Federal Register / Vol. 86, No. 114 / Wednesday, June 16, 2021 / Notices 32085 

64See 17 CFR 240.17Ad–22(e)(6)(iii) (requiring a 

covered clearing agency to establish, implement, 

maintain and enforce written policies and 

procedures reasonably designed to cover its credit 

exposures to its participants by establishing a riskbased margin system that, at a minimum, calculates 

margin sufficient to cover its potential future 

exposure to participants in the interval between the 

last margin collection and the close out of positions 

following a participant default). 

65 17 CFR 240.17Ad–22(a)(13). 

66See FICC Letter at 3. 

67See FICC Letter at 5. The Commission’s 

conclusion is also based upon information that 

FICC submitted confidentially regarding memberlevel impact of the proposal from February through 

December 2020. 

68See Securities Exchange Act Release No. 34– 

90182 (October 14, 2020), 85 FR 66630 (October 20, 

2020). 

69 17 CFR 240.17Ad–22(e)(6)(i) and (iii). 

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

2 17 CFR 240.19b–4. 

generate margin requirements that 

‘‘equate to future protections against 

market volatility.’’ FICC’s credit 

exposures are reasonably measured both 

by events that have actually happened 

as well as events that could potentially 

occur in the future. For this reason, a 

risk-based margin system is necessary 

for FICC to cover its potential future 

exposure to members.64 Potential future 

exposure is, in turn, defined as the 

maximum exposure estimated to occur 

at a future point in time with an 

established single-tailed confidence 

level of at least 99 percent with respect 

to the estimated distribution of future 

exposure.65 Thus, to be consistent with 

its regulatory requirements, FICC must 

consider potential future exposure, 

which includes, among other things, 

losses associated with the liquidation of 

a defaulted member’s portfolio. 

In response to the comments 

regarding enhancing the model-based 

calculation instead of adding the 

minimum margin amount, the 

Commission believes that, as FICC 

stated in its response, the inputs to 

FICC’s model-based calculation include 

risk factors that are typical TBA 

attributes, whereas the extreme market 

volatility of March and April 2020, 

which affected the TBA markets, was 

caused by other external factors that are 

less subject to modeling. Accordingly, 

the Commission believes that FICC 

would more effectively cover its 

exposure during such periods by 

including the minimum margin amount 

as an alternative margin component 

based the price volatility in each 

member’s portfolio using observable 

TBA benchmark prices, using a 

relatively short lookback period.66

In response to the comments 

regarding whether the minimum margin 

amount will likely become the 

predominant calculation for 

determining a member’s VaR Charge, 

the Commission disagrees. For example, 

the average daily VaR Charge increase 

from February 3, 2020 through June 30, 

2020 would have been approximately 

$2.2 billion or 42%, but as the modelbased calculation took into account the 

current market conditions, the average 

daily increase during Q4 of 2020 would 

have been approximately $838 million 

or 7%.67

Finally, in response to the comments 

regarding concentration charges, the 

Division states that there is a distinction 

between concentration charges and the 

VaR Charge in that they are generally 

designed to mitigate different risks. 

Whereas the VaR Charge is designed to 

cover the risk of market price volatility, 

concentration charges are typically 

designed to mitigate the risk of 

incurring additional market impact cost 

from liquidating a directionally 

concentrated portfolio.68

Accordingly, the Commission believes 

that adding the minimum margin 

amount to FICC’s margin methodology 

would be consistent with Rules 17Ad– 

22(e)(6)(i) and (iii) because this new 

margin calculation should better enable 

FICC to establish a risk-based margin 

system that considers and produces 

relevant margin levels commensurate 

with the risks (including potential 

future exposure) associated with 

liquidating member portfolios in a 

default scenario, including volatility in 

the TBA market.69

III. Conclusion 

It is therefore noticed, pursuant to 

Section 806(e)(1)(I) of the Clearing 

Supervision Act, that the Commission 

does not object to Advance Notice (SR– 

FICC–2020–804) and that FICC is 

authorized to implement the proposed 

change as of the date of this notice or 

the date of an order by the Commission 

approving proposed rule change SR– 

FICC–2020–017, whichever is later. 

By the Commission. 

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–12598 Filed 6–15–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92147; File No. SR– 

CboeEDGX–2021–027] 

Self-Regulatory Organizations; Cboe 

EDGX 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 EDGX Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘EDGX’’) 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 EDGX Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘EDGX’’) 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/ 

options/regulation/rule_filings/edgx/), 

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. 


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32086 Federal Register / Vol. 86, No. 114 / Wednesday, June 16, 2021 / Notices 

3The Exchange intends to submit a separate rule 

filing to establish fees for Short Sale Volume data. 

4See Exchange Rule 1.5(s). 

5See Exchange Rule 1.5(y). 

6See Exchange Rule 1.5(r). 

7Session information will only be available in 

data after July 31, 2020. 

8Historical data will be available on an ad hoc 

basis. 

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. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to adopt Rule 

13.8(g) 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 EDGX 

Members (‘‘Members’’) and nonMembers.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. The Exchange also 

proposes to change the name of Rule 

13.8 to ‘‘Data Products’’ and add a 

preamble to Rule 13.8 to conform to 

Cboe BZX Exchange, Inc. (‘‘BZX’’) and 

Cboe BYX Exchange, Inc. (‘‘BYX’’) Rule 

11.22. 

A description of each market data 

product offered by the Exchange is 

described in Exchange Rule 13.8. The 

Exchange proposes to adopt Rule 13.8(g) 

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 EDGX). Short 

Sale Volume data is available on an endof-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 Post-Closing 

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 EDGX 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 

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

Based on the above proposal, the 

Exchange also proposes to amend the 

name of Rule 13.8 from ‘‘EDGX Book 

Feeds’’ to ‘‘Data Products’’. Such an 

amendment would accurately describe 

the Rule as the proposed product is not 

a book feed, but rather a data product. 

Further, the existing data feeds 

identified in Rule 13.8 are also data 

products. The Exchange also proposes 

to add the following preamble to Rule 

13.8: ‘‘The Exchange offers the 

following data products free of charge, 

unless otherwise noted in the 

Exchange’s fee schedule’’. The proposed 

language conforms to rule text provided 

in BZX and BYX Rules 13.8. 

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 


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Federal Register / Vol. 86, No. 114 / Wednesday, June 16, 2021 / Notices 32087 

13See Supra note 9. 

14See https://nasdaqtrader.com/ 

Trader.aspx?id=shortsale. 

15See Supra note 9. 

16 Id. 

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. 

The Exchange believes the proposal to 

change the name of Rule 13.8 to ‘‘Data 

Products’’ is reasonable because the 

proposed Short Sale Volume report is 

not a book feed, and thus ‘‘EDGX Book 

Feeds’’ does not accurately describe all 

of the paragraphs under Rule 13.8. The 

Exchange also believes the proposal to 

add the preamble to Rule 13.8 is 

reasonable because it will eliminate 

potential investor confusion as to which 

data products the Exchange charges a 

fee. Furthermore, both of the 

aforementioned changes to Rule 13.8 are 

identical to the text of BZX and BYX 

Rule 11.22. 

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 

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– 

CboeEDGX–2021–027 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–CboeEDGX–2021–027. 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 


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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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