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Notice2022-06383

Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of Filing of Amendment No. 2 and Order Granting Accelerated Approval of a Proposed Rule Change, as Modified by Amendment No. 2, To Adopt a New Trading Session That Will Operate After the Close of the Regular Trading Hours Session

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Published

March 28, 2022

Issuing agencies

Securities and Exchange Commission

Full Text

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[Federal Register Volume 87, Number 59 (Monday, March 28, 2022)]
[Notices]
[Pages 17359-17374]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2022-06383]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-94484; File No. SR-CBOE-2021-071]

Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of
Filing of Amendment No. 2 and Order Granting Accelerated Approval of a
Proposed Rule Change, as Modified by Amendment No. 2, To Adopt a New
Trading Session That Will Operate After the Close of the Regular
Trading Hours Session

March 22, 2022.

I. Introduction

On December 15, 2021, Cboe Exchange, Inc. (``Exchange'' or
``CBOE'') filed with the Securities and Exchange Commission
(``Commission''), pursuant to Section 19(b)(1) of the Securities
Exchange Act of 1934 (``Act''),\1\ and Rule 19b-4 thereunder,\2\ a
proposed rule change to adopt a new forty-five-minute trading session
that will operate after the close of the Regular Trading Hours session.
The proposed rule change was published for comment in the Federal
Register on December 23, 2021.\3\ On January 12, 2022, the Commission
designated a longer period for Commission action on the proposed rule
change, until March 23, 2022.\4\ On February 14, 2022, the Exchange
filed Amendment No. 1 to the proposed rule change, which replaced and
superseded the proposed rule change.\5\ On March 4, 2022, the Exchange
filed Amendment No. 2 to the proposed rule change, which replaced and
superseded the proposed rule change.\6\ The Commission has received no
comment letters on the proposal. The Commission is publishing this
notice to solicit comments on the proposed rule change, as modified by
Amendment No. 2, from interested persons and is approving the proposed
rule change, as modified by Amendment No. 2, on an accelerated basis.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ See Securities Exchange Act Release No. 93819 (December 23,
2021), 86 FR 73038 (``Notice'').
\4\ See Securities Exchange Act Release No. 94082, 87 FR 5878
(January 27, 2022).
\5\ On March 4, 2022, the Exchange withdrew Amendment No. 1 to
the proposed rule change.
\6\ In Amendment No. 2, the Exchange revised the proposal to:
(i) Reflect recently adopted CBOE rules relating a modified trading
schedule for U.S. domestic holidays, held order instructions, and a
new domestic holiday; (ii) provide additional description of several
aspects of the proposal, including the impact of the modified
trading schedule for U.S. domestic holidays on the proposed Curb
session and notifications relating to catastrophic error reviews;
and (iii) make technical and conforming changes. The Exchange also
further discussed why it is appropriate to resume trading during GTH
and Curb after a trading halt and clarified the application of CBOE
Rule 5.22 during Curb. Amendment No. 2 is available on the
Commission's website at: <a href="https://www.sec.gov/comments/sr-cboe-2021-071/srcboe2021071-20118875-271696.pdf">https://www.sec.gov/comments/sr-cboe-2021-071/srcboe2021071-20118875-271696.pdf</a>.
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II. The Exchange's Description of the Proposed Rule Change, as Modified
by Amendment No. 2

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.

[[Page 17360]]

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

1. Purpose
The Exchange proposes to amend its Rules to allow trading on the
Exchange during a new forty-five-minute trading session called the
``Curb Trading Hours'' or ``Curb'' session. The proposed rule change to
adopt a third trading session aims to increase the overlap in time that
SPX, VIX and Mini-SPX Index (``XSP'') options are open alongside the
related futures contracts.\7\
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\7\ For example, related futures products such as Cboe
Volatility Index (VX) Futures are currently available for trading on
Cboe Futures Exchange, LLC (``CFE'') during an extended trading
hours session from 4:00 p.m. to 5:00 p.m. Eastern Time (ET) Monday
through Friday. See CFE Rule 1202, which sets forth the trading
hours for VX futures (times referenced in CFE Rule 1202 are Central
Standard Time (CT)). Related future contracts are also offered on
the Chicago Mercantile Exchange (``CME'') during the proposed hours
of Curb. See <a href="https://www.cmegroup.com/trading-hours.html#equityIndex">https://www.cmegroup.com/trading-hours.html#equityIndex</a>
and <a href="https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.html">https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.html</a> which reflects, among other things, that E-mini S&P
500 Futures trade between 6:00 p.m. Sunday through 5:00 p.m. Friday
ET (5:00 p.m.-4:00 p.m. CT) with a daily maintenance period from
5:00 p.m.-6:00 p.m. ET (4:00 p.m.-5:00 p.m. CT).
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By way of background, the Exchange currently offers two trading
sessions.\8\ Regular Trading Hours (``RTH'') and Global Trading Hours
(``GTH''). Rule 5.1 currently sets forth the trading hours for the
Exchange's RTH and GTH trading sessions. Particularly, RTH for
transactions in equity options (including options on individual stocks,
ETFs, ETNs, and other securities) are the normal business days and
hours set forth in the rules of the primary market currently trading
the securities underlying the options, except for options on ETFs,
ETNs, Index Portfolio Shares, Index Portfolio Receipts, and Trust
Issued Receipts the Exchange designates to remain open for trading
beyond 4:00 p.m.\9\ but in no case later than 4:15 p.m.\10\ RTH for
transactions in index options are from 9:30 a.m. to 4:15 p.m., subject
to certain exceptions.\11\ The GTH session currently begins at 8:15
p.m. (previous day) and goes until 9:15 a.m. on Monday through
Friday.\12\ The Exchange's Rules provide that the Exchange may
designate as eligible for trading during GTH any exclusively listed
index option designated for trading under Chapter 4, Section B.
Currently, SPX, VIX and XSP are approved for trading during GTH.\13\
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\8\ The term ``trading session'' means the hours during which
the Exchange is open for trading for Regular Trading Hours or Global
Trading Hours (each of which may referred to as a trading session).
Unless otherwise specified in the Rules or the context otherwise
indicates, all Rules apply in the same manner during each trading
session. See Rule 1.1 (Definitions).
\9\ All times referenced herein are Eastern Time.
\10\ See Rule 5.1(b)(1).
\11\ See Rule 5.1(b)(2).
\12\ See Rule 5.1(c).
\13\ If the Exchange designates a class of index options as
eligible for trading during GTH, FLEX Options with the same
underlying index are also deemed eligible for trading during GTH.
See Rule 5.1(c). The Exchange also notes that although eligible, XSP
is not currently listed for trading during GTH.
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By way of further background, the Exchange originally adopted the
GTH trading session due to global demand from investors to trade SPX
and VIX options, as alternatives for hedging and other investment
purposes, particularly as a complementary investment tool to VIX
futures.\14\ In response to customer demand for additional options to
trade during the GTH trading session for similar purposes, the Exchange
later designated XSP options to be eligible for trading during GTH.\15\
The current GTH session allows market participants to engage in trading
SPX, XSP and VIX options in conjunction with trading VIX futures on CFE
during extended hours, as VIX futures are open for trading on CFE
nearly 23 hours a day, 5 days a week.\16\ The proposed rule change
seeks to further maximize the overlap in time that SPX, XSP and VIX
options may be open alongside the related futures contracts, as futures
markets, including CFE, operate extended trading hours that overlap
with the proposed Curb Trading Hours. The proposed rule change to adopt
an additional trading session therefore provides market participants
with expanded access to trade SPX, XSP and VIX options.
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\14\ See Securities Exchange Act Release No. 34-73017 (September
8, 2014), 79 FR 54758 (September 12, 2014) (SR-CBOE-2014-062).
\15\ See Securities Exchange Act Release No. 34-914 [sic]
(September 14, 2015), 80 FR 522 [sic] (September 18, 2015) (SR-CBOE-
2015-079).
\16\ See CFE Rule 1202(b).
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The proposed Curb session will provide an extra forty-five-minute
electronic only session for trading between 4:15 p.m. and 5:00 p.m. for
designated classes, which will be added Monday through Friday. Unlike
the current RTH and GTH trading sessions, there will be no opening
auction process that initiates the Curb trading session. Rather, RTH
will seamlessly transition to the Curb trading session at 4:15 p.m.,
which is when RTH for index options products ends. Any unexecuted
orders that are eligible to trade during the Curb trading session that
remain on the Book at the end of the RTH trading session will remain on
the Book and be eligible for execution during Curb. Transactions
effected during the Curb session will have the same trade date as the
immediately preceding RTH session (i.e., the day on which the
transactions were effected). The Curb trading session will however
still be a separate trading session from RTH and GTH and while most of
the Exchange Rules apply to trading during all three trading sessions,
certain differences will apply as further described below.\17\ For
example, unlike the RTH session, there will be no open outcry trading
on the floor during the Curb trading session and only designated index
options will be available for trading (similar to GTH). As such,
Chapter 4, Sections A, D, E, F and G will not apply as those cover
Equity and ETP Options, Corporate Debt Securities Options, Credit
Options, Government Security Options, and Interest Rate Options,
respectively, which will be not available during Curb. Similarly,
Chapter 5, Section G will not apply as such rules pertain to manual
order handling and open-outcry trading. The Exchange also notes that
all Trading Permit Holders (``TPHs'') may participate in Curb. TPHs
will not need to apply or take any additional steps to participate in
Curb. Additionally, because the Exchange will use the same servers and
hardware during Curb as it uses for RTH and GTH, TPHs may use the same
ports and connections to the Exchange for all trading sessions. The
Book used during Curb will be the same Book used during RTH and GTH.
The Exchange proposes to amend various rules to adopt provisions
relating to the proposed Curb session and conform existing rules
accordingly, as described more fully below.
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\17\ For example, business conduct rules in Chapter 8 and rules
related to doing business with the public in Chapter 9 will apply
during the Curb trading session. Additionally, a broker-dealer's due
diligence and best execution obligations apply during the Curb
trading session.
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Curb Session
As discussed above, Rule 5.1 (Trading Days and Hours) currently
sets forth the trading hours for RTH and GTH. The Exchange proposes to
adopt Rule 5.1(d),\18\ which will set forth the trading hours and rules
applicable to trading during the proposed Curb trading session.
Specifically, proposed Rule 5.1(d) will provide that except under
unusual conditions as may be determined by the Exchange, or the Holiday
hours set forth in Rule 5.1(e), Curb Trading Hours are from 4:15 p.m.

