchange will 

not open a complex strategy under 

certain circumstances when pricing 

information for a component leg of the 

strategy is unavailable or when the 

market for the component leg is locked 

or crossed, could protect market 

participants from potentially erroneous 

executions.151


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nor an ABO; or the complex strategy cannot trade 

per proposed Exchange Rule 6.91P–O(a)(5)(C). See 

Amendment No. 2. 152See Amendment No. 1 at 20. 153See Amendment No. 1 at 20. 154See Amendment No. 1 at 21. 155See Amendment No. 1 at 21–22. 

156See Amendment No. 1 at 23. 

157See Amendment No. 1 at 24 and 46. 

158See BOX Rule 7240(b)(2)(ii). See also BOX 

Rules 7240(b)(3)(i) and (ii). BOX Rule 7240(b)(2)(ii) 

provides that ‘‘A Complex Order for which a leg of 

such Complex Order’s underlying Strategy is not in 

a one-to-one ratio with each other leg of such 

Strategy will execute against the bids and offers on 

the BOX Book for the individual legs of the Strategy 

for all of the quantity available at the best price in 

a permissible ratio until the quantities remaining on 

the BOX Book are insufficient to execute against the 

Complex Order. Following such execution, a 

Complex Order may execute against another 

Complex Order and the component legs of the 

Complex Orders may trade at prices equal to the 

corresponding prices on the BOX Book.’’ BOX Rule 

7240(b)(3)(i) states that ‘‘Complex Orders will be 

automatically executed against bids and offers on 

the Complex Order book in price/time priority; 

provided, however, that Complex Orders will 

execute against Complex Orders only after bids and 

offers at the same net price on the BOX Book for 

the individual legs have been executed.’’ BOX Rule 

7240(b)(3)(ii) states that ‘‘Complex Orders will be 

automatically executed against bids and offers on 

the BOX Book for the individual legs of the 

Complex Order to the extent that the Complex 

Order can be executed in full or in a permissible 

ratio by such bids and offers.’’ 

159See proposed Exchange Rule 6.91P–O(e)(1)(C). 

160See proposed Exchange Rule 6.91P–O(e)(1)(C) 

(stating that a Complex Only Order must trade at 

a price at or within the DBBO, provided that if the 

DBB (DBO) is calculated using the Exchange BBOs 

for all legs of the complex strategy and all such 

Exchange BBOs have displayed Customer interest, 

the Complex Only Order will not trade below 

(above) one penny ($0.01) times the smallest leg 

ratio inside the DBB (DBO), regardless of whether 

there is sufficient quantity on such leg markets to 

satisfy the ECO). 

161See Amendment No. 1 at 27. If a Complex 

Only Order is unable to trade within these 

parameters, it will remain on the Consolidated Book 

until it can trade with another ECO as provided in 

proposed Exchange Rule 6.91P–O(e)(1)(C). See id. 

162See Exchange Rule 6.91–O, Interpretation and 

Policy .02(i) (stating that, when executing an ECO, 

the price of at least one leg of the order must trade 

at a price that is better than the corresponding price 

of all the customer bids or offers in the 

Consolidated Book for the same series, by at least 

one standard trading increment as defined in 

Exchange Rule 6.72–O) and Amendment No. 1 at 

n. 50. See also ISE Options 3, Section 14(c)(2)(i); 

MIAX Rule 518(c)(3)(i); NYSE American Rule 

980NY, Commentary .02(i). 

163See Amendment No. 1 at 28–9. 

164See, e.g., Cboe Rule 5.33(g)(2) (stating that 

complex orders for any capacity other than 

customer with two option legs that are both buy or 

both sell and that are both calls or both puts may 

not leg into the simple book and may execute 

against other complex orders in the COB); Cboe 

Rule 5.33(g)(3) (stating that all complex orders with 

three or four option legs that are all buy or all sell 

(regardless of whether the option legs are calls or 

puts) may not leg into the Simple Book and may 

execute against other complex orders in the COB); 

ISE Options 3, Sections 14(d)(3)(A) (stating that 

Complex Orders with two option legs where both 

legs are buying or both legs are selling and both legs 

are calls or both legs are puts may only trade against 

other Complex Orders in the Complex Order Book); 

ISE Options 3, Section 14(d)(3)(B) (stating that 

complex orders with three or four option legs where 

all legs are buying or all legs are selling may only 

trade against other Complex Orders in the Complex 

Order Book; and MIAX Rule 518(c)(iii) (stating that 

complex orders with two option legs where both 

legs are buying or both legs are selling and both legs 

are calls or both legs are puts may only trade against 

other complex orders on the Strategy Book and will 

not be permitted to leg into the Simple Order Book. 

