[Federal Register Volume 85, Number 59 (Thursday, March 26, 2020)]
[Notices]
[Pages 17105-17112]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-06386]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-88455; File No. SR-MIAX-2020-04]


Self-Regulatory Organizations; Miami International Securities 
Exchange, LLC; Notice of Filing and Immediate Effectiveness of a 
Proposed Rule Change To Amend Exchange Rule 100, Definitions and 
Exchange Rule 503, Openings on the Exchange

March 23, 2020.
    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 March 12, 2020, Miami International Securities Exchange, LLC (``MIAX 
Options'' 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 amend Exchange Rule 100, 
Definitions; and Exchange Rule 503, Openings on the Exchange.
    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 100 to adopt new 
definitions for the terms ``Composite Market,'' ``Composite Width,'' 
and ``Maximum Composite Width.'' The Exchange also proposes to amend 
Exchange Rule 503, to incorporate the proposed Composite Market into 
its opening process. Finally, the Exchange proposes to make minor non-
substantive changes to Rule 503 to correct internal cross-references 
within the Exchange's rulebook. The Exchange believes that 
incorporating the concept of a Composite Market into its existing 
opening process will improve the speed and efficiency of the opening 
process without impairing price discovery.
    The Exchange proposes to amend Exchange Rule 100 to adopt a new 
definition for Composite Market that will mean, ``the market for a 
series comprised of (1) the higher of the then-current best appointed 
Market Maker \3\ bid quote on the Exchange and the ABB \4\ (if there is 
an ABB) and (2) the lower of the then-current best appointed Market 
Maker offer quote on the Exchange and the ABO \5\ (if there is an ABO). 
The term ``Composite Bid (Offer)'' means the bid (offer) used to

[[Page 17106]]

determine the Composite Market.'' \6\ The Exchange also proposes to 
amend Exchange Rule 100 to adopt a new definition for Composite Width 
that will mean, ``the width of the Composite Market (i.e., the width 
between the Composite Bid and the Composite Offer) of a series.'' \7\ 
Finally, the Exchange proposes to amend Exchange Rule 100 to adopt a 
new definition of Maximum Composite Width, that will mean, the amount 
that the Composite Width of a series may generally not be greater than 
for the series to open. The Maximum Composite Widths for all classes 
are as follows (based on the Composite Bid for a series):
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    \3\ The term ``Market Makers'' refers to ``Lead Market Makers'', 
``Primary Lead Market Makers'' and ``Registered Market Makers'' 
collectively. See Exchange Rule 100.
    \4\ The term ABB means the Away Best Bid.
    \5\ The term ABO means the Away Best Offer.
    \6\ This definition is substantially similar to the definition 
of a Composite Market used on another options exchange. See Cboe 
Exchange Rule 5.31(a).
    \7\ This definition is substantially similar to the definition 
for Composite Width used on another options exchange. See Cboe 
Exchange Rule 5.31(a).

------------------------------------------------------------------------
                                                              Maximum
         Low end of range (bid)             High end of      composite
                                            range (bid)        width
------------------------------------------------------------------------
$0.00...................................           $1.99           $5.00
2.00....................................            5.00            5.00
5.01....................................           10.00            5.00
10.01...................................           20.00            5.00
20.01...................................               +            5.00
------------------------------------------------------------------------

