38726 Federal Register / Vol. 82, No. 156 / Tuesday, August 15, 2017 / Notices 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 79989 

(February 8, 2017), 82 FR 10615. 

4Amendment No. 1 to the proposed rule change 

is available on the Commission’s Web site at: 

https://www.sec.gov/comments/sr-batsbzx-2017-07/ 

batsbzx201707-1667531-148997.pdf. 

5 15 U.S.C. 78s(b)(2). 

6See Securities Exchange Act Release No. 80350, 

82 FR 16647 (April 5, 2017). 

7See Securities Exchange Act Release No. 80664, 

82 FR 22680 (May 17, 2017). 

8 15 U.S.C. 78s(b)(2). 

9 Id. 

10 17 CFR 200.30–3(a)(57). 

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

2 17 CFR 240.19b–4. 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81363; File No. SR– 

BatsBZX–2017–07)] 

Self-Regulatory Organizations; Bats 

BZX Exchange, Inc.; Notice of 

Designation of a Longer Period for 

Commission Action on Proceedings To 

Determine Whether To Approve or 

Disapprove a Proposed Rule Change, 

as Modified by Amendment No. 1, To 

List and Trade Shares of the VanEck 

Vectors AMT-Free National Municipal 

Index ETF of VanEck Vectors ETF 

Trust Under BZX Rule 14.11(c)(4) 

August 9, 2017. 

On January 27, 2017, Bats BZX 

Exchange, Inc. (‘‘Exchange’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

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

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder,2 a proposed rule 

change to list and trade shares of the 

VanEck Vectors AMT-Free National 

Municipal Index ETF of VanEck Vectors 

ETF Trust under BZX Rule 14.11(c)(4). 

The proposed rule change was 

published for comment in the Federal 

Register on February 14, 2017.3 On 

March 10, 2017, the Exchange filed 

Amendment No. 1 to the proposed rule 

change.4 On March 30, 2017, pursuant 

to Section 19(b)(2) of the Act,5 the 

Commission designated a longer period 

within which to approve the proposed 

rule change, disapprove the proposed 

rule change, or institute proceedings to 

determine whether to approve or 

disapprove the proposed rule change.6

On May 11, 2017, the Commission 

instituted proceedings to determine 

whether to approve or disapprove the 

proposed rule change.7 The Commission 

has received no comments on the 

proposed rule change. 

Section 19(b)(2) of the Act 8 provides 

that, after initiating disapproval 

proceedings, the Commission shall issue 

an order approving or disapproving the 

proposed rule change not later than 180 

days after the date of publication of 

notice of filing of the proposed rule 

change. The Commission may extend 

the period for issuing an order 

approving or disapproving the proposed 

rule change by not more than 60 days 

if the Commission determines that a 

longer period is appropriate and 

publishes the reasons for such 

determination. The proposed rule 

change was published for notice and 

comment in the Federal Register on 

February 14, 2017. August 13, 2017 is 

180 days from that date, and October 12, 

2017 is 240 days from that date. 

The Commission finds it appropriate 

to designate a longer period within 

which to issue an order approving or 

disapproving the proposed rule change 

so that it has sufficient time to consider 

this proposed rule change. Accordingly, 

the Commission, pursuant to Section 

19(b)(2) of the Act,9 designates October 

12, 2017 as the date by which the 

Commission shall either approve or 

disapprove the proposed rule change 

(File No. SR–BatsBZX–2017–07), as 

modified by Amendment No. 1. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.10

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–17171 Filed 8–14–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81359; File No. SR–MRX– 

2017–14] 

Self-Regulatory Organizations; Nasdaq 

MRX, LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change Regarding Market Maker 

Quotations 

August 9, 2017. 

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 July 26, 

2017, Nasdaq MRX, LLC (‘‘MRX’’ or 

‘‘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 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 

The Exchange proposes to amend 

Rule 804, entitled ‘‘Market Maker 

Quotations.’’ 

