Document ID: SEC-2022-0320-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: Miami International Securities Exchange, LLC
Posted Date: 2022-03-09T05:00Z

[Federal Register Volume 87, Number 46 (Wednesday, March 9, 2022)]
[Notices]
[Pages 13339-13350]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-04921]

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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-94353; File No. SR-MIAX-2021-58]

Self-Regulatory Organizations; Miami International Securities 
Exchange, LLC; Notice of Filing of Amendment Nos. 1 and 2 and Order 
Granting Accelerated Approval of a Proposed Rule Change, as Modified by 
Amendment Nos. 1 and 2, To Adopt Exchange Rule 532, Order and Quote 
Price Protection Mechanisms and Risk Controls

March 3, 2022.

I. Introduction

    On November 16, 2021, Miami International Securities Exchange, LLC 
(``MIAX Options'' or the ``Exchange'') filed with the Securities and 
Exchange Commission (the ``Commission''), pursuant to Section 19(b)(1) 
\1\ of the Securities Exchange Act of 1934 (the

[[Page 13340]]

``Act''),\2\ and Rule 19b-4 thereunder,\3\ a proposed rule change to 
amend Exchange Rules 100 and 518 and to adopt new Exchange Rule 532, 
``Order and Quote Price Protection Mechanisms and Risk Controls.'' The 
proposed rule change was published for comment in the Federal Register 
on December 3, 2021.\4\ The Commission received no comment letters 
regarding the proposal. On January 13, 2022, pursuant to Section 
19(b)(2) of the Act,\5\ the Commission designated a longer period 
within which to approve the proposed rule change, disapprove the 
proposed rule change, or institute proceedings to determine whether to 
approve or disapprove the proposed rule change.\6\ On February 22, 
2022, the Exchange filed Amendment No. 1 to the proposal, which amends 
and replaces the original filing in its entirety.\7\ On March 2, 2022, 
the Exchange filed Amendment No. 2 to the proposal.\8\ The Commission 
is publishing this notice to solicit comment on Amendment Nos. 1 and 2 
to the proposed rule change from interested persons and is approving 
the proposed rule change, as modified by Amendment Nos. 1 and 2, on an 
accelerated basis.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
    \4\ See Securities Exchange Act Release No. 93676 (November 29, 
2021), 86 FR 68695.
    \5\ 15 U.S.C. 78s(b)(2).
    \6\ See Securities Exchange Act Release No. 93972 (January 13, 
2022), 87 FR 3137 (January 20, 2022). The Commission designated 
March 3, 2022, as the date by which the Commission shall approve or 
disapprove, or institute proceedings to determine whether to approve 
or disapprove, the proposed rule change.
    \7\ Amendment No. 1 modifies the original filing to (1) indicate 
that, if enabled, the proposed Managed Protection Override will 
apply to all of the risk protections listed in proposed Exchange 
Rule 532; (2) revise the Max Put Price Protection for Simple Orders 
to indicate that an offer eQuote greater than the maximum trading 
price limit will be cancelled; (3) add clarifying detail to the 
proposed definition of Butterfly Spread and revise the proposed 
Butterfly Spread Variance Price Protection to describe the treatment 
of orders and eQuotes limit priced outside the minimum and maximum 
trading price limits in the proposed rule; (4) revise the Calendar 
Spread Variance Price Protection to describe the treatment of buy 
orders and bid eQuotes priced less than the minimum trading price 
limit in the proposed rule; (5) revise the Vertical Spread Price 
Protection to describe the treatment of orders and eQuotes priced 
outside the minimum and maximum trading price limits in the proposed 
rule; (6) revise the proposed MIAX Strategy Price Protection to 
indicate that complex orders with a time-in-force of Day or GTC are 
eligible for the protection; (7) add clarifying detail to the Market 
Maker Single Side Protection; (8) add Interpretation and Policy .01 
to proposed Exchange Rule 532, which states that the System will 
apply the most conservative price protection to an order when an 
order is eligible for multiple price protections; (9) make non-
substantive grammatical changes to the text of the proposed rules; 
(10) more clearly identify rules that the proposal will relocate to 
new proposed Exchange Rule 532 without substantive changes; and (11) 
describe the Exchange's rationale for the pre-set value the Exchange 
will use in the proposed MIAX Strategy Price Protection Variance. 
Amendment No. 1 is available at https://www.sec.gov/comments/sr-miax-2021-58/srmiax202158.htm.
    \8\ Amendment No. 2 revises the proposal to describe the 
application of the proposed MIAX Strategy Price Protection applies 
to complex market orders. Amendment No. 2 is available at https://www.sec.gov/comments/sr-miax-2021-58/srmiax202158.htm.
---------------------------------------------------------------------------

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 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to adopt new Exchange Rule 532, Order and 
Quote Price Protection Mechanisms and Risk Controls. The Exchange 
proposes to adopt a new Managed Protection Override feature, a new Max 
Put Price Protection feature, and a new MIAX Strategy Price Protection 
(``MSPP'') in new proposed Rule 532.
    The Exchange proposes to relocate and amend paragraph (a), Vertical 
Spread Variance (``VSV'') Price Protection; paragraph (b), Calendar 
Spread Variance (``CSV'') Price Protection; and paragraph (c) VSV and 
CSV Price Protection, from Interpretations and Policies .05 of Exchange 
Rule 518 to new proposed Rule 532 as described below. Additionally, the 
Exchange proposes to adopt a new Butterfly Spread Variance (``BSV'') 
Price Protection to proposed section (b)(2) of new proposed Rule 532.
    The Exchange proposes to relocate paragraph (d), Implied Away Best 
Bid or Offer (``ixABBO'') Price Protection; and paragraph (f), Complex 
MIAX Options Price Collar Protection; from Interpretations and Policies 
.05 of Exchange Rule 518 to new proposed Rule 532 in their entirety and 
without modification as section (b)(6), Complex MIAX Options Price 
Collar Protection; and section (b)(7), Implied Away Best Bid or Offer 
(``ixABBO'') Price Protection. The Exchange also proposes to relocate 
paragraph (g), Market Maker Single Side Protection, from 
Interpretations and Policies .05 of Exchange Rule 518 to new proposed 
Rule 532 as section (b)(8), Market Maker Single Side Protection. The 
Exchange also proposes to make a minor non-substantive edit to the rule 
text of Market Maker Single Side Protection.
    The Exchange proposes to adopt new Interpretations and Policies 
.01, to new proposed Rule 532 to state that, when an order is eligible 
for multiple price protections the System \9\ will apply the most 
conservative.
---------------------------------------------------------------------------

    \9\ The term ``System'' means the automated trading system used 
by the Exchange for the trading of securities. See Exchange Rule 
100.
---------------------------------------------------------------------------

    The Exchange proposes to amend Exchange Rule 100, Definitions to 
insert a clarifying term to the definition of ``Book.'' \10\
---------------------------------------------------------------------------

    \10\ The term ``Book'' means the electronic book of buy and sell 
orders and quotes maintained by the System. See Exchange Rule 100.
---------------------------------------------------------------------------

    The Exchange proposes to relabel paragraph (e) of Interpretations 
and Policies .05 of Exchange Rule 518 to paragraph (a), and to make a 
number of non-substantive changes to update internal cross references 
throughout Exchange Rule 518 that have changed as a result of the 
proposed changes contained herein.
Background
    The Exchange began trading complex orders \11\ in October, 
2016.\12\ As part of its effort to continue to build out its complex 
order market segment the Exchange has continued to add order types \13\ 
and functionality. To encourage Members \14\ to send complex orders to

[[Page 13341]]

the Exchange the Exchange has implemented numerous risk protections 
specifically tailored to complex orders. The Exchange is now proposing 
to modify Exchange Rule 518, Complex Orders, to relocate and 
consolidate certain risk protection functionality in new proposed 
Exchange Rule 532, Order and Quote Price Protection Mechanisms and Risk 
Controls, and to adopt additional risk protection functionality as 
described below.
---------------------------------------------------------------------------

    \11\ A ``complex order'' is any order involving the concurrent 
purchase and/or sale of two or more different options in the same 
underlying security (the ``legs'' or ``components'' of the complex 
order), 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 purposes of executing a particular investment 
strategy. Mini-options may only be part of a complex order that 
includes other mini-options. Only those complex orders in the 
classes designated by the Exchange and communicated to Members via 
Regulatory Circular with no more than the applicable number of legs, 
as determined by the Exchange on a class-by-class basis and 
communicated to Members via Regulatory Circular, are eligible for 
processing. See Exchange Rule 518(a)(5).
    \12\ For a complete description of the trading of complex orders 
on the Exchange, see Exchange Rule 518. See also, Securities 
Exchange Act Release No. 79072 (October 7, 2016), 81 FR 71131 
(October 14, 2016) (SR-MIAX-2016-26).
    \13\ See Securities Exchange Act Release Nos. 89085 (June 17, 
2020), 85 FR 37719 (June 23, 2020) (SR-MIAX-2020-16) (Proposal to 
adopt new Complex Attributable Order); 89212 (July 1, 2020), 85 FR 
41075 (July 8, 2020) (SR-MIAX-2020-20) (Proposal to adopt new 
Complex Auction-on-Arrival-Only ``cAOAO'' order type).
    \14\ The term ``Member'' means an individual or organization 
approved to exercise the trading rights associated with a Trading 
Permit. Members are deemed ``members'' under the Exchange Act. See 
Exchange Rule 100.
---------------------------------------------------------------------------

