[Federal Register Volume 88, Number 140 (Monday, July 24, 2023)]
[Notices]
[Pages 47536-47551]
[FR Doc No: 2023-15575]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-97938; File No. SR-NYSEAMER-2023-35]

Self-Regulatory Organizations; NYSE American LLC; Notice of
Filing and Immediate Effectiveness of Proposed Change for New Rule
971.1NYP

July 18, 2023.
    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 July 5, 2023, NYSE American LLC (``NYSE American'' or the
``Exchange'') filed with the Securities and Exchange Commission (the
``Commission'') the proposed rule change as described in Items I, II,
and III below, which Items have been prepared by the self-regulatory
organization. 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 new Rule 971.1NYP regarding its Customer
Best Execution (``CUBE'') Auction to reflect the implementation of the
Exchange's Pillar trading technology on its options market and to
modify Rule 971.1NY. The proposed rule change is available on the
Exchange's website at www.nyse.com, at the principal office of the
Exchange, 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 self-regulatory organization
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 those 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 parts of such statements.

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

1. Purpose
Background
    The Exchange plans to transition its options trading platform to
its Pillar technology platform. The Exchange's affiliated options
exchange, NYSE Arca, Inc. (``NYSE Arca'' or ``Arca Options'') is
currently operating on Pillar, as are the Exchange's cash equity
markets and those of its national securities exchange affiliates' cash
equity markets.\3\ For this transition, the Exchange proposes to use
the same Pillar technology already in operation on Arca Options.\4\ In
doing so, the Exchange will be able to offer not only common
specifications for connecting to both of its equity and options
markets, but also common trading functions across the Exchange and its
affiliated options exchange, NYSE Arca Options.
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    \3\ Together with NYSE American LLC, the Exchange's national
securities exchange affiliates' cash equity markets include: the New
York Stock Exchange LLC, NYSE Arca, Inc., NYSE National, Inc., and
NYSE Chicago, Inc.
    \4\ See Securities Exchange Act Release No. 94072 (January 26,
2022), 87 FR 5592 (February 1, 2022) (SR-NYSEArca-2021-47) (the
``Arca Options Approval Order'').
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    The Exchange plans to roll out the new technology platform over a
period of time based on a range of underlying symbols beginning on
October 23, 2023.\5\ As was the case for Arca Options when it
transitioned to Pillar, the Exchange will announce by Trader Update
when underlying symbols will be transitioning to the Pillar trading
platform. With this transition, certain rules would continue to be
applicable to options symbols trading on the current trading platform
but would not be applicable to options symbols that have transitioned
to trading on Pillar.
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    \5\ See Trader Update, January 30, 2023 (announcing Pillar
Migration Launch date of October 23, 2023, for the Exchange),
available here: https://www.nyse.com/trader-update/history#110000530919. The Exchange would not begin to migrate
underlying symbols to the Pillar platform until all Pillar-related
rule filings (i.e., with a ``P'' modifier) are either approved or
operative, as applicable.
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    In this regard, the Exchange recently adopted new rules to reflect
the priority, ranking, and allocation of single-leg interest on Pillar,
including Rule 964NYP (``Pillar Rule 964NYP'') \6\ and

has adopted a new rule regarding the trading of Complex Orders on
Pillar.\7\ In addition, the Exchange has submitted a filing to adopt
new rules for the operation of order types, Market Maker quotations,
opening auctions, and risk controls on the Pillar platform.\8\
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    \6\ See Rules 964NYP (Order Ranking, Display, and Allocation),
964.1NYP (Directed Orders and DOMM Quoting Obligations) and 964.2NYP
(Participation Entitlement of Specialists and e-Specialists)
(collectively, the ``American Pillar Priority Rules''). See also
Securities Exchange Act Release No. 97297 (April 13, 2023), 88 FR
24225 (April 19, 2023) (SR-NYSEAmer-2023-16) (adopting the American
Pillar Priority Rules on an immediately effective basis, which rules
utilize Pillar concepts and incorporate the Exchange's current
Customer priority and pro rata allocation model) (the ``American
Pillar Priority Filing''). The American Pillar Priority Rules (like
proposed Rule 971.1NYP) will not be implemented until all other
Pillar-related rule filings are either effective or approved, as
applicable. See id.
    \7\ See Securities Exchange Act Release No. 97739 (June 15,
2023), 88 FR 40893 (June 22, 2023) (SR-NYSEAMER-2023-17) (order
approving new Rule 980NYP (Complex Order Trading)).
    \8\ See SR-NYSEAmer-2023-34 (proposing, on an immediately
effective basis, new Rules 900.3NYP (Orders and Modifiers), 925.1NYP
(Market Maker Quotations), 928NYP (Pre-Trade and Activity-Based Risk
Controls), 928.1NYP (Price Reasonability Checks--Orders and Quotes),
and 952NYP (Auction Process)).
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    On Pillar, and as discussed in detail herein, the Exchange will
continue to conduct CUBE Auctions consistent with current
functionality. However, proposed Rule 971.1NYP (the ``Rule'') regarding
its CUBE Auction (the ``CUBE Auction''; ``CUBE''; or the ``Auction'')
would incorporate the Exchange's priority and allocation scheme per
Pillar Rule 964NYP, which includes Pillar concepts and terminology, and
would also include enhancements to CUBE that will be available on the
Pillar trading platform. The proposed enhancements would align the
operation of the CUBE Auction with similar price-improvement mechanisms
already available on other options exchanges.\9\ As such, this proposal
is competitive insofar as the proposed Pillar-related enhancements to
CUBE are currently available on other options exchanges.
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    \9\ See, e.g., Cboe Exchange, Inc. (``Cboe'') Rule 5.37
(describing Automated Improvement Mechanism (``AIM''), which is an
electronic price improvement auction for paired orders); Cboe EDGX
Exchange, Inc. (``Cboe EDGX'') Rule 21.19 (same); Nasdaq ISE, LLC
(``Nasdaq ISE''), Options 3, Section 13 (describing Price
Improvement Mechanism for Crossing Transactions, which is an
electronic price improvement auction for paired orders).
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    The Exchange believes the proposed Rule for CUBE Auctions on Pillar
would continue to encourage ATP Holders to compete vigorously to
provide the opportunity for price improvement for CUBE Orders of all
sizes in a competitive auction process, which may lead to enhanced
liquidity and tighter markets.\10\
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    \10\ An ATP Holder is a natural person, sole proprietorship,
partnership, corporation, limited liability company or other
organization, in good standing, that has been issued an ATP. See
Rule 900.2NY. An ATP is an American Trading Permit issued by the
Exchange for effecting approved securities transactions on the
Exchange's Trading Facilities. See id.
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Proposed Use of ``P'' Modifier
    As proposed, and consistent with the American Pillar Priority
Filing, the proposed Rule would have the same number as the current
CUBE rule, but with the modifier ``P'' appended to the rule number.\11\
As such, except Rule 971.1NY (Single-Leg Electronic Cross Transactions)
would continue to apply to CUBE Auctions in symbols traded on the
Exchange's current system.\12\
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    \11\ See American Pillar Priority Filing (adopting, among other
rules, Pillar Rule 964NYP, which will replace and supersede current
Rule 964NY when the Exchange migrates to Pillar and describing that
any Exchange rule with a ``P'' modifier will be applicable to
options trading in symbols that have migrated to Pillar).
    \12\ The Exchange notes that it proposes one clarifying change
to current Rule 971.1NY (regarding rejection of certain CUBE Orders
submitted near the end of the trading day). See supra note 61.
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    Proposed Rule 971.1NYP, however, would govern CUBE Auctions for
symbols that have migrated to the Pillar trading platform.\13\ To make
clear this distinction, the Exchange proposes to add a preamble to
current Rule 971.1NY (Single-Leg Electronic Cross Transactions)
specifying that it would not be applicable to trading on Pillar, i.e.,
once the migration to Pillar is complete, the current CUBE rule will
not apply to CUBE Auctions.\14\
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    \13\ The Exchange believes that using the ``P'' modifier to
demarcate rules that apply solely to trading on the Pillar platform
adds clarity, transparency, and internal consistency to Exchange
rules. See id. See also Arca Pillar Approval Order.
    \14\ See proposed Rule 971.1NYP (with new preamble specifying
that it would not be applicable to trading on Pillar). Following the
completed migration to Pillar, the Exchange will file a rule
proposal to delete rules that are no longer operative because they
apply only to trading on the Exchange's current system (including
current Rule 971.1NY).
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    As with the Pillar Priority Rules, the Exchange will not implement
proposed Rule 971.1NYP until all other Pillar-related rule filings
(i.e., with a ``P'' modifier) are either approved or operative, as
applicable, and the Exchange announces the rollout of underlying
symbols to Pillar by Trader Update.
Overview of the CUBE Auctions
    Rule 971.1NY describes the CUBE Auction, which is an electronic
crossing mechanism for single-leg orders with a price improvement
auction on the Exchange.\15\ The CUBE Auction is designed to provide
price improvement for ``CUBE Orders'' (described below) of any size.
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    \15\ See generally Rule 971.1NY (Single-Leg Electronic Cross
Transactions).
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    To commence an Auction, an ATP Holder (``Initiating Participant'')
may electronically submit for execution a limit order it represents as
agent on behalf of a public customer, broker dealer, or any other
entity (``CUBE Order'').\16\ The Initiating Participant must agree to
guarantee the execution of the CUBE Order by submitting a contra-side
order representing principal interest or interest it has solicited to
trade with the CUBE Order (the ``Contra Order'') at a specified stop
price or by utilizing auto-match or auto-match limit.\17\
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    \16\ See Rule 971.1NY(a).
    \17\ See Rule 971.1NY(c)(1)(A)-(C).
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    Subject to specified exceptions, a CUBE Order to buy (sell) may
execute at prices equal to or between the ``initiating price'' as the
upper (lower) bound and the NBB (NBO) as the lower (upper) bound of
permissible executions.\18\ The current CUBE rule provides that the
range of permissible executions depends on whether a CUBE Order is for
fewer than 50 contracts \19\ or for 50 or more contracts.\20\ Further,
to initiate an Auction, a CUBE Order must meet requirements related to
its minimum size, price, and time of submission and acceptance of a
CUBE Order is also dependent upon market conditions when submitted.\21\
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    \18\ See Rule 971.1NY(b), (b)(1).
    \19\ See Rule 971.1NY(b)(1)(B) (providing that if a CUBE Order
to buy (sell) is for fewer than 50 contracts, the initiating price
shall be the lower (higher) of the CUBE Order's limit price, the NBO
(NBB), or the BO minus one cent (BB plus one cent) and the lower
(upper) bound of executions shall be the higher (lower) of the NBB
(NBO) or the BB plus one cent (BO minus one cent)).
    \20\ See Rule 971.1NY(b)(1)(A) (providing that if a CUBE Order
to buy (sell) is for 50 contracts or more and there is Customer
interest in the Consolidated Book at the BB (BO), the lower (upper)
bound of executions is the higher (lower) of the BB plus one cent
(BO minus one cent) or the NBB (NBO)).
    \21\ See Rule 971.1NY(b)(2)-(10).
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    When the Exchange receives a valid CUBE Order for auction
processing, a Request for Responses (``RFR'') detailing the series, the
side of the market, the size of the CUBE Order, and the initiating
price of the CUBE Order is sent to all ATP Holders that subscribe to
receive RFR messages.\22\ RFR Responses marked as GTX Orders may be
submitted to trade with a CUBE Order, provided that such orders specify
their price, size and side of the market.\23\ Only one Auction in a
given series may be conducted at a time.\24\ The Response Time Interval
for a CUBE Auction is a random period of time within parameters
designated by the Exchange, which time period shall be no less than 100
milliseconds and no more than 1 second, unless the Auction

