Document ID: SEC-2016-1549-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: Chicago Stock Exchange, Inc.
Posted Date: 2016-08-31T04:00Z

[Federal Register Volume 81, Number 169 (Wednesday, August 31, 2016)]
[Notices]
[Pages 60034-60037]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-20885]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-78684; File No. SR-CHX-2016-15]

Self-Regulatory Organizations; Chicago Stock Exchange, Inc.; 
Notice of Filing and Immediate Effectiveness of a Proposed Rule Change 
To Modify the Handling of Intermarket Sweep Orders

August 25, 2016.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(''Act''),\1\ and Rule 19b-4 \2\ thereunder, notice is hereby given 
that on August 17, 2016, the Chicago Stock Exchange, Inc. (''CHX'' or 
the ``Exchange'') filed with the Securities and Exchange Commission 
(''Commission'') the proposed rule change as described in Items I, II 
and III below, which Items have been prepared by the Exchange. The 
Commission is publishing this notice to solicit comments on the 
proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 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

    CHX proposes to amend the Rules of the Exchange (''CHX Rules'') to 
modify the handling of Intermarket Sweep Orders (''ISOs'').
    CHX has designated this proposed rule change as non-controversial 
pursuant to Section 19(b)(3)(A) \3\ of the Act and Rule 19b-4(f)(6) \4\ 
thereunder and has provided the Commission with the notice required by 
Rule 19b-4(f)(6)(iii).\5\
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    \3\ 15 U.S.C. 78s(b)(3)(A).
    \4\ 17 CFR 240.19b-4(f)(6).
    \5\ 17 CFR 240.19b-4(f)(6)(iii).
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    The text of this proposed rule change is available on the 
Exchange's Web site at (www.chx.com) and in 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 CHX included statements 
concerning the purpose of and basis for the proposed rule changes and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The CHX has prepared summaries, set forth in sections A, 
B and C below, of the most significant aspects of such statements.

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

1. Purpose
    The Exchange proposes various amendments to the CHX Rules to amend 
the operation of the Exchange's ISO modifiers as follows:

     Amend the operation of the ISO modifier to be similar 
to the ISO modifiers offered by other national securities 
exchanges.\6\ As amended, a limit order marked ISO (''ISO limit'') 
would behave like a simple limit order \7\ (i.e., executable through 
multiple price points not beyond its limit price with the unexecuted 
balance to be immediately cancelled or ranked on the CHX book 
depending on the attached Time-In-Force \8\ and display modifier 
\9\), but without regard to the Protected Quotations \10\ of away 
markets when it is being processed as a new incoming order.
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    \6\ See e.g., NYSE ARCA Equities Rule 7.31(e)(2); see also e.g., 
Bats BYX Rule 11.9(d).
    \7\ See CHX Article 1, Rule 2(a)(1).
    \8\ See CHX Article 1, Rule 2(d).
    \9\ See CHX Article 1, Rule 2(e).
    \10\ See 17 CFR 242.600(b)(58).
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     Require a limit order marked by any one of the 
Exchange's three ISO modifiers (i.e., BBO ISO,\11\ Price-Penetrating 
ISO,\12\ and ISO \13\) to be handled as if it were marked ISO, as 
amended.\14\
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    \11\ See CHX Article 1, Rule 2(b)(1)(A).
    \12\ See CHX Article 1, Rule 2(b)(1)(E).
    \13\ See CHX Article 1, Rule 2(b)(3)(B).
    \14\ In order to facilitate the transition to the amended ISO, 
the Exchange does not propose to eliminate the BBO ISO and Price-
Penetrating ISO modifiers at this time.

The Exchange also proposes to clarify the current handling of cross 
orders \15\ marked ISO (``ISO cross'') and Participants' \16\ 
obligations with respect to ISOs.
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    \15\ See CHX Article 1, Rule 2(a)(2).
    \16\ A ``Participant'' is a ``member'' of the Exchange for 
purposes of the Act. See CHX Article 1, Rule 1(s).