Complex orders with three option legs where all 

legs are buying or all legs are selling may only trade 

Continued 

The Exchange states that proposed 

Exchange Rule 6.91P–O(d)(3)(B)(i) 

regarding the ranking and pricing of 

orders in the ECO opening auction is 

based in part on current Exchange Rule 

6.91–O(a)(2)(i)(B) and on the Exchange’s 

auction processes for cash equity 

trading and single-leg options 

trading.152 Similarly, proposed 

Exchange Rule 6.91P–O(d)(3)(B)(ii), 

which provides that locking and 

crossing ECOs in a complex strategy 

will trade at the ECO Auction Price, and 

that the Exchange will open a complex 

strategy without a trade if there are no 

locking or crossing ECOs in the complex 

strategy at or within the ECO Auction 

Collars, is based in part on Exchange 

Rule 6.64P–O(d)(2)(B) for single-leg 

options.153 Proposed Exchange Rule 

6.91P–O(d)(4) regarding the processing 

of new ECOs and ECO Order 

Instructions received when the 

Exchange is conducting the ECO 

Opening Auction Process for a strategy 

is based on Exchange Rules 7.35–E(g)(1) 

and (2) and 6.64P–O(e)(1) and (2).154

Proposed Rule 6.91P–O(d)(5)(A) and (B), 

which describe the processing of ECOs 

during the transition to continuous 

trading after the ECO Opening Auction 

Process, are based, respectively, on 

current Exchange Rules 6.91– 

O(a)(2)(i)(B) and (C) and Exchange Rule 

6.64P–O(a)(6) for single-leg options.155

E. Execution of ECOs During Core 

Trading Hours 

The Commission believes that 

proposed Exchange Rule 6.91P– 

O(e)(1)(A) is designed to provide for the 

execution of complex orders while 

protecting the priority of established leg 

market interest. Under proposed 

Exchange Rule 6.91P–O(e)(1)(A), after a 

complex strategy is open for trading, an 

ECO will trade with the best-priced 

contra-side interest and if, at a price, the 

leg markets can trade with an eligible 

ECO, in full or in a permissible ratio, the 

leg markets will trade first at that price, 

pursuant to Exchange Rule 6.76AP–O, 

until the quantities on the leg markets 

are insufficient to trade with the ECO, 

at which time the ECO will trade with 

contra-side ECOs resting in the 

Consolidated Book at that price. The 

Exchange notes that under the proposed 

rule an ECO would never trade ahead of 

resting leg market interest (Customer or 

otherwise) if the leg market interest is 

sufficient to satisfy the ECO in full or in 

a permissible ratio.156 The Exchange 

further states that the proposed rule 

makes clear that the priority of the leg 

markets remains primary, but also 

ensures that ECO trading opportunities 

are maximized after eligible interest in 

the leg markets at a price is 

exhausted.157 The Commission notes 

that the execution priority in proposed 

Exchange Rule 6.91P–O(e)(1)(A) is 

consistent with the rules of another 

options exchange.158 The Commission 

further notes, however, that unlike 

ECOs that are eligible to execute against 

leg market interest, Complex Only 

Orders will not be able to trade at the 

DBB(DBO) for a strategy when the 

DBB(DBO) is calculated using Exchange 

BBOs and all of those Exchange BBOs 

have displayed Customer interest.159

The Commission believes that 

proposed Exchange Rule 6.91O(e)(1)(C) 

is designed to provide for the execution 

of Complex Only Orders while 

protecting the priority of resting leg 

market interest, including Customer 

interest. Under the proposed rule, a 

Complex Only Order will not be able to 

trade at a price that is worse than the 

Exchange BB(BO) when the DBBO is 

calculated using the Exchange’s BB(BO) 

