Federal Register / Vol. 82, No. 186 / Wednesday, September 27, 2017 / Notices 45085 

21 17 CFR 200.30–3(a)(12). 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

information via ISG from other 

exchanges that are members of ISG or 

with which the Exchange has entered 

into a comprehensive surveillance 

sharing agreement. In addition, as noted 

above, investors will have ready access 

to information regarding platinum 

pricing. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. The 

Exchange believes the proposed rule 

change will enhance competition by 

accommodating Exchange trading of an 

additional exchange-traded product 

relating to physical platinum. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. 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 

up to 90 days (i) as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 

reasons for so finding or (ii) as to which 

the self-regulatory organization 

consents, the Commission will: 

(A) By order approve or disapprove 

the 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– 

NYSEArca–2017–110 on the subject 

line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE., 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–NYSEArca–2017–110. 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 

offices of the Exchange. All comments 

received will be posted without change; 

the Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR– 

NYSEArca–2017–110, and should be 

submitted on or before October 18, 

2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.21

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–20627 Filed 9–26–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81676; File No. SR– 

NYSEAMER–2017–15] 

Self-Regulatory Organizations; NYSE 

American LLC; Notice of Filing of 

Proposed Rule Change Amending Rule 

980NY (Electronic Complex Order 

Trading) To Clarify the Priority of 

Electronic Complex Orders and To 

Modify Aspects of Its Complex Order 

Auction Process 

September 21, 2017. 

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

Securities Exchange Act of 1934 (the 

‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that, on 

September 8, 2017, NYSE American 

LLC (the ‘‘Exchange’’ or ‘‘NYSE 

American’’) 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 self-regulatory 

organization. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend 

Rule 980NY(Electronic Complex Order 

Trading) to clarify the priority of 

Electronic Complex Orders and to 

modify aspects of its Complex Order 

Auction Process. 

The proposed rule change is available 

on the Exchange’s Web site at 

www.nyse.com, at the principal office of 

the Exchange, and at the Commission’s 

Public Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

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

of the most significant parts of such 

statements. 


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4Per Rule 980NY, ‘‘an ‘Electronic Complex Order’ 

means any Complex Order as defined in Rule 

900.3NY(e) that is entered into the System.’’ Rule 

900.3NY defines Complex Order as ‘‘any order 

involving the simultaneous purchase and/or sale of 

two or more different option series in the same 

underlying security, for the same account, in a ratio 

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

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

the purpose of executing a particular investment 

strategy.’’ 

5The Exchange notes that the proposed 

modifications to its COA are materially identical to 

changes recently approved on NYSE Arca Inc. 

(‘‘NYSE Arca’’), except that the Exchange’s 

proposed changes account for the Exchange’s 

Customer priority rules, whereas NYSE Arca’s 

approved COA rules incorporate NYSE Arca’s 

price-time priority rules. See Securities Exchange 

Act Release No. 80138 (March 1, 2017), 82 FR 

12869 (March 7, 2017) (order granting accelerated 

approval of proposed rule change, as modified by 

Amendment Nos. 1 and 2, to amend NYSE Arca 

Rule 6.91) (the ‘‘NYSE Arca Approval Order’’). 

6Core Trading Hours are the regular trading hours 

for business set forth in the rules of the primary 

markets underlying those option classes listed on 

the Exchange. See Rule 900.2NY(15). 

7See Rule 980NY(a). The Exchange proposes to 

define ‘‘leg markets’’ in reference to individual 

quotes and orders in the Consolidated Book as used 

throughout the rule text and also proposes to 

capitalize the defined term ‘‘System’’. See proposed 

Rule 980NY(a); see also Rule 900.2NY(48) (defining 

the term System (or Exchange System) as ‘‘the 

Exchange’s electronic order delivery, execution and 

reporting system for designated option issues 

through which orders and quotes of Users are 

consolidated for execution and/or display. Market 

Makers must submit quotes to the System in their 

appointed classes electronically’’). 

8See Rule 964NY(b)(2)(A) (also providing that ‘‘if 

there is more than one highest bid for a Customer 

account or more than one lowest offer for a 

Customer account, then such bids or offers, 

respectively, will be ranked based on time 

priority’’); and Rule 964NY(b)(3) (setting forth pro 

rata allocation method). 

9See Rule 980NY(b). The Exchange proposes a 

non-substantive amendment to add the term 

‘‘Electronic’’ so that the rule text would read, 

‘‘Priority of Electronic Complex Orders in the 

Consolidated Book.’’ 

10See Rule 980NY(c). The Rule also provides that 

‘‘[n]o leg of a [ECO] will be executed at a price 

outside the Exchange’s best bid/offer for that leg.’’ 

See id. 

11See proposed Rule 980NY(c). Rule 980NY(c)(i) 

sets forth how ECOs are executed at the Open. The 

Exchange proposes a non-substantive amendment 

to add the term ‘‘Electronic’’ so that the rule text 

would read, ‘‘Execution of Electronic Complex 

Orders at the Open.’’ 

12See Rule 980NY(c)(ii)(A). The Exchange notes 

that when an ECO trades against individual quotes 

and orders in the leg markets this is commonly 

referred to as ‘‘legging out.’’ 

13 Id. 

14 Id. See Rule 964NY(b)(2)(A) (Display, Priority 

and Order Allocation—Trading Systems) (also 

providing that ‘‘if there is more than one highest bid 

for a Customer account or more than one lowest 

offer for a Customer account, then such bids or 

offers, respectively, will be ranked based on time 

priority’’). 

15See Rule 980NY(c)(ii)(A). 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend 

Rule 980NY to clarify the priority of 

Electronic Complex Orders (‘‘ECO’’) 4

and to modify aspects of its Complex 

Order Auction (‘‘COA’’) Process.5

Rule 980NY sets forth how the 

Exchange conducts trading of ECOs in 

its Complex Matching Engine (‘‘CME’’). 

The Exchange proposes to streamline 

the rule text describing the execution of 

ECOs during Core Trading Hours 6 to 

provide specificity and transparency 

regarding such order processing, 

without modifying the substance of 

such processing. The Exchange also 

proposes to amend the rules describing 

how ECOs that are eligible for a COA 

Process are executed and allocated to 

clarify the description of current 

functionality and to provide additional 

detail regarding order processing. The 

Exchange also proposes amendments to 

Rule 980NY to clarify and add 

transparency to the description of the 

COA Process, as described below. 

Execution of ECOs During Core Trading 

Hours 

The Exchange proposes to streamline 

its description of the priority of ECOs 

during Core Trading Hours, which the 

Exchange believes would add specificity 

and transparency to Exchange rules. 

Every ECO, upon entry to the System, is 

routed to the CME for possible 

execution against other ECOs or against 

individual quotes and orders residing in 

the Consolidated Book (‘‘leg markets’’).7

In general, the Exchange affords 

Customer orders priority over samepriced non-Customer orders received by 

the Exchange. The Exchange ranks and 

allocates Customer orders at the same 

price in time priority and, after all 

Customer orders are executed at a price, 

non-Customer orders at the same price 

are allocated on a pro rata basis.8

Similarly, the Exchange affords 

Customer ECOs priority over nonCustomer ECOs with the same total net 

debit or credit. The Exchange ranks 

Customer ECOs with the same total or 

net debit or credit based on the time of 

entry of such Customer ECOs, and then 

ranks non-Customer ECOs at the same 

total net debit or credit based on the 

time of entry of such non-Customer 

ECOs.9

Paragraph (c) to the Rule sets forth 

how ECOs are executed, including that 

ECOs submitted to the System may be 

executed without consideration of 

prices of the same complex order that 

might be available on other exchanges.10

The Exchange proposes to specify that 

ECOs may be executed without regard to 

prices of ‘‘either single-legged or the 

same complex order strategy’’ that might 

be available on other exchanges, which 

adds specificity and transparency to 

Exchange rules.11 The Exchange also 

proposes to amend Rule 980NY(c) by renumbering the rule text. As described in 

more detail below, proposed Rule 

980NY(c)(ii) would set forth how ECOs 

that are marketable on arrival would be 

executed and proposed Rule 

980NY(c)(iii) would set forth how ECOs 

that are not executed on arrival would 

be ranked and executed on the 

Consolidated Book. 

