CBOE Alert! CBOE propose rules OPEN FOR COMMENT to Introduce a New Data Product to be Known as the US Equity Short Volume & Trades Report. Introduces a new, end-of-month report containing a record of all short sale transactions for the current month.
Sources:
- Cboe BYX Exchange, Inc.: https://public-inspection.federalregister.gov/2023-08221.pdf
https://cdn.cboe.com/resources/regulation/rule_filings/approved/2023/SR-CboeBYX-2023-006.pdf
- Cboe BZX Exchange, Inc. https://public-inspection.federalregister.gov/2023-08222.pdf
https://cdn.cboe.com/resources/regulation/rule_filings/pending/2023/SR-CboeBZX-2023-013.pdf
- Cboe EDGA Exchange, Inc. https://public-inspection.federalregister.gov/2023-08219.pdf
https://cdn.cboe.com/resources/regulation/rule_filings/approved/2023/SR-CboeEDGA-2023-005.pdf
- Cboe EDGX Exchange, Inc. https://public-inspection.federalregister.gov/2023-08218.pdf
https://cdn.cboe.com/resources/regulation/rule_filings/approved/2023/SR-CboeEDGX-2023-028.pdf
https://public-inspection.federalregister.gov/2023-08221.pdf
Purpose:
- The Exchanges seek to amend Rule 11.22 to revise paragraph 11.22(f) in order to introduce a new data product to be known as the US Equity Short Volume & Trades Report.
- A description of market data products offered by the Exchange is provided in Exchange Rule 11.22 and proposed Rule 11.22(f) provides that the US Equity Short Volume & Trades Report is a report that will contain both an end-of-day short volume report and an end-of-month report that provides a record of all short sale transactions for the month.
- The proposed US Equity Short Volume & Trades Report will incorporate the existing Short Volume Report currently described in Rule 11.22(f) as well as introduce a new, end-of-month report containing a record of all short sale transactions for the current month.
- The proposed US Equity Short Volume & Trades Report is nearly identical to the NYSE TAQ Group Short Sales & Short Volume product and Nasdaq’s Short Sale Volume Reports (discussed infra).
- The end-of-day report (“EOD Report”) included within the US Equity Short Volume & Trades Report will be identical to the existing Short Volume Report published by the Exchange.
The existing Short Volume Report summarizes certain equity trading activity on the Exchange, including:
- Trade date: “Trade date” is the date of trading activity in yyyy-mm-dd format
- Total volume: “Total volume” is the total number of shares transacted.
- Short volume: “Short volume” is the total number of shares sold short.
- Sell short exempt volume: “Short exempt volume” is the total number of shares sold short classified as exempt.
- Symbol: “Symbol” refers to the Cboe formatted symbol in which the trading activity occurred. See https://cdn.cboe.com/resources/membership/US_Symbology_Reference.pdf.
- The data fields contained in the existing Short Volume Report will not change when the Short Volume Report is incorporated into the US Equity Short Volume & Trades Report as the EOD Report.
The proposed end-of-month report (“EOM Report”) to be included in the US Equity Short Volume & Trades Report will be a new report that provides a record of all short sale transactions for the month, including:
- Trade date and time (in microseconds): “Trade date and time” is the date and time of trading activity in yyyy-mm-dd hh:mm:ss.000000 (microseconds) ET format
- Trade size: is the number of shares transacted.
- Trade price: “Trade price” is the price at which shares were transacted.
- Type of short sale execution: “Short type” is a data field that will indicate whether the transaction was a short sale or short sale exempt transaction. A short sale transaction is a transaction in which a seller sells a security which the seller does not own, or the seller has borrowed for its own account (see 17 CFR 242.200). A short sale exempt transaction is a short sale transaction that is exempt from the short sale price test restrictions of Regulation SHO Rule 201 (see 17 CFR 242.201(c))
- Exchange: “Exchange” is the market identifier (Z = BZX, Y = BYX, X = EDGX, A = EDGA).
- The US Equity Short Volume & Trades Report will be available for purchase to both BZX Members (“Members”) as well as non-Members.
- The Exchange is proposing to include its EOD Report as one component of the US Equity Short Volume & Trades Report in the same manner as NYSE and Nasdaq incorporate their daily short sale files within a more robust data offering.
The Exchange notes that the data fields included in the EOM Report are nearly identical to the fields included by NYSE in its Monthly Short Sales file, except that the Exchange will not include two fields that appear within the NYSE Monthly Short Sales file.
- Specifically, the NYSE Monthly Short Sales file also includes date, time, size, price, type of short sale execution, market center, and symbol.
