2017-21279. Self-Regulatory Organizations; NASDAQ PHLX LLC; Notice of Filing of Proposed Rule Change To Introduce the Intellicator Analytic Tool

September 28, 2017.

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 September 20, 2017, NASDAQ PHLX LLC (“Phlx” or “Exchange”) filed with the Securities and Exchange Commission (“SEC” or “Commission”) the proposed rule change as described in Items I, II, and III, below, which Items have been prepared by the Exchange. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons.

I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change

The Exchange proposes to introduce the Intellicator Analytic Tool.

The text of the proposed rule change is available on the Exchange's Web site at http://nasdaqphlx.cchwallstreet.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 Exchange included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant aspects of such statements.

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

1. Purpose

The purpose of the proposed rule change is to introduce the Intellicator Analytic Tool, a new, optional market data product available for a corresponding fee ^[3] that is designed to analyze options market transactions and synthesize that analysis to assist investors in assessing the equities underlying those transactions.^[4]

Options market transactions can be complex; the purpose of the Intellicator Analytic Tool is to distill options data into a form that will help investors understand options market movements and provide them with actionable insight in changing market conditions. The Intellicator Analytic Tool will offer three increasingly sophisticated levels of analysis. The first level, the Single-Factor Analytic Bundle, calculates fundamental measures, or “factors,” of options market activity—Put/Call Ratio, Moneyness Ratio, Volume-Weighted Average Delta, and Weighted Average Strike Price—and applies those factors to certain segments of activity on the Exchange. The second level, the Single-Factor Intellicator, uses machine learning—an analytical technique that employs algorithms that iteratively “learn” from data to find hidden insights without explicit programming—to summarize in a single numeral the information contained within a Single-Factor Analytic Bundle. The third level, the Multi-Factor Intellicator, uses machine learning to summarize in a single numeral all of the information contained within all of the five [sic] Single-Factor Analytic Bundles offered with this product.

The Exchange will propose, in a forthcoming fee filing, separate fees for the Single-Factor Analytic Bundle, the Single-Factor Intellicator, and the Multi-Factor Intellicator, as well as special rates for the purchase of any combination of these, to allow investors to choose the tool that best fits their needs. The Single-Factor Analytic Bundles are designed to be used by sophisticated investors to supplement, test and inform their own analytic models. The Single- and Multi-Factor Intellicators are designed for the use of investors who seek to understand market sentiment without undertaking complex calculations. Although tailored for different audiences, the Analytic Bundles and Single- and Multi-Factor Intellicators are all designed to increase visibility into options transactions and democratize information to provide the benefits of sophisticated analytical techniques to firms without the technology, staff or wherewithal to conduct a comparable analysis on their own.

The Analytic Bundles and Single- and Multi-Factor Intellicators are described in further detail below.

Single-Factor Analytic Bundle

A Single-Factor Analytic Bundle is a set of calculations of “factors,” or standard measures of options market activity, often used as indicia of market sentiment. The Intellicator Analytic Tool will calculate four factors—Put/Call Ratio, Moneyness Ratio, Volume-Weighted Average Delta, and Weighted Average Stock Price—defined as follows: ^[5]

(i) Put/Call Ratio: The total number of put contracts traded divided by the total number of put and call contracts traded within the prior 60 seconds for each underlying symbol.

(ii) Moneyness Ratio: The natural log of the ratio of the price of the underlying equity to the strike price of the options contract traded within the prior 60 seconds.^[6]

(iii) Volume-Weighted Average Delta: A calculation of the projected change to an option price given a $1 change in the equity price, weighted by the number of contracts traded within the prior 60 seconds.

(iv) Weighted Average Strike Price: A calculation of the strike price of the options contracts traded within the prior 60 seconds, weighted by the number of days to expiration.^[7]

Each of these Single-Factor Analytic Bundles will provide separate calculations of a specific factor for between five and fifty different segments, or subsets, of the options market.^[8] Segments may be simple or complex. A simple segment may be all transactions with a certain range of expiration dates. Examples of complex segments include: “Customers ^[9] who buy to open a new position,” “Non-Customers ^[10] who sell to close an existing position,” or “Market Makers ^[11] engaging in complex orders.” Segments will be segregated using the following nine fields of information, either alone or in combination: (i) Put vs. call; (ii) expiration date; (iii) customer type; (iv) “moneyness”; (v) open vs. close; (vi) buy vs. sell; (vii) order type; (viii) add vs. remove liquidity; and (ix) electronic vs. manual transaction.^[12] These fields are defined as follows:

(i) Put vs. Call: whether the instrument is a put (an option to sell assets at an agreed upon price on or before a particular date) or a call (an option to buy assets at an agreed-upon price on or before a particular date).

