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Federal Register / Vol. 86, No. 129 / Friday, July 9, 2021 / Notices
Quotation; an IOC ISO would never be displayed and therefore this existing exception would not be applicable to such orders.
Day ISO ALO. Proposed Rule 6.62POe3C would define a Day ISO ALO as a Day ISO with an ALO
modifier. This proposed order type is based in part on the Day ISO ALO
currently available on the Exchanges cash equity market, as described in Rule 7.31Ee3D, but with differences to reflect how the order type would function on the Exchanges options market, as described above. As proposed, on arrival, a Day ISO ALO to buy sell may lock or cross Away Market Protected Quotations at the time of arrival of the Day ISO ALO but would not remove liquidity from the Consolidated Book. A Day ISO ALO to buy sell can be designated to be cancelled if it would be displayed at a price other than its limit price. Proposed Rule 6.62POe3Ci would provide that if not designated to cancel, a Day ISO ALO that would lock or cross orders and quotes on the Consolidated Book would be repriced as specified in proposed Rule 6.62POe2B.
Proposed Rule 6.62POe3Cii would provide that once resting, a DAY
ISO ALO would be processed as an ALO
Order as specified in proposed Rule 6.62POe2CG.
Complex Orders. Complex Orders are defined in Rule 6.62Oe. The Exchange proposes to define Complex Orders for Pillar in proposed Rule 6.62POf based on Rule 6.62Oe and its sub-paragraphs 1 and 2 without any substantive differences. The Exchange proposes to add clarifying text that the different options series in a Complex Order are also referred to as the legs or components of the Complex Order. The Exchange also proposes that proposed Rule 6.62POf would provide that a Complex Order would be any order involving the simultaneous purchase and/or sale of two or more options series in the same underlying security, and not use the modifier different before the phrase more option series. The Exchange believes that the word different is redundant and unnecessary in this context. In addition, proposed Rule 6.62POf1 and 2 would not reference mini-options contracts, which no longer trade on the Exchange.
Cross Orders. Currently, the only electronically-entered cross orders available on the Exchange are Qualified Contingent Cross Orders, which are defined in Rule 6.62Obb and Commentary .02 to Rule 6.62O. In addition, Rule 6.90O describes how Qualified Contingent Cross Orders are
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processed. The Exchange proposes to define the term Cross Orders on Pillar in proposed Rule 6.62POg. At this time, the only Cross Orders that would be available on Pillar for electronic entry would be Qualified Contingent Cross QCC Orders. As proposed, QCC Orders on Pillar would function identically to how Qualified Contingent Cross Orders function on the OX
system, and for purposes of the rules governing trading on Pillar, the Exchange proposes to merge language from two rules relating to QCC Orders into a single rule, proposed Rule 6.62P
Og, using Pillar terminology. Proposed Rule 6.62POg and g1 would describe rules generally applicable to electronically-entered Cross Orders, including QCC Orders, and proposed Rule 6.62POg2 would address requirements specific to QCC Cross Orders.
Proposed Rule 6.62POg would provide that Cross Orders would be two-sided order messages with instructions to match the identified buyside with the identified sell-side at a specified price, which could either be designated as a limit price or at the market cross price.41 The proposed rule would further provide that a Cross Order that is not rejected per proposed Rule 6.62POg1 would immediately trade in full at its cross price, would not route, and may be entered with an MPV
of $0.01 regardless of the MPV of the options series and that Cross Orders may be entered by Floor Brokers from the Trading Floor or routed to the Exchange from off-Floor.
Proposed Rule 6.62POg1 would provide that a Cross Order would be rejected if received when the NBBO is crossed or if it would be traded at a cross price that i is at the same price as a displayed Customer order on the Consolidated Book and ii is not at or between the NBBO. This proposed rule is based on Rule 6.90O without any differences.
Proposed Rule 6.62POg1 would further set forth how a Cross Order designated to trade at the market would be priced. As proposed, a Cross Order with a cross price at the market would execute at the midpoint of the NBBO;
provided that:
If there is no NBB, a zero bid would be used proposed Rule 6.62P
Og1A;
if there is displayed Customer interest priced equal to the NBB, NBO
or both, the midpoint would be based 41 The Exchange does not currently offer Cross Orders on its cash equity market. This proposed rule text uses Pillar terminology that is based in part on NYSE Chicago Rule 7.31g.

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on the BBO improved by $0.01 for the sides containing displayed Customer interest proposed Rule 6.62P
Og1B;
if there is no NBO, such order would be rejected proposed Rule 6.62POg1C; or if the midpoint of the NBBO is in sub-pennies, the order would trade at the midpoint of the NBBO rounded down to the MPV for the series proposed Rule 6.62POg1D.
This proposed rule text is designed to promote clarity and transparency in Exchange rules regarding how a Cross Order at the market would execute in circumstances when there is no NBB or NBO or there is displayed Customer interest equal to the NBBO.
Proposed Rule 6.62POg2 would define QCC Orders, which would be the only Cross Orders available on Pillar at this time. As proposed, a QCC Order must be comprised of an originating order to buy or sell at least 1,000
contracts that is identified as being part of a qualified contingent trade coupled with a contra-side order or orders totaling an equal number of contracts.
This proposed rule text is based on Rule 6.62Obb with a non-substantive difference that the Pillar rule would not reference mini-options contracts, which no longer trade on the Exchange.
Proposed Rule 6.62POg2A and subparagraphs ivi would define a qualified contingent trade and is based on Commentary .02 and subparagraphs af to Rule 6.62O
without any substantive differences.
Proposed Rule 6.62POg2B
would specify rules governing QCC
Orders entered from the Trading Floor, which can be entered only by Floor Brokers, and is based on Commentary .01 to Rule 6.90O. The proposed rule would provide that while on the Trading Floor, only Floor Brokers can enter QCC Orders and that Floor Brokers may not enter QCC Orders for their own account, the account of an associated person, or an account with respect to which it or an associated person thereof exercises investment discretion each a prohibited account. As further proposed, when executing such orders, Floor Brokers would not be subject to Rule 6.47O regarding Crossing orders. Floor Brokers must maintain books and records demonstrating that each QCC Order entered from the Floor was not entered for a prohibited account. Any QCC Order entered from the Floor that does not have a corresponding record required by this paragraph will be deemed to have been entered for a prohibited account in violation of this Rule.

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