Notice2025-02941
Self-Regulatory Organizations; Nasdaq PHLX LLC; Notice of Filing of Proposed Rule Change To List and Trade Nasdaq Bitcoin Index Options
Primary source
Metadata and text below are from the Federal Register, a public-domain U.S. government work. Always verify the official published version before relying on it for any legal matter.
Published
February 24, 2025
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 90 Issue 35 (Monday, February 24, 2025)</title>
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[Federal Register Volume 90, Number 35 (Monday, February 24, 2025)]
[Notices]
[Pages 10545-10563]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2025-02941]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-102440; File No. SR-Phlx-2025-08]
Self-Regulatory Organizations; Nasdaq PHLX LLC; Notice of Filing
of Proposed Rule Change To List and Trade Nasdaq Bitcoin Index Options
February 18, 2025.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on February 4, 2025, Nasdaq PHLX LLC (``Phlx'' or ``Exchange'') filed
with the Securities and Exchange Commission (``SEC'' or ``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\ 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 list and trade Nasdaq Bitcoin Index
Options,\3\ a new index that reflects the price of bitcoin as
represented by the CME CF Bitcoin Real Time Index (``BRTI'').\4\
Options on this new index will be cash-settled, with a European-style
exercise, and will be published as BRRNY--NOS ``Nasdaq Options
Settlement.''
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\3\ Nasdaq Bitcoin Index Options will have the ticker symbol
``XBTX''.
\4\ The BRTI is a real time price benchmark and is regulated by
the UK FCA under EU BMR.
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The text of the proposed rule change is available on the Exchange's
website at <a href="https://listingcenter.nasdaq.com/rulebook/phlx/rules">https://listingcenter.nasdaq.com/rulebook/phlx/rules</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 Exchange 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 these 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 aspects of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to introduce a new index options product,
Nasdaq Bitcoin Index Options. This product would enable retail and
institutional investors to obtain a precise price for bitcoin. Nasdaq
Bitcoin Index Options is represented by the CME CF Bitcoin Real Time
Index, a precise spot market source for bitcoin pricing and a leading
price benchmark for real time valuations. The CME CF Bitcoin Real Time
Index is a Registered Benchmark under EU BMR.\5\
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\5\ Today, the CME CF Bitcoin Reference Rate--New York Variant
for the Bitcoin--U.S. Dollar trading pair (the ``CF Benchmarks
Index'') constitutes the index for the following exchange-listed ETF
products comprising $58 billion of assets as of July 18, 2024:
iShares Bitcoin Trust (IBIT), Grayscale Bitcoin Trust (GBTC),
Fidelity Wise Origin Bitcoin Fund (FBTC), ARK 21Shares Bitcoin ETF
(ARKB), Bitwise Bitcoin ETF Trust (BUTB), VanEck Bitcoin Trust
(HODL), Coinshares Valkyrie Bitcoin Fund (BRRR), Invesco Galaxy
Bitcoin ETF (BTCO), Franklin Bitcoin ETF (EZBC). (See <a href="https://etfdb.com/index/cme-cf-benchmarks-bitcoin-reference-rate-new-york-variant">https://etfdb.com/index/cme-cf-benchmarks-bitcoin-reference-rate-new-york-variant</a>).
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Background
The CME CF Bitcoin Real Time Index (``BRTI'') is calculated every
second of every day, using the Relevant Order Books \6\ of all
Constituent Exchanges,\7\ thereby aggregating the notional value of
bitcoin trading activity across major bitcoin spot platforms. The CF
Benchmarks Index is designed based on the IOSCO Principles for
Financial Benchmarks.\8\ The administrator of the CF Benchmarks Index
is CF Benchmarks Ltd. The CF Benchmarks Index serves as a once-a-day
benchmark rate of the U.S. dollar price of bitcoin (USD/BTC),
calculated as of 4:00 p.m. ET. The CF Benchmarks Index aggregates the
trade flow of several bitcoin platforms, during an observation window
between 3:00 p.m. and 4:00 p.m. ET into the U.S. dollar price of one
bitcoin at 4:00 p.m. ET. Specifically, the CF Benchmarks Index is
calculated based on the Relevant Transactions of all of its constituent
bitcoin platforms, which are currently Bitstamp, Coinbase, itBit,
Kraken, Gemini, and LMAX (the ``Constituent Platforms''), and which may
change from time to time.\9\
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\6\ Relevant Order Books comprise the universe of the currently
unmatched limit orders to buy or sell a unit of the cryptocurrency
base asset versus the quote asset on a Constituent Exchange in the
Relevant Pair, aggregated by price, that is reported through its API
to the Calculation Agent. To assure that the CME CF Cryptocurrency
Pricing Products reflect global cryptocurrency trading activity in a
representative and unbiased manner, a geographically diverse set of
spot trading venues is included within the current framework. At
their launch the Indices for any given Relevant Pair shall require
input data from no less than two (2) Constituent Exchanges.
\7\ Constituent Exchanges are cryptocurrency trading venues
approved by the CME CF Cryptocurrency Pricing Products Oversight
Committee to serve as pricing source for the calculation of a CME CF
Cryptocurrency Reference Rate or CME CF Cryptocurrency Real Time
Index, collectively known as the CME CF Cryptocurrency Pricing
Products. See proposed Options 4D, Section 2(a)(2).
\8\ See <a href="https://www.iosco.org/library/pubdocs/pdf/IOSCOPD589.pdf">https://www.iosco.org/library/pubdocs/pdf/IOSCOPD589.pdf</a>.
\9\ All aspects of the Index Methodology are publicly available
at the website of Index Provider, CF Benchmarks. See <a href="https://docs.cfbenchmarks.com/CME%20CF%20Real%20Time%20Indices%20Methodology.pdf">https://docs.cfbenchmarks.com/CME%20CF%20Real%20Time%20Indices%20Methodology.pdf</a>.
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A trading venue is eligible as a Constituent Exchange in any of the
CME CF Cryptocurrency Pricing Products if it offers a market that
facilitates the spot trading of the relevant cryptocurrency base asset
against the corresponding quote asset, including markets where the
quote asset is made fungible with Accepted Assets (the ``Relevant
Pair'') and makes trade data and order data available through an
Automatic Programming Interface (``API'') with sufficient reliability,
detail and timeliness. Furthermore, it must meet certain criteria.\10\
Should the average
[[Page 10546]]
daily contribution of a Constituent Exchange fall below 3% for any
Reference Rate, then the continued inclusion of the venue as a
Constituent Exchange to the Relevant Pair shall be assessed by the CME
CF Oversight Committee.
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\10\ The venue's Relevant Pair spot trading volume for an index
must meet the minimum thresholds for it to be admitted as a
Constituent Exchange. The average daily volume the venue would have
contributed during the observation window for the Reference Rate of
the Relevant Pair exceeds 3% for two consecutive calendar quarters.
The venue has policies to ensure fair and transparent market
conditions at all times and has processes in place to identify and
impede illegal, unfair or manipulative trading practices. The venue
does not impose undue barriers to entry or restrictions on market
participants, and utilizing the venue does not expose market
participants to undue credit risk, operational risk, legal risk or
other risks. The venue complies with applicable law and regulation,
including, but not limited to capital markets regulations, money
transmission regulations, client money custody regulations, know-
your-client (``KYC'') regulations and anti-money laundering
regulations. Finally, the venue cooperates with inquiries and
investigations of regulators and the Administrator upon request and
must execute data sharing agreements with CME Group Once admitted a
constituent exchange must demonstrate that it continues to meet the
aforementioned criteria.
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When calculated, the Relevant Order Book of each Constituent
Exchange is added to a joint list of order books,\11\ which are
aggregated into one consolidated order book. If the size at the bid or
ask order price level exceeds the order size cap, it enters the
consolidated order book with a size equal to the order size cap. The
cumulative bid price-volume curve, ask price-volume curve, mid price-
volume curve \12\ and mid spread-volume curve are calculated from the
consolidated order book at a granularity equal to the spacing
parameter.
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\11\ An order book is a list of buy and sell orders with
associated limit prices and sizes that have not yet been matched due
to lack of supply or demand to trade at that price. CME CF
Cryptocurrency Real Time Indices are calculated from order book
data, as opposed to, for instance, trade data.
\12\ The mid price-volume curve represents the average of the
marginal price at which a certain amount of cryptocurrency can be
sold and bought. By averaging across the mid price-volume curve, CME
CF Cryptocurrency Real Time Indices represent a blend of such
(hypothetical) transactions at various transaction sizes. See
<a href="https://docs.cfbenchmarks.com/CME%20CF%20Real%20Time%20Indices%20Methodology.pdf">https://docs.cfbenchmarks.com/CME%20CF%20Real%20Time%20Indices%20Methodology.pdf</a>.
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Using the above notation, the ask price-volume curve is defined as
askPV, the bid price-volume curve as bidPV, the mid-price volume curve
as midPV, and the mid spread-volume curve as midSV, in each case as of
the effective time T, as:
[GRAPHIC] [TIFF OMITTED] TN24FE25.000
The utilized depth is calculated as the maximum cumulative volume
for which the mid spread-volume curve does not exceed a certain
percentage deviation from the mid price.\13\ If this volume is less
than the spacing parameter, the utilized depth is set to the spacing
parameter. The utilized depth, v, is calculated as:
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\13\ CME CF Cryptocurrency Real Time Indices are calculated from
the section of the mid price-volume curve for which ask limit order
price levels at a certain depth diverge by no more than a certain
percentage from the mid-price at that depth. It therefore reflects a
significant portion of the top of the consolidated order book (as
opposed to, for instance, the best bid and ask prices only) but
discards limit order price levels that are less likely to be
matched. This makes it a meaningful representation of true liquidity
and robust to local changes in order books. See <a href="https://docs.cfbenchmarks.com/CME%20CF%20Real%20Time%20Indices%20Methodology.pdf">https://docs.cfbenchmarks.com/CME%20CF%20Real%20Time%20Indices%20Methodology.pdf</a>.
[GRAPHIC] [TIFF OMITTED] TN24FE25.001
The mid price-volume curve is weighted by the normalized
probability density of the exponential distribution up to the utilized
depth. The CME CF Cryptocurrency Real Time Index is then given by the
sum of the weighted mid price-volume curve obtained in the previous
step.\14\ The CME CF Cryptocurrency Real Time Index as of the effective
time T, CCRTI, is then given by:
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\14\ See the qualitative description of the calculation
methodology at <a href="https://docs.cfbenchmarks.com/CME%20CF%20Real%20Time%20Indices%20Methodology.pdf">https://docs.cfbenchmarks.com/CME%20CF%20Real%20Time%20Indices%20Methodology.pdf</a>.
[GRAPHIC] [TIFF OMITTED] TN24FE25.002
The order size cap is calculated from the uncapped consolidated
order book. Using the above notation, the dynamic order size cap is
derived as follows:
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[GRAPHIC] [TIFF OMITTED] TN24FE25.003
The order size cap as of the effective time T, C, is then given by:
[GRAPHIC] [TIFF OMITTED] TN24FE25.004
If the Retrieval Time of the Relevant Order Book of a Constituent
Exchange is at least 30 seconds older than the Calculation Time, the
Constituent Exchange is disregarded in the calculation of the CME CF
Cryptocurrency Real Time Index for that Calculation Time. If the
Retrieval Times of the Relevant Order Books of all Constituent
Exchanges are each at least 30 seconds older than the Calculation Time,
a CME CF Cryptocurrency Real Time Index calculation failure occurs for
that Calculation Time. All Relevant Order Books are subject to an
automated screening for erroneous data.\15\
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\15\ If the format of a Relevant Order Book: deviates from the
expected format such that it cannot be parsed; contains no bid
orders or no ask orders; crosses; or contains any entries with a
non-numeric or non-positive limit price or size, it is flagged as
erroneous. Relevant Order Books flagged as erroneous for a given
Calculation Time are disregarded in the calculation of the CME CF
Cryptocurrency Real Time Index for that Calculation Time. See
<a href="https://docs.cfbenchmarks.com/CME%20CF%20Real%20Time%20Indices%20Methodology.pdf">https://docs.cfbenchmarks.com/CME%20CF%20Real%20Time%20Indices%20Methodology.pdf</a>.