Proposal
Managed Protection Override
    The Exchange proposes to adopt a new Managed Protection Override 
feature which will work in conjunction with certain risk protections on 
the Exchange. If a Member enables the Managed Protection Override then 
all risk protections connected to the Managed Protection Override 
feature are engaged. When a risk protection connected to the Managed 
Protection Override feature is triggered, and the Managed Protection 
Override feature has been enabled, the order subject to the risk 
protection will be cancelled.
    The Managed Protection Override will be available for the following 
risk protections: Vertical Spread Variance (``VSV'') Price Protection, 
Calendar Spread Variance (``CSV'') Price Protection, new proposed 
Butterfly Spread Variance (``BSV'') Price Protection, Parity Price 
Protection, and new proposed Max Put Price Protection.
    Currently, when the Vertical Spread Variance (``VSV'') Price 
Protection and the Calendar Spread Variance (``CSV'') Price Protection 
are triggered the default behavior is to manage the order in accordance 
to Exchange Rule 518(c)(4).\15\ Additionally, when the Parity Price 
Protection is triggered the default behavior is to place the order on 
the Strategy Book \16\ at its parity protected price.\17\ The Exchange 
believes that offering Members the option to have their orders either 
managed by the Exchange or cancelled gives Members greater flexibility 
and control over their orders while retaining risk protection 
functionality.
---------------------------------------------------------------------------

    \15\ See Interpretations and Policies .05(c) of Exchange Rule 
518.
    \16\ The ``Strategy Book'' is the Exchange's electronic book of 
complex orders and complex quotes. See Exchange Rule 518(a)(17).
    \17\ See Interpretations and Policies .01(g) of Exchange Rule 
518.
---------------------------------------------------------------------------

Max Put Price Protection (``MPPP'')
    The Exchange proposes to adopt a new price protection for put 
options \18\ by establishing a maximum price at which a put option may 
trade.\19\ To determine the maximum price the Exchange will add a pre-
set value, the Put Price Variance,\20\ to the strike price of the put 
option. The pre-set value will be determined by the Exchange and 
communicated to Members via Regulatory Circular. Buy orders that are 
priced through the maximum trading price limit will trade up to, and 
including, the maximum trading price limit, and will then be placed on 
the Book and managed to the appropriate trading price limit as 
described in Rule 515(c)(1)(ii), or cancelled if the Managed Protection 
Override (``MPO'') is enabled. Sell orders that are priced higher than 
the maximum trading price limit will be rejected.
---------------------------------------------------------------------------

    \18\ The term ``put'' means an option contract under which the 
holder of the option has the right, in accordance to the terms and 
provisions of the option, to sell to the Clearing Corporation the 
number of units of the underlying security covered by the option 
contract. See Exchange Rule 100.
    \19\ The Exchange notes that the Cboe Exchange offers a similar 
Buy Order Put Protection which provides that if a User enters a buy 
limit order for a put with, or if a buy market order (or unexecuted 
portion) for a put would execute at, a price higher than or equal to 
the strike price of the option, the System cancels or rejects the 
order (or unexecuted portion) or quote. This check does not apply to 
adjusted series or bulk messages. See Cboe Exchange Rule 5.34(a)(3).
    \20\ The proposed pre-set value for the Put Price Variance will 
be $0.10 to align to other similar price protections on the Exchange 
and will apply to all classes. The Exchange believes this value 
provides an adequate price range for executions while offering price 
protection against potentially erroneous executions. See MIAX 
Regulatory Circular 2016-47, MIAX Complex Order Price Protection 
Pre-set Values (October 20, 2016) available at https://www.miaxoptions.com/sites/default/files/circular-files/MIAX_RC_2016_47.pdf, which establishes a $0.10 pre-set value for 
Vertical Spreads and Calendar Spreads.
---------------------------------------------------------------------------

    A bid quote through the maximum trading price limit will trade up 
to, and including, the maximum trading price limit, then will be placed 
on the Book and managed to the appropriate trading price limit as 
described in Rule 515(c)(1)(ii), or in the case of a bid eQuote,\21\ 
will be cancelled.\22\ An offer quote greater than the maximum trading 
price limit is not rejected and will be placed on the Book and 
displayed. An offer eQuote greater than the maximum trading price limit 
will be cancelled.
---------------------------------------------------------------------------

    \21\ The Exchange offers two different types of quotes for use 
in its simple market: A Standard quote, which is submitted by a 
Market Maker that cancels and replaces the Market Maker's previous 
Standard quote, if any; and an eQuote which is a quote with a 
specific time in force that does not automatically cancel and 
replace a previous Standard quote or eQuote. An eQuote can be 
cancelled by the Market Maker at any time, or can be replaced by 
another eQuote that contains specific instructions to cancel an 
existing eQuote. See Exchange Rule 517(a)(1) and (2).
    \22\ Currently, eQuotes offered on the Exchange do not have a 
time in force setting that would allow them to be managed. See 
Exchange Rule 517(a)(2).
---------------------------------------------------------------------------

Example Max Put Price Protection for a Buy Market Order
    An order to Buy 10 XYZ Jan 5 Put @Market is received.
    The current market is:

MBBO \23\ 0.50 (10) x 5.50 (10)
---------------------------------------------------------------------------

    \23\ The term ``MBBO'' means the best bid or offer on the Simple 
Order Book on the Exchange. See Exchange Rule 518(a)(13). The 
``Simple Order Book'' is the Exchange's regular electronic book of 
orders and quotes. See Exchange Rule 518(a)(15).

---------------------------------------------------------------------------
    The price protection is:

Put Price Variance (PPV) = $0.10
Max Put Price Protection = (Strike + PPV) = $5.10

    The Max Put Price Protection establishes the maximum trading price 
limit at which an order can trade. Because the Buy Order is priced 
through the Max Put Price Protection of $5.10, the order is subject to 
management pursuant to 515(c)(1)(ii) and is posted to the order book at 
$5.10.

MBBO 5.10 (10) x 5.50 (10)
Example Max Put Price Protection for a Sell Limit Order
    An Order to Sell 10 XYZ Jan 5 Put @$5.25 is received.
    The current market is:

MBBO 0.50 (10) x 5.50 (10)

    The price protection is:

Put Price Variance (PPV) = $0.10
Put Option = XYZ Jan 5 Put
Max Put Price Protection = (Strike + PPV) = $5.10

    Because the Sell Order is priced higher than the Max Put Price 
Protection of $5.10, the order is rejected.
Example Max Put Price Protection for a Buy Quote
    A Quote to Buy 10 XYZ Jan 5 Put @$5.50 is received.
    The current market is:

MBBO 0.50 (10) x 5.50 (10)
    The price protection is:

Put Price Variance (PPV) = $0.10
Put Option = XYZ Jan 5 Put
Max Put Price Protection = (Strike + PPV) = $5.10

    Because the Buy Quote is priced through the Max Put Price 
Protection of $5.10, the quote is posted to the order book and managed 
at $5.10.

MBBO 5.10 (10) x 5.50 (10)
Example Max Put Price Protection for a Sell Quote
    A Quote to Sell 10 XYZ Jan 5 Put @$5.25 is received.
    The current market is:

[[Page 13342]]

MBBO 0.50 (10) x 5.50 (10)

    The price protection is:

Put Price Variance (PPV) = $0.10
Put Option = XYZ Jan 5 Put
Max Put Price Protection = (Strike + PPV) = $5.10

    Although the Sell Quote is priced higher than the Max Put Price 
Protection of $5.10, sell Quotes priced higher than the Max Put Price 
Protection are not rejected and therefore it is posted to the order 
book at $5.25.

MBBO 5.10 (10) x 5.25 (10)

    The Exchange treats orders and quotes differently on the Exchange 
as orders may only be submitted by Electronic Exchange Members 
(``EEMs'') \24\ and quotes may only be submitted by Market Makers \25\ 
on the Exchange. Market Makers have heightened obligations on the 
Exchange including the requirement to provide continuous two sided 
quotes under Exchange Rule 604(e),\26\ and as such the Exchange 
minimizes the times it will cancel Market Maker quotes.
---------------------------------------------------------------------------

    \24\ The term ``Electronic Exchange Member'' or ``EEM'' means 
the holder of a Trading Permit who is not a Market Maker. Electronic 
Exchange Members are deemed ``members'' under the Exchange Act. See 
Exchange Rule 100.
    \25\ The term ``Market Makers'' refers to ``Lead Market 
Makers'', ``Primary Lead Market Makers'' and ``Registered Market 
Makers'' collectively. See Exchange Rule 100.
    \26\ A Primary Lead Market Maker must provide continuous two-
sided Standard quotes and/or Day eQuotes, which for the purpose of 
paragraph (e) of Rule 604 which shall mean 90% of the time, for the 
options classes to which it is appointed. See Exchange Rule 
604(e)(1)(i); A Lead Market Maker must provide continuous two-sided 
Standard quotes and/or Day eQuotes, which for the purpose of 
paragraph (e) of Rule 604 which shall mean 90% of the time, for the 
option classes to which it is appointed. See Exchange Rule 
604(e)(2)(i); A Registered Market Maker must provide continuous two-
sided Standard quotes and/or Day eQuotes throughout the trading day 
in 60% of the non-adjusted series that have a time to expiration of 
less than nine months in each of its appointed classes. For the 
purpose of paragraph (e) of Rule 604 which, continuous two-sided 
quoting shall mean 90% of the time, for the options classes to which 
the Registered Market Maker is appointed. See Exchange Rule 
604(e)(3)(i).
---------------------------------------------------------------------------

