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Federal Register / Vol. 86, No. 129 / Friday, July 9, 2021 / Notices
update the price and size of the Rotational Quote and a Rotational Quote can be locked or crossed. The Exchange further proposes that if there are no Market Maker quotes, the Rotational Quote would be published with a zero price and size. The Exchange notes that it currently publishes a rotational quote when it is in the process of opening or reopening a series, i.e., a quote that is comprised only of Market Maker quotes and does not include orders. The Exchange proposes a difference on Pillar because currently, if the Market Maker Quotes are crossed, the Exchange flips the bid and offer prices. In Pillar, the Exchange would publish a Rotational Quote with the actual bid and offer prices, even if crossed.
Auction Ranking. Proposed Rule 6.64POb would describe the ranking for Auctions and would provide that orders and quotes on the side of the Imbalance are not guaranteed to participate in the Auction and would be ranked in price-time priority under proposed Rule 6.76PO consistent with the priority ranking associated with each order or quote, provided that: 1
Limit Orders, quotes, and LOO Orders would be ranked based on their limit price and not the price at which they would participate in the Auction; 2
MOO Orders would be ranked Priority 1Market Orders; 3 LOO Orders would be ranked Priority 2Display Orders; and 4 IO Orders would be ranked based on time among IO Orders, subject to eligibility to participate at the Indicative Match Price based on their limit price.
This proposed rule is based on current Rule 6.62ObB, which provides that orders and quotes in the system will be matched up with one another based on price-time priority.
The Exchange proposes a difference in Pillar that orders in the same priority category as quotes would not have priority over Market Maker quotes at the same price, which is current functionality.51 Instead, orders and Market Marker quotes in the same priority category would be ranked based on time, consistent with proposed Rule 6.76PO. Because the Exchange proposes that orders and quotes in an options Auction would be processed in the same manner as on its cash equity platform, including that orders on the side of the Imbalance would not be guaranteed to participate in an Auction, the remaining rule text is based in part on Rule 7.35Ea6AD, with 51 Current Rule 6.64ObB provides that orders will have priority over Market Maker quotes at the same price.

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differences to reflect options trading and to be clear that IO Orders would be ranked on working time among IO
Orders, subject to such orders eligibility to participate at the Indicative Match Price based on their limit price.52
Auction Imbalance Information.
Proposed Rule 6.64POc would provide that Auction Imbalance Information would be updated at least every second until the Auction is conducted, unless there is no change to the information and that the Exchange would begin disseminating Auction Imbalance Information at the following times: 1 Core Open Auction Imbalance Information would begin at 8:00 a.m.
Eastern Time; and 2 Trading Halt Auction Imbalance Information would begin at the beginning of the trading halt. Because the Exchange proposes to disseminate Auction Imbalance Information for its options market in the same manner that such information is disseminated for its cash equity market, this proposed rule text is based in part on Rule 7.35Ea4A and C.
Auction Process. Proposed Rule 6.64POd would set forth the Exchanges proposed Auction Process on Pillar. Similar to current functionality, a series would not be opened or reopened for trading if there is no Legal Width Quote. The Exchange proposes to add on Pillar that a series should also have Market Maker quotes and the Exchange proposes to provide time for this requirement to be established, and if not established within those time frames, providing for a mechanism to open or reopen a series even if there are no Market Maker quotes.
Proposed Rule 6.64POd1 would concern the Rotational Quote and would provide that when the Exchange receives the Auction Trigger for a series, the Exchange would send a Rotational Quote to both OPRA and proprietary data feeds indicating that the Exchange is in the process of transitioning from a pre-open state to continuous trading for that series.
Proposed Rule 6.64POd2 would provide that once a Rotational Quote has been sent, the Exchange would conduct an Auction when there is both a Legal Width Quote and, if applicable, Market Maker quote with a non-zero offer in the series subject to the Opening MMQ Time Parameter requirements specified in proposed Rule 6.64POd3. The proposed rule would further provide that the Exchange would wait a minimum of two milliseconds after the Rotational Quote 52 See discussion supra, regarding proposed Rule 6.62POc3 and how IO Orders would function.

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has been sent before an Auction can be conducted. This proposed rule text is designed to provide transparency and determinism in Exchange rules of the earliest potential time that a series could be opened after the Exchange receives an Auction Trigger, and subject to the series meeting all other requirements for opening or reopening.
Proposed Rule 6.64POd2A
would provide that if there is Matched Volume that can trade at or within the Auction Collars, the Auction would result in a trade at the Indicative Match Price. Proposed Rule 6.64POd2B
would provide that if there is no Matched Volume that can trade at or within the Auction Collars, the Exchange would transition to continuous trading as described in proposed Rule 6.64POf below and the Auction would result in a quote. This proposed rule text is designed to provide transparency of when an Auction would result in a trade or a quote.
Proposed Rule 6.64POd3 would specify the Opening MMQ Time Parameter. As proposed, once the Auction Process begins, the Exchange would begin a one-minute timer for the Market Makers assigned to a series to submit a quote with a non-zero offer.
This one-minute timer would be the Opening MMQ Time Parameter. The Opening MMQ Time Parameter is designed to provide the Market Makers assigned to a series an opportunity to submit a quote, and provide transparency in Exchange rules of the circumstances of when the Exchange would open a series for trading if the assigned Market Makers does not submit a quote within the specified time periods, as follows:
Proposed Rule 6.64POd3A
would provide that if there are no Market Makers assigned to a series, the Exchange would conduct an Auction in that series based on only a Legal Width Quote, without waiting for the Opening MMQ Time Parameter to end.
Proposed Rule 6.64POd3B
would provide that if there is only one Market Maker assigned to a series:
The Exchange would conduct the Auction, without waiting for the Opening MMQ Time Parameter to end, as soon as there is both a Legal Width Quote and the assigned Market Maker has submitted a quote with a non-zero offer proposed Rule 6.64P
Od3Bi.
If the Market Maker has not submitted a quote with a non-zero offer by the end of the Opening MMQ Time Parameter and there is a Legal Width Quote, the Exchange would conduct the
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