[Federal Register Volume 86, Number 101 (Thursday, May 27, 2021)]
[Notices]
[Pages 28667-28670]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-11174]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-91964; File No. SR-PEARL-2021-24]


Self-Regulatory Organizations; MIAX PEARL, LLC; Notice of Filing 
and Immediate Effectiveness of a Proposed Rule Change To Adopt a New 
Historical Market Data Product To Be Known as the Open-Close Report

May 21, 2021.
    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 May 10, 2021, MIAX PEARL, LLC (``MIAX Pearl)'' or the ``Exchange'') 
filed with the Securities and Exchange Commission (``Commission'') a 
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 is filing a proposal to adopt a new historical market 
data product to be known as the Open-Close Report.
    The text of the proposed rule change is available on the Exchange's 
website at http://www.miaxoptions.com/rule-filings/pearl at MIAX 
Pearl's principal office, 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

[[Page 28668]]

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 adopt a new historical market data product 
for options to be known as the Open-Close Report, which will be 
available to all Members and Non-Members.\3\ The proposed Open-Close 
Report would be described in new Exchange Rule 531(b)(1) and is based 
on market data products currently available on most other options 
exchanges.\4\
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    \3\ The term ``Member'' means an individual or organization 
approved to exercise the trading rights associated with a Trading 
Permit. Members are deemed ``members'' under the Exchange Act. See 
Exchange Rule 100.
    \4\ See Securities Exchange Act Release Nos. 89497 (August 6, 
2020), 85 FR 48747 (August 12, 2020) (SR-CboeBZX-2020-059); 89498 
(August 6, 2020), 85 FR 48735 (August 12, 2020) (SR-Cboe-EDGX-2020-
36); 85817 (May 9, 2019), 84 FR 21863 (May 15, 2019) (SR-CBOE-2019-
026); 89496 (August 6, 2020), 85 FR 48743 (August 12, 2020) (SR-C2-
2020-010); 89596 (August 17, 2020), 85 FR 51833 (August 21, 2020) 
(SR-C2-2020-012); 62887 (September 10, 2010), 75 FR 57092 (September 
17, 2010) (SR-Phlx-2010-121); 65587 (October 18, 2011), 76 FR 65765 
(October 24, 2011) (SR-NASDAQ-2011-144); 61317 (January 8, 2010), 75 
FR 2915 (January 19, 2010) (SR-ISE-2009-103); 62887 (September 10, 
2010), 75 FR 57092 (September 17, 2010) (SR-Phlx-2010- 121); 65587 
(October 18, 2011), 76 FR 65765 (October 24, 2011) (SR-NASDAQ-2011-
144); and 81632 (September 15, 2017), 82 FR 44235 (September 21, 
2017) (SR-GEMX-2017-42).
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    The Exchange proposes to offer the Open-Close Report, which will be 
a volume summary of trading activity on the Exchange at the option 
level by origin (Priority Customer, Non-Priority Customer, Firm, 
Broker-Dealer, and Market Maker \5\), side of the market (buy or sell), 
contract volume, and transaction type (opening or closing). The 
Priority Customer, Non-Priority Customer, Firm, Broker-Dealer, and 
Market Maker volume is further broken down into trade size buckets 
(less than 100 contracts, 100-199 contracts, greater than 199 
contracts). The Open-Close Report is proprietary Exchange trade data 
and does not include trade data from any other exchange. It is also a 
historical data product and not a real-time data feed. The Open-Close 
Report would be described under proposed Exchange Rule 531(b)(1).
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    \5\ See Exchange Rule 100 for the definitions of the terms 
Priority Customer, Non-Priority Customer, Firm, Broker-Dealer, and 
Market Maker.
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    Specifically, the Open-Close Report would include the following 
data:
     Aggregate number of buy and sell transactions in the 
affected series;
     Aggregate volume traded electronically on the Exchange in 
the affected series;
     Aggregate number of trades effected on the Exchange to 
open a position; \6\
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    \6\ The Open-Close Report would provide subscribers with the 
aggregate number of ``opening purchase transactions'' in the 
affected series. An opening purchase transaction is an Exchange 
options transaction in which the purchaser's intention is to create 
or increase a long position in the series of options involved in 
such transaction. The Open-Close Report would also provide 
subscribers with the aggregate number of ``opening writing 
transactions.'' An opening writing transaction is an Exchange 
options transaction in which the seller's (writer's) intention is to 
create or increase a short position in the series of options 
involved in such transaction.
