Document ID: SEC-2021-0760-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: NYSE Arca, Inc.
Posted Date: 2021-05-26T04:00Z

[Federal Register Volume 86, Number 100 (Wednesday, May 26, 2021)]
[Notices]
[Pages 28420-28425]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-11079]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-91949; File No. SR-NYSEArca-2021-28]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change To List and Trade the Shares of ConvexityShares 
Daily 1.5x SPIKES Futures ETF Under NYSE Arca Rule 8.200-E (Trust 
Issued Receipts)

May 20, 2021.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby given 
that on May 13, 2021, NYSE Arca, Inc. (``NYSE Arca'' or the 
``Exchange'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I and 
II below, which Items have been prepared by the self-regulatory 
organization. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to list and trade the shares of the following 
under NYSE Arca Rule 8.200-E, Commentary .02 (``Trust Issued 
Receipts''): ConvexityShares Daily 1.5x SPIKES Futures ETF. The 
proposed change is available on the Exchange's website 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.

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 list and trade shares (``Shares'') of the 
following under NYSE Arca Rule 8.200-E, Commentary .02, which governs 
the listing and trading of Trust Issued Receipts: ConvexityShares Daily 
1.5x SPIKES Futures ETF (the ``Fund'').\4\
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    \4\ Commentary .02 to NYSE Arca Rule 8.200-E applies to Trust 
Issued Receipts that invest in ``Financial Instruments.'' The term 
``Financial Instruments,'' as defined in Commentary .02(b)(4) to 
NYSE Arca Rule 8.200-E, means any combination of investments, 
including cash; securities; options on securities and indices; 
futures contracts; options on futures contracts; forward contracts; 
equity caps, collars, and floors; and swap agreements.
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    The Fund is a series of the ConvexityShares Trust (the ``Trust''), 
a Delaware statutory trust.\5\ The Fund is managed and controlled by 
its sponsor and investment manager, ConvexityShares, LLC (the 
``Sponsor''). The Fund is a commodity pool and the Sponsor is a 
commodity pool operator subject to regulation by the Commodity Futures 
Trading Commission (``CFTC'') and the National Futures Association 
under the Commodity Exchange Act, as amended. U.S. Bank, a national 
banking association, will provide custody and fund accounting to the 
Trust and the Fund. Its affiliate, U.S. Bancorp Fund Services, will be 
the transfer agent (``Transfer Agent'') for Fund Shares and 
administrator for the Fund. Foreside will serve as the distributor for 
the Fund (``Distributor'').
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    \5\ On December 15, 2020, ConvexityShares Trust submitted to the 
Commission its draft registration statement, with respect to the 
Trust, on Form S-1 (``Registration Statement'') under the Securities 
Act of 1933 (``1933 Act''). The Jumpstart Our Business Startups Act, 
enacted on April 5, 2012, added Section 6(e) to the 1933 Act. 
Section 6(e) of the 1933 Act provides that an ``emerging growth 
company'' may confidentially submit to the Commission a draft 
registration statement for confidential, non-public review by the 
Commission staff prior to public filing, provided that the initial 
confidential submission and all amendments thereto shall be publicly 
filed not later than 21 days before the date on which the issuer 
conducts a road show, as such term is defined in 1933 Act Rule 
433(h)(4). An emerging growth company is defined in Section 2(a)(19) 
of the 1933 Act as an issuer with less than $1,000,000,000 total 
annual gross revenues during its most recently completed fiscal 
year. The Trust meets the definition of an emerging growth company 
and consequently has submitted its Registration Statement on a 
confidential basis with the Commission. The Exchange will not 
commence trading in Shares of the Fund until the Registration 
Statement becomes effective.
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    According to the Registration Statement, the Fund is benchmarked to 
the T3 SPIKE Front 2 Futures Index (the ``Index''), an investable index 
of SPIKES futures contracts. The Fund will seek to offer exposure to 
forward equity market volatility by obtaining exposure to the 
components of the Index. The Index, as described further below, is 
intended to reflect the returns that are potentially available through 
an unleveraged investment in the SPIKES futures contracts comprising 
the Index.\6\ The Index consists of short-term SPIKES

