Document ID: SEC-2021-1388-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: Nasdaq PHLX, LLC
Posted Date: 2021-10-07T04:00Z

[Federal Register Volume 86, Number 192 (Thursday, October 7, 2021)]
[Notices]
[Pages 55896-55900]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-21869]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-93237; File No. SR-Phlx-2021-56]

Self-Regulatory Organizations; Nasdaq PHLX LLC; Notice of Filing 
of Proposed Rule Change To Amend Options 4A, Section 12 Regarding the 
Closing Volume Weighted Average Price (``Closing VWAP'') for Listing 
and Trading of Options on the Nasdaq-100[supreg] Volatility Index

October 1, 2021.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on September 23, 2021, Nasdaq PHLX LLC (``Phlx'' or ``Exchange'') filed 
with the Securities and Exchange Commission (``SEC'' or ``Commission'') 
the proposed rule change as described in Items I, II, and III below, 
which Items have been prepared by the Exchange. The Commission is 
publishing this notice to solicit comments on the proposed rule change 
from interested persons.
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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

    The Exchange proposes to amend its rule regarding options on the 
Nasdaq-100[supreg] Volatility Index within Options 4A, Section 12, 
Terms of Index Options Contracts.
    The text of the proposed rule change is available on the Exchange's 
website at https://listingcenter.nasdaq.com/rulebook/phlx/rules, at the 
principal office of the Exchange, and at the Commission's Public 
Reference Room.

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

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

[[Page 55897]]

