29856 Federal Register / Vol. 86, No. 105 / Thursday, June 3, 2021 / Notices 

14 15 U.S.C. 78s(b)(3)(A). 

15 17 CFR 240.19b–4(f). 

16 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3Exchange-Traded Fund Share shall include 

shares or other securities that are traded on a 

national securities exchange and are defined as an 

‘‘NMS stock’’ under Rule 600 of Regulation NMS, 

and that (i) represent interests in registered 

investment companies (or series thereof) organized 

as open-end management investment companies, 

unit investment trusts or similar entities, that hold 

portfolios of securities and/or financial instruments 

including, but not limited to, stock index futures 

contracts, options on futures, options on securities 

and indexes, equity caps, collars and floors, swap 

agreements, forward contracts, repurchase 

agreements and reverse repurchase agreements 

comprising or otherwise based on or representing 

investments in broad-based indexes or portfolios of 

securities and/or Financial Instruments and Money 

Market Instruments (the ‘‘Money Market 

Instruments’’) (comprising or otherwise based on or 

representing investments in broad-based indexes or 

portfolios of securities and/or Financial Instruments 

and Money Market Instruments (or that hold 

securities in one or more other registered 

investment companies that themselves hold such 

portfolios of securities and/or Financial Instruments 

and Money Market Instruments); or (ii) represent 

interests in a trust that holds a specified non-U.S. 

currency deposited with the trust or similar entity 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective pursuant to Section 19(b)(3)(A) 

of the Act 14 and paragraph (f) of Rule 

19b–4 15 thereunder. At any time within 

60 days of the filing of the proposed rule 

change, the Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission will institute proceedings 

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– 

C2–2021–009 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–C2–2021–009. This file 

number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

internet website (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–C2–2021–009 and should 

be submitted on or before June 24, 2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.16

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–11609 Filed 6–2–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92072; File No. SR–BOX– 

2021–12] 

Self-Regulatory Organizations; BOX 

Exchange LLC; Notice of Filing of 

Proposed Rule Change To Amend BOX 

Rule 5050 (Series of Options Contracts 

Open for Trading) To Limit Short Term 

Options Series Intervals 

May 28, 2021. 

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

Securities Exchange Act of 1934 

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

notice is hereby given that on May 18, 

2021, BOX Exchange LLC (the 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the self-regulatory organization. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend 

BOX Rule 5050 (Series of Options 

Contracts Open for Trading). This 

proposal seeks to limit Short Term 

Options Series intervals between strikes 

which are available for quoting and 

trading on BOX. The text of the 

proposed rule change is available from 

the principal office of the Exchange, at 

the Commission’s Public Reference 

Room and also on the Exchange’s 

internet website at http://

boxoptions.com. 

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 these statements may be examined at 

the places specified in Item IV below. 

The self-regulatory organization has 

prepared summaries, set forth in 

Sections A, B, and C below, of the most 

significant aspects of such statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend 

Rule 5050, ‘‘Series of Options Contracts 

Open for Trading.’’ Specifically, this 

proposal seeks to limit the intervals 

between strikes for multiply listed 

equity options classes within the Short 

Term Options Series program that have 

an expiration date more than twentyone days from the listing. 

Background 

Today, BOX’s listing rules within 

Rule 5050 permits the Exchange, after a 

particular class of options (call option 

contracts or put option contracts 

relating to a specific underlying stock, 

Exchange-Traded Fund Share,3 or 


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when aggregated in some specified minimum 

number may be surrendered to the trust by the 

beneficial owner to receive the specified non-U.S. 

currency or currencies and pays the beneficial 

owner interest and other distributions on the 

deposited non-U.S. currency or currencies, if any, 

declared and paid by the trust (‘‘Currency Trust 

Shares’’); or (iii) represent commodity pool interests 

principally engaged, directly or indirectly, in 

holding and/or managing portfolios or baskets of 

securities, commodity futures contracts, options on 

commodity futures contracts, swaps, forward 

contracts and/or options on physical commodities 

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

ETFs’’) or (iv) represent interests in the SPDR® Gold 

Trust, the iShares COMEX Gold Trust, the iShares 

Silver Trust, the ETFS Gold Trust, the ETFS Silver 

trust, the ETFS Palladium Trust, the ETFS Platinum 

Trust or the Sprott Physical Gold Trust; provided 

the conditions within BOX Rule 5050(h)(1) and (2) 

are met. See BOX Rule 5020(h). 

