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Federal Register / Vol. 86, No. 151 / Tuesday, August 10, 2021 / Notices
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Proposed Rule 6.91POa6 would define the term DBBO to address situations where it is necessary to derive a theoretical bid or offer for a particular complex strategy. As proposed, DBBO would mean the derived best bid DBB and derived best offer DBO for a complex strategy calculated using the Exchange BBO 11 for each leg or the Away Market NBBO 12 for a leg if there is no Exchange BBO, provided that the bid offer price used to calculate the DBBO would never be lower higher than the greater of $0.05 or 5% below above the Away Market NBB NBO. The proposed definition would also provide that the DBBO would be updated as the Exchanges calculation of the Exchange BBO or Away Market NBBO, as applicable, is likewise updated.
Proposed Rule 6.91POa6A
would provide further detail about how the DBBO would be derived in the absence of an Exchange BB BO or Away Market NBB NBO for a given leg. As proposed, in such circumstances, the bid offer price used to calculate the DBBO would be the offer bid price for that leg minus plus one collar value, which would be i $0.25 where the best offer bid is priced $1.00 or lower; or ii the lower of $2.50
or 25% where the best offer bid is priced above $1.00, provided however that, per proposed Rule 6.91P
Oa6Ai, if the best offer is equal to or less than one collar value, the best bid price used to calculate the DBBO for that leg would be $0.01.
This proposed definition is new and is based, in part, on the current definition of Complex BBO set forth in Rule 6.1AOa2b, as well as on how this concept is defined on other options exchanges, including on NYSE
American.13 The Exchange believes that creation request or complex order for a complex strategy that is not currently in the System; MIAX
Options Exchange MIAX Rule 518a6 same.
11 The term BBO when used with respect to options traded on the Exchange would mean the best displayed bid or best displayed offer on the Exchange. See Single-Leg Pillar Filing defining BBO in proposed Rule 1.1, which definition is substantially identical to the current definition of BBO in Rule 6.1AOa2a.
12 In the Single-Leg Pillar Filing, the Exchange proposes that the new term Away Market NBBO
would refer to a calculation of the NBBO that excludes the Exchanges BBO. See Single-Leg Pillar Filing defining Away Market NBBO in proposed Rule 1.1.
13 See, e.g., NYSE American Rule 900.2NY7b providing that the Derived BBO is calculated using the BBO from the Consolidated Book for each of the options series comprising a given complex order strategy; Cboe Rule 5.33a defining Synthetic Bed Bid or Offer and SBBO for complex orders as the best bid and offer on the Exchange for a complex strategy calculated using the BBO for each component or the NBBO for a
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the additional detail about how the DBBO would be calculated in the absence of an Exchange BBO and/or Away Market NBBO would promote clarity and transparency. In addition, the Exchange believes that it is appropriate to require that the DBBO be calculated within a certain amount of the Away Market NBBO as an additional protection against ECOs being executed on the Exchange at prices away from the current market.
Proposed Rule 6.91POa7 would define Complex Order Auction or COA to mean an auction of an ECO
as set forth in proposed Rule 6.91POf discussed below. This definition is based on the title of paragraph c of current Rule 6.91O, which sets forth the COA Process for ECOs without any substantive differences. Proposed Rule 6.91POa7 would also state that the terms defined in paragraphs a7A
D would be used for purposes of a COA.
Proposed Rule 6.91POa7A
would define a COA Order to mean an ECO that is designated by the OTP
Holder as eligible to initiate a COA. This definition is based on the definition of a COA-eligible order as set forth in current Rule 6.91Oc1 and c1i, with a difference that the proposed definition would not require that an option class be designated as COAeligible because all option classes that trade on Pillar would be COA-eligible.
Proposed Rule 6.91POa7B
would define the term Request for Response or RFR to refer to the message disseminated to the Exchanges proprietary complex data feed announcing that the Exchange has received a COA Order and that a COA
has begun. As further proposed, the definition would provide that each RFR
message would identify the component series, the price, and the size and side of the market of the COA Order. This definition is based on the description of RFR in Rule 6.91Oc3 without any substantive differences. The Exchange proposes a clarifying difference to make clear that RFR messages would be sent over the Exchanges proprietary complex data feed, which is based on current functionality.
Proposed Rule 6.91POa7C
would define the term RFR Response to mean any ECO received during the Response Time Interval defined below that is in the same complex strategy, on the opposite side of the market of the COA Order that initiated the COA, and component if the BBO for that component is not available of a complex strategy from the Simple Book.

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marketable against the COA Order.14
This definition is based in part on the description of RFR Responses in Rule 6.91Oc5. However, unlike the current definition, an RFR Response would not have a time-in-force contingency for the duration of the COA. Instead, the Exchange would consider any ECOs received during the Response Time Interval defined below that are marketable against the COA
Order as an RFR Response. As described below, the Exchange proposes to define separately the term ECO GTX Order, which would be more akin to the current definition of RFR Response. In addition, the proposed definition omits the current rule description that an RFR
Response may be entered in $0.01
increments or that such responses may be modified or cancelled because these features are applicable to all ECOs and therefore not necessary to separately state in connection with RFR Responses.
Proposed Rule 6.91POa7D
would define the term Response Time Interval to mean the period of time during which RFR Responses for a COA
may be entered and would provide that the Exchange would determine and announce by Trader Update the length of the Response Time Interval;
provided, however, that the duration of the Response Time Interval would not be less than 100 milliseconds and would not exceed one 1 second. This definition is based in part on the description of Response Time Interval in Rule 6.91Oc4, with a difference that the Exchange proposes to reduce the minimum time from 500
milliseconds to 100 milliseconds. While other option exchanges do not establish a minimum duration for a COA, the Exchange notes that the proposed 100
milliseconds minimum is consistent the minimum auction length for electronicpaired auctions on NYSE American.15
Types of ECOs. Proposed Rule 6.91P
Ob would set forth the types of ECOs that would trade on Pillar. Proposed Rule 6.91POb1 would provide that ECOs may be entered as Limit Orders or Limit Orders designated as Complex Only Orders. This proposed text is based on current Rule 6.91Ob1, with a difference to provide that the Exchange would offer Complex Only Orders on Pillar. Complex Only Orders 14 The term marketable is defined in proposed Rule 1.1 of the Single-Leg Pillar Filing.
15 See e.g., Cboe Rule 5.33d3 providing that Cboe determines the duration of the Response Time Interval on a class-by-class basis, which may not exceed 3000 milliseconds; NYSE American Rule 971.1NYc2B providing that for a Customer Best Execution Auction the minimum/
maximum parameters for the Response Time Interval will be no less than 100 milliseconds and no more than one 1 second.

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