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

1. Purpose
    The Exchange proposes to amend the Nasdaq-100[supreg] Volatility 
Index (``Volatility Index'') within Options 4A, Section 12, Terms of 
Index Options Contracts. Specifically, the Exchange proposes to amend 
the calculation of the final settlement price for VOLQ options, the 
Closing Volume Weighted Average Price or ``Closing VWAP,'' in the event 
any of the thirty-two underlying Nasdaq-100[supreg] index (``NDX'') 
component options do not have a trade/quote during the 300 second 
period of time (the ``Closing Settlement Period'').
Background
    The final settlement price for the Volatility Index is calculated 
on Wednesday of each week commencing at 9:32:010 a.m. on the expiration 
day, and continuing each second for the next 300 seconds (New York 
time).\3\ The settlement value for the Volatility Index is the Closing 
VWAP that is determined by reference to the prices and sizes of 
executed orders \4\ or quotes in the thirty-two underlying NDX 
component options \5\ on Phlx, Nasdaq ISE, LLC (``ISE'') and Nasdaq 
GEMX, LLC (``GEMX'') \6\ calculated at the opening of trading on the 
expiration date (usually a Wednesday). At the end of individual one-
second time observations during the Closing Settlement Period, which 
commences at 9:32:010 on the expiration day (or 2.00.01 minutes after 
the open of trading in the event trading does not commence at 9:30:000 
a.m. ET),\7\ and continues each second for the next 300 seconds, the 
number of contracts resulting from orders \8\ and quotes executed on 
Phlx, ISE and GEMX at each price during the observation period is 
multiplied by that price to yield a Reference Number. All Reference 
Numbers are then summed, and that sum is then divided by the total 
number of contracts traded during the observation period [Sum of 
(contracts traded at a price x price) / total contracts traded)] to 
calculate a Volume Weighted Average Price for that observation period 
(a ``One Second VWAP'') for that component option. If no transactions 
occur on Phlx, ISE and/or GEMX, during any one-second observation 
period, the NBBO midpoint at the end of the one second observation 
period will be considered the One Second VWAP for that observation 
period for purposes of this settlement methodology. Specifically, the 
Closing VWAP would seek the best bid and best offer (which may consist 
of a quote or an order) from among the listing markets (Phlx, ISE and 
GEMX markets). Each One Second VWAP for each component option is then 
used to calculate the Volatility Index, resulting in the calculation of 
300 sequential Volatility Index values. Finally, all 300 Volatility 
Index values are arithmetically averaged (i.e., the sum of 300 
Volatility Index calculations is divided by 300) and the resulting 
figure is rounded to the nearest .01 to arrive at the settlement value 
disseminated under the ticker symbol ``VOLS.'' \9\
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    \3\ The exercise settlement amount would be equal to the 
difference between the final settlement price and the exercise price 
of the option, multiplied by $100. Exercise would result in the 
delivery of cash on the business day following expiration.
    \4\ The Exchange proposes to add rule text within Options 4A, 
Section 12(b)(6)(D) to further describe what is meant by executed 
orders. Today, the rule text states, ``Executed orders shall include 
simple orders and complex orders however, individual leg executions 
of a complex order will only be included if the executed price of 
the leg is at or within the NBBO.'' The proposed change will be 
described in the proposal section.
    \5\ Dependent upon movement in the Nasdaq-100 Index, all of the 
Closing Settlement Period index (VOLS) thirty-two underlying NDX 
component options can change every second making live market final 
settlement replication unfeasible over 300 seconds.
