Document ID: SEC-2021-1328-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: NYSE Arca, Inc.
Posted Date: 2021-10-01T04:00Z

[Federal Register Volume 86, Number 188 (Friday, October 1, 2021)]
[Notices]
[Pages 54499-54502]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-21354]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-93132; File No. SR-NYSEArca-2021-82]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
and Immediate Effectiveness of Proposed Rule Change To Adopt a New 
Historical Market Data Product To Be Known as the NYSE Options Open-
Close Volume Summary

September 27, 2021.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby given 
that, on September 14, 2021, NYSE Arca, Inc. (``NYSE Arca'' or the 
``Exchange'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I and 
II below, which Items have been prepared by the 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\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to adopt a new historical market data product 
to be known as the NYSE Options Open-Close Volume Summary. Proposed 
rule change is available on the Exchange's website at www.nyse.com, at 
the principal office of the Exchange, and at the Commission's Public 
Reference Room.

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

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

[[Page 54500]]

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

1. Purpose
    The Exchange proposes to adopt a new historical market data product 
to be known as the NYSE Options Open-Close Volume Summary, which will 
be available to all subscribers. The proposed NYSE Options Open-Close 
Volume Summary is based on market data products currently available on 
most other options exchanges.\4\
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    \4\ See Securities Exchange Act Release Nos. 89497 (August 6, 
2020), 85 FR 48747 (August 12, 2020) (SR-CboeBZX-2020-059); 89498 
(August 6, 2020), 85 FR 48735 (August 12, 2020) (SR-Cboe-EDGX-2020-
36); 85817 (May 9, 2019), 84 FR 21863 (May 15, 2019) (SR-CBOE-2019-
026); 89496 (August 6, 2020), 85 FR 48743 (August 12, 2020) (SR-C2-
2020-010); 89586 (August 17, 2020), 85 FR 51833 (August 21, 2020) 
(SR-C2-2020-012); 62887 (September 10, 2010), 75 FR 57092 (September 
17, 2010) (SR-Phlx-2010-121); 65587 (October 18, 2011), 76 FR 65765 
(October 24, 2011) (SR-NASDAQ-2011-144); 61317 (January 8, 2010), 75 
FR 2915 (January 19, 2010) (SR-ISE-2009-103); 81632 (September 15, 
2017), 82 FR 44235 (September 21, 2017) (SR-GEMX-2017-42); 91963 
(May 21, 2021), 86 FR 28662 (May 27, 2021) (SR-EMERALD-2021-18); 
91964 (May 21, 2012), 86 FR 28667 (May 27, 2021) (SR-PEARL-2021-24); 
and 91965 (May 21, 2021), 86 FR 28665 (May 27, 2021) (SR-MIAX-2021-
18).
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    The Exchange proposes to offer the NYSE Options Open-Close Volume 
Summary, which will be a volume summary of trading activity on the 
Exchange at the option level by origin (Customer,\5\ Professional 
Customer,\6\ Firm,\7\ Broker-Dealer, and Market Maker \8\), side of the 
market (buy or sell), contract volume, and transaction type (opening or 
closing). The Customer, Professional Customer, Firm, Broker-Dealer, and 
Market Maker volume will be further broken down into trade size buckets 
(less than 100 contracts, 100-199 contracts, greater than 199 
contracts). The NYSE Options Open-Close Volume Summary is proprietary 
Exchange trade data and does not include trade data from any other 
exchange. It is also a historical data product and not a real-time data 
feed.
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    \5\ All defined terms are proposed to be defined in Rule 1.1 
once the Exchange transitions to the Pillar trading platform. See 
infra, note 11. For options traded on the Exchange, the term 
``Customer'' does not include a broker or dealer. See Rule 1.1, 
Definitions.
    \6\ For options traded on the Exchange, the term ``Professional 
Customer'' means an individual or organization that (i) is not a 
broker or dealer, as defined Sections 3(a)(4) and 3(a)(5) of the 
Exchange Act and rules thereunder, and (ii) places more than 390 
orders in listed options per day on average during a calendar month 
for its own beneficial account(s). See Rule 1.1, Definitions. See 
also discussion, supra, note 5.
    \7\ For options traded on the Exchange, the term ``Firm'' means 
a broker-dealer that is not registered as a dealer-specialist or 
market maker on a registered national securities exchange or 
association. See Rule 1.1, Definitions. See also discussion, supra, 
note 5.
    \8\ With respect to options traded on the Exchange, the term 
``Market Maker'' refers to an OTP Holder or OTP Firm that acts as a 
Market Maker pursuant to Rule 6.32-O. For purposes of the NYSE Arca 
rules, the term Market Maker includes Lead Market Makers, unless the 
context otherwise indicates. See Rule 1.1, Definitions. See also 
discussion, supra, note 5.
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    Specifically, the NYSE Options Open-Close Volume Summary would 
