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Federal Register / Vol. 86, No. 41 / Thursday, March 4, 2021 / Notices CBOE: 0.75. 2.25 next best exchange quote Solicitation order is entered to buy 500
contracts @ 2.05

The Solicitation order is rejected upon entry for being crossed with the NBBO
on the contra side. In contrast to Example 2 above for Facilitation, the Solicitation order in this instance is not able to begin crossed with the contra side ISE BBO because of the all-or-none contingency of the Solicitation order.32
In renumbered subsection d2, the Exchange proposes to add language to describe the content of the broadcast message sent to Members upon entry of an order into simple Solicitation. In particular, the Exchange proposes to specify that the broadcast message includes the series, price and size of the Agency Order, and whether it is to buy or sell. While this change reflects current functionality, the existing rule is silent in this regard and only indicates that a broadcast message is sent upon the orders entry into the mechanism.
Identical language already exists in the rules governing simple Solicitation on GEMX and MRX, which operate in the same way as the ISEs simple Solicitation.33
Lastly, the Exchange also proposes technical changes in renumbered subsection d3 to correct the internal lettering and cross-cites within paragraphs A through C.

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Price Improvement Mechanism The Exchange proposes a number of changes to the PIM rule, none of which will change the current operation of this technology offering. As noted above, many of these modifications are similar to the changes proposed for Facilitation.
The Exchange proposes in Options 3, Section 13b2 to delete national best bid or offer as NBBO is already defined in subsection b1 above. The Exchange proposes in subsection c2
to provide that responses in the PIM
i.e., Improvement Orders will only be considered up to the size of the Agency Order. The proposed amendment will specifythat the System will cap the size of the Improvement Orders to the auction size for purposes of the allocation methodology. This is similar to the change proposed above for simple Facilitation, and also aligns to identical language in the complex PIM
rule.34 The Exchange also proposes in subsection c3 to amend the internal numbering from 1 and 2 to i and ii 32 See Options 3, Section 11d requiring that each Solicitation order be designated as all-ornone.
33 See GEMX and MRX Options 3, Section 11d1.
34 See Options 3, Section 13e4i.

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for greater numbering consistency within the PIM rule.
In subsection d3, which describes how allocation and execution takes place in simple PIM, the Exchange proposes that the Counter-Side Order will be allocated the greater of one contract or 40% or such lower percentage requested by the Member of the initial size of the Agency Order.
Similar to Facilitation as discussed above, the System currently permits Members entering orders into PIM to elect to receive a percentage allocation that is less than 40%, although the current rule is silent in this regard. If the Member requests a lower allocation percentage, the Counter-Side Order would receive an allocation consistent with the percentage requested by the Member. Regardless of the Members request, the Counter-Side Order would still be responsible for executing up to the full size of the agency order if there is not enough interest to execute the agency order at a particular price.
Complex PIM, which shares the same allocation feature as simple PIM, already has this concept within the rule, so the proposed changes will align the simple PIM rule with the complex PIM
rule.35
The Exchange also proposes to more accurately describe PIMs auto-match functionality in a similar manner as Facilitations auto-match functionality, as discussed above. In this instance, the Exchange proposes to amend the third sentence of subsection d3 to provide:
If a Member elects to auto-match, the Counter-Side Order will be allocated the aggregate size of all competing quotes, orders, and Responses at each price point up to the specified limit price if a limit is specified, until a price point is reached where the balance of the order can be fully executed. Similar to the proposed amendments to simple Facilitations auto-match, the Exchange believes that the proposed language for simple PIMs auto-match more clearly explains how the functionality works today, and better aligns with how this feature is described in the Auto-Match Filing. For greater consistency within its Rulebook, the Exchange will also make the same changes in the complex PIM
auto-match rule in Options 3, Section 13e5iii.
The Exchange further proposes technical amendments in subsection d3 to replace all instances of Counter-Side order as Counter-Side Order to use the correct terminology.
Lastly, the Exchange proposes to 35 See Options 3, Section 13e5iii. As noted above, BX has a similar feature called Surrender for its PRISM auction. See supra note 24.

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provide in Supplementary Material .04
to Options 3, Section 13 that PIMs will not queue or overlap in any manner, except as described in Options 3, Section 11f and g. Sections 11f and g set forth the governing provisions for concurrent complex auctions and concurrent complex and simple auctions. The proposed changes to add in the cross-cites to Sections 11f and g will make clear that two simple or two complex PIM auctions are not permitted to run concurrently, but that a simple PIM auction may run concurrently with a complex PIM
auction.
Trade Value Allowance The Exchange proposes a nonsubstantive change to amend the TVA
rule in Supplementary Material .03 to Options 3, Section 14 to add a cross-cite to the complex PIM rule in Options 3, Section 13, which was inadvertently omitted when the Exchange relocated the complex auctions rules in a prior filing.36 In SRISE201905, the original cross-cite within the TVA rule was updated from Supplementary Material .08 to Rule 722 to Rule 716
now Options 3, Section 11.
Supplementary Material .08 to Rule 722
set forth the complex auction mechanism rules, namely complex Facilitation, Solicitation, and PIM. SR
ISE201905 relocated complex Facilitation and Solicitation to Rule 716
now Options 3, Section 11, but moved complex PIM to Rule 723 now Options 3, Section 13. As such, the original cross-cite in the TVA rule should have been updated to include complex PIM
in Rule 723 but was inadvertently omitted.
TVA is a functionality that allows complex orders to trade outside of their expected notional trade amount by a specified amount. The amount of TVA
permitted may be determined by the Member, or a default value determined by the Exchange and announced to Members.37 The TVA rule currently provides, however, that any amount of TVA is permitted in auction mechanisms pursuant to Options 3, Section 11 when auction orders do not trade solely with their contra-side order.
The Exchange now proposes to add a cross-cite to Options 3, Section 13 to specify that TVA also applies to complex PIM auctions in this manner.
The Exchange will also provide that TVA applies to complex mechanisms in the cited rules. These changes will 36 See Securities Exchange Release No. 85308
March 13, 2019, 84 FR 10136 March 19, 2019
SRISE201905.
37 See Supplementary Material .03 to Options 3, Section 14.

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