    \6\ The Volatility Index's component NDX options are listed on 
Phlx as well as on the Exchange's affiliates, ISE and GEMX.
    \7\ If the Exchange is unable to publish a settlement value by 
12:00 p.m. (New York Time) due to a trading halt, the Exchange will 
determine and publish a value on its website. In the event of a 
trading halt, the Exchange will commence the calculation of the 
settlement window beginning 2.00.01 minutes after the re-opening of 
trading. See Options 4A, Section 12(b)(6)(D)(II).
    \8\ Executed orders include simple orders and complex orders, 
however, individual leg executions of a complex order will only be 
included if the executed price of the leg is at or within the NBBO.
    \9\ See Options 4A, Section 12(b)(6)(D)(II), ``Terms of Option 
Contracts.''
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Proposal
    The Exchange proposes to amend the Closing VWAP to provide for an 
alternative calculation of the Closing Settlement Period if during any 
one second of the Closing Settlement Period any of the thirty-two NDX 
option series does not have a trade/quote. The alternative observation 
window would be part of the proposed new calculation of the Closing 
Settlement Period. The Exchange would add the alternate observation 
window to the existing calculation of the Closing VWAP.
    First, the Exchange proposes if, during any one second of the 
observation period, any of the thirty-two NDX option series used for 
Closing VWAP does not have a trade/quote, the index calculator would 
look back and use the most recent published quote \10\ midpoint during 
that day for the One Second VWAP for the option component that does not 
have a trade/quote. If there is no One Second VWAP to utilize for any 
of the thirty-two NDX option series during the Closing Settlement 
Period, then the index calculator will consider that Closing Settlement 
Period invalid and will be unable to determine a Closing VWAP at that 
time.
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    \10\ Only quotes would be considered, not trades. The Exchange 
believes that quotes are more reflective of true market value since 
the index calculator would look back.
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    Second, in the event the Closing Settlement Period is invalid and a 
Closing VWAP cannot be determined, the index calculator will then roll 
the Closing Settlement Period forward by one second and determine if 
there is a One Second VWAP for each of the thirty-two NDX option series 
for all 300 consecutive seconds of the new Closing Settlement Period. 
If there is a One Second VWAP for all of the thirty-two NDX option 
series for all 300 consecutive seconds, a Closing VWAP will be 
calculated. If a One Second VWAP is not present for all of the thirty-
two NDX option series during the new observation period, the index 
calculator will again roll the Closing Settlement Period forward by one 
second. The index calculator would continue to roll the Closing 
Settlement Period forward by one second until such time as it is able 
to capture a One Second VWAP for each of the thirty-two NDX option 
series for all 300 consecutive seconds. At that time, a Closing VWAP 
will be calculated.
    The proposal seeks to create an automated, non-discretionary 
process by which the Exchange would determine the Closing VWAP in the 
event any of the thirty-two underlying NDX component options do not 
have a trade/quote during the Closing Settlement Period. By creating an 
automated process, the Closing VWAP would be calculated consistently 
with the proposed rule. The Exchange does not anticipate utilizing the 
alternative Closing VWAP calculation on a regular basis. In fact, a 
review of 43 expiration dates \11\ from January 2018 through July 2021 
revealed invalid values for only 2 expiration dates.\12\ On both of the 
expiration dates, the Exchange would have obtained a One Second VWAP 
for

