Document ID: SEC-2021-0847-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: Cboe BZX Exchange, Inc.
Posted Date: 2021-06-16T04:00Z

[Federal Register Volume 86, Number 114 (Wednesday, June 16, 2021)]
[Notices]
[Pages 32088-32090]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-12591]

-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-92148; File No. SR-CboeBZX-2021-042]

Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of 
Filing of a Proposed Rule Change To Introduce a New Data Product To Be 
Known as Short Sale Volume Data

June 10, 2021.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that on May 28, 2021, Cboe BZX Exchange, Inc. (the ``Exchange'' or 
``BZX'') filed with the Securities and Exchange Commission (the 
``Commission'') the proposed rule change as described in Items I and II 
below, which Items have been prepared by the Exchange. The Commission 
is publishing this notice to solicit comments on the proposed rule 
change from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    Cboe BZX Exchange, Inc. (the ``Exchange'' or ``BZX'') is filing 
with the Securities and Exchange Commission (``Commission'') a proposed 
rule change to introduce a new data product to be known as Short Sale 
Volume data. The text of the proposed rule change is provided in 
Exhibit 5.
    The text of the proposed rule change is also available on the 
Exchange's website (http://markets.cboe.com/us/equities/regulation/rule_filings/bzx/), at the Exchange's Office of the Secretary, and at 
the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The Exchange has prepared summaries, set forth in 
sections A, B, and C below, of the most significant aspects of such 
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to amend Rule 11.22(f) to provide for a new 
data product to be known as Short Sale Volume data. The proposal 
introduces Short Sale Volume data that will be available for purchase 
to BZX Members (``Members'') and non-Members.\3\ The proposal is 
similar to products offered by the New York Stock Exchange LLC 
(``NYSE'') and the Nasdaq Stock Market LLC (``Nasdaq'') which provide 
short sale volume information.
---------------------------------------------------------------------------

    \3\ The Exchange intends to submit a separate rule filing to 
establish fees for Short Sale Volume data.
---------------------------------------------------------------------------

    A description of each market data product offered by the Exchange 
is described in Exchange Rule 11.22. The Exchange proposes to amend 
Rule 11.22(f) to introduce and add a description of the Short Sale 
Volume data product. The Exchange proposes to describe the Short Sale 
Volume data as ``a data product that summarizes short sale volume 
(shares traded on BZX). Short Sale Volume data is available on an end-
of-day and intraday basis.''
    The Exchange proposes to offer Short Sale Volume data on an end-of-
day and intraday basis which will be available for purchase by Members 
and non-Members. Specifically, the Exchange proposes to offer an end-
of-day short sale volume report that includes the date, session (i.e., 
Pre-Opening Session,\4\ Regular Trading Hours,\5\ or After Hours 
Trading Session \6\),\7\ symbol, trade count, buy and sell volume, type 
of sale (i.e., sell, sell short, or sell short exempt), capacity (i.e., 
principal, agent, or riskless principal), and retail order indicator. 
The end-of-day Short Sale Volume data would include same day 
corrections to short sale volume.
---------------------------------------------------------------------------

    \4\ See Exchange Rule 1.5(r).
    \5\ See Exchange Rule 1.5(w).
    \6\ See Exchange Rule 1.5(c).
    \7\ Session information will only be available in data after 
July 31, 2020.
---------------------------------------------------------------------------