    The Exchange believes that the proposed rule change will harmonize 
the operation of the Exchange's ISO modifier with ISO modifiers offered 
by other national securities exchanges, as well as clarify and simplify 
the order types and modifiers offered by the Exchange, all of which 
further the objectives of the Act, as described below.
Current CHX ISOs
    The Exchange currently offers three different ISO modifiers: BBO 
ISO, Price-Penetrating ISO, and ISO.\17\ While all three modifiers can 
be used to mark an order as required by Rule 600(b)(30) of Regulation 
NMS,\18\ each modifier is handled differently by the CHX Matching 
System (''Matching System'').\19\
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    \17\ BBO ISO and Price-Penetrating ISOs are limit order 
modifiers, whereas ISO is a limit and cross order modifier. The 
Exchange last modified the operation of BBO ISO and Price-
Penetrating ISO in 2014. See Securities Exchange Act Release No. 
73572 (November 10, 2014), 79 FR 68736 (November 18, 2014) (SR-CHX-
2014-18).
    \18\ See 17 CFR 242.600(b)(30).
    \19\ The Matching System is an automated order execution system, 
which is a part of the Exchange's ``Trading Facilities,'' as defined 
under CHX Article 1, Rule 1(z).
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    An incoming BBO ISO will execute against orders resting on the CHX 
book at prices not to exceed the more restrictive of its limit price or 
the contra-side displayed best bid or offer. Any unexecuted balance of 
the BBO ISO will be immediately cancelled if -1- marked Immediate Or 
Cancel (''IOC'') \20\ or -2- the incoming BBO ISO sell (buy) order 
could execute against any resting order(s) priced below (above) the 
displayed best bid (offer), regardless of the Time-In-Force. If the 
unexecuted balance of the BBO ISO would not be cancelled as described 
above, it will be ranked on the CHX Book and will be displayable at its 
limit price. A limit order marked BBO ISO may not be marked Do Not 
Display.\21\ The Matching System, in executing the ISO as soon as the 
order is received by the Matching System, will not take any of the 
actions described in Article 20, Rule 5 to prevent an improper trade-
through or any of the actions described in Article 20, Rule 6 to 
prevent a locked or crossed market; provided, however, that in 
executing any initially unexecuted balance of the ISO that is placed in 
the Matching System, the requirements of Article 20, Rule 5 will be 
followed. These orders shall be executed on the assumption that the 
Participant routing the order to the Matching System has already 
satisfied the quotations of other markets as required by Rule 
600(b)(30) \22\ and shall be displayed

[[Page 60035]]

because the Participant routing the order to the Matching System has 
already satisfied the quotations of other markets as required by 
Article 20, Rule 6(c)(3). A limit order marked BBO ISO shall be deemed 
to have been received Do Not Route,\23\ which cannot be overridden by 
the order sender.
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    \20\ See CHX Article 1, Rule 2(d)(4).
    \21\ See CHX Article 1, Rule 2(c)(2).
    \22\ 17 CFR 242.600(b)(30).
    \23\ See CHX Article 1, Rule 2(b)(3)(A).
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    A Price-Penetrating ISO will execute at or better than its limit 
price as soon as the order is received by the Matching System, with any 
unexecuted balance of the order to be immediately cancelled, as it is 
always handled IOC. A Price-Penetrating ISO cannot be displayed or 
otherwise post to the CHX book. Price-Penetrating ISOs will execute 
against any eligible orders in the Matching System (including any 
Reserve Size or undisplayed orders) through multiple price points. The 
Matching System, in executing these orders, will not take any of the 
actions described in Article 20, Rule 5 to prevent an improper trade-
through. A limit order marked Price-Penetrating ISO shall be deemed to 
have been received IOC, which cannot be overridden by the order sender.
    ISO is a limit and cross order modifier. A limit order marked ISO 
that is not marked BBO ISO is deemed to have been received Price-
Penetrating ISO, which cannot be overridden by the order sender. Thus, 
a limit order marked ISO will always be handled as a BBO ISO or Price-
Penetrating ISO. A cross order marked ISO is handled like a simple 
cross order, except that the Exchange would not take any actions 
described in Article 20, Rule 5 to prevent an improper trade-
through.\24\
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    \24\ In eliminating the definition of ``ISO Cross'' in 2013, the 
Exchange explained that ``ISO Cross is simply a cross order marked 
ISO and not a distinct order modifier.'' See Exchange Act Release 
No. 69538 (May 8, 2013), 78 FR 28671 (May 15, 2013) (SR-CHX-2013-
10).
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Amended CHX ISOs
    The Exchange now proposes to amend the definition of ``ISO'' under 
Article 1, Rule 2(b)(3)(B) so that the amended ISOs behave like ISOs 
offered by other national securities exchanges.\25\ Specifically, the 
Exchange proposes to amend the definition of ISO to -1- require an ISO 
limit to behave like a simple limit order (i.e., executable through 
multiple price points not beyond its limit price with the unexecuted 
balance to be immediately cancelled or posted to the CHX book depending 
on the attached Time-In-Force), but without regard to the Protected 
Quotations of away markets when it is being processed as a new incoming 
order; \26\ -2- provide that the default Time-In-Force for an ISO limit 
is IOC, unless it is marked with another available Time-In-Force \27\ 
(i.e., Day \28\ or GTD); \29\ -3- clarify the current applicability of 
the ISO modifier to cross orders; -4- clarify that it is the 
Participant's responsibility in complying with the requirements of 
Regulation NMS when submitting an ISO to the Exchange; and -5- delete 
obviated language. The mechanical result of these proposed amendments 
is that an amended ISO limit will behave like the current Price-
Penetrating ISO, except that the amended ISO limit may have a Time-In-
Force other than IOC, which would permit the unexecuted balance of the 
amended ISO limit to be ranked on the CHX book and displayable at its 
limit price. To this end, amended Article 1, Rule 2(b)(3)(B) provides 
as follows:
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    \25\ See supra note 6.
    \26\ The Exchanges notes that the current BBO ISO may be ranked 
on the CHX book if it is -1- not marked IOC and -2- does not execute 
against any contra-side orders within the Matching System at prices 
inferior to the then-current best displayed contra-side order on the 
CHX book. See current CHX Article 1, Rule 2(b)(1)(A). As proposed, 
an ISO will be permitted to be ranked on the CHX book even if a 
portion of the ISO executes against contra-side orders within the 
Matching System at prices inferior to the then-current best 
displayed contra-side order on the CHX book.
    \27\ The Exchange notes that the Fill Or Kill modifier, as 
defined under CHX Article 1, Rule 2(d)(2), has been unavailable 
since December 4, 2013. Any order marked FOK will be rejected upon 
receipt. See CHX Market Regulation Department Information Memorandum 
No. MR-13-12 (December 3, 2013).
    \28\ See CHX Article 1, Rule 2(d)(1).
    \29\ See CHX Article 1, Rule 2(d)(3).

