Notice2026-20401
Self-Regulatory Organizations; Investors Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend Supplementary Material .04 and .05 to IEX Rule 23.150(h) To Change Three of the Variables in the Options Risk Parameter Quote Instability Calculation, Each Within the Permitted Ranges Specified Therein
Primary source
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Published
October 6, 2026
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 91 Issue 192 (Tuesday, October 6, 2026)</title>
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[Federal Register Volume 91, Number 192 (Tuesday, October 6, 2026)]
[Notices]
[Pages 63606-63609]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2026-20401]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-106559; File No. SR-IEX-2026-36]
Self-Regulatory Organizations; Investors Exchange LLC; Notice of
Filing and Immediate Effectiveness of Proposed Rule Change To Amend
Supplementary Material .04 and .05 to IEX Rule 23.150(h) To Change
Three of the Variables in the Options Risk Parameter Quote Instability
Calculation, Each Within the Permitted Ranges Specified Therein
October 1, 2026.
Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of
1934 (``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby given
that, on September 23, 2026, the Investors Exchange LLC (``IEX'' or
``Exchange'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I, II
and III below, which Items have been prepared by the self-regulatory
organization. The Commission is publishing this notice to solicit
comments on the proposed rule change from interested persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 15 U.S.C. 78a.
\3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
Pursuant to the provisions of Section 19(b)(1) under the Act,\4\
and Rule 19b-4 thereunder,\5\ the Exchange is filing with the
Commission a proposed rule change to amend Supplementary Material .04
and .05 to IEX Rule 23.150(h) to change three of the variables in the
Options Risk Parameter quote instability calculation, each within the
permitted ranges specified therein. The Exchange has designated this
proposal as constituting an interpretation with respect to the
administration of an existing IEX Rule pursuant to Rule 19b-4(f)(1)
under the Act.\6\
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\4\ 15 U.S.C. 78s(b)(1).
\5\ 17 CFR 240.19b-4.
\6\ 17 CFR 240.19b-4(f)(1).
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[[Page 63607]]
The text of the proposed rule change is available at the Exchange's
website at <a href="https://www.iexexchange.io/resources/regulation/rule-filings">https://www.iexexchange.io/resources/regulation/rule-filings</a>
and at the principal office of the Exchange.
II. Self-Regulatory Organization's Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the self-regulatory organization
included statements concerning the purpose of and basis for the
proposed rule change and discussed any comments it received on the
proposed rule change. The text of these statements may be examined at
the places specified in Item IV below. The self-regulatory organization
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 the
Statutory Basis for, the Proposed Rule Change
1. Purpose
On September 18, 2025, the Commission approved IEX's rule change
proposal to adopt rules governing the trading of options on the
Exchange in a new facility called ``IEX Options''; \7\ IEX Options has
announced its plan to commence trading options on October 2, 2026.\8\
The purpose of the proposed rule change is to amend Supplementary
Materials .04 and .05 to IEX Rule 23.150(h) to change three of the
variables in the Options Risk Parameter quote instability calculation,
each within the range specified therein. Pursuant to IEX Rule
23.150(h), IEX Options will offer Market Makers the Options Risk
Parameter (``ORP''), which the Market Makers can elect to apply to a
quotation that rests on the Order Book at the price designated by the
Market Maker that entered the quotation.\9\ When the ORP is triggered
based on pre-defined criteria in IEX rules, the relevant quotation(s)
will be adjusted or canceled in the manner specified in IEX rules.\10\
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\7\ See Securities Exchange Act Release No. 103998 (September
18, 2025), 90 FR 45861 (September 23, 2025) (SR-IEX-2025-02)
(Commission order approving a Proposed Rule Change, as Modified by
Amendment No. 3, to Adopt Rules to Govern the Trading of Options on
the Exchange for a New Facility Called IEX Options) (``Approval
Order'').
\8\ See <a href="https://www.iex.io/options/resources#important-dates">https://www.iex.io/options/resources#important-dates</a>.
\9\ The purpose and operation of the ORP is described in the
Exchange's Proposed Rule Change to Adopt Rules to Govern the Trading
of Options on the Exchange for a New Facility Called IEX Options
(the ``Options Rule Filing''), Securities Exchange Act Release No.
103290 (June 18, 2025), 90 FR 26865 (June 24, 2025) (SR-IEX-2025-
02).
\10\ See IEX Rule 23.150(h).
