Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Apply Its Wide Market Protection Mechanism on a Trading Session-By-Trading Session Basis
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Cboe Exchange proposes to amend Rule 5.34(a)(5) to allow the wide market protection mechanism to be applied on a trading-session-by-trading-session basis in addition to the existing class-by-class basis. The wide market protection prevents orders from executing at extreme prices when the National Best Bid and Offer (NBBO) is deemed too wide. Currently the mechanism does not apply for a predetermined period before the close of Regular Trading Hours (RTH) and Curb sessions. The proposal moves this exception into the main applicability paragraph and allows both the applicability of the mechanism and the specific width threshold that defines a 'wide' NBBO to be set differently for each trading session (RTH, Global Trading Hours, or Curb). This change gives Cboe more flexibility to tailor risk protections to the distinct liquidity and volatility profiles of each session.
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Key Changes
- Amend Rule 5.34(a)(5) to permit wide market protection mechanism on trading session-by-trading session basis in addition to class-by-class
- Delete current Rule 5.34(a)(4)(B) and consolidate its exception (predetermined time before close of RTH and Curb) into Rule 5.34(a)(4)(D)
- Allow the Exchange-determined NBBO width threshold that triggers 'wide' market status to be set on both class-by-class and trading session-by-trading session basis
+ 3 more changes with Pro
Obligations
What this law requires
Amend Rule 5.34(a)(5) to permit application of wide market protection mechanism on a trading session-by-trading session basis in addition to the existing class-by-class basis
Move the exception for predetermined time periods before RTH and Curb session closes from Rule 5.34(a)(4)(B) into Rule 5.34(a)(4)(D) as part of the applicability paragraph
Establish and determine the specific width threshold that defines a 'wide' NBBO on both a class-by-class and trading session-by-trading session basis
Amend Rule 5.34(a)(5)(A)(i) to allow the Exchange-determined amount for defining 'wide' NBBO to be determined on a trading session-by-trading session basis, in addition to class-by-class basis
Determine the predetermined amount of time prior to RTH and Curb session closes during which the wide market protection mechanism will not apply