(ii) Expiration date: the number of days to contract expiration. Transactions are assigned to one of five ranges: One week (less than or equal to 7 days prior to expiration); one month (greater than 7 days but less than or equal to 30 days); three months (greater than 30 days but less than or equal to 90 days to expiration); six months (greater than 90 days but less than or equal to 180 days to expiration date; and over six months (greater than 180 days to expiration date).

(iii) Customer type: Customer, Professional Customer,^[13] Firm,^[14] Broker-Dealer,^[15] Market Maker, Joint Back Office (“JBO”),^[16] off-floor broker-dealer), or Non-Customer.

(iv) “Moneyness”: In-the-money,^[17] out-the-money ^[18] or at-the-money.^[19]

(v) Open vs. Close: Whether the transaction is opening a new position or closing an existing position.

(vi) Buy vs. Sell.

(vii) Execution type: Simple order,^[20] complex order,^[21] price improvement (“PIXL”) Order,^[22] qualified contingent cross (“QCC”),^[23] Sweep,^[24] responder to an auction, or quote from a Market Maker).

(viii) Add vs. remove liquidity: Whether the transaction adds or removes liquidity, or has no effect on liquidity.

(ix) Electronic vs. manual: Whether the transaction takes place on the floor of the Exchange or through the electronic order system.

Seven of these nine data fields—put vs. call; expiration date; customer type; “moneyness”; open vs. close; buy vs. sell; and order type—are currently available in real time for purchasers of the PHLX Orders data feed, although that feed does not include order information on Immediate or Cancel Orders (“IOCs”) or orders that are fully executable upon receipt. IOCs and orders that are fully executable upon receipt will, however, be used to segregate data for factor calculations in Single-Factor Analytic Bundles. The last two data fields listed above—add vs. remove liquidity and electronic vs. manual transactions—are not available on any of the Exchange's data feeds, but, like data from IOCs and fully executable orders upon receipt, will be used to segregate data into segments for Single-Factor Analytic Bundles.

A purchaser of Single-Factor Analytic Bundles may, under certain circumstances, be able to reverse-engineer factor calculations to obtain transaction-specific information not otherwise available on the Exchange's data feeds.^[25] For example, an investor observing a thinly-traded stock may be able to use the Single-Factor Analytic Bundle calculations to determine the type of customer (Customer, Professional Customer, Firm, Broker-Dealer, etc.) adding or removing liquidity—information not otherwise available on the Exchange's data feeds, as noted above.^[26] Such information may be useful in identifying the investment strategies of particular customer categories.

While this type of reverse-engineering is not the primary purpose of the Intellicator Analytic Tool—and of limited usefulness given that implementation would only be practical for thinly-traded stocks—it is consistent with the purpose of the Intellicator Analytic Tool to make data about market sentiment available to investors. Identifying the investment strategies of particular customer categories can provide an investor with useful insight into market activity, which this Tool may render more broadly available to investors. Such dissemination of market information promotes transparency and increases market efficiency, and, as stated in the Statutory Basis discussion below, protects protect investors and the public interest.

The data fields identified above will be used to segregate the market into segments by calculating factors only for transactions that meet specific criteria. Each segment will be defined by between one and five fields; data from other fields will not be used. By way of illustration, the three complex segments set forth above—“Customers who buy to open a new position,” “Non-Customers who sell to close an existing position,” and “Market Makers engaging in complex orders”—will be constructed using only three segments, as shown in the following chart:

	Customers who buy to open a position	Non-customers who sell to close an existing position	Market makers engaging in complex orders
Put vs. Call 27	N/A	N/A	N/A
Expiration Date	N/A	N/A	N/A
Customer type	Customer	Non-Customer	Market Maker
Moneyness	N/A	N/A	N/A
Open vs. Close	Open	Close	N/A
Buy vs. Sell	Buy	Sell	N/A
Execution type	N/A	N/A	Complex order
Add vs. remove liquidity 28	N/A	N/A	N/A
Electronic vs. manual	N/A	N/A	N/A

Purchasers of this product will be provided the results of factor calculations for segments of the market to be identified by the Exchange as indicative of market sentiment. All of the output of the Intellicator Analytic Tool consists solely of calculations, not raw data. The Tool is intended to provide insight into market sentiment through aggregated calculations, not to provide real-time transaction- and order-related information similar to a data feed.