[[Page 17361]]

to 5:00 p.m. on Monday through Friday.\19\ Proposed Rule 5.1(d)(1)
provides that the Exchange may designate as eligible for trading during
Curb Trading Hours any exclusively listed option that the Exchange has
designated for trading under Chapter 4, Section B. The Exchange
proposes to approve SPX, XSP and VIX for trading on the Exchange during
Curb session, which are all classes that are currently approved for
trading during GTH (i.e., an ``All Sessions Class'' \20\).\21\ FLEX
Options with the same underlying index will also be deemed eligible for
trading during the Curb session.\22\
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\18\ Current Rule 5.1(d) (Holidays) will be renumbered to Rule
5.1(e). In connection with the proposed numbering change, the
Exchange also proposes to update a cross reference to Rule 5.1(d) in
Rule 4.22 to reflect the new rule number of Rule 5.1(e). References
to current Rule 5.1(d) will herein be referred to as Rule 5.1(e).
\19\ For example, the Exchange may modify its business days and
trading hours to not be open for business or to have shortened
trading hours due to unusual circumstances or in connection with
terrorism, acts of war, loss or interruption of facilities utilized
by the Exchange, or a period of mourning. The Exchange notes there
will also be no Curb Trading Hours where the RTH session closes
early due to a holiday (e.g., on Christmas Eve).
\20\ See Proposed Rule 1.1 (All Sessions Class) which means an
options class the Exchange lists for trading during all trading
sessions.
\21\ Although the Exchange is proposing to approve XSP as
eligible to trade during Curb, it does not intend to initially list
XSP during Curb, as it is also approved, but not currently listed,
during GTH. The Exchange however anticipates listing XSP during Curb
and GTH at some point in the future.
\22\ Delta-Adjusted at Close (``DAC'') will not be available
during the Curb trading session (nor are they available currently
during GTH) as the adjustment calculation for DAC orders is linked
to the RTH market close for the underlying securities and indexes.
See Current Rule 5.6.(c) (``Delta-Adjusted at Close or DAC''
Definition), which provides a User may not designate a DAC order as
All Sessions. See also proposed Rule 5.6(c) which will similarly
provide a User may also not designate a DAC order as RTH and Curb.
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Proposed Rule 5.1(d)(2) will provide that the Exchange may list for
trading during the Curb trading session any series in eligible classes
that it may list pursuant to Rule 4.13.\23\ Any series in eligible
classes that were open for trading during RTH are expected to be open
for trading during the Curb trading session on that same trading day
(subject to Rule 5.31).\24\ The Exchange notes however that it will not
list any p.m.-settled series during Curb on a series' expiration date
as such series would continue to expire prior to the start of the Curb
trading session at 4:00 p.m. on such date.\25\ A.M.-settled options
will cease trading at the conclusion of the Curb session the business
day preceding the last day of trading in the underlying securities
prior to expiration.\26\
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\23\ FLEX Options (that are not Cliquet-settled) with an
exercise price that is a percentage of the closing value of the
underlying index on the trade date will not be available during Curb
(nor are they available currently during GTH), as the exercise price
is linked to the RTH market close for the underlying index.
\24\ Rule 5.31 describes the opening auction process. Although
the Exchange does not intend to conduct an opening rotation under
the normal course of business, an opening rotation may be utilized
under certain circumstances as described further below and in such
instances, the availability of a series being available for trading
during Curb will be subject to Rule 5.31.
\25\ See Rule 5.1(b)(2)(C).
\26\ See Rule 4.13(a)(4) and 4.13(a)(5)(C). Pursuant to Rules
4.13(a)(4) and 4.13(a)(5)(C), the last day of trading for A.M.-
settled index options (such as standard SPX and VIX, respectively)
shall be the business day preceding the last day of trading in the
underlying securities prior to expiration. Accordingly, for example,
A.M.-settled SPX options that expire on a Friday will continue to
cease trading at the close of the business day on the preceding
Thursday (albeit now at 5:00 p.m. instead of 4:15 p.m. since the
business day as proposed ends at the conclusion of Curb). Similarly,
VIX options (which are A.M.-settled) that expire on a Wednesday will
normally continue to cease trading at the close of the business day
on the preceding Tuesday (albeit now at 5:00 p.m. instead of 4:15
p.m. since, as noted above, the business day as proposed ends at the
conclusion of Curb).
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Proposed Rule 5.1(d)(3) will provide that the Exchange will not
report a value of an index underlying an index option trading during
Curb because the value of the underlying index will not be recalculated
during or at the close of Curb. Pursuant to Rules 4.10(f) and (g), to
list options on a broad-based index (currently, the only options that
are proposed to trade during Curb), current indexes values must be
widely disseminated at least once every 15 seconds. Because index
reporting authorities do not currently plan to disseminate updated
values during the proposed Curb Trading Hours, the Exchange proposes to
address the lack of dissemination of index values during Curb under
proposed Rule 5.1(d)(3), which will supersede the requirements under
Rules 4.10(f) and (g). The Exchange notes authority to decide when and
how frequently to calculate and disseminate index values lies solely
with a reporting authority. The reporting authority for the S&P 500
Index, S&P Dow Jones Indices LLC (``S&P''), does not intend to
calculate or disseminate current values of the S&P 500 Index during the
proposed Curb trading session. Similarly, Cboe Global Indices, LLC
(``CGI''), the reporting authority for the Cboe Volatility Index (the
``VIX Index'') \27\ does not intend to calculate or disseminate current
values of the VIX Index during the proposed Curb trading session.
Particularly, VIX is intended to represent the market's expectation of
S&P 500 volatility over the next 30 days. The accuracy of the
calculation for VIX indicative (or spot) values depends on the quality
of bid and offer quotes for constituent SPX options series. As the
proposed additional Curb trading session has yet to be implemented, CGI
cannot currently know that the SPX option quotes displayed during those
hours will be sufficient to calculate accurate and meaningful VIX
indicative values in the same manner it does during RTH or the GTH
session.\28\ Indeed, the Exchange expects that initially there will be
overall lower levels of trading during the proposed Curb session as
compared to both RTH and the GTH session (between 3:00 a.m. and 9:15
a.m.). Therefore, CGI has determined to not calculate VIX spot values
during the proposed Curb Trading Hours. Moreover, the Exchange notes
that the proposed Curb Trading Hours is a significantly shorter trading
session than RTH or GTH (only 45 minutes versus several hours) and the
Exchange does not believe it is as meaningful or beneficial to
disseminate the index for the session given the short length of the
session. However, after the launch of the Curb Trading Hours, to the
extent CGI as index calculator determines that SPX quotes during such
session will support accurate VIX indicative values, CGI will
reconsider whether to calculate and disseminate these values during
Curb (and the Exchange would submit rule filings to amend the rules, as
necessary). The Exchange notes that it similarly did not report a value
of an index underlying an index option trading during GTH when the GTH
session was first adopted.\29\ Moreover, the Exchange recently extended
the GTH session and amended its rules to provide that it will not
report a value of an index underlying an index option trading during
those new additional hours.\30\ Additionally, as discussed further
below, the Exchange proposes to amend Rule 9.20, to make clear that any
TPH that accepts orders for customers for execution during Curb must
disclose to those customers various risks related to trading during
that trading session, including the risk that an updated

[[Page 17362]]

underlying index or portfolio value or intraday indicative value may
not be calculated or publicly disseminated during Curb.\31\ Further,
the closing value of the index from the immediately preceding RTH
session will still be available for TPHs that trade during Curb.
Proposed Rule 5.1(d)(3) (i.e., the lack of dissemination of index
values during Curb) will also have no impact on trading during Curb.
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\27\ CGI is an affiliate of the Exchange.
\28\ The Exchange only disseminates VIX indicative values during
GTH between 3:00 a.m.-9:15 a.m. The Exchange will not report a value
of VIX during GTH from 8:15 p.m. (previous day) to 3:00 a.m.,
because the value of the underlying index will not be recalculated
during this time. See Rule 5.1(c)(3).
\29\ See Securities Exchange Act Release No. 34-73704 (November
28, 2014), 79 FR 72044 (December 4, 2014) (SR-CBOE-2014-062) (order
granting accelerated approval of proposed rule change, as modified
by Amendments Nos 1 and 2, to adopt Extended Trading Hours for SPX
and VIX). Particularly, the Exchange proposed to adopt Rule 6.1A(k),
which provided ``[t]he Exchange will not report a value of an index
underlying an index option trading during Extended Trading Hours,
because the value of the underlying index will not be recalculated
during or at the close of Extended Trading Hours.''
\30\ See Securities Exchange Act Release No. 34-93403 (October
22, 2021), 86 FR 59824 (October 28, 2021) (SR-CBOE-2021-061).
\31\ The Exchange proposes to make a clarifying update to Rule
9.20 to make clear that the underlying index or portfolio value and
Intraday Indicative Value ``may not'' be (as opposed to ``will not''
be) calculated or widely disseminated during GTH or Curb. The
Exchange believes the proposed change will reduce potential
confusion given current values of VIX are in fact widely
disseminated during GTH at least once 15 seconds for a portion of
the GTH session (i.e., between 3:00 a.m. to 9:15 a.m.). See Rule
5.1(c)(3).
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Proposed Rule 5.1(d)(4) provides trading during Curb Trading Hours
is electronic only on the System. There will be no open outcry trading
on the floor during Curb Trading Hours. If in accordance with the Rules
and User's instructions an order would route to PAR, the System will
return the order to the TPH during Curb Trading Hours. The Exchange
notes that the provisions of proposed Rule 5.1(d) are substantively
similar to the corresponding rules for GTH.
Lastly, the Exchange proposes to amend Rule 5.1(e) to address how
the recently adopted Holiday hours will apply to the Curb trading
session. Currently, Rule 5.1(e), provides that subject to the holiday
schedule outlined in Rule 5.1(e)(1) and (2) (the ``Holiday Schedule''),
the Exchange is not open for business on New Year's Day, Martin Luther
King, Jr. Day, Presidents' Day, Good Friday, Memorial Day, Independence
Day, Juneteenth, Labor Day, Thanksgiving Day, or Christmas Day. Rule
5.1(e)(1) further outlines the trading hours schedule for domestic
holidays (i.e., Martin Luther King, Jr. Day, Presidents' Day, Memorial
Day, Independence Day, Labor Day, and Thanksgiving Day) \32\ and Rule
5.1(e)(2) outlines the trading hours schedule for international
holidays (i.e., Good Friday, Christmas Day and New Year's Day). The
Exchange proposes to update subparagraphs (1) and (2) of Rule 5.1(e) to
reference the Curb trading session to make clear how the holiday
schedule will impact all three trading sessions (i.e., RTH, GTH and
Curb).
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\32\ The Exchange proposes to add a reference to the Juneteenth
National Independence Day in Rule 5.1(e)(1) to make clear it is
considered a domestic holiday.
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First, the Exchange proposes to amend Rule 5.1(e)(1) which
currently provides that for domestic holidays, the trading day
following the holiday consists of the following three trading sessions:
(i) A GTH session from 8:15 p.m. on the calendar day preceding the
holiday to 11:30 a.m. on the holiday, (ii) a GTH session from 8:15 p.m.
on the holiday, or if the holiday is on a Friday, on the Sunday
following the holiday, to 9:15 a.m. on the trading day, and (iii) a RTH
session on the trading day. Particularly, the Exchange proposes to
update Rule 5.1(e)(1) to provide that the trading day following a
domestic holiday will consist of four (instead of three) trading
sessions, including a Curb Trading Hours session on the trading day
following a domestic holiday. Proposed Rule 5.1(e)(1) would also make
clear that there will no RTH or Curb session on the day a domestic
holiday is observed.\33\
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\33\ The following illustrates the domestic holiday schedule
using Memorial Day as an example. The holiday GTH session preceding
Memorial Day will start at 8:15 p.m. on the Sunday prior to Memorial
Day and end at 11:30 a.m. on Memorial Day. The market will then be
closed at 11:30 a.m. on Memorial Day (Monday) (i.e., there will be
no RTH or Curb session on Memorial Day). The next GTH trading
session will begin at 8:15 p.m. on Memorial Day and proceed as
normal until 9:15 a.m. on the Tuesday following Memorial Day, which
will be followed by a normal RTH session that begins as 9:30 a.m. on
Tuesday, followed by a normal Curb session that begins at 4:15 p.m.
on Tuesday. All trading from Sunday night through Tuesday Curb
market close is considered to be part of the Tuesday trading day.
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The Exchange similarly proposes to amend Rule 5.1(e)(2) which
currently provides that for international holidays, the trading day
following the holiday consists of the following two trading sessions:
(i) A GTH session from 8:15 p.m. on the holiday, or if the holiday is
observed on a Friday, on the Sunday following the holiday, to 9:15 a.m.
on the trading day and (ii) a RTH session on the trading day. The
Exchange proposes to update Rule 5.1(e)(2) to provide that the trading
day following an international holiday will consist of three (instead
of two) trading sessions and make clear that the trading day following
an international holiday includes a Curb Trading Hours session.
Proposed Rule 5.1(e)(2) would also make clear that there will be no RTH
or Curb session on the day an international holiday is observed nor a
GTH session that immediately precedes the day an international holiday
is observed.\34\
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\34\ The following illustrates the international holiday
schedule using Good Friday as an example. Particularly, there will
be no GTH session immediately preceding Good Friday (i.e., no GTH
session that starts on Thursday). Rather, the market will be closed
from Curb market close on the Thursday preceding Good Friday until
the GTH session that starts at 8:15 p.m. on the Sunday following
Good Friday. All trading from Sunday night through Curb market close
on the following Monday is for a trading day of Monday.
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Definitions
The Exchange proposes to adopt and amend various definitions under
Rule 1.1 (Definitions) in connection with the proposed Curb trading
session as follows:
<bullet> ``All Sessions Class.'' An ``All Sessions'' class is a
class that is currently eligible to trade during both GTH and RTH. The
Exchange proposes to amend the definition so that such term applies to
an options class the Exchange lists for trading during all three
trading sessions (i.e., RTH, GTH and Curb).\35\
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\35\ At this time, SPX, XSP and VIX are the only classes that
will be designated as eligible for trading during Curb. Because
these classes are also eligible to trade during RTH and GTH, they
will be considered ``All Sessions classes''.
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<bullet> ``Book and Simple Book.'' As noted above, the Book used
during Curb will be the same Book used during RTH and GTH. The Exchange
therefore proposes to amend this definition so that such terms mean the
electronic book of simple orders and quotes maintained by the System,
which single book will be used during all three trading sessions,
including Curb.
<bullet> ``Business Day and Trading Day.'' The Exchange proposes to
reflect that a business day or trading day includes all trading
sessions on that day (which includes GTH, RTH and Curb). Further, the
Exchange will make clear that a business day or trading day that
immediately follows a domestic holiday pursuant to Rule 5.1(e) includes
the RTH session, the Curb session that immediately follows it, and the
two GTH sessions that immediately precede it.
<bullet> ``Curb Trading Hours and Curb.'' The Exchange proposes to
adopt a new term and definition for the new trading session and
specifically proposes to provide the terms ``Curb Trading Hours'' and
``Curb'' mean the trading session consisting of the hours outside of
RTH and GTH during which transactions in options may be effected on the
Exchange and are set forth in Rule 5.1. Having a separate definition
for each trading session allows the Exchange Rules to reflect these
differences and the separation of the trading sessions.
<bullet> ``Global Trading Hours and GTH.'' The Exchange also
proposes to update the definition to add a reference to the new Curb
Trading Hours.
<bullet> ``Trading Session.'' The Exchange lastly proposes add a
reference to Curb Trading Hours in this definition to provide that
trading sessions will refer to the hours during which the Exchange is
open for trading for RTH, GTH or Curb.

