32088 Federal Register / Vol. 86, No. 114 / Wednesday, June 16, 2021 / Notices 

17 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3The Exchange intends to submit a separate rule 

filing to establish fees for Short Sale Volume data. 

4See Exchange Rule 1.5(r). 

5See Exchange Rule 1.5(w). 

6See Exchange Rule 1.5(c). 

7Session information will only be available in 

data after July 31, 2020. 

8Historical data will be available on an ad hoc 

basis. 

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–CboeEDGX–2021–027, and 

should be submitted on or before July 7, 

2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.17

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–12590 Filed 6–15–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92148; File No. SR– 

CboeBZX–2021–042] 

Self-Regulatory Organizations; Cboe 

BZX Exchange, Inc.; Notice of Filing of 

a Proposed Rule Change To Introduce 

a New Data Product To Be Known as 

Short Sale Volume Data 

June 10, 2021. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that on May 28, 

2021, Cboe BZX Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘BZX’’) 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 Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

Cboe BZX Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘BZX’’) is filing with the 

Securities and Exchange Commission 

(‘‘Commission’’) a proposed rule change 

to introduce a new data product to be 

known as Short Sale Volume data. The 

text of the proposed rule change is 

provided in Exhibit 5. 

The text of the proposed rule change 

is also available on the Exchange’s 

website (http://markets.cboe.com/us/ 

equities/regulation/rule_filings/bzx/), at 

the Exchange’s Office of the Secretary, 

and at the Commission’s Public 

Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV below. The 

Exchange has prepared summaries, set 

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

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend 

Rule 11.22(f) to provide for a new data 

product to be known as Short Sale 

Volume data. The proposal introduces 

Short Sale Volume data that will be 

available for purchase to BZX Members 

(‘‘Members’’) and non-Members.3 The 

proposal is similar to products offered 

by the New York Stock Exchange LLC 

(‘‘NYSE’’) and the Nasdaq Stock Market 

LLC (‘‘Nasdaq’’) which provide short 

sale volume information. 

A description of each market data 

product offered by the Exchange is 

described in Exchange Rule 11.22. The 

Exchange proposes to amend Rule 

11.22(f) to introduce and add a 

description of the Short Sale Volume 

data product. The Exchange proposes to 

describe the Short Sale Volume data as 

‘‘a data product that summarizes short 

sale volume (shares traded on BZX). 

Short Sale Volume data is available on 

an end-of-day and intraday basis.’’ 

The Exchange proposes to offer Short 

Sale Volume data on an end-of-day and 

intraday basis which will be available 

for purchase by Members and nonMembers. Specifically, the Exchange 

proposes to offer an end-of-day short 

sale volume report that includes the 

date, session (i.e., Pre-Opening Session,4

Regular Trading Hours,5 or After Hours 

Trading Session 6),7 symbol, trade 

count, buy and sell volume, type of sale 

(i.e., sell, sell short, or sell short 

exempt), capacity (i.e., principal, agent, 

or riskless principal), and retail order 

indicator. The end-of-day Short Sale 

Volume data would include same day 

corrections to short sale volume. 

The Exchange also proposes to offer 

Short Sale Volume data on an intraday 

basis that will provide the same 

information to that of end-of-day Short 

Sale Volume data, but will be produced 

and updated every 10 minutes during 

the trading day. Data is captured in 

‘‘snapshots’’ taken every 10 minutes 

throughout the trading day and is 

available to subscribers within five 

minutes of the conclusion of each 10- 

minute period. For example, subscribers 

to the intraday product will receive the 

first calculation of intraday data by 

approximately 9:45 a.m. ET, which 

represents data captured from 9:30 a.m. 

to 9:40 a.m. Subscribers will receive the 

next update by 9:55 a.m., representing 

the data previously provided aggregated 

with data captured through 9:50 a.m., 

and so forth. Each update will represent 

combined data captured from the 

current ‘‘snapshot’’ and all previous 

‘‘snapshots’’ and thus will provide short 

sale volume data on an aggregate basis. 

The intraday Short Sale Volume data 

will not include same day corrections, 

as proposed in the end-of-day data. The 

proposed data products provide 

proprietary BZX trade data and do not 

include trade data from any other 

exchange. 

The proposed end-of-day and intraday 

Short Sale Volume data will be available 

for purchase on a monthly subscription 

basis. Subscribers to the end-of-day 

Short Sale Volume data will receive a 

daily end-of-day file. Similarly, 

subscribers to the intraday Short Sale 

Volume data will receive data which 

will be produced and updated every 10 

minutes as described above. 

Additionally, end-of-day and intraday 

Short Sale Volume data will be available 

on a historical basis for purchase as far 

back as January 3, 2017.8 The 

subscription files and historical ad hoc 

files will include the same data points. 

