[Federal Register Volume 86, Number 114 (Wednesday, June 16, 2021)]
[Notices]
[Pages 32099-32102]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-12594]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-92151; File No. SR-CboeEDGA-2021-013]
Self-Regulatory Organizations; Cboe EDGA Exchange, Inc.; Notice
of Filing of a Proposed Rule Change To Introduce a New Data Product To
Be Known as Short Sale Volume Data
June 10, 2021.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that on May 28, 2021, Cboe EDGA Exchange, Inc. (the ``Exchange'' or
``EDGA'') filed with the Securities and Exchange Commission (the
``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
Cboe EDGA Exchange, Inc. (the ``Exchange'' or ``EDGA'') is filing
with the Securities and Exchange Commission (``Commission'') a proposed
rule change to introduce a new data product to be known as Short Sale
Volume data. The text of the proposed rule change is provided in
Exhibit 5.
The text of the proposed rule change is also available on the
Exchange's website (http://markets.cboe.com/us/equities/regulation/rule_filings/edga/), at the Exchange's Office of the
[[Page 32100]]
Secretary, 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 adopt Rule 13.8(g) to provide for a new
data product to be known as Short Sale Volume data. The proposal
introduces Short Sale Volume data that will be available for purchase
to EDGA Members (``Members'') and non-Members.\3\ The proposal is
similar to products offered by the New York Stock Exchange LLC
(``NYSE'') and the Nasdaq Stock Market LLC (``Nasdaq'') which provide
short sale volume information. The Exchange also proposes to change the
name of Rule 13.8 to ``Data Products'' and add a preamble to Rule 13.8
to conform to Cboe BZX Exchange, Inc. (``BZX'') and Cboe BYX Exchange,
Inc. (``BYX'') Rule 11.22.
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\3\ The Exchange intends to submit a separate rule filing to
establish fees for Short Sale Volume data.
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A description of each market data product offered by the Exchange
is described in Exchange Rule 13.8. The Exchange proposes to adopt Rule
13.8(g) to introduce and add a description of the Short Sale Volume
data product. The Exchange proposes to describe the Short Sale Volume
data as ``a data product that summarizes short sale volume (shares
traded on EDGA). Short Sale Volume data is available on an end-of-day
and intraday basis.''
The Exchange proposes to offer Short Sale Volume data on an end-of-
day and intraday basis which will be available for purchase by Members
and non-Members. Specifically, the Exchange proposes to offer an end-
of-day short sale volume report that includes the date, session (i.e.,
Pre-Opening Session,\4\ Regular Trading Hours,\5\ or Post-Closing
Session \6\),\7\ symbol, trade count, buy and sell volume, type of sale
(i.e., sell, sell short, or sell short exempt), capacity (i.e.,
principal, agent, or riskless principal), and retail order indicator.
The end-of-day Short Sale Volume data would include same day
corrections to short sale volume.
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\4\ See Exchange Rule 1.5(s).
\5\ See Exchange Rule 1.5(y).
\6\ See Exchange Rule 1.5(r).
\7\ Session information will only be available in data after
July 31, 2020.
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The Exchange also proposes to offer Short Sale Volume data on an
intraday basis that will provide the same information to that of end-
of-day Short Sale Volume data, but will be produced and updated every
10 minutes during the trading day. Data is captured in ``snapshots''
taken every 10 minutes throughout the trading day and is available to
subscribers within five minutes of the conclusion of each 10-minute
period. For example, subscribers to the intraday product will receive
the first calculation of intraday data by approximately 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 through 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 short sale volume data on an aggregate basis. The intraday
Short Sale Volume data will not include same day corrections, as
proposed in the end-of-day data. The proposed data products provide
proprietary EDGA trade data and do not include trade data from any
other exchange.
The proposed end-of-day and intraday Short Sale Volume data will be
available for purchase on a monthly subscription basis. Subscribers to
the end-of-day Short Sale Volume data will receive a daily end-of-day
file. Similarly, subscribers to the intraday Short Sale Volume data
will receive data which will be produced and updated every 10 minutes
as described above. Additionally, end-of-day and intraday Short Sale
Volume data will be available on a historical basis for purchase as far
back as January 3, 2017.\8\ The subscription files and historical ad
hoc files will include the same data points. Further, the Exchange will
establish a monthly subscriber fee and historical ad hoc fee for the
Short Sale Volume data by way of a separate proposed rule change, which
the Exchange will submit in connection with the launch of the Short
Sale Volume data product.
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\8\ Historical data will be available on an ad hoc basis.
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The Exchange anticipates a wide variety of market participants to
purchase Short Sale Volume data, including, but not limited to active
equity trading firms and academic institutions. For example, the
Exchange notes that academic institutions may utilize Short Sale Volume
data and as a result promote research and studies of the equities
industry to the benefit of all market participants. The Exchange
believes the proposed Short Sale Volume data products 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, Short Sale Volume data may allow a market
participant to identify the source of selling pressure and whether it
is long or short. Further, it may provide more visibility into
increasing and decreasing retail interest in a specific security. The
proposal 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 notes that other exchanges offer similar data
products.\9\
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\9\ See the Nasdaq Daily Short Sale Volume files at https://nasdaqtrader.com/Trader.aspx?id=shortsale. See also the NYSE TAQ
Group Short Sales and Short Volume at https://www.nyse.com/market-data/historical/taq-nyse-group-short-sales.