include the following data: Aggregate number of buy and sell 
transactions in the affected series; aggregate volume traded 
electronically on the Exchange in the affected series; aggregate number 
of trades effected on the Exchange to open a position; \9\ aggregate 
number of trades effected on the Exchange to close a position; \10\ and 
origin of the orders and quotes involved in trades on the Exchange in 
the affected series during a particular trading session, specifically 
aggregated in the following categories of participants: Customer, 
Professional Customer, Firm, Broker-Dealer, and Market Maker.
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    \9\ An opening buy is a transaction that creates or increases a 
long position and an opening sell is a transaction that creates or 
increases a short position.
    \10\ A closing buy is a transaction made to close out an 
existing position and a closing sell is a transaction to reduce or 
eliminate a long position.
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    The Exchange anticipates a wide variety of market participants to 
purchase the NYSE Options Open-Close Volume Summary, including, but not 
limited to, individual customers, buy-side investors, and investment 
banks. The NYSE Options Open-Close Volume Summary would provide 
subscribers data that should enhance their ability to analyze options 
trade and volume data, and to create and test trading models and 
analytical strategies. The Exchange believes that NYSE Options Open-
Close Volume Summary will be a valuable tool that subscribers can use 
to gain comprehensive insight into the trading activity in a particular 
options series. The NYSE Options Open-Close Volume Summary is a 
completely voluntary product, in that the Exchange is not required by 
any rule or regulation to make this data available and that potential 
subscribers may purchase it only if they voluntarily choose to do so.
    The Exchange proposes to offer two versions of the NYSE Options 
Open-Close Volume Summary: End of Day Volume Summary and Intra-Day 
Volume Summary. The End of Day Volume Summary will contain historical 
data from the previous trading day and would be available after the end 
of each trading day, generally on a T+1 basis. The Intra-Day Volume 
Summary would include ``snapshots'' taken every 10 minutes throughout 
the trading day and would be available within five minutes of the 
conclusion of each 10-minute period. Each update would represent 
combined data captured from the current ``snapshot'' and all previous 
``snapshots'' and thus would provide open-close data on an aggregate 
basis.
    The Exchange does not currently intend to charge any fees to 
subscribe to NYSE Options Open-Close Volume Summary. The Exchange will 
submit a proposed rule change to the Commission when it determines to 
charge fees associated with the receipt of NYSE Options Open-Close 
Volume Summary.
    The Exchange plans to introduce the NYSE Options Open-Close Volume 
Summary when the Exchange transitions to the Pillar trading platform, 
anticipated for the fourth quarter of 2021.\11\ The Exchange will 
announce the exact date that the NYSE Options Open-Close Volume Summary 
will become available through a NYSE Trader Update.
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    \11\ See Securities Exchange Act Release No. 92304 (June 30, 
2021), 86 FR 36440 (July 9, 2021) (SR-NYSE-Arca-2021-47) (Notice of 
Filing of Proposed Rule Change for New Rules 6.1P-O, 6.37AP-O, 
6.40P-O, 6.41P-O, 6.62P-O, 6.64P-O, 6.76P-O, and 6.76AP-O and 
Amendments to Rules 1.1, 6.1-O, 6.1A-O, 6.37-O, 6.65A-O and 6.96-O).
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2. Statutory Basis
    The proposed rule change is consistent with Section 6(b) \12\ of 
the Act, in general, and furthers the objectives of Section 6(b)(5) 
\13\ of the Act, in particular, in that it is designed to prevent 
fraudulent and manipulative acts and practices, to promote just and 
equitable principles of trade, to foster cooperation and coordination 
with persons engaged in facilitating transactions in securities, to 
remove impediments to and perfect the mechanism of a free and open 
market and a national market system and, in general, to protect 
investors and the public interest, and it is not designed to permit 
unfair discrimination among customers, brokers, or dealers.
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    \12\ 15 U.S.C. 78f(b).
    \13\ 15 U.S.C. 78f(b)(5).
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    In adopting Regulation NMS, the Commission granted self-regulatory 
organizations and broker-dealers increased authority and flexibility to 
offer new and unique market data to consumers of such data. It was 
believed that this authority would expand the amount of data available 
to users and consumers of such data and also spur innovation and 
competition for the provision of market data. The Exchange believes 
that the NYSE Options Open-Close Volume Summary options data