[[Page 55898]]

the component by looking forward because the look back did not contain 
a quote for the component that was missing a One Second VWAP.
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    \11\ The Exchange reviewed the 9,660 NBBO inputs for the VOLS 
computation from 9:32.01 for the five minute Closing Settlement 
Period for each expiration date.
    \12\ The expiration dates were March 18, 2020 and June 17, 2020. 
The Exchange notes that the options industry experience 
unprecedented volumes in 2020.
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    In the event of a trading halt in one or more options, excluding a 
trading halt in all Nasdaq-100 index options, prior to the completion 
of the Closing Settlement Period, the Exchange would continue to look 
back for a One Second VWAP prior to looking forward. The Exchange 
believes that it is important to maintain a consistent process for 
obtaining missing values for the Closing VWAP. As noted above, the 
Exchange does not believe the alternative method would be utilized with 
any frequency, rather it should be utilized infrequently. In the event 
a trading halt caused Market Makers to not submit a Valid Width Quote 
in certain components during the Opening Process,\13\ the alternative 
methodology would look forward to obtain a value. Also, the Exchange 
would utilize a quote from the Opening Process only in the event an 
options series was able to open. If the Opening Process did not 
complete for an options series, there would be no value to obtain for a 
component during a look back.\14\
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    \13\ The Phlx Opening Process is described within Options 3, 
Section 8.
    \14\ The Closing Settlement Period occurs within seconds of the 
completion of the Opening Process.
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    Today, Options 4A, Section 12(b)(6)(D)(II) provides, ``If the 
Exchange is unable to publish a settlement value by 12:00 p.m. (New 
York time) due to a trading halt, the Exchange will commence the 
calculation of the settlement window beginning 2.00.01 minutes after 
the re-opening of trading and publish that value on its website.'' \15\ 
The Exchange proposes to replace this rule text with language which 
provides, ``In the event of a trading halt in all Nasdaq-100 index 
options, the Exchange would commence the calculation of the settlement 
window beginning 2:00:01 \16\ minutes after the re-opening of trading 
and publish that value on its website. In this scenario, the Exchange 
would not look back prior to the trading halt.'' The Exchange's 
proposal amends the current sentence to eliminate the 12:00 p.m. 
timeframe which does not consider all possible scenarios. A re-opening 
could occur anytime during the trading day. Further, specifically 
indicating a trading halt of the Nasdaq-100 index options in the rule 
text is more precise as the impact to the Nasdaq-100 index options is a 
direct concern for VOLQ. The proposed language more directly expands 
upon the manner in which the Closing VWAP will be handled in the event 
of a trading halt.
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    \15\ See Phlx Options 4A, Section 12(b)(6)(D).
    \16\ The time when the Exchange will commence the calculation of 
the settlement window was corrected from 2.00.001 minutes to 2:00:01 
minutes. The calculation begins on the second.
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    While the Exchange believes that the Volatility Index Closing VWAP 
has exceedingly high hurdles for potential manipulation, the proposed 
amendments would provide for a Closing Settlement Period, which has 
published liquidity for all of the thirty-two NDX option series used 
for the Closing VWAP. This proposed amendment would permit the index 
calculator to seek a One Second VWAP by first looking back for the most 
recent published quote midpoint for that option that had no trade/
quote. In the event the Closing Settlement Period is invalid and a 
Closing VWAP cannot be determined, the index calculator will then 
continuously roll the Closing Settlement Period forward by one second 
until there is a One Second VWAP for all of the thirty-two NDX option 
series for all 300 consecutive seconds. This proposed change is 
designed to ensure that all thirty-two NDX components have a One Second 
VWAP for the calculation of the Closing VWAP.
    For example, assume that during the first 59 seconds of the 
observation period, beginning at 9:32:01 a.m., all thirty-two NDX 
option components had a One Second VWAP. During the 60th second, the 
required NDX component June 18, 2021 14,100 call does not have a trade 
and has a market of $0.00 bid @$0.00 offer. The index calculator would 
look back to the most recent quote, which occurred at 09:32:57 a.m. and 
would use that quote in the calculation to determine a One Second VWAP 
for the 60th second (09:33:00 a.m.). However, if during the look back, 
no quote has occurred since market open, the observation period up to 
and including the 60th second would be considered invalid and the new 
observation period would begin with the next second. In that case, the 
new observation period would begin at 09:33:01 a.m. and would continue 
for 300 seconds as long as there is a One Second VWAP which can be 
determined for all 32 NDX component options.
    During the scenario above, if during the 58th, 59th, and 60th 
second, the required NDX component June 18, 2021 14,100 call does not 
have a trade and has a market of $0.00 bid @$0.00 offer, then the index 
calculator would look back to the most recent quote which occurred at 
09:32:57 a.m. and would use that value in the calculation to determine 
the One Second VWAP for the 58th, 59th, and 60th second.
    The Exchange believes that its proposal would ensure that the 
Closing VWAP is calculated using options with sufficient liquidity for 
each of the thirty-two NDX components by seeking component values that 
are represented by trades and/or quotes. The Exchange believes that 
initially looking back for the most recent published quote midpoint for 
that option will ensure an efficient price for that option 
component.\17\ If the Exchange is unable to obtain a One Second VWAP 
for any of the thirty-two NDX option series during the Closing 
Settlement Period, the Exchange will invalidate the Closing Settlement 
Period and move on to calculate the Closing VWAP utilizing a forward 
rolling observation period of one second.
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    \17\ The Exchange's calculation is dependent upon values for the 
32 component options.
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    The Exchange believes rolling the Closing Settlement Period forward 
by one second to obtain a One Second VWAP for each of the thirty-two 
NDX option series for all 300 consecutive seconds of the new 
observation period would ensure that the Closing VWAP is calculated 
using sufficient liquidity for each of the thirty-two NDX components by 
seeking trades and/or quotes in a new observation period. Utilizing a 
one second period of time to acquire a new observation window would 
allow the Exchange to utilize an observation window closest in time to 
the original window. Also, moving forward in increments of one second, 
as necessary, would serve to methodically move through the trading day 
for a potential observation window that would satisfy the Exchange's 
liquidity requirements. This method would continue to assess the entire 
field of NDX options prices each second to select specific listed NDX 
options to obtain the prices of synthetic precisely at-the-money 
options. As with the initial Closing Settlement Period, since the 
market is subject to constant change during three hundred individual 
one-second time periods for which listed options will be included in 
Closing VWAP, market participants cannot predict which option 
components will be included because that would entail predicting where 
the NDX price level (a function of predicting the price of all one-
hundred component stocks) will be at the end of each of the three 
hundred individual one-second time periods. In addition, the Exchange 
notes that the look back period would likely not be subject to 
manipulation as the historical information would only be utilized in

