[Federal Register Volume 87, Number 12 (Wednesday, January 19, 2022)]
[Notices]
[Pages 2950-2954]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-00875]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-93962; SR-EMERALD-2022-01]


Self-Regulatory Organizations: Notice of Filing and Immediate 
Effectiveness of a Proposed Rule Change by MIAX Emerald, LLC To Amend 
Exchange Rule 521, Nullification and Adjustment of Options Transactions 
Including Obvious Errors

January 12, 2022.
    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 January 7, 2022, MIAX Emerald, LLC (``MIAX 
Emerald'' or ``Exchange'') filed with the Securities and Exchange 
Commission (``Commission'') a proposed rule change as described in 
Items I, II, and III below, which Items have been prepared by the 
Exchange. The Commission is publishing this notice to solicit comments 
on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to make a technical amendment to Exchange 
Rule 521, Nullification and Adjustment of Options Transactions 
Including Obvious Errors.
    The text of the proposed rule change is available on the Exchange's 
website at http://www.miaxoptions.com/rule-filings/emerald at MIAX 
Emerald's principal office, and at the Commission's Public Reference 
Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the

[[Page 2951]]

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 is proposing to amend Exchange Rule 521, Nullification 
and Adjustment of Options Transactions Including Obvious Errors, to 
improve the operation of the Rule. Following discussions with other 
exchanges and a cross-section of industry participants and in 
coordination with the Listed Options Market Structure Working Group 
(``LOMSWG'') (collectively, the ``Industry Working Group''), the 
Exchange proposes: (1) To amend section (b)(3) of the Rule to permit 
the Exchange to determine the Theoretical Price \3\ of a Customer \4\ 
option transaction in a wide market so long as a narrow market exists 
at any point during the 10-second period after an opening or re-
opening; and (2) to amend section (c)(4)(B) of the Rule to adjust, 
rather than nullify, Customer transactions in Obvious Error situations, 
provided the adjustment does not violate the limit price.
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    \3\ See Exchange Rule 521(b).
    \4\ For purposes of Rule 521, the term ``Customer'' means a 
Priority Customer as defined in Rule 100. See Exchange Rule 
521(a)(1).
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Proposed Change to Section (b)(3)
    Exchange Rule 521 has been part of various harmonization efforts by 
the Industry Working Group.\5\ These efforts have often centered around 
the Theoretical Price for which an options transaction should be 
compared to determine whether an Obvious Error has occurred. For 
instance, all options exchanges have adopted language comparable to 
Interpretations and Policies .04, Exchange Determining Theoretical 
Price,\6\ which explains how an exchange is to determine Theoretical 
Price at the open, when there are no valid quotes, and when there is a 
wide quote. This includes at times the use of a singular third-party 
vendor, known as a TP Provider (currently CBOE Livevol, LLC).
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    \5\ See e.g., Securities Exchange Act Release Nos. 74918 (May 8, 
2015), 80 FR 27781 (May 14, 2015) (SR-MIAX-2015-35); 80284 (March 
21, 2017), 82 FR 15251 (March 27, 2017) (SR-MIAX-2017-13).
    \6\ See Securities Exchange Act Release No. 81321 (August 7, 
2017), 82 FR 37633 (August 11, 2017) (SR-MIAX-2017-38).
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    Similarly, section (b)(3) of Rule 521 was previously harmonized 
across all options exchanges to handle situations where executions 
occur in markets that are wide (as set forth in the rule).\7\ Under 
that section, the Exchange determines the Theoretical Price if the NBBO 
\8\ for the subject series is wide immediately before execution and a 
narrow market (as set forth in the rule) existed ``during the 10 
seconds prior to the transaction.'' The rule goes on to clarify that, 
should there be no narrow quotes ``during the 10 seconds prior to the 
transaction,'' the Theoretical Price for the affected series is the 
NBBO that existed at the time of execution (regardless of its width).