    The Exchange may modify these amounts when it deems necessary to 
maintain a fair and orderly opening process (which modifications the 
Exchange will announce to Members \8\ via Regulatory Circular).\9\ The 
Maximum Composite Width corresponds to the opening valid width range 
currently used by the Exchange.
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    \8\ 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.
    \9\ This definition is substantially similar to the definition 
for Maximum Composite Width used on another options exchange. See 
Cboe Exchange Rule 5.31(a).
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    The Exchange proposes to amend Exchange Rule 503, Openings on the 
Exchange, to incorporate the Composite Market into the Exchange's 
opening process. The Composite Market will be used during the opening 
process to determine whether or not to open a series for trading. The 
Exchange believes it is appropriate to consider any quotes from away 
markets in addition to quotes on its own market when determining 
whether to open a series, because consideration of all then-available 
pricing information may provide for more accurate opening prices.
Current Opening Process
    The Exchange's current opening process is dependent upon the 
presence of valid width quotes to begin.\10\ A valid width quote is 
defined in the Exchange's rules as, one where the bid and offer, 
comprised of a Market Maker's Standard quotes \11\ and Day eQuotes,\12\ 
differ by no more than the differences outlined in Exchange Rule 
603(b)(4)(i).\13\ Exchange Rule 603(b)(4)(i) establishes a bid/ask 
differential of $5.00.\14\ However, Exchange Rule 603(b)(4)(ii) further 
provides that the Exchange may establish differences other than the 
bid/ask differences described in Rule 603(b)(4)(i) for one or more 
option series or classes. When the Exchange establishes bid/ask 
differentials under Exchange Rule 603(b)(4)(ii) the Exchange publishes 
a Regulatory Circular identifying the option symbol, security name, and 
valid width bid/ask differential for the opening process and for intra-
day quoting.
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    \10\ See Exchange Rule 503(e)(1)(i), (ii), and (iii).
    \11\ A Standard quote is a quote submitted by a Market Maker 
that cancels and replaces the Market Maker's previous Standard 
quote, if any. See Exchange Rule 517(a)(1).
    \12\ A Day eQuote is a quote submitted by a Market Maker that 
does not automatically cancel or replace the Market Maker's previous 
Standard quote or eQuote. See Exchange Rule 517(a)(2)(i).
    \13\ Also, for purposes of this rule, valid width quote is one 
where the bid and offer, comprised of a Market Maker's Standard 
quotes and Day eQuotes, differ by no more than the differences 
outlined in Exchange Rule 603(b)(4)(i). See Exchange Rule 503(e)(3).
    \14\ Under Exchange Rule 603(b) a Market Maker is expected to 
perform the following activities in the course of maintaining a fair 
and orderly market: (1) To compete with other Market Makers to 
improve the market in all series of options classes to which the 
Market Maker is appointed. (2) To make markets that, absent changed 
market conditions, will be honored for the number of contracts 
entered into the System in all series of option classes to which the 
Market Maker is appointed. (3) To update market quotations in 
response to changed market conditions in all series of options 
classes to which the Market Maker is appointed. (4)(i) To price 
option contracts fairly by, among other things, bidding and offering 
so as to create differences of no more than $5 between the bid and 
offer (``bid/ask differentials'') following the opening rotation in 
an equity option contract;
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    Paragraph (e) Starting the Opening Process, of Exchange Rule 503, 
provides that, (1) the opening process cannot occur prior to 9:30 a.m. 
Eastern Time and can only begin following the dissemination of a quote 
or trade in the market for the underlying security. Following the 
dissemination of a quote or a trade in the market for the underlying 
security, the System \15\ will pause for a period of time no longer 
than one half second to allow the market place to absorb this 
information. The length of the pause will be disseminated to members 
through a Regulatory Circular. After the conclusion of the pause the 
opening process will begin when either: (i) The Primary Lead Market 
Maker's \16\ valid width quote has been submitted; (ii) the valid width 
quotes of at least two Market Makers, where at least one is a Lead 
Market Maker,\17\ have been submitted; or (iii) for multiply listed 
option classes, at least one Eligible Exchange (as defined in Rule 
1400(g)) has disseminated a quote in the individual option in 
accordance with Rule 1402(a), there is a valid width NBBO \18\ 
available and the valid width quote of at least one Lead Market Maker 
has been submitted.
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    \15\ The term ``System'' means the automated trading system used 
by the Exchange for the trading of securities. See Exchange Rule 
100.
    \16\ The term ``Primary Lead Market Maker'' means a Lead Market 
Maker appointed by the Exchange to act as the Primary Lead Market 
Maker for the purpose of making markets in securities traded on the 
Exchange. The Primary Lead Market Maker is vested with the rights 
and responsibilities specified in Chapter VI of MIAX Exchange Rules 
with respect to Primary Lead Market Makers. See Exchange Rule 100.
    \17\ The term ``Lead Market Maker'' means a Member registered 
with the Exchange for the purpose of making markets in securities 
traded on the Exchange and that is vested with the rights and 
responsibilities specified in Chapter VI of these Rules with respect 
to Lead Market Makers. When a Lead Market Maker is appointed to act 
in the capacity of a Primary Lead Market Maker, the additional 
rights and responsibilities of a Primary Lead Market Maker specified 
in Chapter VI of MIAX Exchange Rules will apply. See Exchange Rule 
100.
    \18\ The term ``NBBO'' means the national best bid or offer as 
calculated by the Exchange based on market information received by 
the Exchange from OPRA. See Exchange Rule 100.
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    The current rule further provides that (2) for purposes of this 
rule a valid width NBBO is one where the bid and offer of the NBBO 
differ by no more than differences outlined in Exchange Rule 
603(b)(4)(i); (3) also, for purposes of this rule, valid width quote is 
one where the bid and offer, comprised of a Market Maker's Standard 
quotes and Day eQuotes, differ by no more than the differences outlined 
in Exchange Rule 603(b)(4)(i); (4) if after two minutes following the 
dissemination of a quote or trade in the market for the underlying 
security none of the provisions set forth in (e)(1) above have 
occurred, then the opening process can begin when one Market Maker has 
submitted its valid width quote; (5) the Primary Lead Market Maker 
assigned in a particular equity option class must enter valid width 
quotes not later than one minute following the dissemination of a quote 
or trade by the market for the underlying security; and (6) a 
Registered Market Maker \19\ that submits a quote

[[Page 17107]]

