[Federal Register Volume 86, Number 232 (Tuesday, December 7, 2021)]
[Notices]
[Pages 69319-69321]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-26446]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-93688; File No. SR-CboeBZX-2021-078]


Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of 
Filing of a Proposed Rule Change To Introduce a New Data Product To Be 
Known as the Short Volume Report

December 1, 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 November 17, 2021, Cboe BZX Exchange, Inc. (``Exchange'' or 
``BZX'') 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 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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[[Page 69320]]

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    Cboe BZX Exchange, Inc. (the ``Exchange'' or ``BZX'') is filing 
with the Securities and Exchange Commission (``Commission'') a proposed 
rule change to Exchange Rule 11.22(f) to introduce a new data product 
to be known as the Short Volume Report. 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/bzx/), at the Exchange's Office of the 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 amend Rule 11.22(f) to provide for a new 
data product to be known as the Short Volume Report. The proposal 
introduces the Short Volume Report which will be available for purchase 
to BZX Members (``Members'') and non-Members. The Exchange notes that 
the proposed data product is substantially similar to information 
included in the short sale volume report offered by the Nasdaq Stock 
Market LLC (``Nasdaq'') \3\ and the TAQ Group Short Volume file offered 
by the New York Stock Exchange LLC (``NYSE''),\4\ with the exception 
that the proposed product will also include buy and sell volume as well 
as trade counts for buy, sell, sell short, and sell short exempt 
volume.
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    \3\ See the Nasdaq Price List--Equities, Nasdaq Web-based 
Reports, Nasdaq Short Sale Volume Reports at Price List--NASDAQ 
Global Data Products (nasdaqtrader.com).
    \4\ See the NYSE Historical Proprietary Market Data Pricing, 
NYSE Group Summary Data Products, TAQ NYSE Group Short Volume (Daily 
File) at https://www.nyse.com/publicdocs/nyse/data/NYSE_Historical_Market_Data_Pricing.pdf.
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    A description of each market data product offered by the Exchange 
is described in Exchange Rule 11.22. The Exchange proposes to amend 
Rule 11.22(f) to introduce and add a description of the Short Volume 
Report. The Exchange proposes to describe the Short Volume Report as 
``an end-of-day report that summarizes equity trading activity on the 
Exchange, including trade count and volume by symbol for buy, sell, 
sell short, and sell short exempt trades.'' Specifically, the end-of-
day report will include the following information: Trade date, symbol, 
total volume, buy volume, buy trade count, sell volume, sell trade 
count, sell short volume, sell short trade count, sell short exempt 
volume, and sell short exempt trade count. The Exchange notes that the 
proposed product includes substantially similar information as that 
included in comparable products offered on Nasdaq and NYSE except that 
the Exchange proposes to also include buy and sell volume as well as 
trade counts for buy, sell, sell short, and sell short exempt 
volume.\5\ The Exchange believes the additional data points will 
benefit market participants because they will allow market participants 
to better understand the changing risk environment on a daily basis.
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    \5\ The Exchange notes that the Nasdaq and NYSE comparable 
products reflect aggregate information across their affiliated 
equity exchanges. The Exchange is not proposing an aggregated Short 
Volume Report across its affiliated equity exchanges; thus, the 
proposal is only applicable to trades executed on BZX.
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    The Short Volume Report will be available for purchase \6\ on a 
monthly subscription basis for which subscribers will receive a daily 
end-of-day file that will be delivered after the conclusion of the 
After Hours Trading Session.\7\ Additionally, historical Short Volume 
Reports dating as far back as January 2, 2015 will be available for 
purchase on an ad hoc basis in monthly increments. The subscription 
files and historical files will include the same data points. Lastly, 
the Exchange notes the proposed product 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 
subscribe to it only if they voluntarily choose to do so.
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    \6\ The Exchange intends to submit a separate rule filing to 
adopt fees for the Short Volume Report product.
    \7\ See Exchange Rule 1.5(c).
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2. Statutory Basis
    The Exchange believes the proposed rule change is consistent with 
the Securities Exchange Act of 1934 (the ``Act'') and the rules and 
regulations thereunder applicable to the Exchange and, in particular, 
the requirements of Section 6(b) of the Act.\8\ Specifically, the 
Exchange believes the proposed rule change is consistent with the 
Section 6(b)(5) \9\ requirements that the rules of an exchange be 
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 regulating, clearing, 
settling, processing information with respect to, and 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. Additionally, 
the Exchange believes the proposed rule change is consistent with the 
Section 6(b)(5) \10\ requirement that the rules of an exchange not be 
designed to permit unfair discrimination between customers, issuers, 
brokers, or dealers.
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    \8\ 15 U.S.C. 78f(b).
    \9\ 15 U.S.C. 78f(b)(5).
    \10\ See Supra notes 3 and 4.
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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 
Volume Report 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 data included in the Short Volume Report. The proposed 
rule change would benefit investors by providing access to the Short 
Volume Report, which may promote better informed trading. Particularly, 
information included in the Short Volume Report may allow a market 
participant to identify the source of selling pressure and whether it 
is long or short.
    Moreover, other exchanges offer substantially similar data 
products. The Nasdaq daily short sale volume file reflects the 
aggregate number of shares executed on Nasdaq, Nasdaq BX, Inc. and 
Nasdaq PHLX LLC.\11\ Specifically, the Nasdaq daily short volume report 
provides the following information:

[[Page 69321]]

Trade date, symbol, volume during regular trading hours, and CTA market 
identifier. Additionally, the NYSE Group Short Volume daily file 
reflects a summary of short sale volume for securities traded on NYSE, 
NYSE American LLC, NYSE Arca, Inc., NYSE National, Inc., and NYSE 
Chicago, Inc. Specifically, the NYSE Group Short Volume product 
provides the following information: Trade date, symbol, short exempt 
volume, short volume, total volume of all transactions, and market 
identifier. While the proposed product offers volume and trade counts 
which are not offered in the comparable NYSE and Nasdaq short sale 
volume reports, similar data is otherwise available or determinable in 
other NYSE data product offerings. Specifically, the NYSE TAQ product 
provides trade and quote information for orders entered on the NYSE 
affiliated equity exchanges, which include buy, sell, and sell short 
volume.\12\ Thus, subscribers to NYSE TAQ could determine volume and 
trade counts from such data. Additionally, the NYSE Monthly Short Sales 
report provides a record of every short sale transaction on NYSE during 
the month, which includes a size and short sale indicator.\13\ Thus, 
subscribers to the NYSE Monthly Short Sales report could determine the 
sell short and sell short exempt volume and trade count, albeit on a 
monthly basis rather than a daily basis. Moreover, the Exchange 
believes the proposed Short Volume Report 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 basis. Therefore, the Exchange believes it is reasonable to 
include such data in the proposed product.
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    \11\ See Supra note 3. As noted in the Nasdaq Price List, BX and 
PSX short sale files are available for free.
    \12\ See https://www.nyse.com/publicdocs/nyse/data/TAQ_XDP_Products_Client_Spec_v2.3c.pdf.
    \13\ See https://www.nyse.com/publicdocs/nyse/data/Monthly_Short_Sales_Client_Spec_v1.3.pdf.
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    Finally, as noted above the proposed Short Sale 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 subscribe to it only if they voluntarily choose to do 
so.

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.\14\ The Exchange is proposing 
to introduce the Short Volume 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, at least two other U.S. equity 
exchanges offer a market data product that is substantially similar to 
the proposed Short Volume Report.\15\ 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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    \14\ See Supra notes 3 and 4.
    \15\ 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 up to 90 days (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 will:
    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-CboeBZX-2021-078 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-CboeBZX-2021-078. 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-CboeBZX-2021-078, and should be 
submitted on or before December 28, 2021.
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    \16\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\16\
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-26446 Filed 12-6-21; 8:45 am]
BILLING CODE 8011-01-P