Document ID: SEC-2021-0692-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: Nasdaq PHLX, LLC
Posted Date: 2021-05-11T04:00Z

[Federal Register Volume 86, Number 89 (Tuesday, May 11, 2021)]
[Notices]
[Pages 25918-25922]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-09889]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-91781; File No. SR-Phlx-2020-41]

Self-Regulatory Organizations; Nasdaq PHLX 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 List 
and Trade Options on a Nasdaq-100 Volatility Index

May 5, 2021.

I. Introduction

    On August 24, 2020, Nasdaq PHLX LLC (``Exchange'' or ``Phlx'') 
filed with the Securities and Exchange Commission (``Commission''), 
pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ a proposed rule change to 
list and trade options on a Nasdaq-100 Volatility Index (``Volatility

[[Page 25919]]

Index'' or ``VOLQ''). The proposed rule change was published for 
comment in the Federal Register on September 8, 2020.\3\ On October 20, 
2020, pursuant to Section 19(b)(2) of the Act,\4\ 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 disapprove the proposed rule change.\5\ On 
December 4, 2020, the Commission instituted proceedings under Section 
19(b)(2)(B) of the Act \6\ to determine whether to approve or 
disapprove the proposed rule change.\7\ On March 4, 2021, the 
Commission designated a longer period for Commission action on the 
proposed rule change.\8\ On March 11, 2021, the Exchange filed 
Amendment No. 1 to the proposed rule change, which replaced and 
superseded the proposed rule change.\9\ On April 19, 2021, the Exchange 
filed partial Amendment No. 2 to the proposed rule change.\10\ The 
Commission is publishing this notice to solicit comments on Amendment 
Nos. 1 and 2 from interested persons, and is approving the proposed 
rule change, as modified by Amendment Nos. 1 and 2, on an accelerated 
basis.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 89725 (September 1, 
2020), 85 FR 55544 (``Notice''). Comments on the proposed rule 
change can be found on the Commission's website at: https://www.sec.gov/comments/sr-phlx-2020-41/srphlx202041.htm.
    \4\ 15 U.S.C. 78s(b)(2).
    \5\ See Securities Exchange Act Release No. 90226, 85 FR 67781 
(October 26, 2020). The Commission designated December 7, 2020 as 
the date by which the Commission shall approve or disapprove, or 
institute proceedings to determine whether to disapprove, the 
proposed rule change.
    \6\ 15 U.S.C. 78s(b)(2)(B).
    \7\ See Securities Exchange Act Release No. 90573, 85 FR 79552 
(December 10, 2020).
    \8\ See Securities Exchange Act Release No. 91254, 86 FR 13772 
(March 10, 2021) (designating May 6, 2021 as the date by which the 
Commission shall approve or disapprove the proposal).
    \9\ In Amendment No. 1, the Exchange: (i) Sets the end of the 
trading session for options on the Volatility index at 4:00 p.m. ET 
instead of 4:15 p.m. ET; (ii) expands the venues of the thirty-two 
underlying Nasdaq-100 Index component options used to calculate the 
Closing Volume Weighted Average Price (i.e., settlement value for 
the Volatility Index options), which will be determined by reference 
to prices and sizes of executed orders or quotes on Phlx to also 
include Nasdaq ISE, LLC (``ISE'') and Nasdaq GEMX, LLC (``GEMX''); 
(iii) clarifies that The Nasdaq Stock Market LLC shall be the 
reporting authority for the VOLQ Index; (iv) states that executed 
orders shall include simple orders and complex orders, and that 
individual leg executions of a complex order will only be included 
if the executed price of the leg is at or within the national best 
bid or offer (``NBBO''); (v) commits to providing an annual report 
to the Commission for five years containing certain settlement data; 
(vi) states that Phlx will surveil for open interest in VOLQ in 
addition to Nasdaq-100 trading volume prior to settlement; and (vii) 
makes other clarifying and conforming changes throughout the filing. 
Amendment No. 1 is available at: https://www.sec.gov/comments/sr-phlx-2020-41/srphlx202041-8486517-229965.pdf.
    \10\ In Amendment No. 2, the Exchange removes the word ``non-
public'' from the description of the annual report it will provide 
to the Commission. Amendment No. 2 is available at: https://www.sec.gov/comments/sr-phlx-2020-41/srphlx202041-8687377-235663.pdf.
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II. Description of the Proposed Rule Change, as Modified by Amendment 
Nos. 1 and 2 \11\
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    \11\ Additional information regarding the proposal can be found 
in Amendment No. 1, supra note 9.
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    The Exchange proposes to list and trade options on VOLQ, a new 
index that measures changes in 30-day implied volatility of the Nasdaq-
100 Index (``Nasdaq-100 Index'' or ``NDX''). As proposed, options on 
VOLQ will be cash-settled and will have European-style exercise 
provisions. The Exchange states that the Volatility Index will measure 
``at-the-money'' volatility by using published real-time bid/ask quotes 
of NDX options and will be disseminated in annualized percentage 
points.
    The Exchange proposes to list up to six weekly expirations and up 
to 12 standard (monthly) expirations in Volatility Index options. The 
six weekly expirations will be for the nearest weekly expirations from 
the actual listing date, and the weekly expirations will not expire in 
the same week in which standard (monthly) Volatility Index options 
expire. Standard (monthly) expirations in the Volatility Index options 
will not be counted as part of the maximum six weekly expirations 
permitted for Volatility Index options. In addition, the Exchange 
proposes that long term option series having up to sixty months to 
expiration may be listed and traded.