[[Page 54501]]

product proposed herein is precisely the sort of market data product 
evolutions that the Commission envisioned when it adopted Regulation 
NMS. The proposed rule change would benefit investors by providing 
access to the NYSE Options Open-Close Volume Summary, which contains 
information regarding opening and closing activity across different 
options series during the trading day that would provide investor 
sentiment and thereby allow market participants to make informed 
trading decisions throughout the day. Subscribers to the data may also 
be able to enhance their ability to analyze options trade and volume 
data and create and test trading models and analytical strategies. The 
Exchange believes the NYSE Options Open-Close Volume Summary would 
provide a valuable tool that subscribers can use to gain comprehensive 
insight into the trading activity in a particular series, but also 
emphasizes such data is not necessary for trading.
    Moreover, other exchanges also offer a substantially identical data 
product.\14\ Specifically, NASDAQ OMX PHLX (``PHLX'') and the NASDAQ 
Stock Market LLC (``NASDAQ'') offer the PHLX Options Trade Outline 
(``PHOTO'') and NASDAQ Options Trade Outline (``NOTO''), respectively. 
The Cboe Exchange, Inc. (``Cboe''), Cboe C2 Exchange, Inc. (``C2''), 
Cboe BZX Exchange, Inc. (``BZX''), Cboe EDGX Exchange, Inc. (``EDGX'') 
all offer the market data products called the End of Day and Intraday 
Open-Close Data. Additionally, Miami International Securities Exchange, 
LLC (``MIAX''), MIAX Emerald, LLC (``Emerald'') and MIAX PEARL, LLC 
(``PEARL'') all offer an End of Day Open-Close Report and an Intra-Day 
Open-Close Report. The Phlx, Nasdaq, Cboe, C2, BZX, EDGX, MIAX, Emerald 
and PEARL products provide substantially the same information as that 
included in the proposed NYSE Options Open-Close Volume Summary. Like 
the proposed product, the data is provided to subscribers in the other 
exchange's market data products after the end of the trading day and 
cumulatively every 10 minutes and provided within five minutes of the 
conclusion of each 10-minute period.
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    \14\ See supra note 4.
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B. Self-Regulatory Organization's Statement on Burden on Competition

    In accordance with Section 6(b)(8) of the Act,\15\ 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. Rather, the Exchange believes that the 
proposal will promote competition by permitting the Exchange to offer a 
data product similar to those offered by other competitor options 
exchanges.\16\ The market for proprietary data products is currently 
competitive and inherently contestable because there is fierce 
competition for the inputs necessary to the creation of proprietary 
data. Numerous exchanges compete with each other for listings, trades, 
and market data itself, providing virtually limitless opportunities for 
entrepreneurs who wish to produce and distribute their own market data. 
The proposed introduction of the NYSE Options Open-Close Volume Summary 
is the Exchange's response to the many competing products available in 
the marketplace today. The Exchange believes the proposed rule change 
would contribute to the robust competition among national securities 
exchanges.
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    \15\ 15 U.S.C. 78f(b)(8).
    \16\ See supra note 4.
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C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    No written comments were solicited or received with respect to the 
proposed rule change.

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

    Because the foregoing proposed rule change does not: (i) 
Significantly affect the protection of investors or the public 
interest; (ii) Impose any significant burden on competition; and (iii) 
become operative for 30 days from the date on which it was filed, or 
such shorter time as the Commission may designate, it has become 
effective pursuant to Section 19(b)(3)(A) of the Act \17\ and Rule 19b-
4(f)(6) thereunder.\18\
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    \17\ 15 U.S.C. 78s(b)(3)(A).
    \18\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii) 
requires a self-regulatory organization to give the Commission 
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 of the proposed 
rule change, or such shorter time as designated by the Commission. 
The Exchange has satisfied this requirement.
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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 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 to 
determine whether the proposed rule change should be approved or 
disapproved.

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-NYSEArca-2021-82 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-NYSEArca-2021-82. This 
file number should be included on the subject line if email is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549 on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of the filing also will be available for inspection 
and copying at the principal office of the Exchange. All comments 
received will be posted without change. Persons submitting comments are 
cautioned that we do not redact or edit personal identifying 
information from comment submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-NYSEArca-2021-82 and should be submitted 
on or before October 22, 2021.

[[Page 54502]]

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\19\
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    \19\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-21354 Filed 9-30-21; 8:45 am]
BILLING CODE 8011-01-P