[[Page 28421]]

futures contracts and measures the daily performance of a theoretical 
portfolio of first- and second-month futures contracts on the SPIKES 
Volatility Index (``SPIKES Index'').\7\ The SPIKES Index is a non-
investable index that measures the implied volatility of the SPDR S&P 
500 ETF \8\ Trust (``SPY'').\9\ The Fund is not benchmarked to the 
SPIKES Index.
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    \6\ The Index is sponsored by Triple Three Partners Pty Ltd, 
which licenses the use of the Index to its affiliated company, T3i 
Pty Ltd (Triple Three Partners Pty Ltd and T3i Pty Ltd. are 
collectively referred to herein as ``T3 Index'' or the ``Index 
Sponsor''). T3 Index maintains a website at https://t3index.com/. 
The Index Sponsor is affiliated with the Sponsor. The Index Sponsor 
has implemented and will maintain a fire wall regarding access to 
information concerning the composition and/or changes to the Index. 
In addition, the Index Sponsor has implemented and will maintain 
procedures that are designed to prevent the use and dissemination of 
material, non-public information regarding the Index. The Index 
Sponsor is not registered as an investment adviser or broker-dealer 
and is not affiliated with any broker-dealers. The Sponsor is not 
registered as a broker-dealer or affiliated with a broker-dealer. In 
the event the Sponsor becomes registered as a broker-dealer or 
becomes affiliated with a broker-dealer, it will implement and 
maintain a fire wall with respect to its relevant personnel or its 
broker-dealer affiliate regarding access to and dissemination of 
material non-public information regarding the Index.
    \7\ T3 Index is the owner, creator and licensor of the SPIKES 
Index. The SPIKES Index is calculated, maintained and published by 
Miami International Securities Exchange, LLC (``MIAX'') via the 
Options Price Reporting Authority.
    \8\ SPDR S&P 500 ETF Trust is a unit investment trust that holds 
a portfolio of common stocks that closely tracks the price 
performance and dividend yield of the S&P 500 Composite Price Index 
(``S&P 500''). Shares of the SPDR S&P 500 ETF Trust trade on the 
Exchange under the symbol ``SPY.''
    \9\ According to the Registration Statement, the market's 
current expectation of the possible rate and magnitude of movements 
in an index is commonly referred to as the ``implied volatility'' of 
the index. For these purposes, ``implied volatility'' is a measure 
of the expected volatility of SPY over the next 30 days. The SPIKES 
Index does not represent the actual or the realized volatility of 
SPY. The SPIKES Index is calculated based on the prices of a 
constantly changing portfolio of SPY put and call options.
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    The Index is owned and maintained by T3 Index and is calculated and 
published by Solactive AG (``Solactive''). Solactive is not affiliated 
with T3 Index. The Index value calculated at the end of each business 
day will be available at www.convexityshares.com. The Fund's website 
will also provide information regarding the SPIKES futures contracts 
constituting the Index and the Index methodology. Futures contracts on 
the SPIKES Index, which futures comprise the Index, are traded on the 
Minneapolis Grain Exchange, LLC (``MGEX'') via the CME Globex[supreg] 
platform.
    According to the Registration Statement, the Fund will seek daily 
investment results, before fees and expenses, that correspond to one-
and-a-half times (1.5x) the performance of the Index for a single day. 
A ``single day'' is measured from the time the Fund calculates its net 
asset value (``NAV'') to the time of the Fund's next NAV calculation. 
The NAV calculation time for the Fund is typically is 4:00 p.m. 
(Eastern Time (``E.T.'')). The NAV will be calculated by taking the 
current market value of the Fund's total assets (after the close of the 
NYSE Arca Core Trading Session (normally, 4:00 p.m., E.T.)), 
subtracting any liabilities, and dividing that total by the total 
number of outstanding Shares.
Description of the Index
    According to the Registration Statement, the Index employs rules 
for selecting the SPIKES futures contracts comprising the Index and a 
formula to calculate a level for the Index from the prices of these 
SPIKES futures contracts. Currently, the SPIKES futures contracts 
comprising the Index represent the prices of two near-term SPIKES 
futures contracts, replicating a position that rolls the nearest month 
SPIKES futures contracts to the next month SPIKES futures contracts at 
or close to the daily settlement price via a Trade-At-Settlement \10\ 
program towards the end of each business day in equal fractional 
amounts. This results in a constant weighted average maturity of one 
month. The rules applicable to the Index are subject to change by T3 
Index.
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    \10\ A Trade at Settlement (``TAS'') is a transaction at a price 
