[Federal Register Volume 83, Number 226 (Friday, November 23, 2018)]
[Notices]
[Pages 59435-59439]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2018-25470]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-84613; File No. SR-MIAX-2018-36]


Self-Regulatory Organizations; Miami International Securities 
Exchange, LLC; Notice of Filing of a Proposed Rule Change To Amend 
Exchange Rule 518, Complex Orders

November 16, 2018.
    Pursuant to the provisions of 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 November 9, 2018, Miami International 
Securities Exchange, LLC (``MIAX Options'' or ``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 amend Exchange Rule 518, 
Complex Orders [sic]
    The text of the proposed rule change is available on the Exchange's 
website at http://www.miaxoptions.com/rule-filings/ at MIAX Options' 
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 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 Exchange Rule 518, Complex Orders, 
to (i) adopt a new Simple Market Auction or Timer (``SMAT'') Event 
(defined below); (ii) amend the Response Time Interval and Defined Time 
Period for Complex Auctions (each defined below); (iii) adopt a new 
Complex Liquidity Exposure Process (``cLEP''); (iv) make minor changes 
to the Complex MIAX Options Price Collar Protection; and (v) clarify 
that the Calendar Spread Variance (``CSV'') price protection applies 
only to strategies in American-style option \3\ classes.
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    \3\ The term ``American-style option'' means an option contract 
that, subject to the provisions of Rule 700 (relating to the cutoff 
time for exercise instructions) and to the Rules of the Clearing 
Corporation, can be exercised on any business day prior to its 
expiration date and on its expiration date. See Exchange Rule 100.
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    Specifically, the Exchange proposes to amend subsection (a)(16), to 
adopt a new Simple Market Auction or Timer (SMAT) Event. A SMAT Event 
is

[[Page 59436]]