    ''Intermarket Sweep'' or ``ISO'': a limit or cross order 
modifier that marks an order as required by SEC Rule 600(b)(30).\30\ 
The Exchange relies on the marking of an order as an ISO when 
handling such an order, and thus, it is the entering Participant's 
responsibility, not the Exchange's responsibility, to comply with 
the requirements of Regulation NMS and Article 20, Rule 6(c)(3) \31\ 
relating to ISOs. Any new incoming order marked ISO will not be 
rejected or cancelled if it would lock, cross, or trade-through a 
Protected Quotation of an away market. ISOs shall be deemed to have 
been received ``Do Not Route,'' as defined under paragraph 
(b)(3)(A), which cannot be overridden by the order sender.
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    \30\ See 17 CFR 242.600(b)(30).
    \31\ CHX Article 20, Rule 6(c)(3) excepts a Participants [sic] 
from the locked and crossed markets prohibition described under CHX 
Article 20, Rule 6(b) if ``The Exchange Participant displaying the 
locking or crossing quotation simultaneously routed an intermarket 
sweep order to execute against the full displayed size of any locked 
or crossed protected quotation.''
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    (i) ISO limit. A new incoming limit order marked ISO (''ISO 
limit'') may be executed at one or multiple price levels in the 
Matching System without regard to Protected Quotations at away 
markets consistent with Regulation NMS. All ISO limits shall be 
deemed to have been received IOC, unless an ISO limit is marked with 
another Time-In-Force.
    (ii) ISO cross. A cross order marked ISO (''ISO cross'') may 
execute at its crossing price as soon as it is received by the 
Matching System without regard to Protected Quotations at away 
markets consistent with Regulation NMS. An ISO cross that could not 
be immediately executed within the Matching System upon receipt 
shall be immediately cancelled.\32\
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    \32\ Cross orders are always handled IOC. See CHX Article 1, 
Rule 2(a)(2).