equal to the daily settlement price, or at a specified differential 
above or below the daily settlement price. The TAS transaction price 
will be determined following execution and based upon the daily 
settlement price of the respective SPIKES futures contract month. 
TAS transactions are permitted in the SPIKES futures contract as 
outright or spread transactions. TAS transactions are available for 
trading only during the regular Hours of Trading of 8:30 a.m.-2:58 
p.m. Central Time. However, TAS transactions in an expiring SPIKES 
futures contract are not permitted during the Business Day of its 
final settlement date. The permissible price range for permitted TAS 
transactions is from 0.50 index points below the daily settlement 
price to 0.50 index points above the daily settlement price. The 
permissible minimum increment for a TAS transaction is 0.01 index 
points. See MGEX Rule 83.15 at http://www.mgex.com/documents/20210318-Rulebook.pdf. The term ``Business Day'' means a day when 
MGEX is open for business, and the term ``Hours of Trading'' means 
the hours, on business days, established by MGEX Rules for trading. 
See MGEX Rules, Chapter 1.
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    The level of the Index is published by one or more major market 
data vendors in real time at least once every 15 seconds and at the 
close of trading in the Exchange's Core Trading Session (normally 4:00 
p.m., E.T.) on each business day.
    The Index is comprised solely of SPIKES futures contracts. SPIKES 
futures contracts were launched for trading by MGEX, via the CME 
Globex[supreg] platform, on December 14, 2020. According to the 
Registration Statement, SPIKES futures contracts allow investors to 
invest based on their view of the forward implied market volatility of 
SPY. Investors that believe the forward implied market volatility of 
SPY will increase may buy SPIKES futures contracts. Conversely, 
investors that believe that the forward implied market volatility of 
SPY will decline may sell SPIKES futures contracts. While the SPIKES 
Index represents a measure of the expected 30-day volatility of SPY, 
the prices of SPIKES futures contracts are based on the current 
expectation of the expected 30-day volatility of SPY on the expiration 
date of the futures contract.
SPIKES Index
    According to the Registration Statement, the SPIKES Index is an 
index designed to measure the implied volatility of SPY over 30 days in 
the future. The SPIKES Index is calculated based on the prices of 
certain put and call options on SPY. The SPIKES Index is reflective of 
the premium paid by investors for certain options linked to the level 
of the S&P 500. The SPIKES Index is a theoretical calculation and 
cannot be traded on a spot basis. The SPIKES Index is reported by 
Bloomberg Finance L.P. and Reuters under the ticker symbol ``SPIKE.'' 
The SPIKES Index is calculated and disseminated every 100 milliseconds.
Investment Objectives and Strategies
    According to the Registration Statement, the Fund will seek daily 
investment results, before fees and expenses, that correspond to one-
and-a-half times (1.5x) the performance of the Index for a single day. 
The Fund is benchmarked to the Index, which is comprised of SPIKES 
futures contracts, and will seek to offer exposure to market volatility 
through publicly traded futures markets.
    Under normal market conditions,\11\ the Fund will invest primarily 
in SPIKES futures contracts to gain the appropriate exposure to the 
Index. Under certain circumstances, the Fund may also invest in futures 
contracts and swap contracts (``VIX Related Positions'') on the Cboe 
Volatility Index (``VIX''),\12\ an index that tracks volatility and 
would be expected to perform in a substantially similar manner as the 
SPIKES Index.
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    \11\ The term ``normal market conditions'' includes, but is not 
limited to, the absence of trading halts in the applicable financial 
markets generally; operational issues (e.g., systems failure) 
causing dissemination of inaccurate market information; or force 
majeure type events such as natural or manmade disaster, act of God, 
armed conflict, act of terrorism, riot or labor disruption or any 
similar intervening circumstance.
    \12\ The VIX Index is a measure of estimated near-term future 
volatility based upon the weighted average of the implied 
volatilities of near-term put and call options on the S&P 500.
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    In seeking to achieve the Fund's investment objective, the Sponsor 
will use a mathematical approach to investing. Using this approach, the 
Sponsor determines the type, quantity and mix of investments that the 
Sponsor believes, in combination, should produce daily returns 
consistent with the Fund's objective.
    The Fund seeks to achieve its investment objective through the 
appropriate amount of exposure to the SPIKES futures contracts included 
in the Index. The Fund will not directly

