Federal Register / Vol. 82, No. 191 / Wednesday, October 4, 2017 / Notices 46317 

27See supra note 21. 

28 15 U.S.C. 78s(b)(3)(A). 

29 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 

change, or such shorter time as designated by the 

Commission. The Exchange has satisfied this 

requirement. 

30 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

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

4 17 CFR 240.19b–4(f)(6)(iii). 

the protection of investors and the 

public interest by clarifying the 

Exchange’s rules. The Exchange believes 

that additional clarity and transparency 

in the Exchange’s rules will strengthen 

investor confidence in the market and 

facilitate fair competition among market 

participants. The Exchange notes that 

other option exchanges that offer similar 

functionality have similar rules in 

place.27

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will result in 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. Specifically, 

the Exchange believes the proposed rule 

change will not impose any burden on 

competition as the Exchange is merely 

providing supplemental information 

that may be derived by market 

participants independently. The 

Exchange’s proposal does not 

substantively modify any Exchange 

functionality and is not designed to 

address any competitive issues, but 

rather to provide additional information 

in the Route Notification message and 

add further clarity to the Exchange’s 

rules. Since the Exchange does not 

propose to substantively modify the 

operation of exchange functionality, the 

proposed rule change will not impose 

any burden on inter-market 

competition. Additionally, the Exchange 

does not believe the proposed rule 

change will impose any burden on intramarket competition as the Rules apply 

equally to all Exchange Members. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

Written comments were neither 

solicited nor 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 after the date of 

the filing, or such shorter time as the 

Commission may designate, it has 

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

of the Act 28 and Rule 19b–4(f)(6) 29

thereunder. 

At any time within 60 days of the 

filing of the proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

should be approved or disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SRMIAX–2017–41 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–MIAX–2017–41. 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–MIAX– 

2017–41 and should be submitted on or 

before October 25, 2017. For the 

Commission, by the Division of Trading 

and Markets, pursuant to delegated 

authority.30

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–21278 Filed 10–3–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81748; File No. SR– 

BatsEDGA–2017–25] 

Self-Regulatory Organizations; Bats 

EDGA Exchange, Inc.; Notice of Filing 

and Immediate Effectiveness of a 

Proposed Rule Change to Rule 11.7, 

Opening Process, and Rule 13.4, 

Usage of Data Feeds, To Reflect the 

Name Change of NYSE MKT to NYSE 

American 

September 28, 2017. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that on 

September 25, 2017, Bats EDGA 

Exchange, Inc. (the ‘‘Exchange’’ or 

‘‘EDGA’’) 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 Exchange has designated this 

proposal as a ‘‘non-controversial’’ 

proposed rule change pursuant to 

Section 19(b)(3)(A) of the Act 3 and Rule 

19b–4(f)(6)(iii) thereunder,4 which 

renders it effective upon filing with the 

Commission. 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 filed a proposal to 

amend paragraph (c)(1) of Rule 11.7, 


sradovich on DSK3GMQ082PROD with NOTICES
46318 Federal Register / Vol. 82, No. 191 / Wednesday, October 4, 2017 / Notices 

5See Securities Exchange Act Release No. 80283 

(March 21, 2017), 82 FR 15244 (March 27, 2017) 

(SR–NYSEMKT–2017–14). 

6 15 U.S.C. 78f(b). 

7 15 U.S.C. 78f(b)(5). 

8 15 U.S.C. 78s(b)(3)(A). 

9 17 CFR 240.19b–4. 

Opening Process, and paragraph (a) of 

Rule 13.4, Usage of Data Feeds, to reflect 

the name change of NYSE MKT to NYSE 

American. 

The text of the proposed rule change 

is available at the Exchange’s Web site 

at www.bats.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 parts of such 

statements. 