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As described in the Options Rule Filing, the ORP will leverage
IEX's proprietary mathematical formula--the Options Quote Indicator,
which is a fixed formula specified transparently in IEX's rules, to
assess the materiality of an imminent change to the current best
Protected Bid \11\ of the Away Markets \12\ to a lower price or of an
imminent change to the current best Protected Offer \13\ of the Away
Markets to a higher price for a particular listed options series (i.e.,
an imminent adverse price change).\14\ The Indicator utilizes real time
relative quoting activity of protected quotations from Signal Exchanges
(as defined in IEX Rule 11.190(g)) in securities underlying each listed
options series and a proprietary mathematical calculation (the ``quote
instability calculation''), as described in more detail below, to
assess the impact of a price change in the underlying on the price of a
particular options series.\15\ When the quote instability calculation
identifies an imminent adverse price change in a particular listed
options series, it will generate a quote instability determination.\16\
If a Market Maker has elected that its quotations be subject to the
ORP, and a quote instability determination is generated for an options
series quoted by a Market Maker and the quote is above (below) the
price level of the quote instability determination, the quote will be
either cancelled or repriced to the price level of the quote
instability determination, as instructed by the Market Maker.\17\
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\11\ See IEX Rule 28.100(a)(19).
\12\ See IEX Rule 22.160(a)(7).
\13\ See IEX Rule 28.100(a)(19).
\14\ See IEX Rule 23.150(h).
\15\ See Supplementary Material .04 to IEX Rule 23.150(h).
\16\ See IEX Rule 23.150(h)(1)(A).
\17\ See IEX Rule 23.150(h)(1)(C).
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Supplementary Materials .04 and .05 to IEX Rule 23.150(h) provide
that the Exchange may change three of the variables in the ORP quote
instability calculation. For two aspects of the Quote Instability
Calculation formula--the Delta Bound Band \18\ and the Quote
Instability Threshold \19\-- Supplementary Material .04 to IEX Rule
23.150(h) specifies the possible range of values the Exchange may use
for each aspect and the initial value for each aspect. Similarly, for
the frequency of calculation of implied volatility, which is used to
calculate Delta, Supplementary Material .05 to IEX Rule 23.150(h)
specifies that it will be calculated each half-hour of System operation
but that the Exchange may determine to calculate the value more
frequently based on its assessment of factors that would optimize
application of the ORP.\20\
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\18\ See Supplementary Material .04(1)(q) to IEX Rule 23.150(h).
Delta is a key metric in options trading that measures the
sensitivity of an option's price to changes in the price of the
underlying asset. The Delta Bound Band restricts the ORP from
triggering unless the option's Delta is within the specified band.
Currently, the initial value for the Delta Bound Band would be
between 0-1, with the possible range of values between 0-1.
\19\ See Supplementary Material .04(2)(e) to IEX Rule 23.150(h).
Currently, the possible Quote Instability Threshold range will be
within a range of 0%-100%. If the Quote Instability Threshold is set
at 100%, the expected change in the NBB/NBO of the option resulting
from price movement in the underlying must be at least 100% of the
current value of the NBB/NBO of the option for the ORP to trigger.
If the Quote Instability Threshold is set at 0%, ORP would trigger
if there is any expected change to the NBB/NBO of the option
resulting from price movement in the underlying. The current initial
value for the Quote Instability Threshold is specified to be 0.1%.
When triggered, ORP will only result in the repricing or
cancellation of quotes if the change to the NBB/NBO of the option
resulting from price movement in the underlying is to a different
price level than the current NBB/NBO after rounding to the nearest
minimum price variation.
\20\ See Supplementary Material .05 to IEX Rule 23.150(h).
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As specified in Supplementary Material .04 and .05 to IEX Rule
23.150(h), in the event that the Exchange determines to change any of
the two variables described above or the frequency of its calculation
of implied volatility, it will submit a rule filing pursuant to Rule
19b-4(f) specifying the new value(s). Furthermore, as specified in the
Options Rule Filing (and consistent with its approval by the
Commission), if the Exchange determines to change such values within
the applicable specified ranges, the Exchange will submit a rule filing
pursuant to Rule 19b-4(f)(1) under the Act \21\ (or other appropriate
rule filing type) specifying the new value, within the range of
possible values specified in the applicable rule. IEX believes that the
proposed changes in this rule filing to values that fall within the
previously approved range of possible values constitutes a stated
policy, practice, or interpretation with respect to the meaning,
administration, or enforcement of an existing rule, and therefore that
a filing pursuant to Rule 19b-4(f)(1) under the Exchange Act is
appropriate.\22\
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\21\ See 17 CFR 240.19b-4(f)(1). A rule filing pursuant to Rule
19b-4(f)(1) under the Exchange Act takes effect upon filing with the
Commission.
\22\ See Options Rule Filing, supra, note 9, 90 FR at 26879.
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In preparation for launch of IEX Options, the Exchange proposes to
modify each of these three (Delta Bound Band, Quote Instability
Threshold, and
[[Page 63608]]
Implied Volatility calculation frequency) variables, as set forth
below, in order to optimize the application of the ORP for launch with
more conservative settings than initially approved (but within the
approved ranges), in order to enable market participants to acclimate
to IEX's new options market. The proposed rule change would be
operative for IEX Options launch, currently scheduled to begin on
October 2, 2026.