[[Page 17363]]

Exchange Determinations
Generally, trading during the Curb trading session will occur in
the same manner as it occurs during the RTH trading session. However,
because the Curb market may have different characteristics than the RTH
market (such as all electronic trading, lower trading levels, reduced
liquidity, and fewer participants), the Exchange may deem it
appropriate to make different determinations for trading rules for each
trading session. For similar reasons as it relates to GTH, Rule 1.5(b)
currently states to the extent the Rules allow the Exchange to make a
determination, including on a class-by-class or series-by-series basis
or a group basis, if the Exchange determines to list SPX or VIX on a
group basis pursuant to Rule 4.13,\36\ the Exchange may make a
determination for GTH that differs from the determination it makes for
RTH. The Exchange proposes to amend Rule 1.5(b) to similarly allow the
Exchange to make a determination for Curb that differs from the
determination it makes for RTH or GTH (i.e., the Exchange will be
allowed to make a determination on a trading session-by-trading session
basis). The Exchange maintains flexibility with respect to certain
rules so that it may apply different settings and parameters to address
the specific characteristics of that class and its market.\37\ The
Exchange represents that it will have appropriate personnel available
during Curb to make any determinations that Rules provide the Exchange
or Exchange personnel will make (such as trading halts, opening series,
and obvious errors).
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\36\ The Exchange may list SPX or VIX on a group basis. See Rule
4.13(f). When determining whether to list a class on a group basis,
the Exchange intends to generally select series with common
expirations or classifications (e.g., end-of-week series or end-of-
month series, short-term option series, long-term option series, or
series that expire on a particular expiration date) and trade them
under individual listing symbols. For example, the Exchange
currently lists SPX options in two groups. Particularly, the
Exchange lists SPX options with A.M.-settled standard third-Friday
expirations under symbol ``SPX'' and lists options on the S&P 500
Index with P.M.-settled standard third-Friday expirations and
nonstandard expirations with all other expirations under symbol
``SPXW.'' If the Exchange lists SPX or VIX on a group basis, the
Exchange may apply different trading parameters (including different
allocation algorithms) to each group. The Exchange may also
determine the eligible categories of Market-Maker participants for
each group (Designated Primary Market-Makers (``DPMs''), Lead
Market-Makers (``LMMs''), or Market-Makers).
\37\ For example, Rule 5.32(a) allows the Exchange to determine
electronic allocation algorithms on a class-by-class basis; Rule
5.52(e)(2) allows the Exchange to determine bid/ask differential
requirements on a class-by-class basis; Rules 5.34(a)(2),
5.34(a)(4)(C), 5.34(a)(5), 5.34(b)(6), and Rules 5.34(c)(1) and (10)
allow the Exchange to set certain price reasonability checks on a
class-by-class basis; and Rules 5.37(a)(1), 5.38(a)(1), 5.39(a)(1),
and 5.40(a)(1), allow the Exchange to activate various auctions on a
class-by-class basis. Because trading during Curb will be electronic
only, and because trading during Curb may be different than RTH
(such as lower trading levels, reduced liquidity and fewer
participants), the Exchange believes it is appropriate to extend
this flexibility to each trading session.
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Exchange Order Types, Order Instructions and Times-in-Force
The Exchange next proposes to amend various exchange rules relating
to available order types, order instructions and times-in-force the
Exchange may make available during Curb. First, the Exchange proposes
to amend Rule 5.6 (Order Types, Order Instructions and Times-in-Force)
to make clear that all order types, order instructions, and times-in-
force the Exchange makes available in an All Sessions class for RTH
electronic trading are available in that class for Curb electronic
trading (just as it is for GTH electronic trading), except as otherwise
specified in the Rules.\38\ The Exchange notes that it may not permit
certain order types or order instructions to be applied to orders
during Curb that it does permit during RTH and/or GTH (i.e., the
Exchange has the discretion to not make available certain order types
or Order Instructions otherwise listed under Rules 5.30(a) and (b) and
proposed Rule 5.30(c)).
---------------------------------------------------------------------------

\38\ For example, market orders, stop, and stop-limit orders
will not be eligible for trading during Curb, just as they are not
eligible for trading during GTH. See Rules 5.6(b) and (c).
---------------------------------------------------------------------------

Order Types
The Exchange proposes to amend Rule 5.6(b) to provide that Users
may not designate a market order as RTH and Curb.\39\ Currently, market
orders are not eligible for trading during GTH and as such, any order
designated as ``All Sessions'' cannot be designated a market order.
Similar to GTH, the Exchange notes there may be reduced liquidity,
higher volatility, and wider spreads during Curb. Therefore, the
Exchange believes it is appropriate to not allow these orders to
participate in Curb trading in order to protect customers should wide
price fluctuations occur due to the potential illiquid and volatile
nature of the market or other factors that could impact market
activity.
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\39\ The Exchange also proposes to correct an inadvertent
marking error that resulted in an incorrect rule reference to Rule
6.8(c) instead of Rule 5.5(c) in the definition of ``Market Order''
under Rule 5.6(b). See Securities Exchange Act Release No. 34-87320
(October 16, 2019), 84 FR 56501 (October 22, 2019) (SR-CBOE-2019-
033). 5.6(b) and (c). [sic]
\39\ The Exchange also proposes to correct an inadvertent
marking error that resulted in an incorrect rule reference to Rule
6.8(c) instead of Rule 5.5(c) in the definition of ``Market Order''
[sic] under Rule 5.6(b) [sic]. See Securities Exchange Act Release
No. 34-86374 (July 15, 2019), 84 FR 34963 (July 19, 2019) (SR-CBOE-
2019-033).
---------------------------------------------------------------------------

Order Instructions
The Exchange first proposes to update the ``All Sessions'' order
description under Rules 5.6(c) and 5.33(b)(5) to make clear that orders
designated as ``All Sessions'' (simple and complex, respectively) are
eligible to trade in all trading sessions (i.e., RTH, GTH and Curb).
The Exchange also proposes to update the ``All Sessions'' description
under Rules 5.6(c) and 5.33(b)(5) to further clarify what happens to
unexecuted All Sessions orders at the end of the RTH and Curb trading
sessions. Currently, Rule 5.6(c) specifies that an unexecuted All
Sessions order on the GTH Book \40\ at the end of a GTH session enters
the RTH Queuing Book and becomes eligible for execution during the RTH
opening rotation and trading session on that same trading day (subject
to a User's instructions). The Exchange proposes to further amend Rule
5.6(c) to clarify that (i) an unexecuted All Sessions order on the Book
at the end of the RTH trading session remains on the Book and becomes
eligible for execution during the Curb trading session on that same
trading day, subject to a User's instructions and (ii) an unexecuted
All Sessions order on the Book at the end of the Curb trading session
enters the GTH Queuing Book and becomes eligible for execution during
the GTH opening rotation and trading session on the next day, subject
to a User's instructions.\41\ The Exchange proposes to also add for
clarity language providing that All Sessions ``Day'' orders on the Book
at the conclusion of the Curb session will be canceled. Similar to Rule
5.6(c), Rule 5.33(b)(5) provides that an unexecuted All Sessions
complex order resting in the Complex Order Book (``COB'') at the end of
a GTH trading session remains in the COB and becomes eligible for
execution during the RTH COB Opening Process or trading session on that
same trading day, subject to a User's instructions. Similar to the
proposed changes to Rule 5.6(c), the Exchange proposes to update the
``All Sessions'' description under

[[Page 17364]]

Rule 5.33(b)(5) to make clear that (i) an unexecuted All Sessions
complex order resting in the COB at the end of the RTH trading session
remains in the COB and becomes eligible for execution during the Curb
trading session on that same trading day, subject to a User's
instructions and (ii) an unexecuted All Sessions complex order resting
in the COB at the end of a Curb trading session remains in the COB and
becomes eligible for execution during the GTH COB Opening Process or
trading session on the next trading day, subject to a User's
instructions.\42\ The Exchange also proposes to add for clarity
language providing that All Sessions ``Day'' complex orders resting in
the COB at the conclusion of the Curb session will be canceled.
---------------------------------------------------------------------------

\40\ Since the term ``Book'' refers to a single book that is
used during all trading sessions, the Exchange proposes to eliminate
references to ``GTH'' or ``RTH'' preceding the term Book to avoid
potential confusion.
\41\ An unexecuted RTH Only simple order would not persist into
the Curb or GTH sessions at the end of the RTH trading session as
such orders are not eligible to trade during either of those
sessions. Similarly, an unexecuted RTH and Curb simple order would
not persist into the GTH session at the end of the Curb trading
session as such orders will not be eligible to trade during GTH.
\42\ An unexecuted RTH Only complex order on the COB would not
persist into the Curb or GTH sessions at the end of the RTH trading
session as such orders are also not eligible to trade during either
of those sessions. Similarly, an unexecuted RTH and Curb complex
order would not persist into the GTH session at the end of the Curb
trading session as such orders will not be eligible to trade during
GTH.
---------------------------------------------------------------------------