The text of the proposed rule change 

is available on the Exchange’s Web site 

at www.ise.com, at the principal office 

of the Exchange, and at the 

Commission’s Public Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

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 

MRX Rule 804, entitled ‘‘Market Maker 

Quotations’’ to amend the current rule 

text at MRX Rule 804(g)(1) and (2) to 

adopt a revised description of the 

manner in which MRX removes Market 

Maker quotes when certain risk 

parameters have been triggered. The 

Exchange believes that the proposed 

new rule text will provide more detailed 

information to participants concerning 

the manner in which these risk features 

will remove quotes from the Order 

Book. 

Today, MRX Rule 804(g)(1) provides 

that a Market Maker must provide 

parameters by which the Exchange will 

automatically remove a Market Maker’s 

quotations in all series of an options 

class. If a Market Maker does not 

provide parameters then the Exchange 

will apply default parameters 

announced to members. The Exchange 

will automatically remove a Market 

Maker’s quotation when, during a time 

period established by the Market Maker, 

the Market Maker exceeds: (i) The 

specified number of total contracts in 

the class, (ii) the specified percentage of 

the total size of the Market Maker’s 

quotes in the class, (iii) the specified 

absolute value of the net between 

contracts bought and contracts sold in 

the class, or (iv) the specified absolute 

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Federal Register / Vol. 82, No. 156 / Tuesday, August 15, 2017 / Notices 38727 

3The Exchange notes that it separately filed a 

proposed rule change to MRX Rule 804(g)(1) to 

provide that a Market Maker must provide 

parameters by which the Exchange will 

automatically remove a Market Maker’s quotations 

in all series of an options class. If a Market Maker 

does not provide parameters then the Exchange will 

apply default parameters announced to members. 

See Securities Exchange Act Release No. 81204 July 

25, 2017) (SR–MRX–2017–02) (not yet published) 

[sic] (Order Approving Proposed Rule Change to 

Amend Various Rules in Connection with a System 

Migration to Nasdaq INET Technology). The 

proposed rule text seeks to reword and relocate the 

proposed amended language concerning the 

parameters to include that language in the revised 

rule text. 

4The net impact of positions takes into account 

the offsets noted herein. 

value of the net between (a) calls 

purchased plus puts sold in the class, 

and (b) calls sold plus puts purchased 

in the class. 

The Exchange proposes to adopt a 

new rule that continues to require 

Market Makers to provide parameters by 

which the Exchange will automatically 

remove a Market Maker’s quotations in 

all series of an options class. The 

Exchange proposes to amend this rule 

text to apply to the automated quotation 

removal protections in the current rule.3

The proposed rule text in 804(g)(1) 

makes clear that Market Makers are 

required to utilize the Percentage, 

Volume, Delta and Vega Thresholds, 

each a Threshold, described in 

subsections (A)–(D) in the new rule text. 

These are the same risk parameters that 

are offered today by MRX. The 

Exchange is seeking to identify each risk 

parameter specifically and describe the 

function of each parameter in Rule 

804(g)(1)(A)–(D). For each feature, the 

Exchange’s system (‘‘System’’) will 

continue to automatically remove 

quotes in all series in options class 

when a certain threshold for any of the 

parameters has been exceeded. 

The Exchange elaborates in the 

proposed rule that a Market Maker is 

required to specify a period of time not 

to exceed 30 seconds (‘‘Specified Time 

Period’’) during which the system will 

automatically remove a Market Maker’s 

quotes in all series of an options class. 

The limitation of not to exceed 30 

seconds is new for MRX Members. In 

order to establish a reasonable limit to 

the allowable Specified Time Period, an 

MRX Member will be limited to the 

setting their Specified Time period to no 

more than 30 seconds for these 

Thresholds. A Specified Time Period 

will commence for an options class 

every time an execution occurs in any 

series in such options class and will 

continue until the System removes 

quotes as described in proposed MRX 

Rule 804(g)(2) or (3) or the Specified 

Time Period expires. This is the case 

today, and is not changing. The 

Specified Time Periods will be the same 

value described in subsections (A)–(D). 

Also, as is the case today, a Specified 

Time Period operates on a rolling basis 

among all series in an options class in 

that there may be Specified Time 

Periods occurring simultaneously for 

each Threshold and such Specified 

Time Periods may overlap. If a Market 

Maker does not provide parameters, the 

Exchange will apply default parameters, 

which default settings will be 

announced to Members via an Options 

Trader Alert. 