for the component legs of the order. In 

addition, if the DBB(DBO) is calculated 

using the Exchange BBOs for all legs of 

the strategy and all of the Exchange 

BBOs have displayed Customer interest, 

the Complex Only Order will be 

required to trade at a price that is better 

than the DBB(DBO).160 The Exchange 

states that this requirement is designed 

to ensure that a Complex Only Order 

would price improve at least some 

portion of the interest making up the 

DBBO if there is displayed Customer 

interest on all legs of the strategy on the 

Exchange.161 The Commission notes 

that this requirement is consistent with 

the Exchange’s current rules and with 

the rules of other options exchanges.162

Proposed Exchange Rule 6.91P– 

O(e)(1)(D) provides that an ECO will be 

processed as a Complex Only Order if 

the ECO has a complex strategy with (i) 

more than five legs; (ii) two legs and 

both legs are buying or both legs are 

selling, and both legs are calls or both 

legs are puts; or (iii) three or more legs 

and all legs are buying or all legs are 

selling. The Exchange states that 

requiring these ECOs to be processed as 

Complex Only Orders is designed to 

help Market Makers manage risk.163 The 

Commission notes that other options 

exchanges have similar rules.164


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against other complex orders on the Strategy Book, 

regardless of whether the option leg is a call or a 

put). 

165A COA Order is an ECO that is designated by 

OTP Holder as eligible to initiate a COA. See 

proposed Exchange Rule 6.91P–O(a)(3)(A). 

166See Amendment No. 1 at 48. As discussed 

above, the proposal also reduces the minimum 

duration of the Response Time Interval for 

submitting COA Responses from not less than 500 

milliseconds to not less than 100 milliseconds. 

167See Amendment No. 1 at 48. 

168See Amendment No. 1 at 30. Proposed 

Exchange Rule 6.91P–O(f)(1) provides that, to 

initiate a COA, the limit price of the COA Order to 

buy (sell) must be higher (lower) than the bestpriced, same-side ECOs resting on the Consolidated 

Book and equal to or higher (lower) than the 

midpoint of the DBBO. A COA Order that does not 

satisfy these pricing parameters will not initiate a 

COA and, unless it is cancelled, will be ranked in 

the Consolidated Book and processed as an ECO 

pursuant to proposed Exchange Rule 6.91P–O(e). 

169See proposed Exchange Rule 6.91P–O(f)(2)(A). 

170See proposed Exchange Rule 6.91P–O(f)(4)(A). 

171See Amendment No. 1 at 31. 

172See Amendment No. 1 at 31 and proposed 

Exchange Rule 6.91P–O(a)(5) (stating that the DBBO 

will be updated as the Exchange BBO or ABBO, as 

applicable, is updated). 

173See Amendment No. 1 at 32. 

174See Amendment No. 1 at 33. 

175See Amendment No. 1 at 34. 

176See, e.g., Cboe Rule 5.33, Interpretation and 

Policy .03 (stating that a pattern or practice of 

submitting orders that cause a COA to conclude 

early will be deemed conduct inconsistent with just 

and equitable principles of trade and a violation of 

Rule 8.1); and ISE Options 3, Section 13, 

Supplementary Material .01 (stating, in part, that it 

shall be considered conduct inconsistent with just 

and equitable principles of trade for any Member 

to enter orders, quotes, Agency Orders, CounterSide Orders or Improvement Orders for the purpose 

of disrupting or manipulating the Price 

Improvement Mechanism). 

Proposed Exchange Rule 6.91P– 

O(e)(2) provides that the Exchange will 

evaluate trading opportunities for a 

resting ECO when the leg markets 

comprising a complex strategy update, 

provided that during periods of high 

message volumes, such evaluation may 

be done less frequently. The 

Commission believes that these 

evaluations could result in additional 

executions of resting ECOs. 