[[Page 28422]]

invest in the SPIKES Index. In addition, under specified circumstances 
described below, the Fund may invest in VIX Related Positions.
    In the event accountability rules, price limits, position limits, 
margin limits or other exposure limits are reached with respect to 
SPIKES futures contracts, the Sponsor may cause the Fund to invest in 
VIX Related Positions. According to the Registration Statement, the 
Sponsor expects the Fund's positions in VIX Related Positions to 
consist primarily of VIX futures contracts.\13\ In the event 
accountability rules, price limits, position limits, margin limits or 
other exposure limits are reached with respect to VIX futures 
contracts, or if the market for a specific VIX futures contract 
experiences emergencies or disruptions or in situations where the 
Sponsor deems it impractical or inadvisable to buy or sell VIX futures 
contracts, the Fund would hold VIX swap agreements.
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    \13\ Futures on the VIX are traded on the Cboe Futures Exchange.
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    The Fund will also hold cash or cash equivalents such as U.S. 
Treasury securities or other high credit quality, short-term fixed-
income or similar securities (such as shares of money market funds) as 
collateral for investments and pending investments.
Creation and Redemption of Shares
    According to the Registration Statement, the Fund will create and 
redeem Shares from time to time in one or more ``Creation Units'' or 
``Redemption Units'' (together, ``Units''). A Unit consists of 25,000 
Shares. The size of a Unit is subject to change. The creation and 
redemption of Units are made in exchange for delivery to the Fund or 
the distribution by the Fund of the amount of cash represented by the 
Units being created or redeemed, the amount of which is based on the 
combined NAV of the number of Shares included in the Units being 
created or redeemed determined as of 4:00 p.m. E.T. on the day the 
order to create or redeem Units is properly received. If permitted by 
the Sponsor in its sole discretion with respect to the Fund, an 
``Authorized Participant'' may also agree to enter into or arrange for 
an exchange of a futures contract for related position (``EFCRP'') or 
block trade with the Fund whereby the Authorized Participant would also 
transfer to the Fund a number and type of exchange-traded futures 
contracts at or near the closing settlement price for such contracts on 
the purchase order date. Similarly, the Sponsor in its sole discretion 
may agree with an Authorized Participant to use an EFCRP to effect an 
order to redeem Units.\14\ All APs would be able to use an EFCRP to 
effect orders to create or redeem Units.
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    \14\ According to the Registration Statement, an EFCRP is a 
technique permitted by the rules of certain futures exchanges that, 
as utilized by the Fund in the Sponsor's discretion, would allow the 
Fund to take a position in a futures contract from an Authorized 
Participant, or give futures contracts to an Authorized Participant, 
in the case of a redemption, rather than to enter the futures 
exchange markets to obtain such a position.
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    Authorized Participants are the only persons that may place orders 
to create and redeem Units. Authorized Participants must be (1) 
registered broker-dealers or other securities market participants, such 
as banks and other financial institutions, that are not required to 
register as broker-dealers to engage in securities transactions, and 
(2) Depository Trust Company participants.
Creation Procedures
    According to the Registration Statement, on any business day, an 
Authorized Participant may place an order to create one or more 
Units.\15\ Purchase orders must be placed by 2:00 p.m. E.T. or the 
close of the Core Trading Session on the NYSE Arca, whichever is 