defined as any one of the following; a PRIME Auction (pursuant to Rule 
515A),\4\ a Route Timer (pursuant to Rule 529),\5\ or a liquidity 
refresh pause (pursuant to Rule 515(c)(2).\6\ The Exchange now proposes 
to adopt new rule text to add the liquidity exposure process timer 
(pursuant to proposed Rule 515(c)(2)(i)) as a SMAT Event. The liquidity 
exposure process timer, which is not to exceed three (3) seconds, is 
engaged as part of the liquidity exposure process for orders in 
Proprietary Products \7\ that would be posted, managed, or would trade 
at a price more aggressive than the order's protected price. If a SMAT 
Event exists during free trading for an option component of a complex 
strategy, trading in the complex strategy will be suspended.\8\ The 
Exchange also proposes to correct an internal cross reference in 
subsection (a)(16)(iii) from Rule 515(c)(2) to Rule 515(c)(3) to 
reflect the new citation under a currently pending proposed rule 
change. The purpose of adding the liquidity exposure process timer as a 
SMAT Event is to enhance the continuity, trade-through protection, and 
orderliness in the simple market and to protect complex order 
components from being executed at prices that could improve following a 
SMAT Event.
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    \4\ The MIAX Price Improvement Mechanism (``PRIME'') is a 
process by which a Member may electronically submit for execution 
(``Auction'') an order it represents as agent (``Agency Order'') 
against principal interest, and/or an Agency Order against solicited 
interest. See Exchange Rule 515A.
    \5\ The Exchange may automatically route orders to other 
exchanges under certain circumstances (``Routing Services''). In 
connection with such services, one of two Route Mechanisms, 
Immediate Routing or the Route Timer, will be used when a Public 
Customer order is received and/or reevaluated that is both routable 
and marketable against the opposite side ABBO upon receipt and the 
Exchange's disseminated market is not equal to the opposite side 
ABBO, or is equal to the opposite side ABBO and of insufficient size 
to satisfy the order. For those initiating Public Customer orders 
that are routable, but do not meet the additional criteria for 
Immediate Routing, the System will implement a Route Timer not to 
exceed one second (the duration of the Timer will be announced to 
Members through a Regulatory Circular), in order to allow Market 
Makers and other participants an opportunity to interact with the 
initiating order. See Exchange Rule 529.
    \6\ The System will pause the market for a time period not to 
exceed one second to allow additional orders or quotes refreshing 
the liquidity at the MBBO to be received (``liquidity refresh 
pause'') when at the time of receipt or reevaluation of the 
initiating order by the System: (A) Either the initiating order is a 
limit order whose limit price crosses the NBBO or the initiating 
order is a market order, and the limit order or market order could 
only be partially executed; (B) a Market Maker quote was all or part 
of the MBBO when the MBBO is alone at the NBBO; and (C) and the 
Market Maker quote was exhausted. See Exchange Rule 515(c)(2).
    \7\ The term ``Proprietary Product'' means a class of options 
that is listed exclusively on the Exchange and any of its 
affiliates. See proposed Exchange Rule 100.
    \8\ See Exchange Rule 518, Interpretations and Policies 
.05(e)(2)(i).
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    Additionally, the Exchange proposes to amend subsection (d)(3) 
which describes the Response Time Interval of a Complex Auction, which 
is a single-sided auction. The Exchange offers Complex Auction 
functionality as described in Exchange Rule 518 \9\ and also a cPRIME 
process, which is unaffected by this proposal, as described in Exchange 
Rule 515A.12.
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    \9\ Certain option classes, as determined by the Exchange and 
communicated to Members via Regulatory Circular, will be eligible to 
participate in a Complex Auction (an ``eligible class''). Upon 
evaluation as set forth in subparagraph (c)(5) of Rule 518, the 
Exchange may determine to automatically submit a Complex Auction-
eligible order into a Complex Auction. Upon entry into the System or 
upon evaluation of a complex order resting at the top of the 
Strategy Book, Complex Auction-eligible orders may be subject to an 
automated request for responses (``RFR''). See Exchange Rule 518(d).
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    Currently, Rule 518(d)(3) provides that the Response Time Interval 
means the period of time during which responses to the Request for 
Responses (``RFR'') message may be entered. The Rule further provides 
that the Exchange determines the duration of the Response Time 
Interval, which shall not exceed 500 milliseconds, and communicates it 
to Members via Regulatory Circular.\10\ The Exchange now proposes to 
adopt new rule text to state that, ``the end of the trading session 
will also serve as the end of the Response Time Interval for a Complex 
Auction still in progress.'' In connection with this proposed change 
the Exchange proposes to amend subsection (d)(2) to remove the 
reference to the Defined Time Period for a Complex Auction. The Defined 
Time Period represents the period of time preceding the end of a 
trading session during which a Complex Auction will not be initiated. 
Currently, the Defined Time Period is 2,000 milliseconds \11\ while the 
duration of a Complex Auction is just 200 milliseconds. The Exchange 
believes that removing this restriction will allow for increased price 
improvement opportunities. The Exchange also proposes to amend 
subsection (c)(2)(i) to remove the restriction that a cAOA order \12\ 
received during the Defined Time Period will not initiate a new Complex 
Auction. Under the current rules there is no opportunity at all for 
price improvement via a Complex Auction when there is less than two 
seconds left in the trading session. The Exchange believes that 
removing the Defined Time Period and allowing the end of the trading 
session to serve as the end of the Response Time Interval in the 
limited instance that a Complex Auction is initiated with less than 200 
milliseconds left in the trading session will allow for more 
opportunities for price improvement via the auction process. The 
Exchange warrants that is has the System capability to conduct auctions 
and execute transactions in a timely fashion at any time during the 
trading session.
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    \10\ The Exchange notes that the Response Time Interval is 
currently set to 200 milliseconds. See MIAX Regulatory Circular 
2016-46.
    \11\ See MIAX Regulatory Circular 2016-63.
    \12\ A ``Complex Auction-on-Arrival'' or ``cAOA'' order is a 
complex order designated to be placed into a Complex Auction upon 
receipt or upon evaluation . See Exchange Rule 518(b)(2).
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    The Exchange also proposes to adopt new subsection (e) to describe 
a Complex Liquidity Exposure Process (``cLEP'') for complex orders and 
complex eQuotes that would violate their Complex MIAX Price Collar 
(``MPC'') price . The MPC price protection feature is an Exchange-wide 
mechanism under which a complex order or complex eQuote to sell will 
not be displayed or executed at a price that is lower than the opposite 
side cNBBO \13\ bid at the time the MPC is assigned by the System \14\ 
(i.e., upon receipt or upon opening) by more than a specific dollar 
amount expressed in $0.01 increments (the ``MPC Setting''), and under 
which a complex order or eQuote to buy will not be displayed or 
executed at a price that is higher than the opposite side cNBBO offer 
at the time the MPC is assigned by the System by more than the MPC 
Setting (each the ``MPC Price'').\15\ The MPC Price is established (i) 
upon receipt of the complex order or eQuote during free trading, or 
(ii) if the complex order or eQuote is not received during free 
trading, at the opening (or reopening following a halt) of trading in 
the complex strategy; or (iii) upon evaluation of the Strategy Book by 
the System when a wide market condition, as described in 
Interpretations and Policies .05(e)(1) of this Rule, no longer 
exists.\16\ Once established the MPC Price will not change during the 
life of the complex order or eQuote.\17\ If the MPC Price is priced 
less aggressively than the limit price of the complex order or eQuote 
(i.e., the MPC Price is less than the complex order or eQuote's bid 
price