The Exchange also proposes to amend certain other order
descriptions under Rules 5.6(c). and Rule 5.33(b)(5) (Complex Orders).
Particularly, the Exchange proposes to amend the descriptions of ``All-
or-None or AON'' under Rule 5.6(c), ``Delta-Adjusted at Close or DAC''
under Rules 5.6(c) and 5.33(b)(5), and ``Stop (Stop-Loss)'' and ``Stop-
Limit'' under Rule 5.6(b) to provide that Users may not designate the
foregoing orders as RTH and Curb. Users similarly cannot designate such
orders as All Sessions (i.e., they are not currently eligible for GTH).
The Exchange also proposes to amend the description of ``RTH Only''
orders under Rules 5.6(c) and 5.33(b)(5) to clarify that such orders
are those that a User designates as eligible to trade only during RTH,
or that are not designated as All Sessions or RTH and Curb.
Additionally, the Exchange proposes to clarify that unexecuted RTH Only
orders with a Time-in-Force of GTC or GTD on the Book (or COB) at the
end of an RTH trading session are not eligible for execution during the
Curb trading session on the same trading day (in addition to the
current reference to not being eligible for the GTH trading session on
the following trading day).\43\
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\43\ The Exchange also proposes to make a clarifying change to
the description of ``RTH Only'' orders under Rule 5.33(b)(5) to
explicitly reference the ``COB Opening Process'' in order to make
clear that any unexecuted RTH Only order with a Time-in-Force of GTC
or GTD on the COB at the end of a RTH trading session remains on the
COB and becomes eligible for execution during the RTH COB Opening
Process, which is what happens today. The language is consistent
with the definition of ``RTH Only'' for simple orders under Rule
5.6(c).
---------------------------------------------------------------------------

To provide investors with the flexibility to have their orders and
quotes execute during (i) RTH, (ii) RTH, GTH and Curb or only (iii) RTH
and Curb, the proposed rule change adds a ``RTH and Curb'' order to the
rules. More specifically, the Exchange proposes to adopt a description
of ``RTH and Curb'' orders under both Rule 5.6(c) and Rule 5.33(b)(5)
which will describe orders that are designated to trade only during RTH
and Curb trading sessions. Particularly, an RTH and Curb Order will be
an order (including a bulk message) a User designates as eligible to
trade only during RTH and Curb or not designated as All Sessions or RTH
Only. An unexecuted RTH and Curb order with a Time-in-Force of GTC or
GTD on the Book (or COB) at the end of an RTH trading session remains
in the Book (or COB) and becomes eligible for execution during the Curb
trading session on the same trading day (but not during the GTH trading
session on the following trading day), subject to a User's
instructions. An unexecuted RTH and Curb order with a Time-in-Force of
GTC or GTD on the Book (or COB) at the end of a Curb trading session
enters the RTH Queuing Book (or COB) and becomes eligible for execution
during the RTH opening rotation (or COB Opening Process) and trading
session on the following trading day (but not during the GTH trading
session on the following trading day), subject to a User's
instructions. Additionally, all RTH and Curb Day orders resting on the
Book (or COB) at the conclusion of the Curb trading session will be
canceled.
Times-in-Force
The Exchange proposes to update the time times-in-force description
of a ``Day'' order or quote under Rule 5.6(c) to make clear that any
order or quote so designated, if not executed, will expire at the RTH
market close for RTH Only orders (as such orders are not eligible for
Curb or GTH) and expire at Curb market close for all All Sessions and
RTH and Curb orders (as Curb is the last trading session of a given
trading day).
The Exchange lastly proposes to update the Limit-on-Close (``LOC'')
definition to provide that a User may not designate an LOC order as All
Sessions or RTH and Curb, as the execution of LOC orders is linked to
the RTH market close.
Availability of Orders and Quotes for Electronic Processing
The Exchange next proposes to amend Rule 5.30 (Availability of
Orders and Quotes for Electronic Processing) to adopt new subparagraph
(c), which will specify which order types, order instructions and
times-in-force the Exchange may choose to make available during the
Curb session. Specifically, the Exchange proposes to provide the
Exchange may make the following available during Curb (the Exchange
notes it also currently may make all these (other than RTH and Curb)
available during GTH):

(1) Order Types: Limit order.
(2) Order Instructions: Attributable, Book Only, All Sessions,
Cancel Back, Compression/PCC, Electronic Only, Match Trade
Prevention (``MTP'') Modifier, Minimum Quantity, Non-Attributable,
Post Only, Price Adjust, Reserve Order, and RTH and Curb.
(3) Times-in-Force: Day, Fill-or-Kill (``FOK''), Good-til-
Cancelled (``GTC''), Good-til-Date (``GTD''), Immediate-or-Cancel
(``IOC''), At the Open (``OPG'').\44\
---------------------------------------------------------------------------

\44\ Orders designated as OPG for the Curb session will
generally be rejected unless circumstances require an opening
rotation to occur in which case, they will be accepted. As discussed
more fully below, the Curb session does not normally have an opening
rotation, however an opening rotation may occur if the Exchange
determines to start Curb after 4:15 p.m. or after any trading halt
during the Curb session.
---------------------------------------------------------------------------

(4) Complex Orders: Complex orders (see Rule 5.33 for types of
complex orders) with a ratio greater than or equal to one-to-three
(.333) and less than or equal to three-to-one (3.00) (except for
Index Combo orders).

The Exchange also proposes to amend Rule 5.70, which sets forth
order types, order instructions and times-in-force available for FLEX
options, to add ``RTH and Curb'' to the list of available order
instructions.
Entry of Orders and Quotes
The Exchange proposes to amend Rule 5.7 (Entry of Orders and
Quotes) to clarify that Users can enter orders and quotes into the
system or cancel previously entered orders and quotes from 8:00 p.m.
until Curb market close (instead of RTH market close). Further, the
Exchange proposes to update the time under Rule 5.7(e) that Users may
cancel orders and quotes with Time-in-Force of GTC or GTD that remain
on the book from 4:45 p.m. to 5:15 p.m. The Exchange notes that the
proposed rule change would allow Users to cancel any GTC and GTD orders
until 5:15 p.m., not just orders in All Sessions classes. The Exchange
believes the proposed rule change provides Users with additional
flexibility to manage their orders in all classes that remain in the
Book following the Curb market close. In particular, the proposed rule
change will provide Users with All Sessions and RTH and Curb GTC and
GTD orders with the same time period following the end of Curb to
cancel orders and provide Users with RTH Only GTC and

[[Page 17365]]

GTD orders with additional time to cancel orders. The Exchange notes
that cancelling a RTH Only GTC or GTD order at 5:15 p.m. has the same
effect as cancelling that order at 4:45 p.m.--ultimately it
accommodates the User's goal of cancelling an order prior to it
potentially executing during the RTH Opening Process the following
morning (i.e., it merely provides 30 additional minutes to cancel a RTH
Only GTC or GTH order).
Trading Halts
The Exchange next proposes to amend Rule 5.20 (Trading Halts). By
way of background, Rule 5.20(a) provides that any two Floor Officials,
in consultation with a designated senior executive officer of the
Exchange, may halt trading in any security in the interests of a fair
and orderly market and to protect investors and sets forth several
different factors that may be considered in making the foregoing
determination. Rule 5.20(b) provides that trading in a security that
has been the subject of a halt under paragraph (a) above may be resumed
(as described in Rule 5.31(g)) \45\ upon a determination by two Floor
Officials, in consultation with a designated senior executive officer
of the Exchange, that the interests of a fair and orderly market are
best served by a resumption of trading. It also states that among the
factors to be considered in making this determination are whether the
conditions which led to the halt are no longer present. Rule 5.20(d)
sets forth exceptions relating to trading halts and resumptions in
index options. In particular, Rule 5.20(d) provides that when the hours
of trading of the underlying primary securities market for an index
option do not overlap or coincide with those of the Exchange, and
during Global Trading Hours, Rule 5.22 (which describes market-wide
trading halts due to extraordinary market volatility) and subparagraphs
(a)(3) and (5) (the factors applicable to index options) and
subparagraph (b) of Rule 5.20 do not apply, except for subparagraph
(a)(6).\46\ By way of further background, Rule 5.20(a)(3) provides that
in the case of an index option, the Exchange may consider: (A) The
extent to which trading is not occurring in the stocks or options
underlying the index; (B) the current calculation of the index derived
from the current market prices of the stocks is not available; or (C)
the ``current index level,'' which is the implied forward level based
on volatility index (security) futures prices, for a volatility index
is not available or the cash (spot) value for a volatility index is not
available. Rule 5.20(a)(5) provides that the Exchange may consider the
extent to which the opening process pursuant to Rule 5.31 has been
completed or other factors regarding the status of the opening process.
---------------------------------------------------------------------------

\45\ Rule 5.31(g) describes the opening auction process that
takes place upon the resumption of trading following a trading halt
and is applicable to all trading sessions.
\46\ The Exchange proposes to eliminate the reference to Rule
5.20(a)(6) in Rule 5.20(d). Pursuant to Rule 5.20(a)(6) the Exchange
may consider whether other unusual conditions or circumstances are
present, including the activation of price limits on futures
exchanges or the halt of trading in related futures with respect to
index options. The Exchange notes that Rule 5.20(a)(6) will continue
to apply during GTH (and Curb) notwithstanding the proposed rule
change. The Exchange believes the applicability of Rule 5.20(a)(6)
is implied and otherwise clear and that it is not necessary to
explicitly reference this provision under subparagraph (d) of Rule
5.20.
---------------------------------------------------------------------------

Generally, in connection with Rule 5.20, the Exchange considers
halting trading only in response to unusual conditions or
circumstances, as it wants to interrupt trading as infrequently as
possible and only if necessary, to maintain a fair and orderly market.
The proposed rule change amends Rule 5.20(d) to indicate that
subparagraph (a)(3) of Rule 5.20 also does not apply to Curb (just as
it does not apply during GTH). In particular at least one of the
primary listing markets is not open during the proposed Curb
session.\47\ Additionally, as discussed above, the index values
(including the spot value for VIX) will not be calculated during
Curb.\48\ Thus, the Exchange believes it is appropriate to exclude Curb
from the application of Rule 5.20(a)(3) because the factors in that
provision will always be true during Curb, whereas during RTH, it would
be unusual, for example, for stocks or options underlying an index to
not be trading or the current calculation of the index to not be
available. Exclusion of Curb from this provision will allow trading
during Curb to occur despite the existence of those conditions (if the
Exchange considered the existence of those conditions during Curb,
trading during Curb could be halted every day). It is appropriate for
the Exchange to consider any unusual conditions or circumstances
detrimental to the maintenance of a fair and orderly market during
Curb, which may, for example, include whether the underlying primary
securities market was halted at the close of the preceding RTH session
(in which case the Exchange will evaluate whether the condition that
led to the halt has been resolved or would not impact trading during
Curb) or significant events that occur during Curb.
---------------------------------------------------------------------------

\47\ For example, the New York Stock Exchange, LLC (``NYSE'')
does not offer trading hours during the proposed hours of the Curb
session. See NYSE Rules 1.1 and 7.34. Specifically, NYSE Rule 1.1
defines ``Core Trading Hours'' as the hours between 9:30 a.m.
through 4:00 p.m. ET and NYSE Rule 7.34 provides the Exchange has
two trading sessions each day: (1) The ``Early Trading Session''
which begins at 7:00 a.m. and concludes at the commencement of the
Core Trading Session and (2) the Core Trading Session, which as
defined in NYSE Rule 1.1, begins at 9:30 a.m. and concludes at 4:00
p.m. ET.
\48\ See proposed Rule 5.1(d)(3).
---------------------------------------------------------------------------