Rule 980NY(c)(ii) sets forth how ECOs 

are executed during Core Trading. 

Paragraph (c)(ii)(A) currently provides 

that the CME will accept an incoming 

marketable ECO and will automatically 

execute the ECO giving first priority to 

ECOs in the Consolidated Book or, if not 

marketable against another ECO, the 

incoming ECO will trade against 

individual orders or quotes residing in 

the Consolidated Book, provided it can 

be executed in full (or in a permissible 

ratio) by the leg markets.12 Because 

Customer orders have priority, Rule 

980NY(c)(ii)(A) further provides that 

‘‘[n]otwithstanding the foregoing, if 

individual Customer orders residing in 

the Consolidated Book can execute the 

incoming [ECO] in full (or in a 

permissible ratio) at the same total or 

net debit or credit as an [ECO] in the 

Consolidated Book, the individual 

Customer orders will have priority.’’ 13

In other words, the leg markets have 

first priority to trade against the 

incoming ECO if (i) there are no better 

priced ECOs in the Consolidated Book, 

(ii) the leg markets can trade in full or 

permissible ratio against an ECO and 

(iii) each leg contains Customer interest. 

Further, the current rule provides that 

leg markets that trade against an ECO, 

per Rule 980NY(c)(ii), are allocated 

pursuant to Rule 964NY.14

The Exchange proposes to revise the 

rule text describing execution of ECOs 

during Core Trading Hours in a manner 

that the Exchange believes would 

promote transparency regarding the 

processing of ECOs. The proposed rule 

text is not intended to change how the 

Exchange currently processes ECOs, 

which is described in the current rule, 

but rather to specify the order 

processing in a more logical manner. 

Specifically, the Exchange proposes to 

delete current paragraph (c)(ii)(A) of the 

Rule and replace it with proposed new 

paragraph (c)(ii). 

Proposed Rule 980NY(c)(ii) would 

provide that the CME would accept an 

incoming marketable ECO and 

automatically execute it against the bestpriced contra-side interest resting in the 

Consolidated Book.15


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16See id. See also Rule 980NY(b). 17See proposed Rule 980NY(ii) (sic) (also 

providing that the allocation of the orders or quotes 

in the leg markets would be allocated against the 

ECO in accordance with Rule 964NY(b)). 18See id. 19See proposed Rule 980NY(c)(iii)(A). Consistent 

with the proposed change to define ‘‘leg markets’’ 

in Rule 980NY(a), the Exchange proposes to replace 

‘‘bids and offers in the leg markets’’ with ‘‘leg 

markets’’ in the proposed Rule. See id. 20See proposed Rule 980NY(c)(iii)(B). 

21To the extent that the proposed streamlined 

rule text mirrors existing language, the Exchange 

cites the relevant section of both the proposed and 

existing rule. See also NYSE Arca Approval Order, 

supra note 5 (the proposed modifications to the 

COA mirror recently approved changes on the 

NYSE Arca options exchange). 

22The Exchange describes the Request for 

Response or ‘‘RFR’’ in connection with a COA in 

new paragraph (e)(3) to Rule 980NY. 

23See proposed Rule 980NY(e)(1). 

24See Rule 980NY(e)(1). At this time, the 

Exchange allows COA-eligible orders to be entered 

in every class. 

25See Rule 980NY(e)(2) (requiring that an ATP 

Holder mark an ECO for auction in order for a COA 

to be conducted). 

26See Rule 900.2NY(7)(b) (defining Complex BBO 

as ‘‘the BBO for a given complex order strategy as 

derived from the best bid on OX and best offer on 

OX for each individual component series of a 

Complex Order’’). 

The proposed rule text would further 

specify that if, at a price, all the leg 

markets can trade against an incoming 

ECO in full (or in a permissible ratio), 

and each leg includes Customer interest, 

the leg markets would have first priority 

at that price to trade with the incoming 

ECO pursuant to Rule 964NY(b), to be 

followed by resting ECOs in price/time 

priority.16 In this case, both Customer 

and non-Customer orders and quotes in 

the leg markets at that price would trade 

against the incoming ECO.17 This 

proposed text, therefore, describes how 

an incoming marketable ECO would be 

allocated if resting ECOs and leg 

markets in the Consolidated Book are at 

the same price, i.e., the priority of samepriced interest in the Consolidated 

Book. 

As is currently the case, following any 

executions against the best-priced 

resting ECOs and/or against the leg 

markets, at a price, the ECO would then 

trade with ECOs resting in the 

Consolidated Book.18 The Exchange 

believes that the proposed rule text 

provides clarity regarding processing of 

ECOs, and in particular, under what 

circumstances the leg markets would 

have first priority to execute against an 

incoming marketable ECO. 

To distinguish the treatment during 

Core Trading of incoming marketable 

ECOs (that are immediately executed) 

from ECOs that are not marketable (and 

thus routed to the Consolidated Book), 

the Exchange proposes to renumber 

current Rule 980NY(c)(ii)(B) and (C), as 

proposed Rule 980NY(c)(iii)(A) and (B), 

under the new heading ‘‘Electronic 

Complex Orders in the Consolidated 

Book.’’ The Exchange also proposes 

language in Rule 980NY(c)(iii)(A) to 

make clear that an ECO, or portion 

thereof, that is not executed on arrival 

will be ranked in the Consolidated Book 

and that any incoming orders and 

quotes that can trade with a resting ECO 

would execute ‘‘according to (c)(ii) 

above.’’ 19 Finally, the Exchange 

proposes to clarify that orders that trade 

against ECOs in the Consolidated Book 

would be allocated pursuant to 

paragraph (b) of Rule 964NY (Priority 

and Allocation Procedures for Orders 

and Quotes with Size).20 The Exchange 

believes that the proposed additional 

heading and re-numbering of the rule 

text provides clarity regarding the 

treatment of non-marketable—as 

opposed to marketable—ECOs, without 

altering the functionality described in 

rule. 

Proposed Modifications to the 

Description of the COA Process 

The Exchange proposes to modify its 

description of the COA Process and the 

execution of COA-eligible orders, which 

the Exchange believes would provide 

additional specificity and transparency 

to Exchange rules.21 The Exchange is 

not proposing to modify the 

functionality of COA. Because of the 

number of modifications that the 

Exchange proposes to current paragraph 

(e), the Exchange proposes to delete 

paragraph (e) of the Rule in its entirety 

and replace it with new Rule 980NY(e), 

which the Exchange believes more 

clearly, accurately and logically 

describes the COA Process. Proposed 

Rules 980NY(e)(1)–(7) would describe 

the COA Process. 

Execution of COA-Eligible Orders, 

Initiation of COAs and RFR Responses 

Proposed Rule 980NY(e) would 

provide that, upon entry into the 

System, ECOs may be immediately 

executed, in full (or in a permissible 

ratio) as provided in proposed 

paragraph (c)(ii), or may be subject to a 

COA as described in the Rule. This rule 

text is based on current Rule 980NY(e), 

which provides that COA-eligible 

orders, upon entry into the System, 

‘‘may be subject to an automated request 

for responses (‘‘RFR’’) auction.’’ 22 The 

current rule text is silent as to the 

factors involved in whether and when 

an incoming COA-eligible order may 

trigger a COA. As discussed below, 

proposed Rules 980NY(e)(2) and (e)(3) 

would address when an incoming COAeligible order would trigger a COA. 