Proposed Rule 804(g)(1)(A) describes 

in greater detail the operation of the 

Percentage Threshold. As is the case 

today, a Market Maker must provide a 

specified percentage of quote size 

(‘‘Percentage Threshold’’), of not less 

than 1%, by which the System will 

automatically remove a Market Maker’s 

quotes in all series of an options class. 

The Exchange is adding more detail 

about the manner in which the System 

will calculate percentages and 

amending the current rule to change its 

operation. 

For each series in an options class, the 

System will determine (i) during a 

Specified Time Period and for each side 

in a given series, a percentage calculated 

by dividing the size of a Market Maker’s 

quote size executed in a particular series 

(the numerator) by the Market Maker’s 

quote size available at the time of 

execution plus the total number of the 

Market Market’s quote size previously 

executed during the unexpired 

Specified Time Period (the 

denominator) (‘‘Series Percentage’’); and 

(ii) the sum of the Series Percentages in 

the options class (‘‘Issue Percentage’’) 

during a Specified Time Period. The 

System will track and calculate the net 

impact of positions in the same option 

issue; long call percentages are offset by 

short call percentages, and long put 

percentages are offset by short put 

percentages in the Issue Percentage. The 

Exchange also notes that in calculating 

the Percentage the System will compare 

the number of contracts executed in that 

series relative to the size of the quote at 

the time of the execution plus the 

number of executed contracts that have 

occurred in the current time period. The 

current system calculates the Percentage 

risk parameter by comparing the 

number of contracts executed in that 

series relative to the size of the original 

quote only at the time of the execution. 

This difference is captured within the 

proposed rule text. 

The Exchange notes that with the 

upcoming migration from MRX’s 

current system to the INET system the 

manner in which the System offsets will 

change. The current MRX system does 

not offset, in that long call percentages 

are not offset by short call percentages, 

and long put percentages are not offset 

by short put percentages, [sic] The 

proposed System however will track 

and calculate the net impact,4 [sic] The 

Exchange notes this difference in the 

calculation and seeks to memorialize 

the change in the process upon the 

migration to INET. The proposed rule 

will provide participants with greater 

clarity as to the operation of the 

Percentage risk feature on INET. The 

proposed text indicates that if the Issue 

Percentage exceeds the Percentage 

Threshold the System will 

automatically remove a Market Maker’s 

quotes in all series of the options class. 

Proposed Rule 804(g)(1)(B) describes 

in greater detail the operation of the 

Volume Threshold. As is the case today 

on MRX’s current system, a Market 

Maker must provide a Volume 

Threshold by which the System will 

automatically remove a Market Maker’s 

quotes in all series of an underlying 

security when the Market Maker 

executes a number of contracts which 

exceeds the designated number of 

contracts in all options series in an 

options class. 

Proposed Rule 804(g)(1)(C) describes 

in greater detail the operation of the 

Delta Threshold. As is the case today on 

MRX’s current system, a Market Maker 

must provide a Delta Threshold by 

which the System will automatically 

remove a Market Maker’s quotes in all 

series of an underlying security. For 

each class of options, the System will 

maintain a Delta counter, which tracks 

the absolute value of the difference 

between (i) purchased call contracts 

plus sold put contracts and (ii) sold call 

contracts plus purchased put contracts. 

If the Delta counter exceeds the Delta 

Threshold established by the Member, 

the System will automatically remove a 

Market Maker’s quotes in all series of 

the options class. 

Proposed Rule 804(g)(1)(D) describes 

in greater detail the operation of the 

Vega Threshold. As is the case today on 

MRX’s system, a Market Maker must 

provide a Vega Threshold by which the 

System will automatically remove a 

Market Maker’s quotes in all series of an 

options class. For each class of options, 

the System will maintain a Vega 

counter, which tracks the absolute value 

of purchased contracts minus sold 

contracts. If the Vega counter exceeds 

the Vega Threshold established by the 

Member, the System will automatically 

remove a Market Maker’s quotes in all 

series of the options class. 

mstockstill on DSK30JT082PROD with NOTICES

38728 Federal Register / Vol. 82, No. 156 / Tuesday, August 15, 2017 / Notices 

Proposed Rule 804(g)(2) provides 

more detail about the System’s current 

operation with respect to quote removal. 

