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Federal Register / Vol. 86, No. 26 / Wednesday, February 10, 2021 / Notices Quote. AIQ is unnecessary during an Opening Process due to the high level of control that Market Makers exercise over their quotes during this process.
This clarifying rule text reflects current System functionality.
The Exchange also proposes to amend Options 3, Section 15 to note that with Automated Quotation Adjustments all interest entered through SQF will be automatically removed. As provided for within Options 3, Section 7aiB, Specialized Quote Feed or SQF is an interface that allows Lead Market Makers, Streaming Quote Traders SQTs and Remote Streaming Quote Traders RSQTs to connect, send, and receive messages related to quotes, Immediate-or-Cancel Orders, and auction responses into and from the Exchange. Features include the following:
1 Options symbol directory messages e.g., underlying and complex instruments; 2
system event messages e.g., start of trading hours messages and start of opening; 3
trading action messages e.g., halts and resumes; 4 execution messages; 5 quote messages; 6 Immediate-or-Cancel Order messages; 7 risk protection triggers and purge notifications; 8 opening imbalance messages; 9 auction notifications; and 10
auction responses. The SQF Purge Interface only receives and notifies of purge request from the Lead Market Maker, SQT or RSQT.
Lead Market Makers, SQTs and RSQTs may only enter interest into SQF in their assigned options series.

Today, Quotes and Immediate-orCancel Orders that may be entered through SQF are removed when the Automated Quotation Adjustment risk mechanism is triggered. The current rule text only considers quotes entered through SQF. The amendment will update the rule text to represent current System functionality, and will bring greater clarity to Automated Quotation removals. Market Makers and Lead Market Makers utilize the Immediate-orCancel Orders within SQF to respond to auctions. The auction response requires the same protection afforded by the Automation Quotation Adjustments which it affords the underlying option in which the Market Maker or Lead Market Maker is quoting continuously among its assigned options classes. The Automation Quotation Adjustments protection removes both quotes and Immediate-or-Cancel Orders submitted through SQF because Market Maker and Lead Market Maker risk applies to all interest in the underlying option in which the Market Maker or Lead Marker Maker is assigned to quote in throughout the trading day. Market Makers and Lead Marker Makers measure risk per underlying option. The System functionality for the Automated Quotation Adjustment is not being amended.

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Options 3, Section 23
The Exchange proposes to amend Options 3, Section 23a2 which describes the PHLX Orders data feed.
The proposed amendments represent the current information contained in the PHLX Orders feed. The proposed amendments are intended to better represent the information in the feed by adding more description to the current rule text.
The Exchange proposes to note in the first sentence of Options 3, Section 23a2 that PHLX Orders is a real-time full Limit Order book data feed that provides pricing information for orders on the PHLX Order book for displayed order types and All-or-None Orders,17 as well as market participant capacity.
All-or-None Orders are non-displayed and non-routable. They are executed in price-time priority among all Public Customer Orders if the size contingency can be met. All-or-None Orders have a quantity contingency requiring the full quantity of the order to execute in order for any trade to take place which may cause the order to not execute. If an Allor-None Order contingency cannot be met, the All-or-None Order would be bypassed until such time as the contingency could be met.18 The Exchange is proposing to amend the rule text within Options 3, Section 7b5 which describes All-or-None Orders to add more clarity about the dissemination of All-or-None Orders and the manner in which the System will bypass those orders if the contingency cannot be met.19
The PHLX Orders data feed displays all orders on the Phlx Order Book with original information, this is in contrast to the Top of PHLX Options 20 feed, which is not being amended by this 17 See
note 14 above.
3, Section 7b5i provides, NonDisplayed Contingency Orders. A Non-Displayed Contingency Order shall be defined to include the following non-displayed order types: 1 Stop Orders; and 2 All-or-None Orders. Unlike All-orNone Orders, Stop Orders are not available for execution until such time as the Stop Orders contingency has been met, therefore, Stop Orders are not displayed on data feeds or OPRA until the Stop Order is available for execution.
19 See proposed Options 3, Section 7b5.
20 Top of PHLX Options TOPO is a direct data feed product that includes the Exchanges best bid and offer price, with aggregate size, based on displayable order and quoting interest on Phlx and last sale information for trades executed on Phlx.
The data contained in the TOPO data feed is identical to the data simultaneously sent to the processor for the OPRA and subscribers of the data feed. The data provided for each options series includes the symbols series and underlying security, put or call indicator, expiration date, the strike price of the series, and whether the option series is available for trading on Phlx and identifies if the series is available for closing transactions only. See Options 3, Section 23a1.
18 Options
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proposal, that only provides information as to the displayed Order Book. The Exchange does not disseminate All-orNone Orders to either the Top of PHLX
Options feed or the OPRA data feed because All-or-None Orders may only execute if the contingency can be met, otherwise the System would bypass the All-or-None Order. As such, All-orNone Orders are non-displayed to avoid locking or crossing away markets by displaying this order type which may not execute because of the contingency attributed to the order pursuant to the Options Order Protection and Locked/
Crossed Plan.21 The Exchange does display All-Or-None Orders on the PHLX Orders data feed to inform market participants of orders that are available for execution. Public Customers submitting All-or-None Orders on Phlx desire their orders to be executed and the display of those orders on the PHLX
Orders data feed allows other member organizations to see their orders are available to execute against those orders.
Similar to Phlx, Cboe permits all-ornone orders to rest in its order book and does not disseminate all-or-none orders to OPRA.22 Similar to Phlx, Cboe displays all-or-none orders on its Orders and Depth of Book feed.23
The Exchange proposes to remove the second use of the word Limit, as it is redundant. The additional text makes clear that both displayed and nondisplayed orders types and market participant capacity are available.
21 17 CFR 242.608. The NBBO is the best Protected Bid and Protected Offer as defined in the Options Order Protection and Locked/Crossed Markets Plan; Protected Bids and Protected Offers that are displayed at a price but available on the Exchange at a better non-displayed price shall be included in the NBBO at their better non-displayed price for purposes of this rule. See Reg. NMS Rule 600a42. Options 5, Section 1o defines a Protected Bid or Protected Offer as a Bid or Offer in an options series, respectively, that: i Is disseminated pursuant to the OPRA Plan; and ii is the Best Bid or Best Offer, respectively, displayed by an Eligible Exchange.
22 Cboe Rule 5.6b provides, . . . An All-orNone or AON order is an order to be executed in its entirety or not at all. An AON order may be a market or limit order. Users may not designate an AON order as All Sessions. 1 The Exchange does not disseminate bids or offers of AON orders to OPRA. 2 A User may not designate an AON order as Post Only. 3 An AON limit order is always subject to the Price Adjust process as set forth in Rule 5.32. 4 A User may apply MCN as defined below, but no other MTP Modifier if a User applies any other MTP Modifier to an AON order, the System handles it as an MCN, to an AON order.
5 The Exchange may restrict the entry of AON
orders in a series or class if the Exchange deems it necessary or appropriate to maintain a fair and orderly market. 6 A User may not designate a bulk message as AON.
23 See Section 4.5 of this specification: https
cdn.cboe.com/resources/membership/US_
EQUITIES_OPTIONS_MULTICAST_PITCH_
SPECIFICATION.pdf.

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