F. Execution of ECOs During a COA 

The Commission believes the COA in 

proposed Exchange Rule 6.91P–O(f) is 

designed to provide COA Orders 165

submitted to the auction with execution 

and price improvement opportunities 

while preserving the priority of resting 

interest on the Exchange’s limit order 

book. As described more fully above, 

the COA in proposed Exchange Rule 

6.91P–O(f) would modify the current 

COA process set forth in Exchange Rule 

6.91–O(c) by, among other things, 

relying on the DBBO for pricing, 

streamlining the rule text specifying the 

circumstances that would cause a COA 

to end early, and providing that a COA 

Order will initiate a COA only upon 

arrival.166 The Exchange states that 

allowing a COA order to initiate a COA 

only upon arrival could simplify the 

COA process, provide OTP Holders with 

greater certainty regarding when a COA 

Order would initiate a COA, and 

encourage market participants to submit 

aggressively-priced orders to qualify for 

the initiation of a COA.167 In addition, 

the Exchange states that the proposed 

pricing requirements that an order 

would be required to satisfy to initiate 

a COA are designed to encourage 

aggressively-priced COA Orders, which 

could help to attract a meaningful 

number of RFR Responses to potentially 

provide price improvement to the COA 

Order.168 The Commission believes that 

these requirements could result in more 

competitive COA auctions, which could 

make it more likely that COA Orders 

will receive price improvement. 

The Commission believes that 

proposed Exchange Rule 6.91P– 

O(f)(2)(A) will help to preserve the 

priority of resting ECO and leg market 

interest, including displayed Customer 

leg market interest, by providing that 

prior to initiating a COA, a COA Order 

to buy (sell) will trade with any ECO to 

sell (buy) resting in the Consolidated 

Book that is priced equal to or lower 

(higher) than the DBO (DBB). If the DBO 

(DBB) is calculated using the Exchange 

BBO for all legs of the complex strategy 

and all such Exchange BBOs have 

displayed Customer interest, the COA 

Order will trade up (down) to one 

penny ($0.01) times the smallest leg 

ratio inside the DBO (DBB) (i.e., priced 

better than the leg markets) and any 

unexecuted portion of the COA Order 

will initiate a COA.169 Similarly, the 

Commission believes that proposed 

Exchange Rule 6.91P–O(f)(2) will help 

to maintain the priority of leg market 

interest (when the Exchange uses the 

Exchange BB(BO) to calculate the 

DBB(DBO)) by requiring the COA Order 

to initiate a COA at a price equal to one 

penny ($0.01) times the smallest leg 

ratio inside the DBO (DBB), rather than 

at the COA Order’s limit price, when the 

COA Order’s limit price locks or crosses 

the DBO (DBB). Likewise, the 

Commission believes that proposed 

Exchange Rule 6.91P–O(f)(4)(A) will 

help to protect the priority of resting leg 

market interest at the conclusion of a 

COA by providing that RFR Responses 

to sell (buy) that are priced lower 

(higher) than a COA Order to buy (sell) 

will trade in price-time priority up 

(down) to the DBBO. If all legs of the 

DBB (DBO) are calculated using 

Exchange BBOs and all such Exchange 

BBOs have displayed Customer interest, 

RFR Responses to sell (buy) will not 

trade below (above) one penny ($0.01) 

times the smallest leg ratio inside the 

DBB (DBO) on the Exchange.170

The Exchange states that proposed 

Rule 6.91P–O(f)(3), which would 

identify the conditions that would cause 

a COA to end prior to the expiration of 

the Response Time Interval, is 

consistent current Exchange Rule 6.91– 

O(c)(6).171 The Exchange states that 

rather than using a snapshot of the 

Complex BBO taken at the start of a 

COA as the basis for determining 

whether to end a COA early, the 

Exchange will instead rely on the 

DBBO, which is updated as market 

conditions change, to determine 

whether to end the COA early.172 The 

Exchange notes that because the DBBO 

could be calculated using the ABBO for 

a leg(s) of a complex strategy, it would 

be new under Pillar to have a COA end 

early based on interest on the Exchange 

that locks or crosses interest on an 

Away Market, rather than interest on the 

Exchange.173 The Commission believes 

that ending a COA early under these 

circumstances would benefit market 

participants by preventing COA Orders 

from executing at prices too far away 

from the prevailing market for the 

complex strategy. 

