Voglio sapere a riguardo di…

Federal Register / Vol. 86, No. 208 / Monday, November 1, 2021 / Notices Members 9 via Regulatory Circular.10 A
complete description of how the Exchange calculates the minimum spread width requirements in ITM and OTM SPIKES options can be found in the published Regulatory Circular,11
additionally an example is provided below. Market Makers will also be required to maintain the minimum spread width, described above, for at least 70% of the time in the front two 2 SPIKES options contract expiry months and maintain an average quote size of at least 25 SPIKES options contracts. The amount available to each individual Market Maker will be capped at $10,000 per month for satisfying the minimum requirements of the Incentive Program. In the event that more than four Market Makers meet the requirements of the Incentive Program, each qualifying Market Maker will be entitled to receive a pro-rated share of the $40,000 monthly compensation pool dependent upon the number of qualifying Market Makers in that particular month. For example, if five Market Makers qualify for compensation under Incentive 1 of the Incentive Program, each Market Maker would receive a rebate of $8,000 for that particular month.

lotter on DSK11XQN23PROD with NOTICES1

Incentive 2 Pool The second pool Incentive 2 Pool will be capped at a total amount of $100,000 per month which will be used during the Incentive Program to further incentivize Market Makers who meet or exceed the requirements of Incentive 1
qualifying Market Makers to provide tighter quote width spreads. The Exchange will rank each qualifying Market Makers quote width spread relative to each other qualifying Market Makers quote width spread. Market Makers with tighter spreads in certain strikes, as determined by the Exchange and communicated to Members via Regulatory Circular,12 will be eligible to receive a pro-rated share of the compensation pool as calculated by the Exchange and communicated to Members via Regulatory Circular,13 not to exceed $25,000 per Member per month. Qualifying Market Makers will be ranked relative to each other based on the quality of their spread width i.e., tighter spreads are ranked higher than wider spreads and the Market Maker 9 The term Member means an individual or organization approved to exercise the trading rights associated with a Trading Permit. Members are deemed members under the Exchange Act. See Exchange Rule 100.
10 Supra note 5.
11 Id.
12 Id.
13 Id.

VerDate Sep<11>2014

18:03 Oct 29, 2021

Jkt 256001

with the best quality spread width will receive the highest rebate, while other eligible qualifying Market Makers will receive a rebate relative to their quality spread width.
Incentive Pool 2 Example Each qualifying Market Makers ITM/
OTM market width for eligible Incentive Program options will be calculated, weighted, and ranked. ITM market width will be given a 25% weighting and OTM market width will be given a 75% weighting. Eligible ITM options require a maximum quote width spread of 150 basis points bps and each eligible OTM option requires a maximum quote width of 100 bps as calculated below.
The formula employed by the Exchange to calculate the bps for an individual strike is: Ask QuoteBid Quote/Futures price 10,000, where the futures price is in the same expiry being measured. For example, a SPIKE
19 Put expiring on 10/20/2021 has a bid quote of $0.25 and an ask quote of $.45
and the October SPIKE Future is trading at 20.30. Using the aforementioned formula the Exchange can calculate the Members bps on that strike as:
$0.45$0.25/20.30 10,000; or $0.20/20.30 10,000; or .009852
10,000 = 98.52217 bps. To establish the market quality baseline bps the Exchange combines target bps in ITM
and OTM options 150 bps 25% = 37.5
bps and 100 bps 75% = 75 bps; 37.5
bps + 75 bps = 112.50 bps.
To determine the pool amount the Exchange will contribute $5,000 for each basis point improvement from the Exchange established baseline of 112.50
bps. The Exchange will calculate a Members Improvement Value MIV
by subtracting the Members monthly average bps from the Exchange established baseline of 112.50 bps. If for the month Market Maker A has an average score of 109 and Market Maker B has an average score of 107 the Exchange will calculate the amount of Incentive Pool 2 based on the average total improvement of the qualifying Market Makers from the baseline and for every bps of improvement the Exchange will contribute $5,000 to Incentive Pool 2. In this example, the average of Market Maker A 109 and Market Maker B 107 is 108. The Exchange would therefore contribute $22,500 to Incentive Pool 2 112.5108 = 4.5
$5,000.
The Exchange will calculate a pro-rata distribution for each Market Maker based upon their improvement value, which is the number of bps improvement from the Exchange established baseline of 112.5. Market
PO 00000

Frm 00126

Fmt 4703

Sfmt 4703

60323

Maker A has an MIV of 3.5
112.5109 and Market Maker B has an MIV of 5.5 bps 112.5 = 107. To determine each Market Makers pro-rata share of the Incentive 2 Pool the Exchange sums the MIVs of each Market Maker 3.5 + 5.5 = 9 and divides each Market Makers MIV by that total to establish their weighted percentage:
38.89% and 61.11% for Market Maker A and Market Maker B, respectively.
Market Maker A would then be entitled to 38.89% of the $22,500
Incentive 2 Pool or $8,750. Whereas Market Maker B would be entitled to 61.11% of the $22,500 Incentive 2 Pool or $13,750.
The total amount in Incentive Pool 2
is capped at $100,000 per month and the total amount allocated to any one Member is capped at $25,000 per month.
The details of the Incentive Program are contained in a Regulatory Circular distributed to all Members.14
2. Statutory Basis The Exchange believes that its proposal to amend its Fee Schedule is consistent with Section 6b of the Act 15
in general, and furthers the objectives of Section 6b4 of the Act 16 in particular, in that it is an equitable allocation of reasonable fees and other charges among its members and issuers and other persons using its facilities.
The Exchange also believes the proposal furthers the objectives of Section 6b5
of the Act in that it is designed to promote just and equitable principles of trade, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general to protect investors and the public interest and is not designed to permit unfair discrimination between customers, issuers, brokers and dealers.
The Exchange believes that it is reasonable, equitable, and not unfairly discriminatory to adopt an Incentive Program for Market Makers in SPIKES
options. The Incentive Program is reasonably designed because it will incent Market Makers to provide quotes and increased liquidity in select SPIKES
options contracts. The proposed Incentive Program is reasonable, equitably allocated and not unfairly discriminatory because all Market Makers in SPIKES options may qualify for Incentive 1 and Incentive 2, dependent upon each Market Makers quoting in SPIKES options in a particular month. Additionally, if a Id.
15 U.S.C. 78fb.
16 15 U.S.C. 78fb4 and 5.
14
15

E:FRFM01NON1.SGM

01NON1