Volatility Index Design and Composition

    The Exchange states that the Volatility Index reflects changes in 
30-day implied volatility, which measures the magnitude of changes of 
the underlying broad-based securities index, NDX. According to the 
Exchange, the Volatility Index measures the expectation for market 
volatility over the next thirty calendar days as expressed by options 
on NDX. The Exchange explains that the Volatility Index uses the bid 
and offer prices of certain listed options on NDX to obtain the prices 
of synthetic precisely at-the-money options, which are then used to 
calculate 30-day closed-form implied volatility. Finally, the 30-day 
closed-form implied volatility is multiplied by 100 to calculate the 
Volatility Index level. The Volatility Index is quoted in annualized 
percentage points.
    The Exchange believes that the proposed product does not have 
single or aggregated component concentration risk. The Exchange states 
that the methodology caps each single component as well as the top five 
weighted components. The Exchange further states that no component 
security of the Volatility Index comprises more than 12.50% of the 
index's weighting and that the five highest weighted component 
securities of the Volatility Index in the aggregate do not comprise 
more than 43.75% of the index's weighting.

Index Calculation and Maintenance

    The Exchange states that the level of the Volatility Index will 
reflect the current 30-day implied volatility of NDX and will be 
updated on a real-time basis on each trading day beginning at 9:30 a.m. 
and ending at 4:00 p.m. ET. If the current published value of a 
component is not available, the last published value will be used in 
the calculation. Values of the Volatility Index will be disseminated 
via the Nasdaq GIDS market data system every fifteen seconds during the 
Exchange's regular trading hours to market information vendors such as 
Bloomberg and Thomson Reuters. In the event the Volatility Index ceases 
to be maintained or calculated the Exchange will not list any 
additional series for trading and will limit all transactions in such 
options to closing transactions only for the purpose of maintaining a 
fair and orderly market and protecting investors.

Exercise and Settlement Value

    The exercise settlement value calculation used for Volatility Index 
option settlement will be calculated on the Volatility Index Options 
expiration date, the specific date (usually a Wednesday) identified in 
the option symbol for the series. If that Wednesday or the Friday that 
is thirty days following that Wednesday is an Exchange holiday, the 
exercise settlement value will be calculated on the business day 
immediately preceding that Wednesday. The last trading day for a 
Volatility Index option will be the business day immediately preceding 
the expiration date. When the last trading day is moved because of an 
Exchange holiday, the last trading day for an expiring Volatility Index 
option contract will be the day immediately preceding the last 
regularly scheduled business day.
    Monthly options on the Volatility Index will expire on the 
Wednesday that is thirty days prior to the third Friday of the 
following the expiring month. Trading in expiring options on

[[Page 25920]]

the Volatility Index will normally cease at 4:00 p.m. ET on the Tuesday 
preceding an expiration Wednesday.

