Voglio sapere a riguardo di…

jbell on DSKJLSW7X2PROD with NOTICES2

Federal Register / Vol. 86, No. 129 / Friday, July 9, 2021 / Notices calculated in current Rule 6.60Oc2
for orders, with two differences. First, the proposed Intrinsic Value Checks would also apply to quotes. Second, the Intrinsic Value of an option would be based on the last sale on the Primary Market rather than on the Consolidated Last Sale.
Proposed Rule 6.41POc3 would provide that ISOs to sell would not be subject to the Intrinsic Value Check, which carve out is substantively identical to current Rule 6.60Oc2.
Proposed Rule 6.41POc4 would describe the application of the Intrinsic Value Checks to puts and calls to sell.
Proposed Rule 6.41POc4A
would provide that orders or quotes to sell for both puts and calls would be rejected or canceled if resting if the price of the order or quote is equal to or lower than its Intrinsic Value, minus a threshold percentage to be determined by the Exchange and announced by Trader Update.
Proposed Rule 6.41POc4B
would provide that the Exchangedetermined threshold percentage per paragraph c4A would be based on the NBB, provided that, immediately following an Auction, it would be based on the Auction Price, or, if none, the lower Auction Collar price, or, if none, the NBB. This proposed threshold percentage is similar to how the Reference Price would be determined for Trading Collars, as described above pursuant to proposed Rule 6.62P
Oa3. As further proposed, Rule 6.41POc4B would provide that for purposes of determining the Intrinsic Value, the Exchange would not use an adjusted NBBO. The Exchange further proposes that the Intrinsic Value Check for sell orders and quotes would not be applied if the Intrinsic Value cannot be calculated.
Proposed Rule 6.41POc4AB is substantially similar to current Rule 6.60Oa2A, which sets forth the Intrinsic Value for orders, except that the proposed rule would also apply to quotes and provides additional detail regarding how the threshold percentage for determining the Intrinsic Value would be applied depending on when such sell order or quote arrives and the potential reference prices available to calculate this Price Reasonability Check.
Proposed Rule 6.41POd would provide the Automated Breach Action to be applied when a Market Makers order or quote fails one of the Price Reasonability Checks. As proposed, if a Market Makers order or quote message is rejected or cancelled if resting pursuant to proposed paragraph b Arbitrage Checks or c Intrinsic Value Checks of proposed Rule 6.41PO, the
VerDate Sep<11>2014

20:01 Jul 08, 2021

Jkt 253001

Exchange would Cancel and Block orders and quotes in the affected class of options as described in Rule 6.40P
Oc2Ciii as described above in section Proposed Rule 6.40PO.
Proposed Rule 6.41POd1 would provide that a breach of proposed Rule 6.41POd would count towards a Market Makers Global Risk Control limit per Rule 6.40POa4 as described above in section Proposed Rule 6.40PO.
Proposed Rule 6.41POd2
concerns how a Market Maker would be reinstated following an automated breach action. As proposed, the Exchange would not reinstate the Market Makers ability to enter orders and quotes and related instructions on the Exchange in that class of options other than instructions to cancel one or more orders/quotes including AuctionOnly Orders and orders designated GTC in full without the consent of the Market Maker, which may be provided via automated contact.
Rule 6.41POd is substantially similar to current Rule 6.61Ob, except that the proposed rule applies to both the orders and quotes of a Market Maker not just quotes and provides the additional functionality that a breach of the Price Reasonability Checks would count towards a Market Makers Global Risk Control limit under proposed Rule 6.40POc3, which functionality would be new under Pillar.
In connection with proposed Rule 6.41PO, the Exchange proposes to add the following preamble to Rules 6.60O
and 6.61O: This Rule will not be applicable to trading on Pillar. This proposed preamble is designed to promote clarity and transparency in Exchange rules that Rules 6.60O and 6.61O would not be applicable to trading on Pillar.
Proposed Rule 6.64PO: Auction Process Current Rule 6.64O, OX Opening Process, sets forth the opening process currently used on the Exchanges OX
system for opening trading in a series each day and reopening trading in a series following a trading halt. The Exchange proposes that new Rule 6.64PO would set forth the auction process for both opening and reopening trading in a series on the Exchange. The Exchange proposes to specify that Rule 6.64O would not be applicable to trading on Pillar.
With the transition to Pillar, the Exchange proposes new functionality regarding the auction process on the Exchange. In addition, certain functionality available on the Exchanges cash equity platform will
PO 00000

Frm 00027

Fmt 4701

Sfmt 4703

36465

now be available for options trading.
Accordingly, the Exchange proposes that proposed Rule 6.64PO would use Pillar terminology relating to auctions that is based on Pillar terminology set forth in Rule 7.35E for cash equity trading.
Definitions. Proposed Rule 6.64POa would provide that the Rule would be applicable to all series that trade on the Exchange other than Flex Options.47
Proposed Rule 6.64POa would further set forth the definitions that would be used for purposes of Rule 6O Options Trading that would be applicable to trading on Pillar.
Proposed Rule 6.64POa1 would define the term Auction to mean the opening or reopening of a series for trading either on a trade or a quote. This proposed definition is based in part on current Rule 6.64Oa, which defines the term Trading Auction to be a process by which trading is initiated in a specified options class that may be employed at the opening of the Exchange each business day or to reopen trading after a trading halt. On Pillar, the Exchange proposes that the term Auction would refer to the point in the process where the Exchange determines that a series can be opened or reopened either on a trade or a quote.
Proposed Rule 6.64POa1A
would provide that a Core Open Auction means the Auction that opens trading after the beginning of Core Trading Hours and proposed Rule 6.64POa1B would provide that a Trading Halt Auction means the Auction that reopens trading following a trading halt. These are Pillar terms currently used in Rule 7.35E for the same purposes.
Proposed Rule 6.64POa2 would define the term Auction Collar to mean the price collar thresholds for the Indicative Match Price for an Auction.
As further proposed, the upper Auction Collar would be the offer of the Legal Width Quote defined below and the lower Auction Collar would be the bid of the Legal Width Quote, provided that if the bid of the Legal Width Quote is zero, the lower Auction Collar would be one MPV above zero for the series. The proposed rule would further provide that if there is no Legal Width Quote, the Auction Collars would be published 47 With the transition to Pillar, the Exchange is not making any changes to how Flex Options trade.
Rule 5.31O provides that Flex Options transactions may be effected during normal Exchange options trading hours on any business day and there will be no trading rotations in Flex Options. Rule 5.33O sets forth the procedures for trading Flex Options. The opening process for Electronic Complex Orders is set forth in Rule 6.91
O.

E:FRFM09JYN2.SGM

09JYN2