    The Exchange believes that offering Members the option to have 
orders either managed by the Exchange or cancelled when a risk 
protection is triggered gives Members greater flexibility and control 
over their orders while retaining the risk protection functionality. If 
the Managed Protection Override is enabled the Exchange will return the 
unexecuted order to the Member for further analysis and evaluation. If 
the Managed Protection Override is not enabled the Exchange will manage 
the unexecuted order on behalf of the Member.
Definitions
    The Exchange proposes to include a ``Definitions'' section as 
paragraph (b)(1) in Rule 532. For the purposes of proposed paragraph 
(b) the Exchange will adopt the following definition of a Butterfly 
Spread in section (b)(1)(i): A ``Butterfly Spread'' is a three legged 
Complex Order with two legs to buy (sell) the same number of calls \27\ 
(puts) and one leg to sell (buy) twice the number of calls (puts), all 
legs have the same expiration date but different exercise prices, and 
the exercise price of the middle leg is between the exercise prices of 
the other legs. The strike price of each leg is equidistant from the 
next sequential strike price.\28\
---------------------------------------------------------------------------

    \27\ The term ``call'' means an option contract under which the 
holder of the option has the right, in accordance with the terms of 
the option, to purchase from the Clearing Corporation the number of 
units of the underlying security covered by the option contract. See 
Exchange Rule 100.
    \28\ The Exchange notes that its proposed definition of a 
Butterfly Spread is substantially similar to the definition of a 
Butterfly Spread used by at least one other options exchange. See 
Cboe Exchange Rule 5.34(b)(1)(B).
---------------------------------------------------------------------------

    The Exchange also proposes to relocate the definition of Calendar 
Spread and Vertical Spread from Interpretations and Policies .05(b) and 
.05(a) of Exchange Rule 518 respectively, to proposed section 
(b)(1)(ii) and (iii) of proposed Rule 532 respectively. The definition 
of a Calendar Spread is a complex strategy consisting of one call (put) 
option and the sale of another call (put) option overlaying the same 
security that have different expirations but the same strike price. The 
definition of a Vertical Spread is a complex strategy consisting of the 
purchase of one call (put) option and the sale of another call (put) 
option overlying the same security that have the same expiration but 
different strike prices. The Exchange notes its definition of a 
Calendar Spread and a Vertical Spread is not changing under this 
proposal.
Butterfly Spread Price Variance (``BSV'') Price Protection
    The Exchange proposes to adopt a new price protection for Butterfly 
Spreads as section (b)(2) of new proposed Rule 532. A butterfly spread 
is comprised of three legs which have the same expiration date, and are 
of the same type, either calls or puts, and are at equal strike 
intervals. The upper and lower strikes are each a buy (sell) and the 
middle strike is a sell (buy). The ratio of a butterfly spread will 
always be +1 -2 +1 or -1 +2 -1.
Butterfly Spread Example
Buy 1 XYZ April 50 Call
Sell 2 XYZ April 55 Calls
Buy 1 FYX April 60 Call

    The Exchange will determine a Butterfly Spread Variance which 
establishes minimum and maximum trading price limits for Butterfly 
Spreads. The minimum value of a Butterfly Spread is zero and the 
maximum value is capped at the absolute value of the difference between 
the closest strikes (the upper strike price minus the middle strike 
price or the middle strike price minus the lower strike price). To 
establish the maximum and minimum trading price limits, a configurable 
pre-set value is added to the maximum value of the Butterfly Spread and 
subtracted from the minimum value of the Butterfly Spread. The pre-set 
value will be determined by the Exchange and communicated to Members 
via Regulatory Circular.\29\ The minimum and maximum trading price 
limits are used together to create an allowable trading range for the 
Butterfly Spread.
---------------------------------------------------------------------------

    \29\ The Exchange proposes to use a pre-set value of $0.10 for 
Butterfly Spreads which will apply to all classes to align to the 
pre-set value which is used on the Exchange for Calendar Spreads and 
Vertical Spreads. See supra note 24.
---------------------------------------------------------------------------

    If the execution price of a complex order would be outside of the 
minimum and maximum trading price limits (bid higher than the maximum 
trading price limit or offer lower than the minimum trading price 
limit), such complex order will trade up to, and including the maximum 
trading price limit for bids or down to, and including, the minimum 
trading price limit for offers. Remaining interest will then be placed 
on the Strategy Book and managed to the appropriate trading price limit 
as described in Rule 518(c)(4), or cancelled if the Managed Protection 
Override is enabled.
    By establishing minimum and maximum trading price limits the 
Exchange can then evaluate the reasonableness of the prices of orders 
and eQuotes against these limits. The Exchange will reject an order, or 
cancel an eQuote, if the price is determined to be unreasonable 
relative to the minimum or maximum trading price limit. Buy orders with 
a limit price less than the minimum trading price limit will be 
rejected. Bid eQuotes with a limit price less than the minimum trading 
price limit will be cancelled. Sell orders with a limit price greater 
than the maximum trading price limit will be rejected. Offer eQuotes 
with a limit price greater than the maximum trading price limit will be 
cancelled.

[[Page 13343]]

Example
    Butterfly Spread: Buy 1 April 50 Call, Sell 2 April 55 Calls, Buy 1 
April 60 Call.

April 50 Call MBBO: $11.00 x $16.00
April 55 Call MBBO: $6.00 x $11.00
April 60 Call MBBO: $1.00 x $6.00

    The maximum spread value is the absolute value of the difference 
between the closest strikes or $5.00 (60.00-55.00 or 55.00-50.00). The 
minimum spread value is zero. If the pre-set value is $0.10 the maximum 
allowable price limit is then $5.10 and the minimum allowable price 
limit is then -$0.10. A strategy order to buy at $5.15 will be managed 
on the Strategy Book at $5.10.
Calendar Spread Variance (``CSV'') Price Protection
    The Exchange proposes to (i) relocate the Calendar Spread Variance 
(``CSV'') Price Protection from Rule 518; (ii) restructure the rule 
text for internal consistency with other similar price protections in 
the Exchange's rules (BSV and VSV); (iii) make clarifying changes to 
the rule text; and (iv) amend the rule text to enable the operation of 
the Managed Protection Override.
    Currently, paragraph (b) of Interpretation and Policy .05 of Rule 
518, Calendar Spread Variance (``CSV'') Price Protection, provides 
that, a ``Calendar Spread'' is a complex strategy consisting of the 
purchase of one call (put) option and the sale of another call (put) 
option overlying the same security that have different expirations but 
the same strike price. The CSV establishes a minimum trading price 
limit for Calendar Spreads. Current subparagraph (1) provides that, the 
maximum possible value of a Calendar Spread is unlimited, thus there is 
no maximum price protection for Calendar Spreads. The minimum possible 
trading price limit of a Calendar Spread is zero minus a pre-set value. 
Current subparagraph (2) provides that, the pre-set value will be 
uniform for all option classes traded on the Exchange as determined by 
the Exchange and communicated to Members via Regulatory Circular. 
Current subparagraph (3) provides that, CSV Price Protection applies 
only to strategies in American-style option classes. Current paragraph 
(c) of Interpretation and Policy .05 of Rule 518 provides that, if the 
execution price of a complex order would be outside of the limits set 
forth in subparagraphs (a)(1) and (b)(1) of this Interpretations and 
Policies .05, such complex order will be placed on the Strategy Book 
and will be managed to the appropriate trading price limit as described 
in subparagraph (c)(4) of Rule 518. Orders to buy below the minimum 
trading price limit and orders to sell above the maximum trading price 
limit (in the case of Vertical Spreads) will be rejected by the System.
    The Exchange now proposes to relocate Calendar Spread Variance 
(``CSV'') Price Protection from Interpretations and Policies .05(b) of 
Rule 518 to paragraph (b)(3) of new proposed Rule 532 and to 
restructure the rule text for internal consistency with other similar 
price protections in the Exchange's rules. Specifically, the Exchange 
proposes to relocate current paragraph (1) of the rule to new proposed 
subparagraph (i) \30\ of the rule, without change. The Exchange 
proposes to adopt new subparagraph (ii) to new proposed Rule 532(b)(3) 
to clarify the operation of the price protection. New subparagraph (ii) 
will state that, if the execution price of a complex order would be 
outside of the limit set forth in subparagraph (i) of this rule (offers 
lower than the minimum trading price limit), such complex order will 
trade down to, and including, the minimum trading price limit. 
Remaining interest will then be placed on the Strategy Book and managed 
to the appropriate trading price limit as described in Rule 518(c)(4), 
or cancelled if the Managed Protection Override is enabled. Further, 
the Exchange proposes to adopt new subparagraph (iii) which will 
provide that, buy orders with a limit price less than the minimum 
trading price limit will be rejected. Bid eQuotes with a limit price 
less than the minimum trading price limit will be cancelled.
---------------------------------------------------------------------------

