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Federal Register / Vol. 86, No. 181 / Wednesday, September 22, 2021 / Notices
A. Self-Regulatory Organizations Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The Exchange recently adopted a new data product for options known as the Open-Close Report,3 which the Exchange made available for purchase to Exchange Members 4 and nonMembers on June 1, 2021.5 The OpenClose Report is described under Exchange Rule 531b1. The Exchange now proposes to provide historical Open-Close Report data for free by amending the fees for the Open-Close Report to: i Respond to ad hoc requests for end-of-day data free of charge; and ii provide mid-month subscribers data for the entire month in which they subscribe.
General By way of background, the Exchange offers two versions of the Open-Close Report, an end-of-day summary and intra-day report.6 The end-of-day version is a volume summary of trading activity on the Exchange at the option level by origin Priority Customer, NonPriority Customer, Firm, Broker-Dealer, and Market Maker 7, side of the market buy or sell, contract volume, and transaction type opening or closing.
The customer and professional customer volume is further broken down into trade size buckets less than 100
contracts, 100199 contracts, greater than 199 contracts. The Open-Close Data is proprietary Exchange trade data and does not include trade data from any other exchange. It is also a historical 3 See Securities Exchange Act Release No. 91963
May 21, 2021, 86 FR 28662 May 27, 2021 SR
EMERADL202118 sic Notice of Filing and Immediate Effectiveness of a Proposed Rule Change to Adopt a New Historical Market Data Product To Be Known as the Open-Close Report.
4 The term Member means an individual or organization that is registered with the Exchange pursuant to Chapter II of these Rules for purposes of trading on the Exchange as an Electronic Exchange Member or Market Maker. Members are deemed members under the Exchange Act.
See Exchange Rule 100.
5 See Securities Exchange Act Release No. 92138
June 9, 2021, 86 FR 31769 June 15, 2021 SR
EMERALD202120 Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Amend the MIAX Pearl sic Options Fee Schedule To Adopt Fees for the Open-Close Report.
6 The intraday Open-Close Report provides similar information to that of Open-Close Data but will be produced and updated every 10 minutes during the trading day. Data is captured in snapshots taken every 10 minutes throughout the trading day and is available to subscribers within five minutes of the conclusion of each 10-minute period.
7 See Exchange Rule 100.

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data product and not a real-time data feed.
Members and non-Members may purchase the Open-Close Report on a monthly basis. The Exchange currently assess a monthly fee of $600 per month for subscribing to the end-of-day summary Open-Close Report and $2,000
per month for subscribing to the intraday Open-Close Report. For mid-month subscriptions, new subscribers are currently charged for the full calendar month for which they subscribe and will be provided Open-Close Report data for each trading day of the calendar month from the day on which they subscribed.
End-of-Day Ad Hoc Request Historical Data The Exchange now proposes to provide Members and Non-Members who request on an ad hoc basis historical end-of-day Open-Close Report data free of charge.8 An ad hoc request may be for any number of months beginning with June 2021, the month in which the Exchange first made the Open-Close Report available. For example, as of the date of this filing, a market participant may request end-ofday Open-Close Report data for the month of June 2021 or July 2021, or may request such data for both June and July 2021 and would not be charged a fee for such requests. The Exchange notes that other exchanges that provide similar data products allow for ad hoc requests of their end-of-day data for a fee 9 and, like the Exchange proposes herein, allow for ad hoc requests back to a certain month.10
8 The Exchange does not propose to allow for ad hoc requests for intra-day Open-Close Report data.
9 See Price ListU.S. Derivatives Data for Nasdaq PHLX, LLC PHLX, The Nasdaq Stock Market, LLC Nasdaq, Nasdaq ISE, LLC ISE, and Nasdaq GEMX, LLC GEMX, available at http
www.nasdaqtrader.com/
Trader.aspx?id=DPPriceListOptionsweb.
Particularly, PHLX offers Nasdaq PHLX Options Trade Outline PHOTO and assesses $400 for historical end-of-day data; Nasdaq offers the Nasdaq Options Trade Outline NOTO and assesses $250 for historical end-of-day data; ISE
offers the Nasdaq ISE Open/Close Trade Profile and assesses $600 per month for historical end-ofday data and $27,500 for complete history; and GEMX offers the Nasdaq GEMX Open/Close Trade Profile and assesses $400 for historical end-of-day data.
Cboe EDGX Exchange, Inc. EDGX and Cboe BZX Exchange, Inc. BZX both assess $400 for historical end-of-day data per request per month.
See the EDGX fee schedule available at http
markets.cboe.com/us/options/membership/fee_
schedule/edgx/ and the BZX fee schedule available at http markets.cboe.com/us/options/
membership/fee_schedule/bzx/. Both EDGX and BZX allow for ad-hoc requests to be for any number of months beginning with January 2018 for which the data is available.
10 Both EDGX and BZX allow for ad-hoc requests to be for any number of months beginning with
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The Exchange also proposes to make the historical monthly data available fifteen 15 days after the end of the month for which it is requested. The Exchange proposes this delay because it is making historical end-of-day OpenClose Report data free of charge and seeks to not encourage subscribers to request historical end-of-day OpenClose Report data over a paid subscription.
Mid-Month Subscriptions The Exchange also proposes to amend the data range of Open-Close Report data it provides to mid-month subscribers. As noted above, the Exchange currently charges new midmonth subscribers for the full calendar month for which they subscribe, but only provides Open-Close Report data for each trading day of the calendar month from the day on which they subscribed. The Exchange now proposes to provide new mid-month subscribers data for each trading day of the calendar month prior to the day on which they subscribe. In other words, those that subscribe mid-month will be provided Open-Close Data retroactively for each trading day of the month in which they subscribed and prospectively for each trading day for the remainder of that calendar month pursuant to either the end-of-day or intra-day subscription they chose. This is identical to how the Exchange provides data to mid-month subscribers of the Exchanges Liquidity Taker Event report.11
Implementation Date The Exchange intends to provide historical Open-Close Report data for free pursuant this proposal immediately.
2. Statutory Basis The Exchange believes that the proposed rule change is consistent with Section 6b of the Act,12 in general, and furthers the objectives of Section 6b5
of the Act,13 in particular, in that it is designed to prevent fraudulent and manipulative acts and practices, to January 2018 for which the data is available. See the EDGX fee schedule available at http
markets.cboe.com/us/options/membership/fee_
schedule/edgx/ and the BZX fee schedule available at http markets.cboe.com/us/options/
membership/fee_schedule/bzx/.
11 See the Exchanges fee schedule available at https www.miaxoptions.com/sites/default/files/
fee_schedule-files/MIAX_Pearl_Options_Fee_
Schedule_08122021.pdf sic providing that new subscribers will be charged for the full calendar month for which they subscribe and will be provided Liquidity Taker Event Report data for each trading day of the calendar month prior to the day on which they subscribed..
12 15 U.S.C. 78fb.
13 15 U.S.C. 78fb5.

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