earlier. Purchase orders are irrevocable.
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    \15\ For purposes of processing purchase and redemption orders 
for the Fund, a ``business day'' means any day other than a day when 
any of NYSE Arca, the New York Stock Exchange, MGEX or other 
exchange material to the valuation or operation of the Fund, or the 
calculation of the SPIKES Index, options contracts underlying the 
SPIKES Index, SPIKES futures contracts or the Index is closed for 
regular trading.
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    The total payment required to create each Creation Unit is the NAV 
of 25,000 Shares on the purchase order date.
Redemption Procedures
    According to the Registration Statement, the procedures by which an 
Authorized Participant can redeem one or more Units mirror the 
procedures for the creation of Units. On any business day, an 
Authorized Participant may place an order with the Transfer Agent, and 
accepted by the Distributor, to redeem one or more Units. Redemption 
orders must be placed by 2:00 p.m. E.T. or the close of the Core 
Trading Session on the NYSE Arca, whichever is earlier. Redemption 
orders are irrevocable.
    Upon request of an Authorized Participant made at the time of a 
redemption order, the Sponsor at its sole discretion may determine, in 
addition to delivering redemption proceeds, to transfer futures 
contracts to the Authorized Participant pursuant to an EFCRP or to a 
block trade sale of futures contracts to the Authorized Participant.
Determination of Redemption Proceeds
    The redemption proceeds from the Fund consist of the cash 
redemption amount and, if permitted by the Sponsor in its sole 
discretion with respect to the Fund, an EFCRP or block trade with the 
Fund as described above. The redemption proceeds from the Fund consist 
of a cash redemption amount equal to the NAV of the number of Units 
requested in the Authorized Participant's redemption order on the 
redemption order date, less transaction fees and any amounts 
attributable to any applicable EFCRP or block trade.
Indicative Fund Value
    In order to provide updated information relating to the Fund for 
use by investors and market professionals, an updated ``Indicative Fund 
Value'' (``IFV'') will be calculated. The IFV will be calculated by 
using the prior day's closing NAV per Share of the Fund as a base and 
will be updating throughout the Core Trading Session of 9:30 a.m. E.T. 
to 4:00 p.m. E.T. to reflect changes in the approximate aggregate per 
Share value of the investments held by the Fund based on the most 
recently available prices for the Fund's investments. The IFV will be 
disseminated on a per Share basis every 15 seconds during the 
Exchange's Core Trading Session and be widely disseminated by one or 
more major market data vendors during the NYSE Arca Core Trading 
Session. The IFV will be readily available from the Fund's website, 
automated quotation systems, published or other public sources, or 
major market data vendors' website or on-line information services.
Availability of Information
    The NAV for the Fund's Shares will be disseminated daily to all 
market participants at the same time, after 4 p.m. each day. In 
addition, the Fund's website, www.convexityshares.com, will display the 
end of day closing NAV. The daily holdings of the Fund will be 
available on the Fund's website before 9:30 a.m. E.T. each day. The 
website disclosure of portfolio holdings will be made daily and will 
include, as applicable, (i) the composite value of the total portfolio, 
(ii) the quantity and type of each holding (including the ticker 
symbol, maturity date or other identifier, if any) and other 
descriptive information including, in the case of a swap, the type of 
swap, its notional value and the underlying instrument, index or asset 
on which the swap is based, (iii) the market value of each investment 
held by the Fund, (iv) the type (including maturity, ticker symbol,