The Exchange expects that segments will change over time. The first iteration of the Intellicator Analytic Tool will utilize a set of segments determined to be indicative of market sentiment based on experience and economic theory, but then will use machine learning—algorithms that test theory against market experience—to improve calculations by identifying additional segments with a strong relationship with the underlying equity and adding them to the Analytic Bundles to create the most robust set of calculations possible. Identifying relevant segments is a feature of this product, and the intellectual property of the Exchange.

Segments will be selected for their ability to provide a robust view of market sentiment. While any single segment may be of limited usefulness on its own, making the same calculations repeatedly for an array of different segments will provide a more reliable and consistent indicia of market sentiment. Providing customers with calculations of the same factor for multiple segments allows them to evaluate market sentiment by comparing calculations across segments. For example, market sentiment related to simple orders may be compared to that of complex orders; calculations for options contracts with less than 7 days to expiration may be compared to those with less than 30 days to expiration; or calculations for options contracts that are in-the-money may be compared to those that are out-the-money or at-the-money. The goal of all of these comparisons is to glean information from differences in market activity that may provide useful information about market sentiment regarding the associated underlying equity.

Calculations will be based on “rolling aggregates” of trading data, updated every 60 seconds over the course of the day.

Single-Factor Intellicators

A Single-Factor Intellicator uses machine learning to summarize in a single numeral the information contained within a Single-Factor Analytic Bundle. The number will be within a set range—possibly between one and one hundred, although the precise range may change over time—and will be designed to value market sentiment: Specifically, the upward or downward pressure on the price of an equity instrument as reflected in options trading activity. The numeral will be a sort of “barometer” of trading activity that, in conjunction with other market information, will help investors make informed decisions.

The Single-Factor Intellicator will serve a different purpose than the Analytic Bundles. Whereas the Analytic Bundles are designed to provide raw calculations, the Intellicators are designed to provide an analytical overlay to those calculations to help investors interpret market sentiment. As was the case with the Analytic Bundles, nothing in the Single-Factor Intellicator can be used to glean transaction-specific information.

The calculation for the Single-Factor Intellicator will change over time, as machine learning algorithms use data to learn about the relationship between options and equities, and modify the calculation accordingly. Specifically, the Exchange will use calculated values from the Analytic Bundle to improve mathematical models of the relationship between certain options trades and the equities underlying those trades. Over time, the algorithm will optimize these equations for both the types of data used to analyze equities and the weight of such data. The result will be a better mathematical model.

Calculations for Single-Factor Intellicators, like calculations for each factor, will be updated every 60 seconds over the course of the day.

Multi-Factor Intellicator

The Multi-Factor Intellicator uses machine learning to summarize in a single numeral all of the calculations contained in all of the five [sic] Single-Factor Analytic Bundles. As was the case with Single-Factor Intellicators, the Multi-Factor Intellicator is designed to act as a “barometer” of options trading activity, which the customer will be able to incorporate into its market analysis. The Multi-Factor Intellicator will improve over time through machine learning.

The Multi-Factor Intellicator will also be updated every 60 seconds over the course of the day.

Proposed Pricing Structure

As previously noted, the fee schedule for the Intellicator Analytic Tool will be included in a future filing. Because the Single-Factor Analytic Bundles, Single-Factor Intellicators, and Multi-Factor Intellicators may prove useful for different audiences, these components of the Intellicator Analytic Tool will be priced separately.