4Securities deemed appropriate for options 

trading shall include shares or other securities 

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

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

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

Securities’’ or ‘‘ETNs’’) that are principally traded 

on a national securities exchange and an ‘‘NMS 

Stock’’ (as defined in Rule 600 of Regulation NMS 

under the Securities Exchange Act of 1934), and 

represent ownership of a security that provides for 

the payment at maturity, as described within BOX 

Rule 5020(k)(1)(A)–(F). See BOX Rule 5020(k). 

5The weekly listing program is known as the 

Short Term Options Series Program and is 

described within IM–5050–6. 

6The Exchange will open a minimum of one 

expiration month and series for each class of 

options open for trading on BOX. See BOX Rule 

5050(b). The monthly expirations are subject to 

certain listing criteria for underlying securities 

described within Rule 5020. Monthly listings expire 

the third Friday of the month. The term ‘‘expiration 

date’’ when used in respect of a series of binary 

options other than event options means the last day 

on which the options may be automatically 

exercised. In the case of a series of event options 

(other than credit default options or credit default 

basket options) that are be automatically exercised 

prior to their expiration date upon receipt by the 

Corporation of an event confirmation, the 

expiration date is the date specified by the listing 

Exchange; provided, however, that when an event 

confirmation is deemed to have been received by 

the Corporation with respect to such series of 

options, the expiration date will be accelerated to 

the date on which such event confirmation is 

deemed to have been received by the Corporation 

or such later date as the Corporation may specify. 

In the case of a series of credit default options or 

credit default basket options, the expiration date is 

the fourth business day after the last trading day for 

such series as such trading day is specified by the 

Exchange on which the series of options is listed; 

provided, however, that when an event 

confirmation is deemed to have been received by 

the Corporation with respect to a series of credit 

default options or single payout credit default 

basket options prior to the last trading day for such 

series, the expiration date for options of that series 

will be accelerated to the second business day 

following the day on which such event 

confirmation is deemed to have been received by 

the Corporation. ‘‘Expiration date’’ means, in 

respect of a series of range options expiring prior 

to February 1, 2015, the Saturday immediately 

following the third Friday of the expiration month 

of such series, and, in respect of a series of range 

options expiring on or after February 1, 2015 means 

the third Friday of the expiration month of such 

series, or if such Friday is a day on which the 

Exchange on which such series is listed is not open 

for business, the preceding day on which such 

Exchange is open for business. See The Options 

Clearing Corporation (‘‘OCC’’) By-Laws at Section 1. 

7The quarterly listing program is known as the 

Quarterly Options Series Program and is described 

within IM–6090–1. 

8Except as otherwise provided in IM–5050–6, the 

interval between strike prices of series of options 

on individual stocks will be: (1) $2.50 or greater 

where the strike price is $25.00 or less; (2) $5.00 

or greater where the strike price is greater than 

$25.00; and (3) $10.00 or greater where the strike 

price is greater than $200.00. The interval between 

strike prices of series of options on ExchangeTraded Fund Shares approved for options trading 

pursuant to BOX Rule 5020(h) shall be fixed at a 

price per share which is reasonably close to the 

price per share at which the underlying security is 

traded in the primary market at or about the same 

time such series of options is first open for trading 

on the Exchange, or at such intervals as may have 

been established on another options exchange prior 

to the initiation of trading on the Exchange. 

Pursuant to IM–5050–1(b), notwithstanding any 

other provision regarding the interval of strike 

prices of series of options on Exchange-Traded 

Fund Shares in this rule, the interval of strike prices 

on SPDR® S&P 500® ETF (‘‘SPY’’), iShares Core 

S&P 500 ETF (‘‘IVV’’), PowerShares QQQ Trust 

(‘‘QQQ’’), iShares Russell 2000 Index Fund 

(‘‘IWM’’), and the SPDR® Dow Jones® Industrial 

Average ETF (‘‘DIA’’) options will be $1 or greater. 

9The $1 Strike Interval Program is described 

within IM–5050–2. 

10The $0.50 Strike Interval Program is described 

within IM–5050–5. 

11The $2.50 Strike Interval Program is described 

within IM–5050–3. 

12The $5.00 Strike Interval Program is described 

within Rule 5050(d)(5). 