The System will automatically remove 

quotes in all options in an underlying 

security when the Percentage 

Threshold, Volume Threshold, Delta 

Threshold or Vega Threshold has been 

exceeded. The System will send a Purge 

Notification Message to the Market 

Maker for all affected series when any 

of the above thresholds have been 

exceeded. The Percentage Threshold, 

Volume Threshold, Delta Threshold and 

Vega Threshold are considered 

independently of each other. Quotes 

will be automatically executed up to the 

Market Maker’s size regardless of 

whether the execution of such quotes 

would cause the Market Maker to 

exceed the Percentage Threshold, 

Volume Threshold, Delta Threshold or 

Vega Threshold. 

Proposed Rule 804(g)(3) provides 

more detail about the manner in which 

the System resets the counting of the 

various risk parameters. 

Notwithstanding the automatic removal 

of quotes described in the rule, if a 

Market Maker requests the System to 

remove quotes in all options series in an 

options class, the System will 

automatically reset all Thresholds. 

Proposed Rule 804(g)(4) provides 

more detail about the process to reinitiate quoting. When the System 

removes quotes because the Percentage 

Threshold, Volume Threshold, Delta 

Threshold or Vega Threshold were 

exceeded, the Market Maker must send 

a re-entry indicator to re-enter the 

System. 

Proposed Rule 804(g)(5) provides 

more detail about default parameters as 

mentioned above. If a Market Maker 

does not provide a parameter for each of 

the automated quotation removal 

Thresholds described in Rule 

804(g)(1)(A–D) above, the Exchange will 

apply default parameters, which are 

announced to Members. This language 

exists today in the current text and is 

being memorialized herein. 

Finally, proposed Rule 804(g)(6) 

describes the interaction between the 

four Thresholds and the market wide 

parameter. In addition to the Thresholds 

described in Rule 804(g)(1)(A)–(D) 

above, a Market Maker must provide a 

market wide parameter by which the 

Exchange will automatically remove a 

Market Maker’s quotes in all classes 

when, during a time period established 

by the Market Maker, the total number 

of quote removal events specified in 

Rule 804(g)(1)(A)–(D) exceeds the 

market wide parameter provided to the 

Exchange by the Market Maker. 

Below are some illustrative examples 

of the Percentage and Volume risk 

parameters. 

Example #1: Describes the Percentage 

risk parameter. Presume the following 

Order Book: 

Series of underlying XYZ Size on bid × 

offer for MM1 

100 Strike Call ..................... 300 × 300 

100 Strike Put ...................... 50 × 50 

110 Strike Call ..................... 200 × 200 

110 Strike Put ...................... 150 × 150 

In this example, assume the Specified 

Time Period designated by the Market 

Maker #1 is 10 seconds and the 

Percentage Threshold is set to 100%. 

Assume at 12:00:00, Market Maker #1 

executes 100 contracts of his offer size, 

200 contracts, in the 110 Strike Calls. 

This represents an execution equaling 

50% (100 contracts of the 200 contract 

quote size) of the 100% Percentage 

Threshold. Assume at 12:00:01, Market 

Maker #1 executes 50 additional 

contracts in the same 110 Strike Calls. 

This execution equates to an additional 

25% ((50 contracts/(100 remaining 

quote size +100 contracts already 

executed within the Specified Time 

Period)) for a net 75% Series Percentage 

count toward the 100% Percentage 

Threshold. If at 12:00:03, Market Maker 

#1 executes the full size of his bid (50 

contracts) in the 100 Strike Put, the 

System will automatically remove all of 

Market Maker #1’s quotes in Underlying 

XYZ since the execution caused his 

100% Percentage Threshold to be 

exceeded; the execution in the 100 

Strike Put added 100% Series 

Percentage to his previously calculated 

Series Percentage of 75% totaling 175% 

Issue Percentage. No further quotes for 

Market Maker #1 in Underlying XYZ 

will be available until re-entry. The 

Specified Time Period will be reset for 

Market Maker #1 in options class XYZ 

and Market Maker #1 will need to send 

a re-entry indicator in order to re-enter 

quotes in options series for options class 

XYZ into the System. 