2. Statutory Basis

The Exchange believes that its proposal is consistent with Section 6(b) of the Act,^[29] in general, and furthers the objectives of Section 6(b)(5) ^[30] of the Act in particular. The proposal is designed to promote just and equitable principles of trade, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and in general to protect investors and the public interest by prompting transparency and increasing visibility into options transactions and democratizing information to provide the benefits of sophisticated analytical techniques to firms without the technology, staff or wherewithal to conduct a comparable analysis on their own. Specifically, the Single- and Multi-Factor Intellicators will provide all investors with insight into market sentiment otherwise available only to those investors with the technology, staff and wherewithal to conduct such an analysis. To the extent that the Intellicator Analytic Tool uses information not otherwise available on the Exchange's market data feeds, the effect of using such information as an input for the Tool is to make information more widely available to investors. To the degree that investors use Single-Factor Analytic Bundles to reverse-engineer certain factor calculations to obtain transaction-specific information not otherwise provided on the Exchange's data feeds, the availability of such information promotes transparency and increases market efficiency, thereby protecting investors and the public interest. The net effect is to make information on market sentiment more readily available to more investors, thereby removing impediments to a free and open market and promoting just and equitable principles of trade.

In adopting Regulation NMS,^[31] the Commission granted SROs and broker-dealers increased authority and flexibility to offer new and unique market data to the public. It was believed that this authority would expand the amount of data available to consumers, and also spur innovation and competition for the provision of market data. The Intellicator Analytic Tool—a new market data product designed to analyze options market transactions and synthesize that analysis to help investors assess the equities underlying those transactions—is the type of market data product that the Commission envisioned when it adopted regulation NMS. The Commission concluded that Regulation NMS—deregulating the market in proprietary data—would further the Act's goals of facilitating efficiency and competition:

[E]fficiency is promoted when broker-dealers who do not need the data beyond the prices, sizes, market center identifications of the NBBO and consolidated last sale information are not required to receive (and pay for) such data. The Commission also believes that efficiency is promoted when broker-dealers may choose to receive (and pay for) additional market data based on their own internal analysis of the need for such data.^[32]

By removing unnecessary regulatory restrictions on the ability of exchanges to sell their own data, Regulation NMS advanced the goals of the Act and the principles reflected in its legislative history.

In NetCoalition v. Securities and Exchange Commission ^[33] (“NetCoalition”) the D.C. Circuit upheld the Commission's use of a market-based approach in evaluating the fairness of market data fees against a challenge claiming that Congress mandated a cost-based approach.^[34] As the court emphasized, the Commission “intended in Regulation NMS that `market forces, rather than regulatory requirements' play a role in determining the market data . . . to be made available to investors and at what cost.” <sup>[35]</sup> “No one disputes that competition for order flow is `fierce.' . . . As the SEC explained, `[i]n the U.S. national market system, buyers and sellers of securities, and the broker-dealers that act as their order-routing agents, have a wide range of choices of where to route orders for execution'; [and] `no exchange can afford to take its market share percentages for granted' because `no exchange possesses a monopoly, regulatory or otherwise, in the execution of order flow from broker dealers'. . . .” ^[36]

Data products such as the Intellicator Analytic Tool are a means by which exchanges compete to attract order flow. To the extent that exchanges are successful in such competition, they earn trading revenues and also enhance the value of their data products by increasing the amount of data they provide. The need to compete for order flow places substantial pressure upon exchanges to keep their fees for both executions and data reasonable.^[37]

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

The Exchange does not believe that the proposed rule change will impose any burden on competition not necessary or appropriate in furtherance of the purposes of the Act. Indeed, the Exchange believes that the Intellicator Analytic Tool enhances competition by increasing transparency into options transactions and democratizing information to provide the benefits of sophisticated analytical techniques to firms without the technology, staff or wherewithal to conduct a comparable analysis on their own. Many firms produce internal analytic models to assess market sentiment similar to the Intellicator Analytic Tool; the introduction of this Tool will increase competition by making such models available to more investors.

The market for data products is extremely competitive and firms may freely choose alternative venues and data vendors based on the aggregate fees assessed, the data offered, and the value provided. Numerous exchanges compete with each other for listings, trades, and market data itself, providing virtually limitless opportunities for entrepreneurs who wish to produce and distribute their own market data. Transaction execution and proprietary data products are complementary in that market data is both an input and a byproduct of the execution service. In fact, market data and trade execution are a paradigmatic example of joint products with joint costs. The decision whether and on which platform to post an order will depend on the attributes of the platform where the order can be posted, including the execution fees, data quality and price. Without trade executions, exchange data products cannot exist. Moreover, data products, including the Intellicator Analytic Tool, are valuable to many end users only insofar as they provide information that end users expect will assist them or their customers in making trading decisions.