[[Page 59437]]

for a buy, or the MPC Price is greater than the complex order or 
eQuote's offer price for a sell), or if the complex order is a market 
order, the complex order or eQuote will be displayed and/or executed up 
to its MPC Price. Any unexecuted portion of such a complex order or 
eQuote: (A) Will be cancelled if it would otherwise be displayed or 
executed at a price that is outside the MPC Price; and (B) may be 
subject to the managed interest process described in Rule 
518(c)(4).\18\ If the MPC Price is priced more aggressively than the 
limit price of the complex order or eQuote (i.e., the MPC Price is 
greater than the complex order or eQuote's bid price for a buy, or the 
MPC Price is less than the complex order or eQuote's offer price for a 
sell), the complex order or eQuote will be displayed and/or executed up 
to its limit price. Any unexecuted portion of such a complex order will 
be submitted, if eligible, to the managed interest process described in 
Rule 518(c)(4), or placed on the Strategy Book at its limit price. Any 
unexecuted portion of such a complex eQuote will be cancelled.\19\
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    \13\ The term cNBBO means the Complex National Best Bid or Offer 
and is calculated using the National Best Bid or Offer (``NBBO'') 
for each component of a complex strategy to establish the best net 
bid and offer for a complex strategy. See Exchange Rule 518(a)(2).
    \14\ The term ``System'' means the automated trading system used 
by the Exchange for the trading of securities. See Exchange Rule 
100.
    \15\ See Exchange Rule 518.05(f).
    \16\ See Exchange Rule 518.05(f)(3).
    \17\ See Exchange Rule 518.05(f)(4).
    \18\ See Exchange Rule 518.05(f)(6).
    \19\ See Exchange Rule 518.05(f)(7).
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    The Exchange now proposes to initiate a Complex Liquidity Exposure 
Auction (``cLEP Auction'') whenever a complex order or complex eQuote 
would violate its MPC Price. To begin the cLEP Auction, the System will 
first broadcast a liquidity exposure message to all subscribers of the 
Exchange's data feeds. The liquidity exposure message will include the 
symbol, side of the market, auction start price (MPC Price), quantity 
of matched contracts, and the imbalance quantity. The inclusion of the 
quantity of matched contracts at the price included in the RFR message 
is intended to inform participants considering submitting an RFR 
Response the number of contracts for which there is matched interest, 
and the purposes of including the imbalance quantity in the RFR message 
is to inform such participants of the number of contracts that do not 
have matched interest.
    The System will initiate a Response Time Interval, as determined by 
the Exchange and communicated via Regulatory Circular which shall be no 
less than 100 milliseconds and no more than 5,000 milliseconds.\20\ The 
Exchange recently surveyed its Members and established that Members' 
Systems could submit auction responses in 100 milliseconds or less on 
average.\21\ At the conclusion of the Complex Liquidity Exposure 
Auction if the resulting trade price is less aggressive than the MPC 
Price, liquidity will be handled in accordance to Exchange Rule 
518(c)(2), Execution of Complex Orders and Quotes. Orders and quotes 
executed in a cLEP Auction will be allocated in accordance with the 
Complex Auction allocation procedures described in Exchange Rule 
518(d)(7), Allocation at the Conclusion of a Complex Auction.
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    \20\ The Exchange notes that the current duration of a cPRIME 
Auction is 100 milliseconds and the current duration of a Complex 
Auction is 200 milliseconds.
    \21\ See Securities Exchange Release No.80940 (June 15, 2017), 
82 FR 28369 (June 21, 2017) (SR-MIAX-2017-16).
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    At the conclusion of a cLEP Auction the System will calculate the 
next potential MPC Price using the auction start price plus (minus) the 
next MPC increment for buy (sell) orders. Liquidity with an original 
price equal to or less aggressive than the new MPC Price is no longer 
subject to the MPC price protection. Liquidity with an original price 
more aggressive than the new MPC Price (or market order liquidity) is 
subject to the MPC price protection feature using the new MPC Price.
    The current rule provides that if the MPC Price is priced less 
aggressively than the limit price of the complex order or eQuote (i.e., 
the MPC Price is less than the complex order or eQuote's bid price for 
a buy, or the MPC Price is greater than the complex order or eQuote's 
offer price for a sell), or if the complex order is a market order, the 
complex order or eQuote will be displayed and/or executed up to its MPC 
Price. Any unexecuted portion of such a complex order or eQuote: (A) 
Will be cancelled if it would otherwise be displayed or executed at a 
price that is outside the MPC Price, and (B) may be subject to the 
managed interest process described in 518(c)(4).\22\
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    \22\ See Exchange Rule 518.05(f)(6).
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    The Exchange now proposes to amend subsection(f)(6)(A) to provide 
that any unexecuted portion of such a complex order or eQuote will be 
subject to the cLEP as described in proposed subsection (e). The 
Exchange believes it to be in the best interest of the Member to seek 
liquidity via the Complex Liquidity Exposure Process as described 
above, rather than cancel any unexecuted portion of the order.
    The examples below demonstrate an order subject to the Complex 
Liquidity Exposure Process.
Example 1
MPC: $0.25