Proposed Rule 980NY(e)(1) would 

define the term ‘‘COA-eligible order’’ to 

mean an ECO that is entered in a class 

designated by the Exchange and is: 

(i) Designated by the ATP Holder as 

COA-eligible; and 

(ii) received during Core Trading 

Hours.23

The proposed definition is based, in 

part, on the current Rule, which 

provides that whether an order is COAeligible ‘‘would be determined by the 

Exchange on a class-by-class basis’’ 24

and that the ATP Holder must provide 

direction that an auction be initiated.25

The Exchange believes that explicitly 

stating that an ECO would be COAeligible only if received during Core 

Trading Hours would add clarity and 

transparency. The Exchange proposes to 

eliminate from the current definition 

(set forth in Rule 980NY(e)(1)) features 

of ECOs that are not determinative of 

COA eligibility on the Exchange, such 

as the ‘‘size, number of series, and 

complex order origin types (i.e., 

Customers, broker-dealers that are not 

Market-Makers or specialists on an 

options exchange, and/or MarketMakers or specialists on an options 

exchange).’’ The Exchange is also not 

including language from current Rule 

980NY(e)(1) that provides that ECOs 

‘‘processed through the COA Process 

may be executed without consideration 

to prices of the same complex orders 

that might be available on other 

exchanges,’’ as paragraph (c) of the Rule 

includes this provision. Finally, the 

Exchange proposes to remove an ECO’s 

‘‘marketability (defined as a number of 

ticks away from the current market)’’ as 

a requirement for COA-eligibility and to 

instead include this requirement in 

proposed paragraph (e)(3) regarding 

whether a COA-eligible order would 

actually trigger (as opposed to be 

eligible to trigger) a COA, as discussed 

below. 

Proposed Rule 980NY(e)(2) would 

add new rule text describing the 

‘‘Immediate Execution of COA-eligible 

orders.’’ The proposed text would 

clearly state that, upon entry of a COAeligible order into the System, it would 

trade immediately, in full (or in a 

permissible ratio), with any ECOs 

resting in the Consolidated Book that 

are priced better than the contra-side 

Complex BBO and, if not all legs 

include Customer interest, with any 

ECOs resting in the Consolidated Book 

priced equal to the contra-side Complex 

BBO.26 The proposed paragraph would 

further specify that any portion of the 

COA-eligible order that does not trade 

immediately upon entry may start a 


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27See proposed Rule 980NY(e)(3). 

28See id. 

29The Exchange believes this can be inferred 

from the text describing the impact of COA-eligible 

orders that arrive during a COA in progress. See, 

e.g., Rule 980NY(e)(8). Proposed Rule 980NY(e)(6), 

described below, provides specificity of when a 

COA may terminate early and when a subsequent 

COA may be initiated. 

30See proposed Rule 980NY(c)(ii) (leg markets 

have priority at a price). 

31ATPs Holders can submit RFR Responses on 

behalf of Customers. 

COA, subject to the conditions set forth 

in proposed paragraph (e)(3). 

The Exchange believes that the 

proposed rule text promotes 

transparency regarding when a COAeligible order would receive an 

immediate execution (i.e., when it can 

receive price improvement from resting 

ECOs) versus being subject to a COA. 

The immediate price improvement 

opportunity for an incoming COAeligible order from resting ECOs in the 

Consolidated Book may obviate the 

need to start a COA, which is why 

incoming orders first trade against priceimproving interest in the Consolidated 

Book before initiating a COA. 

Proposed Rule 980NY(e)(3) would 

specify the conditions required for the 

‘‘Initiation of a COA’’ and, if those 

conditions are met, how a COA would 

be initiated. As proposed, and 

consistent with current functionality, 

for any portion of a COA-eligible order 

not executed immediately under 

proposed Rule 980NY(e)(2), the 

Exchange would initiate a COA based 

on the limit price of the COA-eligible 

order and the ‘‘marketability’’ of the 

order as discussed below. 

• First, as set forth in proposed Rule 

980NY(e)(3)(i), the limit price of the 

COA-eligible order to buy (sell) would 

have to be higher (lower) than the bestpriced, same-side interest in both the leg 

markets and any ECOs resting in the 

Consolidated Book. In other words, the 

limit price of the COA-eligible order 

would have to improve the current 

same-side market. 

• Second, as set forth in proposed 

Rule 980NY(e)(3)(ii), the COA-eligible 

order would have to be priced within a 

given number of ticks away from the 

current, contra-side market, as 

determined by the Exchange. This 

concept is based on current Rule 

980NY(e)(1), which defines the 

‘‘marketability’’ of a COA-eligible order 

as being ‘‘a number of ticks away from 

the current market.’’ Because a COAeligible order may be a certain number 

of ticks away from the current market, 

a COA could be initiated even if the 

limit price of the COA-eligible order is 

not at or within the Exchange best bid/ 

offer for each leg of the order. However, 

a COA-eligible order must trade at a 

price that is at or within the Exchange 

best bid/offer for each leg of the order, 

consistent with Rule 980NY(c) regarding 

the execution of ECOs in general. 

The Exchange also proposes to make 

clear that a COA-eligible order would 

reside on the Consolidated Book until it 

meets the requirements of proposed 

paragraph (e)(3)(i)–(ii) and can initiate a 

COA.27 Proposed Rule 980NY(e)(3) 

further provides that the Exchange 

would initiate a COA by sending a 

Request for Response (‘‘RFR’’) message 

to all ATP Holders that subscribe to RFR 

messages.28 This requirement is based 

on the first sentence of current Rule 

980NY(e)(2). Proposed Rule 980NY(e)(3) 

would further provide that RFR 

messages would identify the component 

series, the size and side of the market of 

the order and any contingencies, which 

is based on the second sentence of 

current Rule 980NY(e)(2) without any 

changes. In addition, proposed Rule 

980NY(e)(3) would include new rule 

text to specify that only one COA may 

be conducted at a time in any given 

complex order strategy, which is not 

explicitly stated in the current rule.29

Finally, proposed Rule 980NY(e)(3) 

would specify that, at the time the COA 

is initiated, the Exchange would record 

the Complex BBO (the ‘‘initial Complex 

BBO’’) for purposes of determining 

whether the COA should end early 

pursuant to proposed paragraph (e)(6) of 

this Rule (discussed below). This is new 

rule text that is consistent with current 

functionality that ensures the COA 

respects the leg markets as well as 

principles of price/time priority.30

Proposed Rule 980NY(e)(4) would 

define the term Response Time Interval 

(‘‘RTI’’) as the period of time during 

which responses to the RFR may be 

entered. As further proposed, the 

Exchange would determine the length of 

the RTI; provided, however, that the 

duration would not be less than 500 

milliseconds and would not exceed one 

(1) second. This rule text is based on 

current Rule 980NY(e)(3) insofar as it 

defines the RTI and the duration of the 

RTI, with the non-substantive 

modification to replace reference to 

‘‘shall’’ with reference to ‘‘will.’’ 

Proposed Rule 980NY(e)(4) would 

also include new rule text providing 

that, at the end of the RTI, the COAeligible order would be allocated 

pursuant to proposed Rule 980NY(e)(7), 

which describes the allocation of COAeligible orders (hereinafter ‘‘COA Order 

Allocation’’) (described below). This 

proposed new rule text is based in part 

on current Rule 980NY(e)(5), which 

provides that at the expiration of the 

RTI, COA-eligible orders may be 

executed, in whole or in part, pursuant 

to Rule 980NY(e)(6) (Execution of COAeligible orders). The proposed rule text 

refers instead to Rule 980NY(e)(7), 

which incorporates the order allocation 

concepts currently set forth in Rule 

980NY(e)(6). The proposed change is 

intended to add clarity and 

transparency to the COA Process. 

Proposed Rule 980NY(e)(5) would 

provide that any ATP Holder may 

submit responses to the RFR message 

(‘‘RFR Responses’’) during the RTI.31

This rule text is based on the first 

sentence of current Rule 980NY(e)(4) 

without any changes. Proposed Rule 

980NY(e)(5)(A)–(C) would provide 

additional specificity regarding RFR 

Responses. 

• Proposed Rule 980NY(e)(5)(A) 

would provide that RFR Responses are 

ECOs that have a time-in-force 

contingency for the duration of the 

COA, must specify the price, size, and 

side of the market, and may be 

submitted in $0.01 increments. This 

rule text is based in part on the first 

sentence of Rule 980NY(e)(4), which 

provides that RFR Responses may be 

submitted in $.01 increments. Proposed 

Rule 980NY(e)(5)(A) is based in part on 

the second to last sentence of current 

Rule 980NY(e)(7), which provides that 

RFR Responses expire at the end of the 

RTI, which is the same in substance as 

saying that an RFR Response has a timein-force condition for the duration of the 

COA. The Exchange believes its 

proposed rule text is more accurate 

because it states that RFR Responses are 

valid for the duration of the COA, as 

opposed to the RTI, the latter being the 

period during which COA interest 

(including RFR Responses and incoming 

ECOs) is received and the former being 

the overall COA Process that allocates 

COA-eligible orders with the best-priced 

auction interest, including RFR 

Responses. 