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Overview of the Bitcoin Industry
Bitcoin is a digital asset that is created and transmitted through
the operations of the peer-to-peer bitcoin network, a decentralized
network of computers that operates on cryptographic protocols (the
``Bitcoin network''). No single entity owns or operates the Bitcoin
network, the infrastructure of which is collectively maintained by its
user base. The Bitcoin network allows people to exchange tokens of
value, called bitcoin, which are recorded on a public transaction
ledger known as the Bitcoin blockchain (the ``Bitcoin blockchain'').
Bitcoin can be used to pay for goods and services, or it can be
converted to fiat currencies, such as the U.S. dollar, at rates
determined on bitcoin platforms that enable trading in bitcoin or in
individual end-user-to-end-user transactions under a barter system.
The Bitcoin network is commonly understood to be decentralized and
does not require governmental authorities or financial institution
intermediaries to create, transmit or determine the value of bitcoin.
Rather, bitcoin is created and allocated by the Bitcoin network
protocol through a ``mining'' process. The value of bitcoin is
determined by the supply of and demand for bitcoin-on-bitcoin platforms
or in private end-user-to-end-user transactions.
New bitcoins are created and rewarded to the miners of a block in
the Bitcoin blockchain for verifying transactions. The Bitcoin
blockchain is a shared database that includes all blocks that have been
solved by miners and it is updated to include new blocks as they are
solved. Each bitcoin transaction is broadcast to the Bitcoin network
and, when included in a block, recorded in the Bitcoin blockchain. As
each new block records outstanding bitcoin transactions, and
outstanding transactions are settled and validated through such
recording, the Bitcoin blockchain represents a complete, transparent
and unbroken history of all transactions of the Bitcoin network.
History of Bitcoin
The Bitcoin network was initially contemplated in a whitepaper that
also described bitcoin and the operating software to govern the Bitcoin
network. The whitepaper was purportedly authored by Satoshi Nakamoto.
However, no individual with that name has been reliably identified as
bitcoin's creator, and the general consensus is that the name is likely
a pseudonym for the actual inventor or inventors. The
[[Page 10548]]
first bitcoins were created in 2009 after Nakamoto released the Bitcoin
network source code (the software and protocol that created and
launched the Bitcoin network). The Bitcoin network has been under
active development since that time by a loose group of software
developers who have come to be known as core developers.
Overview of Bitcoin Network Operations
In order to own, transfer or use bitcoin directly on the Bitcoin
network (as opposed to through an intermediary, such as an exchange), a
person generally must have internet access to connect to the Bitcoin
network. Bitcoin transactions may be made directly between end-users
without the need for a third-party intermediary. To prevent the
possibility of double-spending bitcoin, a user must notify the Bitcoin
network of the transaction by broadcasting the transaction data to its
network peers. The Bitcoin network provides confirmation against
double-spending by memorializing every transaction in the Bitcoin
blockchain, which is publicly accessible and transparent. This
memorialization and verification against double-spending is
accomplished through the Bitcoin network mining process, which adds
``blocks'' of data, including recent transaction information, to the
Bitcoin blockchain.
Overview of Bitcoin Transfers
Prior to engaging in bitcoin transactions directly on the Bitcoin
network, a user generally must first install on its computer or mobile
device a Bitcoin network software program that will allow the user to
generate a private and public key pair associated with a bitcoin
address commonly referred to as a ``wallet.'' The Bitcoin network
software program and the bitcoin address also enable the user to
connect to the Bitcoin network and transfer bitcoin to, and receive
bitcoin from, other users.
Each Bitcoin network address, or wallet, is associated with a
unique ``public key'' and ``private key'' pair. To receive bitcoin, the
bitcoin recipient must provide its public key to the party initiating
the transfer. This activity is analogous to a recipient for a
transaction in U.S. dollars providing a routing address in wire
instructions to the payor so that cash may be wired to the recipient's
account. The payor approves the transfer to the address provided by the
recipient by ``signing'' a transaction that consists of the recipient's
public key with the private key of the address from where the payor is
transferring the bitcoin. The recipient, however, does not make public
or provide to the sender its related private key.
Neither the recipient nor the sender reveals their private keys in
a transaction because the private key authorizes transfer of the funds
in that address to other users. Therefore, if a user loses his or her
private key, the user may permanently lose access to the bitcoin
contained in the associated address. Likewise, bitcoin is irretrievably
lost if the private key associated with them is deleted and no backup
has been made. When sending bitcoin, a user's Bitcoin network software
program must validate the transaction with the associated private key.
The resulting digitally validated transaction is sent by the user's
Bitcoin network software program to the Bitcoin network to allow
transaction confirmation.
Some bitcoin transactions are conducted ``off-blockchain'' and are
therefore not recorded in the Bitcoin blockchain. Some ``off-blockchain
transactions'' involve the transfer of control over, or ownership of, a
specific digital wallet holding bitcoin or the reallocation of
ownership of certain bitcoin in a digital wallet containing assets
owned by multiple persons, such as a digital wallet maintained by a
digital assets platform. In contrast to on-blockchain transactions,
which are publicly recorded on the Bitcoin blockchain, information and
data regarding off-blockchain transactions are generally not publicly
available. Therefore, off-blockchain transactions are not truly bitcoin
transactions in that they do not involve the transfer of transaction
data on the Bitcoin network and do not reflect a movement of bitcoin
between addresses recorded in the Bitcoin blockchain. For these
reasons, off-blockchain transactions are subject to risks as any such
transfer of bitcoin ownership is not protected by the protocol behind
the Bitcoin network or recorded in, and validated through, the
blockchain mechanism.
Summary of a Bitcoin Transaction
In a bitcoin transaction directly on the Bitcoin network between
two parties (as opposed to through an intermediary, such as a
custodian), the following circumstances must initially be in place: (i)
the party seeking to send bitcoin must have a Bitcoin network public
key, and the Bitcoin network must recognize that public key as having
sufficient bitcoin for the transaction; (ii) the receiving party must
have a Bitcoin network public key; and (iii) the spending party must
have internet access with which to send its spending transaction.
The receiving party must provide the spending party with its public
key and allow the Bitcoin blockchain to record the sending of bitcoin
to that public key. After the provision of a recipient's Bitcoin
network public key, the spending party must enter the address into its
Bitcoin network software program along with the number of bitcoin to be
sent. The number of bitcoin to be sent will typically be agreed upon
between the two parties based on a set number of bitcoin or an agreed
upon conversion of the value of fiat currency to bitcoin. Since every
computation on the Bitcoin network requires the payment of bitcoin,
including verification and memorialization of bitcoin transfers, there
is a transaction fee involved with the transfer, which is based on
computation complexity and not on the value of the transfer and is paid
by the payor with a fractional number of bitcoin.
After the entry of the Bitcoin network address, the number of
bitcoin to be sent and the transaction fees, if any, to be paid, will
be transmitted by the spending party. The transmission of the spending
transaction results in the creation of a data packet by the spending
party's Bitcoin network software program, which is transmitted onto the
decentralized Bitcoin network, resulting in the distribution of the
information among the software programs of users across the Bitcoin
network for eventual inclusion in the Bitcoin blockchain.
As discussed in greater detail below, Bitcoin network miners record
transactions when they solve for and add blocks of information to the
Bitcoin blockchain. When a miner solves for a block, it creates that
block, which includes data relating to (i) the solution to the block,
(ii) a reference to the prior block in the Bitcoin blockchain to which
the new block is being added and (iii) transactions that have occurred
but have not yet been added to the Bitcoin blockchain. The miner
becomes aware of outstanding, unrecorded transactions through the data
packet transmission and distribution discussed above.
Upon the addition of a block included in the Bitcoin blockchain,
the Bitcoin network software program of both the spending party and the
receiving party will show confirmation of the transaction on the
Bitcoin blockchain and reflect an adjustment to the bitcoin balance in
each party's Bitcoin network public key, completing the bitcoin
transaction. Once a transaction is
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confirmed on the Bitcoin blockchain, it is irreversible.
Creation of a New Bitcoin
New bitcoins are created through the mining process. The process by
which bitcoin is ``mined'' results in new blocks being added to the
Bitcoin blockchain and new bitcoin tokens being issued to the miners.
Computers on the Bitcoin network engage in a set of prescribed complex
mathematical calculations in order to add a block to the Bitcoin
blockchain and thereby confirm bitcoin transactions included in that
block's data. The Bitcoin network is designed in such a way that the
reward for adding new blocks to the Bitcoin blockchain decreases over
time. In the future, once new bitcoin tokens are no longer awarded for
adding a new block, miners will only have transaction fees to
incentivize them, and as a result, it is expected that miners will need
to be better compensated with higher transaction fees to ensure that
there is adequate incentive for them to continue mining.
Limits on Bitcoin Supply
Under the source code that governs the Bitcoin network, the supply
of new bitcoin is mathematically controlled so that the number of
bitcoin grows at a limited rate pursuant to a pre-set schedule. The
number of bitcoin awarded for solving a new block is automatically
halved after every 210,000 blocks are added to the Bitcoin blockchain,
approximately every 4 years. The fixed reward for solving a new Bitcoin
block is currently 3.125 BTC per block. This amount is the result of
the most recent Bitcoin halving event, which occurred in April 2024.
The next Bitcoin halving is anticipated in 2028 when Bitcoin will halve
to 1.5625. This deliberately controlled rate of bitcoin creation means
that the number of bitcoin in existence will increase at a controlled
rate until the number of bitcoin in existence reaches the pre-
determined 21 million bitcoin. However, the 21 million supply cap could
be changed in a hard fork. A hard fork could change the source code to
the Bitcoin network, including the 21 million bitcoin supply cap.
Bitcoin as an Underlying for an Index
The proposed product is a cash-settled index option that permits
holders to receive U.S. dollars representing the difference between the
current bitcoin spot market and the exercise price of the option and
would not involve holding physical bitcoin similar to the approved
Bitcoin-Based Commodity-Based Trust Shares and Trust (collectively
``Spot Bitcoin ETPs'') \16\ which entailed the custody of bitcoin
assets.
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\16\ See Securities Exchange Act Release No. 99306 (January 20,
2024), 89 FR 3008 (January 17, 2024) (File Nos. SR-NYSEArca-2021-90;
SR-NYSEArca-2023-44; SR-NYSEArca-2023-58; SR-NASDAQ-2023-016; SR-
NASDAQ-2023-019; SR-Cboe BZX-2023-028; SR-CboeBZX-2023-038; SR-
CboeBZX-2023-040; SR-CboeBZX-2023-042; SRCboeBZX-2023-044; and SR-
CboeBZX-2023-072) (Order Granting Accelerated Approval of Proposed
Rule Changes, as Modified by Amendments Thereto, to List and Trade
Bitcoin-Based Commodity-Based Trust Shares and Trust Units) (``Spot
Bitcoin ETPs Approval Order'').
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In 2006, Phlx received approval to list and trade foreign currency
index options.\17\ These foreign currency options are cash-settled,
European-styled options issued by The Options Clearing Corporation
(``OCC'') that permit holders to receive U.S. dollars representing the
difference between the current foreign exchange spot price and the
exercise price of the option.\18\ Further, similar to this proposal,
Phlx noted in SR-Phlx-2026-34, its proposal seeking approval for
foreign currency options (or ``U.S. dollar-settled FCOs''), that ``U.S.
dollar-settled FCOs would trade in the same general manner as equity
index options, which are also U.S. dollar-settled products.'' \19\ The
Commission noted in the SR-Phlx-2006-34 approval order that it believed
that, ``. . . . sufficient venues exist for obtaining reliable
information on the Currencies so that investors in U.S. dollar-settled
FCOs can monitor the underlying spot market in the Currencies. The
Commission also believes that the Phlx's procedures and the competitive
nature of the spot market for the [c]urrencies should help to ensure
that the settlement values for U.S. dollar-settled FCO contracts will
accurately reflect the spot price for foreign currencies . . .''.\20\
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\17\ See Securities Exchange Act Release No. 54989 (December 21,
2006), 71 FR 78506 (December 29, 2006) (SR-Phlx-2006-34) (Notice of
Filing and Order Granting Accelerated Approval to Proposed Rule
Change as Modified by Amendments No. 1, 2, and 3 Thereto Relating to
U.S. Dollar-Settled Foreign Currency Options) (``SR-Phlx-2026-34'').
\18\ Id at 78506.
\19\ Id at 78510.
\20\ Id at 78510.
