Notice2021-27663
Self-Regulatory Organizations; NYSE American LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Adopt a New Historical Market Data Product To Be Known as the NYSE Options Open-Close Volume Summary
Primary source
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Published
December 22, 2021
Issuing agencies
Securities and Exchange Commission
Abstract
End of Day Volume Summary and Intra-Day Volume Summary. The End of Day Volume Summary will contain historical data from the previous trading day and would be available after the end of each trading day, generally on a T+1 basis. The Intra-Day Volume Summary would include "snapshots" taken every 10 minutes throughout the trading day and would be available within five minutes of the conclusion of each 10-minute period. Each update would represent combined data captured from the current "snapshot" and all previous "snapshots" and thus would provide open-close data on an aggregate basis. The Exchange will establish monthly subscriber fees for the NYSE Options Open-Close Volume Summary by way of a separate proposed rule change, which the Exchange will submit prior to the launch of the NYSE Options Open-Close Volume Summary. The Exchange plans to introduce the NYSE Options Open-Close Volume Summary in the first quarter of 2022. The Exchange will announce the exact date that the NYSE Options Open- Close Volume Summary will become available through a NYSE Trader Update. 2. Statutory Basis The proposed rule change is consistent with Section 6(b) \8\ of the Act, in general, and furthers the objectives of Section 6(b)(5) \9\ of the Act, in particular, in that it is designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in facilitating transactions in securities, 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 it is not designed to permit unfair discrimination among customers, brokers, or dealers. ---------------------------------------------------------------------------
Full Text
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<title>Federal Register, Volume 86 Issue 243 (Wednesday, December 22, 2021)</title>
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[Federal Register Volume 86, Number 243 (Wednesday, December 22, 2021)]
[Notices]
[Pages 72647-72649]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2021-27663]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-93803; File No. SR-NYSEAMER-2021-46]
Self-Regulatory Organizations; NYSE American LLC; Notice of
Filing and Immediate Effectiveness of Proposed Rule Change To Adopt a
New Historical Market Data Product To Be Known as the NYSE Options
Open-Close Volume Summary
December 16, 2021.
Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of
1934 (``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby given
that, on December 14, 2021, NYSE American LLC (``NYSE American'' or the
``Exchange'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I and
II below, which Items have been prepared by the Exchange. The
Commission is publishing this notice to solicit comments on the
proposed rule change from interested persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 15 U.S.C. 78a.
\3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to adopt a new historical market data product
to be known as the NYSE Options Open-Close Volume Summary. The proposed
rule change is available on the Exchange's website at <a href="http://www.nyse.com">www.nyse.com</a>, at
the principal office of the Exchange, and at the Commission's Public
Reference Room.
II. Self-Regulatory Organization's 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,
[[Page 72648]]
set forth in sections A, B, and C below, of the most significant parts
of such statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to adopt a new historical market data product
to be known as the NYSE Options Open-Close Volume Summary, which will
be available to all subscribers. The proposed NYSE Options Open-Close
Volume Summary is based on market data products currently available on
most other options exchanges.\4\
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\4\ See Securities Exchange Act Release Nos. 89497 (August 6,
2020), 85 FR 48747 (August 12, 2020) (SR-CboeBZX-2020-059); 89498
(August 6, 2020), 85 FR 48735 (August 12, 2020) (SR-Cboe-EDGX-2020-
36); 85817 (May 9, 2019), 84 FR 21863 (May 15, 2019) (SR-CBOE-2019-
026); 89496 (August 6, 2020), 85 FR 48743 (August 12, 2020) (SR-C2-
2020-010); 89586 (August 17, 2020), 85 FR 51833 (August 21, 2020)
(SR-C2-2020-012); 62887 (September 10, 2010), 75 FR 57092 (September
17, 2010) (SR-Phlx-2010-121); 65587 (October 18, 2011), 76 FR 65765
(October 24, 2011) (SR-NASDAQ-2011-144); 61317 (January 8, 2010), 75
FR 2915 (January 19, 2010) (SR-ISE-2009-103); 81632 (September 15,
2017), 82 FR 44235 (September 21, 2017) (SR-GEMX-2017-42); 91963
(May 21, 2021), 86 FR 28662 (May 27, 2021) (SR-EMERALD-2021-18);
91964 (May 21, 2012), 86 FR 28667 (May 27, 2021) (SR-PEARL-2021-24);
and 91965 (May 21, 2021), 86 FR 28665 (May 27, 2021) (SR-MIAX-2021-
18). See also Securities Exchange Act Release No. 93132 (September
27, 2021), 86 FR 54499 (October 1, 2021) (SR-NYSEArca-2021-82)
(Notice of Filing and Immediate Effectiveness of Proposed Rule
Change To Adopt a New Historical Market Data Product To Be Known as
the NYSE Options Open-Close Volume Summary). The Exchange notes that
the NYSE Options Open-Close Volume Summary on NYSE Arca, Inc.
(``NYSE Arca'') has not yet been made available for purchase by
subscribers.