The costs of producing market data include not only the costs of the data distribution infrastructure, but also the costs of designing, maintaining, and operating the exchange's transaction execution platform and the cost of regulating the exchange to ensure its fair operation and maintain investor confidence. The total return that a trading platform earns reflects the revenues it receives from both products and the joint costs it incurs. Moreover, the operation of the exchange is characterized by high fixed costs and low marginal costs. This cost structure is common in content distribution industries such as software, where developing new software typically requires a large initial investment (and continuing large investments to upgrade the software), but once the software is developed, the incremental cost of providing that software to an additional user is typically small, or even zero (e.g., if the software can be downloaded over the internet after being purchased).^[38] It is costly to build and maintain a trading platform, but the incremental cost of trading each additional share on an existing platform, or of distributing an additional instance of data, is very low. Market information and executions are each produced jointly (in the sense that the activities of trading and placing orders are the source of the information that is distributed) and are each subject to significant scale economies.

Competition among trading platforms can be expected to constrain the aggregate return each platform earns from the sale of its joint products. The level of competition and contestability in the market is evident in the numerous alternative venues that compete for order flow, including SRO markets, as well as internalizing BDs and various forms of alternative trading systems (“ATSs”), including dark pools and electronic communication networks (“ECNs”). Each SRO market competes to produce transaction reports via trade executions, and two FINRA-regulated TRFs compete to attract internalized transaction reports. It is common for BDs to further and exploit this competition by sending their order flow and transaction reports to multiple markets, rather than providing them all to a single market. Competitive markets for order flow, executions, and transaction reports provide pricing discipline for the inputs of proprietary data products. The large number of SROs, TRFs, BDs, and ATSs that currently produce proprietary data or are currently capable of producing it provides further pricing discipline for proprietary data products. Each SRO, TRF, ATS, and BD is currently permitted to produce proprietary data products, and many currently do or have announced plans to do so, including Nasdaq, NYSE, NYSE MKT, NYSE Arca, and the BATS exchanges.

In this case, the proposed rule change enhances competition by introducing a new product that increases transparency into options transactions and democratizes information by providing the benefits of sophisticated analytical techniques to firms without the technology, staff or wherewithal to conduct a comparable analysis on their own. If the price were to become unattractive, those firms would opt not to purchase the product. The net effect of introducing this product into the market is to make market sentiment information more widely available to a broader array of investors, and lower the cost of accessing such information, thereby increasing market efficiency. For all of these reasons, the Exchange does not believe that the proposed changes will impair competition in the financial markets.

C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others

No written comments were either solicited or received.

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

Within 45 days of the date of publication of this notice in the Federal Register or within such longer period (i) as the Commission may designate up to 90 days of such date if it finds such longer period to be appropriate and publishes its reasons for so finding or (ii) as to which the Exchange consents, the Commission shall: (a) by order approve or disapprove such proposed rule change, or (b) institute proceedings to determine whether the proposed rule change should be disapproved.

IV. Solicitation of Comments

Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods:

Electronic Comments

• Use the Commission's Internet comment form (http://www.sec.gov/​rules/​sro.shtml);​; or
• Send an email to [e-mail]. Please include File Number SR-Phlx-2017-74 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-Phlx-2017-74. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site (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 Web site 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; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR-Phlx-2017-74 and should be submitted on or before October 25, 2017.

For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.^[39]

Eduardo A. Aleman,

Assistant Secretary.

Footnotes

1.  15 U.S.C. 78s(b)(1).

2.  17 CFR 240.19b-4.

3.  A separate filing will address the pricing for the Intellicator Analytic Tool, which will also be implemented on October 27, 2017, if approved by the Commission.

4.  The Exchange initially filed the proposed changes on August 2, 2017 (SR-Phlx 2017-62). On August 11, 2017, the Exchange withdrew that filing.

5.  The Exchange may introduce new factors that are found to have value in assessing market sentiment, but will submit a new filing for approval if other factors are added.

6.  The ratios for calls are multiplied by 1, while ratios for puts are multiplied by −1.

7.  A higher weighting is given to contracts near expiration.

8.  Factor calculations for specific segments of the market will not be sold by the Exchange separately from the Analytic Bundles.