pursuant to this Rule 503 in any series when a Lead Market Maker's or 
Primary Lead Market Maker's quote has not been submitted shall be 
required to submit continuous, two-sided quotes in such series until 
such time as a Lead Market Maker submits his/her quote, after which the 
Registered Market Maker that submitted such quote shall be obligated to 
submit quotations pursuant to Rule 604(e)(3).
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    \19\ The term ``Registered Market Maker'' means a Member 
registered with the Exchange for the purpose of making markets in 
securities traded on the Exchange, who is not a Lead Market Maker 
and is vested with the rights and responsibilities specified in 
Chapter VI of MIAX Options Exchange Rules with respect to Market 
Makers. See Exchange Rule 100.
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Proposed Opening Process
    The Exchange now proposes to amend paragraph (e) of Rule 503 to 
remove certain references to valid width quotes and to incorporate the 
Composite Market into the opening process as described below. 
Specifically, proposed paragraph (e) Starting the Opening Process, will 
provide that (1) the opening process cannot occur prior to 9:30 a.m. 
Eastern Time and can only begin following the dissemination of a quote 
or trade in the market for the underlying security. Following the 
dissemination of a quote or a trade in the market for the underlying 
security, the System will pause for a period of time no longer than one 
half second to allow the market place to absorb this information. The 
length of the pause will be disseminated to members through a 
Regulatory Circular. After the conclusion of the pause the opening 
process will begin when either: (i) The Primary Lead Market Maker's 
quote has been submitted; (ii) the quotes of at least two Market 
Makers, where at least one is a Lead Market Maker, have been submitted; 
or (iii) for multiply listed option classes, at least one Eligible 
Exchange (as defined in Rule 1400(g)) has disseminated a quote in the 
individual option in accordance with Rule 1402(a), and the quote of at 
least one Lead Market Maker has been submitted.
    The Exchange also proposes to adopt new subsection (7) to paragraph 
(e) that will state, ``[i]f the Composite Width is equal to or less 
than the Maximum Composite Width,\20\ the opening process will 
continue.'' Finally, the Exchange proposes to adopt new subsection (8) 
to paragraph (e) that will state, ``[f]or purposes of this rule a valid 
width market is one where the Composite Width is equal to or less than 
the Maximum Composite Width.''
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    \20\ The Exchange notes that the default settings for the 
Maximum Composite Width are the same as the Exchange's current 
default settings for opening valid width range.
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    The proposal describes the opening process, which will begin when 
at least one of the prerequisite triggers has been satisfied, i.e., (i) 
the Primary Lead Market Maker's quote has been submitted; (ii) the 
quotes of at least two Market Makers, where at least one is a Lead 
Market Maker, have been submitted; or (iii) for multiply listed option 
classes, at least one Eligible Exchange (as defined in Rule 1400(g)) 
has disseminated a quote in the individual option in accordance with 
Rule 1402(a), and the quote of at least one Lead Market Maker has been 
submitted.
    For each series of options \21\ the System will calculate a 
Composite Market using quotes from away markets in addition to quotes 
on its own market. The Composite Width for an option will then be 
evaluated against the Maximum Composite Width range, and the System 
will open the option for trading if the Composite Width is equal to or 
less than the Maximum Composite Width. The Exchange believes the 
proposed changes effectively integrate the proposed Composite Market 
into the existing opening process and will provide a faster and more 
efficient opening process while simultaneously improving the quality of 
the opening process. Performing a check of the Composite Width against 
the Maximum Composite Width is intended to facilitate that option 
series open in a fair and orderly manner and at prices consistent with 
the current market conditions for the option series and not at extreme 
prices, while taking into consideration prices disseminated from other 
option exchanges that may be better than the Exchange's at the open.
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    \21\ The term ``series of options'' means all option contracts 
of the same class having the same exercise price and expiration 
date. See Exchange Rule 100.
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    The examples below illustrate the operation of the current opening 
process and the proposed opening process as described herein.

Example 1 (Current Opening)

PLMM quote and Away Market Quote subject to individual quote evaluation
Valid Width: Maximum Bid and Offer Differential = $5.00
Pre-Opening Market:
    PLMM (10) 23.90 x 30.50 (10)
    ABBO \22\ 0.00 x 0.00
---------------------------------------------------------------------------

    \22\ The term ``ABBO'' or ``Away Best Bid or Offer'' means the 
best bid(s) or offer(s) disseminated by other Eligible Exchanges 
(defined in Rule 1400(g)) and calculated by the Exchange based on 
market information received by the Exchange from OPRA. See Exchange 
Rule 100.

    Upon opening of the Underlying Security and a brief pause, the 
opening process for the related option products is initiated. The quote 
from the PLMM to buy 10 options at a price of 23.90 and sell 10 options 
at a price of 30.50 remains unchanged from the pre-opening. The Away 
Best Bid and Offer (ABBO) which is not considered pre-open, updates to 
---------------------------------------------------------------------------
reflect 0.00 x 24.00.

Resultant Evaluation:
    PLMM (10) 23.90 x 30.50 (10) Invalid Width (6.60)
    ABBO 0.00 x 24.00 Invalid Width (24.00)

    Because the quote from the PLMM is not considered a valid width 
quote, nor is the quote from the ABBO considered valid width, the 
option products remain unopened.

Example 2 (Proposed Opening)

PLMM quote and Away Market Quote subject to Composite Market evaluation
Valid Width: Maximum Composite Width = $5.00
Pre-Opening Market:
    PLMM (10) 23.90 x 30.50 (10)
    ABBO 0.00 x 0.00

    Upon opening of the Underlying Security and a brief pause, the 
opening process for the related option products is initiated. The quote 
from the PLMM to buy 10 options at a price of 23.90 and sell 10 options 
at a price of 30.50 remains unchanged from the pre-opening. The Away 
Best Bid and Offer (ABBO) which is not considered pre-open, updates to 
reflect 0.00 x 24.00.

Resultant Evaluation:
    PLMM (10) 23.90 x 30.50 (10) Invalid Width (6.60)
    ABBO 0.00 x 24.00 Invalid Width (24.00)
    Composite Market 23.90 x 24.00 Composite Width (0.10)

    The higher of the PLMM bid and the ABB, and the lower of the PLMM 
offer and the ABO, creates a Composite Market of 23.90 x 24.10, which 
has a Composite Width of 0.10. Under the proposed rule the Composite 
Width is equal to or less than the Maximum Composite Width, the opening 
process continues, and the option products could be opened.