- Additionally, the data fields included in the EOM Report are nearly identical to the fields found in the Nasdaq Monthly Short Sale File, except that the Exchange will not include two fields that appear within the Nasdaq Monthly Short Sale File
- The Exchange notes that the only difference between its proposed EOM Report and the corresponding NYSE and Nasdaq monthly files is that the Exchange will not include a linked indicator field or short size field in its EOM Report.
- As the Exchange does not currently offer a linked indicator field, it will not include this field within the EOM Report. Additionally, the Exchange will not include a short size field in its EOM Report because the size shown in the trade size field included in the Exchange’s EOM Report will be the number of shares in the transaction that executed with a sell short or sell short exempt marking.
Both the EOD Report and EOM Report will be included in the cost of the US Equity Short Volume & Trades Report and will be available for purchase by both Members and nonMembers on an annual or monthly subscription basis.
- Additionally, like NYSE, the Exchange will offer historical reports containing both the end-of-day volume and end-of-month trading activity.
- Historical reports will be available for purchase dating back to January 2, 2015, and will include the same data fields as the US Equity Short Volume & Trades Report.
The Exchange anticipates that a wide variety of market participants will purchase the proposed US Equity Short Volume & Trades Report, including, but not limited to, active equity trading firms and academic institutions.
- For example, the Exchange notes that academic institutions may utilize the US Equity Short Volume & Trades Report data and as a result promote research and studies of the equities industry to the benefit of all market participants.
- The proposal also promotes increased transparency through the dissemination of short volume and short sale execution data.
- The proposed rule change would benefit investors by providing access to the US Equity Short Volume & Trades data, which may promote better informed trading, as well as research and studies of the equities industry.
Solicitation of Comments
- Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act.
- Comments due 21 days from 4/19/2023
Comments may be submitted by any of the following methods:
- Use the Commission’s Internet comment form (http://www.sec.gov/rules/sro.shtml)
- Send an e-mail to
[email protected]. Please include File Number SR-CboeBYX2023-006 - Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-1090.
- All submissions should refer to File Number SR-CboeBYX-2023-006, SR-CboeEDGX-2023-026, SR-CboeBYX-2023-006, SR-CboeEDGA-2023-005
- This file number should be included on the subject line if e-mail is used.
- To help the Commission process and review your comments more efficiently, please use only one method.
- The Commission will post all comments on the Commission’s Internet website (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for website viewing and printing in the Commission’s Public Reference Room, 100 F Street, NE, Washington, DC 20549, on official business days between the hours of 10:00 a.m. and 3:00 p.m.
- Copies of the filing also will be available for inspection and copying at the principal office of the Exchange.
- All comments received will be posted without change.
- Persons submitting comments are cautioned that we do not redact or edit personal identifying information from comment submissions.
- You should submit only information that you wish to make available publicly
TLDRS:
- CBOE proposes rule OPEN FOR COMMENT to Introduce a New Data Product to be Known as the US Equity Short Volume & Trades Report.
- Introduces a new, end-of-month report containing a record of all short sale transactions for the current month.
The proposed end-of-month report (“EOM Report”) to be included in the US Equity Short Volume & Trades Report will be a new report that provides a record of all short sale transactions for the month, including:
- Trade date and time (in microseconds): “Trade date and time” is the date and time of trading activity in yyyy-mm-dd hh:mm:ss.000000 (microseconds) ET format
- Trade size: is the number of shares transacted.
- Trade price: “Trade price” is the price at which shares were transacted.
- Type of short sale execution: “Short type” is a data field that will indicate whether the transaction was a short sale or short sale exempt transaction. A short sale transaction is a transaction in which a seller sells a security which the seller does not own, or the seller has borrowed for its own account (see 17 CFR 242.200). A short sale exempt transaction is a short sale transaction that is exempt from the short sale price test restrictions of Regulation SHO Rule 201 (see 17 CFR 242.201(c))
- Exchange: “Exchange” is the market identifier (Z = BZX, Y = BYX, X = EDGX, A = EDGA).
- The US Equity Short Volume & Trades Report will be available for purchase to both BZX Members (“Members”) as well as non-Members.
Additionally, like NYSE, the Exchange will offer historical reports containing both the end-of-day volume and end-of-month trading activity.
- Historical reports will be available for purchase dating back to January 2, 2015, and will include the same data fields as the US Equity Short Volume & Trades Report.
The Exchange anticipates that a wide variety of market participants will purchase the proposed US Equity Short Volume & Trades Report, including, but not limited to, active equity trading firms and academic institutions.
- For example, the Exchange notes that academic institutions may utilize the US Equity Short Volume & Trades Report data and as a result promote research and studies of the equities industry to the benefit of all market participants.
- Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act.
- Comments due 21 days from 4/19/2023