    The Exchange also proposes to amend Article 1, Rule 2(b)(1)(A) and 
Article 1, Rule 2(b)(1)(E) to delete the current definition of BBO ISO 
and Price-Penetrating ISO, respectively, and replace each definition 
with language that provides that the modifier is a limit order modifier 
that shall be handled as an ISO, as defined under amended paragraph 
(b)(3)(B).\33\ Moreover, so as to contemplate the proposed default IOC 
handling of ISO limits, the Exchange proposes to amend the definition 
of ``Limit order'' under Article 1, Rule 2(a)(1) to provide that all 
limit orders, except those marked Price-Penetrating ISO, BBO ISO, and 
ISO, shall be deemed to have been received Day, if an order duration 
modifier is not specified.
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    \33\ See supra note 14.
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Interaction With Certain Order Modifiers
    The Exchange notes that the amended ISO would be compatible with 
all display modifiers (i.e., Always Quote,\34\ Do Not Display,\35\ and 
Reserve Size \36\). A new incoming ISO limit marked Day and Do Not 
Display would be permitted to trade-through and/or lock or cross 
Protected Quotations of away markets and the unexecuted balance would 
be ranked on the CHX book at its limit price. Similarly, a new incoming 
ISO limit marked Day and Reserve Size would be permitted to trade-
through and/or lock or cross Protected Quotations of away markets and 
the unexecuted balance would be ranked on the CHX book at its limit 
price with the displayable portion displayed at its limit price. Also, 
an ISO limit marked Day and Always Quote would be permitted to trade-
through and/or lock or cross Protected Quotations of away markets and 
the unexecuted balance would be ranked on the CHX book if it could be 
displayed at its limit price or cancelled if it could not be displayed 
at its limit price.
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    \34\ See CHX Article 1, Rule 2(c)(1).
    \35\ See CHX Article 1, Rule 2(c)(2).
    \36\ See CHX Article 1, Rule 2(c)(3).
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    Moreover, if the Exchange were to receive an ISO limit marked CHX

[[Page 60036]]

Only,\37\ the Exchange will ignore the CHX Only modifier and handle the 
ISO limit as if it were not marked CHX Only, which is consistent with 
current practice.\38\ This is because the ISO and CHX Only modifiers 
are incompatible in that ISO instructs the Exchange to ignore the 
Protected Quotations of away markets when initially processing the 
order, whereas CHX Only requires the Exchange to price slide the order 
upon initial receipt to prevent locked and crossed markets.
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    \37\ See CHX Article 1, Rule 2(b)(1)(C).
    \38\ See Securities Exchange Act Release No. 69075 (March 8, 
2013), 78 FR 16311 (March 14, 2013) (SR-CHX-2013-07).
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Examples
    The following Examples are illustrative of the amended ISO 
modifier, but do not exhaustively depict every possible scenario 
regarding ISOs. Moreover, the Examples do not necessarily depict the 
actual technical processes of prioritizing messages and executing 
orders.

    Example 1. Assume that proposed rule change is operative and the 
following:
     The NBBO for security XYZ is 10.00 x 10.01.
     The displayed CHX BBO for XYZ is 9.99 x 10.01.
     There is only one buy order for XYZ priced at 9.99 
resting on the CHX book (''CHX Buy Order'') and there are no 
undisplayed orders for XYZ resting on the CHX book.
     There is only one away market with a Protected Bid for 
XYZ at 10.00 (``Away Protected Bid'').
     All Protected Quotations in XYZ are for 100 shares.
    Assume then that the Exchange receives an ISO limit marked Day 
to sell 200 shares of XYZ at 9.99 (''Incoming Sell ISO Limit'').
    Under this Example 1, the Exchange would execute 100 shares of 
Incoming Sell ISO Limit against the CHX Buy Order at 9.99, without 
taking any actions to prevent a trade-through of Away Protected Bid. 
The Exchange would then rank and display the unexecuted 100 shares 
of Incoming Sell ISO Limit at 9.99, without taking any actions to 
prevent a crossed market.
    Example 2. Assume the same as Example 1, except that Incoming 
Sell ISO Limit is not marked with a Time-In-Force. Under Example 2, 
the unexecuted balance of Incoming Sell ISO Limit would be 
cancelled, as the default handling for ISO limits is IOC.
    Example 3. Assume the same as Example 1, except that Incoming 
Sell ISO Limit is marked Price-Penetrating ISO or BBO ISO and is 
also marked Day. Under Example 3, Incoming Sell ISO Limit would be 
handled as if it were marked ISO and would behave identically as 
described under Example 1.
    Example 4. Assume the same as Example 1, except that Incoming 
Sell ISO Limit is marked Price-Penetrating ISO or BBO ISO and is not 
marked by a Time-In-Force. Under this Example 4, the Exchange would 
cancel the unexecuted balance of Incoming Sell ISO Limit, as an ISO 
that does not have a Time-In-Force identified would be handled IOC.
Operative Date
    The proposed rule change shall be operative pursuant to notice to 
Participants on a date after the expiration of the 30-day preoperative 
waiting period.
2. Statutory Basis
    The Exchange believes that the proposed rule change is consistent 
with Section 6(b) of the Act in general,\39\ and furthers the 
objectives of Section 6(b)(5) in particular,\40\ in that it is designed 
to promote just and equitable principles of trade, to foster 
cooperation and coordination with persons engaged in facilitating 
transactions in securities, to remove impediments and perfect the 
mechanisms of a free and open market, and, in general, to protect 
investors and the public interest; and is not designed to permit unfair 
discrimination between customers, issuers, brokers, or dealers. 
Specifically, the Exchange submits that harmonizing the operation of 
the ISO modifier with the ISO modifiers offered by other national 
securities exchanges, such as NYSE Arca and Bats BYX, would provide 
market participants with consistent and predictable handling of ISOs, 
which would facilitate their compliance with Regulation NMS regarding 
the use of ISOs, thereby removing impediments and perfecting the 
mechanisms of a free and open market.
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    \39\ 15 U.S.C. 78f(b).
    \40\ 15 U.S.C. 78f(b)(5).
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    Moreover, the Exchange believes that requiring the Exchange's 
various ISO modifiers to operate in the same manner and clarifying the 
handling of ISO crosses simplifies the CHX Rules, which furthers the 
objectives of Section 6(b)(1) \41\ in that it further enables the 
Exchange to be so organized as to have the capacity to be able to carry 
out the purposes of the Act and to comply, and to enforce compliance by 
its Participants and persons associated with its Participants, with the 
provisions of the Act, the rules and regulations thereunder, and the 
rules of the Exchange.
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    \41\ 15 U.S.C. 78f(b)(1).
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B. Self-Regulatory Organization's Statement of Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Act. To the contrary, the 
Exchange believes that the proposed rule change will reduce the 
regulatory burden placed on market participants engaged in trading 
activities across different markets by harmonizing the operation of the 
Exchange's ISO modifier with those of other national securities 
exchanges. The Exchange believes that such harmonization across the 
various markets will reduce burdens on competition by removing 
impediments to participation in the national market system.