Resultant Market:
    PLMM (10) 23.90 x 30.50 (10)
    MBBO \23\ (10) 23.90 x 30.50 (10)
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    \23\ The term ``MBBO'' means the best bid or offer on the 
Exchange. See Exchange Rule 100.
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    ABBO 0.00 x 24.00
    NBBO 23.90 x 24.00

    Additionally, the Exchange proposes to amend subsection (f)(2)(i), 
Expanded Quote Range, of Rule 503, to further incorporate the Composite 
Market into the opening process. Currently, if there are quotes or 
orders that lock or cross each other, the System calculates an Expanded 
Quote Range (``EQR'') to

[[Page 17108]]

establish the range within which transactions may occur during the 
opening process.\24\ The EQR will be recalculated any time a Route 
Timer \25\ or Imbalance Timer \26\ expires if material conditions of 
the market (imbalance size, ABBO price or size, liquidity price or 
size, etc.) have changed during the timer.\27\
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    \24\ See Exchange Rule 503(f)(2).
    \25\ See Exchange Rule 529(b).
    \26\ See Exchange Rule 503(f)(2)(vii)(A).
    \27\ See Exchange Rule 503(f)(2)(i).
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    The Exchange now proposes to amend subsection (f)(2)(i)(A)1. to 
provide that, to determine the minimum value for the EQR, an amount, as 
defined in a table to be determined by the Exchange, will be subtracted 
from the Composite Bid. Further, subsection (f)(2)(i)(A)1. will be 
amended to provide that, to determine the maximum value for the EQR, an 
amount, as defined in a table to be determined by the Exchange, will be 
added to the Composite Offer.
    Additionally, subsection (f)(2)(i)(A)2. will be amended to provide 
that, if one or more away markets have disseminated quotes that are not 
crossed and together comprise a valid width market, and the Composite 
Market crosses an ABBO, or is internally crossed, then: (a) The minimum 
value for the EQR will be the Composite Offer less an amount, as 
defined in a table to be determined by the Exchange, and (b) the 
maximum value for the EQR will be the Composite Bid plus an amount, as 
defined in a table to be determined by the Exchange.
    The Exchange also proposes to amend subsection (f)(2)(i)(B)1. to 
provide that, except as provided in subparagraph (3) of Rule 
503(f)(2)(i)(B), to determine the minimum value for the EQR, an amount, 
as defined in a table to be determined by the Exchange, will be 
subtracted from the Composite Bid; and 2. to provide that, except as 
provided in subparagraph (3) of Rule 503(f)(2)(i)(B) to determine the 
maximum value for the EQR, an amount, as defined in a table to be 
determined by the Exchange, will be added to the Composite Offer.
    Additionally, subsection (f)(2)(i)(B)3. will be amended to provide 
that, if there are quotes on the Exchange that cross each other, and 
there is no away market in the affected series, then; (a) the minimum 
value for the EQR will be the Composite Offer less an amount, as 
defined in a table to be determined by the Exchange; and (b) the 
maximum value for the EQR will be the Composite Bid plus an amount, as 
defined in a table to be determined by the Exchange.
    The Exchange believes that incorporating the Composite Market into 
the EQR calculation is beneficial to market participants because the 
EQR provides a more accurate measure as to whether there is sufficient 
available liquidity in the broader market system to provide a fair and 
orderly opening process and sufficient price discovery for the options 
to open for trading because it incorporates the prices on away markets 
into its evaluation.
    Finally, the Exchange proposes to amend Exchange Rule 
503(f)(2)(vii)(B)(5)a. to make a non-substantive change to correct an 
internal cross-reference within the Exchange's rulebook. Currently the 
rule provides that, if the option is being used in the calculation of a 
final settlement price of an Index pursuant to Chapter XVIII of 
Exchange Rules on expiration date, then . . . the System will instead 
conduct a further imbalance process to trade the entire imbalance 
amount, as described in Exchange Rule 1809. The Exchange proposes to 
replace Chapter XVIII with Policy .02 of Exchange Rule 503; and to 
replace Exchange Rule 1809 with Policy .03 of Exchange Rule 503. While 
Chapter XVIII of the Exchange Rules describes Index Options, and 
Exchange Rule 1809, describes Terms of Index Options Contracts, the 
final settlement price calculation for an Index Option is described in 
Exchange Rule 503, specifically in Policy .02 and .03.\28\ Therefore, 
correcting these internal cross-references will add clarity and 
precision to the Exchange's rules.
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    \28\ See Securities Exchange Release No. 84578 (November 13, 
2018), 83 FR 58306 (November 19, 2018) (SR-MIAX-2018-32) (Amend 
Exchange Rule 503 To Adopt Interpretations and Polices .02 and .03).
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2. Statutory Basis
    MIAX Options believes that its proposed rule change is consistent 
with Section 6(b) of the Act \29\ in general, and furthers the 
objectives of Section 6(b)(5) of the Act \30\ 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 
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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    \29\ 15 U.S.C. 78f(b).
    \30\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes that the proposed addition of a Composite 
Market into the Exchange's existing opening process promotes just and 
equitable principles of trade, 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 improving the 
Exchange's opening process by creating additional opportunities for 
price discovery based on then-current market conditions. The Exchange 
believes it is appropriate to consider any quotes from away markets in 
addition to quotes on its own market when determining whether to open 
an option series in all classes, because consideration of all then-
available pricing information may provide for more accurate opening 
prices. By incorporating a Composite Market, which includes prices from 
away exchanges, the Exchange believes the proposed opening process will 
promote competitive liquidity and open option series at prices 
consistent with then-current market conditions, and thus will promote a 
faster and more efficient opening process.
    The Exchange believes that removing the requirement that a Market 
Maker's submitted quotes must be valid width as a pre-requisite to 
beginning the opening process is benign in light of the new proposed 
process. Under the Exchange's current Rule the Exchange would begin the 
opening process when either (i) the Primary Lead Market Maker's valid 
width quote has been submitted; (ii) the valid width quotes of at least 
two Market Makers, where at least one is a Lead Market Maker, have been 
submitted; or (iii) for multiply listed option classes, at least one 
Eligible Exchange (as defined in Rule 1400(g)) has disseminated a quote 
in the individual option in accordance with Rule 1402(a), there is a 
valid width NBBO available and the valid width quote of at least one 
Lead Market Maker has been submitted. Valid width quotes were required 
to ensure that the Exchange did not open at prices that were extreme 
and potentially erroneous.
    The Exchange is proposing to remove the valid width evaluation from 
Rule 503(e)(1)(i) (ii) and (iii) as described above; and to relocate 
the evaluation of quotes for valid width to a separate provision (new 
proposed paragraph 503(e)(7)) in the Rule. The Exchange is proposing to 
adopt new rule text \31\ which will provide that the Composite Width 
must be equal to or less than the Maximum Composite Width for the 
opening process to continue. If the Composite Width is greater than the 
Maximum Composite Width, the opening process will not continue for that 
option. This check ensures that the

