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Federal Register / Vol. 86, No. 137 / Wednesday, July 21, 2021 / Notices
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2 minutes.10 CME also amended its OTH Price Limits for certain CME
equity index futures from 5% hard limits to 7% hard limits.11
Currently, the Exchange employs a manual process to initiate the halting or resumption of trading during GTH. This manual process requires personnel from the Exchanges Trade Desk to become aware of, and react to, any trading halts in related futures, including Dynamic Circuit Breaker-triggered halts, and activation of CME OTH Price Limits, as well as any determination to lift the trading halts in related futures or identify whether the futures are no longer in a limit state. Particularly, the Trade Desk performs proactive monitoring of halt notifications from CME and checks internal tools to identify whether future products have reached a limit state. If Trade Desk personnel become aware that a related future is halted by CME or if it reaches CMEs prescribed OTH Price Limit i.e., reaches a limit state 12 during GTH, current practice is such that Trade Desk personnel would generally, upon determination by two Floor Officials in consultation with a designated senior executive officer, manually implement a trading halt pursuant to the authority provided under Rule 5.20a6.
Similarly, Trade Desk personnel will monitor internal tools to identify whether CME has lifted the trading halt or whether the futures are no longer in a limit state. If such determination is made, Trade Desk personnel would generally, upon determination by two Floor Officials in consultation with a designated senior executive officer, manually initiate the reopening process to resume trading pursuant to the authority provided under Rule 5.20b.
Even with the proactive monitoring performed by the Trade Desk, there may be instances where the Exchange has not immediately identified a trading halt, activation of price limits, lifting of a trading halt or whether related futures are no longer in a limit state. As such, there may not be an immediate initiation of a trading halt or manual reopening of a related index option in such cases. The Exchange believes an automated process would be more efficient than this current manual process and accordingly proposes to 10 Id. See also CME Rule 589.D Dynamic Price Fluctuation Limits.
11 See CME Submission No. 20392.
12 For purposes of this rule, CME futures are defined to be in a Limit State when CME futures reach the OTH Price Limits currently 7% and are bid at their upper limit price or offered at their lower limit price. CME futures are not considered to be in a limit state if CME futures are trading at prices above their lower limit price or below their upper limit price.

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adopt an automated halt and reopening process, which would avoid the need for manual intervention by Exchange staff.
Proposal The proposed rule change would adopt new Rule 5.20f to implement an automated process for both the halting and resumption of trading during the GTH session if certain events transpire on CME. The Exchange notes the proposed automated process is consistent with authority the Exchange currently has today to halt or resume trading under its existing rules.
Particularly, the proposed circumstances that will trigger an automated halt or resumption of trading are circumstances and factors that the Exchange already considers and acts upon today albeit using a manual process. The Exchange believes automating these processes in these situations eliminates potential inefficiencies with the manual process, as well as provides further transparency in the rules. Particularly, the Exchange proposes to adopt an automated process for the halting and resumption of trading when 1 there is a halt of trading in related futures on CME
during the CME OTH session due to the activation of a Dynamic Price Fluctuation Limit i.e., whenever a Dynamic Circuit Breaker is triggered on CME during OTH proposed Rule 5.20f1 or 2 when a related future is in a limit state on CME due to an activation of the CME OTH Price Limit proposed Rule 5.20f2, as further described below.
Dynamic Circuit Breakers With respect to a Dynamic Circuit Breaker, the Exchange proposes to specify that upon its System receiving notice from CME that a Dynamic Circuit Breaker has been triggered during OTH, the Exchange will automatically halt trading for two 2 minutes in the related index options. The proposed trading halt period would coincide with the trading halt period on CME that is triggered by the Dynamic Circuit Breaker.13 Particularly, the two-minute 13 If the lead contract month as identified by CME of the primary futures contract is traded, bid or offered on Globex at a price below the lower or above the upper dynamic price fluctuation limit, it is considered a triggering event which begins a two 2 minute temporary trading halt in all contract months of the primary futures contract and in all contract months of associated products of the primary futures contract as provided in the Special Price Fluctuation Limits and Daily Price Limits Table. If a non-lead contract month of the primary futures contract is traded, bid or offered on Globex at a price below the lower or above the upper dynamic price fluctuation limit, it shall be considered a triggering event which begins a two 2

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halt period on the Exchange would be triggered when the Exchanges system detects a halt message from CME. Once detected, the System will queue any orders or quotes resting on the Book at the time of a trading halt in the Queuing Book for participation in the opening rotation following the trading halt, unless the user entered instructions to cancel its resting orders and quotes.14
New orders/quotes, modifications to orders/quotes and cancellations for orders/quotes, would be accepted during the halt period.
The Exchange next proposes to provide that at the conclusion of the two-minute Dynamic Circuit Breakertriggered halt, the Exchange would automatically resume trading as described in Rule 5.31g. The proposed rule change results in the Exchange being able to re-open trading in the same manner that it is able to under Rule 5.31g today but enables the Exchange to not have to rely on manual procedures to do so.
CME OTH Price Limits With respect to activation of CMEs OTH Price Limits i.e., if the primary futures contract has reached a limit state, the Exchange proposes to specify that upon receiving notice from CME
indicating a limit state condition or upon the Exchanges determination that CME futures are in a limit state, the Exchange will halt trading for ten 10
minutes in the related index options.
Particularly, the Exchanges System will read CME data feed messages continuously during GTH hours and identify when CME futures are at a limit state. Alternatively, the Exchanges System may receive a message from CME indicating a limit state condition.15
Under either scenario, the Exchange would automatically halt trading, and the System will queue any orders or quotes resting on the Book at the time of a trading halt in the Queuing Book for participation in the opening rotation following the trading halt, unless the user entered instructions to cancel its resting orders and quotes.16 New orders/
quotes, modifications to orders/quotes minute temporary trading halt in that non-lead contract month of the primary futures contract. See CME Rule 589.Db1.
14 See Cboe Options Rule 5.31g2.
15 The Exchange notes that unlike the messages issued by CME relating to Dynamic Circuit Breakertriggered halts, CME does not currently issue any messages that explicitly indicate that its futures have reached a limit state. However, should CME
provide such notice in the future, the Exchange could determine to halt upon receipt of any such notice in addition to or in lieu of its own determination that CME futures have reached a limit state.
16 See Cboe Options Rule 5.31g2.

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