Final Settlement

    The Exchange states that the final settlement price (Ticker Symbol: 
VOLS) will be calculated as described below on Wednesday commencing at 
9:32:000 a.m. ET on the expiration day, and continuing each second for 
the next 300 seconds (``Closing Settlement Period''). The exercise 
settlement amount will be equal to the difference between the final 
settlement price and the exercise price of the option, multiplied by 
$100. Exercise will result in the delivery of cash on the business day 
following expiration.
    The Volatility Index's component NDX options are listed on Phlx as 
well as on ISE and GEMX. The settlement value for the Volatility Index 
options will be the Closing Volume Weighted Average Price, to be 
determined by reference to the prices and sizes of executed orders or 
quotes in the thirty-two underlying NDX component options on the Phlx, 
ISE, and GEMX markets calculated near the opening of trading on the 
expiration date. The Exchange will observe the number of contracts 
resulting from orders and quotes of the then-current NDX component 
options executed on Phlx, ISE, and GEMX at each price during individual 
one-second intervals of the Closing Settlement Period on the expiration 
day.\12\ If no transactions occur on Phlx, ISE, or GEMX in an NDX 
component option during any one-second observation period, the NBBO 
midpoint of each of the NDX component options for which a transaction 
has not occurred at the end of the one-second observation period will 
be considered the One Second VWAP for that observation period for 
purposes of the settlement methodology. The NBBO midpoint will be the 
midpoint of the best bid and best offer from Phlx, ISE, and GEMX. 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, the Exchange states that all 300 
Volatility Index values will be 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.
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    \12\ The Exchange calculates a volume weighted average price for 
each one-second observation period (a ``One Second VWAP'') for each 
component option.
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Contract Specifications

    The proposed options on the Volatility Index are European-style and 
cash-settled. The Exchange states that the trading hours for Volatility 
Index options will be 9:30 a.m. to 4:00 p.m. ET. The Exchange proposes 
to apply margin requirements for the purchase and sale of options on 
the Volatility Index that are identical to those applied for its other 
broad-based index options.
    The Exchange states that trading of options on the Volatility Index 
will be subject to the trading halt procedures applicable to other 
index options traded on the Exchange. Options on the Volatility Index 
will be quoted and traded in U.S. dollars. Accordingly, the Exchange 
believes that all Exchange and The Options Clearing Corporation members 
will be able to accommodate trading, clearance, and settlement of the 
Volatility Index without alteration. All options on the Volatility 
Index will have a minimum increment of $0.05 for options trading below 
$3.00 and $0.10 for all other series.
    The Exchange proposes to set the minimum strike price interval for 
options on the Volatility Index at $0.50 or greater where the strike 
price is less than $75, $1 or greater where the strike price is $200 or 
less, and $5 or greater where the strike price is more than $200. The 
Exchange proposes that there shall be no position or exercise limits 
for options on the Volatility Index and that trading of options on the 
Volatility Index will be subject to the same rules that presently 
govern the trading of Exchange index options, including sales practice 
rules, margin requirements, and trading rules.
    The Exchange believes that it is unlikely that the Volatility Index 
settlement value could be manipulated because the likelihood of gaming 
the components over a 300-second period is extremely low. The Exchange 
states that because the 32 component option inputs are determined each 
second (meaning that Volatility Index components could change 300 times 
during the settlement period), market participants would have to 
predict market moves over the full settlement period in order to 
manipulate the settlement value. Additionally, the Exchange believes 
that traders are subject to highly competitive market forces of deep 
and established market liquidity. For example, the Exchange notes that 
during each second of the final settlement observation period on 
January 16, 2019 and February 13, 2019, the average notional value of 
each bid of the thirty-two components was $21.1 million; the average 
notional value of each offer was $13.5 million. Finally, the Exchange 
states that since the Volatility Index assesses each second of all 
listed NDX options, this is a continuous assessment of competitive 
price action and voluminous trading activity for all Nasdaq-100 Index 
stock components. In support, the Exchange notes that during the final 
settlement observation period (five-minute period) on January 16, 2019 
and February 13, 2019, the average summation of traded volume for all 
Nasdaq-100 Index component shares was 18.8 million shares. The Exchange 
states that the average total value of all Nasdaq-100 Index shares 
traded during the final settlement observation period was $1.93 billion 
and the corresponding market capitalization for all Nasdaq-100 Index 
components during the final settlement period was $7.8 trillion.
    The Exchange represents that it has an adequate surveillance 
program in place for options traded on the Volatility Index and intends 
to apply those same program procedures that it applies to the 
Exchange's other options products. Additionally, the Exchange states 
that it is a member of the Intermarket Surveillance Group, through 
which it can coordinate surveillance and investigative information 
sharing in the stock and options markets with all of the U.S. 
registered stock and options markets. Phlx believes that its 
surveillance procedures currently in place, coupled with additional 
surveillance measures, will allow it to adequately surveil for any 
potential manipulation in the trading of Volatility Index options. The 
Exchange states it will 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 final settlement calculation for potential manipulation. In 
particular, the Exchange states it will: (i) Monitor all NDX NBBO 
quotes and trades (including but not limited to NDX quotes and trades 
on the Exchange) during the opening for all options series that are 
used as part of the final settlement; (ii) surveil for open interest 
manipulation by monitoring VOLQ and NDX trading volume prior to 
settlement; (iii) monitor trading on Phlx, ISE, and GEMX after the 
Closing Settlement Period for possible wash trading, pre-arranged, or 
related artificial activity; and (iv) compare quotes for settlement 
against quotes for non-settlement in the 32 NDX option series used for 
settlement between the opening and a period of time thereafter, with a 
focus on identifying deviations of the midpoint, the bid-ask spread, 
and other