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

    No written comments were either solicited or received.

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

    The Exchange believes that the proposal qualifies for immediate 
effectiveness upon filing as non-controversial under Section 
19(b)(3)(A) of the Act \42\ and paragraph (f)(6) of Rule 19b-4 
thereunder.\43\
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    \42\ 15 U.S.C. 78s(b)(3)(A).
    \43\ 17 CFR 240.19b-4.
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    The Exchange asserts that the proposed rule change: (1) Will not 
significantly affect the protection of investors or the public 
interest, (2) will not impose any significant burden on competition, 
and (3) and will not become operative for 30 days from the date on 
which it was filed, or such shorter time as the Commission may 
designate. In addition, the Exchange provided the Commission with 
written notice of its intent to file the proposed rule change, along 
with a brief description and text of the proposed rule change, at least 
five business days prior to the date of filing, or such shorter time as 
designated by the Commission.\44\ The Exchange believes that the 
proposed rule change raises no novel issues, as the amended ISO 
modifier will operate similarly to the ISO modifiers of other national 
securities exchanges, such as NYSE Arca and Bats BYX.\45\ As such, the 
Exchange has designated this rule filing as non-controversial under 
Section 19(b)(3)(A) of the Act \46\ and paragraph (f)(6) of Rule 19b-4 
thereunder.\47\
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    \44\ 17 CFR 240.19b-4(f)(6)(iii).
    \45\ See supra note 6.
    \46\ 15 U.S.C. 78s(b)(3)(A).
    \47\ 17 CFR 240.19b-4.
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if

[[Page 60037]]

it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act. If the Commission 
takes such action, the Commission shall institute proceedings under 
Section 19(b)(2)(B) of the Act \48\ to determine whether the proposed 
rule should be approved or disapproved.
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    \48\ 15 U.S.C. 78s(b)(2)(B).
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IV. Solicitation of Comments

    Interested persons are invited to submit written data, views and 
arguments concerning the foregoing, including whether the proposal 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 No. SR-CHX-2016-15 on the subject line.

Paper Comments

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

All submissions should refer to File No. SR-CHX-2016-15. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule changes between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549 on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of the filing also will be available 
for inspection and copying at the principal office of the CHX. 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 No. SR-CHX-2016-15 and should 
be submitted on or before September 21, 2016.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\49\
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    \49\ 17 CFR 200.30-3(a)(12).
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Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-20885 Filed 8-30-16; 8:45 am]
 BILLING CODE 8011-01-P