is concluded early.\25\ A CUBE Auction may end early if, during the
Auction, the Exchange receives interest that would otherwise disrupt
the priority of interest in the Consolidated Book.\26\
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    \22\ See Rule 971.1NY(c)(2)(A).
    \23\ See Rule 971.1NY(c)(2)(C)(i).
    \24\ See Rule 971.1NY(c).
    \25\ See Rule 971.1NY(c)(2)(B).
    \26\ See Rule 971.1NY(c)(4)(A)-(F) (providing the scenarios that
would result in the early end of a CUBE Auction).
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    At the conclusion of the Auction, including if the Auction ends
early, the Exchange evaluates the interest received during the auction
and allocates the CUBE Order (in whole or in part) with price improving
interest, and/or, absent sufficient improving interest, with the Contra
Order.\27\ The Contra Order may be entitled to a participation
guarantee of up to 40% (or 50% if there is only one RFR Response)
depending on the CUBE Order contracts remaining after executing with
price improving interest.\28\ CUBE Order allocations are applied in
accordance with the Exchange's Customer priority scheme and size pro
rata allocation algorithm.\29\
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    \27\ See generally Rule 971.1NY(c)(5).
    \28\ See Rules 971.1NY(c)(5)(B)(i)(b), (ii)(b), (iii)(b)
(specifically regarding guaranteed participation of the Contra
Order).
    \29\ See, e.g., Rules 971.1NY(c)(5)(B)(i)(b), (ii)(b), (iii)(b)
(citing the size pro rata algorithm set forth in Rule 964NY(b)(3)).
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Summary of Proposed Enhancements to CUBE
    The Exchange is not proposing fundamentally different functionality
for CUBE Auctions on Pillar. Instead, the Exchange proposes discrete
enhancements to the CUBE Auction that are designed to both improve the
operation of the CUBE and as noted herein to bring CUBE functionality
in alignment with price-improving mechanisms available on other
marketplaces. Specifically, and as described in detail below, the
Exchange proposes to enhance the CUBE Auction on Pillar as follows:
     Uniform Pricing Standard. Adopt one uniform range of
permissible executions for CUBE Orders by applying the current pricing
requirements set forth in Rule 971.1NY(b)(1)(A) to CUBE Orders of any
size. The Exchange, however, would continue to require price
improvement to CUBE Orders for fewer than 50 contracts that are
submitted when the market is one cent wide ($0.01). As proposed, the
Exchange would also continue to reject (as it does today) smaller-sized
CUBE Orders in penny-wide markets if there is same-side (as CUBE Order)
displayed Customer interest in the Consolidated Book at the NBBO.\30\
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    \30\ See proposed Rule 971.1NYP(b)(5). See also Securities
Exchange Act Release No. 79830 (January 18, 2017), 82 FR 8465, at
8466 (January 25, 2017) (SR-NYSEMKT-2016-12) (order approving
proposal to make permanent the aspects of the CUBE Auction that were
subject to a pilot, provided the Exchange continued to guarantee
price improvement to CUBE Orders for fewer than 50 contracts in a
penny-wide NBBO market) (order approving CUBE pilot on permanent
basis for smaller-sized orders) (``SEC Approval of CUBE Pilot'').
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     Response Time Interval. Modify the Response Time Interval
for a CUBE Auction to be for a set duration as opposed to the random
duration that currently applies to Auctions.
     GTX Order Handling. Update GTX Order functionality to
reflect handling on Pillar, including how such orders will be
prioritized per Pillar Rule 964NYP(e), that such orders may include a
specific CUBE ``AuctionID'', and that such order will cancel (rather
than continue to trade) after executing with the CUBE Order to the
extent possible.
     Single Early End Scenario. Reduce the number of ``early
conclusion events'' based on trading interest that arrives during the
Auction to the single scenario set forth in current Rule
971.1NY(c)(4)(D) and described herein.\31\ This proposed change does
not impact nor alter the (existing and proposed) requirement that a
CUBE Auction end early if there is a trading halt in the affected
series, which early termination reason is distinct from ending an
Auction early based on incoming options trading interest.\32\
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    \31\ Rule 971.1NY(c)(4)(A)-(F) sets forth the current early end
scenarios.
    \32\ See proposed Rule 971.1NYP(c)(2). See also Rule
971.1NY(c)(3).
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     Surrender Quantity. Enable Contra Orders that guarantee
CUBE Orders with a stop price the option of requesting to receive a
lesser participation guarantee than the standard 40% (i.e., the
Surrender Quantity).
     Concurrent Auctions. Permit multiple CUBE Auctions in the
same series to occur at the same time and specify how such Auctions are
processed and, to correspond with this functionality change, add
``AuctionID'' functionality to allow auction responses (i.e., GTX
Orders) to specify the CUBE Order with which it would like to trade.
     CUBE Order Allocation. Update Auction functionality to
reflect the allocation of CUBE Orders against RFR Responses in
alignment with Pillar Rule 964NYP (Order Ranking, Display, and
Allocation).
    In addition to the foregoing enhancements, the proposed Rule
includes descriptions of existing CUBE functionality that will persist
on Pillar. However, the Exchange proposes to streamline, clarify, or
relocate certain of these descriptions (as indicated herein) to make
the proposed Rule more succinct and easier to understand. The Exchange
also proposes to replace all instances of ``shall'' with ``will,''
which is a stylistic preference that has no substantive impact on the
proposed Auction functionality.\33\
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    \33\ Compare Rules 971.1NY(a) and (b) (which use ``shall'') with
proposed Rules 971.1NYP(a)(1) and (2), respectively (which use
``will'').
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Proposed Rule 971.1NYP: CUBE Auctions on Pillar
    As discussed herein, the Exchange is not proposing to change the
core functionality of CUBE Auctions. Thus, unless otherwise stated
herein, CUBE Auctions on Pillar will function in a manner identical
with current CUBE functionality per current Rule 971.1NY.
Initiating and Pricing of CUBE Auctions
    The proposed Rule would begin by describing the general
requirements for initiating a CUBE Auction, which requirements mirror
current functionality unless otherwise specified.
    Proposed Rule 971.1NYP(a) and (a)(1) describe functionality
identical to Rule 971.1NY(a).
     Proposed Rule 971.1NYP(a) is identical to Rule 971.1NY(a)
insofar as it would provide that a ``CUBE Order'' is a Limit Order
submitted electronically by an ATP Holder (the ``Initiating
Participant'') into the CUBE Auction, which CUBE Order the Initiating
Participant represents as agent on behalf of a public customer, broker
dealer, or any other entity. The last sentence of proposed Rule
971.1NYP(a) is identical to Rule 971.1NY(b)(8) and would provide that
the minimum size requirement for a CUBE Order is one contract.\34\
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    \34\ The Exchange has relocated this text to the beginning of
the Rule (as opposed to where this provision resides (in current
Rule 971.1NY(b)(8)) because the Exchange believes that the minimum
size of a CUBE Order is fundamental and thus is logically included
at the outset of the Rule.
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     Proposed Rule 971.1NYP(a)(1) is identical to Rule
971.1NY(a) insofar as it would provide that a the Initiating
Participant would guarantee the execution of the CUBE Order by
submitting a contra-side order (``Contra Order'') representing
principal interest or non-Customer interest it has solicited to trade
solely with the CUBE Order at a specified price (``stop price'') or by
utilizing auto-match or auto-match limit features (as described in
proposed paragraph (b)(1) of the Rule), which interest would not be
displayed.\35\
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    \35\ The Exchange notes that the internal cross-reference in the
proposed Rule has been updated and expanded to include descriptions
of each of the stop price, auto-match, and auto-match limit price,
which difference from the current CUBE rule is not material because
it does not impact functionality.

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    [cir] Proposed Rule 971.1NYP(a)(1)(A) is identical to Rule
971.1NY(b)(7) and would provide that CUBE Orders may be entered in one
cent ($0.01) increments regardless of the MPV of the series involved
and that Contra Orders likewise may be priced in one cent increments
when specifying the stop price or the auto-match limit price as
described in proposed paragraphs (b)(1)(A) and (b)(1)(C) of this Rule
(discussed below).\36\
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    \36\ The Exchange notes that the internal cross-reference in the
proposed Rule has been updated and expanded to include descriptions
of each of the stop price, auto-match, and auto-match limit price,
which difference from the current CUBE rule is not material because
it does not impact functionality. The Exchange has relocated this
text to the beginning of the Rule (as opposed to where this
provision resides (in current Rule 971.1NY(b)(7)) because the
Exchange believes that the permissible MPV for CUBE Orders and
certain Contra Orders is fundamental and thus is logically included
at the outset of the Rule.
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    Proposed Rule 971.1NYP(a)(2) describes functionality identical to
Rule 971.1NY(b).
     Proposed Rule 971.1NYP(a)(2) is identical to Rule
971.1NY(b) insofar as it would provide that for purposes of determining
whether a CUBE Order is eligible to initiate an Auction, references to
the NBBO or Exchange BBO refer to the quoted market at the time the
Auction is initiated and that the time at which the CUBE Auction is
initiated is considered the time of the CUBE Order execution and that
orders executed in the Auction qualify as exceptions to Trade-Through
Liability, pursuant to Rule 991NY(b)(5) and (9). However, unlike the
current rule, the proposed Rule would use shorthand to refer to the
NBBO and Exchange BBO, which terms are defined in Rule 900.2NY.\37\
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    \37\ Compare proposed Rule 971.1NYP(a)(2) (referring to the
``NBBO'' and ``Exchange BBO'') with Rules 971.1NY(b) (providing that
``[f]or purposes of determining whether a CUBE Order is eligible to
initiate an Auction, references to the National Best Bid or Offer
(`NBBO') or Exchange Best Bid or Offer (``BBO'') refer to the quoted
market at the time the Auction is initiated''); 971.1NY(a)
(referring to ``the National Best Offer (`NBO') (National Best Bid
(`NBB')'').
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    Consistent with current functionality, a CUBE Auction on Pillar
would begin with an ``initiating price'' and, at the conclusion of the
Auction, the CUBE Order would be eligible to execute at multiple prices
within a permissible ``range of executions.'' \38\ On Pillar, however,
the Exchange proposes to adopt a uniform pricing standard for all CUBE
Orders rather than have two separate standards based on the size of a
CUBE Order.\39\ As proposed, the Exchange would streamline CUBE
functionality by applying the pricing parameter set forth in Rule
971.1NY(b)(1)(A) to establish the initiating price and ``permissible
range of executions'' for a CUBE Order, but would eliminate the CUBE
Order's size requirement.\40\
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    \38\ See, e.g., Rule 971.1NY(a) (providing, in relevant part,
that the ``Auction begins with an `initiating price','' and that,
``[a]t the conclusion of the Auction, the CUBE Order may execute at
multiple prices within a permissible range . . . .'').
    \39\ See Rules 971.1NY(b)(1)(A) and (B) (providing pricing
requirements for a CUBE Order for 50 contracts or more and for a
CUBE Order for fewer than 50 contracts, respectively).
    \40\ The Exchange notes that current Rule 971.1NY(b)(1)(B),
which will not apply to CUBE Auctions on Pillar, requires that a
CUBE Order for fewer than 50 contracts must be priced at least one
cent ($0.01) better than any displayed interest on the Exchange's
Consolidated Book. As discussed, supra, the Exchange would continue
to protect displayed Customer interest at the BBO for smaller-sized
CUBE Orders. See proposed Rules 971.1NYP(a)(3) (carving out the
exception to the initiating price parameters for CUBE Orders
submitted in a penny-wide market) and (b)(5) (describing the
handling of CUBE Orders submitted in a penny-wide market).
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     Proposed Rule 971.1NYP(a)(3) would provide that--subject
to proposed Rule 971.1NYP(b)(5) (as described below), the initiating
price for any-sized CUBE Order to buy (sell) would be the lower
(higher) of the CUBE Order's limit price or the NBO (NBB), which
parameters are identical to the current initiating price requirements
for CUBE Orders of 50 or more contracts per Rule 971.1NY(a).\41\
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    \41\ Compare proposed Rule 971.1NYP(a)(3) with Rule 971.1NY(a)
(providing that, for CUBE Orders for 50 or more contracts, the
``initiating price'' for a CUBE Order to buy (sell) will be the
lower (higher) of the CUBE Order's limit price or the NBO (NBB),
except as provided in (proposed) paragraph (b)(5) of this Rule).
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     Proposed Rule 971.1NYP(a)(4) would provide that the range
of permissible executions for any-sized CUBE Order would be as set
forth below and would note that this range of permissible executions
may be adjusted based on certain updates to the Exchange BBO during an
Auction per proposed Rule 971.1NYP(a)(4)(A) (described below).
    The ``range of permissible executions'' of a CUBE Order to buy
(sell) includes prices equal to or between the initiating price as the
upper (lower) bound and the NBB (NBO) as the lower (upper) bound,
provided that if there is Customer interest in the Consolidated Book at
the Exchange BB (BO), the lower (upper) bound of executions will be the
higher (lower) of the BB plus one cent (BO minus one cent) or the NBB
(NBO).\42\
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    \42\ Compare proposed Rule 971.1NYP(a)(4) with Rule
971.1NY(b)(1) and (b)(1)(A) (providing that a CUBE Order to buy
(sell) for 50 contracts or more may execute at prices equal to or
between the initiating price as the upper (lower) bound and the NBB
(NBO) as the lower (upper) bound, provided that if there is Customer
interest in the Consolidated Book at the BB (BO), the lower (upper)
bound of executions is the higher (lower) of the BB plus one cent
(BO minus one cent) or the NBB (NBO)).
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    [cir] Proposed Rule 971.1NYP(a)(4)(A) would provide that the
Exchange would adjust the range of permissible executions of a CUBE
Order to buy (sell) in accordance with updates to the Exchange BB (BO)
during the Auction, provided that such Exchange BB (BO) updates do not
cross the upper (lower) bound of permissible executions.\43\ This
proposed feature is consistent with current functionality but differs
in that the proposed Rule states definitively when updates to the BBO
during an Auction would impact the range of executions (rather than
refer to BBO updates that might result in the early end of an
Auction).\44\ The Exchange believes this distinction is immaterial as
it has no impact on functionality. In fact, the Exchange believes this
proposed change would remove superfluous (potentially confusing)
language and, as such, would add clarity and transparency to Exchange
rules making them easier to navigate and understand.
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    \43\ See proposed Rule 971.1NYP(a)(4)(A).
    \44\ See Rule 971.1NY(b)(1)(C) (providing that ``[i]f the BBO on
the same side as the CUBE Order updates during the Auction, the
range of permissible executions will adjust in accordance with the
updated BBO, unless the incoming same-side interest that would
update the BBO would cause the Auction to conclude early pursuant to
paragraph (c)(4)(D) of this Rule.'').
---------------------------------------------------------------------------

    [cir] Proposed Rule 971.1NYP(a)(4)(B) is identical to current Rule
971.1NY(b)(3) and would require that CUBE Orders, once accepted, would
never execute outside the range of permissible executions, and would
never trade through their own limit price; further, the proposed Rule
would provide that unrelated quotes and orders that participate in the
Auction will never trade through their own limit price.\45\ In the
current rule, the foregoing provision is included with circumstances
under which CUBE Orders are rejected. Because this proposed text
relates to the range of permissible executions for accepted CUBE Orders
(i.e., not rejected), the Exchange believes the proposed placement of
this provision would add clarity to the proposed Rule and would make it
easier to navigate and understand. Other than the location of the
proposed text, proposed Rule