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     Aggregate number of trades effected on the Exchange to 
close a position; \7\
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    \7\ The Open-Close Report will provide subscribers with the 
aggregate number of ``closing purchase transactions'' in the 
affected series. A closing purchase transaction is an Exchange 
options transaction in which the purchaser's intention is to reduce 
or eliminate a short position in the series of options involved in 
such transaction. The Open-Close Report would also provide 
subscribers with the aggregate number of ``closing sale 
transactions.'' A closing sale transaction is an Exchange options 
transaction an Exchange options transaction in which the seller's 
intention is to reduce or eliminate a long position in the series of 
options involved in such transaction.
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     Origin of the orders and quotes involved in trades on the 
Exchange in the affected series during a particular trading session, 
specifically aggregated in the following categories of participants: 
Priority Customer, Non-Priority Customer, Firm, Broker-Dealer, and 
Market Maker.
    The Exchange anticipates a wide variety of market participants to 
purchase the Open-Close Report, including, but not limited to, 
individual customers, buy-side investors, and investment banks. The 
Open-Close Report would provide subscribers data that should enhance 
their ability to analyze option trade and volume data, and to create 
and test trading models and analytical strategies. The Exchange 
believes that Open-Close Report will be a valuable tool that 
subscribers can use to gain comprehensive insight into the trading 
activity in a particular option series. The proposed report is a 
completely voluntary product, in that the Exchange is not required by 
any rule or regulation to make this data available and that potential 
subscribers may purchase it only if they voluntarily choose to do so. 
The Exchange will establish a monthly subscriber fee for the Open-Close 
Report by way of a separate proposed rule change, which the Exchange 
will submit prior to the launch of the Open-Close Report.
    The Exchange proposes to offer two versions of the Open-Close 
Report. One will contain historical data from the previous trading day 
and will be available after the end of the trading day, generally on a 
T+1 basis. The other version will include ``snapshots'' taken every 10 
minutes throughout the trading day and would be available within five 
minutes of the conclusion of each 10 minute period.
End of Day Report
    The end of day product would include the aggregate data described 
above representing the entire trading session. It would be calculated 
during an overnight process after the close of trading on the Exchange 
and would be available to subscribers for download the following 
morning at approximately 7:00 a.m., ET.
Intra-Day Report
    The Exchange also proposed to offer an intraday Open-Close Report 
that would also include aggregated data described above, but would be 
produced and updated every 10 minutes during the trading day. Data 
would be captured in ``snapshots'' taken every 10 minutes throughout 
the trading day and would be available to subscribers within five 
minutes of the conclusion of each 10 minute period. For example, 
subscribers to the intraday product would receive the first calculation 
of intraday data no later than 9:45 a.m. ET, which represents data 
captured from 9:30 a.m. to 9:40 a.m. Subscribers will receive the next 
update by 9:55 a.m., representing the data previously provided 
aggregated with data captured up to 9:50 a.m., and so forth. Each 
update will represent combined data captured from the current 
``snapshot'' and all previous ``snapshots'' and thus will provide open-
close data on an aggregate basis. The intraday Open-Close Report will 
provide a volume summary of trading activity on the Exchange at the 
option level by origin (Priority Customer, Non-Priority Customer, Firm, 
Broker-Dealer, and Market Maker), side of the market (buy or sell), and 
transaction type (opening or closing). All volume will be further 
broken down into trade size buckets (less than 100 contracts, 100-199 
contracts, greater than 199 contracts).
    The Exchange believes the proposed intraday Open-Close Report may 
also provide helpful trading information regarding investor sentiment 
that may allow market participants to make better trading decisions 
throughout the day and may be used to create and test trading models 
and analytical strategies and provides comprehensive insight into 
trading on the Exchange. For example, intraday open data may allow a 
market participant to identify new

