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Federal Register / Vol. 86, No. 174 / Monday, September 13, 2021 / Notices SECURITIES AND EXCHANGE
COMMISSION
Release No. 3492887; File No. SR
NYSEArca202175

Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Modify the Arca Options Deep Market Data Product September 7, 2021.

Pursuant to Section 19b1 1 of the Securities Exchange Act of 1934 the Act 2 and Rule 19b4 thereunder,3
notice is hereby given that on August 24, 2021, NYSE Arca, Inc. NYSE
Arca or the Exchange filed with the Securities and Exchange Commission the Commission the proposed rule change as described in Items I and II
below, which Items have been prepared by the self-regulatory organization. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons.
I. Self-Regulatory Organizations Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to modify the Arca Options Deep market data product.
The proposed rule change is available on the Exchanges website at www.nyse.com, at the principal office of the Exchange, and at the Commissions Public Reference Room.
II. Self-Regulatory Organizations Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the self-regulatory organization included statements concerning the purpose of, and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of those statements may be examined at the places specified in Item IV below.
The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant parts of such statements.

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A. Self-Regulatory Organizations Statement of the Purpose of, and the Statutory Basis for, the Proposed Rule Change 1. Purpose The Exchange proposes to modify the Arca Options Deep market data product.
The Exchange currently offers the following real-time options market data feeds: Arca Options Top, Arca 1 15

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3 17 CFR 240.19b4.
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Options Deep, and Arca Options Complex the Arca Options Products. Arca Options Top is a single market data product that combines last sale data, best bids and offers BBO, order imbalance information and series status and underlying status messages. Arca Options Complex, also a single market data product, provides subscribers NYSE Arca Options quote and trade information including orders/quotes, requests for responses, and trades for the complex order book on a real-time basis. Arca Options Deep is also a single market data product that provides subscribers NYSE Arca Options quotes and orders at the first three price levels in each series on a real-time basis.
The Exchange charges a single fee for Arca Options Products and subscribers of Arca Options Products receive all three data feeds described above.4 The Exchange charges a separate fee for Arca Options Complex for subscribers that seek to obtain this data feed on a standalone basis.5
The Exchange proposes to modify the Arca Options Deep market data product so that quotes and orders would be available for the full order book in each series on a real-time basis rather than at the first three price levels. As modified, Arca Options Deep would provide vendors and subscribers with a unified view of events, in sequence, as they appear on the Exchanges matching engine. The modified Arca Options Deep would include depth of book order data, last sale data, opening imbalance data, series status updates e.g., trade corrections and trading halts and series summary messages. The series summary message would update every minute and would include the opening price, high price, low price, closing price, and 4 See Securities Exchange Act Release No. 68005
October 9, 2012, 77 FR 63362 October 16, 2012
SRNYSEArca2012106 establishing fees for certain proprietary options market data products.
See also Securities Exchange Act Release Nos.
69523 May 6, 2013, 78 FR 27452 May 10, 2013
SRNYSEArca201341 establishing a schedule of NYSE Arca Options proprietary market data fees; 69554 May 10, 2013, 78 FR 28917 May 16, 2013 SRNYSEArca201347 establishing nondisplay usage fees and amending the professional end-user fees; 71933 April 11, 2014, 79 FR 21821
April 17, 2014 SRNYSEArca201434
amending the professional user fees; 73010
September 5, 2014, 79 FR 54307 September 11, 2014 SRNYSEArca201494 amending fees for non-display use; 76023 September 29, 2015, 80
FR 60208 October 5, 2015 SRNYSEArca2015
83 modifying certain proprietary options data products; and 77111 February 11, 2016, 81 FR
8291 February 18, 2016 SRNYSEArca201629
Modifying the Arca Options Deep market data product.
5 See Securities Exchange Act Release No. 73588
November 13, 2014, 79 FR 68922 November 19, 2014 SRNYSEArca2014129 establishing fees for the complex order book feed.

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cumulative volume for each series traded on the Exchange. The Exchange is not making any changes to the current product other than providing quotes and orders for the full order book rather than at the first three price levels and the inclusion of opening imbalance data.
The Exchange believes that Arca Options Deep, as modified, addresses requests received from vendors and subscribers that would like to receive the data described above in an integrated fashion. An integrated data feed would provide greater efficiencies and reduce errors for vendors and subscribers that currently choose to integrate the data after receiving it from the Exchange. The Exchange believes that providing vendors and subscribers with the option of a market data product that both integrates existing products and includes additional market data would allow vendors and subscribers to choose the best solution for their specific businesses while also enhancing the functionality of the product.
The proposed modification to the Arca Options Deep data feed will allow subscribers who currently obtain depth of market data at three price levels to receive the full order book market data in a single data feed. Offering a data product that provides the full order book in one market data product would provide greater efficiencies and better sequencing for vendors and subscribers.
As it does currently, Arca Options Deep would continue to provide last sale and BBO information on a real-time basis as reported to the Options Price Reporting Authority OPRA and disseminated on a consolidated basis under the OPRA
Plan.6
The Exchange does not propose to make any change to the fees for Arca Options Deep. The single fee charged for the Arca Options Products that comprise the Arca Options Top, Arca 6 The OPRA Plan is a national market system plan approved by the Securities and Exchange Commission Commission pursuant to Section 11A of the Act and Rule 608 thereunder formerly Rule 11Aa32. See Securities Exchange Act Release No. 17638 March 18, 1981, 22 SEC. Docket 484 March 31, 1981. The full text of the OPRA
Plan is available at https www.opraplan.com/. The OPRA Plan provides for the collection and dissemination of last sale and quotation information on options that are traded on the participant exchanges. Section 5.2c of the OPRA Plan also permits OPRA Plan participants to disseminate unconsolidated market information to certain of their members under certain circumstances. The manner in which the Exchange proposes to disseminate the products would comply with Section 5.2c of the OPRA Plan, pursuant to which the Exchange may not disseminate the products on any more timely basis than the same information is furnished to the OPRA System for inclusion in OPRAs consolidated dissemination of Options Information.

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