971.1NYP(a)(4)(B) is identical to current Rule 971.1NY(b)(3).
---------------------------------------------------------------------------

    \45\ See proposed Rule 971.1NYP(a)(4)(B). See Rule 971.1NY(b)(3)
(``CUBE Orders, once accepted, will never execute outside the range
of permissible executions and will never trade through their own
limit price. Unrelated quotes and orders that participate in the
Auction will never trade through their own limit price.'').
---------------------------------------------------------------------------

    The Exchange notes that, on Pillar, current Rule 971.1NY(b)(1)(D),
which provides that if there is a Marketable Order to sell (buy) that
is being collared, the displayed price of the collared order minus
(plus) one Trading Collar shall be considered the BO (BB) when
determining the range of permissible executions,'' would no longer
apply.\46\ The Exchange is modifying how it handles Market Orders on
Pillar as well as the operation of the Trading Collar. As a result,
neither current Rule 967NY (Price Protection--Orders) nor the Trading
Collar functionality described therein will apply on Pillar and will
instead be replaced by a modified Trading Collar.\47\
---------------------------------------------------------------------------

    \46\ See Rule 971.1NY(b)(1)(D) (providing that ``[i]f there is a
Marketable Order to sell (buy) that has been displayed pursuant to
Rule 967NY(a)(4)(A), the displayed price of the collared order minus
(plus) one Trading Collar shall be considered the BO (BB) when
determining the range of permissible executions'').
    \47\ The Exchange has submitted a separate rule filing to adopt
Trading Collar functionality for trading on Pillar, which
functionality is described in proposed Rule 900.3NYP(a)(4) (the
``Pillar Trading Collar Filing''). See NYSEAmer-2023-11P. The
functionality described in the Pillar Trading Collar Filing is
identical to the functionality described in Arca Options Rule 6.62P-
O(a)(4).
---------------------------------------------------------------------------

    Although all CUBE Orders would be subject to the above-described
single pricing parameter, the Exchange would continue to require price
improvement for CUBE Orders for fewer than 50 contracts in tight (i.e.,
penny-wide) markets.\48\
---------------------------------------------------------------------------

    \48\ The Exchange notes that current Rule 971.1NY(b)(1)(B),
which will not apply to CUBE Auctions on Pillar, requires that CUBE
Order is for fewer than 50 contracts must be priced at least one
cent ($0.01) better than any displayed interest on the Exchange's
Consolidated Book. As discussed herein, the Exchange would continue
to protect displayed Customer interest at the BBO for smaller-sized
CUBE Orders in penny-wide markets. See proposed Rule 971.1NYP(b)(5).
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(b)(5) would provide that CUBE
Orders for fewer than 50 contracts would be rejected when the NBBO is
one cent ($0.01) wide, unless the Initiating Participant guarantees the
execution of the CUBE Order to buy (sell) at a price that is equal to
the NBO minus one cent (NBB plus one cent) and there is no displayed
Customer interest in the Consolidated Book at the NBB (NBO).\49\
---------------------------------------------------------------------------

    \49\ See Rule 971.1NY(b)(6)(B) (providing, in relevant part,
that CUBE Orders for fewer than 50 contracts will be rejected, among
other reasons, when the NBBO is $0.01 wide, unless the Initiating
Participant guarantees the execution of the CUBE Order to buy (sell)
at a price that is equal to the NBO minus one cent (NBB plus one
cent)).
---------------------------------------------------------------------------

    The proposed change is identical to current Rule 971.1NY(b)(6)(A)
insofar as it would require price improvement for CUBE Orders of fewer
than 50 contracts when the NBBO has a bid/offer spread of one cent
($0.01). However, unlike the current rule, rather than reject CUBE
Orders for fewer than 50 contracts when the BBO has a bid/offer spread
of one cent ($0.01),\50\ the Exchange would only reject such orders
when the Exchange is setting the NBBO (i.e., BBO = NBBO) and there is
same-side (CUBE side) displayed Customer interest on the NBBO. The
Exchange proposes to reject such smaller-sized CUBE Orders to avoid
non-Customer interest trading ahead of displayed Customer interest.\51\
---------------------------------------------------------------------------

    \50\ See Rule 971.1NY(b)(6)(A) (providing, in relevant part,
that CUBE Orders for fewer than 50 contracts will be rejected when
the BBO is $0.01 wide).
    \51\ See proposed Rule 971.1NYP(b)(5).
---------------------------------------------------------------------------

    This proposed change is substantially the same as current Rule
971.1NY(b)(6)(B), except that rather than reject all smaller-sized CUBE
Orders when the BBO is one cent ($0.01) wide, the Exchange would only
reject such orders to protect displayed Customer interest.\52\ This
proposed functionality is not new and is consistent with the Exchange's
current handling for such smaller-sized CUBE Orders in penny-wide NBBO
markets as well as with the handling of smaller-sized paired agency
orders on other options exchanges.\53\
---------------------------------------------------------------------------

    \52\ See proposed Rule 971.1NYP(b)(5) (``CUBE Orders for fewer
than 50 contracts will be rejected when the NBBO is one cent ($0.01)
wide, unless the Initiating Participant guarantees the execution of
the CUBE Order to buy (sell) at a price that is equal to the NBO
minus one cent (NBB plus one cent) and there is no Customer interest
in the Consolidated Book at the NBB (NBO)).''.
    \53\ See, e.g., Cboe Rule 5.37(b)(1)(A) (providing that, when
the NBBO width is one penny ($0.01), and the agency order is for
less than 50 contracts, the stop price must be ``at least one
minimum increment better than the then-current NBO (NBB) or the
Agency Order's limit price (if the order is a limit order),
whichever is better''; Cboe EDGX Rule 21.19 (b)(1)(A) (same); Nasdaq
ISE, Options 3 Section 13(b)(1) (providing that, when the NBBO width
is one penny ($0.01), and the agency order is for less than 50
contracts, ``the Crossing Transaction must be entered at one minimum
price improvement increment better than the NBBO on the opposite
side of the market from the Agency Order and better than the limit
order or quote on the Nasdaq ISE order book on the same side of the
Agency Order).
---------------------------------------------------------------------------

CUBE Eligibility Requirements
    On Pillar, the Exchange would continue to allow all options traded
on the Exchange to be eligible to participate in a CUBE Auction.\54\
Further, as proposed, the Exchange would continue to reject CUBE Orders
(together with Contra Orders) under the following circumstances, each
of which are identical to the reasons for rejection of such orders per
current Rule 971.1NY(b)(2), (b)(4), and (b)(10), respectively, as
described below.\55\
---------------------------------------------------------------------------

    \54\ See proposed Rule 971.1NYP(b) (CUBE Auction Eligibility
Requirements), which is identical to the first sentence of current
Rule 971.1NY(b).
    \55\ See infra regarding for discussion of the proposed Rules
971.1NYP(a), (a)(1)(A) and (a)(4)(B) as compared to their identical
counterparts in current Rules 971.1NY(b)(3), (b)(7), and (b)(8)
which proposed provisions have been relocated to earlier in the
Rule.
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(b)(2) is identical to Rule
971.1NY(b)(2) and would provide that CUBE Orders to buy (sell) with a
limit price below (above) the lower (upper) bound of executions
specified in proposed Rule 971.1NYP(a)(4) (described above) would not
be eligible to initiate an Auction and would be rejected, along with
the Contra Order.\56\
---------------------------------------------------------------------------

    \56\ The Exchange notes that the proposed Rule differs from the
current rule in that it includes an updated cross-reference to the
permissible range of executions, which difference is immaterial
because it does not impact functionality. See proposed Rule
971.1NYP(b)(2).
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(b)(3) is identical to Rule
971.1NY(b)(4) and would provide that CUBE Orders submitted before the
opening of trading would not be eligible to initiate an Auction and
would be rejected, along with the Contra Order.
     Proposed Rule 971.1NYP(b)(7) is identical to Rule
971.1NY(b)(10) and would provide that CUBE Orders submitted during a
trading halt are not eligible to initiate an Auction and would be
rejected, along with the Contra Order.
    In addition, the proposed Rule would continue to reject CUBE Orders
(together with Contra Orders) under the following circumstances, which
differ slightly the from the current rule as follows.\57\
---------------------------------------------------------------------------

    \57\ See infra for discussion of proposed Rule 971.1NYP(b)(5) as
compared with current Rule 971.1NY(b)(6) (regarding requiring price
improvement for CUBE Orders for fewer than 50 contracts under
certain circumstances in a penny-wide market).
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(b)(4) would reject CUBE Orders
submitted when there is insufficient time in the trading session to
conduct an Auction. However, whereas the current rule provides that
CUBE Orders are rejected if submitted during ``the final second of the
trading session,'' the proposed Rule would provide that CUBE Orders
would be rejected if submitted ``when there is insufficient time for an
Auction to run the full duration of the Response Time Interval.'' \58\
The Exchange believes that the proposed change would better account for
the fact that a CUBE Auction may last for as little as 100
milliseconds--well below the permitted maximum of one second as stated
in the

current rule.\59\ The Exchange also proposes to remove the superfluous
reference to ``in the affected series,'' which would streamline the
proposed Rule text.\60\ The Exchange proposes to make the same change
to current Rule 971.1NY(b)(5).\61\ The Exchange believes that this
proposed change (to the current rule and proposed Rule) would add
clarity, transparency, and internal consistency to Exchange rules
regarding when CUBE Orders may be rejected--particularly to market
participants submitting CUBE Orders late in the trading day.\62\
---------------------------------------------------------------------------

    \58\ Compare proposed Rule 971.1NYP(b)(4) with Rule
971.1NY(b)(5).
    \59\ See, e.g., Rule 971.1NY(c)(2)(B) (providing in relevant
part, that ``[t]he minimum/maximum parameters for the Response Time
Interval will be no less than 100 milliseconds and no more than one
(1) second.''). See also proposed Rule 971.1NYP(c)(1)(B) (which
provides identical parameters), as discussed supra.
    \60\ See proposed Rule 971.1NY(b)(4). The Exchange notes that
this proposed change is applicable to all CUBE Auctions--whether
conducted on Pillar or not. Compare proposed Rule 971.1NYP(b)(4)
(``CUBE Orders submitted when there is insufficient time for an
Auction to run the full duration of the Response Time Interval are
not eligible to initiate an Auction and shall be rejected, along
with the Contra Order'') with current Rule 971.1NY(b)(5) (``CUBE
Orders submitted during the final second of the trading session in
the affected series are not eligible to initiate an Auction and
shall be rejected, along with the Contra Order.'').
    \61\ See proposed Rule 971.1NY(b)(5).
    \62\ See supra for discussion of proposed Rule 971.1NYP(b)(5) as
compared with current Rule 971.1NY(b)(6) (regarding requiring price
improvement for CUBE Orders for fewer than 50 contracts under
certain circumstances in a penny-wide market).
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(b)(6) would provide that the
Exchange would reject CUBE Orders submitted when the NBBO is
crossed.\63\
---------------------------------------------------------------------------

    \63\ See proposed Rule 971.1NYP(b)(6).
---------------------------------------------------------------------------

     However, unlike the current rule, the Exchange would no
longer reject CUBE Orders when the NBBO is locked.\64\ The Exchange
believes this more permissive standard, which is the same on other
options exchanges, would allow more CUBE Auctions to occur on Pillar,
thus increasing trading opportunities.\65\
---------------------------------------------------------------------------

    \64\ Compare proposed Rule 971.1NYP(b)(6) (``[i]f CUBE Order is
submitted when the NBBO is crossed, it will be rejected'') with Rule
971.1NY(b)(9) (``[i]f the NBBO is locked or crossed when a CUBE
Order is submitted, it will be rejected.''). The Exchange notes that
proposed Rule reorganizes this proposed provision to more clearly
convey the concept that, on Pillar, CUBE Orders submitted when the
NBBO is crossed would be rejected.
    \65\ See, e.g., Cboe Rule 5.37(a)(7) (providing that, ``[t]he
Initiating TPH may not submit an Agency Order [to Cboe's AIM] if the
NBBO is crossed''); Cboe EDGX Rule 21.19(a)(7) (providing that,
``[a]n Initiating Member may not submit an Agency Order [to Cboe
EDGX's AIM] if the NBBO is crossed'').
---------------------------------------------------------------------------

    Finally, on Pillar, the Exchange proposes to allow CUBE Orders in
the same series as orders exposed pursuant to Rule 994NY (Broadcast
Order Liquidity Delivery Mechanism) (or ``BOLD'') to occur
simultaneously. This would be new on Pillar as current functionality
limitations dictate that CUBE Orders in the same series as orders
exposed by BOLD are rejected.\66\ As such, the proposed Rule would not
include information contained in current Commentary .04 to Rule
971.1NY. The Exchange believes this proposed enhancement to CUBE
Auction functionality--that the Pillar platform will accommodate both
such orders in the same series at the same time--would allow more CUBE
Orders to be accepted, which improved opportunities for price
improvement benefits all market participants.\67\
---------------------------------------------------------------------------