[[Page 28669]]

interest or possible risks throughout the trading day, while intraday 
closing data may allow a market participant to identify fading 
interests in a security.
2. Statutory Basis
    The Exchange believes that its proposed rule change is consistent 
with Section 6(b) of the Act \8\ in general, and furthers the 
objectives of Section 6(b)(5) of the Act \9\ in particular, in that it 
is designed to prevent fraudulent and manipulative acts and practices, 
to promote just and equitable principles of trade, to remove 
impediments to and perfect the mechanism of a free and open market and 
a national market system, and to protect investors and the public 
interest, and that it is not designed to permit unfair discrimination 
among customers, brokers, or dealers.
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    \8\ 15 U.S.C. 78f(b).
    \9\ 15 U.S.C. 78f(b)(5).
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    In adopting Regulation NMS, the Commission granted self-regulatory 
organizations (``SROs'') and broker-dealers increased authority and 
flexibility to offer new and unique market data to the public. It was 
believed that this authority would expand the amount of data available 
to consumers, and also spur innovation and competition for the 
provision of market data. Particularly, the Open-Close Report further 
broadens the availability of U.S. option market data to investors 
consistent with the principles of Regulation NMS. The data product also 
promotes increased transparency through the dissemination of the Open-
Close Report's data. The proposed rule change would benefit investors 
by providing access to the Open-Close Report, which may promote better 
informed trading throughout the trading day. Particularly, information 
regarding opening and closing activity across different option series 
during the trading day may indicate investor sentiment, which may allow 
market participants to make better informed trading decisions 
throughout the day. Subscribers to the data may also be able to enhance 
their ability to analyze option trade and volume data and create and 
test trading models and analytical strategies. The Exchange believes 
the Open-Close Report provides a valuable tool that subscribers can use 
to gain comprehensive insight into the trading activity in a particular 
series, but also emphasizes such data is not necessary for trading.
    Moreover, other exchanges also off a substantially identical data 
product.\10\ Specifically, NASDAQ OMX PHLX (``PHLX'') and the NASDAQ 
Stock Market LLC (``NASDAQ'') offer the PHLX Options Trade Outline 
(``PHOTO'') and NASDAQ Options Trade Outline (``NOTO''), respectively. 
The Cboe Exchange, Inc. (``Cboe''), Cboe C2 Exchange, Inc. (``C2''), 
Cboe BZX Exchange, Inc. (``BZX''), and Cboe EDGX Exchange, Inc. 
(``EDGX'') all offer the market data products called the End of Day and 
Intraday Open-Close Data. The Phlx, Nasdaq, Cboe, C2, BZX, and EDGX 
products provide substantially the same information as that included in 
the proposed Open-Close Report. Like the proposed product, the data is 
provided to subscribers in the other exchange's market data products 
after the end of the trading and cumulatively every 10 minutes and 
provided within five minutes of the conclusion of each 10 minute 
period.
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    \10\ See supra note 4.
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B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange 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. Rather, the 
Exchange believes that the proposal will promote competition by 
permitting the Exchange to offer a data product similar to those 
offered by other competitor options exchanges.\11\ The Exchange is 
proposing to introduce the Open-Close Report in order to keep pace with 
changes in the industry and evolving customer needs, and believes this 
proposed rule change would contribute to robust competition among 
national securities exchanges. As noted, most other options exchanges 
offer a market data product that is similar to the Open-Close 
Report.\12\ As a result, the Exchange believes this proposed rule 
change permits fair competition among national securities exchanges. 
Therefore, the Exchange does not believe 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.
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    \11\ Id.
    \12\ Id.
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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 Exchange has filed the proposed rule change pursuant to Section 
19(b)(3)(A) of the Act \13\ and Rule 19b-4(f)(6) \14\ thereunder. 
Because the foregoing proposed rule change does not: (i) Significantly 
affect the protection of investors or the public interest; (ii) impose 
any significant burden on competition; and (iii) become operative for 
30 days from the date on which it was filed, or such shorter time as 
the Commission may designate, it has become effective pursuant to 
Section 19(b)(3)(A) of the Act \15\ and Rule 19b-4(f)(6) \16\ 
thereunder.
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    \13\ 15 U.S.C. 78(b)(3)(A).
    \14\ 17 CFR 240.19b-4(f)(6).
    \15\ 15 U.S.C. 78s(b)(3)(A).
    \16\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii) 
requires the Exchange to give the Commission written notice of the 
Exchange's intent to file the proposed rule change, along with a 
brief description and text of the proposed rule change, at least 
five business days prior to the date of filing of the proposed rule 
change, or such shorter time as designated by the Commission. The 
Exchange has satisfied this requirement.
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    A proposed rule change filed under Rule 19b-4(f)(6) \17\ normally 
does not become operative prior to 30 days after the date of the 
filing. However, pursuant to Rule 19b-4(f)(6)(iii),\18\ the Commission 
may designate a shorter time if such action is consistent with 
protection of investors and the public interest. The Exchange has asked 
the Commission to waive the 30-day operative delay so that the proposed 
rule change may become operative on June 1, 2021, the anticipated date 
upon which the Exchange expects to start to offer the Open-Close 
Report. In support of its waiver request, the Exchange notes that other 
exchanges offer a substantially identical data product.\19\ The 
Commission believes that, as described above, the Exchange's proposal 
does not raise any new or novel issues. Therefore, the Commission 
believes that waving the 30-day operative delay is consistent with the 
protection of investors and the public interest. Accordingly, the 
Commission designates the proposed rule change to be operative on June 
1, 2021.\20\
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    \17\ 17 CFR 240.19b-4(f)(6).
    \18\ 17 CFR 240.19b-4(f)(6).
    \19\ See supra note 10 and accompanying text.
    \20\ For purposes only of waiving the 30-day operative delay, 
the Commission also has considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
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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

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Commission will institute proceedings to determine whether the proposed 
rule change should be approved or disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-PEARL-2021-24 on the subject line.

Paper Comments

     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-PEARL-2021-24. 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 (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549, on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of the filing also will be available for inspection 
and copying at the principal office of the Exchange. All comments 
received will be posted without change. Persons submitting comments are 
cautioned that we do not redact or edit personal identifying 
information from comment submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-PEARL-2021-24 and should be submitted on 
or before June 17, 2021.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\21\
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    \21\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-11174 Filed 5-26-21; 8:45 am]
BILLING CODE 8011-01-P