[[Page 28423]]

or other identifier) and value of each Treasury security and cash 
equivalent, and (v) the amount of cash held in the Fund's portfolio. 
The Fund's website will be publicly accessible at no charge.
    The Fund's website will include a form of the prospectus that may 
be downloaded. The Fund's website will include additional quantitative 
information updated on a daily basis, including, trading volume, the 
prior business day's NAV, market closing price or mid-point of the bid/
ask spread at the time of calculation of such NAV (the ``Bid/Ask 
Price''),\16\ and a calculation of the premium and discount of the 
market closing price or Bid/Ask Price against the NAV. The website and 
information will be publicly available at no charge.
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    \16\ The Bid/Ask Price of the Fund's Shares is determined using 
the mid-point between the current national best bid and offer at the 
time of calculation of such Fund's NAV. The records relating to Bid/
Ask Prices will be retained by the Fund or its service providers.
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    This website disclosure of the Fund's daily holdings will occur at 
approximately the same time as the disclosure by the Trust of the daily 
holdings to Authorized Participants so that all market participants are 
provided daily holdings information at approximately the same time. 
Therefore, the same holdings information will be provided on the public 
website as well as in electronic files provided to Authorized 
Participants. Accordingly, each investor will have access to the 
current daily holdings of the Fund through the Fund's website.
    Complete real-time data for SPIKES futures contracts is available 
by subscription through on-line information services. MGEX also 
provides delayed futures information on current and past trading 
sessions and market news free of charge on its website. The level of 
the Index will be published at least every 15 seconds both in real time 
from 9:30 a.m. to 4 p.m. E.T. and at the close of trading on each 
business day by Bloomberg and Reuters. The level of the SPIKES Index 
and the VIX is available from Bloomberg and Reuters. Price information 
regarding cleared VIX swap contracts is available from major market 
data vendors. Price information regarding VIX futures is available from 
the Cboe Futures Exchange and from major market data vendors. Price 
information for cash equivalents is available from major market data 
vendors. Price information for non-exchange-traded VIX swap contracts 
may be obtained from brokers and dealers who make markets in such 
instruments. Information regarding the previous day's closing price and 
trading volume information for the Shares will be published daily in 
the financial section of newspapers. Quotation and last-sale 
information regarding the Shares will be disseminated through the 
facilities of the Consolidated Tape Association (``CTA'').
Trading Halts
    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Shares of the Fund.\17\ Trading in Shares of the Fund 
will be halted if the circuit breaker parameters in NYSE Arca Rule 
7.12-E have been reached. Trading also may be halted because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Shares inadvisable. The Exchange may halt trading during 
the day in which an interruption to the dissemination of the IFV or the 
value of the Index occurs. If the interruption to the dissemination of 
the IFV or the value of the Index persists past the trading day in 
which it occurred, the Exchange will halt trading no later than the 
beginning of the trading day following the interruption. In addition, 
if the Exchange becomes aware that the NAV with respect to the Shares 
or disclosure of the Fund's daily holdings is not disseminated to all 
market participants at the same time, it will halt trading in the 
Shares until such time as the NAV and the Fund's daily holdings is 
available to all market participants.
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    \17\ See NYSE Arca Rule 7.12-E.
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Trading Rules
    The Exchange deems the Shares to be equity securities, thus 
rendering trading in the Shares subject to the Exchange's existing 
rules governing the trading of equity securities. Shares will trade on 
the NYSE Arca Marketplace from 4 a.m. to 8 p.m. E.T. in accordance with 
NYSE Arca Rule 7.34-E (Early, Core, and Late Trading Sessions). The 
Exchange has appropriate rules to facilitate transactions in the Shares 
during all trading sessions. As provided in NYSE Arca Rule 7.6-E, the 
minimum price variation (``MPV'') for quoting and entry of orders in 
equity securities traded on the NYSE Arca Marketplace is $0.01, with 
the exception of securities that are priced less than $1.00 for which 
the MPV for order entry is $0.0001.
    The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Rule 8.200-E. The trading of the Shares will 
be subject to NYSE Arca Rule 8.200-E, Commentary .02(e), which sets 
forth certain restrictions on Equity Trading Permit (``ETP'') Holders 
acting as registered Market Makers in Trust Issued Receipts to 
facilitate surveillance. A minimum of 100,000 Shares of each Fund will 
be outstanding at the commencement of trading on the Exchange. With 
respect to the application of Rule 10A-3 \18\ under the Act, the Fund 
will rely on the exception contained in Rule 10A-3(c)(7).\19\ The 
Exchange will obtain a representation from the issuer of the Shares of 
the Fund that the NAV per Share of the Fund will be calculated daily 
and will be made available to all market participants at the same time.
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    \18\ 17 CFR 240.10A-3.
    \19\ See Rule 10A-3(c)(7), 17 CFR 240.10A-3(c)(7) (stating that 
a listed issuer is not subject to the requirements of Rule 10A-3 if 
the issuer is organized as an unincorporated association that does 
not have a board of directors and the activities of the issuer are 
limited to passively owning or holding securities or other assets on 
behalf of or for the benefit of the holders of the listed 
securities).
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Surveillance
    The Exchange represents that trading in the Shares will be subject 
to the existing trading surveillances administered by the Exchange, as 
well as cross-market surveillances administered by the Financial 
Industry Regulatory Authority (``FINRA'') on behalf of the Exchange, 
which are designed to detect violations of Exchange rules and 
applicable federal securities laws.\20\ The Exchange represents that 
these procedures are adequate to properly monitor Exchange trading of 
the Shares of the Fund in all trading sessions and to deter and detect 
violations of Exchange rules and federal securities laws applicable to 
trading on the Exchange.
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    \20\ FINRA conducts cross-market surveillances on behalf of the 
Exchange pursuant to a regulatory services agreement. The Exchange 
is responsible for FINRA's performance under this regulatory 
services agreement.
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    The surveillances referred to above generally focus on detecting 
securities trading outside their normal patterns, which could be 
indicative of manipulative or other violative activity. When such 
situations are detected, surveillance analysis follows and 
investigations are opened, where appropriate, to review the behavior of 
all relevant parties for all relevant trading violations.
    The Exchange or FINRA, on behalf of the Exchange, or both, will 
communicate as needed regarding trading in the Shares, SPIKES futures, 
VIX futures and other underlying exchange-listed instruments with other 
markets and other entities that are members of the ISG, and the 
Exchange or FINRA, on behalf of the Exchange, or both, may obtain 
trading information