    \30\ The Exchange notes that proposed subparagraph (i) is 
identical to current paragraph (1) of Interpretations and Policies 
.05(b) of Exchange Rule 518.
---------------------------------------------------------------------------

    The Exchange proposes to relocate current paragraph (3) of 
Interpretations and Policies .05(b) of Rule 518 to new subparagraph 
(iv) and current paragraph (2) of Interpretations and Policies .05(b) 
of Rule 518 to new subparagraph (v) of proposed Rule 532(b)(3), in 
their entirety and without modification.
Vertical Spread Variance (``VSV'') Price Protection
    The Exchange proposes to (i) relocate Vertical Spread Variance 
(``VSV'') Price Protection from Rule 518; (ii) restructure the rule 
text for internal consistency with other similar price protections in 
the Exchange's rules (BSV and CSV); (iii) make clarifying changes to 
the rule text; and (iv) amend the rule text to enable the operation of 
the Managed Protection Override.
    Currently, paragraph (a) of Interpretation and Policy .05 of Rule 
518, Vertical Spread Variance (``VSV'') Price Protection, provides 
that, a ``Vertical Spread'' is a complex strategy consisting of the 
purchase of one call (put) option and the sale of another call (put) 
option overlying the same security that have the same expiration but 
different strike prices. The VSV establishes minimum and maximum 
trading price limits for Vertical Spreads. Current subparagraph (1) 
provides, the maximum possible trading price limit of the VSV is the 
difference between the two component strike prices plus a pre-set 
value. For example, a Vertical Spread consisting of the purchase of one 
January 30 call and the sale of one January 35 call would have a 
maximum trading price limit of $5.00 plus a pre-set value. The minimum 
possible trading price limit of a Vertical Spread is always zero minus 
a pre-set value. Current subparagraph (2) provides that, the pre-set 
value will be uniform for all option classes traded on the Exchange as 
determined by the Exchange and communicated to Members via Regulatory 
Circular.
    The Exchange now proposes to relocate paragraph (a), Vertical 
Spread Variance (``VSV'') Price Protection, from Interpretations and 
Policies .05(a) of Rule 518 to paragraph (b)(4) of new proposed Rule 
532. The Exchange proposes to bifurcate the current rule text of 
paragraph (a) by adding the definition of a Vertical Spread to the 
Definitions section of proposed Rule 532, and retaining the rule text 
that states, the VSV establishes minimum and maximum trading price 
limits for Vertical Spreads.
    The Exchange proposes to adopt new subparagraph (i) \31\ to new 
proposed Rule 532(b)(4) which will state that, the maximum possible 
trading price limit of the VSV is the difference between the two 
component strike prices plus a pre-set value. For example, a Vertical 
Spread consisting of the purchase of one January 30 call and the sale 
of one January 35 call would have a maximum trading price limit of 
$5.00 plus a pre-set value. The minimum possible trading price limit of 
a Vertical Spread is always zero minus a pre-set value.
---------------------------------------------------------------------------

    \31\ The Exchange notes that proposed subparagraph (i) is 
identical to current paragraph (1) of Interpretations and Policies 
.05(a) of Exchange Rule 518.
---------------------------------------------------------------------------

    The Exchange proposes to adopt new subparagraph (ii) to state that, 
if the execution price of a complex order would be outside of the 
limits set forth in subparagraph (i) of this rule (bid higher than the 
maximum trading price limit or offer lower than the minimum trading 
price limit), such complex order

[[Page 13344]]

will trade up to, and including, the maximum trading price limit for 
bids or down to, and including, the minimum trading price limit for 
offers. Remaining interest will then be placed on the Strategy Book and 
managed to the appropriate trading price limit as described in Rule 
518(c)(4), or cancelled if the Managed Protection Override is enabled. 
Further, the Exchange proposes to adopt new subparagraph (iii) which 
will provide that, buy orders with a limit price less than the minimum 
trading price limit will be rejected. Bid eQuotes with a limit price 
less than the minimum trading price limit will be cancelled. Sell 
orders with a limit price greater than the maximum trading price limit 
will be rejected. Offer eQuotes with a limit price greater than the 
maximum trading price limit will be cancelled.
    The Exchange proposes to relocate current subparagraph (2) of 
Interpretations and Policies .03(a) of Rule 518 to new subparagraph 
(iv) of proposed Rule 532(b)(4), in its entirety and without 
modification.
MIAX Strategy Price Protection (``MSPP'')
    The Exchange now proposes to introduce a MIAX Strategy Price 
Protection (``MSPP'') which will establish a maximum protected price 
for buy orders and a minimum protected price for sell orders. To 
determine the maximum price for a buy order the Exchange will add a 
pre-set value, the MIAX Strategy Price Protection Variance (``MSPPV''), 
to the offer side value of the cNBBO \32\ (or the offer side of the 
dcMBBO \33\ if the cNBBO is crossed).\34\ To determine the minimum 
protected price for sell orders the Exchange will subtract the MSPPV 
value from the bid side value of the cNBBO, (or the bid side of the 
dcMBBO if the cNBBO is crossed). The MSPPV value will be determined by 
the Exchange and communicated to Members via Regulatory Circular.\35\ 
For market orders \36\ the functional limit will be the MSPP. Complex 
orders with a time in force of Day \37\ or GTC \38\ are eligible for 
the MIAX Strategy Price Protection. The MIAX Strategy Price Protection 
is an additional price protection feature provided to all Members of 
the Exchange.
---------------------------------------------------------------------------

    \32\ The cNBBO is calculated using the NBBO for each component 
of a complex strategy to establish the best net bid and offer for a 
complex strategy. For stock-option orders, the cNBBO for a complex 
strategy will be calculated using the NBBO in the individual option 
component(s) and the NBBO in the stock component. See Exchange Rule 
518(a)(2).
    \33\ The dcMBBO is calculated using the best displayed price for 
each component of a complex strategy from the Simple Order Book. For 
stock-option orders, the dcMBBO for a complex strategy will be 
calculated using the Exchange's best displayed bid or offer in the 
individual option component(s) and the NBBO in the stock component. 
See Exchange Rule 518(a)(8).
    \34\ A complex strategy is not evaluated until all the 
components of the complex strategy are open on the Simple Order 
Book. Therefore, a dcMBBO will always be available as the System 
prevents the Simple Order Book from displaying a locked or crossed 
market. See Exchange Rule 518(c)(2)(i).
    \35\ The Exchange proposes to use a pre-set value of $2.50 for 
the MIAX Strategy Price Protection Variance (``MSPPV''). The 
Exchange believes this value provides an adequate price range for 
executions while offering price protection against potentially 
erroneous executions and aligns to other price protections on the 
Exchange. See Exchange Rule 518 Interpretations and Policies .06.
    \36\ A market order is an order to buy or sell a stated number 
of option contracts at the best price available at the time of 
execution. See Exchange Rule 516(a).
    \37\ A Day Limit Order is an order to buy or sell which, if not 
executed, expires at the end of trading in the security on the day 
on which it was entered. See Exchange Rule 516(k).
    \38\ A Good `til Cancelled or ``GTC'' Order is an order to buy 
or sell which remains in effect until it is either executed, 
cancelled or the underlying option expires. See Exchange Rule 
516(l).
---------------------------------------------------------------------------

    If the MSPP is priced less aggressively than the limit price of a 
complex order (i.e., the MSPP is less than the complex order's bid 
price for a buy order, or the MSPP is greater than the complex order's 
offer price for a sell order), or if the order is a complex market 
order, the order will be (i) executed up to, and including, its MSPP 
for buy orders; or (ii) executed down to, and including, its MSPP for 
sell orders. Any unexecuted portion of such a complex order will be 
cancelled.
    If the MSPP is priced equal to, or more aggressively than, the 
limit price of a complex order (i.e., the MSPP is greater than the 
complex order's bid price for a buy order, of the MSPP is less than the 
complex order's offer price for a sell order) the order will be (i) 
displayed and/or executed up to, and including, its limit price for buy 
orders; or (ii) displayed and/or executed down to, and including, its 
limit price for sell orders. Any unexecuted portion of such a complex 
order: (A) Will be subject to the cLEP as described in subsection (e) 
of Exchange Rule 518; (B) may be submitted, if eligible, to the managed 
interest process described in Exchange Rule 518(c)(4); or (C) may be 
placed on the Strategy Book at its limit price.
    The MSPP is designed to work in conjunction with other features on 
the Exchange such as the Complex Liquidity Exposure (``cLEP'') Process. 
The Exchange introduced the Complex Liquidity Exposure Process (cLEP) 
in 2018.\39\ The cLEP process was designed for complex orders and 
complex eQuotes that violate their Complex MIAX Price Collar (``MPC) 
price.\40\ The MPC price protection feature is an Exchange-wide 
mechanism under which a complex order or complex eQuote to sell will 
not be displayed or executed at a price that is lower than the opposite 
side cNBBO bid at the time the MPC is assigned by the System (i.e., 
upon receipt or upon opening) by more than a specific dollar amount 
expressed in $0.01 increments (the ``MPC Setting''), and under which a 
complex order or eQuote to buy will not be displayed or executed at a 
price that is higher than the opposite side cNBBO offer at the time the 
MPC is assigned by the System by more than the MPC Setting (each the 
``MPC Price'').\41\ The MPC Price is established (i) upon receipt of 
the complex order or eQuote during free trading, or (ii) if the complex 
order or eQuote is not received during free trading, at the opening (or 
reopening following a halt) of trading in the complex strategy; or 
(iii) upon evaluation of the Strategy Book by the System when a wide 
market condition, as described in Interpretations and Policies 
.05(e)(1) of this Rule, no longer exists.\42\ Once established the MPC 
Price will not change during the life of the complex order or eQuote. 
If the MPC Price is priced less aggressively than the limit price of 
the complex order or eQuote (i.e., the MPC Price is less than the 
complex order or eQuote's bid price for a buy, or the MPC Price is 
greater than the complex order or eQuote's offer price for a sell), or 
if the complex order is a market order, the complex order or eQuote 
will be displayed and/or executed up to its MPC Price.\43\
---------------------------------------------------------------------------