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    \7\ See supra note 5.
    \8\ 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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    In recent discussions, the Industry Working Group has identified 
proposed changes to section (b)(3) of Rule 521 that would improve the 
Rule's functioning. Currently, section (b)(3) does not permit the 
Exchange to determine the Theoretical Price unless there is a narrow 
quote 10 seconds prior to the transaction. However, in the first 
seconds of trading, there is no 10-second period ``prior to the 
transaction.'' Further, the Industry Working Group has observed that 
prices in certain series can be disjointed at the start of trading. 
Accordingly, the Exchange proposes to provide additional protections to 
trading in certain circumstances immediately after the opening before 
liquidity has had a chance to enter the market. The Exchange proposes 
to amend section (b)(3) to allow the Exchange to determine the 
Theoretical Price in a wide market so long as a narrow market exists at 
any point during the 10-second period after an opening or re-opening.
    Specifically, the Exchange proposes that the existing text of 
section (b)(3) would become subsection ``(A).'' The Exchange proposes 
to add the following heading and text as subsection ``(B)'':
    (B) Customer Transactions Occurring Within 10 Seconds or Less After 
an Opening or Re-Opening:
    (i) The Exchange will determine the Theoretical Price if the bid/
ask differential of the NBB and NBO for the affected series just prior 
to the Customer's erroneous transaction was equal to or greater than 
the Minimum Amount set forth in paragraph A above and there was a bid/
ask differential less than the Minimum Amount during the 10 seconds 
prior to the transaction.
    (ii) If there was no bid/ask differential less than the Minimum 
Amount during the 10 seconds prior to the transaction, then the 
Exchange will determine the Theoretical Price if the bid/ask 
differential of the NBB and NBO for the affected series just prior to 
the Customer's erroneous transaction was equal to or greater than the 
Minimum Amount set forth in paragraph A above and there was a bid/ask 
differential less than the Minimum Amount anytime during the 10 seconds 
after an opening or re-opening.
    (iii) If there was no bid/ask differential less than the Minimum 
Amount during the 10 seconds following an Opening or Re-Opening, then 
the Theoretical Price of an option series is the last NBB or NBO just 
prior to the Customer transaction in question, as set forth in 
paragraph (b) above.
    (iv) Customer transactions occurring more than 10 seconds after an 
opening or re-opening are subject to paragraph A above.
    The following examples illustrate the functioning of the proposed 
rule change. Consider that the NBBO of a series opens as $0.01 at 
$4.00. A marketable limit order to buy one contract arrives one second 
later and is executed at $4.00. In the third second of trading, the 
NBBO narrows from $0.01 at $4.00 to $2.00 at $2.10. While the execution 
occurred in a market with wide widths, there was no tight market within 
the 10 seconds prior to execution. Accordingly, under the current rule, 
the trade would not qualify for obvious error review, in part due to 
the fact that there was only a single second of trading before the 
execution. Under the proposal, since a tight market existed at some 
point in the first 10 seconds of trading (i.e., in the third second), 
the Exchange would be able to determine the Theoretical Price as 
provided in Interpretations and Policies .04.
    As another example, the NBBO for a series opens as $0.01 at $4.00. 
In the seventh second of trading, a marketable limit order is received 
to buy one contract and is executed at $4.00. Five seconds later (i.e., 
in the twelfth second of trading), the NBBO narrows from $0.01 at $4.00 
to $2.00 at $2.10. While the execution occurred in a market with wide 
widths, there was no tight market within 10 seconds prior to execution. 
Accordingly, under the current rule, the trade would not qualify for 
obvious error review. Under the proposal, since no tight market existed 
at any point during the first 10 seconds of trading (i.e., the narrow 
market occurred in the twelfth second), the trade would not qualify for 
obvious error review.

[[Page 2952]]