[[Page 25921]]

market elements compared to the Nasdaq-100 Index value. The Exchange 
also represents that it has the necessary system capacity to support 
additional quotations and messages that will result from the listing 
and trading of options on the Volatility Index.
    The Exchange committed to providing the Commission an annual report 
each year for 5 years on the anniversary of the first day of trading of 
VOLQ options. The annual report shall consist of twelve monthly data 
files, one for each month, with settlement information from the prior 
year which contains: (1) One-second NBBO (bid price, bid size, offer 
price, offer size, exchange code for bid and offer, time stamp and 
timestamp reference) and Options Price Reporting Authority trade data 
(trade price, volume, exchange code, trade indicator, exchange code) 
for the VOLS NDX component options from 9:30:00 a.m. ET to 9:45:00 a.m. 
ET; (2) all VOLS one-second index values (over the final settlement 
window between 9:32:01 a.m. ET and 9:37:00 a.m. ET) used in deriving 
the final settlement value for Nasdaq-100 Volatility Index futures 
contracts; and (3) expiring VOLQ options open interest.

III. Discussion and Commission Findings

    After careful review of the proposed rule change, as modified by 
Amendment Nos. 1 and 2, as well as comment received, the Commission 
finds that the proposed rule change, as modified by Amendment Nos. 1 
and 2, is consistent with the Act and the rules and regulations 
thereunder applicable to a national securities exchange.\13\ 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,\14\ which requires, among other things, that the Exchange's 
rules be designed to prevent fraudulent and manipulative acts and 
practices, to promote just and equitable principles of trade, to remove 
impediments to and perfect the mechanism of a free and open market and 
a national market system, and, in general, to protect investors and the 
public interest.
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    \13\ In approving this proposed rule change, the Commission has 
considered the proposed rule's impact on efficiency, competition, 
and capital formation. See 15 U.S.C. 78c(f).
    \14\ 15 U.S.C. 78f(b)(5).
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    In support of its proposal, the Exchange states that the Volatility 
Index final settlement has exceedingly high hurdles for potential 
manipulation. First, the Exchange believes that market participants 
cannot predict which components will be included in the final 
settlement. Second, the Exchange believes that traders are subject to 
competitive market forces of deep and established market liquidity. In 
addition, the Exchange amended its proposal to incorporate all trades 
in the component options into the settlement calculation, rather than 
only trades occurring on the Exchange, and to specify that legs of 
complex order transactions would only be included in the calculation if 
they were at or within the NBBO. The Exchange also committed to provide 
five years of monthly settlement data on an annual basis.\15\
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    \15\ In Amendment No. 2, the Exchange removed the word ``non-
public'' from its description of the annual report it would provide 
to the Commission. See Amendment No. 2, supra note 10. The provision 
of annual settlement data for five years will assist the Commission 
in monitoring settlement inputs and values and assessing how the 
market for VOLQ and the underlying NDX component options may change 
over time.
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    The Exchange also states that the proposal will facilitate the 
listing and trading of an index option product with a novel structure, 
which would enhance competition among market participants. A commenter, 