Example #2 is another example of the 

Percentage Threshold. Presume the 

following Order Book: 

In this example, assume Market 

Maker #1 has Percentage Threshold set 

at 100% with a Specified Time Period 

over 5 seconds. Assume at 12:00:00, 

Market Maker #1 is quoting the XYZ 20 

strike calls at 1.00 (10)–1.20 (10). An 

incoming Order to buy 5 contracts for 

1.20 trades against Market Maker #1’s 

quote. Based on this trade, the Series 

Percentage Threshold calculation is 5/ 

[(10)+(0)] = 5/10 = 50%. Since this is the 

only execution during the Time Period, 

50% also represents the Issue 

Percentage, therefore Market Maker #1’s 

quote is now 1.00 (10)–1.20 (5). 

Next, assume at 12:00:01 an Incoming 

Order to buy 2 contracts for 1.20 trades 

against Market Maker #1’s quote. Based 

on this trade, the Series Percentage 

Threshold calculation is 2/[(5)+(5)] = 2/ 

10 = 20%. The Issue Percentage 

calculation is the sum of Series 

Percentages during the time period, or 

50% +20% = 70%. 

Finally, presume Market Maker #1’s 

quote is now 1.00 (10)–1.20 (3). At 

12:00:02, Market Maker #1 updates his 

quote in the XYZ 20 strike calls to 

increase his offer size back to 10 

contracts, 1.00 (10)–1.20 (10). An 

incoming Order to buy 6 contracts for 

1.20 trades against Market Maker #1’s 

quote. Based on this trade, the Series 

Percentage Threshold calculation: 6/ 

[(10)+(7)] = 6/17 = 35.29%. The Issue 

Percentage calculation is the sum of 

Series Percentages during the time 

period, or 50% + 20% + 35.29% = 

105.29%. In this scenario, Market Maker 

#1’s quotes are removed in all series of 

XYZ since his setting of 100% over 5 

seconds has been exceeded. 

Example #3 describes the Volume 

Threshold. Presume the following Order 

Book: 

Series of underlying XYZ Size on bid × 

offer for MM1 

100 Strike Call ..................... 300 × 300 

100 Strike Put ...................... 50 × 50 

110 Strike Call ..................... 200 × 200 

110 Strike Put ...................... 150 × 150 

In this example, assume the Specified 

Time Period designated by the Market 

Maker #1 is 10 seconds and the 

designated number of contracts 

permitted for the Volume-Based 

Threshold is 250 contracts. Assume at 

12:00:00, the Market Maker #1 executes 

all of his offer size, 200 contracts, in the 

110 Strike Calls. The System will 

initiate the Specified Time Period and 

for 10 seconds the System will count all 

volume executed in series of options 

class XYZ. If at any point during that 10 

second period, the Market Maker #1 

executes additional contracts in any 

series of the options class XYZ, those 

contracts will be added to the initial 

execution of 200 contracts. To illustrate, 

assume at 12:00:05 the Market Maker #1 

executes 60 contracts of his offer in the 

100 Strike Calls. The total volume 

executed is now 260 contracts. Since 

that volume exceeds the Market Maker 

#1’s designated number of contracts for 

the Volume Threshold (250 contracts), 

all of his quotes in all series of the 

options class XYZ over the Specialized 

mstockstill on DSK30JT082PROD with NOTICES

Federal Register / Vol. 82, No. 156 / Tuesday, August 15, 2017 / Notices 38729 

5The Specialized Quote Feed (‘‘SQF’’) interface 

allows Market Makers to connect and send quotes, 

sweeps and auction responses into MRX. SQF Data 

includes the following: (1) Options Auction 

Notifications (e.g., opening imbalance, Flash, PIM, 

Solicitation and Facilitation or other information); 

(2) Options Symbol Directory Messages; (3) System 

Event Messages (e.g., start of messages, start of 

system hours, start of quoting, start of opening); (4) 

Option Trading Action Messages (e.g., halts, 

resumes); (5) Execution Messages; and (6) Quote 

Messages (quote/sweep messages, risk protection 

triggers or purge notifications). 

6See Securities Exchange Act Release No. 81204 

July 25, 2017) (SR–MRX–2017–02) (not yet 

published) [sic] (Order Approving Proposed Rule 

Change to Amend Various Rules in Connection 

with a System Migration to Nasdaq INET 

Technology). 