    The proposed rule change would also better harmonize section (b)(3) 
with section (b)(1) of the Rule. Under section (b)(1), the Exchange is 
permitted to determine the Theoretical Price for transactions occurring 
as part of the opening auction process (as described in Exchange Rule 
503) if there is no NBB or NBO for the affected series just prior to 
the erroneous transaction. However, under the current version of 
section (b)(3), a core trading transaction could occur in the same wide 
market but the Exchange would not be permitted to determine the 
Theoretical Price. Consider an example where one second after the 
Exchange opens a selected series, the NBBO is $1.00 at $5.00. At 
9:30:03, a customer submits a marketable buy order to the Exchange and 
pays $5.00. At 9:30:03, a different exchange runs an opening auction 
that results in a customer paying $5.00 for the same selected series. 
At 9:30:06, the NBBO changes from $1.00 at $5.00 to $1.35 at $1.45. 
Under the current version of section (b)(3), the Exchange would not be 
able to determine the Theoretical Price for the trade occurring during 
core trading. However, the trade on the other exchange could be 
submitted for review under (b)(1) and that exchange would be able to 
determine the Theoretical Price. If the proposed change to section 
(b)(3) were approved, both of the trades occurring at 9:30:03 (on the 
Exchange during core trading and on another exchange via auction) would 
also be entitled to the same review regarding the same Theoretical 
Price based upon the same time.
    The proposal would not change any obvious error review beyond the 
first 10 seconds of an opening or re-opening.
Proposed Change to Section (c)(4)(B)
    The Exchange proposes to amend section (c)(4)(B)--the ``Adjust or 
Bust'' rule for Customer transactions in Obvious Error situations--to 
adjust rather than nullify such orders, provided the adjustment does 
not violate the Customer's limit price.
    Currently, the Rule provides that in Obvious Error situations, 
transactions involving non-Customers should be adjusted, while 
transactions involving Customers are nullified, unless a certain 
condition applies.\9\ The Industry Working Group has concluded that the 
treatment of these transactions should be harmonized under the Rule, 
such that transactions involving Customers may benefit from adjustment, 
just as non-Customer transactions currently do, except where such 
adjustment would violate the Customer's limit price; in that instance, 
the trade would be nullified.
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    \9\ Specifically, the current Rule provides at section (c)(4)(C) 
that if any Member has 200 or more Customer transactions under 
review concurrently and the orders resulting in such transactions 
were submitted during the course of 2 minutes or less, where at 
least one party to the Obvious Error is a non-Customer, then the 
Exchange will apply the non-Customer adjustment criteria set forth 
in (c)(4)(A) for such transactions.
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    Specifically, the Exchange proposes to amend the text of section 
(c)(4)(B) to add that where at least one party to the Obvious Error is 
a Customer, ``the execution price of the transaction will be adjusted 
by the Official pursuant to the table immediately above. Any Customer 
Obvious Error exceeding 50 contracts will be subject to the Size 
Adjustment Modifier defined in subparagraph (a)(4) above. However, if 
such adjustment(s) would result in an execution price higher (for buy 
transactions) or lower (for sell transactions) than the Customer's 
limit price,'' the trade will be nullified. The ``table immediately 
above'' referenced in the proposed text refers to the table at current 
Section (c)(4)(A), which provides for the adjustment of prices a 
specified amount away from the Theoretical Price, rather than adjusting 
the Theoretical Price.
    The Exchange proposes no other changes at this time.
Implementation Date
    The proposed rule change will become operative no sooner than six 
months following the approval of the NYSEArca proposal \10\ to coincide 
with implementation on other option exchanges. The Exchange will 
announce the implementation date to its Members via Regulatory 
Circular.
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    \10\ See Securities Exchange Act Release No. 93818 (December 17, 
2021), 86 FR 73009 (December 23, 2021) (SR-NYSEArca-2021-91) (Order 
Approving a Proposed Rule Change to Amend Rule 6.87-O).
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2. Statutory Basis
    The Exchange believes that its proposal is consistent with Section 
6(b) of the Act \11\ in general, and furthers the objectives of Section 
6(b)(5) of the Act \12\ 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 and because it is not 
designed to permit unfair discrimination between customers, issuers, 
brokers, or dealers.
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    \11\ 15 U.S.C. 78f(b).
    \12\ 15 U.S.C. 78f(b)(5).
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    The Exchange believes the proposed rule change to section (b)(3) of 
the Rule would remove impediments to and perfect the mechanism of a 
free and open market and a national market system, and, in general, 
protect investors and the public interest because it provides a method 
for addressing Obvious Error Customer transactions that occur in a wide 
market at the opening of trading. Generally, a wide market is an 
indication of a lack of liquidity in the market such that the market is 
unreliable. Current section (b)(3) recognizes that a persistently wide 
quote (i.e., more than 10 seconds) should be considered the reliable 
market regardless of its width, but does not address transactions that 
occur in a wide market in the first seconds of trading, where there is 
no preceding 10-second period to reference. Accordingly, in the first 
10 seconds of trading, there is no opportunity for a wide quote to have 
persisted for a sufficiently lengthy period such that the market should 
consider it a reliable market for the purposes of determining an 
Obvious Error transaction.
    The proposed change would rectify this disparity and permit the 
Exchange to consider whether a narrow quote is present at any time 
during the 10-second period after an opening or re-opening. The 
presence of such a narrow quote would indicate that the market has 
gained sufficient liquidity and that the previous wide market was 
unreliable, such that it would be appropriate for the Exchange to 
determine the Theoretical Price of an Obvious Error transaction. In 
this way, the proposed rule harmonizes the treatment of Customer 
transactions that execute in an unreliable market at any point of the 
trading day, by making them uniformly subject to Exchange determination 
of the Theoretical Price.
    The Exchange believes that the proposed change to section (c)(4)(B) 
of the Rule would remove impediments to and perfect the mechanism of a 
free and open market and a national market system and enhance the 
protection of investors by harmonizing the treatment of non-Customer 
transactions and Customer transactions under the Rule. Under the 
current Rule, Obvious Error situations involving non-Customer 
transactions are adjusted, while those involving Customer transactions 
are generally nullified, unless they meet the additional requirements 
of section (c)(4)(C) (i.e., where a Member has 200 or more Customer 
transactions under review concurrently and the orders