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Variable Current value Range Proposed value
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Delta Bound Band..................... 0-1.................... 0-1.................... 0.30-1.00.
Quote Instability Threshold.......... 0.1%................... 0%-100%................ 0.5%.
Implied Volatility Calculation Each half hour of No longer than each Each one minute of
frequency. System operation. half hour of System System operation.
operation.
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Accordingly, IEX proposes to amend Supplementary Material .04 and
.05 to IEX Rule 23.150(h) to reflect such modifications to the value of
each of the three variables, as described above.
The Exchange will issue a Trading Alert announcing the
modifications to the values of the three variables, as described above,
upon effectiveness of this proposed rule change.
2. Statutory Basis
IEX believes that the proposed rule change is consistent with
Section 6(b) \23\ of the Act in general, and furthers the objectives of
Section 6(b)(5) of the Act,\24\ in particular, in that it is designed
to prevent fraudulent and manipulative acts and practices, to promote
just and equitable principles of trade, to foster cooperation and
coordination with persons engaged in facilitating transactions in
securities, to remove impediments to and perfect the mechanism of a
free and open market and a national market system and, in general, to
protect investors and the public interest. Specifically, as discussed
in the Purpose section, the proposed change constitutes a stated
policy, practice or interpretation with respect to the meaning,
administration, or enforcement of existing IEX rules as contemplated by
the Options Rule Filing. In this regard, IEX believes that the changes
to the manner in which IEX will administer the ORP will optimize
application of the ORP for IEX Options launch and thereby support
Market Makers in providing more competitive quotes which will benefit
all market participants and thereby support the protection of investors
and the public interest.
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\23\ 15 U.S.C. 78f.
\24\ 15 U.S.C. 78f(b)(5).
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Additionally, the Exchange notes that the ORP will continue to
leverage a fixed formula specified transparently in IEX rules, that was
previously approved by the Commission.\25\ The Exchange is not
proposing to add any new functionality, but merely to adjust the values
for the three variables for the ORP quote instability calculation
within the ranges set forth in IEX rules, as discussed in the Purpose
section. Thus, IEX does not believe that the proposed rule change
raises any new or novel issues that have not already been considered by
the Commission, in that the ORP functionality and IEX's ability to
change the three values within specified ranges were previously
approved by the Commission.\26\
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\25\ See supra note 7.
\26\ See supra note 7.
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B. Self-Regulatory Organization's Statement on Burden on Competition
IEX does not believe that the proposed rule change will result in
any burden on competition that is not necessary or appropriate in
furtherance of the purposes of the Act. To the contrary, as discussed
in the Statutory Basis section, the proposal is designed to enhance
competition by optimizing application of the ORP for IEX Options
launch.
The Exchange does not believe that the proposed rule change will
impose any burden on intra-market competition because it will apply to
all Options Members in the same manner and any Options Member could
become a Market Maker subject to meeting applicable requirements.
The Exchange also does not believe that the proposal will impose
any burden on inter-market competition that is not necessary or
appropriate. Competing exchanges are free to adopt similar
functionality, subject to the Commission rule filing process.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
Written comments were neither solicited nor received.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
The foregoing rule change has become effective pursuant to Section
19(b)(3)(A)(i) \27\ of the Act and Rule 19b-4(f)(1) \28\ thereunder, in
that the proposed rule change constitutes a stated policy, practice, or
interpretation with respect to the meaning, administration, or
enforcement of an existing rule of IEX.
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\27\ 15 U.S.C. 78s(b)(3)(A)(i).
\28\ 17 CFR 240.19b-4(f)(1).
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At any time within 60 days of the filing of the proposed rule
change, the Commission summarily may temporarily suspend such rule
change if it appears to the Commission that such action is necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act. If the Commission
takes such action, the Commission shall institute proceedings under
Section 19(b)(2)(B) \29\ of the Act to determine whether the proposed
rule change should be approved or disapproved.
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\29\ 15 U.S.C. 78s(b)(2)(B).
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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#d3a1a6bfb6feb0bcbebeb6bda7a093a0b6b0fdb4bca5"><span class="__cf_email__" data-cfemail="e795928b82ca84888a8a82899394a7948284c9808891">[email protected]</span></a>. Please include
file number SR-IEX-2026-36 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-IEX-2026-36. 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 (https://www.sec.gov/
[[Page 63609]]
rules/sro.shtml). Copies of the filing 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-IEX-2026-36 and should be submitted on
or before October 27, 2026.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\30\
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\30\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2026-20401 Filed 10-5-26; 8:45 am]
BILLING CODE 8011-01-P
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