7 15 U.S.C. 78f(b). 

8 15 U.S.C. 78f(b)(5). 

9The time of receipt is the time such message is 

processed by the Order Book. 

10See BATS Rule 21.16, BOX Rules 8100 and 

8110, C2 Rule 8.12, CBOE Rule 8.18, MIAX Rule 

612, NYSE MKT Rule 928NY and NYSE Arca Rule 

6.40. 

11 15 U.S.C. 78s(b)(3)(A)(iii). 

12 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

4(f)(6) requires a self-regulatory organization 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 

Continued 

Quote Feed 5 will be removed from the 

System; no further quotes will be 

executed until re-entry. The Volume 

Specified Time Period will be reset for 

Market Maker #1 in options class XYZ 

and Market Maker #1 will need to send 

a re-entry indicator in order to re-enter 

quotes in options series for options class 

XYZ into the System. 

Implementation 

The Exchange will begin a system 

migration to Nasdaq INET in Q3 of 

2017.6 The migration will be on a 

symbol by symbol basis as specified by 

the Exchange in a notice to Members. 

The Exchange is proposing to 

implement this rule change on the INET 

platform as the symbols migrate to that 

platform. 

2. Statutory Basis 

The Exchange believes that its 

proposal is consistent with Section 6(b) 

of the Act,7 in general, and furthers the 

objectives of Section 6(b)(5) of the Act,8

in particular, in that it is designed 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, by 

memorializing, with greater detail, the 

risk protections available to Market 

Makers. The described Thresholds serve 

to decrease risk and increase stability. 

Additionally, because the Exchange 

offers these risk tools to Market Makers, 

in order to encourage them to provide 

as much liquidity as possible and 

encourage market making generally, the 

proposal removes impediments to and 

perfects the mechanism of a free and 

open market and a national market 

system and protects investors and the 

public interest. The Exchange believes 

that amending Rule 804(g) to add more 

clarifying text, which explains in greater 

detail the manner in which the four 

Thresholds operate will bring more 

transparency to the rule which serves to 

protect investors and the public interest, 

because Market Makers will be more 

informed about the manner in which the 

functionality operates. 

In addition, the Exchange’s proposal 

to amend the current Percentage 

Threshold to: (i) Calculate offsets; and 

(ii) calculate the Percentage Threshold 

during a Specified Time Period and for 

each side in a given series, a percentage, 

by dividing the size of a Market Maker’s 

quote size executed in a particular series 

(the numerator) by the Market Maker’s 

quote size available at the time of 

execution plus the total number of the 

Market Market’s quote size previously 

executed during the unexpired 

Specified Time Period, will provide 

Market Makers with greater precision in 

calculating quoting risks. The Exchange 

believes that providing Market Makers 

with tools to calculate risk serves to 

perfect the mechanism of a free and 

open market and a national market 

system, and, in general to protect 

investors and the public interest 

because Market Makers are better able to 

manage risks with this risk tool. 

The Exchange further represents that 

its proposal will continue to operate 

consistently with the firm quote 

obligations of a broker-dealer pursuant 

to Rule 602 of Regulation NMS and that 

the functionality is mandatory. 

Specifically, any interest that is 

executable against a Market Maker’s 

quotes that are received 9 by the 

Exchange prior to the time any of these 

functionalities are engaged will be 

automatically executed at the price up 

to the Market Maker’s size, regardless of 

whether such execution results in 

executions in excess of the Market 

Maker’s pre-set parameters. 

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. Specifically, 

the proposal will not impose a burden 

on intra-market or inter-market 

competition, rather it provides Market 

Makers with the continued opportunity 

to avail themselves of risk tools, [sic] 

The proposal does not impose a burden 

on inter-market competition, because 

participants may choose to become 

Market Makers on a number of other 

options exchanges, which may have 

similar but not identical features.10 The 

proposed rule change is meant to 

continue to protect Market Makers from 

inadvertent exposure to excessive risk. 

Accordingly, the proposed rule change 

will have no impact on competition. 