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Foreign currency options established precedent to list and trade
index options overlying an underlying that is not a security, such as
proposed herein. Like foreign currency markets, the bitcoin market is
liquid and is characterized by a significant degree of volume and
turnover. As a result, the Exchange believes that sufficient venues
exist to provide investors with ready access to reliable information on
the spot market price of bitcoin for purposes of this product.\21\
While bitcoin is a novel asset, the requirements of a benchmark price
for bitcoin are no different from those required of a benchmark price
for any asset.
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\21\ Today, there are regulated bitcoin futures and options on
futures derivatives contracts from CME Group and Eurex AG, approved
regulated spot FTSE Bitcoin Index futures as well as a variety of
other regulated exchange traded products and funds in Canada,
Brazil, Hong Kong and Europe.
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Final Settlement
The final settlement value for Nasdaq Bitcoin Index Options would
be the CME CF Bitcoin Reference Rate--New York Variant (BRRNY) on the
expiration date (usually a Friday). BRRNY will be divided by a factor
of one hundred (100) to create a new settlement value to arrive at the
settlement value for Nasdaq Bitcoin Index Options, which will be
published as BRRNY--NOS (Nasdaq Options Settlement). BRRNY is a once-a-
day benchmark index price for bitcoin that aggregates trade data from
multiple bitcoin-USD markets operated by major cryptocurrency exchanges
that conform to the CME CF Constituent Exchange Criteria. It is
synchronized to the traditional U.S. financial market close of 1600 New
York Time and is calculated every single day of the year. The index is
a Registered Benchmark under UK BMR and as such is a Third Country
benchmark under the EU BMR Regime.
The BRRNY index is methodologically identical to the regulated CME
CF Bitcoin Reference Rate (BRR), the most widely used benchmark price
for Bitcoin, that settles the Bitcoin-USD derivatives complex listed by
CME Group, and which serves as the NAV for exchange listed investment
products from WisdomTree Europe, Evolve ETFs (CAN) and QR Asset
Management (BRZ). The only difference between the CME CF BRRNY and the
CME CF BRR, is that BRRNY references the price of bitcoin at the
closing time of U.S. markets, 16:00 New York Time, rather than the
price at 16:00 London Time, referenced by the BRR.
The purpose of BRRNY is to provide a replicable, manipulation-
resistant and representative Bitcoin benchmark that synchronizes with
the traditional U.S. market close. The CME CF Bitcoin Reference Rate--
New York Variant is a regulated Benchmark under the UK Benchmarks
Regulation (BMR) regime. The BRRNY calculation methodology aggregates
transactions of Bitcoins in U.S. dollars that are only conducted on the
most liquid markets for which data is publicly available and operated
by
[[Page 10550]]
exchanges that meet the CME CF Constituent Exchange Criteria.\22\
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\22\ See infra note 25.
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BRRNY is a valid and robust benchmark that is calculated from input
data of sufficient volume so that it is representative of the market it
seeks to measure. Additionally, BRRNY has volume sufficiency which
permits it be replicated by institutional market participants and
product providers that need to warehouse price risk. The below table
summarizes the total number of transactions and average number of
transactions per day observed each month for BRRNY.\23\ Between
February 28, 2022, and January 31, 2024 (weekdays only), on average
2,116.73 Bitcoins, or $59M were traded during each daily observation
window between 15:00 and 16:00 New York Time.\24\
---------------------------------------------------------------------------
\23\ The data represents both trade count and bitcoin volume
during the observation window.
\24\ BRRNY was launched on February 28, 2022. LMAX Digital was
added as a Constituent Exchange from May 2022.
[GRAPHIC] [TIFF OMITTED] TN24FE25.005
This trading activity exhibits volatility that is not substantially
different from that shown in traditional asset markets. The volume
observed and the reliability of that volume are clearly evident to be
sufficient for the calculation of a robust and reliable benchmark.
Phlx believes that Nasdaq Bitcoin Index Options will be utilized
for a wide range of activities such as asset valuation, settlement of
financial risk, risk management, NAV calculation, unit creation and
unit redemption. To that end, the index design is fair and transparent.
CF Benchmarks exclusively sources input data from Constituent Exchanges
that meet published criteria as set out in its Constituent Exchanges
Criteria and conducts a thorough review of any exchange under
consideration for inclusion as a Constituent Exchange.\25\ BRRNY
methodology takes an observation period and divides it into equal
partitions of time. The volume-weighted median of all transactions
within each partition is then calculated. The benchmark index value is
determined from the arithmetic mean of the volume-weighted medians,
equally weighted. As a result, individual trades of large size have
limited effect on the index level as they only influence the level of
the volume-weighted median for that specific partition. Further, a
cluster of trades in a short period of time will also only influence
the volume-weighted median of the partition or partitions they were
conducted in, thereby limiting impact. Use of volume-weighted medians
as opposed to volume-weighted means ensures that transactions conducted
at outlying prices do not have an undue effect on the value of a
specific partition. By not volume weighting partitions, trades of large
size or clusters of trades over a short period of time will not have an
undue influence on the index level. CF Benchmarks applies equal weight
to transactions observed from CME CF Constituent Exchanges. With no
pre-set weights, the BRRNY index is not readily subject to
manipulation. Using the arithmetic mean of partitions of equal weight
further denudes the effect of trades of large size at prices that
deviate from the prevailing price having undue influence on the
benchmark level.\26\
---------------------------------------------------------------------------
\25\ The criteria are available at: <a href="https://docs.cfbenchmarks.com/CME%20CF%20Constituent%20Exchanges%20Criteria.pdf">https://docs.cfbenchmarks.com/CME%20CF%20Constituent%20Exchanges%20Criteria.pdf</a>. The arrangements
of all Constituent Exchanges are reviewed annually to ensure that
they continue to meet all criteria specified within ``Constituent
Exchange Criteria.'' This due diligence is documented, and the
information is distributed to CF Benchmarks' oversight organs to
consider. The deliberations of oversight organs are conducted during
regular meetings, minutes of such meetings are publicly available,
being published by the administrator on its website.
\26\ See also <a href="https://www.cfbenchmarks.com/blog/suitability-analysis-of-the-cme-cf-bitcoin-reference-ratenew-york-variant-as-a-basis-for-regulated-financial-products-february-2024-update">https://www.cfbenchmarks.com/blog/suitability-analysis-of-the-cme-cf-bitcoin-reference-ratenew-york-variant-as-a-basis-for-regulated-financial-products-february-2024-update</a>.
---------------------------------------------------------------------------
BRRNY's methodology incorporates a procedure for potentially
erroneous data. Although volume-weighted medians of transaction prices
from individual data sources are not part of the benchmark
determination process, they are calculated as a means of quality
control and manipulation resistance. In the event of an instance of
index calculation in which a Constituent Exchange's volume-weighted
median transaction price exhibits an absolute percentage deviation from
the volume-weighted median price of other Constituent Exchange
transactions greater than the Potentially Erroneous Data Parameter
(10%), then transactions from that Constituent Exchange are deemed
potentially erroneous and excluded from the index calculation. All
instances of data excluded from a calculation trigger a Benchmark
Surveillance Alert that is investigated. By way of example, between
February 28, 2022, and January 31, 2024, the Potentially Erroneous Data
Parameter of the methodology for the CME CF Bitcoin Reference Rate--New
York Variant has never been triggered. Analysis of the max volume-
weighted median per exchange during the observation period produced the
results in the table. The results illustrate that during the
observation period, no Constituent Exchange's input data needed to be
excluded due to exhibiting potential manipulation and indeed no
individual cryptocurrency exchange exhibits a deviation percentage
above 2.41% during this period.
[[Page 10551]]
[GRAPHIC] [TIFF OMITTED] TN24FE25.006
CF Benchmarks has implemented a benchmark surveillance program for
the investigation of alerts. Instances of suspected benchmark
manipulation are escalated through appropriate regulatory channels in
accordance with CF Benchmarks' obligations under the UK Benchmarks
Regulation (UK BMR). As a regulated Benchmark Administrator, CF
Benchmarks is subject to supervision by the UK FCA.\27\
---------------------------------------------------------------------------
\27\ Furthermore, CF Benchmarks' Control Procedures with respect
to compliance with the UK BMR have been audited by `Big Four'
accountancy firm Deloitte. The Independent Assurance Report on
Control Procedures Noted by CF Benchmarks Regarding Compliance with
the UK Benchmarks Regulation as of September 12, 2022 is available
at: <a href="https://docs.cfbenchmarks.com/Deloitte_CF%20Benchmarks%20SOC1%20Audit%20Report.pdf">https://docs.cfbenchmarks.com/Deloitte_CF%20Benchmarks%20SOC1%20Audit%20Report.pdf</a>.
---------------------------------------------------------------------------
In terms of correlation, an analysis was undertaken of the pair-
wise correlation of prices from Constituent Exchanges on a per-minute
basis (the price difference between transactions for each minute at
each exchange) during the observation period. The results are shown in
the below table.
[GRAPHIC] [TIFF OMITTED] TN24FE25.007
[[Page 10552]]
With respect to replicability, a simple replication simulation was
thereby conducted of BRRNY to demonstrate the extent of slippage that
implementation of the BRR would probably encounter. The methodology was
as follows for weekdays only.
[ssquf] Trades are executed on n (6) Constituent Exchanges, during
a 3,600-second window.
[ssquf] One trade is executed every second and the price achieved
is assumed to be the last execution price observed in that second. Its
associated volume is assumed to be the volume executed during that
second.
[ssquf] If no trade is completed in any single-second period, then
the price achieved is assumed to be the price achieved in the previous
second, but the associated volume from the previous second is not added
to the volume executed in the latest second.
The results of this simulation are displayed below.
[GRAPHIC] [TIFF OMITTED] TN24FE25.008
Summary data for the above simulation is provided below.
[GRAPHIC] [TIFF OMITTED] TN24FE25.009
As evidenced above, the BRRNY can be replicated with a high degree
of confidence and usually with slippage of no more than 1 basis point
(0.01%). On only 6.76% of days would slippage have been greater than 5
basis points (0.05%). Indeed, even on the most volatile day, slippage
was approximately one half of one percent, 51.6 basis points (0.516%).
Furthermore, in the 24-month period under observation slippage would
have been in double-digit basis points only 10 times.
As evidenced by the foregoing data, Nasdaq Bitcoin Index Options
are representative of the underlying market, resistant to manipulation,
and replicable by market participants.
Amendments to Exchange Rules
The proposal is designed to ensure that Nasdaq Bitcoin Index
Options are listed and traded under the same terms that apply to other
index options that are currently traded on the Exchange. The Exchange
proposes to create a new Options 4D, titled ``Nasdaq Bitcoin Index
Options,'' with rules that would apply specifically to the listing and
trading of Nasdaq Bitcoin Index Options.
Applicability
The proposed Options 4D Rules would be applicable to Nasdaq Bitcoin
Index Options. All Options Rules shall apply to Nasdaq Bitcoin Index
Options, in addition to the Options 4D Rules, however where the Options
4D Rules disagree with another Options Rule not within Options 4D a
conflict shall be resolved in favor of the Options 4D Rule as it
applies to Nasdaq Bitcoin Index Options.\28\
---------------------------------------------------------------------------
\28\ See proposed Options 4D, Section 1.
---------------------------------------------------------------------------
Definitions
The Exchange proposes to define certain terms for the trading of
Nasdaq Bitcoin Index Options in Options 4D, Section 2, titled
``Definitions.'' The Exchange proposes to utilize certain defined terms
in Options 4A, Section 1, such as ``aggregate exercise price,''
``current index value,'' ``exercise price,'' ``European-style index
option,'' ``index multiplier,'' and ``reporting authority.''
Specifically, the term ``aggregate exercise price'' shall be as
defined within Options 4A, Section 2(a).\29\ The term ``current index
value'' shall be as defined within Options 4A, Section 2(e).\30\ The
term ``exercise price'' shall be as defined within Options 4A, Section
2(f).\31\ The term ``European-style index option'' shall be as defined
within Options 4A, Section 2(g).\32\ The term ``index multiplier''
shall be as defined within Options 4A, Section 2(i).\33\ Finally, the
term ``reporting authority'' shall be as defined within Options 4A,
Section 2(o).\34\
---------------------------------------------------------------------------
\29\ See proposed Options 4D, Section 2(a)(1).