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The Exchange proposes to offer the NYSE Options Open-Close Volume
Summary, which will be a volume summary of trading activity on the
Exchange at the option level by origin (Customer, Professional
Customer, Firm, Broker-Dealer, and Market Maker \5\), side of the
market (buy or sell), contract volume, and transaction type (opening or
closing). The Customer, Professional Customer, Firm, Broker-Dealer, and
Market Maker volume will be further broken down into trade size buckets
(less than 100 contracts, 100-199 contracts, greater than 199
contracts). The NYSE Options Open-Close Volume Summary is proprietary
Exchange trade data and does not include trade data from any other
exchange. It is also a historical data product and not a real-time data
feed.
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\5\ See Exchange Rule 900.2.NY for the definitions of the terms
Customer, Professional Customer, Firm, Broker-Dealer, and Market
Maker.
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Specifically, the NYSE Options Open-Close Volume Summary would
include the following data: Aggregate number of buy and sell
transactions in the affected series; aggregate volume traded
electronically on the Exchange in the affected series; aggregate number
of trades effected on the Exchange to open a position; \6\ aggregate
number of trades effected on the Exchange to close a position; \7\ and
origin of the orders and quotes involved in trades on the Exchange in
the affected series during a particular trading session, specifically
aggregated in the following categories of participants: Customer,
Professional Customer, Firm, Broker-Dealer, and Market Maker.
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\6\ An opening buy is a transaction that creates or increases a
long position and an opening sell is a transaction that creates or
increases a short position.
\7\ A closing buy is a transaction made to close out an existing
position and a closing sell is a transaction to reduce or eliminate
a long position.
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The Exchange anticipates a wide variety of market participants to
purchase the NYSE Options Open-Close Volume Summary, including, but not
limited to, individual customers, buy-side investors, and investment
banks. The NYSE Options Open-Close Volume Summary would provide
subscribers data that should enhance their ability to analyze options
trade and volume data, and to create and test trading models and
analytical strategies. The Exchange believes that NYSE Options Open-
Close Volume Summary will be a valuable tool that subscribers can use
to gain comprehensive insight into the trading activity in a particular
options series. The NYSE Options Open-Close Volume Summary is a
completely voluntary product, in that the Exchange is not required by
any rule or regulation to make this data available and that potential
subscribers may purchase it only if they voluntarily choose to do so.
The Exchange proposes to offer two versions of the NYSE Options
Open-Close Volume Summary: End of Day Volume Summary and Intra-Day
Volume Summary. The End of Day Volume Summary will contain historical
data from the previous trading day and would be available after the end
of each trading day, generally on a T+1 basis. The Intra-Day Volume
Summary would include ``snapshots'' taken every 10 minutes throughout
the trading day and would be available within five minutes of the
conclusion of each 10-minute period. Each update would represent
combined data captured from the current ``snapshot'' and all previous
``snapshots'' and thus would provide open-close data on an aggregate
basis.
The Exchange will establish monthly subscriber fees for the NYSE
Options Open-Close Volume Summary by way of a separate proposed rule
change, which the Exchange will submit prior to the launch of the NYSE
Options Open-Close Volume Summary. The Exchange plans to introduce the
NYSE Options Open-Close Volume Summary in the first quarter of 2022.
The Exchange will announce the exact date that the NYSE Options Open-
Close Volume Summary will become available through a NYSE Trader
Update.
2. Statutory Basis
The proposed rule change is consistent with Section 6(b) \8\ of the
Act, in general, and furthers the objectives of Section 6(b)(5) \9\ of
the Act, in particular, in that it is designed to prevent fraudulent
and manipulative acts and practices, to promote just and equitable
principles of trade, to foster cooperation and coordination with
persons engaged in facilitating transactions in securities, 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 it is not designed to permit unfair discrimination
among customers, brokers, or dealers.
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\8\ 15 U.S.C. 78f(b).
\9\ 15 U.S.C. 78f(b)(5).
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In adopting Regulation NMS, the Commission granted self-regulatory
organizations and broker-dealers increased authority and flexibility to
offer new and unique market data to consumers of such data. It was
believed that this authority would expand the amount of data available
to users and consumers of such data and also spur innovation and
competition for the provision of market data. The Exchange believes
that the NYSE Options Open-Close Volume Summary options data product
proposed herein is precisely the sort of market data product evolutions
that the Commission envisioned when it adopted Regulation NMS. The
proposed rule change would benefit investors by providing access to the
NYSE Options Open-Close Volume Summary, which contains information
regarding opening and closing activity across different options series
during the trading day that would provide investor sentiment and
thereby allow market participants to make informed trading decisions
throughout the day. Subscribers to the data may also be able to enhance
their ability to analyze options trade and volume data and create and
test trading models and analytical strategies. The Exchange believes
the NYSE Options
[[Page 72649]]
Open-Close Volume Summary would provide a valuable tool that
subscribers can use to gain comprehensive insight into the trading
activity in a particular series, but also emphasizes such data is not
necessary for trading.