13The Exchange may have no more than a total 

of five Short Term Option Expiration Dates, not 

including any Monday or Wednesday SPY 

Expirations as provided below. If the Exchange is 

not open for business on the respective Thursday 

or Friday, the Short Term Option Opening Date will 

be the first business day immediately prior to that 

respective Thursday or Friday. Similarly, if the 

Exchange is not open for business on a Friday, the 

Short Term Option Expiration Date will be the first 

business day immediately prior to that Friday. With 

respect to Wednesday SPY Expirations, the 

Exchange may open for trading on any Tuesday or 

Wednesday that is a business day series of options 

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

any Wednesday of the month that is a business day 

and is not a Wednesday in which Quarterly Options 

Series expire (‘‘Wednesday SPY Expirations’’). With 

respect to Monday SPY Expirations, the Exchange 

may open for trading on any Friday or Monday that 

is a business day series of options on the SPY to 

expire on any Monday of the month that is a 

business day and is not a Monday in which 

Quarterly Options. Series expire (‘‘Monday SPY 

Expirations’’), provided that Monday SPY 

Expirations that are listed on a Friday must be 

listed at least one business week and one business 

day prior to the expiration. The Exchange may list 

up to five consecutive Wednesday SPY Expirations 

and five consecutive Monday SPY Expirations at 

one time; the Exchange may have no more than a 

total of five Wednesday SPY Expirations and a total 

of five Monday SPY Expirations. Monday and 

Wednesday SPY Expirations will be subject to the 

provisions of this Rule. See IM–5050–6(c) and (d). 

14See IM–5050–6(b)(3). 

15See IM–5050–6(b)(4). 

ETN 4) has been approved for listing and 

trading on the Exchange, to open for 

trading series of options therein. The 

Exchange may list series of options for 

trading on a weekly,5 monthly 6 or 

quarterly 7 basis. BOX Rule 5050(d) sets 

forth the intervals between strike prices 

of series of options on individual 

stocks.8 In addition to those intervals, 

the Exchange may list series of options 

pursuant to the $1 Strike Price Interval 

Program,9 the $0.50 Strike Program,10

the $2.50 Strike Price Program,11 and 

the $5 Strike Program.12

The Exchange’s proposal seeks to 

amend the listing of weekly series of 

options as proposed within new 

Supplementary Material .03(f) of 

Options 4, Section 5, by limiting the 

intervals between strikes in multiply 

listed equity options, excluding 

Exchange-Traded Fund Shares and 

ETNs, that have an expiration date more 

than twenty-one days from the listing 

date. This proposal does not amend 

monthly or quarterly listing rules nor 

does it amend the $1 Strike Price 

Interval Program, the $0.50 Strike 

Program, the $2.50 Strike Price Program, 

or the $5 Strike Program. 

Short Term Options Series Program 

Today, IM–5050–6 permits BOX to 

open for trading on any Thursday or 

Friday that is a business day (‘‘Short 

Term Option Opening Date’’) series of 

options on an option class that expires 

at the close of business on each of the 

next five Fridays that are business days 

and are not Fridays in which monthly 

options series or Quarterly Options 

Series expire (‘‘Short Term Option 

Expiration Dates’’), provided an option 

class has been approved for listing and 

trading on the Exchange.13 Today, the 

Exchange may open up to thirty initial 

series for each option class that 

participates in the Short Term Option 

Series Program.14 Further, if the 

Exchange opens less than thirty (30) 

Short Term Option Series for a Short 

Term Option Expiration Date, additional 

series may be opened for trading on the 

Exchange when the Exchange deems it 

necessary to maintain an orderly 

market, to meet customer demand or 

when the market price of the underlying 

security moves substantially from the 

exercise price or prices of the series 

already opened.15

The Exchange may open for trading 

Short Term Option Series on the Short 

Term Option Opening Date that expire 

on the Short Term Option Expiration 

Date at strike price intervals of (i) $0.50 

or greater where the strike price is less 

than $100, and $1 or greater where the 

strike price is between $100 and $150 

for all option classes that participate in 

the Short Term Options Series Program; 

(ii) $0.50 for option classes that trade in 

one dollar increments and are in the 

Short Term Option Series Program; or 


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16See IM–5050–1(b). 17See IM–5050–6(b)(1). 18See Securities Exchange Act Release No. 91125 

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

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

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

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

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

proposal’’); see also BX Options Strike Proliferation 

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

www.nasdaq.com/solutions/bxoptions-strikeproliferation-proposal). 19See BX Strike Interval Approval Order, id. 20For example, options listed as of January 4, 

2021 would be calculated on January 5, 2021 using 

the Average Daily Volume from July 1, 2020 to 

September 30, 2020. 

21For example, if an options became newly 

eligible for listing pursuant to Rule 5020 on March 

1, 2021, the first full quarterly lookback would be 

available on July 1, 2021. This option would 

become subject to the curtailment on July 2, 2021. 