While the Exchange proposes to exclude application of Rule
5.20(a)(3) from the Curb session, the Exchange does not believe there
are any distinguishing factors between Curb (or GTH) and RTH that
warrants subparagraph (a)(5) (the provision that allows the Exchange to
consider the extent to which the opening process has been completed) or
Rule 5.20(b) (i.e., the provision that allows the Exchange to resume
trading) to not apply. Indeed, the Exchange sees no reason why it
should not consider the extent to which the opening process has been
completed or other factors regarding the status of the opening process
during either GTH or Curb. Although there will be no opening process to
initiate the Curb session, there may still be an opening process
pursuant to Rule 5.31(g) that may occur should a trading halt be
declared during Curb. As such, the Exchange believes it's appropriate
to not preclude this factor from being considered during either GTH or
Curb. The Exchange also sees no reason why it should not allow the
resumption of a halted security during GTH or Curb if a determination
is made by two Floor Officials, in consultation with a designated
senior executive officer of the Exchange, that the interests of a fair
and orderly market are best served by a resumption of trading,
including when the conditions that led to the trading halt are no
longer present. For example, during GTH, the Exchange shall
automatically halt for a prescribed period of time if certain events
transpire on the Chicago Mercantile Exchange (``CME'') during its
Overnight Trading Hours (``OTH'') session. Specifically the Exchange
will halt trading during GTH for a prescribed period of time where
there is a halt of trading in related futures on CME during the CME OTH
session due to the activation of a Dynamic Price Fluctuation Limit or
when a related future is in a limit state on CME due to an activation
of the CME OTH Price Limit.\49\ The Exchange believes that
notwithstanding its rules relating to automated halts and trading
resumptions, it is appropriate to also

[[Page 17366]]

provide the Exchange the ability to manually resume trading at any time
pursuant to Rule 5.20(b) if it believes the interests of a fair and
orderly market are best served by doing so. For example, it may be in
the interests of fair and orderly markets to resume trading once the
conditions which led to a halt are no longer present, such as when a
trading halt in related futures with respect to index options has
ended, or a futures product is no longer in a limit state.
---------------------------------------------------------------------------

\49\ See Cboe Options Rule 5.20(f)(1) and (2).
---------------------------------------------------------------------------

The Exchange next proposes to amend Rule 5.20(d) with respect to a
reference to Rule 5.22. Under Rule 5.22 (Market-wide Trading Halts due
to Extraordinary Market Volatility), the Exchange will halt trading in
all classes whenever a market-wide trading halt (commonly known as a
circuit breaker) is initiated in response to extraordinary market
conditions. Rule 5.22(b)(1) states that the Exchange will halt trading
for 15 minutes if a Level 1 or Level 2 Market Decline occurs after 9:30
a.m. and up to and including 3:25 p.m. (or 12:25 p.m. for an early
scheduled close). Additionally, the Exchange will not halt trading if a
Level 1 or Level 2 Market Decline occurs after 3:25 p.m. (or 12:25
p.m., if applicable). Rule 5.22(b)(2) states that the Exchange will
halt trading until the next trading day if a Level 3 Market Decline
occurs. As referenced under Rule 5.20(d), Rule 5.22 does not currently
apply during the GTH session. Particularly, Rule 5.22(b)(1) does not
apply, as the beginning of GTH occurs past the 15-minute halt window
for a Level 1 or Level 2 Market Decline. The Exchange believes Rule
5.22(b)(1) should similarly not apply during Curb because the beginning
of the proposed Curb session would occur past the 15-minute halt window
for a Level 1 or Level 2 Market Decline. Additionally, pursuant to Rule
5.22(c)(1)(B), if a circuit breaker is initiated in all stocks due to a
Level 1 or Level 2 Market Decline, the Exchange may resume trading in
stock index options any time after the 15-minute halt period.\50\ Rule
5.22(b)(2) also does not apply during GTH, as the GTH session is
considered the next trading day and Rule 5.22(b)(2) requires the
Exchange to halt trading until the ``next'' trading day if a Level 3
Market Decline occurs at any time during the trading day. Unlike GTH
however, the Curb session is considered the same trading day as the
preceding RTH session, and therefore, unlike GTH, Rule 5.22(b)(2) can
and should apply. Accordingly, the Exchange proposes to amend Rule
5.20(d) to make clear that the only applicable trading halt provisions
that do not apply during GTH and Curb are Rules 5.22 and 5.20(a)(3),
with the exception of Rule 5.22(b)(2) which will apply during Curb.
---------------------------------------------------------------------------

\50\ See Rule 5.22(c)(1)(B), which provides that if a circuit
breaker is initiated in all stocks due to a Level 1 or Level 2
Market Decline, the Exchange will halt trading in all other stock
options not specified in subparagraph (c)(1)(A) (e.g., stock index
options, such as VIX, SPX and XSP) and may resume trading in such
options any time after the 15-minute halt period (i.e., the Exchange
will be able to resume trading after a Level 1 or Level 2 Market
Decline no later than 3:40 p.m., which is 15 minutes after 3:25 p.m.
(the latest time the Exchange may halt pursuant to Rule 5.22(b)(1))
and 35 minutes prior to the start of the proposed Curb session). See
also Securities Exchange Act Release No. 34-61450 (September 28,
2011), 76 FR 61447 (October 4, 2011) (SR-CBOE-2011-087).
---------------------------------------------------------------------------

Opening Auction Process
As discussed above, the Exchange does not intend to adopt an
opening auction process for either simple or complex orders to commence
the Curb trading session as the proposed start time of Curb immediately
follows the close of RTH. As such, there will be no Curb-specific
queuing period or opening rotation trigger to initiate the Curb
session. Instead, at 4:15 p.m., the RTH trading session will seamlessly
transition directly into the Curb trading session, and any All Sessions
orders resting on the Book will remain on the book and become eligible
for execution during Curb subject to a User's instructions. In
connection with the proposal, the Exchange proposes to amend Rules 5.31
and 5.33 to make clear that under normal circumstances there will be no
opening rotation at the start of Curb. Particularly, the Exchange
proposes to amend Rule 5.31(d), which sets forth various triggers upon
which the System will initiate an opening rotation for the series in a
class, by adopting new subparagraph (3) to explicitly provide that the
System will not initiate an opening rotation at the start of the Curb
Trading Hours. The Exchange also proposes to address what happens in
the event Curb does not start immediately at 4:15 p.m. As noted above,
proposed Rule 5.1(d) will provide that Curb will operate from 4:15 p.m.
to 5:00 p.m., except under unusual conditions as may be determined by
the Exchange. If such conditions result in a determination to start
Curb sometime after 4:15 p.m., the Exchange will need to initiate an
opening rotation to start the Curb session as there would then be a
``gap'' between RTH and Curb and the transition would no longer be
seamless. As such, the Exchange proposes to also add language to
proposed Rule 5.31(d)(3) which would provide that should the Exchange
determine to start Curb after 4:15 p.m. due to unusual conditions as
may be determined by the Exchange, the Exchange will utilize an opening
rotation to initiate the session at a time to be announced by the
Exchange. Proposed Rule 5.31(d)(3) would also clarify that the queuing
period for any such opening rotation would begin at 4:15 p.m. The
Exchange also proposes to make clear in Rule 5.31(d)(3) that the
Exchange will follow the opening auction process described in Rule
5.31(g) to resume trading following the declaration of a trading halt
during Curb Trading Hours.
Similarly, the Exchange proposes to amend Rule 5.33(c), which
describes the COB Opening Process, to clarify that the System will not
initiate the COB Opening Process at the start of Curb. More
specifically, Rule 5.33(c) currently provides that the COB Opening
Process occurs at the beginning of each trading session and after a
trading halt. The Exchange proposes to update Rule 5.33(c) to make
clear that the COB Opening Process occurs only at the beginning of RTH
and GTH (instead of ``each'' trading session). The Exchange notes that
should a trading halt be declared during Curb, the Exchange will
utilize the COB Opening Process described under Rule 5.33(c) upon a
resumption of trading. Similar to proposed Rule 5.31(d)(3), the
Exchange proposes to adopt new Rule 5.33(c)(3) to explicitly provide
that there will be no COB Opening Process at the start of the Curb
Trading Hours. Proposed Rule 5.33(c)(3) will also address what happens
in the event Curb does not start immediately at 4:15 p.m. That is, if
such conditions result in a determination to start Curb sometime after
4:15 p.m., the Exchange will initiate the COB Opening Process at a time
to be announced by the Exchange. Proposed Rule 5.33(c)(3) would also
clarify that the System will accept complex orders for inclusion in the
COB Opening Process beginning at 4:15 p.m. The Exchange will also make
clear in proposed Rule 5.33(c)(3) that the Exchange will follow the COB
Opening Process described in Rule 5.33(c) to resume trading following
the declaration of a trading halt during Curb Trading Hours. The
Exchange believes the proposed rule changes relating to the opening
processes for simple and complex orders (or lack thereof) provides
transparency as to how the Exchange will initiate the Curb session
under normal circumstances, as well as in the event unusual conditions
result in the Curb session starting after 4:15 p.m.
Market-Maker Rules
Current Rule 5.50(a) (Market-Maker Appointments) provides that a
Market-Maker's selected class appointment

[[Page 17367]]

applies to classes during all trading sessions. In other words, if a
Market-Maker selects an appointment in SPX options, for example, that
appointment would apply during both GTH, RTH and Curb (and thus, the
Market-Maker would have an appointment to make markets in SPX during
GTH, RTH and Curb). As a result, the Market-Maker continuous quoting
obligations set forth in Rule 5.52(d) applies to the class for an
entire trading day (including all three trading sessions). Pursuant to
Rule 5.52(d), a Market-Maker must enter continuous bids and offers in
60% of the series of the Market-Maker's appointed classes, excluding
any adjusted series, any intra-day add-on series on the day during
which such series are added for trading, any Quarterly Option series,
and any series with an expiration of greater than 270 days.\51\ The
Exchange calculates this requirement by taking the total number of
seconds the Market-Maker disseminates quotes in each appointed class
(excluding the series noted above) and dividing that time by the
eligible total number of seconds each appointed class is open for
trading that day. The Exchange also notes however, that pursuant to
Rule 5.52(d)(2)(E), the obligations apply only when the Market-Maker is
quoting in a particular class during a given trading day and the
obligations are not applicable to an appointed class if a Market-Maker
is not quoting in that appointed class. Accordingly, if a Market-Maker
does not wish to quote during the proposed new Curb trading session,
but does quote the current RTH hours, then so long as the Market-Maker
doesn't log in and quote starting at 4:15 p.m., the time between 4:15
p.m. and 5:00 p.m. (the Curb session) won't be considered when
determining a Market-Maker's compliance with the quoting obligations.
Accordingly, the Exchange believes the addition of the proposed Curb
Trading Hours session will have a de minimis, if any, impact on a
Market-Maker's continuous quoting obligations, as they may continue to
choose when to actively quote and have their obligations to their
appointed classes apply.\52\ Moreover, selecting an appointment in SPX
or VIX options will be optional and within the discretion of a Market-
Maker. Additionally, Market-Makers have the opportunity to quote during
Curb (and receive the benefits of acting as a Market-Maker with respect
to transactions it effects during that time) without obtaining an
additional Trading Permit or creating additional connections to the
Exchange. Given this ease of access to the Curb trading session, the
Exchange believes Market-Makers may be encouraged to quote during the
trading session. The Exchange believes Market-Makers will continue to
have an incentive to quote during Curb given the significance of the
SPX and VIX within the financial markets, the expected demand, and
given that the related futures also trading during those hours (which
may permit execution of certain hedging strategies). The Exchange
believes continuing to extend a Market-Maker's appointment to Curb
notwithstanding the proposed extension of the trading session will
enhance liquidity during that trading session, which benefits all
investors during those hours. Therefore, the Exchange believes the
proposed rule change provides customer trading interest with a net
benefit and continues to maintain a balance of Market-Maker benefits
and obligations.
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\51\ See Rule 5.52(d)(2).
\52\ See Proposed Rule 5.52(d)(2)(E).
---------------------------------------------------------------------------