    \39\ See Securities Exchange Act Release No. 85155 (February 15, 
2019), 84 FR 5739 (February 22, 2019) (SR-MIAX-2018-36).
    \40\ The Exchange notes that there are no changes to the Complex 
MIAX Price Collar functionality under this proposal.
    \41\ See Exchange Rule 518.05(f).
    \42\ See Exchange Rule 518.05(f)(3).
    \43\ See Exchange Rule 518.05(f)(5).
---------------------------------------------------------------------------

    A complex order or complex eQuote that would violate its MPC Price 
begins a cLEP Auction.\44\ The System will post the complex order or 
eQuote to the Strategy Book at its MPC Price and begin the cLEP Auction 
by broadcasting a liquidity exposure message to all subscribers of the 
Exchange's data feeds.\45\ Remaining liquidity with an original limit 
price that is (i) less aggressive (lower for a buy order or eQuote, or 
higher for a sell order or eQuote) than or equal to the MPC Price will 
be handled in accordance with subsection (c)(2)(ii)-(v) of Rule 518, or 
(ii) more aggressive than the MPC Price

[[Page 13345]]

will be subject to the Reevaluation Process.\46\
---------------------------------------------------------------------------

    \44\ See Exchange Rule 518(e).
    \45\ Id.
    \46\ Id.
---------------------------------------------------------------------------

    The Reevaluation process occurs at the conclusion of a cLEP Auction 
where the System will calculate the next potential MPC Price for 
remaining liquidity with an original limit price more aggressive than 
the existing MPC Price. The next MPC Price will be calculated as the 
MPC Price plus (minus) the next MPC increment for buy (sell) orders 
(the ``New MPC Price''). Liquidity with an original limit price equal 
to or less aggressive than the New MPC Price is no longer subject to 
the MPC price protection. Liquidity with an original limit price more 
aggressive than the New MPC Price (or market order liquidity) is 
subject to the MPC price protection feature using the New MPC Price. In 
certain scenarios this could lead to a cycle of cLEP Auctions and ever 
increasing MPC price protection prices.
    The operation of the MIAX Strategy Price Protection feature during 
a cLEP Auction can be seen in the following example.
Example
MPC: 0.25

    The Exchange has one order (Order 1) resting on its Strategy Book: 
+1 component A, -1 component B:

    The current market is:

MBBO component A: 4.00(10) x 6.00(10)
MBBO component B: 1.00(10) x 2.50(10)
NBBO \47\ component A: 4.05(10) x 4.15(10)
---------------------------------------------------------------------------

    \47\ The term ``NBBO'' means the national best bid or offer as 
calculated by the Exchange based on market information received by 
the Exchange from the appropriate Securities Information Processor 
(``SIP''). See Exchange Rule 518(a)(14).
---------------------------------------------------------------------------

NBBO component B: 2.30(10) x 2.40(10)
cMBBO: \48\ 1.50 (10) x 5.00 (10)
---------------------------------------------------------------------------

    \48\ The cMBBO is calculated using the MBBO for each component 
of a complex strategy to establish the best net bid and offer for a 
complex strategy on the Exchange.
---------------------------------------------------------------------------

cNBBO: 1.65 (10) x 1.85 (10)

    The price protection is:

MSPPV: 2.50
Buy MSPPV: 1.85 + 2.50 = 4.35
Sell MSPPV: 1.65 - 2.50 = -.85

    Order 1 to sell 10 at 1.90 is received and updates the cMBBO.

cMBBO: 1.50 (10) x 1.90 (10)

    The Exchange receives a new order (Order 2) to buy 30 at the 
Market. For Market Orders the functional limit is the MSPP or 4.35.
    Order 2 buys 10 from Order 1 at $1.90 and initiates the Complex 
Liquidity Exposure Process: Order 2 reprices to its MPC protected price 
of $2.10 (cNBO of 1.85 + 0.25) and is posted at that price on the 
Strategy Book and the cLEP Auction begins.
    During the cLEP Auction the Exchange receives a new order (Order 3) 
to sell 10 at 2.10. This order locks the current same side Book Price 
of $2.10. At the end of the auction, Order 3 sells 10 to Order 2 at 
$2.10, filling Order 3.
    Order 2 reprices to the next MPC protected price of $2.35 (initial 
MPC of 2.10 + 0.25) and is posted at that price on the Strategy Book 
and the next cLEP Auction begins.
    During the next cLEP Auction the Exchange does not receive any 
interest to sell. At the end of the auction Order 2 is reevaluated and 
reprices to the next MPC protected price of 2.60 (previous MPC of 2.35 
+ 0.25) and is posted at that price on the Strategy Book and the next 
cLEP Auction begins.
    During all subsequent cLEP Auctions the Exchange does not receive 
any interest to sell. At the end of each subsequent auction, Order 2 is 
reevaluated and repriced to the next MPC protected price as seen below 
until the MSPP protected price is equal to or less than the MPC 
protected price.

3rd MPC evaluation 2.60 + 0.25 = 2.85
4th MPC evaluation 2.85 + 0.25 = 3.10
5th MPC evaluation 3.10 + 0.25 = 3.35
6th MPC evaluation 3.35 + 0.25 = 3.60
7th MPC evaluation 3.60 + 0.25 = 3.85
8th MPC evaluation 3.85 + 0.25 = 4.10
9th MPC evaluation 4.10 + 0.25 = 4.35

    At the end of the final auction, because the MSPP protected price 
of 4.35 is equal to the MPC protected price of 4.35, Order 2 is not 
repriced to the next MPC and is cancelled subject to MSPP as Order 2 
was a market order.\49\
---------------------------------------------------------------------------

    \49\ See proposed Rule 532(b)(5)(v).

---------------------------------------------------------------------------
cMBBO: 4.35 (10) x 5.00 (10)

    The Exchange proposes to amend Exchange Rule 518(e), Reevaluation, 
to account for the introduction of a protected price in the cLEP 
process. The proposed rule text will provide that, at the conclusion of 
a cLEP Auction, the System will calculate the next potential MPC Price 
for remaining liquidity with an original limit price or protected price 
more aggressive than the existing MPC Price. The next MPC Price will be 
calculated as the MPC Price plus (minus) the next MPC increment for buy 
(sell) orders (the ``New MPC Price''). The System will initiate a cLEP 
Auction for liquidity that would execute or post at a price that would 
violate its New MPC Price. Liquidity with an original limit price or 
protected price less aggressive (lower for a buy order or eQuote, or 
higher for a sell order or eQuote) than or equal to the New MPC Price 
will be posted to the Strategy Book at its original limit price or 
handled in accordance with subsection (c)(2)(ii)--(v) of this Rule. The 
cLEP process will continue until no liquidity remains with an original 
limit price that is more aggressive than its MPC Price. At the 
conclusion of the cLEP process, any liquidity that has not been 
executed will be posted to the Strategy Book at its original limit 
price.
    The Exchange also proposes to amend Rule 518(e), Allocation at the 
Conclusion of a Complex Liquidity Exposure Auction. Currently the rule 
states that, orders and quotes executed in a cLEP Auction will be 
allocated first in price priority based upon their original limit 
price, and thereafter in accordance with the Complex Auction allocation 
procedures described in subsection (d)(7)(i)-(vi) of this Rule. The 
Exchange now proposes to amend this provision to state that orders 
subject to MSPP are allocated using their protected price. As proposed 
the amended rule will state that, orders and quotes executed in a cLEP 
Auction will be allocated first in price priority based upon their 
original limit price, orders subject to MSPP are allocated using their 
protected price, and thereafter in accordance with the Complex Auction 
allocation procedures described in subsection (d)(7)(i)-(vi) of this 
Rule.
Parity Price Protection
    The Exchange proposes to amend paragraph (g), Parity Price 
Protection, Interpretations and Policies .01 of Exchange Rule 518, to 
incorporate the Managed Protection Override feature. Currently the rule 
text states, Married-Put and Buy-Write interest to sell (sell put and 
sell stock; or sell call and buy stock) that is priced below the parity 
protected price for the strategy will be placed on the Strategy Book at 
the parity protected price for the strategy. The Exchange proposes to 
amend this sentence to provide that, Married-Put and Buy-Write interest 
to sell (sell put and sell stock; or sell call and buy stock) that is 
priced below the parity protected price for the strategy will be placed 
on the Strategy Book at the parity protected price for the strategy, or 
cancelled if the Managed Protection Override is enabled. This provision 
allows the Parity Price Protection functionality to operate in 
conjunction with the Managed Protection Override feature which cancels 
an order when its price protection feature is triggered. The Exchange 
believes that offering Members the option to have orders either managed 
by the Exchange or cancelled when a risk protection is triggered gives 
Members greater flexibility and control over their orders