(A) Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

On March 21, 2017, NYSE MKT LLC 

filed a proposed rule change to change 

its name to NYSE American LLC.5 The 

Exchange now proposes to replace 

references to NYSE MKT within its 

rules with NYSE American. In 

particular, the Exchange proposes to 

replace references to NYSE MKT with 

NYSE American in Rule 11.7(c)(1), 

Opening Process; and Rule 13.4(a), 

Usage of Data Feeds. The Exchange does 

not proposed [sic] to amend the 

operation of these rules in any other 

respect. 

2. Statutory Basis 

The Exchange believes that its 

proposal is consistent with Section 6(b) 

of the Act 6 in general, and furthers the 

objectives of Section 6(b)(5) of the Act 7

in particular, in that it is designed to 

promote just and equitable principles of 

trade, to foster cooperation and 

coordination with persons engaged in 

facilitating transactions in securities, to 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system and, in 

general, to protect investors and the 

public interest. 

The non-substantive amendments to 

Rules 11.7(c)(1) and 13.4(a) are intended 

solely to reflect the name change from 

NYSE MKT to NYSE American. The 

proposed rule change, therefore, 

removes impediments to and perfects 

the mechanism of a free and open 

market and a national market system 

because it updates the rule to reflect the 

name change and does not alter the way 

in which orders in NYSE American 

listed securities are handled and routed. 

(B) Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will have any 

impact on competition as it is not 

designed to alter the way in which 

orders in NYSE American listed 

securities are handled and routed. It is 

simply intended to reflect the name 

change from NYSE MKT to NYSE 

American. 

(C) Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants or Others 

The Exchange has neither solicited 

nor received written comments on the 

proposed rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Because the foregoing proposed rule 

change does not: (A) Significantly affect 

the protection of investors or the public 

interest; (B) impose any significant 

burden on competition; and (C) by its 

terms, 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) of the 

Act 8 and paragraph (f)(6) of Rule 19b– 

4 thereunder,9 the Exchange has 

designated this rule filing as noncontroversial. The Exchange has given 

the Commission written notice of its 

intent to file the proposed rule change, 

along with a brief description and text 

of the proposed rule change at least five 

business days prior to the date of filing 

of the proposed rule change, or such 

shorter time as designated by the 

Commission. 

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: (1) Necessary or appropriate in 

the public interest; (2) for the protection 

of investors; or (3) otherwise in 

furtherance of the purposes of the Act. 

If the Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

should be approved or disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

BatsEDGA–2017–25 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Brent J. Fields, Secretary, Securities 

and Exchange Commission, 100 F Street 

NE., Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–BatsEDGA–2017–25. 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– 

BatsEDGA–2017–25 and should be 

submitted on or before October 25, 

2017. 


sradovich on DSK3GMQ082PROD with NOTICES
Federal Register / Vol. 82, No. 191 / Wednesday, October 4, 2017 / Notices 46319 

10 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3A separate filing will address the pricing for the 

Intellicator Analytic Tool, which will also be 

implemented on October 27, 2017, if approved by 

the Commission. 

4The Exchange initially filed the proposed 

changes on August 2, 2017 (SR–Phlx 2017–62). On 

August 11, 2017, the Exchange withdrew that filing. 

5The Exchange may introduce new factors that 

are found to have value in assessing market 

sentiment, but will submit a new filing for approval 

if other factors are added. 

6The ratios for calls are multiplied by 1, while 

ratios for puts are multiplied by ¥1. 

7A higher weighting is given to contracts near 

expiration. 

8Factor calculations for specific segments of the 

market will not be sold by the Exchange separately 

from the Analytic Bundles. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.10

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–21276 Filed 10–3–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81754; File No. SR–Phlx– 

2017–74] 

Self-Regulatory Organizations; 

NASDAQ PHLX LLC; Notice of Filing of 

Proposed Rule Change To Introduce 

the Intellicator Analytic Tool 

September 28, 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 

September 20, 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 introduce 

the Intellicator Analytic Tool. 