• Proposed Rule 980NY(e)(5)(B) 

would provide that RFR Responses must 

be on the opposite side of the COAeligible order and any RFR Responses 

on the same side of the COA-eligible 

order would be rejected. This proposed 

rule text is based on the last sentence of 

current Rule 980NY(e)(4), which 

provides that RFR Responses must be on 

the opposite side of the COA-eligible 

order and any same-side RFR responses 

would be rejected by the Exchange, 

without any substantive changes. 

• Proposed Rule 980NY(e)(5)(C) 

would provide that RFR Responses may 

be modified or cancelled during the RTI, 


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32Rule 980NY(e)(7) sets forth the Firm Quote 

Requirements for COA-eligible orders. 

33See Rule 980NY(e)(8)(A) (providing that 

‘‘[i]ncoming Electronic Complex orders received 

during the Response Time Interval that are on the 

opposite side of the market and marketable against 

the limit price of the initiating COA-eligible order 

will be ranked and executed in price time with RFR 

Responses by account type (as described in (6) 

above). Any remaining balance of either the 

initiating COA-eligible order or the incoming 

Electronic Complex order will be placed in the 

Consolidated Book and ranked as described in (b) 

above’’). 

34The different treatment of the balance of the 

incoming order, depending on whether it is an ECO 

or a COA-eligible order is covered in proposed rules 

Rule 980NY(e)(6)(A)(iv) and (v), respectively. 

35See Rule 980NY(e)(8)(A). 

36See proposed Rule 980NY(e)(6)(A)(i). 

37See id. See proposed Rule 980NY(e)(7). See 

also discussion of ‘‘COA Order Allocation’’ below. 

would not be ranked or displayed in the 

Consolidated Book, and would expire at 

the end of the COA. The proposed text 

stating that RFR Responses may be 

modified or cancelled during the RTI is 

new rule text based in part on current 

Rule 980NY(e)(7), which provides that 

RFR Responses can be modified but may 

not be withdrawn at any time prior to 

the end of the RTI. The Exchange 

proposes to specify that an RFR 

Response may be modified or cancelled 

during the RTI, which is current 

functionality. The proposed text stating 

that RFR Responses expire at the end of 

the COA make clear when RFR 

Responses are ‘‘firm’’ and thus obviate 

the need for current Rule 980NY(e)(7).32

The proposed text of Rule 

980NY(e)(5)(C) stating that RFR 

Responses would not be ranked or 

displayed in the Consolidated Book is 

based on the last sentence of current 

Rule 980NY(e)(7) without any changes. 

The Exchange believes that the 

proposed Rules 980NY(e)(5), which 

reorganizes information from existing 

rule text and adds language to describe 

the requisite characteristics and 

behavior of an RFR Response, adds 

clarity and transparency to Exchange 

rules, including that, like all orders, an 

RFR Response may be modified or 

cancelled prior to the end of the RTI. 

The Exchange believes that specifying 

that RFR Reponses are good for the 

duration of the COA and may trade with 

interest received during the COA before 

expiring would encourage participation 

in the COA and would maximize the 

number of contracts traded. 

Impact of ECOs, COA-Eligible Orders 

and Updated Leg Markets on COA in 

Progress 

Proposed Rule 980NY(e)(6) would 

describe the impact of ECOs, COAeligible orders, and updates to the leg 

markets that arrived during an RTI of a 

COA. This proposed rule text would 

replace current Rule 980NY(e)(8). The 

Exchange believes that, because 

proposed Rule 980NY(e)(6) would 

establish what happens to a COA (i.e., 

whether it will end early) before the 

COA-eligible order is allocated, it would 

be more logical to describe these 

processes before the rule describes how 

COA-eligible orders are allocated, which 

would be set forth in proposed Rule 

980NY(c)(7). In addition, the Exchange 

proposes to add headings (see proposed 

Rule 980NY(e)(6)(A)–(C)) to make clear 

which type of incoming interest is being 

described. 

Proposed Rule 980NY(e)(6)(A) would 

describe the impact on a COA of 

incoming ECOs or COA-eligible orders 

on the opposite-side of the market as the 

initiating COA-eligible order. The 

current rule addresses the impact of 

opposite-side, incoming ECOs on a 

COA,33 but does not address the impact 

of opposite-side incoming COA-eligible 

orders. Accordingly, proposed 

paragraph (A) of Rule 980NY(e)(6) 

would be new rule text. The Exchange 

notes that the impact of an incoming 

COA-eligible order mirrors that of an 

incoming ECO in the scenarios covered 

in proposed Rules 980NY(e)(6)(A)(i)– 

(iii) (discussed below), which adds 

internal consistency and specificity to 

Exchange rules.34

• Proposed Rule 980NY(e)(6)(A)(i) 

would provide that incoming ECOs or 

COA-eligible orders that lock or cross 

the initial Complex BBO would cause 

the COA to end early. The concept of 

the initial Complex BBO as a benchmark 

against which incoming opposite-side 

interest would be measured is new rule 

text, but is consistent with current 

functionality. As noted above (see supra 

note 26), the initial Complex BBO is the 

BBO for a given complex order strategy 

as derived from the Best Bid (‘‘BB’’) and 

Best Offer (‘‘BO’’) for each individual 

component series of a Complex Order as 

recorded at the start of the RTI. 

Proposed Rule 980NY(e)(6)(A)(i) would 

further provide that if such incoming 

ECO or COA-eligible order is also 

executable against the limit price of the 

initiating COA-eligible order, it would 

be ranked with RFR Responses to trade 

with the initiating COA-eligible order. 

The Exchange believes that addressing 

this scenario would better enable market 

participants to understand how their 

ECOs, including COA-eligible orders, 

may be treated, and the proposed 

change therefore is designed to add 

clarity and transparency to Exchange 

rules. 

The proposed rule text relating to how 

an incoming opposite-side ECO or COAeligible order would be processed is 

based on current Rule 980NY(e)(8)(A), 

which provides that incoming ECOs 

received during the RTI ‘‘that are on the 

opposite side of the market and 

marketable against the limit price of the 

initiating COA-eligible order will be 

ranked and executed in price time with 

RFR Responses.’’ 35 The proposed rule 

text would also include opposite-side 

COA-eligible orders.36 The proposed 

rule text also does not include reference 

to ‘‘account type,’’ or ‘‘price time,’’ as 

the COA-eligible order would interact 

with the best-priced contra-side interest 

received during the RTI, per proposed 

paragraph (e)(7) of this Rule.37

• Proposed Rule 980NY(e)(6)(A)(ii) 

would provide that incoming ECOs or 

COA-eligible orders that are executable 

against the limit price of the initiating 

COA-eligible order, but do not lock or 

cross the initial Complex BBO, would 

not cause the COA to end early and 

would be ranked with RFR Responses to 

trade with the initiating COA-eligible 

order. This proposed paragraph 

specifies that the COA would continue 

uninterrupted by such incoming orders 

because such interest does not impact 

priority (because the incoming order 

isn’t priced better than the leg markets 

at the start of the COA). The incoming 

order, however, would be eligible to 

participate in the COA. This proposed 

text would be new rule text, which 

reflects current functionality that is 

based on the principles set forth in 

current Rule 980NY(e)(8)(A). 

• Proposed Rule 980NY(e)(6)(A)(iii) 

would provide that incoming ECOs or 

COA-eligible orders that are either not 

executable on arrival against the limit 

price of the initiating COA-eligible order 

or do not lock or cross the initial 

Complex BBO would not cause the COA 

to end early. Per this proposed 

paragraph, the COA would proceed 

uninterrupted as the incoming interest 

does not trigger priority concerns (i.e., 

does not lock or cross the initial 

Complex BBO) nor can the interest 

participate in the COA (i.e., because it 

is not executable against the initiating 

COA-eligible order). This would be new 

rule text, which reflects current 

functionality. 

• Proposed Rule 980NY(e)(6)(A)(iv) 

would provide that any incoming 

ECO(s), or the balance thereof, that was 

not executed with the initiating COAeligible order or was not executable on 

arrival would trade pursuant to 

proposed paragraph (c)(ii) or (iii) of this 

Rule (i.e., Core Trading Allocation). 

