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Federal Register / Vol. 86, No. 129 / Friday, July 9, 2021 / Notices
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in the Auction Imbalance Information defined below as zero.
The proposed terminology of Auction Collars would be new for options trading and is based on the same term used in Rule 7.35E for trading cash equity securities. However, the concept would not be novel because currently, the Exchange will not open a series if the bid-ask differential is not within the bid-ask differential guidelines established under Rule 6.37
Ob4.48 Auction Collars would function similarly to prevent an Auction that results in a trade from being priced outside the Legal Width Quote.
Proposed Rule 6.64POa3 would define the term Auction Imbalance Information to mean the information that the Exchange disseminates about an Auction via its proprietary data feeds and includes the Auction Collars, Auction Indicator, Book Clearing Price, Far Clearing Price, Indicative Match Price, Matched Volume, Market Imbalance, and Total Imbalance. With Pillar, the Exchange proposes to disseminate Auction Imbalance Information for its options market in the same manner that such information is disseminated for its cash equity market.
Accordingly, this proposed definition is based on Rule 7.35E, with differences to reflect the content that would be included in Auction Imbalance Information for options trading. In addition, the Exchange proposes that the Auction Imbalance Information would reflect the orders and quotes eligible to participate in an Auction and that contribute to price discovery.
Accordingly, proposed Rule 6.64P
Oa3 would further provide that Auction Imbalance Information would be based on all orders and quotes including the non-displayed quantity of Reserve Orders eligible to participate in an Auction, excluding IO Orders.49
Proposed Rule 6.64POa3A
would define the term Auction Indicator to mean the indicator that provides a status update of whether an Auction cannot be conducted because either i there is no Legal Width Quote, or ii a Market Maker quote has not been received during the Opening MMQ
Time Parameter defined below. The Exchange currently disseminates an Auction Indicator on its cash equity market and proposes similar 48 See
Rule 6.64ObD and E.
is consistent with the order information included in Auction Imbalance Information for cash equity trading. See Rule 7.35Ea7 and 7.35
Ea8. The Exchange proposes to exclude IO
Orders because they are conditional offsetting orders that would not contribute to price discovery in the Auction Process.
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functionality for options trading on the Exchange.50
Proposed Rule 6.64POa3B
would define the term Book Clearing Price to mean the price at which all contracts could be traded in an Auction if not subject to the Auction Collar and that the Book Clearing Price would be zero if a sell buy Imbalance cannot be filled by any buy sell interest. The Exchange proposes that the manner that the Book Clearing Price would be calculated for options trading would be the same as how it is calculated for cash equity trading. Accordingly, this proposed definition is based in part on the definition of Book Clearing Price set forth in Rule 7.35Ea11, with differences to reflect options trading terminology.
Proposed Rule 6.64POa3C
would define the term Far Clearing Price to mean the price at which all Auction-Only Orders could be traded in an Auction within the Auction Collar.
The Exchange proposes that the manner that the Far Clearing Price would be calculated for options trading would be the same as how it is calculated for cash equity trading. Accordingly, this proposed definition is based on the definition of Far Clearing Price set forth in Rule 7.35Ea12, without any differences.
Proposed Rule 6.64POa3D
would define the term Imbalance to mean the number of buy sell contracts that cannot be matched with sell buy contracts at the Indicative Match Price at any given time. The Exchange proposes that the manner that the Imbalance would be calculated for options trading would be the same as how it is calculated for cash equity trading. Accordingly, this proposed definition is based in part on the definition of Imbalance set forth in Rule 7.35Ea7, with differences to reflect options trading terminology.
Proposed Rule 6.64POa3Di would define the term Total Imbalance to mean the Imbalance of all buy sell contracts at the Indicative Match Price for all orders and quotes eligible to trade in an Auction. The Exchange proposes that the manner that the Total Imbalance would be calculated for options trading would be the same as how it is calculated for cash equity trading. Accordingly, this proposed definition is based in part on the definition of Total Imbalance set forth in Rule 7.35Ea7A, with differences to reflect options trading terminology.
Proposed Rule 6.64POa3Dii would define the term Market Imbalance to mean the Imbalance of
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50 See
Rule 7.35Ea13.

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any remaining buy sell Market Orders and MOO Orders that are not matched for trading in the Auction. The Exchange proposes that the manner that the Market Imbalance would be calculated for options trading would be the same as how it is calculated for cash equity trading. Accordingly, this proposed definition is based in part on the definition of Market Imbalance set forth in Rule 7.35Ea7B, with differences to reflect options trading terminology.
Proposed Rule 6.64POa4 would define the term Auction Process to mean the process that begins when the Exchange receives an Auction Trigger defined below for a series and ends when the Auction is conducted. This would be a new term and is designed to address all steps in the process that culminates in an Auction, as described in proposed Rule 6.64POd.
Proposed Rule 6.64POa5 would define the term Auction Processing Period to mean the period during which the Auction is being processed.
The Exchange proposes that this term would have the same meaning as the same term on its cash equity market.
Accordingly, this proposed definition is based in part on the definition of Auction Processing Period set forth in Rule 7.35Ea2, without any differences.
Proposed Rule 6.64POa6 would define the term Auction Trigger to mean the information disseminated by the Primary Market in the underlying security that triggers the Auction Process for a series to begin. For a Core Open Auction, the Auction Trigger would be when the Primary Market first disseminates at or after 9:30 a.m.
Eastern Time both a two-sided quote and a trade of any size that is at or within the quote. For a Trading Halt Auction, the Auction Trigger would be when the Primary Market disseminates at the end of a trading halt or pause a resume message, a two-sided quote, and a trade of any size that is at or within the quote. This proposed functionality is not new and is based on how the Exchange currently opens or reopens a series for trading, as set forth in the last sentence of current Rule 6.64Ob. The Exchange proposes to use Pillar terminology, including to specify that an odd-lot transaction on the Primary Market could be used as an Auction Trigger, which would be new on Pillar.
Proposed Rule 6.64POa7 would define the term Indicative Match Price to mean the price at which the maximum number of contracts can be traded in an Auction, including the nondisplayed quantity of Reserve Orders and excluding IO Orders, subject to the
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