With respect to Lead-Market-Makers (``LMMs''), the Exchange plans
to utilize the same LMM structure it uses today during GTH. More
specifically, Rule 3.55 (LMMS) currently provides that the Exchange may
approve one or more Market-Makers to act as LMMs in each class during
GTH. Further, subparagraph (b) of Rule 5.55 (LMMs) provides that if a
LMM is approved to act as an LMM during GTH, then the LMM must comply
with the continuous quoting obligation and other obligations of Market-
Makers set forth in Rule 5.52(d)(2) but does not have to comply with
the obligations under Rule 5.55(a). Additionally, subparagraph
(a)(2)(B)(iv) of Rule 5.32 (Order and Quote Book Processing, Display,
Priority and Execution) provides that the DPM/LMM/PMM participation
entitlement does not apply during GTH. Similar to GTH, the Exchange
expects lower trading liquidity and trading levels during Curb as
compared to RTH, and thus fewer opportunities for an LMM to receive a
participation entitlement. As such, the Exchange does not expect that
the RTH obligation/benefit structure would provide a similar incentive
during Curb. More specifically, without the possibility of receiving a
participation entitlement on a sufficient volume of trades, the
Exchange believes there would be insufficient incentive for LMMs to
undertake an obligation to quote at heightened levels, which could
result in even lower levels of liquidity. The Exchange therefore
proposes to amend Rules 3.55, 5.55 and 5.32 to add references to Curb
such that the same LMM rules that are used during GTH will also apply
during Curb.\53\ Accordingly, LMMs appointed in the Curb session will
not be obligated to satisfy heightened continuous quoting and opening
quoting standards during Curb, nor will they receive a benefit in
exchange for satisfying an obligation (i.e., LMMs will not receive a
participation entitlement during Curb).\54\
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\53\ The Exchange notes that it may appoint LMMs in both GTH and
Curb, neither GTH nor Curb or only GTH or Curb. The Exchange also
notes that to the extent it determines to appoint LMMs in both GTH
and Curb, such LMM may, but is not required to be, the same LMM for
each trading session.
\54\ The Exchange may determine in the future to adopt via a
separate rule filing an incentive program that would provide
appointed LMMs a rebate if they meet certain heightened continuous
quoting standards during the proposed additional hours, if the
Exchange believes it is necessary to encourage LMMs to provide
significant liquidity during this time.
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The Exchange notes that to the extent the Exchange appoints a
Designated Primary Market-Maker (``DPM'') or Preferred Market-Maker
(``PMM'') to a class for the Curb trading session, the Exchange would
similarly not use the obligation/benefit structure. As such, the
Exchange also proposes to amend subparagraph (a)(2)(B)(iv) of Rule 5.32
(Order and Quote Book Processing, Display, Priority and Execution) to
provide that the DPM/LMM/PMM participation entitlement does not apply
during GTH or Curb.
FLEX
Subparagraph (b) of Rule 5.71 (Opening of FLEX Trading) currently
sets forth the times that FLEX traders may begin submitting FLEX Orders
into an electronic FLEX Auction, a FLEX AIM, or a FLEX SAM or initiate
an open outcry FLEX Auction on the trading floor for the RTH and GTH
sessions. The Exchange proposes to add the time FLEX traders may submit
such orders during Curb, which is after 4:15 p.m. (which is the start
time of the Curb trading session).
Catastrophic Errors
The Exchange next proposes to amend Rule 6.5 (Nullification and
Adjustment of Option Transactions Including Obvious) to specify the
time deadline relating to catastrophic error \55\ notifications in
subparagraph (d)(2) for Curb. First, Rule 6.5(d) provides that a party
that believes that it participated in a transaction that was the result
of a Catastrophic Error must notify the Exchange's Trade Desk. The
Exchange

[[Page 17368]]

proposes to update Rule 6.5(d) to clarify that like transactions
occurring during RTH,\56\ notification relating to trades executed
during Curb must be received by the Exchange's Trade Desk by 8:30 a.m.
on the first trading day following the execution.\57\ The Exchange also
proposes to clarify in Rule 6.5(d)(2) the cutoff time for transactions
in an expiring options series that take place on an expiration day
(i.e., P.M.-settled options). Currently Rule 6.5(d)(2) provides that
for transactions in an expiring options series that take place on an
expiration day, a party must notify the Exchange's Trade Desk within 45
minutes after the close of ``trading that same day''. In order to avoid
confusion as to whether or not the close of trading refers to the close
of the RTH session or the proposed Curb session, the Exchange proposes
to clarify that such notification must be submitted by the close of the
``RTH session''. As discussed above, P.M.-settled options will continue
to expire at 4:00 p.m. on the date of expiration. As such, the Exchange
believes it's appropriate to continue to provide the same amount of
time for notification as it does today.
---------------------------------------------------------------------------

\55\ A catastrophic error is deemed to have occurred when the
execution price of a transaction is higher or lower than the
Theoretical Price for the series by an amount equal to at least the
amounts set forth under Rule 6.5(d)(1).
\56\ For consistency in the Rulebook, the Exchange proposes to
capitalize the reference to ``regular trading hours'' in Rule
6.5(d)(2).
\57\ For example, notification relating to a possible
catastrophic error for a transaction that occurred on a Tuesday,
either during RTH or Curb, must be received by 8:30 a.m. on the
following Wednesday. If a transaction occurred on the day prior to a
domestic holiday, notification must still be received by 8:30 a.m.
on the first trading following the day of execution (i.e., must be
received on the holiday). For example, notification relating to a
possible catastrophic error for a transaction that occurred on the
Wednesday before Thanksgiving, either during RTH or Curb, must be
received by 8:30 a.m. on Thanksgiving, as the Exchange is still open
for trading on Thanksgiving through 11:30 a.m. and it is considered
the first trading day following the day of execution.
---------------------------------------------------------------------------

Disclosure
Current Rule 9.20 currently requires TPHs to make certain
disclosures to customers regarding material trading risks that exist
during GTH. The Exchange proposes to similarly require that TPHs make
similar disclosures to customers regarding material trading risks that
also exist during Curb. Similar to GTH, the Exchange expects overall
lower levels of trading during Curb compared to RTH. While trading
processes during Curb will be substantially similar to trading
processes during RTH (as noted above), the Exchange believes it is
important for investors, particularly public customers, to be aware of
any differences and risks that may result from lower trading levels and
thus requires these disclosures. Accordingly, Rule 9.20 will be amended
to require the same customer disclosures during Curb as are required
during GTH. Specifically, no Trading Permit Holder may accept an order
from a customer for execution during Curb without disclosing to that
customer that trading during Curb involves material trading risks,
including the possibility of lower liquidity (including fewer Market-
Makers quoting), higher volatility, changing prices, an exaggerated
effect from news announcements, wider spreads, the absence of an
updated underlying index or portfolio value or intraday indicative
value and lack of regular trading in the securities underlying the
index or portfolio and any other relevant risk. Rule 9.20 currently
provides an example of these disclosures, which the Exchange proposes
to amend to add references to Curb Trading Hours in addition to Global
Trading Hours references. The Exchange believes that requiring TPHs to
disclose these risks to non-TPH customers will facilitate informed
participation in Curb.
The Exchange also intends to distribute to TPHs and make available
on its website a Regulatory Circular regarding Curb that discloses,
among other things, (1) that the current underlying index value may not
be updated during Curb, (2) that lower liquidity during Curb may impact
pricing, (3) that higher volatility during Curb may occur, (4) that
wider spreads may occur during Curb, (5) the circumstances that may
trigger trading halts during Curb, (6) required customer disclosures
(as described above), and (7) suitability requirements. The Exchange
believes that, with this disclosure, Curb Trading Hours are appropriate
and beneficial to market participants that choose to participate in the
session, notwithstanding the absence of a disseminated updated index
value during those hours.
Discussion
As set forth above, the differences in the Rules between the
trading process during Curb and RTH is that, similar to GTH, certain
order types and instructions will not be available during Curb, values
for indexes underlying index options will not be disseminated during
Curb, and TPHs that accept orders from customers during Curb will be
required to make certain disclosures to those customers. Additionally,
as discussed, unlike either RTH or GTH, the Exchange will not use an
opening auction process at the start of the Curb session. Other rules
however, will apply in the same manner, but the Exchange may make
different determinations between RTH and Curb, just as the Exchange may
do between RTH and GTH. The Exchange believes these differences are
consistent with the differences between the characteristics of each
trading session. The Exchange also notes the following:
<bullet> All TPHs may, but will not be required to, participate
during Curb.\58\ As noted above, while a Market-Maker's appointment to
an All Sessions class will apply to that class whether it quotes in
series in that class or not during Curb, the Exchange believes the
proposed Curb trading session will have a de minimis, if any, impact on
a Market-Maker's continuous quoting obligations, as they may continue
to choose when to actively quote and have their obligations to their
appointed classes apply. Additionally, even if a Market-Maker elects to
not quote during all or part of Curb, its ability to satisfy its
continuous quoting obligation will not be substantially impacted given
the short length of Curb as well as the few classes that will be listed
for trading during Curb.
---------------------------------------------------------------------------

\58\ Unlike GTH, Clearing TPHs do not need to be authorized by
the Options Clearing Corporation (``OCC'') to operate during the
Curb session. As such, TPHs do not need separate letters of
guarantee (i.e., in addition to any letters of guarantee on file for
RTH) to also operate during the Curb trading session.
---------------------------------------------------------------------------

<bullet> The Exchange will use the same connection lines, message
formats, and feeds during RTH, GTH and Curb.\59\ TPHs may use the same
ports and EFIDs \60\ for each trading session.\61\
---------------------------------------------------------------------------

\59\ The same telecommunications lines used by TPHs during RTH
and/or GTH may be used during Curb, and these lines will be
connected to the same application server at the Exchange during all
three trading sessions.
\60\ The term ``EFID'' means an Executing Firm ID. The Exchange
assigns an EFID to a TPH, which the System uses to identify the TPH
and the clearing number for the execution of orders and quotes
submitted to the System with that EFID.
\61\ A TPH may elect to have separate ports or EFIDs for each
trading session, but the Exchange will not require that.
---------------------------------------------------------------------------

<bullet> Order processing will operate in the same manner during
Curb as it does during RTH or GTH. There will be no changes to the
ranking, display, or allocation algorithms rules.
<bullet> There will be no changes to the processes for clearing,
settlement, exercise, and expiration.\62\
---------------------------------------------------------------------------

\62\ The Exchange has held discussions with the Options Clearing
Corporation, which is responsible for clearance and settlement of
all listed options transactions and has informed the Exchange that
it will be able to clear and settle all transactions that occur on
the Exchange and handle exercises of options during Curb.
---------------------------------------------------------------------------

<bullet> The Exchange will report Exchange quotation and last sale
information to the Options Price Reporting Authority (``OPRA'')
pursuant to the Plan for Reporting of Consolidated Options Last

[[Page 17369]]

Sale Reports and Quotation Information (the ``OPRA Plan'') during the
proposed Curb Trading Hours in the same manner it currently reports
this information to OPRA during RTH and GTH today.\63\ Therefore, all
TPHs that elect to trade during the proposed Curb session will have
access to quote and last sale information during that trading session.
Exchange proprietary data feeds will also be disseminated during Curb
using the same formats and delivery mechanisms with which the Exchange
disseminates them during RTH and GTH today. Use of these proprietary
data feeds during Curb will be optional (as they are today during RTH
and GTH).\64\
---------------------------------------------------------------------------

\63\ The OPRA Plan provides for the collection and dissemination
of last sale and quotation information on options that are trading
on the participant exchanges. The OPRA Plan is a national market
system plan approved by the Commission pursuant to Section 11A of
the Act and Rule 608 thereunder. See Securities Exchange Act Release
No. 17638 (March 18, 1981). The full text of the OPRA Plan is
available at <a href="http://www.opraplan.com">http://www.opraplan.com</a>. All operating U.S. options
exchanges participate in the OPRA Plan. The Exchange will report its
best bid and offer and executed trades to OPRA during the proposed
Curb Trading Hours in the same manner that they are reported during
RTH and GTH today. The operator of OPRA has also informed the
Exchange that it intends to add a modifier to the disseminated
information during Curb. Specifically, OPRA will use Message Type =
`v' between 4:15 p.m. ET and 5:00 p.m. ET.
\64\ Any fees related to receipt of the OPRA data feed during
Curb will be included on the OPRA fee schedule. Any fees related to
receipt of the Exchange's proprietary data feeds during Curb will be
included on the Exchange's fee schedule (and will be included in a
separate rule filing) or the Exchange's market data website, as
applicable.
---------------------------------------------------------------------------