Further, the Exchange will establish a 

monthly subscriber fee and historical ad 

hoc fee for the Short Sale Volume data 

by way of a separate proposed rule 

change, which the Exchange will submit 


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Federal Register / Vol. 86, No. 114 / Wednesday, June 16, 2021 / Notices 32089 

9See the Nasdaq Daily Short Sale Volume files at 

https://nasdaqtrader.com/ 

Trader.aspx?id=shortsale. See also the NYSE TAQ 

Group Short Sales and Short Volume at https://

www.nyse.com/market-data/historical/taq-nysegroup-short-sales. 

10 15 U.S.C. 78f(b). 

11 15 U.S.C. 78f(b)(5). 

12 Id. 

13See Supra note 9. 

14See https://nasdaqtrader.com/ 

Trader.aspx?id=shortsale. 

15See Supra note 9. 

16 Id. 

in connection with the launch of the 

Short Sale Volume data product. 

The Exchange anticipates a wide 

variety of market participants to 

purchase Short Sale Volume data, 

including, but not limited to active 

equity trading firms and academic 

institutions. For example, the Exchange 

notes that academic institutions may 

utilize Short Sale Volume data and as a 

result promote research and studies of 

the equities industry to the benefit of all 

market participants. The Exchange 

believes the proposed Short Sale 

Volume data products may also provide 

helpful trading information regarding 

investor sentiment that may allow 

market participants to make better 

trading decisions throughout the day 

and may be used to create and test 

trading models and analytical strategies 

and provides comprehensive insight 

into trading on the Exchange. For 

example, Short Sale Volume data may 

allow a market participant to identify 

the source of selling pressure and 

whether it is long or short. Further, it 

may provide more visibility into 

increasing and decreasing retail interest 

in a specific security. The proposal is a 

completely voluntary product, in that 

the Exchange is not required by any rule 

or regulation to make this data available 

and that potential subscribers may 

purchase it only if they voluntarily 

choose to do so. The Exchange notes 

that other exchanges offer similar data 

products.9

2. Statutory Basis 

The Exchange believes the proposed 

rule change is consistent with Section 

6(b) of the Act,10 in general, and furthers 

the objectives of Section 6(b)(5) of the 

Act,11 in particular, in that it is 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. Additionally, the 

Exchange believes the proposed rule 

change is consistent with the Section 

6(b)(5) 12 requirement that the rules of 

an exchange not be designed to permit 

unfair discrimination between 

customers, issuers, brokers, or dealers. 

In adopting Regulation NMS, the 

Commission granted self-regulatory 

organizations (‘‘SROs’’) and brokerdealers increased authority and 

flexibility to offer new and unique 

market data to the public. It was 

believed that this authority would 

expand the amount of data available to 

consumers, and also spur innovation 

and competition for the provision of 

market data. The Exchange believes that 

the proposed Short Sale Volume data 

would further broaden the availability 

of U.S. equity market data to investors 

consistent with the principles of 

Regulation NMS. The proposal also 

promotes increased transparency 

through the dissemination of Short Sale 

Volume data. The proposed rule change 

would benefit investors by providing 

access to the Short Sale Volume data, 

which may promote better informed 

trading. Particularly, information 

regarding Short Sale Volume may allow 

a market participant to identify the 

source of selling pressure and whether 

it is long or short. Further, it may 

provide more visibility into increasing 

and decreasing retail interest in a 

specific security. 

Moreover, other exchanges offer 

similar data products.13 Nasdaq offers a 

daily short sale volume report and 

NYSE offers the TAQ group short sales 

and short volume product, which 

provide similar information to that 

included in the proposed end-of-day 

Short Sale Volume data product. The 

Nasdaq daily short sale volume file 

reflects the aggregate number of shares 

executed on Nasdaq, BX and PSX 

during regular trading hours.14

Specifically, the Nasdaq daily short sale 

volume provides the following 

information: Date, symbol, volume 

during regular trading hours, and CTA 

market identifier. The NYSE daily short 

volume file reflects a summary of short 

sale volume for securities traded on 

NYSE, NYSE American, NYSE Arca, 

NYSE National, and NYSE Chicago. 

Specifically, the NYSE short sales and 

short volume product provides the 

following information: Date, symbol, 

short exempt volume, short volume, 

total volume of the short sale 

transaction, and market identifier. NYSE 

and Nasdaq also offer monthly short 

sale volume reports which offer 

different information than that provided 

in their daily short sale reports. 

The Exchange proposes to include 

different and additional data in the 

proposed products. Specifically, the 

Exchange proposes to include session 

information, trade count, capacity, and 

a retail order indicator in the proposed 

data product which are not currently 

provided in either the NYSE or Nasdaq 

short sale volume product offerings. 