[[Page 55899]]

the event that liquidity was unavailable in the original observation 
window, which contains options components, which cannot be predicted.
    The Exchange reiterates that it is unlikely that the Volatility 
Index Closing VWAP could be manipulated. In particular, because the 
thirty-two component Volatility Index option inputs \18\ are reviewed 
each second as the market changes to determine the at-the-money strikes 
(meaning that Volatility Index components could change 300 times during 
the Closing Settlement Period), market participants could manipulate 
the Closing VWAP only if they could replicate such value by guessing 
exact market moves over an extended period of 300 million microseconds. 
Because the likelihood of replication is extremely low, the Exchange 
believes that it is unlikely the Closing VWAP could be manipulated.
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    \18\ The Exchange notes that due to the number of proposed 
components, the mathematical formula would prevent the Volatility 
Index from exceeding 12.5% in any single component and 43.5% for the 
top 5 components.
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    Nonetheless, the Exchange, in its normal course of surveillance, 
will monitor for any potential manipulation of the Volatility Index 
settlement value according to the Exchange's current procedures. 
Additionally, the Exchange would monitor the integrity of the 
Volatility Index by analyzing trades, quotations, and orders that 
affect any of the 300 calculated reference prices for any of the NDX 
option series used for the Closing VWAP for potential manipulation on 
the Exchange.
    Finally, the Exchange proposes to amend the term ``executed 
orders'' at Options 4A, Section 12, (b)(6)(D)(II) which currently 
provides, ``Executed orders shall include simple orders and complex 
orders however, individual leg executions of a complex order will only 
be included if the executed price of the leg is at or within the 
NBBO.'' The Exchange proposes to instead provide, ``Executed orders 
shall include simple orders and complex orders (excluding out-of-
sequence and late trades), however, individual leg executions of a 
complex order will only be included if the executed price of the leg is 
at or within the NBBO.'' The Exchange desires to exclude out-of-
sequence and late trades to avoid potential stale data in the Closing 
VWAP calculation.
Implementation
    The Exchange proposes to issue an Options Trader Alert announcing 
the day it will launch options on Nasdaq-100 Volatility Index. The 
Exchange initially indicated that it would launch these options by Q3 
2021.\19\ At this time, the Exchange proposes to launch VOLQ options on 
or before March 31, 2022.
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    \19\ See Securities Exchange Act Release No. 91781 (May 5, 
2021), 86 FR 25918 (May 11, 2021) (SR-PHLX-2020-41) (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 List and Trade Options on a Nasdaq-100 Volatility Index).
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2. Statutory Basis
    The Exchange believes that its proposal is consistent with Section 
6(b) of the Act,\20\ in general, and furthers the objectives of Section 
6(b)(5) of the Act,\21\ in particular, in that it will permit options 
trading in the Volatility Index pursuant to rules designed to prevent 
fraudulent and manipulative acts and practices and promote just and 
equitable principles of trade by amending its Volatility Index to 
create additional alternative observations periods to arrive at a 
Closing VWAP in the event that any of the thirty-two NDX option series 
used for Closing VWAP do not have a One Second VWAP during the five 
minute Closing Settlement Period. Phlx's proposal to amend the Closing 
VWAP by proposing alternate observations periods would ensure a Closing 
Settlement Period which has published liquidity for all of the thirty-
two NDX option series used for Closing VWAP. The Exchange notes that 
this alternate methodology may be utilized where there is no liquidity 
in any of the thirty-two NDX option series used for Closing VWAP. This 
may be caused by an Exchange system issue, market maker issue, or some 
news or halt in an underlying.
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    \20\ 15 U.S.C. 78f(b).
    \21\ 15 U.S.C. 78f(b)(5).
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    The proposal would promote just and equitable principles of trade 
by creating an automated, non-discretionary process by which the 
Exchange would determine the Closing VWAP in the event any of the 
thirty-two underlying NDX component options do not have a trade/quote 
during the Closing Settlement Period. The Closing VWAP would be 
calculated consistently. The Exchange anticipates the alternative 
Closing VWAP calculation would be utilized infrequently. In the event 
of a trading halt in one or more options, excluding a trading halt in 
all Nasdaq-100 index options, prior to the completion of the Closing 
Settlement Period, the Exchange's proposal to look back for a One 
Second VWAP, prior to looking forward, is consistent with the Act 
because the Exchange's process would be consistent for obtaining 
missing values for the Closing VWAP. Also, in the event a trading halt 
caused Market Makers to not submit a Valid Width Quote in certain 
components during the Opening Process, the alternative methodology 
would look forward to obtain a value. Also, the Exchange would utilize 
a quote from the Opening Process only in the event an options series 
was able to open. If the Opening Process did not complete for an 
options series, there would be no value to obtain for a component 
during a look back.\22\
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    \22\ The Closing Settlement Period occurs within seconds of the 
completion of the Opening Process.
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    This method would continue to assess the entire field of NDX 
options prices each second to select specific listed NDX options to 
obtain the prices of synthetic precisely at-the-money options. As with 
the initial settlement window, since the market is subject to constant 
change during three hundred individual one-second time periods for 
which listed options will be included in Closing VWAP, market 
participants cannot predict which options components will be included 
because that would entail predicting where the NDX price level (a 
function of predicting the price of all one-hundred component stocks) 
will be at the end of each of the three hundred individual one-second 
time periods. The Exchange reiterates that it is unlikely that the 
Volatility Index Closing VWAP could be manipulated. In particular, 
because the thirty-two component Volatility Index option inputs are 
reviewed each second as the market changes to determine the at-the-
money strikes (meaning that Volatility Index components could change 
300 times during the settlement period), market participants could 
manipulate the Closing VWAP only if they could replicate such value by 
guessing exact market moves over an extended period of 300 million 
microseconds. Because the likelihood of replication is extremely low, 
the Exchange believes that it is unlikely the Closing VWAP could be 
manipulated. Similarly, with respect to the look back period, it would 
be unlikely that manipulation could occur as the historical information 
would only be utilized in the event that liquidity was unavailable in 
the original observation window, which contains options components 
which cannot be predicted. Nonetheless, the Exchange, in its normal 
course of surveillance, will monitor for any potential manipulation of 
the Volatility Index Closing VWAP and monitor the integrity of the 
Volatility Index by analyzing trades, quotations, and orders that 
affect any of the 300 calculated reference prices for