who states it is the provider of the VOLQ methodology, also expressed 
support for the proposal. The commenter states that VOLQ is a response 
to requests from market participants and that competition and 
innovation generated by VOLQ are in the public interest and will 
benefit investors.\16\
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    \16\ See letter dated September 16, 2020 from Scott Nations, 
President, Nations Indexes, to Vanessa Countryman, Secretary, 
Commission, available at: https://www.sec.gov/comments/sr-phlx-2020-41/srphlx202041-7783670-223493.pdf.
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    The Commission believes that the Exchange's proposal, including the 
settlement methodology, as amended, in conjunction with the Exchange's 
existing and additional proposed surveillance procedures, will help to 
ensure that the settlement value is not readily susceptible to 
manipulation. The amended settlement methodology incorporates 
additional trade information by including transactions on all markets 
trading the component NDX options while ensuring that individual leg 
executions of complex orders that may have traded through the NBBO are 
not included in the settlement calculation. The Commission believes 
this will contribute to a more robust settlement methodology. The 
Volatility Index and the settlement value are calculated based on 
quotes, orders, or trades in the component NDX options and the 
settlement value calculation relies on 32 unique inputs each second 
over 300 seconds. The 32 component NDX options that are the basis of 
such inputs may change every second over the settlement window 
depending on the value of the Nasdaq-100 Index. The Exchange states 
that it will monitor for any potential manipulation of the Volatility 
Index settlement value in the normal course of its surveillance. 
Additionally, the Exchange has proposed enhanced surveillance 
procedures to further analyze trades, quotations, and orders that 
affect any of the 300 calculated reference prices for any NDX option 
series used for the final settlement calculation. The Commission 
believes the Exchange's existing and additional surveillance procedures 
will allow the Exchange to monitor for anomalous trades, quotations, 
and orders that may be indicative of manipulative trading or quoting 
activity. The Commission finds that the Exchange's proposal regarding 
surveillance of options on the Volatility Index and the component 
option series will allow it to adequately surveil for any potential 
manipulation in the trading of VOLQ. Therefore, the Commission finds 
the settlement design, as amended, when combined with the Exchange's 
existing and proposed enhanced surveillance procedures, will prevent 
fraudulent and manipulative acts and practices and protect investors 
and the public interest.
    The Commission believes that the Exchange's proposal to impose no 
position limits on the Volatility Index options is appropriate and 
consistent with the Act. As stated above, the Volatility Index will 
settle using published volume and/or quotes from NDX options. Given 
that there are currently no position limits for NDX options,\17\ the 
Commission believes it is appropriate for there to be no position or 
exercise limits \18\ for options on the Volatility Index since the 
potential manipulation and potential market disruption concerns that 
position limits are designed to address are mitigated in the case of 
this product. According to the Exchange, the market capitalization of 
the NDX was approximately $11.42 trillion and contained approximately 
74.7 billion component shares as of June 30, 2020. The Commission 
believes that the enormous market capitalization of NDX and the deep, 
liquid market for the underlying component securities significantly 
reduce concerns regarding market manipulation or disruption in the 
underlying market. Similar