[[Page 13346]]

while retaining the risk protection functionality.
    The Exchange proposes to adopt Interpretations and Policies .01 to 
proposed Rule 532, to state that, when an order is eligible for 
multiple price protections the System will apply the most conservative. 
The Exchange offers a number of price protections in the System, for 
example, if a limit order to buy a non-proprietary product had 
indicated a price protection \50\ for the order at 5 MPVs \51\ from the 
NBBO at the time of receipt and the NBBO for the XYZ Jan 5 put was 4.80 
x 5.10 the price protection would not let the order trade at more than 
5.35, however, in this instance the proposed Max Put Price Protection 
would be applied and the order would not trade higher than 5.10, which 
is the more conservative of the price protections. The Exchange 
believes that this change promotes the protection of investors as it 
protects investors from executions at undesirable prices.
---------------------------------------------------------------------------

    \50\ See Exchange Rule 515(c)(1).
    \51\ See Exchange Rule 510.
---------------------------------------------------------------------------

Miscellaneous
    The Exchange proposes to rename paragraph (e), Wide Market 
Conditions, SMAT Events and Halts, of Interpretations and Policies .05 
of Exchange Rule 518, to new paragraph (a), as a result of the removal 
of the preceding paragraphs (a), (b), (c), and (d) from Interpretations 
and Policies .05 of Exchange Rule 518, which have been relocated to new 
proposed Rule 532. Additionally, the Exchange proposes to make a number 
of non-substantive changes in Rule 518 to correct internal cross 
references that have changed as a result of this proposal.
    The Exchange also proposes to amend the definition of ``Book'' in 
Exchange Rule 100 by adding the clarifying term ``simple'' to the 
current definition. The Exchange proposes to define the term ``Book'' 
to mean the electronic book of simple buy and sell orders and quotes 
maintained by the System. When the Exchange introduced complex orders 
the Exchange defined the ``Strategy Book'' \52\ as the Exchange's 
electronic book of complex orders and complex quotes. Additionally, the 
Exchange defined the ``Simple Order Book'' \53\ as the Exchange's 
regular electronic book of orders and quotes in Rule 518. The Exchange 
believes its proposal to amend the definition provided in Exchange Rule 
100 adds clarity to the definition regarding which book of orders and 
quotes is being referenced.
---------------------------------------------------------------------------

    \52\ See Exchange Rule 518(a)(17).
    \53\ See Exchange Rule 518(a)(15).
---------------------------------------------------------------------------

    The Exchange proposes to make a minor non-substantive edit to the 
rule text of Market Maker Single Side Protection (proposed Rule 
532(b)(8)). Currently, the rule text provides that, when triggered, the 
System will cancel all complex Standard quotes and block all new 
inbound complex Standard quotes and cIOC eQuotes for that particular 
side of that strategy for that MPID. The System will provide a 
notification message to the Market Maker.\54\ The Exchange now proposes 
to expand on the previously mentioned sentence to read, the System will 
provide a notification message to the Market Maker that the protection 
has been triggered. The Exchange believes that this amendment provides 
additional detail and clarity regarding the operation of the rule.
---------------------------------------------------------------------------

    \54\ See Interpretations and Policies .05(g) of Exchange Rule 
518.
---------------------------------------------------------------------------

2. Statutory Basis
    The Exchange believes that its proposed rule change is consistent 
with Section 6(b) of the Act \55\ in general, and furthers the 
objectives of Section 6(b)(5) of the Act \56\ in particular, in that it 
is designed to prevent fraudulent and manipulative acts and practices, 
to promote just and equitable principles of trade, to foster 
cooperation and coordination with persons engaged in regulating, 
clearing, settling, processing information with respect to, and 
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.
---------------------------------------------------------------------------

    \55\ 15 U.S.C. 78f(b).
    \56\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

Managed Protection Override
    The Exchange believes that the Managed Protection Override feature 
promotes just and equitable principles of trade, removes impediments to 
and perfects the mechanism of a free and open market and a national 
market system and, in general, protects investors and the public 
interest by providing a mechanism by which Members may determine the 
way their orders are handled when a risk protection is triggered. The 
Exchange believes that it has an effective way to manage orders on the 
Exchange so that they do not execute at potentially erroneous prices, 
however the Exchange believes that giving Members the option to have 
their orders cancelled if a risk protection is triggered protects 
investors and the public interest. When the Exchange cancels an order, 
a Member can make a decision on what to do with that order based on the 
then current market conditions and may choose to re-submit the order at 
the same or different limit price. Specifically, the Exchange believes 
the proposed change will remove impediments to and perfect the 
mechanism of a free and open market by providing market participants 
with the option to either manage their own orders or have the Exchange 
manage their orders when a price protection is triggered which will 
promote fair and orderly markets, increase overall market confidence, 
and promote the protection of investors.
Max Put Price Protection
    The Exchange believes that the Max Put Price Protection feature 
promotes just and equitable principles of trade, removes impediments to 
and perfects the mechanism of a free and open market and a national 
market system and, in general, protects investors and the public 
interest by providing a risk protection mechanism to prevent trades 
from occurring at potentially unwanted or erroneous prices. 
Additionally, the Exchange believes that making this risk protection 
feature eligible for the Managed Protection Override feature benefits 
Members as it gives them the option to have their order cancelled if 
the Max Put Price Protection is triggered and the Managed Protection 
Override feature is enabled. Cancelling orders back to Members allows 
them to make a decision on what to do with their order based on the 
then current market conditions and a Member may choose to re-submit the 
order at the same or different limit price. Specifically, the Exchange 
believes the proposed change will remove impediments to and perfect the 
mechanism of a free and open market by providing market participants 
with the option to either manage their own orders or have the Exchange 
manage their orders when a price protection is triggered which will 
promote fair and orderly markets, increase overall market confidence, 
and promote the protection of investors.
Butterfly Spread Variance (``BSV'') Price Protection
    The Exchange believes that the Butterfly Spread Variance (``BSV'') 
Price Protection feature promotes just and equitable principles of 
trade, removes impediments to and perfects the mechanism of a free and 
open market and a national market system and, in general, protects 
investors and the public interest by providing a risk protection 
mechanism that will

[[Page 13347]]