    The Exchange also proposes to offer Short Sale Volume data on an 
intraday basis that will provide the same information to that of end-
of-day Short Sale Volume data, but will be produced and updated every 
10 minutes during the trading day. Data is captured in ``snapshots'' 
taken every 10 minutes throughout the trading day and is available to 
subscribers within five minutes of the conclusion of each 10-minute 
period. For example, subscribers to the intraday product will receive 
the first calculation of intraday data by approximately 9:45 a.m. ET, 
which represents data captured from 9:30 a.m. to 9:40 a.m. Subscribers 
will receive the next update by 9:55 a.m., representing the data 
previously provided aggregated with data captured through 9:50 a.m., 
and so forth. Each update will represent combined data captured from 
the current ``snapshot'' and all previous ``snapshots'' and thus will 
provide short sale volume data on an aggregate basis. The intraday 
Short Sale Volume data will not include same day corrections, as 
proposed in the end-of-day data. The proposed data products provide 
proprietary BZX trade data and do not include trade data from any other 
exchange.
    The proposed end-of-day and intraday Short Sale Volume data will be 
available for purchase on a monthly subscription basis. Subscribers to 
the end-of-day Short Sale Volume data will receive a daily end-of-day 
file. Similarly, subscribers to the intraday Short Sale Volume data 
will receive data which will be produced and updated every 10 minutes 
as described above. Additionally, end-of-day and intraday Short Sale 
Volume data will be available on a historical basis for purchase as far 
back as January 3, 2017.\8\ The subscription files and historical ad 
hoc files will include the same data points. Further, the Exchange will 
establish a monthly subscriber fee and historical ad hoc fee for the 
Short Sale Volume data by way of a separate proposed rule change, which 
the Exchange will submit

[[Page 32089]]

in connection with the launch of the Short Sale Volume data product.
---------------------------------------------------------------------------

    \8\ Historical data will be available on an ad hoc basis.
---------------------------------------------------------------------------

    The Exchange anticipates a wide variety of market participants to 
purchase Short Sale Volume data, including, but not limited to active 
equity trading firms and academic institutions. For example, the 
Exchange notes that academic institutions may utilize Short Sale Volume 
data and as a result promote research and studies of the equities 
industry to the benefit of all market participants. The Exchange 
believes the proposed Short Sale Volume data products may also provide 
helpful trading information regarding investor sentiment that may allow 
market participants to make better trading decisions throughout the day 
and may be used to create and test trading models and analytical 
strategies and provides comprehensive insight into trading on the 
Exchange. For example, Short Sale Volume data may allow a market 
participant to identify the source of selling pressure and whether it 
is long or short. Further, it may provide more visibility into 
increasing and decreasing retail interest in a specific security. The 
proposal is a completely voluntary product, in that the Exchange is not 
required by any rule or regulation to make this data available and that 
potential subscribers may purchase it only if they voluntarily choose 
to do so. The Exchange notes that other exchanges offer similar data 
products.\9\
---------------------------------------------------------------------------

    \9\ See the Nasdaq Daily Short Sale Volume files at https://nasdaqtrader.com/Trader.aspx?id=shortsale. See also the NYSE TAQ 
Group Short Sales and Short Volume at https://www.nyse.com/market-data/historical/taq-nyse-group-short-sales.
---------------------------------------------------------------------------

2. Statutory Basis
    The Exchange believes the proposed rule change is consistent with 
Section 6(b) of the Act,\10\ in general, and furthers the objectives of 
Section 6(b)(5) of the Act,\11\ in particular, in that it is designed 
to prevent fraudulent and manipulative acts and practices, to promote 
just and equitable principles of trade, to remove impediments to and 
perfect the mechanism of a free and open market and a national market 
system, and, in general, to protect investors and the public interest. 
Additionally, the Exchange believes the proposed rule change is 
consistent with the Section 6(b)(5) \12\ requirement that the rules of 
an exchange not be designed to permit unfair discrimination between 
customers, issuers, brokers, or dealers.
---------------------------------------------------------------------------

    \10\ 15 U.S.C. 78f(b).
    \11\ 15 U.S.C. 78f(b)(5).
    \12\ Id.
---------------------------------------------------------------------------