[[Page 25922]]

reasoning would apply to options on the Volatility Index since the 
value of options on the Volatility Index is derived from the volatility 
of NDX, as implied by its options. Moreover, the Commission believes 
that having no position limits for the proposed Volatility Index 
options may benefit investors by bringing additional depth and 
liquidity to these Volatility Index options without raising significant 
concerns about potential manipulation or potential market disruption.
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    \17\ See Phlx Options 4A, Section 6, ``Position Limits,'' 
section (a)(ii).
    \18\ Phlx Options 4A, Section 10, ``Exercise Limits,'' provides 
``In determining compliance with Options 9, Section 15, exercise 
limits for index option contracts shall be equivalent to the 
position limits described in Options 4A, Section 6.''
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    The Commission believes that the proposed strike price intervals 
and minimum trading increments for options on the Volatility Index are 
appropriate and consistent with the Act. These aspects of the proposal 
will provide investors with added flexibility in the trading of these 
options and will further the public interest by allowing investors to 
establish positions that are better tailored to meet their investment 
objectives. In addition, the Exchange states it has the necessary 
system capacity to support additional quotations and messages that will 
result from the listing and trading of options on the Volatility Index.
    As a national securities exchange, the Exchange is required, under 
Section 6(b)(1) of the Act,\19\ to enforce compliance by its members 
and persons associated with its members with the provisions of the Act, 
Commission rules and regulations thereunder, and its own rules. In this 
regard, the Exchange states that trading of options on the Volatility 
Index will be subject to the same rules that currently govern the 
trading of other index options on the Exchange. The Commission believes 
that it is consistent with the Act to apply Exchange rules governing, 
among other things, margin requirements and trading halt procedures to 
the proposed Volatility Index options that are otherwise applicable to 
options on broad-based indexes.\20\ The Commission believes that the 
Exchange's rules governing the trading of the Volatility Index options 
on the Exchange help to ensure the maintenance of fair and orderly 
markets for the options on the Volatility Index, which is consistent 
with the protection of investors and the public interest. Therefore, 
the Commission finds that the Exchange's rules relating to trading of 
the options on the Volatility Index on the Exchange are designed to 
prevent fraudulent and manipulative acts and practices, to promote just 
and equitable principles of trade, to remove impediments to and perfect 
the mechanism of a free and open market and a national market system, 
and, in general, to protect investors and the public interest.
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    \19\ 15 U.S.C. 78f(b)(1).
    \20\ The Commission's approval of the listing and trading of the 
Volatility Index, which the Exchange proposes to treat as a broad-
based index for purposes of certain of its options rules, does not 
address or relate to whether or not the index is broad-based for any 
other purposes, including for purposes of the definition of 
``narrow-based security index'' in Section 3(a)(55)(B) of the Act 
and any related Commission orders.
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    Accordingly, 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 \21\ and the rules and regulations thereunder applicable to 
a national securities exchange.
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    \21\ 15 U.S.C. 78f(b)(5).
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IV. Solicitation of Comments on Amendment Nos. 1 and 2 to the Proposed 
Rule Change

    Interested persons are invited to submit written views, data, 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 rule-comments@sec.gov. Please include 
File Number SR-Phlx-2020-41 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-2020-41. 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-2020-41 and should be submitted on 
or before June 1, 2021.

V. Accelerated Approval of the 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 notice of the filing of Amendment 
Nos. 1 and 2 in the Federal Register. In Amendment No. 1, among other 
things,\22\ the Exchange modifies certain aspects of the proposal, 
including changes to the settlement methodology that incorporate 
additional pricing information, and commits to provide the Commission 
with annual settlement data for five years. In Amendment No. 2, the 
Exchange removes the word ``non-public'' from the description of the 
annual settlement data it will provide to the Commission.\23\ The 
changes to the proposal and additional information in Amendment Nos. 1 
and 2 assist the Commission in evaluating the Exchange's proposal and 
in determining that it is consistent with the Act. Accordingly, the 
Commission finds good cause, pursuant to Section 19(b)(2) of the 
Act,\24\ to approve the proposed rule change, as modified by Amendment 
Nos. 1 and 2, on an accelerated basis.
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    \22\ See supra note 9.
    \23\ See supra note 10.
    \24\ 15 U.S.C. 78s(b)(2).
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VI. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\25\ that the proposed rule change (SR-Phlx-2020-41), as modified 
by Amendment Nos. 1 and 2, be, and hereby is, approved on an 
accelerated basis.
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    \25\ Id.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\26\
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    \26\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-09889 Filed 5-10-21; 8:45 am]
BILLING CODE 8011-01-P