establish minimum and maximum trading limits to prevent an order from 
trading at a potentially unwanted or erroneous price.
    Additionally, the Exchange believes that making the Butterfly 
Spread Variance (``BSV'') Price Protection eligible for the Managed 
Protection Override feature benefits Members as it gives them the 
option to have their order cancelled if the Butterfly Spread Variance 
Price Protection is triggered and the Managed Protection Override 
feature is enabled. Cancelling orders back to Members allows them to 
make a decision on what to do with their order based on the then 
current market conditions and a Member may choose to re-submit the 
order at the same or different limit price. Specifically, the Exchange 
believes the proposed change will remove impediments to and perfect the 
mechanism of a free and open market by providing market participants 
with the option to either manage their own orders or have the Exchange 
manage their orders when a price protection is triggered which will 
promote fair and orderly markets, increase overall market confidence, 
and promote the protection of investors.
Calendar Spread Variance (``CSV'') Price Protection
    The Exchange believes that amending the Calendar Spread Variance 
(``CSV'') Price Protection feature to enable the Managed Protection 
Override feature promotes just and equitable principles of trade, 
removes impediments to and perfects the mechanism of a free and open 
market and a national market system and, in general, protects investors 
and the public interest by providing Members the option of having the 
Exchange manage their order when a price protection is triggered, or 
having their order cancelled when a price protection is triggered, if 
the Managed Protection Override is enabled. The Exchange believes 
cancelling an order in this scenario benefits Members as it allows them 
to make a decision on what to do with their order based on the then 
current market conditions and a Member may choose to re-submit the 
order at the same or different limit price. Specifically, the Exchange 
believes the proposed change will remove impediments to and perfect the 
mechanism of a free and open market by providing market participants 
with the option to either manage their own orders or have the Exchange 
manage their orders when a price protection is triggered which will 
promote fair and orderly markets, increase overall market confidence, 
and promote the protection of investors.
    The Exchange believes amending the rule text to clarify the 
operation of the rule and to harmonize the rule text to that of the 
Vertical Spread Variance (``VSV'') and Butterfly Spread Variance 
(``BSV'') Price Protections promotes the protection of investors by 
having similar rule text and similar behavior for similar price 
protections which provides clarity and consistency within the 
Exchange's rulebook. A clear and concise rulebook benefits investors 
and the public interest as it reduces the chance for confusion 
regarding the operation of price protection functionality.
Vertical Spread Variance (``VSV'') Price Protection
    The Exchange believes that amending the Vertical Spread Variance 
(``VSV'') Price Protection feature to enable the Managed Protection 
Override feature promotes just and equitable principles of trade, 
removes impediments to and perfects the mechanism of a free and open 
market and a national market system and, in general, protects investors 
and the public interest by providing Members the option of having the 
Exchange manage their order when a price protection is triggered, or 
having their order cancelled, when a price protection is triggered, if 
the Managed Protection Override is enabled. The Exchange believes 
cancelling an order in this scenario benefits Members as it allows them 
to make a decision on what to do with their order based on the then 
current market conditions and a Member may choose to re-submit the 
order at the same or different limit price. Specifically, the Exchange 
believes the proposed change will remove impediments to and perfect the 
mechanism of a free and open market by providing market participants 
with the option to either manage their own orders or have the Exchange 
manage their orders when a price protection is triggered which will 
promote fair and orderly markets, increase overall market confidence, 
and promote the protection of investors.
    The Exchange believes amending the rule text to clarify the 
operation of the rule and to harmonize the rule text to that of the 
Calendar Spread Variance (``CSV'') and Butterfly Spread Variance 
(``BSV'') Price Protections promotes the protection of investors by 
having similar rule text and similar behavior for similar price 
protections which provides clarity and consistency within the 
Exchange's rulebook. A clear and concise rulebook benefits investors 
and the public interest as it reduces the chance for confusion 
regarding the operation of price protection functionality.
MIAX Strategy Price Protection (``MSPP'')
    The Exchange believes that the adoption of the MIAX Strategy Price 
Protection (``MSPP'') promotes just and equitable principles of trade, 
and facilitates transactions in securities, remove impediments to and 
perfects the mechanism of a free and open market and a national market 
system and, in general, protects investors and the public interest, by 
providing an order price protection that establishes a minimum and 
maximum trading value to prevent potentially unwanted or erroneous 
executions from occurring. The Exchange believes that when the MSPP is 
priced less aggressively than the limit price of the complex order, or 
complex market order [sic], that executing the order, up to an [sic] 
including its MSPP for buy orders, or down to and including its MSPP 
for sell orders, and cancelling any unexecuted portion of the order, 
protects investors and the public interest. Cancelling orders back to 
Members allows them to make a decision on what to do with their order 
based on the then current market conditions and a Member may choose to 
re-submit the order at the same or different limit price. Specifically, 
the Exchange believes the proposed change will remove impediments to 
and perfect the mechanism of a free and open market by providing market 
participants with the option to either manage their own orders or have 
the Exchange manage their orders when a price protection is triggered 
which will promote fair and orderly markets, increase overall market 
confidence, and promote the protection of investors.
Parity Price Protection
    The Exchange believes that amending Interpretations and Policies 
.01(g), Parity Price Protection, of Exchange Rule 518, to operate in 
conjunction with the Managed Protection Override feature promotes just 
and equitable principles of trade, and facilitates transactions in 
securities, removes impediments to and perfects the mechanism of a free 
and open market and a national market system and, in general, protects 
investors and the public interest, by providing Members greater 
flexibility and control over their orders if the Parity Price 
Protection is triggered. The Exchange believes that making this risk 
protection feature eligible for the Managed Protection Override feature 
benefits Members as it gives them the option to have their order 
cancelled if the Parity Price Protection is triggered and the Managed 
Protection Override

[[Page 13348]]

feature is enabled. Cancelling orders back to Members allows them to 
make a decision on what to do with their order based on the then 
current market conditions and a Member may choose to re-submit the 
order at the same or different limit price. Specifically, the Exchange 
believes the proposed change will remove impediments to and perfect the 
mechanism of a free and open market by providing market participants 
with the option to either manage their own orders or have the Exchange 
manage their orders when a price protection is triggered which will 
promote fair and orderly markets, increase overall market confidence, 
and promote the protection of investors.
Miscellaneous
    The Exchange believes that amending the definition of ``Book'' 
promotes just and equitable principles of trade, fosters cooperation 
and coordination with persons engaged in regulating, clearing, 
settling, processing information with respect to, and facilitating 
transactions in securities, removes impediments to and perfects the 
mechanism of a free and open market and a national market system and, 
in general, protects investors and the public interest by providing a 
clarifying term to the existing definition. In particular, the Exchange 
believes that the proposed change will provide greater clarity to 
Members and the public regarding the Exchange's Rules. It is in the 
public interest for rules to be accurate and concise so as to eliminate 
the potential for confusion.
    The Exchange believes that relocating the Implied Away Best bid or 
Offer (``ixABBO'') Price Protection and the Complex MIAX Options Price 
Collar Protection from Interpretations and Policies .05 of Exchange 
Rule 518 to new proposed Rule 532 in their entirety and without 
modification promotes just and equitable principles of trade, and 
removes impediments to and perfects the mechanism of a free and open 
market and a national market system and, in general, protects investors 
and the public interest by organizing and consolidating risk 
protections into a single Rule. The Exchange believes that organizing 
and consolidating the Exchange's risk protection features as described 
herein provides ease of reference for investors and the public when 
reviewing the Exchange's rulebook and it is in the best interest of 
investors and the public for the Exchange's rulebook to be clear and 
accurate so as to avoid confusion.
    The Exchange believes that the non-substantive update to the Market 
Maker Single Side Protection rule text provides additional detail and 
clarity regarding the operation of the rule by specifying that the 
notification message to Market Makers will indicate that the price 
protection has been triggered. The Exchange believes it benefits 
investors and the public interest for rules to be accurate and concise 
as it reduces the chance for confusion regarding the operation of 
Exchange functionality.
    The Exchange believes the proposed change to correct internal cross 
references within the Exchange's Rulebook promotes just and equitable 
principles of trade and removes impediments to and perfects the 
mechanism of a free and open market and a national market system 
because the proposal ensures that the Exchange's rules are accurate. 
The Exchange notes that the proposed changes to correct internal cross 
references and to make minor non-substantive edits does not alter the 
application of each rule. As such, the proposed amendments would foster 
cooperation and coordination with persons engaged in facilitating 
transactions in securities and would remove impediments to and perfect 
the mechanism of a free and open market and national exchange system. 
In particular, the Exchange believes that the proposed rule changes 
will provide greater clarity to Members and the public regarding the 
Exchange's Rules. It is in the public interest for rules to be accurate 
and concise so as to eliminate the potential for confusion.
    The Exchange believes this proposal promotes just and equitable 
principles of trade, removes impediments to and perfects the mechanism 
of a free and open market and a national market system and, in general, 
protects investors and the public interest by providing new price 
protection features for MIAX Members. Additionally, the description of 
the System's functionality is designed to promote just and equitable 
principles of trade by providing a clear and accurate description to 
all participants of how the price protection process is applied and 
should assist investors in making decisions concerning their orders. 
Further, the Exchange believes that the price protection features and 
functionality provides market participants with an appropriate level of 
risk protection to their orders and contributes to the maintenance of a 
fair and orderly market.

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.
    Specifically, the Exchange does not believe that the proposed 
changes will impose any burden on intra-market competition as the rules 
of the Exchange apply equally to all MIAX participants. The price 
protections are available for any MIAX Member that submits orders or 
quotes to the Exchange. Any MIAX Member that submits a complex order to 
the Exchange will benefit from the risk protections proposed herein. 
Further any MIAX Member that seeks to buy or sell a put will be 
afforded the MAX Put Price Protection. Additionally, any Member may 
elect to enable the Managed Protection Override feature to allow the 
Exchange to cancel their orders when a risk protection is triggered.
    In addition, the Exchange does not believe the proposal will impose 
any burden on inter-market competition as the proposal is intended to 
protect investors by providing additional price protection 
functionality and further enhancements and transparency to the 
Exchange's risk protections. The Exchange's proposal may promote inter-
market competition as the Exchange's proposal adds additional price 
protection features and functionality that may attract additional order 
flow to the Exchange, thereby promoting inter-market competition.

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 comments on the 
proposed rule change.

III. Discussion and Commission Findings

    After careful review of the proposed rule change, as modified by 
Amendment Nos. 1 and 2, the Commission finds that the proposed rule 
change, as amended, is consistent with the requirements of the Act and 
the rules and regulations thereunder applicable to a national 
securities exchange.\57\ In particular, the Commission finds that the 
proposed rule change, as modified by Amendment Nos. 1 and 2, is 
consistent with Section 6(b)(5) of the Act,\58\ which requires, among 
other things, that the rules of a national securities exchange be 
designed to prevent fraudulent and manipulative acts and practices, to 
promote just and equitable principles of

[[Page 13349]]

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.
---------------------------------------------------------------------------

    \57\ In approving this proposed rule change, the Commission 
notes that it has considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
    \58\ 15 U.S.C. 78(b)(5).
---------------------------------------------------------------------------

    The Commission believes that the proposed rule changes are designed 
to provide useful risk management tools to Members on the Exchange. The 
proposal adopts a new Max Put Price Protection for simple orders and a 
new MIAX Strategy Price Protection and Butterfly Spread Variance Price 
Protection for complex orders. The Exchange states that each of these 
proposed price protections could help to prevent trades from occurring 
at potentially unwanted or erroneous prices.\59\ The proposed Max Put 
Price Protection for simple orders will establish a maximum trading 
price limit for put options, which the Exchange will determine by 
adding a pre-set value, the Put Price Variance, to the strike price of 
the option.\60\ The Exchange notes that another options exchange offers 
a similar protection for put options.\61\ The proposed MIAX Strategy 
Price Protection (``MSPP''), which will be available for complex orders 
with a time-in-force of Day or GTC, establishes a maximum protected 
price for buy orders and a minimum protected price for sell orders.\62\ 
The proposed Max Put Price Protection, MIAX Strategy Price Protection, 
and Butterfly Spread Variance Price Protection are designed to protect 
investors by helping to mitigate potential risks associated with 
executing trades at what the Exchange believes are potentially 
erroneous prices.
---------------------------------------------------------------------------