[[Page 17109]]

Exchange does not open at prices that are extreme and potentially 
erroneous.
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    \31\ See proposed Exchange Rule 503(e)(7).
---------------------------------------------------------------------------

    The Exchange notes that at least two other option exchanges' 
opening processes do not require Market Maker valid width quotes. The 
Cboe Exchange similarly employs a Composite Market,\32\ Composite 
Width,\33\ and Maximum Composite Width,\34\ in its opening auction 
process. The Cboe Exchange relies upon the occurrence of one, or the 
other, of the following two triggers to begin its opening rotation. For 
equity options, the System initiates the opening rotation after a time 
period (which the Exchange determines for all classes) upon the earlier 
of: (i) The passage of two minutes (or such shorter time as determined 
by the Exchange) after the System's observation after 9:30 a.m. of 
either the first disseminated transaction or the first disseminated 
quote on the primary market in the security underlying an equity 
option; or (ii) the System's observation after 9:30 a.m. of both the 
first disseminated transaction and the first disseminated quote on the 
primary market in the security underlying an equity option.\35\ After 
the System initiates the opening rotation for a series as described 
above, the System performs a Maximum Composite Width Check.\36\ The 
Cboe Exchange provides that the term ``Maximum Composite Width'' means 
the amount that the Composite Width of a series may generally not be 
greater than for the series to open (subject to certain exceptions set 
forth in paragraph (e)(1) of Cboe Exchange Rule 5.31). The Maximum 
Composite Widths for all classes on the Cboe Exchange are as follows 
(based on the Composite Bid for a series):
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    \32\ The term ``Composite Market'' means the market for a series 
comprised of (1) the higher of the then-current best appointed 
Market-Maker bulk message bid on the Exchange the ABB (if there is 
an ABB) and (2) the lower of the then-current best appointed Market-
Maker bulk message offer on the Exchange and the ABO (if there is an 
ABO). The term ``Composite Bid (Offer)'' means the bid (offer) used 
to determine the Composite Market. See Cboe Exchange Rule 5.31(a).
    \33\ The term ``Composite Width'' means the width of the 
Composite Market (i.e., the width between the Composite Bid and the 
Composite Offer) of a series. See Cboe Exchange Rule 5.31(a).
    \34\ See Cboe Exchange Rule 5.31(a).
    \35\ See Cboe Exchange Rule 5.31(d)(1)(A).
    \36\ See Cboe Exchange Rule 5.31(e)(1).

------------------------------------------------------------------------
                                                              Maximum
                      Composite bid                          composite
                                                               width
------------------------------------------------------------------------
0-1.99..................................................            0.50
2.00-5.00...............................................            0.80
5.01-10.00..............................................            1.00
10.01-20.00.............................................            2.00
20.01-50.00.............................................            3.00
50.01-100.00............................................            5.00
100.01-200.00...........................................            8.00
>= 200.01...............................................           12.00
------------------------------------------------------------------------

    The Cboe Exchange provides that it may modify these amounts during 
the opening auction process when it deems necessary to maintain a fair 
and orderly opening process (which modifications the Exchange 
disseminates to all subscribers to the Exchange's data feeds that 
deliver opening auction updates).\37\ After a series satisfies the 
Maximum Composite Width Check, if there are orders and quotes 
marketable against each other at a price not outside the Opening 
Collar, the System determines the Opening Trade Price for the 
series.\38\
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    \37\ See Cboe Exchange Rule 5.31.
    \38\ See Cboe Exchange Rule 5.31(e)(2).
---------------------------------------------------------------------------

    On the Cboe Exchange the term ``Opening Collar' means the price 
range that establishes limits at or inside of which the System 
determines the Opening Trade price for a series. The Opening Collar is 
determined by determining the midpoint of the Composite Market, and 
adding and subtracting half of the applicable width amount above and 
below, respectively, that midpoint. The Opening Collar widths for all 
classes on the Cboe Exchange are as follows (based on the Composite Bid 
for a series):

------------------------------------------------------------------------
                                                          Opening collar
                      Composite bid                            width
------------------------------------------------------------------------
0-1.99..................................................            0.50
2.00-5.00...............................................            0.80
5.01-10.00..............................................            1.00
10.01-20.00.............................................            2.00
20.01-50.00.............................................            3.00
50.01-100.00............................................            5.00
100.01-200.00...........................................            8.00
= 200.01.....................................           12.00
------------------------------------------------------------------------

    The Cboe Exchange provides that it may modify these amounts during 
the opening auction process when it deems necessary to maintain a fair 
and orderly opening process (which modifications the Cboe Exchange 
disseminates to all subscribers to the Exchange's data feeds that 
deliver opening auction updates).\39\
---------------------------------------------------------------------------

    \39\ See Cboe Exchange Rule 5.31(a).
---------------------------------------------------------------------------