<bullet> The same TPHs that are required to maintain connectivity
to a backup trading facility during RTH and GTH will be required to do
so during Curb.\65\ Because the same connections and servers will be
used for both trading sessions, a TPH will not be required to take any
additional action to comply with this requirement, regardless of
whether the TPH chooses to trade during Curb.
---------------------------------------------------------------------------

\65\ See Rule 5.24.
---------------------------------------------------------------------------

<bullet> The Exchange will process all clearly erroneous trade
breaks during Curb in the same manner it does during RTH and GTH and
will have Exchange officials available to do so.
<bullet> The Exchange will perform all necessary surveillance
coverage during Curb.
<bullet> The Exchange may halt and resume trading during Curb
pursuant to Rule 5.20(a) and (b), respectively, in the interests of a
fair and orderly market in the same manner it may during RTH. The
proposed rule change amends Rule 5.20(d) to provide that the factors
set forth under Rule 5.20(a)(3) will not apply during Curb just as they
do not apply during GTH. Among the factors that may be considered in
making the foregoing determinations are whether there has been an
activation of price limits on futures exchanges or the halt of trading
in related futures with respect to index options.\66\ Further, the
proposed rule change will amend Rule 5.20(d) such that when determining
whether to halt trading during Curb or GTH, the Exchange will also be
able to consider the extent to which the opening process pursuant to
Rule 5.31 has been completed or other factors regarding the status of
the opening process, just as it is able to do for the RTH session.
---------------------------------------------------------------------------

\66\ See Rule 5.20(a)(6). As discussed above, futures markets
operate an extended trading hours session that follows the regular
trading hours session, with hours similar to what the Exchange is
proposing. As such, should a halt of trading in related futures
occur during Curb, then the Exchange may consider whether to halt
during that session, just as it may do during regular GTH and RTH
sessions.
---------------------------------------------------------------------------

<bullet> Under Rule 5.22 (Market-wide Trading Halts due to
Extraordinary Market Volatility), the Exchange will halt trading in all
classes whenever a market-wide trading halt (commonly known as a
circuit breaker) is initiated in response to extraordinary market
conditions. Rule 5.22(b)(1) states that the Exchange will halt trading
for 15 minutes if a Level 1 or Level 2 Market Decline occurs after 9:30
a.m. and up to and including 3:25 p.m. (or 12:25 p.m. for an early
scheduled close). Additionally, the Exchange will not halt trading if a
Level 1 or Level 2 Market Decline occurs after 3:25 p.m. (or 12:25
p.m., if applicable). Rule 5.22(b)(2) states that the Exchange will
halt trading until the next trading day if a Level 3 Market Decline
occurs. The Exchange notes that Rule 5.22(b)(1) will not apply during
the Curb session, just as it does not apply during GTH, as the
beginning of Curb occurs past the 15-minute halt window for a Level 1
or Level 2 Market Decline. Rule 5.22(b)(2) however will apply to the
Curb session, as the Curb session is considered the same trading day as
the RTH session. As such, if a Level 3 Market Decline occurs at any
time during RTH or Curb, the Exchange will halt trading in SPX and VIX
until the next trading day.
The Exchange understands that systems and other issues may arise
and is committed to resolving those issues as quickly as possible,
including during the new Curb trading hours. Thus, the Exchange will
have appropriate staff on-site and otherwise available as necessary
during Curb to handle any technical and support issues that may arise
during those hours. Additionally, the Exchange will have personnel
available to address any trading issues that may arise during the
additional Curb trading hours. The Exchange is also committed to
fulfilling its obligations as a self-regulatory organization at all
times, including during Curb, and will have appropriately trained,
qualified regulatory staff in place during Curb to the extent it deems
necessary to satisfy those obligations. The Exchange's surveillance
procedures will be revised as necessary to incorporate transactions
that occur, and orders and quotations that are submitted, during Curb.
The Exchange believes its surveillance procedures are adequate to
properly monitor trading during Curb.
Implementation Date
The Exchange will announce the implementation date of the proposed
rule change in accordance with Rule 1.5. The Exchange also notes that
it first announced its proposal to adopt the proposed Curb Trading
Hours session to market-participants via a Trade Desk notice back in
January 2021.\67\ Since then, the Exchange has issued numerous updated
notices, FAQs and detailed technical specifications.
---------------------------------------------------------------------------

\67\ See Exchange Notice C2021012501 ``Cboe Options Exchange to
Extended Global Trading Hours in Q4 2021''.
---------------------------------------------------------------------------

2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
the Securities Exchange Act of 1934 (the ``Act'') and the rules and
regulations thereunder applicable to the Exchange and, in particular,
the requirements of Section 6(b) of the Act.\68\ Specifically, the
Exchange believes the proposed rule change is consistent with the
Section 6(b)(5) \69\ requirements that the rules of an exchange be
designed to prevent fraudulent and manipulative acts and practices, to
promote just and equitable principles of trade, to foster cooperation
and coordination with persons engaged in regulating, clearing,
settling, processing information with respect to, and facilitating
transactions in securities, 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. Additionally,
the Exchange believes the proposed rule change is consistent with the
Section 6(b)(5) \70\ requirement that the rules of an exchange not be
designed to permit unfair discrimination between customers, issuers,
brokers, or dealers.
---------------------------------------------------------------------------

\68\ 15 U.S.C. 78f(b).
\69\ 15 U.S.C. 78f(b)(5).
\70\ Id.

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[[Page 17370]]

In particular, the proposed rule change to adopt Curb Trading Hours
will remove impediments to and perfect the mechanism of a free and open
market and a national market system. Particularly, Curb is a
competitive initiative designed to improve the Exchange's marketplace
for the benefit of investors, and the proposed rule change will allow
the Exchange to provide a competitive marketplace for market
participants to trade certain products in an additional 45-minute
trading session. More specifically, the adoption of the Curb trading
session is designed to increase the overlap in time that SPX, XSP and
VIX options are open alongside the related futures contracts. Moreover,
adopting an additional trading session during which market participants
can trade SPX, XSP and VIX options is designed to better help meet
growing investor demand for the ability to manage risk more
efficiently, react to global macroeconomic events as they are happening
and adjust SPX, XSP and VIX options positions outside of RTH. The
Exchange believes that the proposed rule change is reasonably designed
to provide an appropriate mechanism for trading outside of RTH and GTH
while providing for appropriate Exchange oversight pursuant to the Act,
trade reporting, and surveillance.
The Exchange also notes that it, along with some of its affiliated
options exchanges, already allow for trading outside of the hours of
RTH (i.e., during the GTH trading session).\71\ Furthermore, the
Commission has authorized stock exchanges to be open for trading
outside of regular trading hours.\72\ Thus, the proposed rule change to
adopt a trading session in addition to, and outside of, regular trading
hours is not novel or unique. Additionally, as noted above, futures
exchanges also operate outside of those hours and during the proposed
Curb session, including the Exchange's affiliate, CFE, which has an
extended trading hours session that overlaps with Exchange proposed
Curb Trading Hours.\73\
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\71\ See Cboe Options Rule 5.1, Cboe C2 Exchange, Inc, Rule 5.1
and Cboe EDGX Exchange, Inc. Rule 21.2.
\72\ See e.g., Cboe BZX Exchange, Inc. Rule 1.5, which provides
for an After Hours Trading Session which is a trading session from
4:00 p.m.-8:00 p.m. and follows the Regular Trading Hours session
which takes place between 9:30 a.m. and 4:00 p.m. See also Exchange
Act Release No. 59963 (May 21, 2009), 74 FR 25787 (May 29, 2009)
(SR-BATS-2009-012) (Notice of Filing and Immediate Effectiveness of
Proposed Rule Change to Amend BATS Rules to Offer an After Hours
Trading Session).
\73\ See, e.g., CFE Rule 1202, which outlines the trading
schedule for futures on the Cboe Volatility Index and includes an
extended trading session that operates from 4:00 p.m. to 5:00 p.m.
---------------------------------------------------------------------------

As described in detail above, the vast majority of the Exchange's
trading rules will apply during Curb in the same manner as during the
Exchange's two other trading sessions (RTH and GTH), which rules have
all be previously filed with the Commission as being consistent with
the goals of the Act. Rules that will apply equally during Curb Trading
Hours include rules that protect public customers, impose best
execution requirements on TPHs, and prohibit acts and practices that
are inconsistent with just and equitable principles of trade as well as
fraudulent and manipulative practices. The proposed rule change also
provides opportunities for price improvement during Curb and applies
the same allocation and priority rules that are available to the
Exchange during RTH and GTH. The Exchange believes, therefore, that the
rules that will apply during Curb will continue to promote just and
equitable principles of trade and prevent fraudulent and manipulative
acts.
The proposed rule change clearly identifies the ways in which
trading during Curb will be different from trading during RTH and/or
GTH (such as identifying order types and instructions that will not be
available during Curb, clarifying that under the normal course of
business there will be no opening auction process at the start of Curb,
and the proposed absence of a disseminated updated index value during
Curb). This ensures that investors are aware of any differences among
trading sessions. The Exchange believes the differences are consistent
with the expected differences in duration and timing of the trading
session, liquidity, participation, and trading activity between RTH and
Curb and GTH and Curb. For example, the Exchange believes it is
reasonable to not adopt an opening auction process for Curb as the Curb
session, unlike RTH and GTH, is proposed to start immediately following
the trading session preceding it, and as such, the Exchange is able to
seamlessly transition into Curb without a queuing period or opening
rotation. The flexibility provided to the Exchange to make
determinations for each trading session will allow the Exchange to
apply settings and parameters to address the different market
conditions that may be present during each trading session.
Additionally, to further protect investors from any additional risks
related to trading during Curb, the proposed rule change requires that
disclosures be made to customers describing these potential risks,
similar to the current requirement for such disclosures related to
trading during GTH. The All Sessions order and RTH Only order, along
with the proposed RTH and Curb order, will continue to protect
investors by permitting investors who wish only to trade during RTH
from having orders or quotes execute outside of the RTH session,
including during the proposed Curb trading session. The RTH and Curb
Order will provide investors with additional execution flexibility by
providing them with an order that may execute during either daytime
trading session but not carryover (if unexecuted) in the following
overnight session. Consistent with the goal of investor protection, the
Exchange will not allow market orders during Curb due to the expected
increased volatility and decreased liquidity during these hours, just
as it does not currently allow such orders during GTH for the same
reasons. The proposed rule change also only authorizes the Exchange to
list for trading two classes during Curb. As the proposed rule change
is a new Exchange initiative, the Exchange believes it is reasonable to
trade a limited number of classes upon implementation for which demand
is believed to be the highest during Curb.
Additionally, the Exchange believes that the proposed rule change
will foster cooperation and coordination with persons engaged in
regulating, clearing, settling, processing information with respect to,
and facilitating transactions in securities, as the Exchange will
ensure that adequate staffing is available during Curb to provide
appropriate trading support during those hours, as well as Exchange
officials to make any necessary determinations under the rules during
Curb (such as trading halts and trade nullification for obvious
errors). The Exchange is also committed to fulfilling its obligations
as a self-regulatory organization at all times, including during Curb.
The Exchange's surveillance procedures will also be revised to
incorporate transactions that occur and orders and quotations that are
submitted during Curb Trading Hours. The Exchange believes its
surveillance procedures are adequate to properly monitor trading during
Curb. Clearing and settlement processes will be the same for Curb as
they are for RTH or GTH transactions.
The proposed rule change further removes impediments to a free and
open market and does not unfairly discriminate among market
participants, as all TPHs with access to the Exchange may trade during
Curb using the same