[[Page 28424]]

regarding trading in the Shares, SPIKES futures, VIX futures and other 
underlying exchange-listed instruments from such markets and other 
entities. In addition, the Exchange may obtain information regarding 
trading in the Shares, SPIKES futures, VIX futures and other underlying 
exchange-listed instruments from markets and other entities that are 
members of ISG or with which the Exchange has in place a comprehensive 
surveillance sharing agreement (``CSSA'').\21\ The Exchange has in 
place a CSSA with MGEX regarding trading in all futures contracts on 
MGEX.
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    \21\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all components of the 
Fund may trade on markets that are members of ISG or with which the 
Exchange has in place a CSSA.
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    All of the net assets of the Fund invested in futures contracts 
shall consist of futures contracts whose principal market is a member 
of the ISG or is a market with which the Exchange has a CSSA.
    In addition, the Exchange also has a general policy prohibiting the 
distribution of material, non-public information by its employees.
    All statements and representations made in this filing regarding 
(a) the description of the Index, portfolio holdings and reference 
assets, (b) limitations on Index or portfolio holdings or reference 
assets, or (c) applicability of Exchange listing rules specified in 
this filing shall constitute continued listing requirements for listing 
the Shares on the Exchange.
    The issuer has represented to the Exchange that it will advise the 
Exchange of any failure by the Fund to comply with the continued 
listing requirements, and, pursuant to its obligations under Section 
19(g)(1) of the Act, the Exchange will monitor for compliance with the 
continued listing requirements. If the Fund is not in compliance with 
the applicable listing requirements, the Exchange will commence 
delisting procedures under NYSE Arca Rule 5.5-E(m).
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its 
ETP Holders in an Information Bulletin of the special characteristics 
and risks associated with trading the Shares. Specifically, the 
Information Bulletin will discuss the following: (1) The risks involved 
in trading the Shares during the Opening and Late Trading Sessions when 
an updated IFV will not be calculated or publicly disseminated; (2) the 
procedures for purchases and redemptions of Shares in Creation Units 
and Redemption Units (and that Shares are not individually redeemable); 
(3) NYSE Arca Rule 9.2-E(a), which imposes a duty of due diligence on 
its ETP Holders to learn the essential facts relating to every customer 
prior to trading the Shares; (4) how information regarding the IFV is 
disseminated; (5) how information regarding portfolio holdings is 
disseminated; (6) the requirement that ETP Holders deliver a prospectus 
to investors purchasing newly issued Shares prior to or concurrently 
with the confirmation of a transaction; and (7) trading information.
    In addition, the Information Bulletin will advise ETP Holders, 
prior to the commencement of trading, of the prospectus delivery 
requirements applicable to the Fund. The Exchange notes that investors 
purchasing Shares directly from the Fund will receive a prospectus. ETP 
Holders purchasing Shares from the Fund for resale to investors will 
deliver a prospectus to such investors. The Information Bulletin will 
also discuss any exemptive, no-action, and interpretive relief granted 
by the Commission from any rules under the Act. In addition, the 
Information Bulletin will reference that the Fund is subject to various 
fees and expenses described in the Registration Statement.
    The Information Bulletin will also disclose the trading hours of 
the Shares and that the NAV for the Shares will be calculated after 
4:00 p.m. E.T. each trading day. The Information Bulletin will disclose 
that information about the Shares will be publicly available on the 
Fund's website.
    Further, the Exchange states that FINRA has implemented increased 
sales practice and customer margin requirements for FINRA members 
applicable to inverse, leveraged and inverse leveraged securities 
(which include the ConvexityShares Daily 1.5x SPIKES Futures ETF) and 
options on such securities, as described in FINRA Regulatory Notices 
09-31 (June 2009), 09-53 (August 2009), and 09-65 (November 2009). The 
Fund does not seek to achieve its primary investment objective over a 
period of time greater than a single day. ETP Holders that carry 
customer accounts will be required to follow the FINRA guidance set 
forth in these notices.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \22\ that an exchange have rules that 
are 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, in general, to protect investors and the public interest.
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    \22\ 15 U.S.C. 78f(b)(5).
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    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices in that the 
Shares will be listed and traded on the Exchange pursuant to the 
initial and continued listing criteria in NYSE Arca Rule 8.200-E.\23\ 
The Exchange has in place surveillance procedures that are adequate to 
properly monitor trading in the Shares of the Fund in all trading 
sessions and to deter and detect violations of Exchange rules and 
applicable federal securities laws.
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    \23\ The Exchange represents that, for initial and/or continued 
listing, the Fund will be in compliance with Rule 10A-3 (17 CFR 
240.10A-3) under the Act, as provided by NYSE Arca Rule 5.3-E.
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    The Exchange or FINRA, on behalf of the Exchange, or both, will 
communicate as needed regarding trading in the Shares, SPIKES futures, 
VIX futures and other underlying exchange-listed instruments with other 
markets and other entities that are members of the ISG, and the 
Exchange or FINRA, on behalf of the Exchange, or both, may obtain 
trading information regarding trading in the Shares, SPIKES futures, 
VIX futures and other underlying exchange-listed instruments from such 
markets and other entities. In addition, the Exchange may obtain 
information regarding trading in the Shares, SPIKES futures, VIX 
futures and other underlying exchange-listed instruments from markets 
and other entities that are members of ISG or with which the Exchange 
has in place a CSSA. The Exchange has in place a CSSA with MGEX 
regarding trading in all futures contracts on MGEX.
    All of the net assets of the Fund invested in futures contracts 
shall consist of futures contracts whose principal market is a member 
of the ISG or is a market with which the Exchange has a CSSA.
    The NAV for the Fund's Shares will be disseminated daily to all 
market participants at the same time, after 4 p.m. E.T. each day. 
Complete real-time data for SPIKES futures contracts is available by 
subscription through on-line information services. MGEX also provides 
delayed futures information on current and past trading sessions and 
market news free of charge on its website. The level of the Index will 
be published at least every 15 seconds both in real time from 9:30 a.m. 
to 4 p.m. E.T. and at the close of trading on each business day by 
Bloomberg and Reuters.