This proposed rule text is based on the 

last sentence of current Rule 


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38See proposed Rule 980NY(c)(ii) (leg markets 

have priority at a price). 

39See Rule 980NY(e)(8)(B)–(C) (addressing the 

impact of same-side incoming COA-eligible orders 

on a COA). 

40The Exchange notes that the different treatment 

of the balance of the incoming order, depending on 

whether it is an ECO or a COA-eligible order, is 

covered in proposed paragraphs (v) and (vi), 

respectively, of Rule 980NY(e)(6)(B). 

41See proposed Rule 980NY(e)(6)(B). 

42An incoming ECO or COA-eligible order priced 

‘‘better than’’ the COA-eligible order means it is 

priced higher (lower) than the initiating COAeligible order to buy (sell). See proposed Rule 

980NY(e)(6)(B)(ii). 

43See Rule 980NY(e)(8)(D) (providing, in part, 

that ‘‘[i]ncoming COA-eligible orders received 

during the Response Time Interval for the original 

COA-eligible order that are on the same side of the 

market and that are priced better than the initiating 

order will cause the auction to end’’). 

44An incoming ECO or COA-eligible order priced 

‘‘worse than’’ the COA-eligible order means it is 

priced lower (higher) than the initiating COAeligible order to buy (sell). See proposed Rule 

980NY(e)(6)(B)(ii). 

45See Rule 980NY(e)(8)(B)–(C), supra note 39. 

46An incoming ECO or COA-eligible order priced 

‘‘worse than’’ the COA-eligible order means it is 

priced lower (higher) than the initiating COAeligible order to buy (sell). See proposed Rule 

980NY(e)(6)(B)(iii). 

980NY(e)(8)(A), regarding ECOs, but 

provides additional detail regarding the 

ability for any balance on the incoming 

ECO to trade with the best-priced, 

resting contra-side interest before (or 

instead of) being ranked in the 

Consolidated Book, which is consistent 

with the Exchange’s processing of 

incoming ECOs. 

• Proposed Rule 980NY(e)(6)(A)(v) 

would provide that any incoming COAeligible order(s), or the balance thereof, 

that was not executed with the initiating 

COA-eligible order or was not 

executable on arrival would initiate 

subsequent COA(s) in price-time 

priority. Because the treatment of 

opposite-side COA-eligible orders is not 

described in the current rule, this would 

be new rule text. Unlike the treatment 

of incoming opposite-side ECOs—where 

any remaining balance of the ECOs 

would be subject to Core Trading 

Allocation or would be posted to the 

Consolidated Book after trading with the 

initiating COA-eligible order—any 

balance of the incoming contra-side 

COA-eligible order that does not trade 

with the initiating COA-eligible order 

would initiate a new COA. 

The Exchange believes that proposed 

Rule 980NY(e)(6)(A)(i)–(v) would 

provide additional specificity regarding 

the impact of opposite-side ECOs or 

COA-eligible orders on the COA 

Process, which adds transparency to 

Exchange rules. Specifically, the 

Exchange believes that providing for a 

COA to terminate early when an 

incoming order locks or crosses the 

initial Complex BBO, as proposed, 

would allow an initiating COA-eligible 

order to trade (ahead of the incoming 

order) against any RFR Responses or 

ECOs received during the RTI up until 

that point, while preserving the priority 

of the incoming order to trade with the 

resting leg markets. If no RFRs had been 

received during the RTI, the initiating 

COA-eligible order would trade against 

the best-priced, contra side interest, 

including the order the caused the COA 

to terminate early. The Exchange 

believes that early conclusion of the 

COA would avoid disturbing priority in 

the Consolidated Book and would allow 

the Exchange to appropriately handle 

incoming orders. The proposed rule text 

is consistent with the processing of 

ECOs during Core Trading and ensures 

that the leg markets respect the COA as 

well as principles of price/time 

priority.38 Moreover, the Exchange 

believes that the proposed impact of 

incoming COA-eligible orders aligns 

with the treatment of incoming ECOs, 

which adds internal consistency to 

Exchange rules, and affords additional 

opportunities for price improvement to 

the initiating COA-eligible order, which 

may trade with the opposite-side 

order(s). 

The Exchange proposes to process any 

remaining balance of COA-eligible 

orders differently from any balance of 

the incoming ECO because an ECO 

would either trade against resting 

interest or be ranked with ECOs in the 

Consolidated Book, whereas any 

balance of a COA-eligible order would 

initiate a new COA. The Exchange 

believes that this proposed rule text, 

which is consistent with current 

functionality, maximizes the execution 

opportunities to the incoming order(s), 

as these orders may trade with interest 

received in the (initiating) COA; and, for 

the incoming COA-eligible order, the 

potential for additional price 

improvement in a subsequent COA. 

Proposed Rule 980NY(e)(6)(B) would 

describe the impact of incoming ECOs 

or COA-eligible orders on the same side 

of the market as the initiating COAeligible order on a COA. The current 

rule addresses the impact of same-side, 

incoming COA-eligible orders on a 

COA,39 but does not address the impact 

of same-side ECOs. Accordingly, the 

inclusion of ECOs in the proposed rule 

would be new text. The impact of an 

incoming ECO mirrors that of an 

incoming COA-eligible order in the 

scenarios covered in proposed Rule 

(e)(6)(B)(i)–(iv) (discussed below), 

which adds internal consistency and 

specificity to Exchange rules.40

Proposed Rule 980NY(e)(6)(B) would 

make clear that regardless of whether a 

COA ends early or at the end of the 

(uninterrupted) RTI, the initiating COAeligible order would be executed 

pursuant to paragraph (e)(7) of this Rule 

ahead of any interest that arrived during 

the COA.41

• Proposed Rule 980NY(e)(6)(B)(i) 

would provide that incoming ECOs or 

COA-eligible orders that are priced 

better than the initiating COA-eligible 

order would cause the COA to end.42

This proposed rule text is based in part 

on current Rule 980NY(e)(8)(D), which 

provides that better-priced incoming 

COA-eligible orders that arrive during 

the RTI will cause a COA to end.43

• Proposed Rule 980NY(e)(6)(B)(ii) 

would provide that an incoming ECO or 

COA-eligible order that is priced equal 

to or worse than the initiating COAeligible order,44 and also locks or 

crosses the contra-side initial Complex 

BBO, would cause the COA to end early. 

The proposed rule is based in part on 

current Rules 980NY(e)(8)(B) and (C), 

which describe how the Exchange 

processes COA-eligible orders that are 

received during a COA that are on the 

same side of the market of the initiating 

COA and priced equal to or worse than 

the initiating COA.45 However, the 

current rule does not specify that a COA 

would terminate early when an 

incoming ECO locks or crosses the 

contra-side initial Complex BBO. 

Therefore, the inclusion of ECOs would 

be new rule text. 

• Proposed Rule 980NY(e)(6)(B)(iii) 

would provide that incoming ECOs or 

COA-eligible orders that are priced 

equal to or worse than the initiating 

COA-eligible order,46 but do not lock or 

cross the contra-side Complex BBO, 

would not cause the COA to end early. 

Proposed Rule 980NY(e)(6)(B)(i) is 

based on current Rules 980NY(e)(8)(B) 

and (C), which describe how the 

Exchange processes COA-eligible orders 

that are received during a COA that are 

on the same side of the market as the 

initiating COA-eligible order and priced 

equal to or worse than the initiating 

COA-eligible order. However, the 

current rule does not address whether 

the incoming orders lock or cross the 

contra-side initial Complex BBO. The 

Exchange believes the additional detail 

promotes internal consistency regarding 

how the COA process and how it 

intersects with the price/time priority of 

the initial Complex BBO. 

The Exchange notes that current Rules 

980NY(e)(8)(B) and (C) state that an 

incoming same-side COA-eligible order 

(priced equal to or worse than the 

initiating order) joins a COA in progress 

and is executed in price/time with the 


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47See Rule 980NY(e)(8)(B) and (C) (providing, in 

part, that ‘‘[i]ncoming COA-eligible orders received 

during the [RTI] for the original COA-eligible order 

that are on the same side of the market, that are 

priced [equal to or worse] than the initiating order, 

will join the COA’’). 