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Based on the above proposal, the Exchange also proposes to amend
the name of Rule 13.8 from ``EDGA Book Feeds'' to ``Data Products''.
Such an amendment would accurately describe the Rule as the proposed
product is not a book feed, but rather a data product. Further, the
existing data feeds identified in Rule 13.8 are also data products. The
Exchange also proposes to add the following preamble to Rule 13.8:
``The Exchange offers the following data products free of charge,
unless otherwise noted in the Exchange's fee schedule''. The proposed
language conforms to rule text provided in BZX and BYX Rules 13.8.
2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
Section 6(b) of the Act,\10\ in general, and furthers the objectives of
Section 6(b)(5) of the
[[Page 32101]]
Act,\11\ 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, in
general, to protect investors and the public interest. Additionally,
the Exchange believes the proposed rule change is consistent with the
Section 6(b)(5) \12\ requirement that the rules of an exchange not be
designed to permit unfair discrimination between customers, issuers,
brokers, or dealers.
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\10\ 15 U.S.C. 78f(b).
\11\ 15 U.S.C. 78f(b)(5).
\12\ Id.
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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. The Exchange believes that the proposed Short
Sale Volume data would further broaden the availability of U.S. equity
market data to investors consistent with the principles of Regulation
NMS. The proposal also promotes increased transparency through the
dissemination of Short Sale Volume data. The proposed rule change would
benefit investors by providing access to the Short Sale Volume data,
which may promote better informed trading. Particularly, information
regarding Short Sale Volume may allow a market participant to identify
the source of selling pressure and whether it is long or short.
Further, it may provide more visibility into increasing and decreasing
retail interest in a specific security.
Moreover, other exchanges offer similar data products.\13\ Nasdaq
offers a daily short sale volume report and NYSE offers the TAQ group
short sales and short volume product, which provide similar information
to that included in the proposed end-of-day Short Sale Volume data
product. The Nasdaq daily short sale volume file reflects the aggregate
number of shares executed on Nasdaq, BX and PSX during regular trading
hours.\14\ Specifically, the Nasdaq daily short sale volume provides
the following information: Date, symbol, volume during regular trading
hours, and CTA market identifier. The NYSE daily short volume file
reflects a summary of short sale volume for securities traded on NYSE,
NYSE American, NYSE Arca, NYSE National, and NYSE Chicago.
Specifically, the NYSE short sales and short volume product provides
the following information: Date, symbol, short exempt volume, short
volume, total volume of the short sale transaction, and market
identifier. NYSE and Nasdaq also offer monthly short sale volume
reports which offer different information than that provided in their
daily short sale reports.
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\13\ See Supra note 9.
\14\ See https://nasdaqtrader.com/Trader.aspx?id=shortsale.
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The Exchange proposes to include different and additional data in
the proposed products. Specifically, the Exchange proposes to include
session information, trade count, capacity, and a retail order
indicator in the proposed data product which are not currently provided
in either the NYSE or Nasdaq short sale volume product offerings.
Further, the Exchange proposes to offer an intraday Short Sale Volume
data product, which is not offered by other exchanges. The Exchange
believes the additional data points and the intraday data will benefit
market participants because they will provide visibility into market
activity that is not currently available. Further it will allow market
participants to better understand the changing risk environment on a
daily and intraday basis. Therefore, the Exchange believes it is
reasonable to include such data in the proposed products.
The Exchange believes the proposal to change the name of Rule 13.8
to ``Data Products'' is reasonable because the proposed Short Sale
Volume report is not a book feed, and thus ``EDGA Book Feeds'' does not
accurately describe all of the paragraphs under Rule 13.8. The Exchange
also believes the proposal to add the preamble to Rule 13.8 is
reasonable because it will eliminate potential investor confusion as to
which data products the Exchange charges a fee. Furthermore, both of
the aforementioned changes to Rule 13.8 are identical to the text of
BZX and BYX Rule 11.22.
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 data products similar to those offered
by other competitor equities exchanges.\15\ The Exchange is proposing
to introduce Short Sale Volume data 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, at least two other U.S. equity
exchanges offer a market data product that is similar to the proposed
Short Sale Volume data.\16\ 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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\15\ See Supra note 9.
\16\ Id.
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C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
The Exchange neither solicited nor received comments on the
proposed rule change.
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 (i) as the Commission may
designate up to 90 days of such date 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
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-CboeEDGA-2021-013 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.
[[Page 32102]]
All submissions should refer to File Number SR-CboeEDGA-2021-013. 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-CboeEDGA-2021-013, and should be
submitted on or before July 7, 2021.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\17\
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\17\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-12594 Filed 6-15-21; 8:45 am]
BILLING CODE 8011-01-P