    \66\ See Rule 971.1NY, Commentary .04 (providing that ``[a] CUBE
Order will be rejected if it is in the same series as an order
exposed pursuant to Rule 994NY (Broadcast Order Liquidity Delivery
Mechanism).'').
    \67\ Consistent with the proposed functionality, the Exchange
would no longer end a CUBE Auction early upon receipt of an order
exposed in the BOLD mechanism that is in the same series as the CUBE
Order per Rule 971.1NY(c)(4)(F). See discussion, infra, regarding
proposed Rule 971.1NYP(c)(3) (Early Conclusion of Auction).
---------------------------------------------------------------------------

    On Pillar, the Exchange proposes to continue to allow Initiating
Participants to guarantee the CUBE Order with a specified stop price or
by utilizing auto match or auto-match limit.\68\
---------------------------------------------------------------------------

    \68\ See proposed Rule 971.1NYP(b)(1), which is identical to the
first sentence of Rule 971.1NY(c)(1).
---------------------------------------------------------------------------

    Proposed Rule 971.1NYP(b)(1)(A), like current Rule
971.1NY(c)(1)(A), would describe the requirements for a ``stop price,''
which are identical to current Rule 971.1NY(c)(1)(A), except as noted
below.
     Proposed Rule 971.1NYP(b)(1)(A) would describe the ``stop
price,'' except that unlike the current rule but consistent with
current functionality, the proposed Rule would explicitly state that
the stop price is ``the price at which the Initiating Participant
guarantees the CUBE Order'', which stop price ``must be executable
against the initiating price of the Auction.'' \69\ The Exchange
believes that specifying that the stop price must be ``executable''
against the initiating price is a more succinct way of stating the
(current rule) requirement that such stop price must be ``equal to or
below (above) the initiating price of the Auction'' for a CUBE Order to
buy (sell).\70\ The Exchange believes that this proposed distinction is
immaterial because the functional requirement set forth in the proposed
Rule is the same the current requirement albeit stated differently.
---------------------------------------------------------------------------

    \69\ See proposed Rule 971.1NYP(b)(1)(A). The proposed
description would align with the description of a stop price for a
Complex CUBE Auction. See, e.g., Rule 971.2NY(b)(1)(A) (describing
the stop price as ``the price at which the Initiating Participant
guarantees the Complex CUBE Order'', which stop price ``must be
executable against the initiating price of the Auction'').
    \70\ See Rule 971.1NY(c)(1)(A).
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(b)(1)(A) would also provide that
(identical to current Rule 971.1NY(c)(1)(A)):
    [cir] The stop price for a CUBE Order to buy (sell) that is below
(above) the lower (upper) bound of the range of permissible executions
would be repriced to the lower (upper) bound; and
    [cir] If the stop price specified for a CUBE Order to buy (sell) is
above (below) the initiating price, such stop price would render such
CUBE Order ineligible to initiate an Auction and both the CUBE Order
and the Contra Order would be rejected.
    Proposed Rule 971.1NYP(b)(1)(B) is identical to Rule
971.1NY(c)(1)(B) and would provide that when an Initiating Participant
utilizes ``auto match'' for a CUBE Order to buy (sell) the Contra Order
would automatically match the price and size of all RFR Responses that
are lower (higher) than the initiating price and within the range of
permissible executions.
    Proposed Rule 971.1NYP(b)(1)(C), like current Rule
971.1NY(c)(1)(C), would describe the requirements for an ``auto-match
limit price,'' which are identical to current Rule 971.1NY(c)(1)(C),
except as noted below.
     Proposed Rule 971.1NYP(b)(1)(C) would describe the ``auto-
match limit price,'' except that unlike the current rule but consistent
with current functionality, the proposed Rule would explicitly state
that the auto-match limit price is ``the best price at which the
Initiating Participant is willing to trade with the CUBE Order,'' which
auto-match limit price ``must be executable against the initiating
price of the Auction.'' \71\
---------------------------------------------------------------------------

    \71\ See proposed Rule 971.1NYP(b)(1)(C). The proposed
description would align with the description of an auto-match limit
price for a Complex CUBE Auction. See, e.g., Rule 971.2NY(b)(1)(B)
(describing the auto-match limit price as the most aggressive price
(i.e., best price) at which the Initiating Participant guarantees is
willing to trade with the CUBE Order, which auto-match limit price
``must be executable against the initiating price of the
Auction.'').
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(b)(1)(C), like the current rule,
would provide:
    [cir] That the Contra Order for a CUBE Order to buy (sell) would
automatically match the price and size of all RFR Responses that are
priced lower (higher) than the initiating price down (up) to the auto-
match limit price; \72\ and
---------------------------------------------------------------------------

    \72\ The Exchange notes that the proposed Rule explains the same
concept but uses slightly different wording than is used in the
current rule. See Rule 971.1NY(c)(1)(C) (``For a CUBE Order to buy
(sell), the Initiating Participant may specify an ``auto-match limit
price'' that is equal to or below (above) the initiating price of
the Auction, and the Contra Order may trade with the CUBE Order at
prices that are lower (higher) than the initiating price down (up)
to the auto-match limit price.'').

---------------------------------------------------------------------------

    [cir] That an auto-match limit price specified for a CUBE Order to
buy (sell) that is below (above) the lower (upper) bound of the range
of permissible executions would be repriced to the lower (upper) bound.
     Further, the last sentence of proposed Rule
971.1NYP(b)(1)(C) is new and would provide that an auto-match limit
price specified for a CUBE Order to buy (sell) that is above (below)
the initiating price would not be eligible to initiate an Auction and
both the CUBE Order and the Contra Order would be rejected. The
Exchange notes that this proposed functionality (to reject the CUBE)
based on the auto-match limit price would align with how the Exchange
currently rejects and proposes to reject a CUBE based on the stop
price--per Rule 971.1NY(c)(1)(A)) and proposed Rule 971.1NYP(b)(1)(A)),
respectively. As such, the Exchange believes that this proposed change
would add clarity, transparency, and internal consistency to Exchange
rules.
CUBE Auction Process: Request for Responses and Response Time Interval
    On Pillar, the Exchange proposes to utilize the same process for
announcing a CUBE Auction and soliciting trading interest to
potentially interact with the CUBE Order.
     Proposed Rule 971.1NYP(c) is identical to the latter
portion of the first sentence of Rule 971.1NY(c) and would provide that
once an Auction has commenced, the CUBE Order (as well as the Contra
Order) may not be cancelled or modified.
     Proposed Rule 971.1NYP(c)(1)(A) is identical to Rule
971.1NY(c)(2)(A) and would provide that upon receipt of a CUBE Order,
the Exchange would send a ``Request for Responses'' or ``RFR'' to all
ATP Holders who subscribe to receive RFR messages, which RFR would
identify the series, the side and size of the CUBE Order, as well as
the initiating price. On Pillar, however, the RFR would also include an
AuctionID that would identify each CUBE Auction, which would be a new
feature.\73\ The Exchange notes that other options exchanges likewise
include an AuctionID on the request for response to the price
improvement auction and this proposed change is therefore not new or
novel.\74\
---------------------------------------------------------------------------

    \73\ See proposed Rule 971.1NYP(c)(1)(A).
    \74\ See, e.g., Cboe Rule 5.37(c)(2) (providing that each ``AIM
Auction Notification Message'' will include an ``AuctionID'').
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(c)(1)(B) is identical to Rule
971.1NY(c)(2)(B) insofar as it provides that the ``Response Time
Interval'' would refer to the time period during which responses to the
RFR may be entered, which period would be no less than 100 milliseconds
and no more than one (1) second. Currently, the RTI lasts for ``a
random period of time within parameters determined by the Exchange and
announced by Trader Update.'' \75\ Rather than a random period of time,
the Exchange proposes that on Pillar, the Response Time Interval would
instead be a set duration of time.\76\ This proposed functionality of a
fixed duration for a price improvement auction is identical to
functionality available on other options exchanges.\77\
---------------------------------------------------------------------------

    \75\ See Rule 971.1NY(c)(2)(B). See Trader Update, January 27,
2022 (announcing that, beginning February 28, 2022, the randomized
timer would have a minimum of 100 milliseconds and a maximum of 105
milliseconds), available at, https://www.nyse.com/trader-update/history#110000409951.
    \76\ See Rule 971.1NYP(c)(1)(B).
    \77\ See, e.g., Nasdaq ISE, Options 3 Section 13(c)(1)
(providing that, Nasdaq ISE will designate via an Options Trader
Alert an ``Exposure Period'' of no less than 100 milliseconds and no
more than 1 second). See also Cboe Rule 5.37(c)(3) (providing that
the ``AIM Auction period'' is a period of time determined by the
Exchange, which may be no less than 100 milliseconds and no more
than 3 seconds).
---------------------------------------------------------------------------

    Proposed Rule 971.1NYP(c)(1)(C) is identical to Rule
971.1NY(c)(2)(C) insofar as it would provide that any ATP Holder may
respond to the RFR, provided such response is properly marked
specifying the price, size and side of the market (``RFR
Response'').\78\ The proposed Rule would also provide that, consistent
with current functionality (although not explicitly stated), any RFR
Response to a CUBE Order to buy (sell) priced below (above) the lower
(upper) bound of executions would be repriced to the lower (upper)
bound of executions and is eligible to trade in the Auction at such
price.\79\
---------------------------------------------------------------------------

    \78\ The Exchange notes that the proposed Rule includes the non-
substantive change to add ``the'' before the word ``price,'' which
would add clarity and transparency to Exchange rules.
    \79\ See proposed Rule 971.1NYP(c)(1)(C). The proposed Rule
would align the Exchange's treatment of RFR Responses to Complex
CUBE Orders. See, e.g., Rule 971.2NY(c)(1)(C) (providing, in
relevant part, that any RFR Response that that crosses the same-side
CUBE BBO will be eligible to trade in the Complex CUBE Auction at a
price that locks the same-side CUBE BBO).
---------------------------------------------------------------------------

RFR Responses: GTX Orders
    On Pillar, the Exchange would continue to accept GTX Orders as RFR
Responses and would continue to impose the following identical
requirements for such orders to be eligible to trade in the CUBE
Auction.
     Proposed Rule 971.1NYP(c)(1)(C)(i), like the current rule,
would provide that ATP Holders may respond to RFRs with GTX Orders,
which are non-routable orders that have a time-in-force contingency for
the Response Time Interval and which orders must specify price, size
and side of the market.\80\
---------------------------------------------------------------------------

    \80\ Compare proposed Rule 971.1NYP(c)(1)(C)(i) with Rule
971.1NY(c)(2)(C)(i).
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(c)(1)(C)(i)(a), like the current
rule, would provide that GTX Orders would not be displayed on the
Consolidated Book and would not be disseminated to any
participants.\81\
---------------------------------------------------------------------------

    \81\ Compare proposed Rule 971.1NYP(c)(1)(C)(i)(a) with Rule
971.1NY(c)(2)(C)(i)(a).
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(c)(1)(C)(i)(b), like the current
rule, would provide that the minimum price increment for GTX Orders
would be one cent ($0.01), regardless of the MPV for the series
involved in the Auction.\82\
---------------------------------------------------------------------------

    \82\ Compare proposed Rule 971.1NYP(c)(1)(C)(i)(b) with Rule
971.1NY(c)(2)(C)(i)(b).
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(c)(1)(C)(i)(d), like the current
rule, would provide that GTX Orders may be cancelled or modified.\83\
---------------------------------------------------------------------------

    \83\ Compare proposed Rule 971.1NYP(c)(1)(C)(i)(d) with Rule
971.1NY(c)(2)(C)(i)(d).
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(c)(1)(C)(i)(f), like the current
rule, would provide that GTX Orders priced below (above) the lower
(upper) bound of executions for a CUBE Order to buy (sell) would be
repriced to the lower (upper) bound of permissible executions per
proposed Rule 971.1NYP(a)(4) (described above).\84\
---------------------------------------------------------------------------

    \84\ Compare proposed Rule 971.1NYP(c)(1)(C)(i)(f) with Rule
971.1NY(c)(2)(C)(i)(f). The Exchange notes that the proposed Rule
differs from the current rule in that it includes an updated cross-
reference to the permissible range of executions, which difference
is immaterial because it does not impact functionality
---------------------------------------------------------------------------

    In addition to continuing the foregoing requirements for GTX
Orders, the Exchange proposes to modify or clarify the operation of GTX
Orders on Pillar as follows.\85\
---------------------------------------------------------------------------

    \85\ The Exchange does not propose to specify in the proposed
Rule that ``GTX Orders with a size greater than the size of the CUBE
Order will be capped at the size of the CUBE Order,'' as set forth
in current Rule 971.1NY(c)(2)(C)(i)(c). Instead, consistent with
Pillar Rule 964NYP and as discussed below, the only non-Customer GTX
Orders would be capped for purposes of pro rata allocation, whereas
Customer GTX Orders would trade with the CUBE Order based on time.
See proposed Rule 971.1NYP(c)(4)(B), as discussed infra.
---------------------------------------------------------------------------

     The Exchange proposes new functionality on Pillar that
would permit senders of GTX Orders the option to include an AuctionID
to signify the CUBE Order with which

such GTX Order would like to trade.\86\ The Exchange believes that this
proposed functionality, which is also available on other options
exchanges, would allow market participants to have more control over
their trading interest and may result in improved competition for price
improvement in each Auction.\87\
---------------------------------------------------------------------------

    \86\ See proposed Rule 971.1NYP(c)(1)(C)(i) (providing in
relevant part that ``GTX Orders may include an AuctionID to respond
to a specific CUBE Auction.''). Should the GTX Order include an
apparently erroneous AuctionID (e.g., a GTX Order to buy includes an
AuctionID for a CUBE Order to buy), the Exchange would reject such
GTX Order even if there are other CUBE Auctions (e.g., on the
contra-side with a different AuctionID) with which that GTX Order
could have traded.
    \87\ See, e.g., Cboe Rule 5.37(c)(5) (providing that the ``AIM
Auction Responses'' may include, among other things, ``the
AuctionID'').
---------------------------------------------------------------------------