Moreover, other exchanges also offer a substantially identical data
product.\10\ Specifically, NASDAQ OMX PHLX (``PHLX'') and the NASDAQ
Stock Market LLC (``NASDAQ'') offer the PHLX Options Trade Outline
(``PHOTO'') and NASDAQ Options Trade Outline (``NOTO''), respectively.
The Cboe Exchange, Inc. (``Cboe''), Cboe C2 Exchange, Inc. (``C2''),
Cboe BZX Exchange, Inc. (``BZX''), Cboe EDGX Exchange, Inc. (``EDGX'')
all offer the market data products called the End of Day and Intraday
Open-Close Data. Additionally, Miami International Securities Exchange,
LLC (``MIAX''), MIAX Emerald, LLC (``Emerald'') and MIAX PEARL, LLC
(``PEARL'') all offer an End of Day Open-Close Report and an Intra-Day
Open-Close Report. And as noted above, NYSE Arca has also established
the NYSE Options Open-Close Volume Summary that it intends to introduce
to the marketplace. The Phlx, Nasdaq, Cboe, C2, BZX, EDGX, MIAX,
Emerald, PEARL and NYSE Arca products provide substantially the same
information as that included in the proposed NYSE Options Open-Close
Volume Summary. Like the proposed product, the data is provided to
subscribers in the other exchange's market data products after the end
of the trading day and cumulatively every 10 minutes and provided
within five minutes of the conclusion of each 10-minute period.
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\10\ See supra note 4.
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B. Self-Regulatory Organization's Statement on Burden on Competition
In accordance with Section 6(b)(8) of the Act,\11\ the Exchange
does not believe that the proposed rule change will impose any burden
on competition that is not necessary or appropriate in furtherance of
the purposes of the Act. Rather, the Exchange believes that the
proposal will promote competition by permitting the Exchange to offer a
data product similar to those offered by other competitor options
exchanges.\12\ The market for proprietary data products is currently
competitive and inherently contestable because there is fierce
competition for the inputs necessary to the creation of proprietary
data. Numerous exchanges compete with each other for listings, trades,
and market data itself, providing virtually limitless opportunities for
entrepreneurs who wish to produce and distribute their own market data.
The proposed introduction of the NYSE Options Open-Close Volume Summary
is the Exchange's response to the many competing products available in
the marketplace today. The Exchange believes the proposed rule change
would contribute to the robust competition among national securities
exchanges.
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\11\ 15 U.S.C. 78f(b)(8).
\12\ See supra note 4.
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C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
No written comments were solicited or received with respect to the
proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Because the foregoing proposed rule change does not: (i)
Significantly affect the protection of investors or the public
interest; (ii) impose any significant burden on competition; and (iii)
become operative for 30 days from the date on which it was filed, or
such shorter time as the Commission may designate, it has become
effective pursuant to Section 19(b)(3)(A) of the Act \13\ and Rule 19b-
4(f)(6) thereunder.\14\
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\13\ 15 U.S.C. 78s(b)(3)(A).
\14\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii)
requires a self-regulatory organization to give the Commission
written notice of its intent to file the proposed rule change, along
with a brief description and text of the proposed rule change, at
least five business days prior to the date of filing of the proposed
rule change, or such shorter time as designated by the Commission.
The Exchange has satisfied this requirement.
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At any time within 60 days of the filing of the proposed rule
change, the Commission summarily may temporarily suspend such rule
change if it appears to the Commission that such action is necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act. If the Commission
takes such action, the Commission shall institute proceedings to
determine whether the proposed rule change should be approved or
disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
<bullet> Use the Commission's internet comment form (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>); or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#5220273e377f313d3f3f373c2621122137317c353d24"><span class="__cf_email__" data-cfemail="7604031a135b15191b1b131802053605131558111900">[email protected]</span></a>. Please include
File Number SR-NYSEAMER-2021-46 on the subject line.
Paper Comments
<bullet> Send paper comments in triplicate to: Secretary,
Securities and Exchange Commission, 100 F Street NE, Washington, DC
20549-1090.
All submissions should refer to File Number SR-NYSEAMER-2021-46. This
file number should be included on the subject line if email is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's internet website (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>).
Copies of the submission, all subsequent amendments, all written
statements with respect to the proposed rule change that are filed with
the Commission, and all written communications relating to the proposed
rule change between the Commission and any person, other than those
that may be withheld from the public in accordance with the provisions
of 5 U.S.C. 552, will be available for website viewing and printing in
the Commission's Public Reference Room, 100 F Street NE, Washington, DC
20549 on official business days between the hours of 10:00 a.m. and
3:00 p.m. Copies of the filing also will be available for inspection
and copying at the principal office of the Exchange. All comments
received will be posted without change. Persons submitting comments are
cautioned that we do not redact or edit personal identifying
information from comment submissions. You should submit only
information that you wish to make available publicly. All submissions
should refer to File Number SR-NYSEAMER-2021-46 and should be submitted
on or before January 12, 2022.
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\15\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\15\
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-27663 Filed 12-21-21; 8:45 am]
BILLING CODE 8011-01-P
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