48See, e.g., proposed Rule 980NY(e)(6)(B)(iv),(vi) 

(providing that, rather than joining the COA, these 

incoming COA-eligible orders may trade with RFR 

Responses or ECOs that don’t execute in the COA 

and, if any balance remains still, would initiate a 

new COA—but would not execute during the COA 

in progress as the current rule suggests). 

49See Rule 980NY(e)(8)(D) (providing, in part, 

that ‘‘[t]he COA-eligible order that caused the 

auction to end will if marketable, initiate another 

COA’’). See supra note 47 (noting inaccuracy in 

current rule, which provides that incoming COAeligible orders would execute during the COA in 

progress). 

50See proposed Rule 980NY(c)(ii) (leg markets 

have priority at a price). 

51See proposed Rule 980NY(e)(6)(C). 

52 Individual orders and quotes cause the sameside Complex BBO to be ‘‘better’’ than the COAeligible order if they cause the Complex BBO to be 

higher (lower) than the COA-eligible order to buy 

(sell). See proposed Rule 980NY(e)(6)(C)(i). 

COA-eligible order, with any balance 

placed in the Consolidated Book 

pursuant to paragraph (b).47 The 

proposed rule text would clarify how 

such incoming COA-eligible orders 

would be processed. Specifically, the 

Exchange proposes to clarify how such 

incoming COA-eligible orders (as well 

as ECOs) would be processed, including 

any remaining balance thereof, in 

proposed paragraphs (e)(6)(B)(iv)–(vi) of 

the Rule, discussed below.48

• Proposed Rule 980NY(e)(6)(B)(iv) 

would provide that any incoming ECO 

or COA-eligible order that caused a COA 

to end early, if executable, would trade 

against any RFR Responses or ECOs that 

did not trade with the initiating COAeligible order. This proposed paragraph 

reflects current functionality and is 

based on current Rule 980NY(e)(8)(D) 

inasmuch as it addresses incoming 

same-side COA-eligible orders that 

cause the COA to end early. 

• Proposed Rule 980NY(e)(6)(B)(v) 

would provide that incoming ECOs, or 

any remaining balance per proposed 

paragraph (iv) above, that do not trade 

against any remaining RFR Responses or 

ECOs received during the RTI would 

trade pursuant to Core Trading 

Allocation, pursuant to paragraph (c)(ii) 

or (iii) of this Rule. This proposed rule 

text is consistent with the treatment of 

the balance of incoming same-side ECOs 

set forth in current Rule 

980NY(e)(8)(A)–(C), with the added 

detail that the ECO would first be 

subject to Core Trading Allocation 

pursuant to proposed Rule 980NY(c)(ii) 

before being ranked in the Consolidated 

Book. 

• Proposed Rule 980NY(e)(6)(B)(vi) 

would provide that the remaining 

balance of any incoming COA-eligible 

order(s) that does not trade against any 

remaining RFR Responses or ECOs 

received during the RTI would initiate 

new COA(s) in price-time priority. This 

proposed rule text is based in part on 

current Rule 980NY(e)(8)(D), which 

provides that any unexecuted portion of 

the incoming COA-eligible would 

initiate a new COA.49

The Exchange believes that proposed 

Rules 980NY(e)(6)(B)(i)–(vi) would 

provide greater specificity regarding the 

impact of arriving same-side COAeligible orders and ECOs on a COA, 

which adds internal consistency, clarity 

and transparency to Exchange rules. 

Specifically, the Exchange believes that 

providing for a COA to terminate early 

under the circumstances specified in 

proposed Rules 980NY(e)(6)(B)(i) and 

(ii) would allow a COA-eligible order to 

trade (ahead of the incoming order) 

against any RFR Responses or ECOs 

received during the RTI up until that 

point, while preserving the priority of 

the incoming order to trade with the 

resting leg markets. The Exchange 

believes that early conclusion in this 

circumstance would ensure that the 

COA interacts seamlessly with the 

Consolidated Book so as not to disturb 

the priority of orders on the Book. 

The proposed rule text is consistent 

with the processing of ECOs during Core 

Trading and ensures that the COA 

respects the leg markets as well as 

principles of price/time priority.50 In 

addition, the proposed rule would 

provide greater specificity that the 

incoming COA-eligible order or ECO 

would, if executable, trade against any 

remaining RFR Responses and/or ECOs 

received during the RTI, which allows 

the incoming orders opportunities for 

price improvement. The proposed rule 

would also make clear that any 

remaining balance of the incoming 

COA-eligible order would then initiate a 

new COA. The Exchange believes that 

these proposed changes maximize the 

execution opportunities to the incoming 

order(s), with potential price 

improvement, as these orders may trade 

with interest received in the (original) 

COA; and, for the incoming COAeligible order, the potential for 

additional price improvement in a 

subsequent COA. 

Proposed Rule 980NY(e)(6)(C): Would 

describe the impact of new individual 

quotes or orders (i.e., updates to the leg 

markets) during the RTI on the same or 

opposite side of the initiating COAeligible order. In each event described 

below, regardless of whether the COA 

ends early, the COA-eligible order 

would trade pursuant to proposed Rule 

980NY(e)(7) (described below). In 

addition, consistent with Core Trading 

Allocation, the updated leg markets 

would trade pursuant to proposed 

paragraph (c)(ii) of this Rule.51

• Proposed Rule 980NY(e)(6)(C)(i) 

would provide that updates to the leg 

markets that would cause the same-side 

Complex BBO to lock or cross any RFR 

Response(s) and/or ECO(s) received 

during the RTI, or any ECOs resting in 

the Consolidated Book, would cause the 

COA to end early. The Exchange 

believes that providing for a COA to 

terminate early when the leg markets 

update in this manner would allow a 

COA-eligible order to trade against any 

RFR Responses or ECOs received during 

the RTI up until that point, while 

preserving the priority of the updated 

leg markets to trade with any eligible 

contra-side interest, including any ECOs 

resting in the Consolidated Book. 

• Proposed Rule 980NY(e)(6)(C)(ii) 

would provide that updates to the leg 

markets that would cause the same-side 

Complex BBO to be priced better than 

the COA-eligible order,52 but do not 

lock or cross any RFR Responses and/ 

or ECOs received during the RTI or any 

ECOs resting in the Consolidated Book 

would not cause the COA to end early. 

• Proposed Rule 980NY(e)(6)(C)(iii) 

would provide that updates to the leg 

markets that would cause the contraside Complex BBO to lock or cross the 

same-side initial Complex BBO would 

cause the COA to end early. 

• Proposed Rule 980NY(e)(6)(C)(iv) 

would provide that updates to the leg 

markets that would cause the contraside Complex BB (BO) to improve (i.e., 

become higher (lower)), but not lock or 

cross the same-side initial Complex 

BBO, would not cause the COA to end 

early. 

The Exchange believes that proposed 

paragraphs (e)(6)(C)(i)–(iv) of Rule 

980NY respect the COA process, while 

at the same time ensuring a fair and 

orderly market by maintaining the 

priority of quotes and orders on the 

Consolidated Book as they update. The 

proposed rule is based in part on Rule 


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53See Rule 980NY(e)(9)(A) (providing that 

‘‘[i]ndividual orders and quotes that are entered 

into the leg markets that cause the derived Complex 

Best Bid/Offer to be better than the COA-eligible 

order and to cross the best priced RFR Response 

will cause the auction to terminate, and individual 

orders and quotes in the leg markets will be 

allocated pursuant to (c)(i) above and matched 

against Electronic Complex Orders and RFR 

Responses in price time priority pursuant to (6) 

above. The initiating COA-eligible order will be 

matched and executed against any remaining 

unexecuted Electronic Complex Orders and RFR 

Responses pursuant to (6) above’’). The Exchange 

also notes that proposed Rule 980NY(e)(6)(C)(i) 

clarifies that the Complex BBO in question is the 

same-side Complex BBO, as the current rule text is 

silent in this regard, which adds clarity and 

transparency to Exchange rules. 