\30\ See proposed Options 4D, Section 2(a)(2).
\31\ See proposed Options 4D, Section 2(a)(3).
\32\ See proposed Options 4D, Section 2(a)(4).
\33\ See proposed Options 4D, Section 2(a)(5).
\34\ See proposed Options 4D, Section 2(a)(6).
---------------------------------------------------------------------------
The Exchange proposes to adopt a new term, ``Constituent
Exchange,'' in Options 4D, Section 2(a)(2) which shall be defined as a
cryptocurrency trading venue approved by the CME CF Cryptocurrency
Pricing Products Oversight Committee to serve as pricing source for the
calculation of a CME CF Cryptocurrency Reference Rate-New York Variant
or CME CF Cryptocurrency Real Time Index, collectively known as the CME
CF Cryptocurrency Pricing Products.\35\ The Exchange proposes to define
the term ``underlying'' at proposed Options 4D, Section 2(a)(7) with
respect to Nasdaq Bitcoin Index Options to mean the bitcoin that is the
basis for the calculation of the index. The Exchange notes that the
term ``unit of foreign currency'' is defined at Options 4C, Section
2(b)(4) and also does not refer to a security for the listing of index
options on foreign currencies.
---------------------------------------------------------------------------
\35\ Of note, Nasdaq Bitcoin Index Options will have an
aggregated price derived from Constituent Exchanges, whereas broad-
based indices have components.
---------------------------------------------------------------------------
The Exchange also proposes to note in Supplementary Material .01 to
Options
[[Page 10553]]
4C, Section 2 that CF Benchmarks shall be the reporting authority for
Nasdaq Bitcoin Index Options.
Trading Sessions
Options 4D, Section 3, titled ``Trading Sessions,'' notes that
Nasdaq Bitcoin Index Options may be effected on the Exchange between
the hours of 9:30 a.m. (Eastern time) and 4:15 p.m. (Eastern time),
except that on the last trading day, transactions in expiring in Nasdaq
Bitcoin Index Options may be effected on the Exchange between the hours
of 9:30 a.m. (Eastern time) and 4:00 p.m. (Eastern time). As is the
case for all index options listed on Phlx, General 3, Rule 1030 governs
the days the Exchange will be open for business.\36\ These hours are
consistent with trading hours for index options listed on Phlx.
---------------------------------------------------------------------------
\36\ See proposed Options 4D, Section 3(a).
---------------------------------------------------------------------------
Designation of an Index
Unlike other index options, Nasdaq Bitcoin Index Options need not
meet the requirements of Options 4, Section 3 or Options 4A, Section
3.\37\ The Exchange does not propose to designate Nasdaq Bitcoin Index
Options as a broad based, narrow based or sector index. Of note, index
options on foreign currencies are also not designated as a broad based,
narrow based or sector index.
---------------------------------------------------------------------------
\37\ See proposed Options 4D, Section 4.
---------------------------------------------------------------------------
Minimum Increments
As proposed, Nasdaq Bitcoin Index Options would have a minimum
increment of $0.01 for all series.\38\ Similar to the Nasdaq 100 Micro
Index (``XND'') that are based on 1/100th of the value of the Nasdaq-
100 Index, the Exchange proposes this increment given the 1/100th
relationship to the BRRNY. Nasdaq Bitcoin Index Options would be quoted
and traded in U.S. dollars.\39\
---------------------------------------------------------------------------
\38\ See proposed Supplementary Material .06 to Options 3,
Section 3.
\39\ Phlx Options 4A, Section 12(a)(1) titled ``Meaning of
Premium Bids and Offers,'' provides that bids and offers shall be
expressed in terms of dollars and decimal equivalents of dollars per
unit of the index (e.g., a bid of 85.50 would represent a bid of
$85.50 per unit).
---------------------------------------------------------------------------
Position and Exercise Limits
Generally, Options 9, Section 13 shall govern position limits for
Nasdaq Bitcoin Index Options, except as modified by this Options 4D,
Section 6. Position Limits for Nasdaq Bitcoin Index Options shall be
equal to 250,000 contracts on the same side of the market, restricted
to no more than 150,000 near-term contracts.\40\ All position limit
hedge exemptions applicable to broad-based index options would also
apply to Nasdaq Bitcoin Index Options. Nasdaq Bitcoin Index Options
contracts would not be aggregated with options contracts. Nasdaq
Bitcoin Index Options positions in Short Term Option Series, Monthly
Options Series, and Quarterly Options Series shall be aggregated.\41\
The proposed position limits are similar to those applied to broad-
based index options.
---------------------------------------------------------------------------
\40\ See proposed Options 4D, Section 6(a).
\41\ See proposed Options 4D, Section 6(b).
---------------------------------------------------------------------------
Each member or member organization that maintains a position on the
same side of the market in excess of 100,000 contracts for its own
account or for the account of a customer in excess of 100,000 contracts
for its own account or for the account of a customer in Nasdaq Bitcoin
Index Options, would be required to file a report with the Exchange
that includes, but is not limited to, data related to the option
positions, whether such positions are hedged and if applicable, a
description of the hedge and information concerning collateral used to
carry the positions. Market Makers would be exempt from this reporting
requirement.\42\ Finally, exercise limits for index option contracts on
Nasdaq Bitcoin Index Options shall be equivalent to the position limits
described in Options 4D, Section 6.\43\ Nasdaq Bitcoin Index Options
are cash-settled.
---------------------------------------------------------------------------
\42\ See proposed Options 4D, Section 6(c).
\43\ See proposed Options 4D, Section 6(d).
---------------------------------------------------------------------------
Terms of Index Options Contracts
As noted herein, the Exchange proposes to provide for the listing
and trading of Nasdaq Bitcoin Index Options, a new index that reflects
the price of bitcoin as represented by the CME CF Bitcoin Real Time
Index, a once a second benchmark index price for bitcoin that
aggregates order data from Bitcoin-USD markets operated by major
cryptocurrency exchanges that conform to the CME CF Constituent
Exchange Criteria.
Similar to other index options at Options 4A, Section 12(a)(1),
bids and offers on Nasdaq Bitcoin Index Options would be expressed in
terms of dollars and cents per unit of the index.\44\ The Exchange
shall determine fixed-point intervals of exercise prices for call and
put options.\45\
---------------------------------------------------------------------------
\44\ See proposed Options 4D, Section 7(a)(1).
\45\ See proposed Options 4D, Section 7(a)(2).
---------------------------------------------------------------------------
As proposed, strike price intervals of no less than $2.50 are
generally permitted for Nasdaq Bitcoin Index Options, if the strike
price is less than $200. This is the case today for XND, which is based
on 1/100th of the value of the Nasdaq-100 Index.\46\ Similar to XND,
the Exchange may also determine to list strike prices at $1 or greater,
subject to certain conditions. The Exchange may list series at $1 or
greater strike price intervals for Nasdaq Bitcoin Index Options and
will list at least two strike prices above and two strike prices below
the current value of the Nasdaq Bitcoin Index Options at about the time
a series is opened for trading on the Exchange. The Exchange shall list
strike prices for Nasdaq Bitcoin Index Options that are within 5 points
from the closing value of Nasdaq Bitcoin Index Options on the preceding
day.\47\
---------------------------------------------------------------------------
\46\ See proposed Options 4D, Section 7(a)(3).
\47\ See proposed Options 4D, Section 7(a)(3)(A).
---------------------------------------------------------------------------
Additional series of the same class of Nasdaq Bitcoin Index Options
may be opened for trading on the Exchange when the Exchange deems it
necessary to maintain an orderly market, to meet customer demand or
when the underlying Nasdaq Bitcoin Index Options moves substantially
from the initial exercise price or prices. To the extent that any
additional strike prices are listed by the Exchange, such additional
strike prices shall be within thirty percent (30%) above or below the
closing value of Nasdaq Bitcoin Index Options. The Exchange may also
open additional strike prices that are more than 30% above or below the
current Nasdaq Bitcoin Index Options value provided that demonstrated
customer interest exists for such series, as expressed by
institutional, corporate or individual customers or their brokers.
Market-Makers trading for their own account shall not be considered
when determining customer interest under this provision. In addition to
the initial listed series, the Exchange may list up to sixty (60)
additional series per expiration month for each series in Nasdaq
Bitcoin Index Options.\48\
---------------------------------------------------------------------------
\48\ See proposed Options 4D, Section 7(a)(3)(B).
---------------------------------------------------------------------------
The Exchange shall not list LEAPS on Nasdaq Bitcoin Index Options
Nasdaq Bitcoin Index Options at intervals less than $5.\49\
---------------------------------------------------------------------------
\49\ See proposed Options 4D, Section 7(a)(3)(C).
---------------------------------------------------------------------------
With respect to delisting, Nasdaq Bitcoin Index Options added
pursuant Options 4D, Section 7(a)(3)(A) and (B) will be reviewed by the
Exchange on a monthly basis. The Exchange will review series that are
outside a range of five (5) strikes above and five (5) strikes below
the current value Nasdaq Bitcoin Index Options, and delist series with
no open interest in both the put and the call series having a: (i)
strike higher than the highest strike price with open interest in the
put and/or call series for a given expiration month; and (ii) strike
[[Page 10554]]
lower than the lowest strike price with open interest in the put and/or
call series for a given expiration month.\50\ Notwithstanding this
delisting policy, customer requests to add strikes and/or maintain
strikes in Nasdaq Bitcoin Index Options series eligible for delisting
shall be granted.\51\ If the Exchange identifies series for delisting,
the Exchange shall notify other options exchanges with similar
delisting policies regarding eligible series for delisting, and shall
work with such other exchanges to develop a uniform list of series to
be delisted, so as to ensure uniform series delisting of multiply
listed Nasdaq Bitcoin Index Options.\52\
---------------------------------------------------------------------------
\50\ See proposed Options 4D, Section 7(a)(3)(D).
\51\ See proposed Options 4D, Section 7(a)(3)(D)(1).
\52\ See proposed Options 4D, Section 7(a)(3)(D)(2).
---------------------------------------------------------------------------
Notwithstanding any other provision regarding strike prices in
Options 4D, Section 6, non-Short Term Options that are on Nasdaq
Bitcoin Index Options that have been selected to participate in the
Short Term Option Series Program (referred to as a ``Related non-Short
Term Option series'') shall be opened during the month prior to
expiration of such Related non-Short Term Option series in the same
manner as permitted in Supplementary .01 of Options 4D, Section 6 and
in the same strike price intervals that are permitted in Supplementary
.01 of Options 4D, Section 6.\53\ The Exchange proposes to adopt the
same strike price intervals for Nasdaq Bitcoin Index Options as are
listed for XND options on Phlx at Supplementary Material .02 to Options
4A, Section 12.
---------------------------------------------------------------------------
\53\ See proposed Options 4D, Section 7(a)(3)(E).
---------------------------------------------------------------------------
As is the case for index options at Options 4A, Section 12(a)(4),
the Exchange proposes to state that Nasdaq Bitcoin Index Options
contracts may expire at three (3)-month intervals, in consecutive weeks
or in consecutive months. The Exchange may list: (i) up to six (6)
standard monthly expirations at any one time in a class of Nasdaq
Bitcoin Index Options, but will not list Nasdaq Bitcoin Index Options
that expire more than twelve (12) months out.\54\
---------------------------------------------------------------------------
\54\ See proposed Options 4D, Section 7(a)(4).
---------------------------------------------------------------------------
Nasdaq Bitcoin Index Options would be European-style index
options.\55\
---------------------------------------------------------------------------
\55\ See proposed Options 4D, Section 7(a)(5).
---------------------------------------------------------------------------
Nasdaq Bitcoin Index Options would be P.M.-settled and the exercise
settlement value would be derived from closing prices on the expiration
day. The last day of trading for P.M.-settled index options would be
the business day of expiration, or, in the case of a Nasdaq Bitcoin
Index Options contract expiring on a day that is not a business day, on
the last business day before its expiration date. The current index
value at expiration of Nasdaq Bitcoin Index Options is determined by
the last reported sale price of each component. In the event that the
underlying does not open for trading on the expiration date, the price
of Nasdaq Bitcoin Index Options shall be the last reported sale price
prior to the expiration date.\56\ The Exchange believes that market
participants, and in particular, retail investors, prefer P.M.-settled
index options. P.M.-settlement is preferred by retail investors as it
allows market participants to hedge their exposure for the full week.
