Odd Lot or Zero Size Closing Auctions in ETPs

If a Closing Auction in a Cboe Listed ETP results in an odd lot execution or no auction execution, the OCP will be derived from either a time-weighted average price of the NBBO midpoint or Final Last Sale Eligible Trade if one exists during the final 5 minutes before the end of Regular Trading Hours.

If a Final Last Sale Eligible Trade exists in the final 5 minutes prior to 4 p.m. ET of the current trading day, the final last sale regular-way consolidated trade from Regular Trading Hours will be used as the OCP. If regular-way trades occur within the final second of Regular Trading Hours, the last trade on BZX in that second will be used as the OCP instead of the consolidated trade. The OCP will be represented by a sale condition code of M (Market Center Official Close).

If no Final Last Sale Eligible Trade exists in the final 5 minutes prior to 4 p.m. ET, of the current trading day, the time-weighted average price (TWAP) of the NBBO midpoint will be used as the Cboe Official Closing Price for the ETP. The computation will span the final five minutes before the end of Regular Trading Hours, averaging the midpoint of the NBBO by time. The OCP calculation methodology will exclude any quote from the TWAP calculation if the quote spread is greater than 10 percent of the midpoint price. A crossed NBBO will also be excluded. The OCP will be represented by a sale condition code of M (Market Center Official Close). If no two-sided quote exists for some portion of the 5-minutes, that time period will be excluded from the computation.

If an issue does not have a Closing Auction Price (e.g. there is insufficient interest to conduct a closing auction or the ETP is halted), there is no Final Last Sale Eligible Trade present in the final 5 minutes of Regular Trading Hours, and there are no quotes to calculate the NBBO midpoint, then the OCP will be the price of the Final Last Sale Eligible Trade and will be represented by a sale condition code of M (Market Center Official Close).