    The Exchange has one order resting on its Strategy Book: \23\ +1 
component A, -1 component B:
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    \23\ The term ``Strategy Book'' is the Exchange's electronic 
book of complex orders and complex quotes. See Exchange Rule 
518(a)(17).

Order 1 is to sell 10 at $1.90
MBBO component A: 4.00(10) x 5.00(10)
MBBO component B: 2.00(10) x 2.50(10)
NBBO component A: 4.05(10) x 4.15(10)
NBBO component B: 2.30(10) x 2.40(10)
cMBBO: 1.50 (10) x 3.00 (10)
cNBBO: 1.65 (10) x 1.85 (10)

    The Exchange receives a new order (Order 2) to buy 20 at $2.25.
    Order 2 buys 10 from Order 1 at $1.90 and initiates the Complex 
Liquidity Exposure Process: Order 2 reprices to its protected price of 
$2.10 (cNBO of 1.85 + 0.25) and is posted at that price on the Complex 
Order Book and the Complex Liquidity Exposure Process Timer begins.
    During the cLEP Auction the Exchange receives a new order (Order 3) 
to sell 10 at $2.10. This order locks the current same side Book Price 
of $2.10 and Order 3 sells 10 to Order 2 at $2.10, filling Order 2 and 
ending the Liquidity Exposure Process.
Example 2
MPC: $0.25

    The Exchange has one order resting on its book in Strategy +1 
component A, -1 component B:

Order 1 is to sell 10 at $1.90
MBBO component A: 4.00(10) x 5.00(10)
MBBO component B: 2.00(10) x 2.50(10)
NBBO component A: 4.05(10) x 4.15(10)
NBBO component B: 2.30(10) x 2.40(10)
cMBBO: 1.50 (10) x 3.00 (10)
cNBBO: 1.65 (10) x 1.85 (10)

    The Exchange receives a new order (Order 2) to buy 20 at $2.25.
    Order 2 buys 10 from Order 1 at $1.90 and initiates the Complex 
Liquidity Exposure Process: Order 2 reprices to its protected price of 
$2.10 (cNBO of 1.85 + 0.25) and is posted at that price on the Strategy 
Book and the Complex Liquidity Exposure Process Timer begins.
    No new liquidity arrives during the Liquidity Exposure Process. At 
the end of the timer, Order 2 reprices to its limit of $2.25 and is 
posted at that price on the Strategy Book, ending the Liquidity 
Exposure Process.
    The Exchange also proposes to make minor technical changes to 
Interpretations and Policies .05 of Exchange Rule 518 to reflect the 
proposed changes described above. Specifically, the Exchange proposes 
to remove subparagraph (f)(4) that provides that once established, the 
MPC

[[Page 59438]]