     The Exchange proposes to describe how GTX Orders will be
treated on Pillar consistent with new Pillar Rule 964NYP (described in
detail below).\88\ In short, on Pillar, options trading interest is
prioritized and allocated in one of three categories: Priority 1--
Market Orders; Priority 2--Display Orders; and Priority 3--Non-Display
Orders.\89\ The proposed Rule would provide that, although such orders
are not disseminated or displayed (as described above), for purposes of
trading and allocation with the CUBE Order, GTX Orders would be ranked
and prioritized as Priority 2--Display Orders per Pillar Rule
964NYP(e).\90\ The Exchange believes that this proposed change would
add clarity, transparency and internal consistency to Exchange rules
and would make clear to market participants responding to CUBE Auctions
with GTX Orders how such interest will be prioritized on Pillar.
---------------------------------------------------------------------------

    \88\ See discussion of Pillar Rule 964NYP, infra. See also
American Pillar Priority Filing (describing the Pillar Priority
Rules, which govern priority and allocation rule for options trading
on Pillar).
    \89\ See Pillar Rule 964NYP(e) (providing that ``[a]t each
price, all orders and quotes are assigned a priority category and,
within each priority category, Customer orders are ranked ahead of
non-Customer'' and that ``[i]f, at a price, there are no remaining
orders or quotes in a priority category, then same-priced interest
in the next priority category has priority.'').
    \90\ See proposed Rule 971.1NY(c)(1)(C)(i)(a) (``GTX Orders will
not be displayed or disseminated to any participants. For purposes
of trading and allocation with the CUBE Order, GTX Orders will be
ranked and prioritized with same-priced Limit Orders as Priority 2--
Display Orders, per [Pillar] Rule 964NYP(e).'').
---------------------------------------------------------------------------

     The Exchange also proposes to modify the operation of GTX
Orders on Pillar by restricting the interest with which such orders may
trade. Currently, the second sentence of Rule 971.1NY(c)(2)(C)(i)(a)
provides that a GTX Order that is not fully executed as provided for in
current Rule 971.1NY(c)(4) and (c)(5)--which paragraphs permit GTX
Orders to execute with other interest available at the conclusion of
the Auction once such orders have executed with the CUBE Order to the
extent possible--before cancelling.\91\ On Pillar, the Exchange
proposes that GTX Orders, which are submitted for the purpose of
participating in a CUBE Auction, would execute solely with the CUBE
Order to the extent possible and then cancel.\92\ On Pillar, and
contrary to existing functionality, a GTX Order would not execute with
any non-CUBE Order Auction interest before cancelling.
---------------------------------------------------------------------------

    \91\ See also Rule 971.1NY(c)(3), (c)(4), and (c)(5) (providing
that GTX Orders may be eligible to trade with Auction interest
(other than the CUBE Order) before cancelling).
    \92\ See proposed Rule 971.1NYP(c)(1)(C)(i)(c).
---------------------------------------------------------------------------

     The Exchange also proposes to modify the circumstances
under which a GTX Orders would be rejected. Currently, Rule
971.1NY(c)(2)(C)(i)(e) provides that GTX Orders on the same side as the
CUBE Order would be rejected. On Pillar, the Exchange proposes that GTX
Orders would be rejected if such GTX Order is priced higher (lower)
than the initiating price of a CUBE Order to buy (sell) or if such GTX
Order is submitted when there is no contra-side CUBE Auction being
conducted.\93\ Because, as discussed infra, on Pillar, the Exchange
would allow more than one Auction in a given series to occur at once--
which simultaneous Auctions could be on both sides of the market, the
Exchange does not propose to reject GTX Orders submitted on the same
side of a CUBE Order (as it does today) but would instead expand this
rejection reason to any time there is no contra-side CUBE Auction
occurring when the GTX Order is submitted.\94\ The Exchange believes
this proposed change would provide increased opportunities to solicit
price-improving auction interest.
---------------------------------------------------------------------------

    \93\ See proposed Rule 971.1NYP(c)(1)(C)(i)(e).
    \94\ See id. See also Rule 971.1NY(c)(2)(C)(i)(e) (``GTX Orders
on the same side of the market as the CUBE Order shall be
rejected.''). The Exchange notes that it will reject a GTX Order
that includes an AuctionID for a CUBE Order that is on the same side
of the market as such GTX Order even if there are contra-side CUBE
Auctions (with a different AuctionID) with which that GTX Order
could have traded.
---------------------------------------------------------------------------

RFR Responses: Unrelated Quotes and Orders
    Consistent with current functionality, the Exchange proposes to
treat as RFR Responses certain quotes or orders that are eligible to
trade in a CUBE Auction, which treatment is identical to current Rule
971.1NY(c)(2)(C)(ii)(a)-(c).
     Proposed Rule 971.1NYP(c)(1)(C)(ii) would provide that the
Exchange will treat as RFR Responses quotes and orders that are on the
opposite side of the market in the same series as the CUBE Order that
are not marked GTX, that are received during the Response Time Interval
or resting in the Consolidated Book when the Auction commences, and
that are eligible to participate within the range of permissible
executions specified for the Auction pursuant to proposed paragraph
(a)(4) of this Rule.\95\
---------------------------------------------------------------------------

    \95\ Compare proposed Rule 971.1NYP(c)(1)(C)(ii) with Rule
971.1NYP(c)(2)(C)(ii). The Exchange notes that the proposed Rule
differs from the current rule in that it includes an updated cross-
reference to the permissible range of executions, which difference
is immaterial because it does not impact functionality.
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(c)(1)(C)(ii)(a) would provide that
quotes and orders received during the Response Time Interval that are
not marketable against the NBBO and are not marked GTX would be posted
to the Consolidated Book.\96\ The Exchange proposes to qualify this
provision by noting that an order that included instructions to cancel
(i.e., an IOC), for example, would be processed accordingly and would
not post to the Consolidated Book.\97\ The Exchange believes that this
proposed clarification would add clarity, transparency, and internal
consistency to Exchange rules.
---------------------------------------------------------------------------

    \96\ Compare proposed Rule 971.1NYP(c)(1)(C)(ii)(a) with Rule
971.1NYP(c)(2)(C)(ii)(a).
    \97\ See Rule 971.1NYP(c)(2)(C)(ii)(a).
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(c)(1)(C)(ii)(b) would provide that
quotes and orders received during the Response Time Interval that are
on the same side as the CUBE Order to buy (sell) and are priced higher
(lower) than the initiating price that would post to the Consolidated
Book will result in an early conclusion of the Auction pursuant to
proposed paragraph (c)(3) of this Rule as discussed below.\98\
---------------------------------------------------------------------------

    \98\ Compare proposed Rule 971.1NYP(c)(1)(C)(ii)(b) with Rule
971.1NY(c)(2)(C)(ii)(b). The Exchange notes that the proposed Rule
differs from the current rule in that it includes an updated cross-
reference to the permissible range of executions, which difference
is immaterial because it does not impact functionality.
---------------------------------------------------------------------------

     Proposed Rule 971.1NYP(c)(1)(C)(ii)(c) would provide that
quotes and orders that are not marked GTX must be priced in the MPV for
the series in the Auction and any such quotes or non-GTX orders
submitted with a one cent MPV when the series has either $0.05 or $0.10
MPV would be rejected as invalid.\99\
---------------------------------------------------------------------------

    \99\ Compare proposed Rule 971.1NYP(c)(1)(C)(ii)(c) with Rule
971.1NYP(c)(2)(C)(ii)(c). The Exchange notes that the proposed Rule
differs from the current rule in that it includes reference to
``five cents'' and ``ten cents'' immediately before each numerical
indication of the applicable MPV, which modification the Exchange
believes is immaterial as it would not alter functionality but would
instead add clarity, transparency, and internal consistency to
Exchange rules.

---------------------------------------------------------------------------

Concurrent CUBE Auctions \100\
---------------------------------------------------------------------------

    \100\ The Exchange notes that the proposal to allow multiple
single-leg CUBE Auctions to run concurrently on Pillar is distinct
from the current (and proposed) functionality that permits a single-
leg Auction in an option series to run concurrent with a Complex
CUBE Auction in the same series. See Commentary .01 to Rule 971.1NY
and proposed Commentary .01 to Rule 971.1NYP (discussed below).
---------------------------------------------------------------------------

    The Exchange proposes to enhance functionality on Pillar by
allowing more than one CUBE Auction in the same series to run
concurrently.\101\ The Exchange proposes that if there are multiple
CUBE Auctions in a series that are running concurrently, such Auctions
would conclude sequentially, based on the time each CUBE Auction was
initiated, unless an Auction concludes early, per proposed paragraph
(c)(3) of this Rule (discussed below).\102\ As further proposed, at the
time each CUBE Auction concludes, the CUBE Order would be allocated
against all eligible RFR Responses available at the time of
conclusion.\103\ In the event there are multiple Auctions underway that
are each terminated early, such Auctions would be processed
sequentially based on the time each CUBE Auction was initiated.\104\
The Exchange believes that this proposed functionality would allow more
CUBE Auctions in the same series to be conducted, thereby increasing
opportunities for price improvement on the Exchange to the benefit of
all market participants.
---------------------------------------------------------------------------

    \101\ See proposed Rule 971.1NYP(c). See Rule 971.1NY(c)
(providing that ``[o]nly one Auction may be conducted at a time in
any given series.'').
    \102\ As discussed infra, a CUBE Auction may conclude early
(i.e., before the end of the Response Time Interval) because of
certain trading interest that arrives during the Auction or in the
event of a trading halt in the underlying security while the Auction
is in progress. See proposed Rule 971.1NYP(c)(2).
    \103\ See proposed Rule 971.1NYP(c)(2).
    \104\ See id.
---------------------------------------------------------------------------

    In addition, as discussed below, the proposal to add concurrent
auctions would also prevent the early end of a CUBE Auction in progress
when the Exchange receives a new CUBE Order in the same series.\105\ By
eliminating this early end scenario, the Exchange would increase the
likelihood that an Auction may run for the full Response Time Interval
thus affording more time and opportunity for the arrival of price-
improving interest to the benefit of investors. The Exchange notes that
allowing more than one price improvement auction at a time in the same
series for paired agency orders of 50 or more contracts is not new or
novel and is current functionality on other options exchanges.\106\
---------------------------------------------------------------------------

    \105\ See Rule 971.1NY(c)(4)(A).
    \106\ See, e.g., Cboe Rule 5.37(c)(1) (providing that multiple
price-improvement auctions in the same series for agency orders of
50 contracts or more can run concurrently and will be processed
sequentially, including if all such auctions are ended early and
providing that if only one such auction ends early it will be
allocated when it ends); EDGX Rule 21.19(c)(1) (same). The Exchange
does not propose to limit the concurrent auction functionality to
CUBE Orders of 50 or more and would allow concurrent auctions for
CUBE Orders of any size (i.e., including for CUBE Orders for fewer
than 50 contracts). The Exchange believes this extension of this
concurrent auction functionality to smaller-sized CUBE Orders is
non-controversial because it should not raise any issues that differ
from those previously considered when other options exchanges
adopted this functionality for larger-sized agency orders submitted
to price improvement auctions.
---------------------------------------------------------------------------

    The proposal to allow simultaneous Auctions in the same series for
CUBE Orders of fewer than 50 contracts would benefit investors because
it would afford smaller-sized CUBE Orders increased opportunity to
solicit price-improving auction interest--including because receipt of
a new CUBE Order would no longer cause the Auction in progress to end
early.\107\ The Exchange further believes that this proposed change
would provide additional benefits to Customers, as smaller-sized CUBE
Orders tend to represent retail interest, and could improve the
Customer experience on the Exchange by increased trading opportunities
in the CUBE Auction. As discussed above, the Exchange would continue to
protect smaller-sized CUBE Orders in penny-wide markets by requiring
the maximum available price improvement for such orders (i.e., one
cent) and rejecting such orders in penny-wide markets when price
improvement is not possible. These protections would remain when the
proposed concurrent Auctions are occurring.\108\ Thus, the Exchange
believes this proposed change should allow the Exchange to better
compete for auction-related order flow that may lead to an increase in
Exchange volume, while continuing to ensure that displayed Customer
interest on the Consolidated Book is protected, to the benefit of all
market participants.
---------------------------------------------------------------------------

    \107\ See, e.g., proposed Rule 971.1NYP(c)(3) (setting forth the
sole early end scenario on Pillar).
    \108\ See, e.g., proposed Rule 971.1NYP(b)(5). See also SEC
Approval of CUBE Pilot (focusing solely on guaranteeing price
improvement to CUBE Orders for fewer than 50 contracts and making no
mention of restriction on concurrent auctions for such smaller-sized
CUBE Orders).
---------------------------------------------------------------------------