A.M.-settled options by contrast are based on opening prices on the day
of expiration and therefore stop trading on the day prior, leaving
residual risk on the day of expiration. P.M.-settlement is needed to
garner retail investor support for this product.
---------------------------------------------------------------------------
\56\ See proposed Options 4D, Section 7(a)(6).
---------------------------------------------------------------------------
Similar to index options at Options 4A, Section 12(b), after a
particular class of Nasdaq Bitcoin Index Options has been approved for
listing and trading on the Exchange, the Exchange shall from time to
time open for trading series of options therein. Within each approved
class of Nasdaq Bitcoin Index Options, the Exchange shall open for
trading a minimum of one expiration month and series for each class of
approved Nasdaq Bitcoin Index Options and may also open for trading
series of options having not less than twelve and up to 60 months to
expiration (``Long-Term Index Options Series'').\57\ Prior to the
opening of trading in any series of Nasdaq Bitcoin Index Options, the
Exchange shall fix the expiration month and exercise price of option
contracts included in each such series.\58\
---------------------------------------------------------------------------
\57\ See proposed Options 4D, Section 7(b)(2).
\58\ See proposed Options 4D, Section 7(b).
---------------------------------------------------------------------------
Also, similar to index options at Options 4A, Section 12(b)(1),
additional series of Nasdaq Bitcoin Index Options of the same class may
be opened for trading on the Exchange when the Exchange deems it
necessary to maintain an orderly market, to meet customer demand or
when the market price of the underlying index moves more than five
strike prices from the initial exercise price or prices. The opening of
a new series of options shall not affect the series of options of the
same class previously opened. New series of Nasdaq Bitcoin Index
Options may be added until the beginning of the month in which the
options contract will expire. Due to unusual market conditions, the
Exchange, in its discretion, may add a new series of Nasdaq Bitcoin
Index Options until the fourth business day prior to the business day
of expiration, or, in the case of Nasdaq Bitcoin Index Options contract
expiring on a day that is not a business day, up to the fifth business
day prior to expiration.\59\
---------------------------------------------------------------------------
\59\ See proposed Options 4D, Section 7(b)(1).
---------------------------------------------------------------------------
The Exchange would also list Long-Term Option Series or ``LEAPs.''
Similar to index options at Options 4A, Section 12(b)(2), the Exchange
proposes that it may list LEAPs on Nasdaq Bitcoin Index Options that
expire from twelve (12) to sixty (60) months from the date of issuance.
There may be up to ten (10) expiration months, none further out than
sixty (60) months. Strike price intervals and continuity Rules shall
not apply to such options series until the time to expiration is less
than twelve (12) months. Bid/ask differentials for LEAPs are specified
within Options 2, Section 4(b)(4)(i)(A).\60\ Also similar to index
options at Options 4A, Section 12(b)(1), when new Nasdaq Bitcoin Index
Options LEAPs are listed, such series would be opened for trading
either when there is buying or selling interest, or forty (40) minutes
prior to the close, whichever occurs first. No quotations would be
posted for such options series until they are opened for trading.\61\
---------------------------------------------------------------------------
\60\ See proposed Options 4D, Section 7(b)(2)(a).
\61\ See proposed Options 4D, Section 7(b)(2)(a)(i).
---------------------------------------------------------------------------
Similar to index options at Options 4A, Section 12(d), the reported
level of the underlying index that is calculated by the reporting
authority for purposes of determining the current index value at the
expiration of Nasdaq Bitcoin Index Options may differ from the level of
the index that is separately calculated and reported by the reporting
authority and that reflects trading activity subsequent to the opening
of trading in the underlying.\62\
---------------------------------------------------------------------------
\62\ See proposed Options 4D, Section 7(c).
---------------------------------------------------------------------------
The Exchange proposes to note in Supplementary .01 to Options 4D,
Section 7 that the Short Term Options Series Program listing rules at
Options 4A, Section 12(b)(4) shall be applicable to Nasdaq Bitcoin
Index Options. The Monthly Options Series Program at Options 4A,
Section 12(b)(5) shall be applicable to Nasdaq Bitcoin Index Options.
Finally, the Quarterly Options Series Program at Options 4A, Section
12(b)(3) shall be applicable to Nasdaq Bitcoin Index Options. These
listing rules shall be applicable to an underlying as defined in
proposed Options 4D, Section 2(a)(7).
The Exchange proposes to describe the settlement of Nasdaq Bitcoin
Index Options in Options 4D, Section 9, titled
[[Page 10555]]
``Closing Settlement Value.'' Nasdaq Bitcoin Index Options would be
settled in U.S. dollars on the business day following expiration. Cash
settlement would be equal to the difference between the final
settlement value and the strike price of the contract multiplied by
$100.\63\
---------------------------------------------------------------------------
\63\ See proposed Options 4D, Section 8(a).
---------------------------------------------------------------------------
The Nasdaq Bitcoin Index Options final settlement value would be
the CME CF Bitcoin Reference Rate--New York Variant (BRRNY) on the
expiration date (usually a Friday). BRRNY would be divided by a factor
of one hundred (100) and published as BRRNY--NOS (Nasdaq Options
Settlement). Nasdaq Bitcoin Index Options will have a multiplier of
$100.\64\ As noted herein, BRRNY is a once-a-day benchmark index price
for bitcoin that aggregates trade data from multiple bitcoin-USD
markets operated by major cryptocurrency exchanges that conform to the
CME CF Constituent Exchange Criteria. This index price for bitcoin risk
settlement is synchronized to the traditional U.S. financial market
close of 1600 New York Time and is calculated every single day of the
year. BRRNY is a benchmark registered under UK Benchmark Regulations
and as such is a third country benchmark under the EU BMR Regime.
Specifically, the BRRNY is calculated based on the Relevant
Transactions. Relevant Transactions include those that trade bitcoin
versus U.S. Dollars that occur from 15:00 to 16:00 New York Time on a
CME CF Constituent Exchange that is reported through its API to the
Calculation Agent of all CME CF Constituent Exchanges.\65\
---------------------------------------------------------------------------
\64\ By way of example, if the bitcoin index if 576.97, with a
$100 multiplier the notional value would be $57,697.00.
\65\ See proposed Options 4D, Section 8(b).
---------------------------------------------------------------------------
Settlement is calculated by combining all Relevant Transactions on
a joint list and recording the trade price and size for each
transaction. That list is partitioned into a number of equally-sized
time intervals, of 5 minutes. For each partition \66\ separately, the
volume-weighted median \67\ trade price is calculated from the trade
prices and sizes of all Relevant Transactions, i.e., across all
Constituent Exchanges.\68\ A volume-weighted median differs from a
standard median in that a weighting factor, in this case trade size, is
factored into the calculation.\69\ For each partition k, the volume-
weighted median trade prices WM across all Relevant Transactions is
calculated as:
---------------------------------------------------------------------------
\66\ CME CF Cryptocurrency Reference Rates are calculated as the
equally-weighted average of the intermediate calculation steps for
the K partitions. A single large trade or cluster of trades
occurring in any one partition will therefore only have a limited
effect on CME CF Cryptocurrency Reference Rates. See <a href="https://www.cfbenchmarks.com/data/indices/BRRNY">https://www.cfbenchmarks.com/data/indices/BRRNY</a>.
\67\ Spot prices have historically varied considerably across
trading venues, in particular during times of high volatility. The
use of medians to calculate the weighted median trade price for each
partition (as opposed to averages) greatly reduces CME CF
Cryptocurrency Reference Rates' susceptibility to price extremes on
one or more Constituent Exchanges. See <a href="https://www.cfbenchmarks.com/data/indices/BRRNY">https://www.cfbenchmarks.com/data/indices/BRRNY</a>. Trading is driven to some extent by automated
algorithms that may execute a high number of small trades. The use
of volume-weighted medians to calculate the weighted median trade
price for each partition (as opposed to simple medians) assures that
CME CF Cryptocurrency Reference Rates appropriately reflect large
trades and that whether an order is executed in parts or in full has
no effect on calculation results.
\68\ Partitions are equally-weighted (as opposed to volume-
weighted) to facilitate replication of CME CF Cryptocurrency
Reference Rates through trading on Constituent Exchanges. Assuming K
partitions, a trader aiming to transact Y units of the relevant
cryptocurrency at the CME CF Cryptocurrency Reference Rates can do
so with little tracking error by transacting Y/K units of the
cryptocurrency during each partition. See <a href="https://www.cfbenchmarks.com/data/indices/BRRNY">https://www.cfbenchmarks.com/data/indices/BRRNY</a>.
\69\ See proposed Options 4D, Section 8(b).
[GRAPHIC] [TIFF OMITTED] TN24FE25.010
The CME CF BRRNY is then given by the equally weighted average of
the volume-weighted medians of all partitions.\70\ The CME CF
Cryptocurrency Reference Rate as of the effective time T, CCRR, is then
given by:
---------------------------------------------------------------------------
\70\ See proposed Options 4D, Section 8(b).
[GRAPHIC] [TIFF OMITTED] TN24FE25.011
Delayed data and missing data are subject to certain rules. Any
Relevant Transaction for a given Calculation Day that is not available
from a Constituent Exchange's API by the Retrieval Time is disregarded
in the calculation of the CME CF Cryptocurrency Reference Rate for that
Calculation Day. If no Relevant Transaction occurs on a Constituent
Exchange on a given Calculation Day or one or more Relevant
Transactions occur but for any reason cannot be retrieved by the
Calculation Agent, the Constituent Exchange is disregarded in the
calculation of the CME CF Cryptocurrency Reference Rate for that
Calculation Day. If, for any of the K partitions of the TWAP Period, no
Relevant Transaction occurs on any Constituent Exchange or one or more
Relevant Transactions occur but for any reason cannot be retrieved by
the Calculation Agent, the partition remains empty and will be
disregarded in the calculation of the CME CF Cryptocurrency Reference
Rate for that Calculation Day. The denominator in Eq. 2 above will then
be decremented by the number of empty partitions. If one or more
Relevant Transactions occur but for any reason no Relevant Transaction
can be retrieved from any Constituent Exchange API by the Calculation
Agent, a CME CF Cryptocurrency Reference Rate calculation failure
occurs for that Calculation Day. All Relevant
[[Page 10556]]
Transactions retrieved by the Calculation Agent for a given Calculation
Day are subject to an automated screening for erroneous data.\71\
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\71\ See <a href="https://docs.cfbenchmarks.com/CME%20CF%20Reference%20Rates%20Methodology.pdf">https://docs.cfbenchmarks.com/CME%20CF%20Reference%20Rates%20Methodology.pdf</a>.
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Similar to other index options,\72\ neither the Exchange, nor any
agent of the Exchange would have any liability for damages, claims,
losses or expenses caused by any errors, omissions, or delays in
calculating or disseminating the current settlement value or the
closing settlement value resulting from an act, condition, or cause
beyond the reasonable control of the Exchange including but not limited
to, an act of God; fire; flood; extraordinary weather conditions; war;
insurrection; riot; strike; accident; action of government;
communications or power failure; equipment or software malfunction; any
error, omission, or delay in the reports of transactions in one or more
underlying currencies or any error, omission or delay in the reports of
the current settlement value or the closing settlement value by the
Exchange.\73\ The Exchange shall post the closing settlement value
BRRNY--NOS (Nasdaq Options Settlement) on its website or disseminate it
through one or more major market data vendors.\74\
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\72\ See Options 4A, Sections 20 and 21.
\73\ See proposed Options 4D, Section 8(c).
\74\ See proposed Options 4D, Section 8(d).
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The Exchange proposes to adopt ``Disclaimers'' at Options 4D,
Section 9. As noted herein, CF Benchmarks shall be the reporting
authority for Nasdaq Bitcoin Index Options.\75\ Other options markets
provide similar disclaimers for the reporting authority.\76\
---------------------------------------------------------------------------
\75\ See proposed Supplementary Material to Options 4C, Section
2.
\76\ See Nasdaq ISE, LLC Options 4A, Section 14.