Price will not change during the life of the complex order or eQuote. 
As described above the MPC Price for certain liquidities will be 
subject to a re-evaluation process and may change as a result of such 
re-evaluation. Also, the Exchange proposes to amend subparagraph (6)(A) 
to remove the provision that any unexecuted portion of such a complex 
order or eQuote will be cancelled if it would otherwise be displayed or 
executed at a price that is outside the MPC Price, and to state instead 
that it will be subject to the cLEP as described in subsection (e) of 
this Rule. Additionally, as a result of the removal of paragraph (4) it 
is necessary to renumber the remaining paragraphs for consistency 
within the numbering hierarchy of the Exchange's rules. Therefore 
current paragraph (5) will be renumbered as new paragraph (4); current 
paragraph (6) will be renumbered as new paragraph (5); and current 
paragraph (7) will be renumbered as new paragraph (6).
    Finally, the Exchange proposes to amend subsection (b) of 
Interpretations and Policies .05 to adopt new rule text stating that 
the Calendar Spread Variance (``CSV'') price protection applies only to 
strategies in American-style option classes. A Calendar Spread is a 
complex strategy consisting of the purchase of one call (put) option 
and the sale of another call (put) option overlying the same security 
that have different expirations but the same strike price. The CSV 
establishes a minimum trading price limit for Calendar Spreads. The 
maximum possible value of a Calendar Spread is unlimited, thus there is 
no maximum price protection for Calendar Spreads. The minimum possible 
trading price limit of a Calendar Spread is zero minus the pre-set 
value of $.10. This ensures that the Strategy doesn't trade more than 
$.10 away from its intrinsic value. (On a basic level the price of an 
American-style option is comprised of two components; intrinsic value 
and time value. If the strike price of a call option is $5.00 and the 
stock is priced at $6.00, there is $1.00 of intrinsic value in the 
price of the call option, anything above $1.00 represents the time 
value component.) An American-style option must be worth at least as 
much as its intrinsic value because the holder of the option can 
realize the intrinsic value by immediately exercising the option. In a 
Calendar Spread strategy comprised of American-style options, ceteris 
paribus, the far month should be worth more than the near month due to 
its having a greater time to expiration and therefore a higher time 
value. As European-style options \24\ may only be exercised on their 
expiration date, the relationship between the stock price, option 
price, and option strike price that exists for American-style options 
does not exist for European-style options. Therefore the CSV price 
protection would be ineffective and will not be available for 
strategies comprised of European-style options.
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    \24\ The term ``European-style option'' means an option contract 
that, subject to the provisions of Rule 700 (relating to the cutoff 
time for exercise instructions) and to the Rules of the Clearing 
Corporation, can be exercised only on its expiration date. See 
Exchange Rule 100.
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2. Statutory Basis
    The Exchange believes that its proposed rule change is consistent 
with Section 6(b) of the Act \25\ in general, and furthers the 
objectives of Section 6(b)(5) of the Act \26\ 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 regulating, 
clearing, settling, processing information with respect to, and 
facilitating transactions in securities, to remove impediments to and 
perfect the mechanisms of a free and open market and a national market 
system and, in general, to protect investors and the public interest.
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    \25\ 15 U.S.C. 78f(b).
    \26\ 15 U.S.C. 78f(b)(5).
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    The Exchange believes its proposal to include the liquidity 
exposure timer as a SMAT Event promotes just and equitable principles 
of trade, removes impediments to and perfects the mechanisms of a free 
and open market and a national market system and, in general, protects 
investors and the public interest. SMAT Events represent temporary 
interruptions of free trading in one or more components of a complex 
strategy. The temporary suspension of trading in complex orders during 
a SMAT Event is intended to enhance continuity, trade-through 
protection, and orderliness in the simple market and to protect complex 
order components from being executed at prices that could improve 
following a SMAT Event. Once a SMAT Event is concluded or resolved, the 
System will re-evaluate the Strategy Book.\27\
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    \27\ See Exchange Rule 518, Interpretations and Policies 
.05(f)(2)(i).
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    The Exchange believes that its proposal to eliminate the Defined 
Time Period to allow Complex Auctions \28\ to occur throughout the 
trading session removes impediments to and perfects the mechanism of a 
free and open market and a national market system and, in general, 
protects investors and the public interest by removing an unnecessary 
barrier which prevented Complex Auctions from occurring with less than 
two seconds left in the trading session. The current duration of a 
Complex Auction duration is just 200 milliseconds. The Exchange 
believes it is in the best interest of the investor to allow for 
opportunities for price improvement throughout the entire trading 
session. In the event that a Member initiates a Complex Auction without 
enough time for Members to respond, the initiating Member is no worse 
off under the proposed rule than the Member would have been under the 
current rule which prevents the Member from even attempting to initiate 
a Complex Auction with less than two seconds left in the trading 
session.
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    \28\ Complex Auctions are described in Exchange Rule 518(d) and 
are separate and distinct from cPRIME Auctions which are described 
in Interpretations and Policies .12 of Exchange Rule 515A, MIAX 
Price Improvement Mechanism (``PRIME'') and PRIME Solicitation 
Mechanism.
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    The Exchange also believes its proposal to adopt a Complex 
Liquidity Exposure Process promotes just and equitable principles of 
trade and removes impediments to and perfects the mechanisms of a free 
and open market and a national market system and, in general, protects 
investors and the public interest. The Complex Liquidity Exposure 
Process provides an additional opportunity for price discovery for 
those orders that would trade through their MPC Price. The Exchange 
believes its proposal promotes just and equitable principles of trade 
as it is in the best interest of the Member to seek liquidity for the 
unexecuted portion of the order which exceeds the order's MPC Price 
rather than to simply cancel the unexecuted portion back to the 
Member.\29\
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    \29\ The Exchange notes that Members who believe that an 
execution has occurred at an erroneous price may avail themselves of 
the protections provided in Exchange Rule 521, Nullification and 
Adjustment of Options Transactions Including Obvious Errors.
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    The Exchange also believes that its proposal to amend 
Interpretations and Policies .05(f) to reflect the changes resulting 
from the introduction of the Complex Liquidity Exposure Process 
promotes just and equitable principles of trade, and removes 
impediments to and perfects the mechanisms of a free and open market 
and a national market system and, in general, protects investors and 
the public interest by clearly describing the operation of the 
Exchange's functionality in the Exchange's rules. The Exchange believes 
it is in the interest of investors and the public to accurately 
describe the behavior of the Exchange's System in its