[[Page 55900]]

any of the NDX option series used for the Closing VWAP for potential 
manipulation on the Exchange.
    Utilizing a time period of one second to acquire a new observation 
window would allow the Exchange to utilize an observation window 
closest in time to the original window. Also, moving forward in 
increments of one second, as necessary, would serve to methodically 
move through the trading day for a potential observation window that 
would satisfy the Exchange's liquidity requirements.
    The Exchange's proposal to amend the term ``executed orders'' to 
exclude out-of-sequence and late trades is consistent with the Act as 
these values may represent potential stale data in the Closing VWAP 
calculation. The Exchange believes the midpoint better reflects the 
price of a component.
    Finally, the Exchange's proposal to amend current Options 4A, 
Section 12(b)(6)(D)(II) to remove the 12:00 p.m. deadline for 
publishing a settlement value is consistent with the Act because a re-
opening could occur anytime during the trading day and, therefore, 
citing specifically to a 12:00 p.m. timeframe does not consider all 
possible scenarios. Further, specifically indicating a trading halt of 
the Nasdaq-100 index options in the rule text is more precise as the 
impact to the Nasdaq-100 index options is a direct concern for VOLQ. 
The proposed language more directly expands upon the manner in which 
the Closing VWAP will be handled in the event of a trading halt.

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

    This proposed rule change does not impose any burden on competition 
that is not necessary or appropriate in furtherance of the purposes of 
the Act. The Exchange notes that the proposed alternative observation 
windows will facilitate the listing and trading of the Volatility Index 
by ensuring liquidity for each of the option components. The proposed 
structure will enhance competition among market participants, to the 
benefit of investors and the marketplace.

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

    No written comments were either solicited or received.

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

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period (i) as the Commission may 
designate up to 90 days of such date if it finds such longer period to 
be appropriate and publishes its reasons for so finding or (ii) as to 
which the Exchange consents, the Commission shall: (a) By order approve 
or disapprove such proposed rule change, or (b) institute proceedings 
to determine whether the proposed rule change should be disapproved.

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-Phlx-2021-56 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-Phlx-2021-56. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549 on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of the filing also will be available for inspection 
and copying at the principal office of the Exchange. All comments 
received will be posted without change. Persons submitting comments are 
cautioned that we do not redact or edit personal identifying 
information from comment submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-Phlx-2021-56 and should be submitted on 
or before October 28, 2021.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\23\
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    \23\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-21869 Filed 10-6-21; 8:45 am]
BILLING CODE 8011-01-P