[[Page 2953]]

resulting in such transactions were submitted during the course of 2 
minutes or less.) The proposal would harmonize the treatment of non-
Customer and Customer transactions by providing for the adjustment of 
all such transactions, except where such adjustment would violate the 
Customer's limit price.
    When the current rule was proposed in 2015, the MIAX Options 
Exchange believed there were sound reasons for treating non-Customer 
transactions and Customer transactions differently. At the time, the 
MIAX Options Exchange stated its belief that ``Customers are not 
necessarily immersed in the day-to-day trading of the markets, are less 
likely to be watching trading activity in a particular option 
throughout the day, and may have limited funds in their trading 
accounts,'' and that nullifying Obvious Error transactions involving 
Customers would give Customers ``greater protections'' than adjusting 
such transactions by eliminating the possibility that a Customer's 
order will be adjusted to a significantly different price. The Exchange 
also noted its belief that ``Customers are . . . less likely to have 
engaged in significant hedging or other trading activity based on 
earlier transactions, and thus, are less in need of maintaining a 
position at an adjusted price than non-Customers.'' \13\
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    \13\ See Securities Exchange Act Release No. 74918 (May 8, 
2015), 80 FR 27781 (May 14, 2015) (SR-MIAX-2015-35).
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    Those assumptions about Customer trading and hedging activity no 
longer hold. The Exchange and the Industry Working Group believe that 
over the course of the last five years, Customers that use options have 
become more sophisticated, as retail broker-dealers have enhanced the 
trading tools available. Pursuant to OCC data, volumes clearing in the 
Customer range have expanded from 12,022,163 ADV in 2015 to 35,081,130 
ADV in 2021. This increase in trading activity underscores the greater 
understanding of options by Customers as a trading tool and its use in 
the markets. Customers who trade options today largely are more 
educated, have better trading tools, and have better access to 
financial news than any time prior.\14\ The proposed rule would extend 
the hedging protections currently enjoyed by non-Customers to 
Customers, by allowing them to maintain an option position at an 
adjusted price, which would in turn prevent a cascading effect by 
maintaining the hedge relationship between the option transaction and 
any other transactions in a related security.
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    \14\ Dan Raju, Retail Traders Adopt Options En Masse, by Dan 
Raju, (Dec 8, 2020) available at https://www.nasdaq.com/articles/retail-traders-adopt-options-en-masse-2020-12-08.
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    The Exchange believes that extending such hedging protections to 
Customer transactions would remove impediments to and perfect the 
mechanism of a free and open market and a national market system and 
enhance the protection of investors by providing greater certainty of 
execution for all participants to options transactions. Under the 
current Rule, a Customer that believes its transaction was executed 
pursuant to an Obvious Error may be disincentivized from submitting the 
transaction for review, since during the review process, the Customer 
would be uncertain whether the trade would be nullified, and if so, 
whether market conditions would still permit the opportunity to execute 
a related order at a better price after the nullification ruling is 
finalized. In contrast, under the proposed rule, the Customer would 
know that the only likely outcomes of submitting a trade to Obvious 
Error review would be that the trade would stand or be re-executed at a 
better price; the trade would only be nullified if the adjustment would 
violate the order's limit. Similarly, under the current Rule, during 
the review period, a market maker who traded contra to the Customer 
would be uncertain if it should retain any position executed to hedge 
the original trade, or attempt to unwind it, possibly at a significant 
loss. Under the proposed rule change, this uncertainty is largely 
eliminated, and the question would be whether the already-executed and 
hedged trade would be adjusted to a better price for the Customer, or 
if it would stand as originally executed. In this way, the proposed 
rule enhances the protection of investors and removes impediments to 
and perfects the mechanism of a free and open market and a national 