---------------------------------------------------------------------------
The Exchange proposes to provide at Options 4D, Section 9 that no
reporting authority, and no affiliate of a reporting authority (each
such reporting authority, its affiliates, and any other entity
identified in Options 4D, Section 9 are referred to collectively as a
``Reporting Authority''), makes any warranty, express or implied, as to
the results to be obtained by any person or entity from the use of an
index it publishes, any opening, intra-day or closing value therefor,
or any data included therein or relating thereto, in connection with
the trading of any options contract based thereon or for any other
purpose. The Reporting Authority shall obtain information for inclusion
in, or for use in the calculation of, such index from sources it
believes to be reliable, but the Reporting Authority does not guarantee
the accuracy or completeness of such index, any opening, intra-day or
closing value therefor, or any date included therein or related
thereto. The Reporting Authority hereby disclaims all warranties of
merchantability or fitness for a particular purpose or use with respect
to such index, any opening, intra-day, or closing value therefor, any
data included therein or relating thereto, or any options contract
based thereon. The Reporting Authority shall have no liability for any
damages, claims, losses (including any indirect or consequential
losses), expenses, or delays, whether direct or indirect, foreseen or
unforeseen, suffered by any person arising out of any circumstance or
occurrence relating to the person's use of such index, any opening,
intra-day or closing value therefor, any data included therein or
relating thereto, or any options contract based thereon, or arising out
of any errors or delays in calculating or disseminating such index.
Margin
The Exchange proposes to apply margin requirements for the purchase
and sale of Nasdaq Bitcoin Index Options that are identical to those
applied for its broad-based index options. Therefore, purchases of puts
or calls with 9 months or less until expiration must be paid for in
full. Writers of uncovered puts or calls must deposit/maintain 100% of
the option proceeds plus 15% of the underlying index value less out-of-
the-money amount, if any, to a minimum of option proceeds plus 10% of
underlying index value for calls; 10% of the put exercise price for
puts.
Regulatory Rules
The trading of Nasdaq Bitcoin Index Options would be subject to the
same rules that presently govern the trading of index options on Phlx,
including sales practice rules and trading rules. Options 10, Section
6, ``Opening of Accounts,'' is designed to protect public customer
trading and shall apply to trading in Nasdaq Bitcoin Index Options.
Specifically, Options 10, Section 6(a) prohibits members and member
organizations from accepting a customer order to purchase or write an
option, including Nasdaq Bitcoin Index Options, unless such customer's
account has been approved in writing by an Options Principal.
Additionally, Phlx Options 10, Section 8, ``Suitability of
Recommendations,'' is designed to ensure that options, including Nasdaq
Bitcoin Index Options, are only sold to customers capable of evaluating
and bearing the risks associated with trading in this instrument.
Further, Phlx Options 10, Section 9, ``Discretionary Accounts,''
permits members and member organizations to exercise discretionary
power with respect to trading options, including Nasdaq Bitcoin Index
Options, in a customer's account only if the customer has given prior
written authorization and the account has been accepted in writing by a
Registered Options Principal. Phlx Options 10, Section 9 also requires
a record to be made of every option transaction for an account in
respect to which a member or member organization or a partner, officer
or employee of a member organization is vested with any discretionary
authority, such record to include the name of the customer, the
designation, number of contracts and premium of the option contracts,
the date and time when such transaction took place and clearly
reflecting the fact that discretionary authority was exercised.
Finally, Phlx Options 10, Section 7, ``Supervision of Accounts,'' Phlx
Options 10, Section 10, ``Confirmations to Customers,'' and Phlx
Options 10, Section 13, ``Delivery of Options Disclosure Documents and
Prospectus,'' will also apply to trading in Nasdaq Bitcoin Index
Options.
The trading of Nasdaq Bitcoin Index Options will be subject to the
trading halt procedures applicable to other index options traded on the
Exchange.\77\
---------------------------------------------------------------------------
\77\ Phlx Options 4A, Section 18(c), Trading Rotations, Halts or
Reopenings.
---------------------------------------------------------------------------
The Exchange believes that all Phlx and OCC members will be able to
accommodate trading, clearance and settlement of Nasdaq Bitcoin Index
Options without alteration.
Surveillance
In 2024, the Commission approved various rule changes to list and
trade Spot Bitcoin ETPs.\78\ The Commission noted in the Spot Bitcoin
ETPs Approval Order that, ``. . . one way an exchange that lists
bitcoin-based exchange-traded products (``ETPs'') can meet the
obligation under Exchange Act Section 6(b)(5) that its rules be
designed to prevent fraudulent and manipulative acts and practices is
by demonstrating that the exchange has a comprehensive surveillance-
sharing agreement with a regulated market of significant size related
to the underlying or reference bitcoin assets. Such an agreement would
assist in detecting and deterring fraud and manipulation related to
that underlying asset.'' The Commission has recognized that the
``regulated market of significant size'' standard is not the only means
for satisfying Section 6(b)(5) of the Act, specifically providing that
a
[[Page 10557]]
listing exchange could demonstrate that ``other means to prevent
fraudulent and manipulative acts and practices'' are sufficient to
justify dispensing with the requisite surveillance-sharing
agreement.\79\ For example, in approving the Spot Bitcoin ETPs, the
Commission found that there were ``sufficient `other means' of
preventing fraud and manipulation,'' including that:
---------------------------------------------------------------------------
\78\ See supra note 16.
\79\ See Securities Exchange Act Release No. 83723 (July 26,
2018), 83 FR 37579 at 37580 (August 1, 2018) (The ``Winklevoss
Order''). The Commission has also specifically noted that it ``is
not applying a `cannot be manipulated' standard; instead, the
Commission is examining whether the proposal meets the requirements
of the Exchange Act and, pursuant to its Rules of Practice, places
the burden on the listing exchange to demonstrate the validity of
its contentions and to establish that the requirements of the
Exchange Act have been met.'' See Winklevoss Order, 83 FR at 37582.
[B]ased on the record before the Commission and the improved
quality of the correlation analysis in the record, including the
Commission's own analysis, the Commission is able to conclude that
fraud or manipulation that impacts prices in spot bitcoin markets
would likely similarly impact CME bitcoin futures prices. And
because the CME's surveillance can assist in detecting those impacts
on CME bitcoin futures prices, the Exchanges' comprehensive
surveillance-sharing agreement with the CME--a U.S. regulated market
whose bitcoin futures market is consistently highly correlated to
spot bitcoin, albeit not of ``significant size'' related to spot
bitcoin--can be reasonably expected to assist in surveilling for
fraudulent and manipulative acts and practices in the specific
context of the [Spot Bitcoin ETPs].\80\
---------------------------------------------------------------------------
\80\ See Spot Bitcoin ETPs Approval Order 89 FR 3010 and 3011.
As described in the Spot Bitcoin ETPs Approval Order, there is
currently a regulated U.S. market with respect to spot bitcoin, the CME
bitcoin futures (``Bitcoin Futures'') market.\81\ In its Spot Bitcoin
ETPs Approval Order, the Commission found there was a high price
correlation between the underlying and the futures market.\82\ The
proposed Nasdaq Bitcoin Index Options and the various Spot Bitcoin ETPs
reference the same underlying market for spot bitcoin that trade on
spot bitcoin trading platforms.
---------------------------------------------------------------------------
\81\ CME began offering trading in Bitcoin Futures in 2017. Each
contract represents five bitcoin and is based on the CME CF Bitcoin
Reference Rate. The contracts trade and settle like other cash
settled commodity futures contracts.
\82\ A correlation analysis was conducted by the Commission in
analyzing the Spot Bitcoin ETP proposals. The results of the
Commission's analysis confirmed that the CME bitcoin futures market
has been consistently highly correlated with the subset of the spot
bitcoin market utilized in the analysis for the timeframe reviewed.
See Spot Bitcoin ETPs Approval Order at 89 FR 3010.
---------------------------------------------------------------------------
Specifically, the Exchange has a comprehensive surveillance-sharing
agreement with the CME via its common membership in ISG, which
facilitates the sharing of information that is available to the CME
through its surveillance of its markets, including its surveillance of
the Bitcoin Futures market. Similar to the Spot Bitcoin ETPs previously
approved by the SEC, Nasdaq's ability to obtain information regarding
trading in the Bitcoin Futures market from other markets that are
members of the ISG (specifically the CME) would assist Nasdaq in
detecting and deterring misconduct.
Further, the exchanges that list Spot Bitcoin ETPs comprehensively
surveil market conditions and price movements on a real time and
ongoing basis in order to detect and prevent price distortions,
including price distortions caused by manipulative efforts. Thus, the
CME's surveillance as well as Nasdaq's surveillance and other equity
markets that list Spot Bitcoin ETPs can reasonably be relied upon to
capture the effects on the Bitcoin Futures market and Spot Bitcoin
ETPs, as applicable, that are caused by a person attempting to
manipulate the futures ETP or Spot Bitcoin ETPs by manipulating the
price of bitcoin futures contracts or Spot Bitcoin ETPs, whether that
attempt is made by directly trading on the Bitcoin Futures market or
Spot Bitcoin ETPs, or indirectly by trading outside of the Bitcoin
Futures market or Spot Bitcoin ETPs.
The Exchange would have an adequate surveillance program in place
for Nasdaq Bitcoin Index Options as it intends to apply the same
program procedures that it applies to the Exchange's other index
options products.\83\ Index products and their respective symbols are
integrated into the Exchange's existing surveillance system
architecture and are thus subject to the relevant surveillance
processes. This is true for both surveillance system processing and
manual processes that support the Phlx's surveillance program.
Additionally, the Exchange is also a member of the Intermarket
Surveillance Group (``ISG'') under the Intermarket Surveillance Group
Agreement. ISG members work together to coordinate surveillance and
investigative information sharing in the stock and options markets.
Both the Exchange and CME are members of ISG.\84\
---------------------------------------------------------------------------
\83\ The surveillance program includes real-time patterns for
price and volume movements and post-trade surveillance patterns
(e.g., spoofing, marking the close, pinging, phishing).
\84\ For a list of the current members and affiliate members of
ISG, see <a href="https://www.isgportal.com/">https://www.isgportal.com/</a>.
---------------------------------------------------------------------------
The Exchange, in its normal course of surveillance, will monitor
for any potential manipulation of the Nasdaq Bitcoin Index Options
settlement value according to the Exchange's current procedures. The
Exchange believes that its surveillance procedures currently in place
will allow it to adequately surveil for any potential manipulation in
the trading of Nasdaq Bitcoin Index Options.
Capacity
The Exchange represents that it has the necessary system capacity
to support additional quotations and messages that will result from the
listing and trading Nasdaq Bitcoin Index Options. Finally, the Options
Price Reporting Authority (``OPRA'') has the necessary systems capacity
to handle the additional traffic associated with the listing of Nasdaq
Bitcoin Index Options. The proposal is limited to one new class and the
additional traffic that would be generated from the introduction of
Nasdaq Bitcoin Index Options would be manageable and well within any
systems capacity capabilities.
2. Statutory Basis
The Exchange believes that its proposal is consistent with Section
6(b) of the Act,\85\ in general, and furthers the objectives of Section
6(b)(5) of the Act,\86\ in particular, in that it will permit trading
in Nasdaq Bitcoin Index Options pursuant to rules designed to prevent
fraudulent and manipulative acts and practices and promote just and
equitable principles of trade. In particular, the Exchange believes the
proposed rule change will further the Exchange's goal of introducing
new and innovative products to the marketplace. The Exchange believes
that listing Nasdaq Bitcoin Index Options will provide an opportunity
for investors to hedge, or speculate on, the market risk associated
with trading bitcoin. This proposal offers market participants with
choice of product structures for bitcoin exposure and offers a flexible
way to gain exposure to bitcoin through transparent, regulated index
options.
---------------------------------------------------------------------------
\85\ 15 U.S.C. 78f(b).
\86\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
In 2006, Phlx received approval to list and trade foreign currency
index options.\87\ These foreign currency options are cash-settled,
European-styled options, issued by OCC that permit holders to receive
U.S. dollars representing the difference between the current foreign
exchange spot price and
[[Page 10558]]
the exercise price of the option.\88\ Further, similar to this
proposal, Phlx noted in its rule change seeking approval for foreign
currency options (or ``U.S. dollar-settled FCOs'') that ``U.S. dollar-
settled FCOs would trade in the same general manner as equity index
options, which are also U.S. dollar-settled products.'' \89\ The
Commission noted in the SR-Phlx-2006-34 approval order that it believed
that, ``. . . . sufficient venues exist for obtaining reliable
information on the Currencies so that investors in U.S. dollar-settled
FCOs can monitor the underlying spot market in the Currencies. The
Commission also believes that the Phlx's procedures and the competitive
nature of the spot market for the [c]urrencies should help to ensure
that the settlement values for U.S. dollar-settled FCO contracts will
accurately reflect the spot price for foreign currencies . . .''.\90\
---------------------------------------------------------------------------
\87\ See Securities Exchange Act Release No. 54989 (December 21,
2006), 71 FR 78506 (December 29, 2006) (SR-Phlx-2006-34) (Notice of
Filing and Order Granting Accelerated Approval to Proposed Rule
Change as Modified by Amendments No. 1, 2, and 3 Thereto Relating to
U.S. Dollar-Settled Foreign Currency Options) (``SR-Phlx-2026-34'').