(iii) $2.50 or greater where the strike 

price is above $150. During the month 

prior to expiration of an option class 

that is selected for the Short Term 

Option Series Program (‘‘Short Term 

Option’’), the strike price intervals for 

the related non-Short Term Option 

(‘‘Related non-Short Term Option’’) 

shall be the same as the strike price 

intervals for the Short Term Option.16

The Exchange may select up to fifty 

currently listed option classes on which 

Short Term Option Series may be 

opened on any Short Term Option 

Opening Date. In addition to the fifty 

option class restriction, the Exchange 

may also list Short Term Option Series 

on any option classes that are selected 

by other securities exchanges that 

employ a similar program under their 

respective rules. For each option class 

eligible for participation in the Short 

Term Option Series Program, the 

Exchange may open up to thirty Short 

Term Option Series for each expiration 

date in that class. The Exchange may 

also open Short Term Option Series that 

are opened by other securities 

exchanges in option classes selected by 

such exchanges under their respective 

short term option rules.17

The Exchange notes that listings in 

the weekly program comprise a 

significant part of the standard listing in 

options markets and that the industry 

has observed a notable increase over 

approximately the last five years in 

compound annual growth rate 

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

to CAGR for standard third-Friday 

expirations.18

Proposal 

The Exchange proposes to widen the 

intervals between strikes in order to 

limit the number of strikes listed for 

equity options (excluding options on 

ETFs and ETNs) listed as part of the 

Short Term Option Series Program that 

have an expiration date more than 21 

days from the listing date, by adopting 

proposed Rule 4.5(d)(6). The Exchange 

notes that this proposal is substantively 

identical to the strike interval proposal 

recently submitted by Nasdaq BX, Inc. 

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

and Exchange Commission 

(‘‘Commission’’).19

The proposal widens intervals 

between strikes for expiration dates of 

equity option series (excluding options 

on ETFs and ETNs) beyond 21 days 

utilizing the three-tiered table in 

proposed IM–5050–11 (presented 

below) which considers both the Share 

Price and Average Daily Volume for the 

option series. The table indicates the 

applicable strike intervals and 

supersedes IM–6090–2(b)(4), which 

currently permits 10 additional series to 

be opened for trading on the Exchange 

when the Exchange deems it necessary 

to maintain an orderly market, to meet 

customer demand or when the market 

price of the underlying security moves 

substantially from the exercise price or 

prices of the series already opened. As 

a result of the proposal, IM–6090– 

2(b)(4) would not permit an additional 

series of an equity option to have an 

expiration date more than 21 days from 

the listing date to be opened for trading 

on the Exchange despite the noted 

circumstances in subparagraph (b)(4) 

when such additional series may 

otherwise be added. 

Tier Average daily volume 

Share Price 

Less than $25 $25 to less 

than $75 

$75 to less 

than $150 

$150 to less 

than $500 

$500 or 

greater 

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

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

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

The Share Price would be the closing 

price on the primary market on the last 

day of the calendar quarter. This value 

would be used to derive the column 

from which to apply strike intervals 

throughout the next calendar quarter. 

The Average Daily Volume would be the 

total number of options contracts traded 

in a given security for the applicable 

calendar quarter divided by the number 

of trading days in the applicable 

calendar quarter. Beginning on the 

second trading day in the first month of 

each calendar quarter, the Average Daily 

Volume shall be calculated by utilizing 

data from the prior calendar quarter 

based on Customer-cleared volume at 

OCC. For options listed on the first 

trading day of a given calendar quarter, 

the Average Daily Volume shall be 

calculated using the calendar quarter 

prior to the last trading calendar 

quarter.20 Under current rules, if the 

Exchange is not open for business on 

the respective Thursday or Friday, the 

Short Term Option Opening Date will 

be the first business day immediately 

prior to that respective Thursday or 

Friday, as is the case today for STOs as 

specified within IM–5050–6. 

The Exchange proposes that Short 

Term Options Series that are newly 

eligible for listing pursuant to Rule 

5020(a) will not be subject to this 

proposed IM–5050–11 until after the 

end of the first full calendar quarter 

following the date the option class was 

first listed for trading on any options 

market.21 The Exchange would be 

permitted to list options on newly 

eligible listings, without any 

curtailment in strike intervals, until the 

end of the first full quarter after they 

were listed. BOX’s proposal would 

thereby permit BOX to add strikes to 

meet customer demand in the options 

class. By deferring the curtailment until 

after the end of the first full calendar 

quarter, additional information on the 

underlying security would be available 

to market participants and public 

investors. During this period of 

deferment the price of the underlying 

would have an opportunity to settle 

based on the price discovery that has 

occurred in the primary market. An 

options class that represents a newly 

listed primary security may fluctuate in 

price after its initial listing; such 

volatility reflects a natural uncertainty 

about the security. Also, BOX would 

have the ability to list as many strikes 

as are permissible for the Short Term 


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22The Exchange notes that any limits on intervals 

imposed by the Exchange’s Rules will continue to 

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

intervals up to $150, which is the upper limit 

imposed by IM–5050–6(b)(5). 