market system.
    The proposed rule also addresses the concern the Exchange cited in 
its 2015 filing that adjusting, rather than nullifying, Customer 
transactions could lead to a Customer's order being adjusted to a 
significantly different price. To address that concern, the proposed 
rule would prevent Customer transactions from being adjusted to a price 
that violates the order's limit; if the adjustment would violate a 
Customer's limit, the trade would instead be nullified. The Exchange 
believes it is in the best interest of investors to expand the 
availability of adjustments to Customer transactions in all Obvious 
Error situations except where the adjustment would violate the 
Customer's limit price.
    Further, the Exchange believes that, with respect to such proposed 
adjustments to Customer transactions, it is appropriate to use the same 
form of adjustment as is currently in place with respect to non-
Customer transactions as laid out in the table in section (c)(4)(A). 
That is, the Exchange believes that it is appropriate to adjust to 
prices a specified amount away from the Theoretical Price rather than 
to adjust the Theoretical Price, even though the Exchange has 
determined a given trade to be erroneous in nature, because the parties 
in question should have had some expectation of execution at the price 
or prices submitted. Also, it is common that by the time it is 
determined that an Obvious Error has occurred, additional hedging and 
trading activity has already occurred based on the executions that 
previously happened. The Exchange believes that providing an adjustment 
to the Theoretical Price in all cases would not appropriately 
incentivize market participants to maintain appropriate controls to 
avoid potential errors, while adjusting to prices a specified amount 
away from the Theoretical Price would incentivize such behavior.
    The Exchange believes that the proposal is not designed to permit 
unfair discrimination between customers, issuers, brokers, or dealers. 
The proposed change to section (b)(3) would apply to all instances of a 
wide market occurring within the first 10 seconds of trading followed 
by a narrow market at any point in the subsequent 10-second period, 
regardless of the types of market participants involved in such 
transactions. The proposed change to section (c)(4)(B) would harmonize 
the treatment of Obvious Error transactions involving Customers and 
non-Customers, no matter what type of market participants those parties 
may be.
    For these reasons, the Exchange believes that the proposal is 
consistent with the Act.

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

    The Exchange believes that the proposal will not impose any burden 
on competition that is not necessary or appropriate in furtherance of 
the purposes of Section 6(b)(8) of the Act.\15\ The Exchange 
anticipates that the other options exchanges will adopt substantively 
similar proposals, such that there would be no burden on intermarket 
competition from the Exchange's proposal. Accordingly, the proposed 
change is not meant to affect

[[Page 2954]]

competition among the options exchanges. For these reasons, the 
Exchange believes that the proposed rule change reflects this 
competitive environment and does not impose any undue burden on 
intermarket competition.
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    \15\ 15 U.S.C. 78f(b)(8).
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C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    Written comments were neither solicited nor received.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    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, it has become effective 
pursuant to 19(b)(3)(A) of the Act \16\ and Rule 19b-4(f)(6) \17\ 
thereunder.
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    \16\ 15 U.S.C. 78s(b)(3)(A).
    \17\ 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.
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act. If the Commission 
takes such action, the 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 [email protected]. Please include 
File Number SR-EMERALD-2022-01 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-EMERALD-2022-01. 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-EMERALD-2022-01 and should be submitted 
on or before February 9, 2022.
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    \18\17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\18\
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022-00875 Filed 1-18-22; 8:45 am]
BILLING CODE 8011-01-P