    The Exchange believes that the Pillar trading platform has
sufficient capacity to process a large volume of concurrent Auctions
for CUBE Orders of any size, including for CUBE Orders of fewer than 50
contracts.
Conclusion of Auction
    As is the case today, on Pillar, a CUBE Auction would conclude at
the end of the Response Time Interval, unless there is a trading halt
in the affected series or if the CUBE Auction ends pursuant to proposed
paragraph (c)(3) of this Rule (discussed below).\109\ As further
proposed, at the conclusion of the Auction, including if there is a
trading halt in the affected series, the CUBE Order would execute
pursuant to proposed paragraph (c)(4) of this Rule (discussed
below).\110\ The Exchange also proposes that, after the conclusion of
the Auction, the residual RFR Responses (excluding GTX Orders) would be
processed in accordance with Pillar Rule 964NYP (Order Ranking,
Display, and Allocation).\111\ This proposed rule is consistent with
current CUBE functionality, except that current Rule 964NY would no
longer govern priority and allocation of any portion of RFR Responses
(not marked GTX) that remain after any execution with the CUBE
Order.\112\
---------------------------------------------------------------------------

    \109\ See proposed Rule 971.1NYP(c)(2), which is identical to
current Rule 971.1NYP(c)(3), except for the updated cross-reference
to the early conclusion section of the proposed Rule.
    \110\ See proposed Rule 971.1NYP(c)(2), which is identical to
current Rule 971.1NYP(c)(3), except for the updated cross-reference
to the order allocation section of the proposed Rule.
    \111\ See proposed Rule 971.1NYP(c)(2).
    \112\ See Rule 971.1NY(c)(5)(C) (``After the CUBE Order has been
executed, any remaining RFR Responses not marked GTX will be
processed in accordance with Rule 964NY Order Display and
Priority.'').
---------------------------------------------------------------------------

Early Conclusion of Auction
    On Pillar, the Exchange proposes to reduce the number of scenarios
that would cause a CUBE to end early (i.e., before the end of the
Response Time Interval) based on trading interest that arrives during
the Auction. Currently, there are six scenarios that would cause an
Auction to end early.\113\ On Pillar, the Exchange proposes that only
one such ``early end'' scenario would apply. As proposed, and
consistent with Rule 971.1NY (c)(4)(D), a CUBE Auction would conclude
early if, during the Auction, the Exchange receives an unrelated non-
marketable order or quote on the same-side of the market as the CUBE
Order to buy (sell) that would adjust the lower (upper) bound of the
range of permissible executions to be higher (lower) than the
initiating

price.'' \114\ In addition to being consistent with current
functionality, this early end scenario is consistent with functionality
available on other options exchanges.\115\
---------------------------------------------------------------------------

    \113\ See Rule 971.1NY(c)(4)(A)-(F). See proposed Rule
971.1NYP(c)(3) (which early end scenario is the same as set forth in
current Rule 971.1NY(c)(4)(D), as discussed infra).
    \114\ See proposed Rule 971.1NYP(c)(3). The Exchange notes that
this early end scenario covers instances in which the entire size of
the incoming interest is non-marketable on arrival as well as
instances where a portion of the incoming interest is marketable,
and trades on arrival, but the untraded balance is non-marketable.
In both instances, the non-marketable interest would post to the
Consolidated Book thereby adjusting the range of permissible
executions.
    \115\ See, e.g., Rule 971.1NY (c)(4)(D), Nasdaq ISE, Options 3
Section 13(c)(5)(i) (providing that an auction would end early ``any
time the Exchange best bid or offer improves beyond the price of the
Crossing Transaction on the same side of the market as the Agency
Order'').
---------------------------------------------------------------------------

    On Pillar, unlike per the current rule, the following scenarios
would not cause the early end of a CUBE Auction.
     First, because the Exchange proposes to allow concurrent
auctions (as previously discussed), the Exchange would no longer end a
CUBE Auction early based on the arrival of a new CUBE Order.\116\
---------------------------------------------------------------------------

    \116\ See Rule 971.1NY(c)(4)(A). See proposed Rule 971.1NYP(c)
(providing for concurrent CUBE Auctions at the same time in the same
series).
---------------------------------------------------------------------------

     Second, because the Exchange proposes to allow CUBE
Auctions in the same series as orders exposed in the BOLD mechanism (as
discussed, supra), there is no reason to end an Auction early based on
the arrival of such exposed order.\117\
---------------------------------------------------------------------------

    \117\ See Rule 971.1NY(c)(4)(F). As discussed, supra, on Pillar,
the Exchange would no longer reject (as it does today) a CUBE Order
in the same series as an order exposed by the BOLD Mechanism.
---------------------------------------------------------------------------

     In addition, the Exchange would not end an Auction early
based upon interest that arrives during the Auction (on either side of
the market) that is marketable against the RFR Responses, the NBBO or
BBO (if not routable).\118\ The Exchange believes that such interest
should trade against interest in the Consolidated Book to the extent
possible and, if any size of the incoming interest remains at the
conclusion of the Auction, such contra-side interest may be eligible to
trade with the CUBE Order. This proposed handling is consistent with
functionality available on other options exchanges.\119\
---------------------------------------------------------------------------

    \118\ See Rule 971.1NY(c)(4)(B)-(C).
    \119\ See, e.g., Cboe 5.37(d)(2) and Nasdaq ISE, Options 3
Section 13(d)(4) (likewise providing that market or marketable
interest on the opposite-side of the agency order would not cause
the early end of an auction, would execute with interest outside of
the auction and, if size remained, potentially could receive an
allocation against auction interest).
---------------------------------------------------------------------------

     The Exchange likewise will no longer end a CUBE Auction
based on the arrival of AON Orders because the Exchange believes that
AON Orders should trade against interest in the Consolidated Book to
the extent possible and, if the AON Order is still on the Consolidated
Book at the conclusion of the Auction, such contra-side AON Order may
be eligible to trade with the CUBE Order.\120\
---------------------------------------------------------------------------

    \120\ See Rule 971.1NY(c)(4)(E).
---------------------------------------------------------------------------

    The Exchange believes that, on Pillar, allowing an Auction to
continue uninterrupted in the above-referenced circumstances would
result in fewer CUBE Auctions ending early and, as such, would provide
more opportunities for price improvement to the benefit of all market
participants.
CUBE Order Allocation on Pillar
    The Exchange proposes to modify how a CUBE Order is allocated at
the end of the Auction to conform with new Pillar Rule 964NYP
(described below).
    Current Rule 971.1NY(c)(5) describes CUBE Order allocation.
Specifically, at the conclusion of the Auction, any RFR Responses
(including GTX Orders) \121\ that are larger than the CUBE Order will
be capped at the CUBE Order size for purposes of size pro rata
allocation of the CUBE Order per Rule 964NY(b)(3)'' \122\ and that, at
each price level, displayed Customer orders have first priority to
trade with the CUBE Order per pursuant to Rule 964NY(c)(2)(A).\123\
Further, Rule 971.1NY(c)(5)(B) provides that, after executing against
displayed Customer orders at a price, the CUBE Order will be allocated
among the RFR Responses and the Contra Order, which allocation may vary
depending on whether the Contra Order guaranteed the CUBE Order using a
single-stop price, auto-match, or auto-match limit.\124\
---------------------------------------------------------------------------

    \121\ See Rule 971.1NY(c)(2)(C)(i)(c) (``GTX Orders with a size
greater than the size of the CUBE Order will be capped at the size
of the CUBE Order.''). On, Pillar, however, only non-Customer GTX
Orders would be capped at the CUBE Order size for purposes of size
pro rata allocation whereas Customer GTX Orders would trade with the
CUBE Order based on time. See, e.g., proposed Rules
971.1NYP(c)(4)(B), as discussed, infra.
    \122\ Rule 964NY(b)(3) describes the Exchange's pro rata
allocation formula, which same formula is described in Pillar Rule
964NYP(i).
    \123\ Rule 964NY(c)(2)(A) provides an ``inbound order will first
be matched against all available displayed Customer interest in the
Consolidated Book.''
    \124\ See Rule 971.1NY(c)(5)(B)(i)-(iii).
---------------------------------------------------------------------------

    As noted above, CUBE Orders currently trade in accordance with Rule
964NY--the Exchange's pre-Pillar priority and allocation rule.
Specifically, on the Exchange, at a price, displayed interest is ranked
ahead of non-displayed interest with priority afforded to Customer
interest over displayed non-Customer interest; following all displayed
interest at a price, followed by same-priced non-displayed interest,
which interest is ranked solely in time priority with no preference
given to non-displayed Customer interest.\125\
---------------------------------------------------------------------------

    \125\ See Rule 964NY(b), (c). See also American Pillar Priority
Filing (describing priority and allocation per Rule 964NYP).
---------------------------------------------------------------------------

    On Pillar, orders and quotes will be ranked, prioritized, and
executed based on new Pillar Rule 964NYP, which aligns with the
Exchange's current ranking and priority scheme. Pillar Rule 964NYP(e)
provides that ``[a]t each price, all orders and quotes are assigned a
priority category and, within each priority category, Customer orders
are ranked ahead of non-Customer'' and that ``[i]f, at a price, there
are no remaining orders or quotes in a priority category, then same-
priced interest in the next priority category has priority.'' \126\ The
three categories are: Priority 1--Market Order, Priority 2--Display
Orders and Priority 3--Non-Display Orders (the ``Pillar Priority
categories'').\127\ Thus, on Pillar, Customer orders in each priority
category will have first priority to trade ahead of same-priced non-
Customer interest in that priority category until all interest in that
Pillar Priority category is exhausted--and, if there is more than one
Customer in that category at the same price, the Customer first in time
has priority.\128\ Furthermore, as is the case today, the Exchange
would allocate same-priced, non-Customer interest that is displayed in
the Consolidated Book on a size pro rata basis.\129\ Finally, on Pillar
(and unlike current pre-Pillar Rule 964NY), at a price, non-displayed
Customer orders will trade in time priority before same-priced non-
displayed, non-Customer interest, which also trades in time.\130\
---------------------------------------------------------------------------

    \126\ See Pillar Rule 964NYP(e) (Priority Categories).
    \127\ See Pillar Rule 964NYP(e)(1)-(3) (setting forth Pillar
Priority Categories).
    \128\ See Pillar Rule 964NYP(e), (j). For example, same-priced
interest ranked Priority 1--Market Orders will afford Customer
orders at a price first priority, followed by same-priced non-
Customer interest. Customer interest ranked Priority 2 and Priority
3 are likewise afforded first priority at a price.
    \129\ See Pillar Rule 964NYP(i) (Size Pro Rata Allocation)
(setting forth Pillar pro rata allocation formula). The Exchange
notes that the Pillar pro rata allocation formula is identical to
that set forth in current Rule 964NY(b)(3) (Size Pro Rata
Allocation).
    \130\ See Pillar Rule 964NYP(j)(6)-(7).
---------------------------------------------------------------------------

    The Exchange proposes that CUBE Auctions on Pillar would follow the
priority, ranking, and allocation model set forth in the above-
described Pillar Rule 964NYP. As proposed, Rule 971.1NYP(c)(4) would
provide that, at each price, CUBE Orders would be

allocated consistent with Pillar Rule 964NYP as follows.
     First priority to execute with the CUBE Order is given to
Customer RFR Responses, followed by same-priced non-Customer RFR
Responses ranked Priority 1--Market Orders (each, ``Priority 1
Interest'');
     Next priority to execute with the CUBE Order is given to
Customer RFR Responses ranked Priority 2--Display Orders (``Priority 2
Customer Interest''), followed by same-priced non-Customer RFR
Responses ranked Priority 2--Display Orders; and
     Third priority to execute with the CUBE Order is afforded
to Customer RFR Responses followed by same-priced non-Customer RFR
Responses ranked Priority 3--Non-Display.\131\
---------------------------------------------------------------------------

    \131\ See Rule 971.1NYP(c)(4)(A) (Customer Priority).
---------------------------------------------------------------------------

    The Exchange believes the proposal to align CUBE Order allocation
with Pillar Rule 964NYP(j) would add clarity, transparency, and
internal consistency to Exchange rules. By following Pillar Rule
964NYP(j), the Exchange notes that, at a price, non-Customer Priority 1
interest would execute ahead of same-priced Customer Priority 2
Interest.\132\ In addition, as discussed further below, before the
Contra Order will receive its guaranteed allocation, the CUBE Order
would first trade, at a price, with all Priority 1 Interest and with
Priority 2 Customer Interest to ensure the priority of Customer
interest is consistent with the Exchange's Customer priority model.
---------------------------------------------------------------------------

    \132\ As discussed in the American Pillar Priority Filing, non-
Customer interest ranked Priority 1 would consist of Market Orders
that are ranked and displayed at the Trading Collar price, which
orders would be cancelled if held more than 500 milliseconds without
trading, per proposed Rule 900.3NYP(a)(4)(D). See American Pillar
Priority Filing. See also the Pillar Trading Collar Filing
(NYSEAmer-2023-11P). The proposed Trading Collar functionality would
operate in the same manner as per Arca Options Rule 6.62P-O(a)(4)(D)
(Application of the Trading Collar, which provides that ``[i]f an
order to buy (sell) would trade or route above (below) the Trading
Collar or would have its working price repriced to a Trading Collar
that is below (above) its limit price, the order will be added to
the Consolidated Book at the Trading Collar for 500 milliseconds and
if not traded within that period, will be cancelled'' even if
repriced or routed and, if routed, any returned portion will
likewise be cancelled). See id.
---------------------------------------------------------------------------

    Proposed Rule 971.1NYP(c)(4)(B) (Allocation) would provide that RFR
Responses would be allocated based on time or per pro rata allocation.
Specifically, RFR Responses of Customers ranked Priority 1 and 2, as
well as all RFR Responses ranked Priority 3, would trade with the CUBE
Order based on time per Pillar Rule 964NYP(j).\133\ And, RFR Responses
of non-Customers ranked Priority 1 and Priority 2 would be capped at
the CUBE Order size for purposes of size pro rata allocation per Pillar
Rule 964NYP(i).\134\ The Exchange notes that this proposed
functionality is consistent with current Auction functionality, except
that on Pillar, Customer RFR Responses would be allocated based on time
(and no longer on a size pro rata basis), which handling would align
the allocation of CUBE Orders with the Exchange's Customer priority
model.\135\
---------------------------------------------------------------------------