    In adopting Regulation NMS, the Commission granted self-regulatory 
organizations (``SROs'') and broker-dealers increased authority and 
flexibility to offer new and unique market data to the public. It was 
believed that this authority would expand the amount of data available 
to consumers, and also spur innovation and competition for the 
provision of market data. The Exchange believes that the proposed Short 
Sale Volume data would further broaden the availability of U.S. equity 
market data to investors consistent with the principles of Regulation 
NMS. The proposal also promotes increased transparency through the 
dissemination of Short Sale Volume data. The proposed rule change would 
benefit investors by providing access to the Short Sale Volume data, 
which may promote better informed trading. Particularly, information 
regarding Short Sale Volume may allow a market participant to identify 
the source of selling pressure and whether it is long or short. 
Further, it may provide more visibility into increasing and decreasing 
retail interest in a specific security.
    Moreover, other exchanges offer similar data products.\13\ Nasdaq 
offers a daily short sale volume report and NYSE offers the TAQ group 
short sales and short volume product, which provide similar information 
to that included in the proposed end-of-day Short Sale Volume data 
product. The Nasdaq daily short sale volume file reflects the aggregate 
number of shares executed on Nasdaq, BX and PSX during regular trading 
hours.\14\ Specifically, the Nasdaq daily short sale volume provides 
the following information: Date, symbol, volume during regular trading 
hours, and CTA market identifier. The NYSE daily short volume file 
reflects a summary of short sale volume for securities traded on NYSE, 
NYSE American, NYSE Arca, NYSE National, and NYSE Chicago. 
Specifically, the NYSE short sales and short volume product provides 
the following information: Date, symbol, short exempt volume, short 
volume, total volume of the short sale transaction, and market 
identifier. NYSE and Nasdaq also offer monthly short sale volume 
reports which offer different information than that provided in their 
daily short sale reports.
---------------------------------------------------------------------------

    \13\ See Supra note 9.
    \14\ See https://nasdaqtrader.com/Trader.aspx?id=shortsale.
---------------------------------------------------------------------------

    The Exchange proposes to include different and additional data in 
the proposed products. Specifically, the Exchange proposes to include 
session information, trade count, capacity, and a retail order 
indicator in the proposed data product which are not currently provided 
in either the NYSE or Nasdaq short sale volume product offerings. 
Further, the Exchange proposes to offer an intraday Short Sale Volume 
data product, which is not offered by other exchanges. The Exchange 
believes the additional data points and the intraday data will benefit 
market participants because they will provide visibility into market 
activity that is not currently available. Further it will allow market 
participants to better understand the changing risk environment on a 
daily and intraday basis. Therefore, the Exchange believes it is 
reasonable to include such data in the proposed products.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
result in any burden on competition that is not necessary or 
appropriate in furtherance of the purposes of the Act. Rather, the 
Exchange believes that the proposal will promote competition by 
permitting the Exchange to offer data products similar to those offered 
by other competitor equities exchanges.\15\ The Exchange is proposing 
to introduce Short Sale Volume data in order to keep pace with changes 
in the industry and evolving customer needs, and believes this proposed 
rule change would contribute to robust competition among national 
securities exchanges. As noted, at least two other U.S. equity 
exchanges offer a market data product that is similar to the proposed 
Short Sale Volume data.\16\ As a result, the Exchange believes this 
proposed rule change permits fair competition among national securities 
exchanges. Therefore, the Exchange does not believe the proposed rule 
change will result in any burden on competition that is not necessary 
or appropriate in furtherance of the purposes of the Act.
---------------------------------------------------------------------------

    \15\ See Supra note 9.
    \16\ Id.
---------------------------------------------------------------------------

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    The Exchange neither solicited nor received comments on the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 45 days of the date of publication of this notice in the 
Federal

[[Page 32090]]

Register or within such longer period (i) as the Commission may 
designate up to 90 days of such date if it finds such longer period to 
be appropriate and publishes its reasons for so finding or (ii) as to 
which the Exchange consents, the Commission shall: (a) By order approve 
or disapprove such proposed rule change, or (b) institute proceedings 
to determine whether the proposed rule change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-CboeBZX-2021-042 on the subject line.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.

All submissions should refer to File Number SR-CboeBZX-2021-042. This 
file number should be included on the subject line if email is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549 on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of the filing also will be available for inspection 
and copying at the principal office of the Exchange. All comments 
received will be posted without change. Persons submitting comments are 
cautioned that we do not redact or edit personal identifying 
information from comment submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-CboeBZX-2021-042, and should be 
submitted on or before July 7, 2021.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\17\
---------------------------------------------------------------------------

    \17\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-12591 Filed 6-15-21; 8:45 am]
BILLING CODE 8011-01-P