9.  The term “Customer” applies to any transaction that is identified by a member or member organization for clearing in the Customer range at The Options Clearing Corporation (“OCC”) which is not for the account of a broker or dealer or for the account of a “Professional” (as that term is defined in Rule 1000(b)(14)).

10.  A “Non-Customer” is any market participant other than a Customer or a Market Maker, such as Professional Customer, Firm, Broker-Dealer, or Joint Back Office (see notes 11-15 [sic]).

11.  “Market Makers” includes Specialists (see Exchange Rule 1020(a)), Registered Option Traders (see Exchange Rule 1014(b)), Streaming Quote Traders (see Exchange Rule 1014(b)(ii)(A)), and Remote Streaming Quote Traders (see Exchange Rule in 1014(b)(ii)(B)).

12.  The Exchange may introduce new fields at a later date, but will submit a new filing for approval if additional fields are added.

13.  The term “Professional Customer” applies to transactions for the accounts of Professionals, as defined in Exchange Rule 1000(b)(14).

14.  The term “Firm” applies to any transaction that is identified by a member or member organization for clearing in the Firm range at the OCC.

15.  The term “Broker-Dealer” applies to any transaction which is not subject to any of the other transaction fees applicable within a particular category.

16.  The term “Joint Back Office” or “JBO” applies to any transaction that is identified by a member or member organization for clearing in the Firm range at OCC and is identified with an origin code as a JBO. A JBO participant is a member, member organization or non-member organization that maintains a JBO arrangement with a clearing broker-dealer (“JBO Broker”) subject to the requirements of Regulation T, Section 220.7 of the Federal Reserve System as discussed at Exchange Rule 703.

17.  An options contract is in-the-money when the strike price is below 2.5% of the price of the underlying security for a call contract, or above 2.5% of the underlying security for a put contract.

18.  An options contract is out-the-money when the strike price is above 2.5% of the price of the underlying security for a call contract, or below 2.5% of the underlying security for a put contract.

19.  An options contract is at-the-money when the strike price is within 2.5% of the price of the underlying security, either above or below, for either a call or a put contract.

20.  A single-leg option order.

21.  A multi-legged option order.

22.  A two-sided order that is entered into a price improvement auction.

23.  A stock-tied option order consisting of a minimum of 1,000 options contracts bundled together for the purpose of crossing the order.

24.  An order type used to accumulate a position quickly by simultaneously sending the order to multiple exchanges.

25.  Similar reverse-engineering would be impossible for customers who purchase Intellicators alone, because such segment-specific information will not be provided to customers who only purchase Intellicators.

26.  There may be other examples in which Single-Feed Analytic Bundles may be used to adduce transaction-specific information not provided in data feeds. For instance, it may also be possible to determine whether a thinly-traded stock were traded through an electronic or manual trade.

27.  As noted above, the first seven fields listed in this chart (from “Put vs. Call” through “Execution type”) are available in real time for purchasers of the PHLX Orders data feed, but that data feed does not include data from IOCs or orders that are fully executable upon receipt.

28.  As noted above, the “add vs. remove liquidity” and “electronic vs. manual” fields are not available on any of the Exchange's proprietary data feeds.

29.  15 U.S.C. 78f(b).

30.  15 U.S.C. 78f(b)(5).

31.  See Securities Exchange Act Release No. 51808 (June 9, 2005), 70 FR 37496 (June 29, 2005) (“Regulation NMS Adopting Release”).

32.  Id.

33.  See NetCoalition v. SEC, 615 F.3d 525 (D.C. Cir. 2010).

34.  Id. at 534-535.

35.  Id. at 537.

36.  Id. at 539 (quoting Securities Exchange Act Release No. 59039 (December 2, 2008), 73 FR 74770, 74782-83 (December 9, 2008) (SR-NYSEArca-2006-21)).

37.  See Sec. Indus. Fin. Mkts. Ass'n (SIFMA), Initial Decision Release No. 1015, 2016 SEC LEXIS 2278 (ALJ June 1, 2016) (finding the existence of vigorous competition with respect to non-core market data).

38.  See William J. Baumol and Daniel G. Swanson, “The New Economy and Ubiquitous Competitive Price Discrimination: Identifying Defensible Criteria of Market Power,” Antitrust Law Journal, Vol. 70, No. 3 (2003).

39.  17 CFR 200.30-3(a)(12).