23The Exchange notes that this proposal is an 

initial attempt at reducing strikes and anticipates 

filing additional proposals to continue reducing 

strikes. The above referenced data, specifically the 

percentage of underlying products and percentage 

of and total number of strikes, are approximations 

and may vary slightly at the time of this filing. 

24From information drawn from time period 

between January 2020 and May 2020. See BX 

proposal, supra note 19. 

25See BX proposal, supra note 19. 

26See BX proposal, supra note 19. 

27See Rule 8050. 

28When the Exchange is the first exchange to list 

an option class under IM–5050–11 the Exchange 

shall provide a notice to its Participants regarding 

the Short Term Option Series to be listed. Such 

notice will include for each eligible option class: 

The closing price of the underlying, the Average 

Daily Volume of the option class; and the eligible 

strike category (per the proposed table) in which the 

eligible option class falls under as a result of the 

closing price and the Average Daily Volume. 

29 15 U.S.C. 78f(b). 

30 15 U.S.C. 78f(b)(5). 

Options Series once the expiry is within 

twenty-one days. Short Term Options 

Series which have an expiration date 

less than twenty-one days from the 

listing date are not subject to the 

curtailment, thereby allowing BOX to 

list additional, and potentially 

narrower, strikes in the event of market 

volatility or other market events. 

In the event of a corporate action, the 

Share Price of the surviving company 

would be utilized. These metrics are 

intended to align expectations for 

determining which strike intervals will 

be utilized. Finally, notwithstanding the 

limitations imposed by proposed IM– 

5050–11, this Strike Interval Proposal 

does not amend the range of strikes that 

may be listed pursuant to IM–5050–6, 

regarding the Short Term Option Series 

Program. 

By way of example, if the Share Price 

for a symbol was $142 at the end of a 

calendar quarter, with an Average Daily 

Volume greater than 5,000, thereby, 

requiring strike intervals to be listed 

$1.00 apart, that strike interval would 

apply for the calendar quarter, 

regardless of whether the Share Price 

changed to greater than $150 during that 

calendar quarter.22

The proposed table within IM–5050– 

11 takes into account the notional value 

of a security, as well as Average Daily 

Volume in the underlying stock, in 

order to limit the intervals between 

strikes in the Short Term Options listing 

program. BOX would utilize OCC 

Customer-cleared volume, as customer 

volume is an appropriate proxy for 

demand. The OCC Customer-cleared 

volume represents the majority of 

options volume executed on the 

Exchange that, in turn, reflects the 

demand in the marketplace. The options 

series listed on BOX are intended to 

meet customer demand by offering an 

appropriate number of strikes. NonCustomer cleared OCC volume 

represents the supply side. The strike 

intervals for listing strikes in certain 

options are intended to remove 

repetitive and unnecessary strike 

listings across the weekly expiries. 

BOX’s Strike Interval Proposal seeks to 

reduce the number of strikes in the 

furthest weeklies, where there exist 

wider markets and therefore lower 

market quality. 

The proposed table within IM–5050– 

11 is intended to distribute strike 

intervals in multiply listed equity 

options where there is less volume as 

measured by the Average Daily Volume 

tiers. Therefore, the lower the Average 

Daily Volume, the greater the proposed 

spread between strike intervals. Options 

classes with higher volume contain the 

most liquid symbols and strikes, 

therefore the finer the proposed spread 

between strike intervals. Additionally, 

lower-priced shares have finer strike 

intervals than higher-priced shares 

when comparing the proposed spread 

between strike intervals. 

Today, weeklies are available on 16% 

of underlying products. The Exchange’s 

Strike Interval Proposal curtails the 

density of strike intervals listed in series 

of options, without reducing the classes 

of options available for trading on BX. 

Short Term Options Series with an 

expiration date greater than twenty-one 

days from the listing date equates to 

7.5% of the total number of strikes in 

the options market, which equals 81,000 

strikes.23 The Exchange expects this 

proposal to results in the limitation of 

approximately 20,000 strikes within the 

Short Term Options Series which is 2% 

of the total strikes in the options 

markets.24 The Exchange understands 

there has been an inconsistency of 

demand for series of options beyond 21 

calendar days.25 The proposal takes into 

account customer demand for certain 

options classes, by considering both the 

Share Price and the Average Daily 

Volume, in order to remove certain 

strike intervals where there exist 

clusters of strikes whose characteristics 

closely resemble one another and, 

therefore, do not serve different trading 

needs,26 rendering these strikes less 

useful. The Exchange also notes that the 

proposal focuses on strikes in multiply 

listed equity options, and excludes ETFs 

and ETNs, as the majority of strikes 

reside within equity options. 

