WASHINGTON—An exchange that would have listed the first exchange-traded fund to track the price of the digital currency bitcoin is formally objecting to a regulatory decision rejecting the idea.

Bats BZX Exchange, operated by CBOE Holdings Inc., told the Securities and Exchange Commission that it plans to effectively appeal the SEC staff’s March 10 decision to turn down the Winklevoss Bitcoin Trust, according to a letter posted on the SEC’s website.

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