\88\ Id at 78506.
\89\ Id at 78508.
\90\ Id at 78510.
---------------------------------------------------------------------------
Foreign currency options established precedent to list and trade
index options overlying an underlying that is not a security, such as
proposed herein. Like foreign currency markets, the bitcoin market is
liquid and is characterized by a significant degree of volume and
turnover. As a result, the Exchange believes that sufficient venues
exist to provide investors with ready access to reliable information on
the price of bitcoin for purposes of this product.\91\ While bitcoin is
a novel asset, the requirements of a benchmark price for bitcoin are no
different from those required of a benchmark price for any asset.
---------------------------------------------------------------------------
\91\ Today, there are regulated bitcoin futures and options on
futures derivatives contracts from CME Group and Eurex AG, approved
regulated spot FTSE Bitcoin Index futures as well as a variety of
other regulated exchange traded products and funds in Canada,
Brazil, Hong Kong and Europe.
---------------------------------------------------------------------------
The introduction of Nasdaq Bitcoin Index Options will provide
investors with an additional tool to manage their portfolio, whether by
hedging or through diversification and will remove impediments to and
perfect the mechanism of a free and open market and a national market
system and, in general, protect investors because offering this new
product will provide investors with a greater opportunity to realize
the benefits of utilizing index options based on spot bitcoin,
including cost efficiencies and increased hedging strategies. In
particular, the Exchange believes that offering options Nasdaq Bitcoin
Index Options will benefit investors by providing them with an
additional, relatively lower cost risk management tool allowing them to
manage, more easily, their positions and associated risks, in their
portfolios in connection with exposure to spot bitcoin. Additionally,
this cash-settled index that permits holders to receive U.S. dollars
representing the difference between the current bitcoin spot market and
the exercise price of the option eliminates risks associated with
physical settlement such as volatility and movement in the underlying
at expiration. Today, the CME CF Bitcoin Reference Rate--New York
Variant for the Bitcoin--U.S. Dollar trading pair (the ``CF Benchmarks
Index'') constitutes the index for the following products: iShares
Bitcoin Trust ETF, Franklin Bitcoin ETF, Bitwise Bitcoin ETF, Valkyrie
Bitcoin Fund and ARK 21Shares Bitcoin ETF.
For the reasons which follow, the Exchange believes that Nasdaq
Bitcoin Index Options is designed to prevent fraudulent and
manipulative acts and practices and promote just and equitable
principles of trade. Nasdaq Bitcoin Index Options are representative of
the underlying market, resistant to manipulation, and replicable by
market participants, to be able to foster further institutional
participation in the underlying market that is being measured. The
final settlement value for Nasdaq Bitcoin Index Options would be the
CME CF Bitcoin Reference Rate--New York Variant (BRRNY) on the
expiration date (usually a Friday). BRRNY will be divided by a factor
of one hundred (100) to create a new settlement value to arrive at the
settlement value for Nasdaq Bitcoin Index Options and will be published
as BRRNY--NOS (Nasdaq Options Settlement). BRRNY is a once-a-day
benchmark index price for bitcoin that aggregates trade data from
multiple bitcoin-USD markets operated by major cryptocurrency exchanges
that conform to the CME CF Constituent Exchange Criteria. It is
synchronized to the traditional U.S. financial market close of 1600 New
York Time and is calculated every single day of the year. The index is
a Registered Benchmark under UK BMR and as such is a Third Country
benchmark under the EU BMR Regime.
The BRRNY index is methodologically identical to the regulated CME
CF Bitcoin Reference Rate (BRR), the most widely used benchmark price
for Bitcoin, that settles the Bitcoin-USD derivatives complex listed by
CME Group, and which serves as the NAV for exchange listed investment
products from WisdomTree Europe, Evolve ETFs (CAN) and QR Asset
Management (BRZ). The only difference between the CME CF BRRNY and the
CME CF BRR, is that BRRNY references the price of bitcoin at the
closing time of U.S. markets, 16:00 New York Time, rather than the
price at 16:00 London Time, referenced by the BRR.
The purpose of BRRNY is to provide a replicable, manipulation-
resistant and representative bitcoin benchmark that synchronizes with
the traditional U.S. market close. The CME CF Bitcoin Reference Rate--
New York Variant is a regulated Benchmark under the UK Benchmarks
Regulation (BMR) regime. The BRRNY calculation methodology aggregates
transactions of Bitcoins in U.S. dollars that are only conducted on the
most liquid markets for which data is publicly available and operated
by exchanges that meet the CME CF Constituent Exchange Criteria.\92\
---------------------------------------------------------------------------
\92\ See supra note 25.
---------------------------------------------------------------------------
BRRNY is a valid and robust benchmark that is calculated from input
data of sufficient volume so that it is representative of the market it
seeks to measure. Additionally, BRRNY has volume sufficiency which
permits it be replicated by institutional market participants and
product providers that need to warehouse price risk. The below table
summarizes the total number of transactions and average number of
transactions per day observed each month for BRRNY.\93\ Between
February 28, 2022, and January 31, 2024 (weekdays only), on average
2,116.73 Bitcoins, or $59M were traded during each daily observation
window between 15:00 and 16:00 New York Time.\94\
---------------------------------------------------------------------------
\93\ The data represents both trade count and bitcoin volume
during the observation window.
\94\ BRRNY was launched on February 28, 2022. LMAX Digital was
added as a Constituent Exchange fromMay 2022.
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[[Page 10559]]
[GRAPHIC] [TIFF OMITTED] TN24FE25.012
This trading activity exhibits volatility that is not substantially
different from that shown in traditional asset markets. The volume
observed and the reliability of that volume are clearly evident to be
sufficient for the calculation of a robust and reliable benchmark.
Phlx believes that Nasdaq Bitcoin Index Options will be utilized
for a wide range of activities such as asset valuation, settlement of
financial risk, risk management, NAV calculation, unit creation and
unit redemption. To that end, the index design is fair and transparent.
CF Benchmarks exclusively sources input data from Constituent Exchanges
that meet published criteria as set out in its Constituent Exchanges
Criteria and conducts a thorough review of any exchange under
consideration for inclusion as a Constituent Exchange.\95\ BRRNY
methodology takes an observation period and divides it into equal
partitions of time. The volume-weighted median of all transactions
within each partition is then calculated. The benchmark index value is
determined from the arithmetic mean of the volume-weighted medians,
equally weighted. As a result, individual trades of large size have
limited effect on the index level as they only influence the level of
the volume-weighted median for that specific partition. Further, a
cluster of trades in a short period of time will also only influence
the volume-weighted median of the partition or partitions they were
conducted in, thereby limiting impact. Use of volume-weighted medians
as opposed to volume-weighted means ensures that transactions conducted
at outlying prices do not have an undue effect on the value of a
specific partition. By not volume weighting partitions, trades of large
size or clusters of trades over a short period of time will not have an
undue influence on the index level. CF Benchmarks applies equal weight
to transactions observed from CME CF Constituent Exchanges. With no
pre-set weights, the BRRNY index is not readily subject to
manipulation. Using the arithmetic mean of partitions of equal weight
further denudes the effect of trades of large size at prices that
deviate from the prevailing price having undue influence on the
benchmark level.\96\
---------------------------------------------------------------------------
\95\ The criteria are available at: <a href="https://docs.cfbenchmarks.com/CME%20CF%20Constituent%20Exchanges%20Criteria.pdf">https://docs.cfbenchmarks.com/CME%20CF%20Constituent%20Exchanges%20Criteria.pdf</a>. The arrangements
of all Constituent Exchanges are reviewed annually to ensure that
they continue to meet all criteria specified within ``Constituent
Exchange Criteria.'' This due diligence is documented, and the
information is distributed to CF Benchmarks' oversight organs to
consider. The deliberations of oversight organs are conducted during
regular meetings, minutes of such meetings are publicly available,
being published by the Administrator on its website.
\96\ See also <a href="https://www.cfbenchmarks.com/blog/suitability-analysis-of-the-cme-cf-bitcoin-reference-rate-new-york-variant-as-a-basis-for-regulated-financial-products-february-2024-update">https://www.cfbenchmarks.com/blog/suitability-analysis-of-the-cme-cf-bitcoin-reference-rate-new-york-variant-as-a-basis-for-regulated-financial-products-february-2024-update</a>.
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BRRNY's methodology incorporates a procedure for potentially
erroneous data. Although volume-weighted medians of transaction prices
from individual data sources are not part of the benchmark
determination process, they are calculated as a means of quality
control and manipulation resistance. In the event of an instance of
index calculation in which a Constituent Exchange's volume-weighted
median transaction price exhibits an absolute percentage deviation from
the volume-weighted median price of other Constituent Exchange
transactions greater than the Potentially Erroneous Data Parameter
(10%), then transactions from that Constituent Exchange are deemed
potentially erroneous and excluded from the index calculation. All
instances of data excluded from a calculation trigger a Benchmark
Surveillance Alert that is investigated. By way of example, between
February 28, 2022, and January 31, 2024, the Potentially Erroneous Data
Parameter of the methodology for the CME CF Bitcoin Reference Rate--New
York Variant has never been triggered. Analysis of the max volume-
weighted median per exchange during the observation period produced the
results in the table. The results illustrate that during the
observation period, no Constituent Exchange's input data needed to be
excluded due to exhibiting potential manipulation and indeed no
individual cryptocurrency exchange exhibits a deviation percentage
above 2.41% during this period.
[[Page 10560]]
[GRAPHIC] [TIFF OMITTED] TN24FE25.013
CF Benchmarks has implemented a benchmark surveillance program for
the investigation of alerts. Instances of suspected benchmark
manipulation are escalated through appropriate regulatory channels in
accordance with CF Benchmarks' obligations under the UK Benchmarks
Regulation (UK BMR). As a regulated Benchmark Administrator, CF
Benchmarks is subject to supervision by the UK FCA.\97\
---------------------------------------------------------------------------
\97\ Furthermore, CF Benchmarks' Control Procedures with respect
to compliance with the UK BMR have been audited by `Big Four'
accountancy firm Deloitte. The Independent Assurance Report on
Control Procedures Noted by CF Benchmarks Regarding Compliance with
the UK Benchmarks Regulation as ofSeptember 12, 2022 is available
at: <a href="https://docs.cfbenchmarks.com/Deloitte_CF%20Benchmarks%20SOC1%20Audit%20Report.pdf">https://docs.cfbenchmarks.com/Deloitte_CF%20Benchmarks%20SOC1%20Audit%20Report.pdf</a>.
---------------------------------------------------------------------------
In terms of correlation, an analysis was undertaken of the pair-
wise correlation of prices from Constituent Exchanges on a per-minute
basis (the price difference between transactions for each minute at
each exchange) during the observation period. The results are shown in
the below table.
[GRAPHIC] [TIFF OMITTED] TN24FE25.014
[[Page 10561]]
With respect to replicability, a simple replication simulation was
thereby conducted of BRRNY to demonstrate the extent of slippage that
implementation of the BRR would probably encounter. The methodology was
as follows for weekdays only.
[ssquf] Trades are executed on n (6) Constituent Exchanges, during
a 3,600-second window.
[ssquf] One trade is executed every second and the price achieved
is assumed to be the last execution price observed in that second. Its
associated volume is assumed to be the volume executed during that
second.
[ssquf] If no trade is completed in any single-second period, then
the price achieved is assumed to be the price achieved in the previous
second, but the associated volume from the previous second is not added
to the volume executed in the latest second.
The results of this simulation are displayed below.
[GRAPHIC] [TIFF OMITTED] TN24FE25.015
Summary data for the above simulation is provided below.