The Exchange’s proposal to amend 

the current Percentage Based risk 

feature to: (i) Calculate offsets; and (ii) 

calculate the Percentage Threshold 

during a Specified Time Period and for 

each side in a given series, a percentage, 

by dividing the size of a Market Maker’s 

quote size executed in a particular series 

(the numerator) by the Market Maker’s 

quote size available at the time of 

execution plus the total number of the 

Market Market’s quote size previously 

executed during the unexpired 

Specified Time Period, does not impose 

an undue burden on competition and is 

non-controversial because the Exchange 

offers a Percentage Threshold today. 

The proposed changes to the Percentage 

risk tool simply add more precision to 

the existing calculation to permit 

Market Makers to better control their 

risk with respect to quoting. 

Further, the Exchange is 

memorializing more detail concerning 

the function of the Thresholds with this 

rule proposal and making clear the 

method in which the Percentage risk 

tool is calculated. The risk tools will 

continue to reduce risk for Market 

Makers in the event of a systems issue 

or due to the occurrence of unusual or 

unexpected market activity. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were either 

solicited or received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

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 11 and 

subparagraph (f)(6) of Rule 19b–4 

thereunder.12

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38730 Federal Register / Vol. 82, No. 156 / Tuesday, August 15, 2017 / Notices 

change, or such shorter time as designated by the 

Commission. The Exchange has satisfied this 

requirement. 

13For purposes only of waiving the 30-day 

operative delay, the Commission has also 

considered the proposed rule’s impact on 

efficiency, competition, and capital formation. See 

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

14 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

In its filing, MRX requests that the 

Commission waive the 30-day operative 

delay in order to enable the Exchange to 

coordinate the implementation of the 

proposed rule changes with its planned 

migration to the INET platform, which 

will commence in Q3 of 2017. Although 

the Exchange proposes certain technical 

changes to how the risk parameters will 

operate (e.g., limiting the Specified 

Time Period to 30 seconds), the 

proposed changes are largely intended 

to provide more detail about the 

operation of the existing risk 

parameters. Accordingly, the 

Commission believes that granting a 

waiver of the operative delay is 

consistent with the protection of 

investors and the public interest and 

therefore designates the proposed rule 

change to be operative upon filing.13

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. 

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– 

MRX–2017–14 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–MRX–2017–14. 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 Web site (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 Web site 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; 

the Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR–MRX– 

2017–14, and should be submitted on or 

before September 5, 2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.14

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–17167 Filed 8–14–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81362; File No. SR–Phlx– 

2017–61] 

Self-Regulatory Organizations; 

NASDAQ PHLX LLC; Notice of Filing 

and Immediate Effectiveness of 

Proposed Rule Change To Amend the 

Exchange’s Pricing Schedule 

August 9, 2017. 

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 July 31, 

2017 NASDAQ PHLX LLC (‘‘Phlx’’ or 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission (‘‘SEC’’ or 

‘‘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 Substance of 

the Proposed Rule Change 

The Exchange proposes to amend the 

Exchange’s Pricing Schedule to: (i) 

Increase the Options Transaction Charge 

for Specialists and Market Makers who 

engage in NDX transactions on the 

Exchange Floor; (ii) exclude NDX 

transactions from the Exchange’s 

Monthly Firm Fee Cap that otherwise 

applies to the monthly transaction fees 

that market participants incur when 

trading on the Exchange; and (iii) 

exempt NDX transactions from the 

Exchange’s waiver of Options 

Transaction Charges for certain 

facilitation orders. 

While these amendments are effective 

upon filing, the Exchange has 

designated the proposed amendments to 

be operative on August 1, 2017. 

The text of the proposed rule change 

is available on the Exchange’s Web site 

at http://nasdaqphlx.cchwallstreet. 

com/, at the principal office of the 

Exchange, and at the Commission’s 

Public Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

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 make three 

changes to Section II of its Pricing 

Schedule. First, the Exchange proposes 

to increase its Options Transaction 

Charge for Specialists and Market 

Makers that engage in NDX transactions 

on the Exchange Floor. Last March, the 

Exchange increased its Options 

Transaction Charges from $0.25 to $0.75 

per contract for all categories of market 

participants transacting in NDX, except 

for Specialists and Market Makers 

which transact in NDX on the Floor and 

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