    Similarly, the NYSE American Exchange does not require valid width 
quotes from a Market Maker to open option series. At or after 9:30 a.m. 
Eastern Time, the NYSE American Exchange rules provide that once the 
primary market for the underlying security disseminates a quote and a 
trade that is at or within the quote, the related option series will be 
opened automatically based on the following principles and procedures: 
(A) The system will determine a single price at which a particular 
option series will be opened. (B) Orders and quotes in the system will 
be matched up with one another based on price-time priority; provided, 
however, that orders will have priority over Market Maker quotes at the 
same price. (C) Orders in the System Book that were not executed during 
the Auction Process shall become eligible for the Core Trading Session 
immediately after the conclusion of the Auction Process. (D) The System 
will not conduct an Auction Process if the bid-ask differential for 
that series is not within an acceptable range. For the purposes of this 
rule, an acceptable range shall mean within the bid-ask differential 
guidelines established pursuant to Rule 925NY(b)(4).\40\ (E) If the 
System does not open a series with an Auction Process, the System shall 
open the series for trading after receiving notification of an initial 
uncrossed NBBO disseminated by OPRA for the series, provided that the 
bid-ask differential does not exceed the bid-ask differential specified 
under Rule 925NY(b)(5).\41\
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    \40\ NYSE American Exchange Rule 925NY(b) establishes bid/ask 
differences for Market Makers in open outcry of: (A) No more than 
.25 between the bid and the offer for each contract for which the 
bid is less than $2, (B) no more than .40 where the bid is $2 or 
more but does not exceed $5, (C) no more than .50 where the bid is 
more than $5 but does not exceed $10, (D) no more than .80 where the 
bid is more than $10 but does not exceed $20, and (E) no more than 
$1 when the last bid is $20.01 or more, provided that a Trading 
Official may establish differences other than the above for one or 
more series or classes of options. See NYSE American Exchange Rule 
925NY(b)(4).
    \41\ NYSE American Exchange Rule 925NY(b) requires that a Market 
Maker's electronically submitted quotes to the System during Core 
Trading Hours have a bid/ask difference not to exceed $5 between the 
bid and offer regardless of the price of the bid. See NYSE American 
Exchange Rule 925NY(b)(5).
---------------------------------------------------------------------------

    The Cboe Exchange, NYSE American Exchange, and the MIAX Options 
Exchange have all established unique bid/ask differentials at the 
various bid levels, that allow each exchange to open at prices which 
are not extreme. The Exchange believes that defining a default Maximum 
Composite Width provides transparency in the Exchange's rules 
concerning its opening process.
    The Exchange believes that its proposed opening process is 
substantially similar to its current opening process: (i) The proposed 
Composite Market Width default values are based on the Exchange's 
current opening valid width values; and (ii) the proposed Composite 
Market Width check is similar to the Exchange's current valid width 
quote check which

[[Page 17110]]

ensures that the Exchange does not open at prices that are erroneous or 
extreme. While the Exchange no longer requires the presence of a Market 
Maker's valid width quotes in its opening process, the Exchange notes 
that other exchanges, such as the Cboe and NYSE American, similarly do 
not require the presence of a Market Maker's valid width quotes to 
open.
    The Exchange believes the inclusion of the ABBO in the composition 
of the Composite Market will continue to provide opportunities for 
price discovery based on then-current market conditions when the 
Exchange opens series for trading. The Exchange believes the proposed 
opening process will promote competitive liquidity and open series at 
prices consistent with then-current market conditions, and thus will 
promote a fair and orderly opening process. The Exchange believes that 
ensuring that the Composite Width is equal to or less than the Maximum 
Composite Width ensures that the Exchange will not open at prices which 
are extreme. The Exchange believes it is appropriate to open a series 
under the proposed circumstances and provide marketable orders with an 
opportunity to execute at a reasonable price, because there is minimal 
risk of execution at an extreme price.
    Additionally, the Exchange believes using the Composite Market to 
establish the Expanded Quote Range, which represents the limits of the 
range in which transactions may occur during the opening process,\42\ 
promotes just and equitable principles of trade, and perfects the 
mechanism or a free and open market and a national market system and, 
in general protects investors and the public interest as it is 
substantially similar to the current EQR process. Current Exchange Rule 
503(f)(2)(i)(A) considers away market quotes for EQR purposes and uses 
the highest valid width quote bid among valid width quotes on the 
Exchange and on the away market(s) to determine the minimum value for 
the EQR; and the lowest valid width quote offer among valid width 
quotes on the Exchange and on the away market(s) to determine the 
maximum value for the EQR.\43\ Under the Exchange's proposal the use of 
a Composite Market creates uniformity in the Exchange's process to 
establish the EQR. The Exchange believes that using the Composite Bid 
and the Composite Offer to determine the EQR range may improve the 
range within which transactions may occur during the opening process as 
the Composite Market considers all quotes in the market, in addition to 
the Exchange's quotes.
---------------------------------------------------------------------------

    \42\ See Exchange Rule 503(f)(2)(i).
    \43\ See Exchange Rule 503(f)(2)(i)(A)1.
---------------------------------------------------------------------------

    The Exchange believes adopting new rule text to provide that for 
the purposes of this rule a valid width market is one where the 
Composite Width is equal to or less than the Maximum Composite Width, 
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 by providing clarity and precision in the Exchange's rules 
thereby mitigating any potential investor confusion.
    Similar to the Exchange's EQR, which represents the limits of the 
range in which transaction may occur during the opening process, the 
Cboe Exchange employs an Opening Collar \44\ which establishes limits 
at or inside of which the System determines the Opening Trade Price for 
a series. Neither the Cboe Exchange Opening Collar nor the MIAX 
Exchange EQR rely upon Market Maker quotes for its calculation but 
instead use a value from the Composite Market as a basis for its 
calculation. The Cboe Exchange Opening Collar is determined by 
determining the midpoint of the Composite Market, and adding and 
subtracting half of the applicable width amount above and below, 
respectively, that midpoint. The Exchange's EQR calculation also uses 
the Composite Market to establish the transaction range, but performs 
slightly different calculations depending upon; (A) If one or more away 
markets have disseminated valid width quotes in the affected series; 
\45\ or (B) If no away markets have disseminated valid width quotes in 
the affected series.\46\
---------------------------------------------------------------------------