Unlike current Exchange Rule 6.91O– 

(c)(7)(A), which provides for the 

allocation of COA-eligible orders against 

the best-priced interest received in the 

COA on a size pro rata basis, proposed 

Exchange Rule 6.91P–O(f)(4)(A) would 

provide for the allocation of RFR 

Responses against the COA Order based 

on price-time priority. The Exchange 

states that this allocation would align 

the allocation of ECOs in a COA with 

standard processing of ECOs on the 

Exchange, which would add 

consistency to the Exchange’s 

processing of ECOs.174

Proposed Exchange Rule 6.91P– 

O(f)(5) would provide that a pattern or 

practice of submitting unrelated quotes 

or orders that cause a COA to conclude 

early would be deemed conduct 

inconsistent with just and equitable 

principles of trade. The Exchange states 

that the proposed rule is based on 

current Exchange Rule 6.91–O, 

Commentary .04, except that it adds a 

reference to quotes, in addition to 

orders, thereby broadening the scope of 

the prohibited conduct, to the benefit of 

market participants.175 The Commission 

notes that other options exchanges have 

similar rules.176

The proposal also adds Commentary 

.03 to Exchange Rule 6.47A–O, which is 

designed to prevent OTP Holders or 

OTP Firms from providing material, 


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177See Amendment No. 1 at 41. 178See, e.g., EDGX Rule 22.12, Interpretation and 

Policy .04 (stating that, prior to or after submitting 

an order to EDGX Options, an Options Member 

cannot inform another Options Member or any 

other third party of any of the terms of the order); 

and NYSE American Rule 935NY, Commentary .04 

(same). 179See Amendment No. 1 at 49. 180See, e.g., Cboe Rule 5.33(a) (stating, in the 

definition of Complex Strategy, that Cboe may limit 

the number of new complex strategies that may be 

in [Cboe’s] System or entered for any EFID (which 

EFID limit would be the same for all Users) at a 

particular time; and MIAX Rule 518(a)(6) (stating 

that MIAX may limit the number of new complex 

strategies that may be in [MIAX’s] System at a 

particular time and will communicate this 

limitation to Members via Regulatory Circular). 

181See Amendment No. 1 at 35 and proposed 

Exchange Rule 6.62P–O(a)(3). 

182See Amendment No. 1 at 38. 

183See id. 

184See, e.g., Cboe Rule 5.34(b)(3); ISE Options 3, 

Section 16(b); and MIAX Rule 532(b)(2), (3), and (4). 

non-public information to third 

parties.177 The Commission notes that 

other options exchanges have similar 

rules.178

G. ECO Risk Checks 

The Exchange states that the complex 

strategy limit in proposed Exchange 

Rule 6.91P–O(g)(1), which limits the 

maximum number of new complex 

strategies that may be requested to be 

created per MPID, will operate as a 

system protection tool that enables the 

Exchange to prevent any single MPID 

from creating more than a limited 

number of complex strategies during a 

trading day, thereby helping to maintain 

a fair and orderly market.179 The 

Commission notes that other options 

exchanges have similar strategy 

limits.180

The Commission believes that the 

ECO price and strategy protections in 

proposed Exchange Rule 6.91P–O(g)(2) 

and (3) are designed to protect investors 

by preventing the entry and execution of 

ECOs at potentially erroneous prices. 

The Exchange states that the ECO Price 

Protection in proposed Exchange Rule 

6.91P–O(g)(2) will work in a manner 

that is similar to the existing electronic 

complex order Price Protection Filter in 

current Exchange Rule 6.91–O, 

Commentary .05, although the proposed 

ECO Price Protection will use new 

thresholds and reference prices that are 

designed to simplify the price check and 

to align it with the Limit Order Price 

Protection for single-leg interest.181 The 

Exchange states that the Complex 

Strategy Protections in proposed 

Exchange Rule 6.91P–O(g)(3) will 

function in a manner similar to the 

Debit/Credit Reasonability Checks in 

current Exchange Rule 6.91–O, 

Commentary .06.182 The Exchange 

further states that, consistent with the 

current functionality, the proposed 

Complex Strategy Protections are 

designed to prevent the execution of 

ECOs at prices that are inconsistent with 

or not aligned with their strategies.183

The Commission notes that other 

options exchanges have adopted price 

protections for complex strategies.184

IV. Solicitation of Comments on 

Amendment Nos. 1 and 2 

Interested persons are invited to 

submit written data, views, and 

arguments concerning whether 

Amendment Nos. 1 and 2 are consistent 

with the Act. Comments may be 

submitted by any of the following 

methods: 