    \59\ See Amendment No. 1 at 32, 33, and 36.
    \60\ See proposed Exchange Rule 532(a)(1). The Exchange states 
that the proposed pre-set value for the Put Price Variance will be 
$0.10 to align with other similar price protections on the Exchange 
and will apply to all classes. The Exchange believes this value 
provides an adequate price range for executions while offering price 
protection against potentially erroneous executions. See Amendment 
No. 1 at 11, n. 24. The Exchange will communicate the Put Price 
Variance to Members via Regulatory Circular. See proposed Exchange 
Rule 532(a)(1)(iv).
    \61\ See Amendment No. 1 at 11, n. 33 (citing Cboe Rule 
5.34(a)(3)).
    \62\ See proposed Exchange Rule 532(b)(5) and Amendment No. 1 at 
43.
---------------------------------------------------------------------------

    The proposal also adopts a new Managed Protection Override 
feature.\63\ If a Member enables the Managed Protection Override for 
its orders, an order that triggers the Vertical Spread Variance Price 
Protection, the Calendar Spread Variance Price Protection, the proposed 
Butterfly Spread Variance Price Protection, the Parity Price 
Protection, or the proposed Max Put Price Protection will be cancelled 
back to the Member rather than managed by the Exchange.\64\ Returning 
the unexecuted order to the Member will allow the Member to evaluate 
the order and determine how to handle the order based on current market 
conditions. The proposed Managed Protection Override feature could 
benefit market participants by providing them with greater flexibility 
and control over orders that trigger a risk protection that is subject 
to the Managed Protection Override.
---------------------------------------------------------------------------

    \63\ See proposed Exchange Rule 532.
    \64\ See proposed Exchange Rule 532. In addition to 
incorporating the proposed Managed Protection Override into the 
proposed new Max Put Price Protection and the proposed new Butterfly 
Spread Variance Price Protection, the proposal revises the existing 
Parity Price Protection in Exchange Rule 518, Interpretation and 
Policy .01(g), the Calendar Spread Variance Price Protection in 
proposed Exchange Rule 532(b)(3), and the Vertical Spread Variance 
Price Protection in proposed Exchange Rule 532(b)(4) to reflect the 
operation of the proposed Managed Protection Override.
---------------------------------------------------------------------------

    The proposal relocates to proposed Exchange Rule 532, in their 
entirety and without modification, the Implied Away Best Bid or Offer 
(``ixABBO'') Price Protection in current Exchange Rule 518, 
Interpretation and Policy .05(d) and the Complex MIAX Options Price 
Collar Protection in current Exchange Rule 518, Interpretation and 
Policy .05(f). The proposal also relocates to proposed Exchange Rule 
532 the Market Maker Single Side Protection in current Exchange Rule 
518, Interpretation and Policy .05(g), the Vertical Spread Variance 
Price Protection in current Exchange Rule 518, Interpretation and 
Policy .05(a), and the Calendar Spread Variance Price Protection in 
current Exchange Rule 518, Interpretation and Policy .05(b).\65\ 
Consolidating these risk protection features, as well as the proposed 
Managed Protection Override, Max Put Price Protection, MIAX Strategy 
Price Protection, and Butterfly Spread Variance Price Protection, in a 
single rule could help market participants to more readily identify the 
price protections that could apply to their orders. The proposal also 
renumbers certain rules and updates internal cross-references within 
the Exchange's rules, which could help to maintain the accuracy of the 
Exchange's rules.
---------------------------------------------------------------------------

    \65\ Proposed Exchange Rule 532(b)(1) defines the terms 
Butterfly Spread, Calendar Spread, and Vertical Spread. The proposed 
definitions of Vertical Spread and Calendar Spread are substantially 
the same as the definitions of those terms in current Exchange Rule 
518, Interpretation and Policy .05(a) and (b). The proposed 
definition of Butterfly Spread is substantially similar to the 
definition of Butterfly Spread used in the rules of another options 
exchange. See Cboe Rule 5.33(b)(1)(B).
---------------------------------------------------------------------------

    The Calendar Spread Variance Price Protection and the Vertical 
Spread Variance Price Protection provisions in proposed Exchange Rule 
532(b)(3) and (4), respectively, retain provisions of the existing 
Calendar Spread Variance Price Protection and Vertical Spread Variance 
Price Protection in current Exchange Rules 518, Interpretation and 
Policy .05(b) and (a), respectively, incorporate and add detail to the 
Vertical Spread Variance and Calendar Spread Variance Price Protection 
in current Exchange Rule 518, Interpretation and Policy .05(c),\66\ and 
provide additional detail to more fully describe the operation of the 
price protections. The additional detail could provide greater 
transparency regarding the way that an order will trade after it 
triggers the Vertical Spread Variance or Calendar Spread Variance Price 
Protection. In addition, the proposed rules will provide greater 
transparency regarding the treatment of orders and eQuotes entered at 
prices outside of the trading price limits established in those 
rules.\67\
---------------------------------------------------------------------------

    \66\ Current Exchange Rule 518, Interpretation and Policy .05(c) 
states that if the execution price of a complex order would be 
outside of the limits set forth in Exchange Rule 518, Interpretation 
and Policy .05(a)(1) and (b)(1) for Vertical Spreads and Calendar 
Spreads, respectively, the complex order will be placed on the 
Strategy Book and will be managed to the appropriate trading price 
limit as described in Exchange Rule 518(c)(4). Orders to buy below 
the minimum trading price limit and orders to sell above the maximum 
trading price limit (in the case of Vertical Spreads) will be 
rejected by the System.
    \67\ See proposed Exchange Rules 532(b)(3)(iii) and (b)(4)(iii).
---------------------------------------------------------------------------

    The proposal adopts new Exchange Rule 532, Interpretation and 
Policy .01, which states that the System will apply the most 
conservative price protection when an order is eligible for multiple 
price protections. Specifying the price protection that the System will 
apply when an order is eligible for multiple price protections could 
provide market participants with greater transparency regarding the 
handling of their orders and help to protect against potentially 
erroneous executions.
    The proposal amends the Market Maker Single Side Protection, which 
will be relocated to proposed new Exchange Rule 532(b)(8), to specify 
that the notification message sent to a market maker will indicate that 
the Market Maker Single Side Protection has been triggered. This 
addition should provide clarifying detail to the rule. The proposal 
also revises the definition of Book in Exchange Rule 100 to indicate 
that the term refers to the electronic book of simple buy and sell 
orders and quotes maintained by the System. The addition of the 
reference to simple orders and quotes should help to clarify the 
Exchange's rules by more specifically identifying the order book the 
term references.

[[Page 13350]]

IV. Solicitation of Comments on Amendment Nos. 1 and 2

    Interested persons are invited to submit written data, views, and 
arguments concerning whether Amendment Nos. 1 and 2 are 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 [email protected]. Please include 
File Number SR-MIAX-2021-58 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-2021-58. 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 such 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-2021-58, and should be 
submitted on or before March 30, 2022.

V. Accelerated Approval of Proposed Rule Change, as Modified by 
Amendment Nos. 1 and 2

    The Commission finds good cause to approve the proposed rule 
change, as modified by Amendment Nos. 1 and 2, prior to the thirtieth 
day after the date of publication of the notice of Amendment Nos. 1 and 
2 in the Federal Register. As described more fully above, Amendment No. 
1 revises the proposal to, among other things, indicate that, if 
enabled, the Managed Protection Override will apply to all of the price 
protections that are subject to the Managed Protection Override; add 
clarifying detail to the proposed definition of Butterfly Spread and to 
the Market Maker Single Side Protection; describe the treatment of 
orders and eQuotes priced outside the trading price limits in the 
proposed Butterfly Spread Variance, Calendar Spread Variance, and 
Vertical Spread Variance rules; add proposed Exchange Rule 532, 
Interpretation and Policy .01 to indicate that the System will apply 
the most conservative price protection when an order is eligible for 
multiple price protections; and describe the rationale for the pre-set 
value used in the proposed MIAX Strategy Price Protection Variance. 
Amendment No. 2 adds clarifying detail to the proposed MIAX Strategy 
Price Protection by describing how the price protection will apply to 
complex market orders. Amendment Nos. 1 and 2 raise no novel regulatory 
issues and provide additional detail and clarifications that help to 
more fully describe the operation of the proposed rules. In addition, 
the additional information in Amendment Nos. 1 and 2 assists the 
Commission in evaluating the Exchange's proposal and finding that it is 
consistent with the Act. Accordingly, the Commission finds good cause 
for approving the proposed rule change, as modified by Amendment Nos. 1 
and 2, on an accelerated basis.

VI. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\68\ that the proposed rule change (File No. SR-MIAX-2021-58), as 
modified by Amendment Nos. 1 and 2, is approved on an accelerated 
basis.
---------------------------------------------------------------------------

    \68\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\69\
---------------------------------------------------------------------------

    \69\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022-04921 Filed 3-8-22; 8:45 am]
BILLING CODE 8011-01-P