    \44\ See supra note 39.
    \45\ See Exchange Rule 503(f)(2)(i)(A).
    \46\ See Exchange Rule 503(f)(2)(i)(B).
---------------------------------------------------------------------------

    Further, under the Exchange's proposal Market Makers on the 
Exchange are not relieved of their obligations. Primary Lead Market 
Makers assigned in a particular equity option class must enter valid 
width quotes \47\ not later than one minute following the dissemination 
of a quote or trade by the market for the underlying security.\48\ A 
faster, more efficient, opening of a particular option does not relieve 
the Primary Lead Market Maker of the obligation to provide valid width 
quotes as described above.\49\
---------------------------------------------------------------------------

    \47\ Valid width quotes are also used to establish priority 
quotes on the Exchange as described in Exchange Rule 517(b)(1)(i), 
which are used for allocation purposes as described in Exchange Rule 
514(e), which is not changing under this proposal.
    \48\ See Exchange Rule 503(e)(5).
    \49\ The Exchange notes that it has internal surveillances that 
monitor PLMM quoting behavior to ensure compliance with Exchange 
Rules.
---------------------------------------------------------------------------

    Additionally, Market Makers on the Exchange are required to fulfill 
their quoting obligations as described in Exchange Rule 603, 
Obligations of Market Makers, and Rule 604, Market Maker Quotations. 
Exchange Rule 603(b) provides that with respect to each options class 
to which a Market Maker is appointed under Exchange Rule 602, the 
Market Maker has a continuous obligation to engage, to a reasonable 
degree under the existing circumstances, in dealings for his own 
account when there exists, or it is reasonably anticipated that there 
will exist, a lack of price continuity, a temporary disparity between 
the supply of and demand for a particular option contract, or a 
temporary distortion of the price relationships between option 
contracts of the same class. Without limiting the foregoing, a Market 
Maker is expected to perform the following activities in the course of 
maintaining a fair and orderly market: (1) To compete with other Market 
Makers to improve the market in all series of options classes to which 
the Market Maker is appointed; (2) to make markets that, absent changed 
market conditions, will be honored for the number of contracts entered 
into the System in all series of options classes to which the Market 
Maker is appointed; (3) To update market quotations in response to 
changed market conditions in all series of options classes to which the 
Market Maker is appointed; (4)(i) to price option contracts fairly by, 
among other things, bidding and offering so as to create differences of 
no more than $5 between the bid and offer (``bid/ask differentials'') 
following the opening rotation in an equity contract.
    Under Exchange Rule 604, Market Maker Quotations, a Primary Lead 
Market Maker must provide continuous two-sided Standard quotes and/or 
Day eQuotes in at least the lesser of 99% of the non-adjusted option 
series, or 100% of the non-adjusted option series minus one put-call 
pair, in each class in which the Primary Lead Market Maker is 
assigned.\50\ A Lead Market Maker must provide continuous two-sided 
Standard quotes and/or Day eQuotes in at least 90% of the non-adjusted 
option series in each of its appointed classes.\51\ A Registered Market 
Maker must provide continuous two-sided Standard quotes and/or Day 
eQuotes throughout the

[[Page 17111]]

trading day in 60% of the non-adjusted series that have a time to 
expiration of less than nine months in each of its appointed 
classes.\52\
---------------------------------------------------------------------------

    \50\ See Exchange Rule 604(e)(1)(ii).
    \51\ See Exchange Rule 604(e)(2)(ii).
    \52\ See Exchange Rule 604(e)(3)(i).
---------------------------------------------------------------------------

    Market Makers on the Exchange receive a priority allocation under 
Exchange Rule 514, Priority of Quotes and Orders. Specifically, as 
described in Exchange Rule 514(e), after executions resulting from 
Priority Overlays set forth in paragraph (d) of Rule 514, when the pro-
rata allocation method applies: (1) If there is interest at the NBBO, 
after all Priority Customers (if any) at that price have been filled, 
executions at that price will be first allocated to other remaining 
Market Maker priority quotes, which have not received a participation 
entitlement,\53\ and have precedence over Professional Interest; \54\ 
(2) If after all Market Maker priority quotes have been filled in 
accordance with (1) above and there remains interest at the NBBO, 
executions will be allocated to all Professional Interest at that 
price. Professional Interest is defined in Rule 100 and includes among 
other interest, Market Maker non-priority quotes (as described in Rule 
517(b)(1)(iii)) and Market Maker orders in both assigned and non-
assigned classes.\55\
---------------------------------------------------------------------------

    \53\ See Exchange Rule 514(g), (h), and (i).
    \54\ The term ``Professional Interest'' means (i) an order that 
is for the account of a person or entity that is not a Priority 
Customer, or (ii) an order or non-priority quote for the account of 
a Market Maker. See Exchange Rule 100.
    \55\ See Exchange Rule 514(e).
---------------------------------------------------------------------------

    To be considered a priority quote, at the time of execution, each 
of the following standards must be met: (A) The bid/ask differential of 
a Market Maker's two-sided quote pair must be valid width (no wider 
than the bid/ask differentials outlined in Rule 603(b)(4)); (B) the 
initial size of both of the Market Maker's bid and the offer must be in 
compliance with the requirements of Rule 604(b)(2); (C) the bid/ask 
differential of a Market Maker's two-sided quote pair must meet the 
priority quote width requirements defined in subparagraph (ii) of Rule 
517(b) \56\ for each option; and (D) either of the following are true: 
(1.) At the time a locking or crossing quote or order enters the 
System, the Market Maker's two-sided quote pair must be valid width for 
that option and must have been resting on the Book; or (2.) Immediately 
prior to the time the Market Maker enters a new quote that locks or 
crosses the MBBO, the Market Maker must have had a valid width quote 
already existing (i.e., exclusive of the Market Maker's new marketable 
quote or update) among his two-sided quotes for that option.\57\
---------------------------------------------------------------------------