    \133\ See proposed Rule 971.1NYP(c)(4)(B)(i) (Time).
    \134\ See proposed Rule 971.1NYP(c)(4)(B)(ii) (Size Pro Rata).
The size pro rata formula set forth in Pillar Rule 964NYP(i) is
identical to the size pro rata formula set forth in Rule
964NY(b)(3). See American Pillar Priority Filing.
    \135\ See, e.g., Pillar Rule 964NYP(j). Because the proposed
Rule details at the outset of the order allocation section how both
Customer and non-Customer RFR Responses would be processed (i.e., in
time or on a pro rata allocation basis), the Exchange believes it is
not necessary to repeat this (now superfluous) information
throughout proposed Rule 971.1NYP(c)(4) (Allocation of CUBE Orders).
See, e.g., Rules 971.1NY(c)(5)(C), (c)(5)(B)(i)(b),
(c)(5)(B)(ii)(b), and (c)(5)(B)(iii)(b) (repeating in each rule
provision how RFR Responses would be allocated).
---------------------------------------------------------------------------

    Proposed Rule 971.1NYP(c)(4)(C) (Surrender Quantity) would be new
functionality and would provide that an Initiating Participant that
guarantees a CUBE Order with a stop price (per proposed Rule
971.1NYP(b)(1)(A)) \136\ has the option of designating a ``Surrender
Quantity'' and receiving some percentage less than the 40%
participation guarantee. As proposed, if the Initiating Participant
elects a Surrender Quantity, and there is sufficient contra-side
interest equal to or better than the stop price to satisfy the CUBE
Order, the CUBE Order executes against the Contra Order up to the
amount of its Surrender Quantity.\137\ Absent sufficient size of
contra-side interest equal to or better than the stop price, the Contra
Order would trade with the balance of the CUBE Order at the stop price
regardless of its Surrender Quantity, which functionality is consistent
with current Contra Order behavior.\138\ Finally, as proposed,
Surrender Quantity information is not disseminated to other market
participants and may not be modified after it is submitted. The
Exchange notes that the concept of ``Surrender Quantity'' is available
on other options exchanges and is therefore not new or novel.\139\ The
Exchange believes that providing Initiating Participants the option to
designate a Surrender Quantity in CUBE Auctions on Pillar would enhance
functionality by affording flexibility and discretion to the Contra
Order while providing additional opportunities for RFR Responses to
interact with the CUBE Order. In addition, the proposed enhancement to
add the option of electing a Surrender Quantity would be a competitive
change and would make the Exchange a more attractive venue to send
(auction-related) order flow.
---------------------------------------------------------------------------

    \136\ See proposed Rule 971.1NYP(b)(1)(A) (describing single
stop price).
    \137\ See proposed Rule 971.1NYP(c)(4)(C).
    \138\ See Rule 971.1NY(c)(5)(B)(i) (allocation to Contra Order
that guaranteed a CUBE Order by single stop price).
    \139\ See, e.g., NASDAQ BX, Inc., Options 3, Section 13
(ii)(A)(1) (providing that an initiating participant utilizing a
single stop price may opt to ``surrender'' a percentage of its 40%
guaranteed participation, ranging from 0% to 39%); Nasdaq ISE
(providing that the initiating participant may be entitled to its
40% participation guarantee ``or such lower percentage requested by
the Member''); Cboe Rule 5.37(e)(5) (allowing initiating
participants that guarantee a paired order with a single-price
submission, to elect to have ``last priority'' to trade against the
agency order and will only trade with the agency order after such
order has traded with all other contra-side interest at prices equal
to or better than the guaranteed stop price; and further providing
that ``last priority'' information is not available to other market
participants and, once submitted, may not be modified); Cboe EDGX
Rule 21.19(e)(5) (same).
---------------------------------------------------------------------------

    Proposed Rule 971.1NYP(c)(4)(D) (RFR Responses and Contra Order
Allocation) would provide that, at a price, RFR Responses are allocated
in accordance with proposed paragraphs (c)(4)(A) (Customer Priority)
and (c)(4)(B) (Time or Size Pro Rata Allocation) and that any
allocation to the Contra Order would depend upon the method by which
the CUBE Order was guaranteed.\140\
---------------------------------------------------------------------------

    \140\ Consistent with proposed Rule 971.1NYP(c)(1)(C)(i)(c), and
in contrast to current Rule 971.1NY(c)(5)(B)(i)-(iii), the proposed
CUBE Order allocation section would not reference GTX Orders, as
such orders would execute solely with the CUBE Order or cancel.
---------------------------------------------------------------------------

     Stop Price.\141\ Consistent with current functionality, a
CUBE Order to buy (sell), that is guaranteed by a stop price would
execute first with RFR Responses priced below (above) the stop price,
beginning with the lowest (highest) price within the range of
permissible executions.\142\
---------------------------------------------------------------------------

    \141\ See proposed Rule 971.1NYP(b)(1)(A) (describing stop price
requirements).
    \142\ See proposed Rule 971.1NYP(c)(4)(D)(i)(a). See also Rule
971.1NY(c)(5)(B)(i)(a).
---------------------------------------------------------------------------

    [cir] Next, any remaining contracts of the CUBE Order would execute
at the stop price, first with all Priority 1 Interest, followed by
Priority 2 Customer Interest, which as noted above is consistent with
new Pillar Rule 964NYP(j).\143\
---------------------------------------------------------------------------

    \143\ See proposed Rule 971.1NYP(c)(4)(D)(i)(b). See also Rule
971.1NY(c)(5)(B)(i)(b).
---------------------------------------------------------------------------

    [cir] Then, at the stop price, the Contra Order would receive an
allocation of the greater of 40% of the original CUBE Order size or one
contract (or the greater of 50% of the original CUBE Order size

or one contract if there is only one RFR Response), or the Surrender
Quantity, if one has been specified. Then, any remaining CUBE Order
contracts would be allocated first among remaining RFR Responses at the
stop price. If all RFR Responses are filled, any remaining CUBE Order
contracts would be allocated to the Contra Order. This proposed
handling is consistent with current functionality except that it
includes reference to the new option of designating a ``Surrender
Quantity.'' \144\
---------------------------------------------------------------------------

    \144\ See id.
---------------------------------------------------------------------------

    [cir] Finally, if there are no RFR Responses, the CUBE Order would
execute against the Contra Order at the stop price.\145\
---------------------------------------------------------------------------

    \145\ See proposed Rule 971.1NYP(c)(4)(D)(i)(c). See also Rule
971.1NY(c)(5)(B)(i)(c) (providing that ``[i]f there are no RFR
Responses, the CUBE Order shall execute against the Contra Order at
the higher (lower) of the stop price or the lower (upper) bound of
the range of permissible executions''). Unlike the current rule, the
proposed Rule would not include language regarding the CUBE Order
executing at a price other than the stop price because the proposed
(and current) Rule provides that a stop price for a CUBE order to
buy (sell) will be repriced to the lower (upper) bound of
permissible executions if such stop price is below (above) the lower
(upper) bound of the range of permissible executions. See proposed
Rule 971.1NY(b)(1)(A); Rule 971.1NY(c)(1)(A).
---------------------------------------------------------------------------

     Auto-Match.\146\ Consistent with current functionality, if
a CUBE Order to buy (sell) is guaranteed by auto-match, the Contra
Order would be allocated contracts equal to the aggregate size of all
other RFR Responses at each price level starting with the lowest
(highest) price at which an execution against an RFR Response occurs
within the range of permissible executions, until a price point is
reached where the balance of the CUBE Order can be fully executed. (the
``clean-up price'').\147\ Also consistent with current functionality,
if the Contra Order meets its allocation guarantee at a price below
(above) the clean-up price, it would cease matching RFR Responses.\148\
---------------------------------------------------------------------------

    \146\ See proposed Rule 971.1NYP(b)(1)(B) (describing auto-match
feature).
    \147\ See proposed Rule 971.1NYP(c)(4)(D)(ii)(a). See also Rule
971.1NY(c)(5)(B)(ii)(a).
    \148\ See proposed Rule 971.1NYP(c)(4)(D)(ii)(a). See also Rule
971.1NY(c)(5)(B)(ii)(b).
---------------------------------------------------------------------------

    [cir] As proposed, at the clean-up price, any remaining contracts
of the CUBE Order would execute against all Priority 1 Interest,
followed by Priority 2 Customer Interest, which as noted above is
consistent with proposed new Pillar Rule 964NYP(j).\149\
---------------------------------------------------------------------------

    \149\ See proposed Rule 971.1NYP(c)(4)(D)(ii)(b). See also Rule
971.1NY(c)(5)(B)(ii)(b).
---------------------------------------------------------------------------

    [cir] Next, consistent with current functionality, the Contra Order
would receive additional contracts required to achieve an allocation
equal to the greater of 40% of the original CUBE Order size or one
contract (or the greater of 50% of the original CUBE Order size or one
contract if there is only one RFR Response); if there are other RFR
Responses at the clean-up price, the remaining CUBE Order contracts
would be allocated first among RFR Responses; and once all RFR
Responses are filled at the clean-up price, any remaining CUBE Order
contracts would be allocated to the Contra Order at the initiating
price.\150\
---------------------------------------------------------------------------

    \150\ See id.
---------------------------------------------------------------------------

    [cir] Finally, if there are no RFR Responses, the CUBE Order would
execute against the Contra Order at the initiating price, which is
identical to current functionality.\151\
---------------------------------------------------------------------------

    \151\ See proposed Rule 971.1NYP(c)(4)(D)(ii)(c). See also Rule
971.1NY(c)(5)(B)(ii)(c).
---------------------------------------------------------------------------

     Auto-Match Limit.\152\ Consistent with current
functionality, a CUBE Order to buy (sell), that is guaranteed by auto-
match limit would execute first with RFR Responses at each price level
priced below (above) the auto-match limit price within the range of
permissible executions, beginning with the lowest (highest) price.\153\
---------------------------------------------------------------------------

    \152\ See proposed Rule 971.1NYP(b)(1)(C) (describing auto-match
limit price requirements).
    \153\ See proposed Rule 971.1NYP(c)(4)(D)(iii)(a). See also Rule
971.1NY(c)(5)(B)(iii)(a).
---------------------------------------------------------------------------

    [cir] Next, consistent with current functionality, the CUBE Order
would be allocated to RFR Responses at a price equal to the price of
the Contra Order's auto-match limit price, and if volume remains, to
prices higher (lower) than the auto-match limit price; at each price
level equal to or higher (lower) than the auto-match limit price, the
Contra Order would be allocated contracts equal to the aggregate size
of all other RFR Responses; and, if the Contra Order meets its
allocation guarantee at a price below (above) the clean-up price, it
would cease matching RFR Responses.\154\
---------------------------------------------------------------------------

    \154\ See proposed Rule 971.1NYP(c)(4)(D)(iii)(b). See also Rule
971.1NY(c)(5)(B)(iii)(b).
---------------------------------------------------------------------------

    [cir] As proposed, at the clean-up price, any remaining contracts
of the CUBE Order will execute against all Priority 1 Interest,
followed by Priority 2 Customer Interest, which as noted above is
consistent with proposed new Rule 964NYP(j).\155\
---------------------------------------------------------------------------

    \155\ See proposed Rule 971.1NYP(c)(4)(D)(iii)(c). See also Rule
971.1NY(c)(5)(B)(iii)(b).
    1 See id.
---------------------------------------------------------------------------

    [cir] Next, and consistent with current functionality, the Contra
Order would receive additional contracts required to achieve an
allocation of the greater of 40% of the original CUBE Order size or one
contract (or the greater of 50% of the original CUBE Order size or one
contract if there is only one RFR Response); if there are other RFR
Responses at the clean-up price the remaining CUBE Order contracts
would be allocated first to RFR Responses; and any remaining CUBE Order
contracts would be allocated to the Contra Order at the initiating
price.\156\
---------------------------------------------------------------------------

    \156\ See proposed Rule 971.1NYP(c)(4)(D)(iii)(c). See also Rule
971.1NY(c)(5)(B)(iii)(b).
---------------------------------------------------------------------------

    [cir] Finally, consistent with current functionality, if there are
no RFR Responses, the CUBE Order would execute against the Contra Order
at the initiating price.\157\
---------------------------------------------------------------------------

    \157\ See proposed Rule 971.1NYP(c)(4)(D)(iii)(d). See also Rule
971.1NY(c)(5)(B)(iii)(c). The proposed Rule would not specify that
``[a] single RFR Response will not be allocated a number of
contracts that is greater than its size,'' as set forth in Rule
971.1NY(c)(5)(D), because such handling is consistent with standard
processing and its inclusion in the proposed Rule would be
unnecessary and may lead to potential confusion.
---------------------------------------------------------------------------

Commentary to Proposed Rule 971.1NYP for CUBE Auctions on Pillar
    The Exchange proposes to adopt Commentaries .01 through .04 to the
proposed Rule, which are identical to current Commentaries .01 through
.03 and .05 to Rule 971.1NY, respectively, as discussed below (each a
``proposed Commentary'' or a ``current Commentary'').\158\
---------------------------------------------------------------------------