[[Page 59439]]

rules as this information may be used by investors to make decisions 
concerning the submission of their orders. Further, the Exchange's 
proposal to make non-substantive changes to re-number certain 
paragraphs for internal consistency within the rule benefits investors 
and the public interest by providing clarity and accuracy in the 
Exchange's rules.
    Finally, the Exchange believes its proposal to clarify that the 
Calendar Spread Variance (CSV) price protection is available only for 
American-style options promotes just and equitable principles of trade, 
and removes impediments to and perfects the mechanisms of a free and 
open market and a national market system and, in general, and protects 
investors and the public interest by providing clarity and precision in 
the Exchange's rules. The Exchange believes it is in the interest of 
investors and the public to accurately describe the behavior of the 
Exchange's System in its rules as this information may be used by 
investors to make decisions concerning the submission of their orders. 
Transparency and clarity are consistent with the Act because it removes 
impediments to and helps perfect the mechanism of a free and open 
market and a national market system, and, in general, protects 
investors and the public interest by accurately describing the behavior 
of the Exchange's System. In particular, the Exchange believes that the 
proposed rule change will provide greater clarity to Members and the 
public regarding the Exchange's Rules, and it is in the public interest 
for rules to be accurate and concise so as to eliminate the potential 
for confusion.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Act.
    The Exchange does not believe the proposed rule change will impose 
any burden on inter-market competition. The Exchange's proposal seeks 
to enhance complex order trading on the Exchange, and may potentially 
enhance competition among the various markets for complex order 
execution, potentially resulting in more active complex order trading 
on all exchanges.
    Additionally, the Exchange does not believe the proposed rule 
change will impose any burden on intra-market competition as the Rules 
apply equally to all Members of the Exchange.

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

    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 self-regulatory organization consents, the Commission will:
    (A) By order approve or disapprove the 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-MIAX-2018-36 on the subject line.

Paper Comments

     Send paper comments in triplicate to Brent J. Fields, 
Secretary, Securities and Exchange Commission, 100 F Street NE, 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-MIAX-2018-36. 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 (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 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. 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-MIAX-2018-36, and should be submitted on 
or before December 14, 2018.

    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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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2018-25470 Filed 11-21-18; 8:45 am]
BILLING CODE 8011-01-P


