Voglio sapere a riguardo di…

12054

Federal Register / Vol. 86, No. 38 / Monday, March 1, 2021 / Notices
Exchange proposes to introduce the pricing on February 16, 2021.
The Exchange proposes to define AON CUBE Order as a Single-Leg CUBE Order of at least 500 contracts or a Complex CUBE Order of at least 500
contracts on the smallest leg, that is designated AON per Rule 971.1NY
Commentary .05 and Rule 971.2NY
Commentary .04, respectively. 6
Similarly, the Exchange proposes to define an AON Contra Order as principal interest or solicited interest an Initiating Participant is using to guarantee the execution of an AON
CUBE Order in a Single-Leg or Complex CUBE Auction. 7
Section I.G. of the Fee Schedule sets forth the rates for per contract fees and credits for executions associated with CUBE Auctions. The Exchange proposes to include an additional table of fees and credits under Section I.G. to apply to certain contracts executed in AON
CUBE Auctions, whether Single-Leg or Complex.8
The process for commencing an AON
CUBE auction mirrors that of non-AON
CUBE auctions. In particular, the AON
CUBE auction process begins with the entry of an AON CUBE Order and a paired AON Contra Order. As with nonAON CUBE auctions, the Exchange similarly proposes to not charge for AON CUBE Order executions on behalf of a Customer or for Customer executions against AON CUBE Orders i.e., Customer Request for Responses RFR to an AON CUBE Order. The Exchange proposes to charge $0.20 per contract for non-Customer executions of AON CUBE Orders and Customer and non-Customer AON Contra Orders alike.
As with non-AON CUBE Auctions, the Exchange proposes to charge executions of non-Customer RFR
Responses to an AON CUBE Auction $0.50 per contract in Penny issues and $1.05 per contract executed in nonPenny issues.
The Exchange proposes an Initiating Participant Credit for each contract in an AON Contra Order that does not trade with the AON CUBE Order because it is replaced in the auction, 2020 NYSEAMER202064 approving AON
functionality for Single-Leg CUBE auction; 91068
February 5, 2021, 86 FR 9112 February 11, 2021
NYSEAMER202106 approving AON
functionality for Complex CUBE auction.
6 See proposed Fee Schedule, Key Terms and Definitions. See generally Rules 971.1NY regarding Single-Leg CUBE auctions and 971.2NY regarding Complex CUBE auctions.
7 See proposed Fee Schedule, Key Terms and Definitions.
8 See proposed Fee Schedule, Section I.G., CUBE
Auction Fees & Credits setting forth applicable fees and credits for AON Single-Leg and AON Complex CUBE Auctions.

VerDate Sep<11>2014

18:48 Feb 26, 2021

Jkt 253001

including when the AON Contra Order is replaced entirely by RFR Responses.
As proposed, the Initiating Participant Credit for AON CUBE Orders would be $0.30 per contract in Penny issues and $0.70 per contract in non-Penny issues.
The Exchange also proposes an ACE
Initiating Participant Rebate payable to Initiating Participants that are ATP
Holders who qualify for Tiers 1, 2, 3, 4
or 5 of the ACE Program. The proposed $0.12 per contract rebate would be paid to a qualifying Initiating Participant in an AON Single-Leg CUBE Auction for each of the first 5,000 contracts of an AON CUBE Order executed and/or to a qualifying Initiating Participant in an AON Complex CUBE Auction for each of the first 1,000 contracts per leg of an AON CUBE Order executed.
The Exchange also proposes a Floor Broker Initiating Participant Rebate of $0.12 per contract payable to Floor Brokers that execute a minimum of 2,500 contracts average daily volume ADV in AON CUBE Orders in either an AON Single-Leg or AON Complex CUBE auction.9 As with the ACE
Initiating Participant Rebate, the Floor Broker Initiating Participant Rebate is paid to a qualifying Initiating Participant for each contract in an AON
CUBE Order and applies to each of the first 5,000 contracts of an AON CUBE
Order executed in an AON Single-Leg CUBE Auction, or to the first 1,000
contracts per leg of an AON CUBE Order in an AON Complex CUBE Auction.
The Exchanges fees are constrained by intermarket competition, as ATP
Holders may direct their order flow to any of the 16 options exchanges, including those with similar auction functionalities and corresponding fees.10 Thus, ATP Holders have a choice of where they direct their order flow, including electronic auction volume.
To the extent that the proposed fees and credits relating to the use of the AON CUBE auction functionality encourage ATP Holders to direct their 9 AON CUBE Orders executed by a Floor Broker on behalf of an ATP Holder may only be counted towards the Floor Brokers eligibility for the Floor Broker Initiating Participant Rebate. An ATP
Holders AON CUBE Orders that are executed by a Floor Broker are not eligible for the ACE Initiating Participant Rebate.
10 See, e.g., Nasdaq ISE LLC Nasdaq ISE, Options 7, Pricing Schedule, available here: https
listingcenter.nasdaq.com/rulebook/ise/rules/iseoptions-7 setting forth pricing for Solicited Order Mechanism and Complex Solicited Order Mechanism; Cboe EDGX Exchange, Inc. Cboe EDGX fee schedule, available here: https
www.cboe.com/us/options/membership/fee_
schedule/edgx/setting forth pricing for Solicitation Auction Mechanism SAM. See Statutory Basis below in The Proposed Rule Change is Reasonable section for discussion in greater detail, including infra notes 15 sic and 16.

PO 00000

Frm 00136

Fmt 4703

Sfmt 4703

order flow to the Exchange, all market participants stand to benefit from increased order flow, which promotes market depth, facilitates tighter spreads and enhances price discovery.
2. Statutory Basis The Exchange believes that the proposed rule change is consistent with Section 6b of the Act,11 in general, and furthers the objectives of Sections 6b4 and 5 of the Act,12 in particular, because it provides for the equitable allocation of reasonable dues, fees, and other charges among its members, issuers and other persons using its facilities and does not unfairly discriminate between customers, issuers, brokers or dealers.
The Proposed Rule Change Is Reasonable The Exchange operates in a highly competitive market. The Commission has repeatedly expressed its preference for competition over regulatory intervention in determining prices, products, and services in the securities markets. In Regulation NMS, the Commission highlighted the importance of market forces in determining prices and SRO revenues and, also, recognized that current regulation of the market system has been remarkably successful in promoting market competition in its broader forms that are most important to investors and listed companies. 13
There are currently 16 registered options exchanges competing for order flow. Based on publicly-available information, and excluding index-based options, no single exchange has more than 16% of the market share of executed volume of multiply-listed equity and ETF options trades.14
Therefore, currently no exchange possesses significant pricing power in the execution of multiply-listed equity and ETF options order flow. More specifically, in November 2020, the Exchange had less than 10% market share of executed volume of multiplylisted equity and ETF options trades.15
11 15

U.S.C. 78fb.
U.S.C. 78fb4 and 5.
13 See Securities Exchange Act Release No. 51808
June 9, 2005, 70 FR 37496, 37499 June 29, 2005
S71004 Reg NMS Adopting Release.
14 The OCC publishes options and futures volume in a variety of formats, including daily and monthly volume by exchange, available here: https
www.theocc.com/Market-Data/Market-DataReports/Volume-and-Open-Interest/MonthlyWeekly-Volume-Statistics.
15 Based on a compilation of OCC data for monthly volume of equity-based options and monthly volume of ETF-based options, see id., the Exchanges market share in multiply-listed equity and ETF options increased from 8.06% for the month of November 2019 to 9.09% for the month of November 2020.
12 15

E:FRFM01MRN1.SGM

01MRN1