This Strike Interval Proposal serves to 

respond to comments received from 

industry members with respect to the 

increasing number of strikes that are 

required to be quoted by market makers 

in the options industry. BOX requires 

Market Makers to quote a certain 

amount of time in the trading day in 

their assigned options series to maintain 

liquidity in the market.27 With an 

increasing number of strikes being listed 

across options exchanges, Market 

Makers must expend their capital to 

ensure that they have the appropriate 

infrastructure to meet their quoting 

obligations on all options markets in 

which they are assigned in options 

series. The Exchange believes that this 

Strike Interval Proposal would limit the 

intervals between strikes, reducing the 

number of strikes listed on BOX, and 

thereby allow Market Makers to expend 

their capital in the options market in a 

more efficient manner. Due to this 

increased efficiency, the Exchange 

believes that this Strike Interval 

Proposal would improve overall market 

quality on BOX by limiting the intervals 

between strikes in multiply listed equity 

options that have an expiration date 

more than twenty-one days, from the 

listing date. 

Implementation 

The Exchange proposes to implement 

the proposed changes on July 1, 2021. 

The Exchange will issue a notice to its 

Participants with the date of 

implementation. Lastly, the Exchange 

will issue a notice to its Participants 

whenever the Exchange is the first 

exchange to list an eligible Short Term 

Option Series.28

2. Statutory Basis 

The Exchange believes that the 

proposal is consistent with the 

requirements of Section 6(b) of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’),29 in general, and Section 6(b)(5) 

of the Act,30 in particular, in that it is 

designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 

trade, to foster cooperation and 

coordination with persons engaged in 

facilitating transactions in securities, to 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system, and, in 

general to protect investors and the 

public interest. The Strike Proposal 

seeks to limit the intervals between 

strikes listed in the Short Term Options 

Series program that have an expiration 

date more than twenty-one days. While 

the current listing rules permit BOX to 

list a number of weekly strikes on its 

market, the Exchange’s Strike Interval 

Proposal removes impediments to and 


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29860 Federal Register / Vol. 86, No. 105 / Thursday, June 3, 2021 / Notices 

31Options contracts settle one business day after 

trade date. Strike listing determinations are made 

the day prior to the start of trading in each series. 32See BX Strike Interval Approval Order, supra 

note 19. 

33See BX Strike Interval Approval Order, supra 

note 19. 

34 15 U.S.C. 78s(b)(3)(A)(iii). 

35 17 CFR 240.19b–4(f)(6). 

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

Exchange to give the Commission written notice of 

its intent to file the proposed rule change at least 

five business days prior to the date of filing of the 

proposed rule change, or such shorter time as 

perfects the mechanism of a free and 

open market and a national market 

system by encouraging Market Makers 

to deploy capital more efficiently and 

improving market quality overall on 

BOX through limiting the intervals 

between strikes when applying the 

strike interval table to multiply listed 

equity options that have an expiration 

date more than twenty-one days from 

the listing date. Also, as BOX’s Strike 

Interval Proposal seeks to reduce the 

number of weekly options that would be 

listed on its market in later weeks, 

Market Makers would be required to 

quote in fewer weekly strikes as a result 

of the Strike Interval Proposal. 

Amending BOX’s listing rules to limit 

the intervals between strikes for 

multiply listed equity options that have 

an expiration date more than twentyone days causes less disruption in the 

market as the majority of the volume 

traded in weekly options exists in 

options series which have an expiration 

date of twenty-one days or less. The 

Exchange’s Strike Interval Proposal 

curtails the number of strike intervals 

listed in series of options without 

reducing the number of classes of 

options available for trading on BOX. 

The Strike Interval Proposal takes into 

account customer demand for certain 

options classes by considering both the 

Share Price and the Average Daily 

Volume in the underlying security to 

arrive at the manner in which weekly 

strike intervals would be listed in the 

later weeks for each multiply listed 

equity options class. The Exchange 

utilizes OCC Customer-cleared volume, 

as customer volume is an appropriate 

proxy for demand. The OCC Customercleared volume represents the majority 

of options volume executed on the 

Exchange that, in turn, reflects the 

demands in the marketplace. The 

options series listed on BOX is intended 

to meet customer demand by offering an 

appropriate number of strikes. NonCustomer cleared OCC volume 

represents the supply side. 