Electronic Comments 

• Use the Commission’s internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

NYSEArca–2021–68 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–2021–68. This 

file number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

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

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

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

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549 on official 

business days between the hours of 

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

filing also will be available for 

inspection and copying at the principal 

office of the Exchange. All comments 

received will be posted without change; 

the Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR– 

NYSEArca–2021–68, and should be 

submitted on or before May 4, 2022. 

V. Accelerated Approval of Proposed 

Rule Change, as Modified by 

Amendment Nos. 1 and 2 

The Commission finds good cause to 

approve the proposed rule change, as 

modified by Amendment Nos. 1 and 2, 

prior to the thirtieth day after the date 

of publication of the notice of 

Amendment No. 1 in the Federal 

Register. Amendment No. 1 revises the 

Exchange’s original proposal to make 

the changes discussed in detail above. 

Notably, in Amendment No. 1 the 

Exchange revises the proposal to delete 

from the definition of ECO references to 

Stock/Option and Stock/Complex 

Orders, which trade only on the 

Exchange’s floor. In addition, 

Amendment No. 1 revises proposed 

Exchange Rule 6.91P–O(c) to indicate 

that each component leg of an ECO that 

executes against another ECO must 

trade at a price that is at or within the 

Exchange BBO for the series, which 

makes clear that an ECO may not trade 

through resting leg market interest on 

the Exchange and aligns the Exchange’s 

rule with the rules of other options 

exchanges. Similarly, Amendment No. 1 

revises the execution priority provisions 

in proposed Exchange Rule 6.91P–O(e) 

to more closely align them with the 

rules of another options exchange and to 

describe the operation of, and price 

improvement requirements associated 

with, Complex Only Orders, which do 

not execute against leg market interest 

and must trade at a price that is better 

than resting displayed Customer leg 

market interest under certain 

circumstances. Amendment No. 1 

revises proposed Exchange Rule 6.91P– 

O(f) to describe the price improvement 

requirements that apply to executions 

that occur prior to the initiation of a 

COA and in the allocation of orders at 

the conclusion of a COA when the 

DBBO includes displayed Customer 

interest. In addition, Amendment No. 1 

modifies proposed Exchange Rule 

6.91P–O(f)(5) to indicate that the rule’s 

prohibition on submitting unrelated 

interest that causes a COA to end early 

applies to quotes as well as orders, 

which should provide additional 

protection to investors. Amendment No. 

1 also provides additional analysis of 

several aspects of the proposal, thus 

facilitating the Commission’s ability to 

make the findings set forth above to 

approve the proposal. The Commission 

believes that Amendment No. 2 does not 

raise any novel regulatory issues. As 

described above, Amendment No. 2 

eliminates an incorrect cross-reference 


jspears on DSK121TN23PROD with NOTICES1
21984 Federal Register / Vol. 87, No. 71 / Wednesday, April 13, 2022 / Notices 

185 15 U.S.C. 78s(b)(2). 

186 17 CFR 200.30–3(a)(12). 

1 17 CFR 240.15c3–1. An OTC derivatives dealer 

that is also registered as a security-based swap 

dealer is subject to the net capital provisions of 

Exchange Act Rule 18a–1 (17 CFR 240.18a–1). 

2An OTC derivatives dealer that is also registered 

as a security-based swap dealer may apply to the 

Commission for authorization to compute 

deductions for market and credit risk using models 

under paragraph (d) of Rule 18a–1. 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

in the rules describing the ECO opening 

process, which should help to assure 

that the proposed rules accurately 

describe the Exchange’s ECO opening 

process. In addition, Amendment No. 2 

revises the proposal to state that bids 

and offers for complex strategies may be 

expressed in $0.01 increments 

regardless of the MPV otherwise 

applicable to the individual leg(s) of the 

ECO, which is consistent with the rules 

of other options exchanges. 