The text of the proposed rule change 

is available on the Exchange’s Web 

site at http://nasdaqphlx.cchwall

street.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 purpose of the proposed rule 

change is to introduce the Intellicator 

Analytic Tool, a new, optional market 

data product available for a 

corresponding fee 3 that is designed to 

analyze options market transactions and 

synthesize that analysis to assist 

investors in assessing the equities 

underlying those transactions.4

Options market transactions can be 

complex; the purpose of the Intellicator 

Analytic Tool is to distill options data 

into a form that will help investors 

understand options market movements 

and provide them with actionable 

insight in changing market conditions. 

The Intellicator Analytic Tool will offer 

three increasingly sophisticated levels 

of analysis. The first level, the SingleFactor Analytic Bundle, calculates 

fundamental measures, or ‘‘factors,’’ of 

options market activity—Put/Call Ratio, 

Moneyness Ratio, Volume-Weighted 

Average Delta, and Weighted Average 

Strike Price—and applies those factors 

to certain segments of activity on the 

Exchange. The second level, the SingleFactor Intellicator, uses machine 

learning—an analytical technique that 

employs algorithms that iteratively 

‘‘learn’’ from data to find hidden 

insights without explicit 

programming—to summarize in a single 

numeral the information contained 

within a Single-Factor Analytic Bundle. 

The third level, the Multi-Factor 

Intellicator, uses machine learning to 

summarize in a single numeral all of the 

information contained within all of the 

five [sic] Single-Factor Analytic Bundles 

offered with this product. 

The Exchange will propose, in a 

forthcoming fee filing, separate fees for 

the Single-Factor Analytic Bundle, the 

Single-Factor Intellicator, and the MultiFactor Intellicator, as well as special 

rates for the purchase of any 

combination of these, to allow investors 

to choose the tool that best fits their 

needs. The Single-Factor Analytic 

Bundles are designed to be used by 

sophisticated investors to supplement, 

test and inform their own analytic 

models. The Single- and Multi-Factor 

Intellicators are designed for the use of 

investors who seek to understand 

market sentiment without undertaking 

complex calculations. Although tailored 

for different audiences, the Analytic 

Bundles and Single- and Multi-Factor 

Intellicators are all designed to increase 

visibility into options transactions and 

democratize information to provide the 

benefits of sophisticated analytical 

techniques to firms without the 

technology, staff or wherewithal to 

conduct a comparable analysis on their 

own. 

The Analytic Bundles and Single- and 

Multi-Factor Intellicators are described 

in further detail below. 

Single-Factor Analytic Bundle 

A Single-Factor Analytic Bundle is a 

set of calculations of ‘‘factors,’’ or 

standard measures of options market 

activity, often used as indicia of market 

sentiment. The Intellicator Analytic 

Tool will calculate four factors—Put/ 

Call Ratio, Moneyness Ratio, VolumeWeighted Average Delta, and Weighted 

Average Stock Price—defined as 

follows: 5

(i) Put/Call Ratio: The total number of 

put contracts traded divided by the total 

number of put and call contracts traded 

within the prior 60 seconds for each 

underlying symbol. 

(ii) Moneyness Ratio: The natural log 

of the ratio of the price of the 

underlying equity to the strike price of 

the options contract traded within the 

prior 60 seconds.6

(iii) Volume-Weighted Average Delta: 

A calculation of the projected change to 

an option price given a $1 change in the 

equity price, weighted by the number of 

contracts traded within the prior 60 

seconds. 

(iv) Weighted Average Strike Price: A 

calculation of the strike price of the 

options contracts traded within the 

prior 60 seconds, weighted by the 

number of days to expiration.7

Each of these Single-Factor Analytic 

Bundles will provide separate 

calculations of a specific factor for 

between five and fifty different 

segments, or subsets, of the options 

market.8 Segments may be simple or 

complex. A simple segment may be all 

transactions with a certain range of 

expiration dates. Examples of complex 


sradovich on DSK3GMQ082PROD with NOTICES