The Strike Interval Proposal for listing 

strikes in certain multiply listed equity 

options is intended to remove certain 

strikes where there exist clusters of 

strikes whose characteristics closely 

resemble one another and, therefore, do 

not serve different trading needs that 

renders the strikes less useful and 

thereby protects investors and the 

general public by removing an 

abundance of unnecessary choices for 

an options series, while also improving 

market quality. BOX’s Strike Interval 

Proposal seeks to reduce the number of 

strikes in the furthest weeklies, where 

there exist wider markets, and, 

therefore, lower market quality. The 

implementation of the proposed table is 

intended to spread strike intervals in 

multiply listed equity options, where 

there is less volume that is measured by 

the average daily volume tiers. 

Therefore, the lower the average daily 

volume, the greater the proposed spread 

between strike intervals. Options classes 

with higher volume contain the most 

liquid symbols and strikes, therefore the 

finer the proposed spread between 

strike intervals. Additionally, lowerpriced shares have finer strike intervals 

than higher-priced shares when 

comparing the proposed spread between 

strike intervals. 

Beginning on the second trading day 

in the first month of each calendar 

quarter, the Average Daily Volume shall 

be calculated by utilizing data from the 

prior calendar quarter based on OCC 

Customer-cleared volume. Utilizing the 

second trading day allows the Exchange 

to accumulate data regarding OCC 

Customer-cleared volume from the 

entire prior quarter. Beginning on the 

second trading day would allow trades 

executed on the last day of the previous 

calendar quarter to have settled 31 and 

be accounted for in the calculation of 

Average Daily Volume. Utilizing the 

previous three months is appropriate 

because this time period would help 

reduce the impact of unusual trading 

activity as a result of unique market 

events, such as a corporate action (i.e., 

it would result in a more reliable 

measure of average daily trading volume 

than would a shorter period). 

As stated, the proposal is 

substantively identical to the strike 

interval proposal recently submitted by 

BX and approved by the Commission.32

The Exchange believes that varied strike 

intervals will continue to offer market 

participants the ability to select the 

appropriate strike interval to meet that 

market participants’ investment 

objectives. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition not 

necessary or appropriate in furtherance 

of the purposes of the Act. The 

Exchange does not believe that the 

proposed rule change will impose any 

burden on intramarket competition that 

is not necessary or appropriate in 

furtherance of the purposes of the Act 

as the proposed rule change limits the 

number of Short Term Option Series 

strikes available for quoting and trading 

on the Exchange for all market 

participants. Therefore, all market 

participants will equally be able to 

transact in options series in the strikes 

listed for trading on the Exchange. The 

proposal is intended to reduce the 

number of strikes for weekly options 

listed in later weeks without reducing 

the number of classes of options 

available for trading on the Exchange 

while also continuing to offer an 

appropriate number of strikes the 

Exchange believes will meet market 

participants’ investment objectives. 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on intermarket competition 

that is not necessary or appropriate in 

furtherance of the purposes of the Act 

as it only impacts the permissible strike 

intervals for certain options series listed 

on the Exchange. Additionally, another 

options exchange has recently 

implemented a substantively identical 

to the strike interval proposal recently 

submitted by BX and approved by the 

Commission.33 The proposal is a 

competitive response that will permit 

the Exchange to list the same series in 

multiply listed options as another 

options exchange. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange has neither solicited 

nor received comments on the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The Exchange has filed the proposed 

rule change pursuant to Section 

19(b)(3)(A)(iii) 34 of the Act and Rule 

19b–4(f)(6) thereunder.35 Because the 

foregoing proposed rule change does 

not: (i) Significantly affect the 

protection of investors or the public 

interest; (ii) impose any significant 

burden on competition; and (iii) become 

operative for 30 days from the date on 

which it was filed, or such shorter time 

as the Commission may designate, it has 

become effective pursuant to Section 

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

subparagraph (f)(6) of Rule 19b–4 

thereunder.36


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Federal Register / Vol. 86, No. 105 / Thursday, June 3, 2021 / Notices 29861 

designated by the Commission. The Exchange has 

satisfied this requirement. 

37 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Notice of Filing infra note 4, 86 FR at 12237. 

4Securities Exchange Act Release No. 91199 (Feb. 