[GRAPHIC] [TIFF OMITTED] TN24FE25.016
As evidenced above, the BRRNY can be replicated with a high degree
of confidence and usually with slippage of no more than 1 basis point
(0.01%). On only 6.76% of days would slippage have been greater than 5
basis points (0.05%). Indeed, even on the most volatile day, slippage
was approximately one half of one percent, 51.6 basis points (0.516%).
Furthermore, in the 24-month period under observation slippage would
have been in double-digit basis points only 10 times.
In 2024, the Commission approved various rule changes to list and
trade Spot Bitcoin ETPs.\98\ The Commission noted in the Spot Bitcoin
ETPs Approval Order that, ``. . . one way an exchange that lists
bitcoin-based exchange-traded products (``ETPs'') can meet the
obligation under Exchange Act Section 6(b)(5) that its rules be
designed to prevent fraudulent and manipulative acts and practices is
by demonstrating that the exchange has a comprehensive surveillance-
sharing agreement with a regulated market of significant size related
to the underlying or reference bitcoin assets. Such an agreement would
assist in detecting and deterring fraud and manipulation related to
that underlying asset.'' The Commission has recognized that the
``regulated market of significant size'' standard is not the only means
for satisfying Section 6(b)(5) of the Act, specifically providing that
a listing exchange could demonstrate that ``other means to prevent
fraudulent and manipulative acts and practices'' are sufficient to
justify dispensing with the requisite surveillance-sharing
agreement.\99\ For example, in approving the Spot Bitcoin ETPs, the
Commission found that there were ``sufficient `other means' of
preventing fraud and manipulation,'' including that:
---------------------------------------------------------------------------
\98\ See supra note 16.
\99\ See Securities Exchange Act Release No. 83723 (July 26,
2018), 83 FR 37579 at 37580 (August 1, 2018) (the ``Winklevoss
Order''). The Commission has also specifically noted that it ``is
not applying a `cannot be manipulated' standard; instead, the
Commission is examining whether the proposal meets the requirements
of the Exchange Act and, pursuant to its Rules of Practice, places
the burden on the listing exchange to demonstrate the validity of
its contentions and to establish that the requirements of the
Exchange Act have been met.'' See Winklevoss Order, 83 FR at 37582.
[B]ased on the record before the Commission and the improved
quality of the correlation analysis in the record, including the
Commission's own analysis, the Commission is able to conclude that
fraud or manipulation that impacts prices in spot bitcoin markets
would likely similarly impact CME bitcoin futures prices. And
because the CME's surveillance can assist in detecting those impacts
on CME bitcoin futures prices, the Exchanges' comprehensive
surveillance-sharing agreement with the CME--a U.S. regulated market
whose bitcoin futures market is consistently highly correlated to
spot bitcoin, albeit not of ``significant size'' related to spot
bitcoin--can be reasonably expected to assist in surveilling for
fraudulent and manipulative acts and practices in the specific
context of the [Spot Bitcoin ETPs].\100\
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\100\ See Spot Bitcoin ETPs Approval Order 89 FR 3010 and 3011.
As described in the Spot Bitcoin ETPs Approval Order, there is
currently a regulated U.S. market with respect to spot bitcoin, the CME
bitcoin futures (``Bitcoin Futures'') market.\101\ In its Spot Bitcoin
ETPs Approval Order, the Commission found there was a high price
correlation between the underlying and the futures market.\102\ The
proposed Nasdaq Bitcoin Index Options and the various Spot Bitcoin ETPs
reference the same underlying market for spot bitcoin that trade on
spot bitcoin trading platforms.
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\101\ CME began offering trading in Bitcoin Futures in 2017.
Each contract represents five bitcoin and is based on the CME CF
Bitcoin Reference Rate. The contracts trade and settle like other
cash settled commodity futures contracts.
\102\ A correlation analysis was conducted by the Commission in
analyzing the Spot Bitcoin ETP proposals. The results of the
Commission's analysis confirmed that the CME bitcoin futures market
has been consistently highly correlated with the subset of the spot
bitcoin market utilized in the analysis for the timeframe reviewed.
See Spot Bitcoin ETPs Approval Order at 89 FR 3010.
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Specifically, the Exchange has a comprehensive surveillance-sharing
agreement with the CME via its common membership in ISG, which
facilitates
[[Page 10562]]
the sharing of information that is available to the CME through its
surveillance of its markets, including its surveillance of the Bitcoin
Futures market. Similar to the Spot Bitcoin ETPs previously approved by
the SEC, Nasdaq's ability to obtain information regarding trading in
the Bitcoin Futures market from other markets that are members of the
ISG (specifically the CME) would assist Nasdaq in detecting and
deterring misconduct.
Further, the exchanges that list Spot Bitcoin ETPs comprehensively
surveil market conditions and price movements on a real time and
ongoing basis in order to detect and prevent price distortions,
including price distortions caused by manipulative efforts. Thus, the
CME's surveillance as well as Nasdaq's surveillance and other equity
markets that list Spot Bitcoin ETPs can reasonably be relied upon to
capture the effects on the Bitcoin Futures market and Spot Bitcoin
ETPs, as applicable, that are caused by a person attempting to
manipulate the futures ETP or Spot Bitcoin ETPs by manipulating the
price of bitcoin futures contracts or Spot Bitcoin ETPs, whether that
attempt is made by directly trading on the Bitcoin Futures market or
Spot Bitcoin ETPs, or indirectly by trading outside of the Bitcoin
Futures market or Spot Bitcoin ETPs.
The Exchange would have an adequate surveillance program in place
for Nasdaq Bitcoin Index Options as it intends to apply the same
program procedures that it applies to the Exchange's other index
options products.\103\ Index products and their respective symbols are
integrated into the Exchange's existing surveillance system
architecture and are thus subject to the relevant surveillance
processes. This is true for both surveillance system processing and
manual processes that support the Phlx's surveillance program.
Additionally, the Exchange is also a member of the Intermarket
Surveillance Group (``ISG'') under the Intermarket Surveillance Group
Agreement. ISG members work together to coordinate surveillance and
investigative information sharing in the stock and options markets.
Both the Exchange and CME are members of ISG.\104\
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\103\ The surveillance program includes real-time patterns for
price and volume movements and post-trade surveillance patterns
(e.g., spoofing, marking the close, pinging, phishing).
\104\ For a list of the current members and affiliate members of
ISG, see <a href="https://www.isgportal.com/">https://www.isgportal.com/</a>.
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The Exchange, in its normal course of surveillance, will monitor
for any potential manipulation of the Nasdaq Bitcoin Index Options
settlement value according to the Exchange's current procedures. The
Exchange believes that its surveillance procedures currently in place
will allow it to adequately surveil for any potential manipulation in
the trading of Nasdaq Bitcoin Index Options.
The Exchange believes that the proposed contract specifications
will be attractive to market participants, and will remove impediments
to and perfect the mechanism of a free and open market and a national
market system. The proposal is designed to ensure that Nasdaq Bitcoin
Index Options are listed and traded under the same terms that apply to
other index options that are currently traded on the Exchange. Nasdaq
Bitcoin Index Options will be subject to the same rules that presently
govern the trading of index options, including sales practice rules,
margin requirements, trading rules, and position and exercise limits.
The proposed product is a cash-settled index option that permit holders
to receive U.S. dollars representing the difference between the current
bitcoin spot market and the exercise price of the option and would not
involve holding physical bitcoin similar to the Spot Bitcoin ETPs,
which entailed the custody of bitcoin assets. The Exchange's proposal
to have a minimum increment of $0.01 for all series, similar to XND,
which is also based on 1/100th of the value of the Nasdaq-100 Index,
will enable traders to make the most effective use of the product for
trading and hedging purposes. Nasdaq Bitcoin Index options would be
P.M.-settled and the exercise settlement value would be derived from
closing prices on the expiration day. The Exchange believes that
providing P.M.-settlement will make this product more attractive to
market participants and help garner additional support for this new
index options product. In particular, retail investors, prefer P.M.-
settled index options. P.M.-settlement is preferred by retail investors
as it allows market participants to hedge their exposure for the full
week. A.M.-settled options by contrast are based on opening prices on
the day of expiration and therefore stop trading on the day prior,
leaving residual risk on the day of expiration. Weekly expirations and
EOMs should create greater trading and hedging opportunities and
flexibility, and provide customers with the ability to tailor their
investment objectives more closely. Additionally, position limits for
Nasdaq Bitcoin Index Options would be equal to 250,000 contracts on the
same side of the market, restricted to no more than 150,000 near-term
contracts.\105\ All position limit hedge exemptions applicable to
broad-based index options would also apply to Nasdaq Bitcoin Index
Options. The proposed position limits are similar to those applied to
broad-based index options. Finaly, this proprietary index would be
cash-settled. The Exchange therefore believes that the rules applicable
to trading in Nasdaq Bitcoin Index Options are consistent with the
protection of investors and the public interest.
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\105\ See proposed Options 4D, Section 6(a).
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Finally, the Exchange represents that it and OPRA have the
necessary system capacity to support additional quotations and messages
that will result from the listing and trading Nasdaq Bitcoin Index
Options.
B. Self-Regulatory Organization's Statement on Burden on Competition
This proposed rule change does not impose any burden on competition
that is not necessary or appropriate in furtherance of the purposes of
the Act. The Exchange notes that the proposed rule change will
facilitate the listing and trading of an index option product with a
novel structure that will enhance competition among market
participants, to the benefit of investors and the marketplace.
The Exchange does not believe that the proposed rule change will
impose any burden on intramarket competition that is not necessary or
appropriate in furtherance of the purposes of the Act as Nasdaq Bitcoin
Index Options would be subject to Exchange rules that currently govern
the listing and trading of index options, including permissible
expirations, strike prices, minimum increments, position and exercise
limits, and margin requirements. Nasdaq Bitcoin Index Options will be
equally available to all market participants who wish to trade such
options.
The Exchange does not believe the proposal will impose any burden
on intermarket competition that is not necessary or appropriate in
furtherance of the purposes of the Act. To the extent that permitting
Nasdaq Bitcoin Index Options to trade on the Exchange may make Phlx a
more attractive marketplace to market participants, such market
participants are free to elect to become market participants on the
Exchange. Additionally, other options exchanges are free to amend their
rules, as applicable, to permit them to list and trade index options
that track the value of bitcoin. The Exchange believes that the
proposed rule change may relieve any burden on, or otherwise promote,
competition, as it is designed to increase competition for order flow
on the Exchange in a manner that is beneficial to investors by
providing them with a
[[Page 10563]]
relatively low-cost means to hedge their portfolios and meet their
investment needs in connection with spot bitcoin prices and bitcoin-
related products and positions, in a cash-settled product. The Exchange
notes that it operates in a highly competitive market in which market
participants can readily direct order flow to competing venues that
offer similar products.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
No written comments were either solicited or received.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days of such
date (i) as the Commission may designate if it finds such longer period
to be appropriate and publishes its reasons for so finding or (ii) as
to which the Exchange consents, the Commission shall: (a) by order
approve or disapprove such proposed rule change, or (b) institute
proceedings to determine whether the proposed rule change should be
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="https://www.sec.gov/rules/sro.shtml">https://www.sec.gov/rules/sro.shtml</a>); or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#0371766f662e606c6e6e666d7770437066602d646c75"><span class="__cf_email__" data-cfemail="afdddac3ca82ccc0c2c2cac1dbdcefdccacc81c8c0d9">[email protected]</span></a>. Please include
file number SR-Phlx-2025-08 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-Phlx-2025-08. 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="https://www.sec.gov/rules/sro.shtml">https://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
a.m. and 3 p.m. Copies of the filing also will be available for
inspection and copying at the principal office of the Exchange. Do not
include personal identifiable information in submissions; you should
submit only information that you wish to make available publicly. We
may redact in part or withhold entirely from publication submitted
material that is obscene or subject to copyright protection. All
submissions should refer to file number SR-Phlx-2025-08 and should be
submitted on or before March 17, 2025.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\106\
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\106\ 17 CFR 200.30-3(A)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2025-02941 Filed 2-21-25; 8:45 am]
BILLING CODE 8011-01-P
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</html>Indexed from Federal Register on February 24, 2025.
This is legal information, not legal advice. Laws vary by jurisdiction and change frequently. Always verify current law with official sources and consult a licensed attorney in your jurisdiction for advice on your specific situation.