54See Rule 980NY(e)(9)(B) (providing that 

‘‘[i]ndividual orders and quotes that are entered 

into the leg markets that cause the derived Complex 

Best Bid/Offer to cross the price of the COA-eligible 

order will cause the auction to terminate, and 

individual orders and quotes in the leg markets will 

be allocated pursuant to (c)(i) above and matched 

against Electronic Complex Orders and RFR 

Responses in price time priority pursuant to (6) 

above.’’). The Exchange also notes that proposed 

paragraph (e)(6)(C)(ii) clarifies that the Complex 

BBO in question is the contra-side Complex BBO, 

as the current rule text is silent in this regard, 

which adds clarity and transparency to Exchange 

rules. 

55See supra note 26. The Exchange notes that the 

word ‘‘derived’’ is no longer needed as it is 

encompassed in the definition of Complex BBO. 

See id. 

56See Rule 980NY(e)(6)(A). 

57See Rule 980NY(e)(6)(B) and (C). 

58See id. 

59See Rule 980NY(e)(6)(D). 

60To qualify as ‘‘better than,’’ RFR Responses and 

ECOs to buy (sell) would need to be priced higher 

(lower) than the initial Complex BBO. See proposed 

Rule 980NY(e)(7)(A). 

61See proposed Commentary .02 to Rule 980NY 

(providing, in relevant part, that ‘‘when executing 

an [ECO] where all legs that comprise the complex 

order contain Customer interest, the price of at least 

one leg of the order must . . .’’). The Exchange also 

proposes to correct a typo by replacing the semi980NY(e)(9)(A) 53 and (B),54 which 

address the impact of updates to the leg 

markets on a COA. However, the current 

rule text does not specify on which side 

of the market the leg markets have 

updated. The Exchange proposes to 

include this detail in the new rule text 

for additional clarity and transparency. 

In addition, the current rule text uses 

the term ‘‘derived Complex BBO,’’ 

which is not a defined term. In the 

proposed rule, the Exchange proposes to 

use the term Complex BBO, which is a 

defined term.55 The Exchange further 

believes this proposed rule text 

promotes transparency and clarity to 

Exchange rules. 

COA Order Allocation 

Current Rules 980NY(e)(6)(A)–(D) set 

forth how a COA-eligible order trades 

against same-priced contra-side interest 

(i.e., at the same net price) after trading 

against any better-priced contra-side 

interest. In short, current Rule 

980NY(e)(6) provides that COA-eligible 

orders will be executed against the best 

priced contra-side interest. The rule 

further provides that at the same net 

price, the order will be allocated as 

provided for in Rules 980NY(e)(6)(A)– 

(D). Current Rule 980NY(e)(6)(A) 

provides that individual orders and 

quotes in the leg markets resting in the 

Consolidated Book prior to the initiation 

of a COA have first priority to trade 

against a COA-eligible order, provided 

the COA-eligible order can be executed 

in full (or in a permissible ratio), on a 

price/time basis pursuant to Rule 

964NY.56 Current Rules 980NY(e)(6)(B) 

and (C) provide that Customer ECOs 

resting in the Consolidated Book before, 

or that are received during, the RTI, and 

Customer RFR Responses shall, 

collectively have second priority to 

trade against a COA-eligible order 

followed by resting non-Customer ECOs, 

those received during the RTI, and nonCustomer RFR Responses, which would 

have third priority.57 Pursuant to the 

current Rule, the allocation of a COAeligible order against these Customer 

and non-Customer ECOs and RFR 

Responses shall be on a Size Pro Rata 

basis as defined in Rule 964NY(b)(3).58

Finally, current Rule 980NY(e)(6)(D) 

provides that individual orders and 

quotes in the leg markets that cause the 

derived Complex BBO to be improved 

during the COA and match the best RFR 

Response and/or ECOs received during 

the RTI will be filled after ECOs and 

RFR Responses at the same net price 

pursuant to Rule 964NY.59

The Exchange proposes to clarify and 

update the rule text describing the 

priority and allocation of COA-eligible 

orders during the COA process to 

remove references to Customer ECO 

priority, which is not the Exchange’s 

allocation model, and instead reflect the 

Exchange’s price-time priority model in 

proposed Rule 980NY(e)(7), under the 

heading ‘‘Allocation of COA-Eligible 

Orders,’’ which would replace current 

paragraph (e)(6) in its entirety. Proposed 

Rule 980NY(e)(7) would provide that 

when a COA ends early, or at the end 

of the RTI, a COA-eligible order would 

be executed against contra-side interest 

received during the COA as provided for 

in proposed Rules 980NY(e)(7)(A) and 

(B), and any unexecuted portion of the 

COA-eligible order would be ranked in 

the Consolidated Book pursuant to 

proposed Rule 980NY(b). 

• Proposed Rule 980NY(e)(7)(A) 

would provide that RFR Responses and 

ECOs priced better than 60 the initial 

Complex BBO would be eligible to trade 

first with the COA-eligible order, 

beginning with the highest (lowest), at 

each price point, on a Size Pro Rata 

basis pursuant to Rule 964NY(b)(3). 

This proposed rule text is based in part 

on current Rule 980NY(e)(6), which 

provides that COA-eligible orders would 

be executed against the best priced 

contra side interest (which in this case, 

would be ECOs and RFR Responses) and 

current Rule 980NY(e)(6)(C), which 

provides that ECOs and RFR Responses 

are allocated on a Size Pro Rata basis. 

The Exchange believes this proposed 

change streamlines how the allocation 

process works, and clarifies that if ECOs 

and RFR Responses are the best-priced 

interest, they would trade with the 

incoming COA-eligible order on a Size 

Pro Rata basis. 

• Proposed Rule 980NY(e)(7)(B) 

provides that after COA allocations 

pursuant to paragraph (e)(7)(A) of this 

Rule, the COA-eligible order would 

trade with the best-priced contra-side 

interest pursuant to paragraph (c)(ii) or 

(iii) above. In other words, once the 

COA-eligible order has traded with any 

ECOs or RFR Responses priced better 

than the initial Complex BBO (i.e., any 

price-improving interest to arrive during 

the RTI), the initiating COA-eligible 

order would follow regular allocation 

rules for an incoming marketable ECO. 

The Exchange believes this change 

makes clear that a COA-eligible order 

would only trade against the leg markets 

after any auction allocations have been 

made. This rule text is based in part on 

current Rule 980NY(e)(6)(A), which 

provides that if the COA-eligible order 

can be executed in full (or a permissible 

ratio) by the orders and quotes in the 

Consolidated Book, they will be 

allocated pursuant to Rule 964NY. 

Because this allocation is identical to 

how a regular marketable ECO would be 

allocated, the Exchange believes it 

would streamline the rule to provide a 

cross reference to proposed Rule 

980NY(c)(ii) instead of Rule 964NY. 

Commentary .02 to Rule 980NY 

Finally, consistent with the foregoing 

proposed changes regarding priority of 

ECOs during Core Trading and during a 

COA, the Exchange proposes to modify 

Commentary .02 to the Rule, which also 

addresses the priority of ECOs. The 

current Commentary .02 provides, in 

relevant part, that ‘‘when executing an 

[ECO] the price of at least one leg of the 

order must’’ trade at a better price as 

specified in subparagraphs (i) and (ii). 

The Exchange proposes to make clear 

that requisite price improvement on at 

least one leg of the ECO applies ‘‘where 

all legs that comprise the complex order 

contain Customer interest.’’ 61 Similarly, 


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colon that appears at the end of this clause with a 

colon. 

62See proposed Commentary .02(ii) to Rule 

980NY; see also Commentary .02(i) to Rule 980NY 

(which similarly provides that ECOs must ‘‘trade at 

a price that is better than the corresponding price 

of all customer bids or offers in the Consolidated 

Book for the same series, by at least one standard 

trading increment as defined in Rule 960NY’’ 

(emphasis added). 

63 15 U.S.C. 78f(b). 

the Exchange also proposes to modify 

sub-paragraph (ii) of Commentary .02 by 

replacing ‘‘the’’ with ‘‘all’’ to clarify 

that, if the class has been designated as 

eligible for COA, an incoming COAeligible order must ‘‘trade at a price that 

is better than the corresponding price of 

all customer bids or offers in the 

Consolidated Book for the same series, 

by at least one cent ($.01).’’ 62 The 

Exchange believes these changes 

regarding the priority of ECOs add 

clarity and internal consistency to 

Exchange rules. 