Further, the Exchange proposes to offer 

an intraday Short Sale Volume data 

product, which is not offered by other 

exchanges. The Exchange believes the 

additional data points and the intraday 

data will benefit market participants 

because they will provide visibility into 

market activity that is not currently 

available. Further it will allow market 

participants to better understand the 

changing risk environment on a daily 

and intraday basis. Therefore, the 

Exchange believes it is reasonable to 

include such data in the proposed 

products. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will result in 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. Rather, the 

Exchange believes that the proposal will 

promote competition by permitting the 

Exchange to offer data products similar 

to those offered by other competitor 

equities exchanges.15 The Exchange is 

proposing to introduce Short Sale 

Volume data in order to keep pace with 

changes in the industry and evolving 

customer needs, and believes this 

proposed rule change would contribute 

to robust competition among national 

securities exchanges. As noted, at least 

two other U.S. equity exchanges offer a 

market data product that is similar to 

the proposed Short Sale Volume data.16

As a result, the Exchange believes this 

proposed rule change permits fair 

competition among national securities 

exchanges. Therefore, the Exchange 

does not believe the proposed rule 

change will result in any burden on 

competition that is not necessary or 

appropriate in furtherance of the 

purposes of the Act. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange neither solicited nor 

received comments on the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 45 days of the date of 

publication of this notice in the Federal 


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32090 Federal Register / Vol. 86, No. 114 / Wednesday, June 16, 2021 / Notices 

17 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3 See Exchange Rule 1.5(p). 

4 Pegged Orders are described in Exchange Rules 

11.6(h) and 11.8(c) and generally defined as an 

order that is pegged to a reference price and 

automatically re-prices in response to changes in 

the national best bid and/or offer (‘‘NBBO’’). 

5 A Midpoint Peg instruction is an instruction 

that may be placed on a Pegged Order that instructs 

the Exchange to peg the order to midpoint of the 

NBBO. See Exchange Rule 11.6(h)(2). 

Register or within such longer period (i) 

as the Commission may designate up to 

90 days of such date if it finds such 

longer period to be appropriate and 

publishes its reasons for so finding or 

(ii) as to which the Exchange consents, 

the Commission shall: (a) By order 

approve or disapprove such proposed 

rule change, or (b) institute proceedings 

to determine whether the proposed rule 

change should be disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

CboeBZX–2021–042 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–CboeBZX–2021–042. 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–CboeBZX–2021–042, and 

should be submitted on or before July 7, 

2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.17

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–12591 Filed 6–15–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92150; File No. SR–MEMX– 

2021–07] 

Self-Regulatory Organizations; MEMX 

LLC; Notice of Filing and Immediate 

Effectiveness of a Proposed Rule 

Change To Amend the Exchange’s Fee 

Schedule 

June 10, 2021. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that on June 1, 

2021, MEMX LLC (‘‘MEMX’’ or the 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission (the 

‘‘Commission’’) the proposed rule 

change as described in Items I, II and III 

below, which Items have been prepared 

by the Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of the Substance 

of the Proposed Rule Change 

The Exchange is filing with the 

Commission a proposed rule change to 

amend the Exchange’s fee schedule 

applicable to Members 3 (the ‘‘Fee 

Schedule’’) pursuant to Exchange Rules 

15.1(a) and (c). The Exchange proposes 

to implement the changes to the Fee 

Schedule pursuant to this proposal on 

June 1, 2021. The text of the proposed 

rule change is provided in Exhibit 5. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV below. The 

Exchange has prepared summaries, set 

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

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The purpose of the proposed rule 

change is to amend the Fee Schedule to 

(i) adopt a new pricing incentive (the 

‘‘Displayed Liquidity Incentive’’ or 

‘‘DLI’’) designed to improve market 

quality on the Exchange in certain 

specific securities and more generally in 

the form of an enhanced rebate for 

executions of displayed orders in 

securities priced at or above $1.00 per 

share that add liquidity to the Exchange 

(such orders, ‘‘Added Displayed 

Volume’’) for Members that meet certain 

minimum quoting requirements across a 

specified number of securities, as 

further described below; (ii) introduce a 

tiered pricing structure applicable to the 

rebates provided for executions of 

Added Displayed Volume; (iii) adopt an 

enhanced rebate for executions of 

Pegged Orders 4 with a Midpoint Peg 5

instruction in securities priced at or 

above $1.00 per share (such orders, 

‘‘Midpoint Peg Orders’’) that add 

liquidity to the Exchange; (iv) increase 

the standard fee for executions of orders 

in securities priced at or above $1.00 per 

share that remove liquidity from the 

Exchange (such orders, ‘‘Removed 

Volume’’); and (v) reduce the standard 

rebate for executions of Added 

Displayed Volume. 

The Exchange first notes that it 

operates in a highly competitive market 

in which market participants can 

readily direct order flow to competing 

venues if they deem fee levels at a 

particular venue to be excessive or 

incentives to be insufficient. More 

specifically, the Exchange is only one of 

16 registered equities exchanges, as well 

as a number of alternative trading 

systems and other off-exchange venues, 

to which market participants may direct 

their order flow. Based on publicly 

available information, no single 


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