Accordingly, the Commission finds 

good cause for approving the proposed 

rule change, as modified by Amendment 

No. 1, on an accelerated basis. 

VI. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,185 that the 

proposed rule change (SR–NYSEArca– 

2021–68), as modified by Amendment 

Nos. 1 and 2, is approved on an 

accelerated basis. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.186

J. Matthew De LesDernier, 

Assistant Secretary. 

[FR Doc. 2022–07843 Filed 4–12–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[SEC File No. 270–440, OMB Control No. 

3235–0496] 

Submission for OMB Review; 

Comment Request 

Upon Written Request, Copies Available 

From: Securities and Exchange 

Commission, Office of FOIA Services, 

100 F Street NE, Washington, DC 

20549–2736 

Extension: 

Appendix F to Rule 15c3–1 

Notice is hereby given that pursuant 

to the Paperwork Reduction Act of 1995 

(44 U.S.C. 3501 et seq.) (‘‘PRA’’), the 

Securities and Exchange Commission 

(‘‘Commission’’) is soliciting comments 

on the existing collection of information 

provided for in Appendix F to Rule 

15c3–1 (‘‘Appendix F’’ or ‘‘Rule 15c3– 

1f’’) (17 CFR 240.15c3–1f) under the 

Securities Exchange Act of 1934 (15 

U.S.C. 78a et seq.) (‘‘Exchange Act’’). 

Appendix F applies to certain 

members of a class of broker-dealers 

known as over-the-counter (‘‘OTC’’) 

derivatives dealers. Exchange Act Rule 

15c3–1 is the Commission’s net capital 

rule for broker-dealers.1 Under 

Appendix F, an OTC derivatives dealer 

that is not a security-based swap dealer 

may apply to the Commission for 

authorization to compute net capital 

charges for market and credit risk in 

accordance with Appendix F in lieu of 

computing securities haircuts under 

paragraph (c)(2)(vi) of Exchange Act 

Rule 15c3–1.2

At present, three OTC derivatives 

dealers have been approved to use 

Appendix F. No additional OTC 

derivatives dealers have applied to use 

Appendix F, and the staff does not 

expect that any additional OTC 

derivatives dealers will apply to use 

Appendix F during the next three years. 

The Commission estimates that the 

three approved OTC derivatives dealers 

will spend an average of approximately 

1,000 hours each per year reporting 

information concerning their value-atrisk (‘‘VAR’’) models and internal risk 

management systems, for a total annual 

burden of approximately 3,000 hours. 

An agency may not conduct or 

sponsor, and a person is not required to 

respond to, a collection of information 

under the PRA unless it displays a 

currently valid OMB control number. 

The public may view background 

documentation for this information 

collection at the following website: 

www.reginfo.gov. Find this particular 

information collection by selecting 

‘‘Currently under 30-day Review—Open 

for Public Comments’’ or by using the 

search function. Written comments and 

recommendations for the proposed 

information collection should be sent 

within 30 days May 13, 2022 of 

publication of this notice to (i) 

www.reginfo.gov/public/do/PRAMain 

and (ii) David Bottom, Director/Chief 

Information Officer, Securities and 

Exchange Commission, c/o John 

Pezzullo, 100 F Street NE, Washington, 

DC 20549, or by sending an email to: 

PRA_Mailbox@sec.gov. 

Dated: April 7, 2022. 

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–07834 Filed 4–12–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94642; File No. SR–NYSE– 

2022–19] 

Self-Regulatory Organizations; New 

York Stock Exchange LLC; Notice of 

Filing and Immediate Effectiveness of 

Proposed Rule Change To Extend the 

Current Pilot Program Related to Rule 

7.10 

April 7, 2022. 

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 April 5, 

2022, New York Stock Exchange LLC 

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

the Securities and Exchange 

Commission (the ‘‘Commission’’) the 

proposed rule change as described in 

Items I and II below, which Items have 

been prepared by the 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 extend the 

current pilot program related to Rule 

7.10 (Clearly Erroneous Executions) to 

the close of business on July 20, 2022. 

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. 


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