2. Statutory Basis 

The Exchange believes that its 

proposal is consistent with Section 

6(b)(5) of the Securities Exchange Act of 

1934 (the ‘‘Act’’),63 which requires the 

rules of an exchange 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. 

Overall, the Exchange is proposing 

various changes that would promote just 

and equitable principles of trade, 

because ECOs, including COA-eligible 

orders, would be handled in a fair and 

orderly manner, as described above. The 

various modifications and clarifications, 

many of which are consistent with 

current functionality are intended to 

improve the rule overall by adding more 

specificity and transparency. The 

Exchange believes that the proposed 

rule changes would promote just and 

equitable principles of trade as well as 

protect investors and the public interest 

by making more clear how ECOs and 

COA-eligible orders are handled on the 

Exchange, both during Core Trading 

Hours and when there is a COA in 

progress. In particular, the proposed 

changes are intended to help ensure a 

fair and orderly market by maintaining 

price/priority of incoming ECOs 

(including COA-eligible orders) and 

updated leg markets. Similarly, the 

proposed changes are designed to 

promote just and equitable principles by 

seeking to execute as much interest as 

possible at the best possible price(s). 

Execution of ECOs During Core Trading 

Hours 

The Exchange believes that the 

proposed rule changes regarding Core 

Trading Order Allocation, which do not 

alter the substance of the rule but 

instead condense and streamline the 

rule text, would remove impediments to 

and perfect the mechanism of a free and 

open market and a national market 

system because the proposed changes 

are designed to protect investors and the 

public interest by making the 

Exchange’s rules more clear, concise, 

transparent and internally consistent, 

which enhances the overall 

comprehensibility to investors without 

altering the operation of the rule. 

Specifically, the Exchange believes that, 

although it does not alter the substance 

of the rule, the proposed rule text 

regarding Core Trading Order Allocation 

provides additional specificity regarding 

processing of ECOs against same-priced 

contra-side interest and, in particular, 

under what circumstances the leg 

markets would have first priority to 

execute against an incoming marketable 

ECO. The Exchange believes this 

additional transparency, which makes 

the rule clearer and more complete for 

market participants, would encourage 

additional ECOs to be directed to the 

Exchange. 

Proposed Modifications to COA Process 

Overall, the Exchange believes that 

the proposed changes to the COA 

Process maximize execution 

opportunities for the initiating COAeligible Order, RFR Responses and ECOs 

entered during the COA, and the leg 

markets at the best possible price 

consistent with the principles of price/ 

time priority, which would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system because 

the proposed changes are designed to 

protect investors and the public interest. 

Execution of COA-Eligible Orders, 

Initiation of COAs and RFR Responses 

In particular, the proposed rule text 

promotes transparency regarding the 

definition of what constitutes a COAeligible order and the circumstances 

under which an arriving COA-eligible 

order would receive an immediate 

execution (i.e., when it can receive price 

improvement from resting ECOs) versus 

being subject to a COA. The proposed 

rule text is not intended to change how 

the Exchange currently processes ECOs, 

but rather to provide clarity regarding 

the processing of COA-eligible orders 

and whether such orders are subject to 

a COA. Specifically, the proposed 

changes would help ensure a fair and 

orderly market because this information 

adds clarity and transparency to the 

COA process and would allow market 

participants to be more informed about 

the COA process. Moreover, the 

proposed change maximizes the 

opportunities for price improvement for 

the entire COA-eligible order as it 

would first trade against any priceimproving interest in the Consolidated 

Book, and, if any residual interest 

remains, the order would be subject to 

a COA. Further, the Exchange believes 

that the proposed rule text regarding the 

requisite characteristics and behavior of 

an RFR Response adds clarity and 

transparency to Exchange rules, 

including that, like all orders, an RFR 

Response may be modified or cancelled 

prior to the end of the RTI, which 

promotes just and equitable principles 

of trade. In addition, the Exchange 

believes that specifying that RFR 

Reponses are valid for the duration of 

the COA would encourage participation 

in the COA and would maximize the 

number of contracts traded, which 

benefits all market participants and 

protects investors and the investing 

public. 

Impact of ECOs, COA-Eligible Orders 

and Updated Leg Markets on COA in 

Progress 

Regarding interest that arrives during 

a COA in progress, the Exchange 

believes that the proposed rule text 

provides clarity regarding the impact of 

opposite- and same-side ECOs or COAeligible orders on the COA Process, 

which promotes transparency and adds 

clarity to Exchange rules. Moreover, the 

Exchange notes that because the COA is 

intended to operate seamlessly with the 

Consolidated Book, the proposed 

changes would promote just and 

equitable principles of trade by 

providing price-improvement 

opportunities for COA-eligible orders 

while at the same time providing an 

opportunity for such orders to interact 

with orders or quotes received during 

the RTI, including incoming ECOs. In 

addition, the Exchange believes that this 

practice of honoring the updated leg 

markets would help ensure a fair and 

orderly market by maintaining the 

priority of quotes and orders on the 

Consolidated Book as they update. The 

Exchange believes that the proposed 

changes to the COA would increase the 

number of options orders that are 

provided with the opportunity to 

receive price improvement. 

The Exchange also believes that the 

proposed modification regarding when 

the balance of an initiating (or 

incoming) COA-eligible order would 


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64 17 CFR 200.30–3(a)(12). 

initiate a new COA (as opposed to being 

posted to the Consolidated Book) is 

likewise consistent with the Act because 

it would remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system clarifying the rule text to the 

benefit of market participants, 

particularly those interested in 

submitting COA-eligible orders. In 

addition, the proposed changes also 

promote additional transparency and 

internal consistency in Exchange rules. 

The Exchange believes that, as 

proposed, COA Order Allocation 

maximizes price discovery and liquidity 

while employing price priority, which 

benefits all market participants. 

COA Order Allocation 

The Exchange believes that the 

proposed rule changes, which clarify 

the priority and order allocation and 

processing of COA-eligible orders would 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system because 

the proposed changes are designed to 

protect investors and the public interest 

by making the Exchange’s rules more 

clear, concise, transparent and 

internally consistent, which enhances 

the overall comprehensibility to 

investors without altering the operation 

of the rule. For example, the Exchange 

believes that the revised rule text 

describing the execution of COAEligible orders provides clarity 

regarding the allocation of COA-eligible 

orders against any RFR Responses or 

incoming ECOs and makes clear that a 

COA-eligible order would only execute 

against the leg markets after any auction 

allocations have been made. The 

Exchange also believes that the 

proposed changes would conform to the 

Exchange’s price/time priority model 

and reduce the potential for investor 

confusion. 

Non-Substantive Changes 

The Exchange believes that the 

proposed non-substantive, technical 

changes, including updated cross 

references that conform rule text to 

proposed changes, promotes just and 

equitable principles of trade, fosters 

cooperation and coordination among 

persons engaged in facilitating securities 

transactions, and removes impediments 

to and perfects the mechanism of a free 

and open market by ensuring that 

members, regulators and the public can 

more easily navigate the Exchange’s 

rulebook and better understand the 

defined terms used by the Exchange. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. To the 

contrary, the Exchange believes that the 

proposed changes would encourage 

increased submission of ECOs, as well 

as increased participation in COAs, 

which will add liquidity to the 

Exchange to the benefit all market 

participants and is therefore procompetitive. The proposal does not 

impose an intra-market burden on 

competition, because these changes 

make the rule clearer and more 

complete for all participants. Nor does 

the proposal impose a burden on 

competition among the options 

exchanges, because of the vigorous 

competition for order flow among the 

options exchanges. To the extent that 

market participants disagree with the 

particular approach taken by the 

Exchange herein, market participants 

can easily and readily direct complex 

order flow to competing venues. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. 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 up to 90 days (i) as the 

Commission may designate if it finds 

such longer period to be appropriate 

and publishes its reasons for so finding 

or (ii) as to which the self-regulatory 

organization consents, the Commission 

will: 

(A) By order approve or disapprove 

the 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– 

NYSEAMER–2017–15 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–NYSEAMER–2017–15. 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– 

NYSEAMER–2017–15 and should be 

submitted on or before October 18, 

2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.64

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–20628 Filed 9–26–17; 8:45 am] 

BILLING CODE 8011–01–P 


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