    \158\ As discussed, infra, the proposed Rule does not include
the functionality set forth in current Commentary .04 to Rule
971.1NY because, on Pillar, the Exchange would allow both a CUBE
Order and an order exposed via the BOLD mechanism in same series to
occur simultaneously.
---------------------------------------------------------------------------

    Proposed Commentary .01 is identical to current Commentary .01 and
would describe ``Concurrent Single-Leg and Complex CUBE Auctions
involving the same option series.'' As proposed, and identical to
current functionality, the Exchange would allow the simultaneous
conduct of a (single-leg) CUBE Auction for a given series at the same
time as a Complex CUBE Auction for a Complex Order that includes the
same option series.\159\ Also, identical to current functionality, to
the extent there are concurrent CUBE Auctions for a specific option
series, each CUBE Auction will be processed sequentially based on the
time each CUBE Auction commenced.\160\ Finally, identical to current
functionality, at the time each CUBE Auction concludes, including when
it concludes early, it will be

processed pursuant to Rule 971.1NYP(c)(4) or Rule 971.2NYP(c)(4) as
applicable.\161\
---------------------------------------------------------------------------

    \159\ See proposed Rule 971.1NYP, Commentary .01. See also Rule
971.2NYP, Commentary .01 (same). The Exchange plans to submit a
separate rule filing to adopt proposed Rule 971.2NYP (Complex
Electronic Cross Transactions), which proposed rule would include
the proposed (and current) Commentary .01. As noted, supra, current
(and proposed) Commentary .01 describes functionality that is
distinct from the proposal to allow multiple single-leg CUBE
Auctions to run concurrently on Pillar.
    \160\ See id.
    \161\ See id. The Exchange notes that the internal cross-
reference in the proposed Commentary has been updated to reflect the
allocation section in the proposed Rule (i.e., change reference to
paragraph (c)(5) of current Rule 971.1NY to paragraph (c)(4) of the
proposed Rule), which change is not material because it does not
impact functionality. As noted above, the Exchange plans to submit a
separate rule filing to adopt Complex CUBE Auctions on Pillar, which
current Rule 971.2NY and soon-to-be proposed Rule 971.2NYP, will set
forth order allocation in proposed paragraph (c)(4).
---------------------------------------------------------------------------

    Proposed Commentary .02(a)-(d) is identical to current Commentary
.02(a)-(d) and would provide that the following conduct will be
considered conduct inconsistent with just and equitable principles of
trade:
     An ATP Holder entering RFR Responses to a CUBE Auction for
which the ATP Holder is the Initiating Participant;
     Engaging in a pattern and practice of trading or quoting
activity for the purpose of causing a CUBE Auction to conclude before
the end of the Response Time Interval;
     An Initiating Participant that breaks up an agency order
into separate CUBE Orders for the purpose of gaining a higher
allocation percentage than the Initiating Participant would have
otherwise received in accordance with the allocation procedures
contained in paragraph (c)(4) of this Rule; \162\ and
---------------------------------------------------------------------------

    \162\ The Exchange notes that the internal cross-reference in
the proposed Commentary has been updated to reflect the allocation
section in the proposed Rule (i.e., change reference to paragraph
(c)(5) of current Rule 971.1NY to paragraph (c)(4) of the proposed
Rule), which change is not material because it does not impact
functionality.
---------------------------------------------------------------------------

     Engaging in a pattern and practice of sending multiple RFR
Responses at the same price that in the aggregate exceed the size of
the CUBE Order.
    Proposed Commentary .03 is identical to current Commentary .03 and
would provide that CUBE executions would always be reported to OPRA as
``stopped'' trades.
    Proposed Commentary .04 describes functionality for AON CUBE Orders
that is identical to current Commentary .05 and would provide that,
except as provided in proposed Commentary .04, an AON CUBE auction will
be subject to the provisions of proposed Rule 971.1NYP.\163\
---------------------------------------------------------------------------

    \163\ The Exchange proposes the non-substantive change to re-
number this provision (from current Commentary .05 to proposed
Commentary .04) and also proposes to re-locate to the beginning of
the proposed Rule text that appears at the bottom of the current
rule.
---------------------------------------------------------------------------

     Proposed Commentary .04 (like current Commentary .05)
would provide that a CUBE Order of at least 500 contracts can be
designated as AON (an ``AON CUBE Order'') and unlike non-AON CUBE
Orders, such AON CUBE Orders may only be guaranteed by a specified stop
price.
    [cir] Proposed Commentary .04 would differ from current Commentary
.05 to make clear that the (new) option for certain Initiating
Participants to designate a Surrender Quantity would not be available
for Contra Orders to an AON CUBE Order. This proposed text is not
included in current Commentary .05 because the option to designate a
Surrender Quantity is not available today and is an enhanced feature
that would only be available for certain non-AON CUBE Auctions on
Pillar.\164\
---------------------------------------------------------------------------

    \164\ See proposed Rule 971.1NYP, Commentary .04 (providing, in
relevant part that ``a Contra Order that guarantees an AON CUBE
Order is not eligible to designate a Surrender Quantity of its
guaranteed participation.''). See, e.g., proposed Rule
971.1NYP(c)(4)(C) (describing the proposed option of designating a
Surrender Quantity for non-AON CUBE Orders that are guaranteed by a
stop price).
---------------------------------------------------------------------------

    Proposed Commentary .04(a)-(d), is identical to current Commentary
.05(a)-(d) and would provide the following.
     An AON CUBE Order to buy (sell) will execute in full with
the Contra Order at the single stop price even if there is non-Customer
interest priced higher (lower) than the stop price that, either on its
own or when aggregated with other non-Customer RFR Responses at the
stop price or better, is insufficient to satisfy the full quantity of
the AON CUBE Order;
     The Contra Order will not receive any allocation and will
be cancelled if (i) RFR Responses to sell (buy) at prices lower
(higher) than the stop price can satisfy the full quantity of the AON
CUBE Order or (ii) there is Customer interest to sell (buy) at the stop
price or better that on its own, or when aggregated with RFR Responses
to sell (buy) at the stop price or prices lower (higher) than the stop
price, can satisfy the full quantity of the AON CUBE Order. In either
such case, the RFR Responses will be allocated as provided for in
paragraphs (c)(4)(A) and (c)(4)(B) of this Rule, as applicable; \165\
---------------------------------------------------------------------------

    \165\ The Exchange notes that the internal cross-reference in
the proposed Commentary has been updated to reflect the allocation
section in the proposed Rule (i.e., change reference to paragraph
(c)(5) of current Rule 971.1NY to paragraph (c)(4) of the proposed
Rule, which difference from the current CUBE rule is not material
because it does not impact functionality.
---------------------------------------------------------------------------

     The AON CUBE Order and Contra Order will both be cancelled
if there is Customer interest to sell (buy) at the stop price or better
and such interest, either on its own or when aggregated with RFR
Responses to sell (buy) at the stop price or at prices lower (higher)
than the stop price, is insufficient to satisfy the full quantity of
the AON CUBE Order; and
     Prior to entering an agency order on behalf of a Customer
into the CUBE Auction as an AON CUBE Order, Initiating Participants
must deliver to the Customer a written notification informing the
Customer that such order may be executed using the CUBE Auction. Such
written notification must disclose the terms and conditions contained
in this Commentary .04 and must be in a form approved by the
Exchange.\166\
---------------------------------------------------------------------------

    \166\ See proposed Rule 971.1NYP, Commentary .04.
---------------------------------------------------------------------------

* * * * *
    As discussed above, because of the technology changes associated
with the migration to the Pillar trading platform, notwithstanding the
timing of the effectiveness of this proposed rule change, the Exchange
will announce by Trader Update when rules with a ``P'' modifier will
become operative and for which symbols. The Exchange believes that
keeping existing rules on the rulebook pending the full migration of
Pillar will reduce confusion because it will ensure that the rules
governing trading on the Exchange will continue to be available pending
the full migration to Pillar.
Implementation
    As noted immediately above, the Exchange will not implement
proposed Rule 971.1NYP until all other Pillar-related rule filings
(i.e., proposed rules with a ``P'' modifier) are approved or operative,
as applicable, and the Exchange announces the migration of underlying
symbols to Pillar by Trader Update.
2. Statutory Basis
    For the reasons set forth above, the Exchange believes the proposed
rule change is consistent with Section 6(b) of the Act in general, and
furthers the objectives of Section 6(b)(5) of the Act, in that it is
designed to promote just and equitable principles of trade,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.
    First, to the extent that the proposed Rule contains provisions
that are identical (or substantively identical) to current Rule
971.1NY, the Exchange believes the Rule would remove impediments to and
perfect the mechanisms of a free and open market and a national market
system and would protect investors and the public interest because the
proposed Rule includes

streamlined, and in some cases reorganized, descriptions of already-
approved (pre-Pillar) Auction functionality in a manner that adds
clarity, transparency, and internal consistency to Exchange rules.\167\
---------------------------------------------------------------------------

    \167\ See, e.g., proposed Rules 971.1NYP(b)(1)(A)-(C)
(describing stop price, auto match, and auto-match limit price);
(b)(2), (3), (6), (7), and (9) (regarding eligibility of CUBE Orders
submitted to the Auction); (c)(1) (regarding RFRs and RFR Responses)
and (c)(2) (regarding conclusion of CUBE Auction).
---------------------------------------------------------------------------

    Next, to the extent that the proposed Rule includes enhancements to
the CUBE, the Exchange believes that the proposed Rule change would
remove impediments to and perfect the mechanisms of a free and open
market and a national market system and would protect investors and the
public interest because the proposed enhancements to Auctions on Pillar
would continue to encourage ATP Holders to compete vigorously to
provide the opportunity for price improvement for CUBE Orders of all
sizes in a competitive auction process, which may lead to enhanced
liquidity and tighter markets.
    In particular, the proposed rule change to adopt a single pricing
parameter for CUBE Orders of any size (except when the NBBO width is
one penny) would remove impediments to and perfect the mechanisms of a
free and open market and a national market system and would protect
investors and the public interest because it would streamline and
simplify current CUBE Auction functionality making it easier for market
participants to navigate and comprehend.\168\ In addition, the
Exchange's rules regarding CUBE Auctions would continue to require
price improvement for CUBE Orders for fewer than 50 contracts submitted
in a penny-wide market and rejecting such orders when the Exchange is
setting the NBBO (i.e., BBO = NBBO) and there is displayed Customer
interest at the BBO. The proposed pricing requirements providing
whether a CUBE Auction is initiated (including when the NBBO is one
cent wide or when the NBBO is crossed) are consistent with the
Exchange's current requirements and with the requirements of other
options exchanges that offer price improvement mechanisms.\169\
---------------------------------------------------------------------------

    \168\ See, e.g., proposed Rules 971.1NYP(a)(3), (a)(4) and
(a)(1)(A).
    \169\ See, e.g., Rule 971.1NY(b)(1)(A), proposed Rule
971.1NY(b)(5)-(b)(6), & note 54, supra (regarding pricing
requirements utilized on Cboe, Cboe EDGX, and Nasdaq ISE to initiate
an analogous price improvement auctions).
---------------------------------------------------------------------------

    The Exchange believes that the proposal to reject CUBE Orders that
are submitted when there is not enough time for a CUBE Auction to run
the full duration of the Response Time Interval would remove
impediments to and perfect the mechanisms of a free and open market and
a national market system and would protect investors and the public
interest because it would make clear that CUBE Orders that cannot be
exposed to solicit price-improving interest for the full Response Time
Interval would not be accepted by the Exchange. Moreover, the proposal
to modify the Response Time Interval to be a set duration as opposed to
a random duration would be a competitive change and would align the
Exchange's rules with other options exchanges that include this
feature.\170\
---------------------------------------------------------------------------

    \170\ See, e.g., notes 61, 76-77, supra.
---------------------------------------------------------------------------

    The Exchange believes that the proposal to accept CUBE Orders in
the same series as orders being exposed in the BOLD mechanism would
remove impediments to and perfect the mechanisms of a free and open
market and a national market system and would protect investors and the
public interest because it would allow more CUBE Orders to be accepted,
which would in turn promote increased opportunities for price
improvement. This proposed change is not currently available (because
of system limitations) but would be available on Pillar to the benefit
of all market participants because of increased trading opportunities
through the BOLD mechanism as well as through the acceptance of more
CUBE Orders (submitted when certain orders are being exposed via BOLD).
    The proposed rule changes to enhance the Auction process on Pillar
by allowing concurrent auctions, adding the associated ``AuctionID''
feature, and permitting Initiating Participants to designate a
Surrender Quantity would remove impediments to and perfect the
mechanisms of a free and open market and a national market system for
several reasons. First, the proposed changes would not only allow more
CUBE Auctions to occur on the Exchange but would also allow more
targeted participation in CUBE Auctions with the new AuctionID feature
available for GTX Orders. Market participants that respond to CUBE
Auctions with GTX Orders would be able to direct their trading interest
to a specific Auction (which functionality is also offered on other
options exchanges) thus increasing determinism.\171\ That said, the
AuctionID functionality would be optional and a GTX Order sent without
an AuctionID would respond to the Auction that began closest in time to
the submission of the GTX Order.
---------------------------------------------------------------------------

    \171\ See, e.g., notes 74 & 87, supra.
---------------------------------------------------------------------------

    The proposal to permit concurrent auctions in the same series for
CUBE Orders of 50 or more contracts would benefit investors because it
would allow more CUBE Auctions to run the full duration of the Response
Time Interval, thus affording more time and opportunity for the arrival