    \56\ The priority quote width standard will be established by 
the Exchange and filed with the Commission in accordance with 
Section 19 of the Exchange Act and Rule 19b-4 thereunder. The 
Priority quote width standard established by the Exchange can have 
bid/ask differentials as narrow as one MPV, as wide but never wider 
than the bid/ask differentials outlined in Rule 603(b)(4), or 
somewhere in between. Notwithstanding the foregoing, until such time 
as the Exchange has submitted and received approval of a rule change 
establishing narrower bid/ask differentials, the priority quote 
width standard will be the bid/ask differentials outlined in Rule 
603(b)(4). See Exchange Rule 517(b)(1)(ii).
    \57\ See Exchange Rule 517(b)(1)(i).
---------------------------------------------------------------------------

    The Exchange notes that the definition of a priority quote is not 
changing under this proposal nor is the allocation methodology. While 
the Exchange's proposal may provide for faster openings on the Exchange 
it does not relieve Market Makers from fulfilling their obligations on 
the Exchange as described herein.
    The proposed non-substantive rule changes are intended to correct 
inaccurate internal rule cross-references and are designed to protect 
investors by ensuring that the Exchange's rules accurately reference 
the proper rule, thereby mitigating any potential investor 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 that the proposed rule change to amend the opening process will 
impose any burden on intra-market competition that is not necessary or 
appropriate in furtherance of the purposes of the Act, because it will 
apply to orders and quotes of all market participants in the same 
manner.
    The Exchange does not believe that the proposed rule change to 
amend the opening process will impose any burden on inter-market 
competition that is not necessary or appropriate in furtherance of the 
purposes of the Act, because it is designed to open series on the 
Exchange in a fair and orderly manner. The Exchange believes the 
proposed opening process will continue to provide market participants 
with an opportunity for price discovery based on then-current market 
conditions when the Exchange opens series for trading. This will 
facilitate the presence of sufficient liquidity in a series when it 
opens, and increase the ability of series to open at prices consistent 
with then-current market conditions (at the Exchange and on other 
exchanges) rather than at extreme prices that could potentially result 
in unfavorable executions to market participants.
    The Exchange does not believe that the proposed rule change to 
amend the EQR calculation will impose any burden on inter-market 
competition that is not necessary or appropriate in furtherance of the 
purposes of the Act, because incorporating the Composite Market into 
the EQR calculation is designed to improve the limits of the range 
within which transactions may occur during the opening process and 
allow the Exchange to open at prices which are not extreme.
    The Exchange does not believe that the proposed rule change will 
impose any burden on intra-market competition that is not necessary or 
appropriate in furtherance of the purposes of the Act, as all market 
participants that participate in the opening process may benefit 
equally from the proposal, as the rules of the Exchange apply equally 
to all Exchange Members.
    Additionally, the non-substantive changes proposed by the Exchange 
provide additional clarity and detail in the Exchange's rules and are 
not changes made for any competitive purpose.

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

    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 after the date of the filing, or such 
shorter time as the Commission may designate, the proposed rule change 
has become effective pursuant to 19(b)(3)(A) of the Act \58\ and Rule 
19b-4(f)(6) \59\ thereunder.
---------------------------------------------------------------------------

    \58\ 15 U.S.C. 78s(b)(3)(A).
    \59\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6) 
requires a self-regulatory organization to give the Commission 
written notice of its intent to file 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.
---------------------------------------------------------------------------

    A proposed rule change filed pursuant to Rule 19b-4(f)(6) under the 
Act \60\ normally does not become operative for 30 days after the date 
of its filing. However, Rule 19b-4(f)(6)(iii) \61\ permits the 
Commission to designate a shorter time if such action is consistent

[[Page 17112]]

with the protection of investors and the public interest. The Exchange 
has asked the Commission to waive the 30-day operative delay so that 
the proposal may become operative immediately upon filing. The Exchange 
notes that waiver of the operative delay would allow it to implement 
the proposal immediately and would allow investors and the public to 
immediately benefit from the Exchange's revised opening process. 
Further, the Exchange states that the proposed rule amendments are 
substantially similar to those currently in place on other options 
exchanges.\62\ The Commission believes the proposal raises no novel or 
unique regulatory issues. The Commission finds that it is consistent 
with the protection of investors and the public interest to waive the 
30-day operative delay. Accordingly, the Commission hereby waives the 
operative delay and designates the proposal operative upon filing.\63\
---------------------------------------------------------------------------

    \60\ 17 CFR 240.19b-4(f)(6).
    \61\ 17 CFR 240.19b-4(f)(6)(iii).
    \62\ See, e.g., supra notes 6,7, 9, 32-34, 40-41.
    \63\ For purposes only of waiving the 30-day operative delay, 
the Commission has also considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
---------------------------------------------------------------------------

    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 to 
determine whether the proposed rule 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 rule-comments@sec.gov. Please include 
File Number SR-MIAX-2020-04 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-MIAX-2020-04. 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-MIAX-2020-04 and should be submitted on 
or before April 16, 2020.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\64\
---------------------------------------------------------------------------

    \64\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-06386 Filed 3-25-20; 8:45 am]
 BILLING CODE 8011-01-P