[[Page 28425]]

The level of the SPIKES Index and the VIX is available from Bloomberg 
and Reuters. Price information regarding cleared VIX swap contracts is 
available from major market data vendors. Price information regarding 
VIX futures is available from the Cboe Futures Exchange and from major 
market data vendors. Price information for cash equivalents is 
available from major market data vendors. Price information for non-
exchange-traded VIX swap contracts may be obtained from brokers and 
dealers who make markets in such instruments. Information regarding the 
previous day's closing price and trading volume information for the 
Shares will be published daily in the financial section of newspapers. 
Quotation and last-sale information regarding the Shares will be 
disseminated through the facilities of the CTA. The IFV will be 
available through on-line information services.
    Moreover, prior to the commencement of trading, the Exchange will 
inform its Equity Trading Permit Holders in an Information Bulletin of 
the special characteristics and risks associated with trading the 
Shares. Trading in Shares of the Fund will be halted if the circuit 
breaker parameters in NYSE Arca Rule 7.12-E have been reached or 
because of market conditions or for reasons that, in the view of the 
Exchange, make trading in the Shares inadvisable.
    The proposed rule change is designed to perfect the mechanism of a 
free and open market and, in general, to protect investors and the 
public interest in that it will facilitate the listing and trading of 
an additional type of Trust Issued Receipts based on prices related to 
market volatility that will enhance competition among market 
participants, to the benefit of investors and the marketplace. As noted 
above, the Exchange has in place surveillance procedures that are 
adequate to properly monitor trading in the Shares in all trading 
sessions and to deter and detect violations of Exchange rules and 
applicable federal securities laws.

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 purpose of the Act. The Exchange notes that the 
proposed rule change will facilitate the listing and trading of an 
additional type of Trust Issued Receipts based on prices related to 
market volatility and that will enhance competition among market 
participants, to the benefit of investors and the marketplace.

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 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-2021-28 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-2021-28. 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-NYSEArca-2021-28 and should be submitted 
on or before June 16, 2021.
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    \24\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\24\
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-11079 Filed 5-25-21; 8:45 am]
BILLING CODE 8011-01-P