24, 2021), 86 FR 12237 (Mar. 2, 2021) (File No. SR– 

OCC–2021–003) (‘‘Notice of Filing’’). OCC also filed 

a related advance notice (SR–OCC–2021–801) 

(‘‘Advance Notice’’) with the Commission pursuant 

to Section 806(e)(1) of Title VIII of the Dodd-Frank 

Wall Street Reform and Consumer Protection Act, 

entitled the Payment, Clearing, and Settlement 

Supervision Act of 2010 and Rule 19b–4(n)(1)(i) 

under the Exchange Act. 12 U.S.C. 5465(e)(1). 15 

U.S.C. 78s(b)(1) and 17 CFR 240.19b–4, 

respectively. The Advance Notice was published in 

the Federal Register on March 1, 2021. Securities 

Exchange Act Release No. 91184 (Feb. 23, 2021), 86 

FR 12057 (Mar. 1, 2021) (File No. SR–OCC–2021– 

801). A Notice of No Objection to the Advance 

Notice was published in the Federal Register on 

April 12, 2021. See Securities Exchange Act Release 

No. 91491 (Apr. 7, 2021), 86 FR 19061 (Apr. 12, 

2021) (File No. SR–OCC–2021–801). 

5Comments on the Proposed Rule Change are 

available at https://www.sec.gov/comments/sr-occ2021-003/srocc2021003.htm. 

Since the proposal contained in the Proposed 

Rule Change was also filed as an advance notice, 

all public comments received on the proposal are 

considered regardless of whether the comments are 

submitted on the Proposed Rule Change or the 

Advance Notice. Comments on the Advance Notice 

are available at https://www.sec.gov/comments/srocc-2021-801/occ2021801.htm. 

6Capitalized terms used but not defined herein 

have the meanings specified in OCC’s Rules and ByLaws, available at https://www.theocc.com/about/ 

publications/bylaws.jsp. 

7See Securities Exchange Act Release No. 78961 

(Sep. 28, 2016), 81 FR 70786, 70806 (Oct. 13, 2016) 

(S7–03–14) (‘‘Covered Clearing Agency Standards’’). 

8See Securities Exchange Release No. 88029 (Jan. 

24, 2020), 85 FR 5500, 5502 (Jan. 30, 2020) (File No. 

SR–OCC–2019–007) (‘‘CMP Approval Order’’). 

9See OCC Rule 1006(e), available at https://

www.theocc.com/getmedia/9d3854cd-b782-450fbcf7-33169b0576ce/occ_rules.pdf (last visited Mar. 

16, 2021). See also CMP Approval Order at 5502. 

At any time within 60 days of the 

filing of the proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

should be approved or disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

BOX–2021–12 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–BOX–2021–12. 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–BOX–2021–12, and should 

be submitted on or before June 24, 2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to 

delegated authority.37

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–11691 Filed 6–2–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92038; File No. SR–OCC– 

2021–003] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Order 

Approving Proposed Rule Change To 

Establish OCC’s Persistent Minimum 

Skin-In-The-Game 

May 27, 2021. 

I. Introduction 

On February 10, 2021, the Options 

Clearing Corporation (‘‘OCC’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change SR–OCC–2021– 

003, (‘‘Proposed Rule Change’’) 

pursuant to Section 19(b) of the 

Securities Exchange Act of 1934 

(‘‘Exchange Act’’) 1 and Rule 19b–4 2

thereunder to establish a persistent 

minimum level of skin-in-the-game that 

OCC would contribute to cover default 

losses or liquidity shortfalls.3 The 

Proposed Rule Change was published 

for public comment in the Federal 

Register on March 2, 2021.4 The 

Commission has received comments 

regarding the proposal described in the 

Proposed Rule Change.5 This Order 

approves the Proposed Rule Change. 

II. Background 6

‘‘Skin-in-the-game,’’ as a component 

of financial risk management, entails a 

covered clearing agency choosing, upon 

the occurrence of a default or series of 

defaults and application of all available 

assets of the defaulting participant(s), to 

apply its own capital contribution to the 

relevant clearing or guaranty fund in 

full to satisfy any remaining losses prior 

to the application of any (a) 

contributions by non-defaulting 

members to the clearing or guaranty 

fund, or (b) assessments that the covered 

clearing agency require non-defaulting 

participants to contribute following the 

exhaustion of such participant’s funded 

contributions to the relevant clearing or 

guaranty fund.7

OCC’s skin-in-the-game component of 

its financial risk management regime is 

described in its current rules, which 

provide for the use of OCC’s own capital 

to mitigate losses arising out of a 

Clearing Member default.8 Specifically, 

OCC’s rules provide for the offsetting of 

default losses remaining after the 

application of a defaulted Clearing 

Member’s margin deposits and Clearing 

Fund contributions with OCC’s capital 

in excess of 110 percent of the Target 

Capital Requirement at the time of the 

default.9 OCC’s rules also provide for 

charging losses remaining after the 

application of OCC’s excess capital to 

OCC senior management’s deferred 


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