[[Page 17371]]

connection lines, message formats data feeds, and EFIDs they use during
RTH and GTH, minimizing any preparation efforts necessary to
participate during Curb. TPHs will not be required to trade during
Curb.
Additionally, as discussed above, while the proposed rule change
increases the total time during which a Market-Maker with an
appointment has the ability to quote in a selected class, the Exchange
believes this increase has a de minimis, if any, impact on Market-
Makers given that a Market-Maker's compliance with its continuous
quoting obligation is based on all classes in which it has an
appointment in the aggregate and based only when a Market-Maker is
quoting it its appointed classes. Indeed, as noted above, if a Market-
Maker who quotes during the RTH and/or GTH session today does not wish
to quote during the proposed Curb Trading Hours, then so long as such
Market-Maker does not log into the system and quote during that session
(or whatever other time it wishes to begin quoting), there will be no
impact with respect to the Market-Maker's ability to satisfy its
continuous quoting obligations. Selecting an appointment in SPX and/or
VIX options will continue to be optional and within the discretion of a
Market-Maker. Additionally, Market-Makers continue to have the
opportunity to quote during Curb (and receive the benefits of acting as
a Market-Maker with respect to transactions it effects during that
time) without obtaining an additional Trading Permit or creating
additional connections to the Exchange. The Exchange believes Market-
Makers will have an incentive to quote in SPX and VIX during the
proposed Curb session given the significance of these products within
the financial markets, the expected demand, and given that the related
futures are also trading during those hours (which may permit execution
of certain hedging strategies). The Exchange believes extending a
Market-Maker's appointment to the Curb session will enhance liquidity
during that trading session, which benefits all investors during those
hours. The Exchange believes that any slight additional burden of
extending the continuous quoting obligation to the proposed Curb
trading session in the eligible classes would be outweighed by the
Exchange's efforts to add liquidity during the Curb trading session in
All Sessions classes, the minimal preparation a Market-Maker may
require to participate in the Curb trading session, and the benefits to
investors that may result from that liquidity. Therefore, the Exchange
believes the proposed rule change provides customer trading interest
with a net benefit and continues to maintain a balance of Market-Maker
benefits and obligations.
While LMMs will only be required to meet the same obligations as
Market-Makers during Curb, the Exchange believes it may be unduly
burdensome to impose a heightened standard during Curb given the
expected lower participation and trading volume and higher liquidity.
The Exchange believes LMMs should have the flexibility to determine
whether satisfying any heightened quoting standard and opening quoting
standard is appropriate for its business given the then-current market
conditions during Curb. Because there are no additional obligations
imposed on LMMs during Curb, they receive no additional benefits (i.e.,
no participation entitlement) during Curb. Without the possibility of
receiving a participation entitlement on a sufficient volume of trades,
the Exchange does not expect that the current RTH obligation/benefit
structure for LMMs would provide a similar incentive during Curb and
therefore does not propose to implement it during Curb, just as it has
not done so for GTH for similar reasons. As noted above, should the
Exchange find it necessary in the future, it will submit a separate
rule filing to adopt a rebate incentive program for Curb LMMs to
encourage increased quoting to add liquidity during that session. LMMs
that satisfy any proposed heightened continuous quoting standard under
such an incentive program would receive a rebate pursuant to the Fees
Schedule. Such a program would parallel the obligation/benefit
structure that exists for LMMs during RTH (that is, LMMs that meet
heightened quoting obligations during RTH receive a participation
entitlement, which is merely a different form of financial benefit).
The proposed rule change is also consistent with Section 11A of the
Act and Regulation NMS thereunder, because it provides for the
dissemination of transaction and quotation information during Curb
through OPRA, pursuant to the OPRA Plan, which the Commission approved
and indicated to be consistent with the Act. While Section 11A and
Regulation NMS contemplate an integrated system for trading securities,
they also envision competition between markets, and innovation that
provides marketplace benefits to attract order flow to an exchange does
not result in unfair competition if other markets are free to compete
in the same manner.\74\
---------------------------------------------------------------------------

\74\ See Exchange Act Release Nos. 73704 (November 28, 2014), 79
FR 72044 (December 4, 2014) (SR-CBOE-2014-062) (approval of proposed
rule change for Cboe Options to extend its trading hours outside of
Regular Trading Hours); and 29237 (May 24, 1991), 46 [sic] FR 24853
(May 31, 1991) (SR-NYSE-1990-052 and SR-NYSE-1990-053) (approval of
proposed rule change for NYSE to extend its trading hours outside of
Regular Trading Hours). The Exchange also notes that no other U.S.
options exchange provides for trading SPX or VIX options outside of
RTH, so there is currently no need for intermarket linkage during
GTH. If another Cboe Affiliated Exchange lists any options
authorized to trade during GTH outside of RTH, trading of such
options on the Exchange would comply with linkage rules.
---------------------------------------------------------------------------

As discussed, the Exchange, as well as other options exchanges,
already offer trading sessions outside of regular trading hours.\75\
While there are some differences among the proposed Curb Trading Hours
session and the Exchange's current GTH session, such as the length and
time of the session and the absence of an opening auction process, the
Exchange believes the proposed Curb trading session and proposed rules
are still substantially similar to the current GTH trading session its
corresponding rules, thereby providing consistency across all trading
sessions with similar characteristics outside of RTH.
---------------------------------------------------------------------------

\75\ See, e.g., Cboe Options Rule 5.1, C2 Rule 5.1 and Cboe
EDGX. Rule 21.2.
---------------------------------------------------------------------------

The Exchange also believes the proposed rule change to extend the
time Users have to cancel all GTC and GTD orders, and not just those
participating in Curb, is reasonable. In particular, it provides Users
with RTH Only GTC and GTD orders with additional time to cancel orders.
Further, the Exchange notes that cancelling a RTH Only GTC or GTD order
at the proposed time of 5:15 p.m. has the same effect as cancelling
that order at the current cutoff time of 4:45 p.m.--ultimately it
accommodates the User's goal of cancelling an order prior to it
potentially executing during the RTH Opening Process the following
morning (i.e., it merely provides 30 additional minutes to cancel a RTH
Only GTC or GTH order). As such, the Exchange believes the proposed
rule change provides Users with additional flexibility to manage their
orders in all classes that remain in the Book following the Curb market
close, thereby removing impediments to and perfecting the mechanism of
a free and open market and a national market system, and, in general,
protecting investors and the public interest.
Finally, the Exchange believes the proposed changes to Rule 5.20(d)
eliminate unnecessary distinctions

[[Page 17372]]

between RTH and GTH//Curb as it relates to trading halt exceptions for
index options. Particularly, the Exchange sees no reason why it should
not allow the resumption of a halted security during GTH or Curb if a
determination is made by two Floor Officials, in consultation with a
designated senior executive officer of the Exchange, that the interests
of a fair and orderly market are best served by a resumption of
trading. Similarly, the Exchange does not believe there are
distinguishing factors between (i) GTH and Curb and (ii) RTH that
warrants precluding the Exchange from considering the factors under
Rule 5.20(a)(5) (relating to whether the opening process has been
completed or the status of the opening process) in making a
determination whether declaring a trading halt is appropriate. As is
the case today, the Exchange is not required to take into consideration
any of the factors listed under Rule 5.20(a), including subparagraph
(5), when making a determination whether to halt trading. Moreover, the
Exchange will continue to consider halting trading only in response to
unusual conditions or circumstances, as it wants to interrupt trading
as infrequently as possible and only if necessary, to maintain a fair
and orderly market. Indeed, notwithstanding the proposed changes to
Rule 5.20(d), the Exchange will continue to have the authority to
manually halt trading during any trading session if it's determined to
be in the interests of a fair and orderly market and to protect
investors.

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 that is not necessary or appropriate
in furtherance of the purposes of the Act. The Exchange does not
believe that the proposed rule change to adopt Curb Trading Hours will
impose any burden on intramarket competition that is not necessary or
appropriate in furtherance of the purposes of the Act, because all TPHs
will be able, but not be required, to participate during Curb, and will
be able to do so using the same connectivity as they use during RTH and
GTH. As discussed, participation in Curb will be voluntary and within
the discretion of TPHs. While the proposed rule change increases the
total time during which a Market-Maker with either a SPX and/or VIX
appointment may be able quote, the Exchange believes the proposal will
have a de minimis, if any, impact on a Market-Maker's continuous
quoting obligations, as they may continue to choose when to actively
quote and have their obligations to their appointed classes apply.
Furthermore, selecting an appointment in these options classes will be
optional and within the discretion of a Market-Maker. Additionally,
Market-Makers continue to have the opportunity to quote during Curb
(and receive the benefits of acting as a Market-Maker with respect to
transactions it effects during that time) without obtaining an
additional Trading Permit or creating additional connections to the
Exchange. The Exchange believes that extending the continuous quoting
obligation to the Curb trading session in two classes is also
outweighed by the Exchange's efforts to add liquidity during Curb in
All Sessions classes, the minimal preparation a Market-Maker may
require to participate in the Curb trading session, and the benefits to
investors that may result from that liquidity. Therefore, the Exchange
believes the proposed rule change provides customer trading interest
with a net benefit and continues to maintain a balance of Market-Maker
benefits and obligations.
The Exchange does not believe that the proposed rule change to
adopt Curb Trading Hours will impose any burden on intermarket
competition that is not necessary or appropriate in furtherance of the
purposes of the Act, because the proposed rule change is a competitive
initiative that will benefit the marketplace and investors. The
Exchange believes the proposed rule change will enhance competition by
providing a new service to investors that is not currently otherwise
available for options. The Exchange further believes that the same
level of competition among options exchanges will continue during RTH.
Because the Exchange proposes to make only exclusively listed products
available for trading during Curb, and because any All Sessions orders
that do not trade during Curb will be eligible to trade during the RTH
trading sessions in the same manner as all other orders during RTH, the
proposed rule change will have no effect on the national best prices or
trading during RTH.

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

The Exchange neither solicited nor received comments on the
proposed rule change.

III. Discussion and Commission Findings

After careful review, the Commission finds that the proposed rule
change, as modified by Amendment No. 2, is consistent with the
requirements of the Act,\76\ and the rules and regulations thereunder
applicable to a national securities exchange.\77\ In particular, the
Commission finds that the proposed rule change, as modified by
Amendment No. 2, is consistent with Section 6(b)(5) of the Act,\78\
which requires, among other things, that the rules of a national
securities exchange be designed to prevent fraudulent and manipulative
acts and practices, 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.
---------------------------------------------------------------------------

\76\ 15 U.S.C. 78f.
\77\ In approving this proposed rule change, the Commission has
considered the proposed rule's impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
\78\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

As described above, CBOE proposes to adopt a Curb trading session
Monday through Friday that will provide a forty-five minute electronic
only session between 4:15 p.m. and 5:00 p.m. for SPX, VIX, and XSP
options. The Exchange states that the additional trading session will
increase the overlap in time that SPX, VIX, and XSP options are open
alongside the related futures.\79\ Among other things, the Exchange
believes that the Curb session is designed to respond to investor
demand to hedge risk, react to global macroeconomic events
contemporaneously, and adjust SPX, XSP, and VIX options positions
outside of RTH.\80\ As a result, the Exchange believes that the
proposal will provide market participants with expanded access to trade
SPX, XSP, and VIX options.\81\
---------------------------------------------------------------------------

\79\ See Amendment No. 2, supra note 6, at 6.
\80\ See id. at 44.
\81\ See id. at 6. The Exchange has represented that all TPHs
may, but will not be required to, participate during Curb. Id. at
38.
---------------------------------------------------------------------------

The Commission finds that the proposed Curb trading session and
related conforming changes are consistent with the Act. As discussed
above, the vast majority of CBOE's rules, with certain exceptions, will
continue to apply during Curb.\82\ For example, the Exchange
represents, among other things, that the business conduct rules in
Chapter 8 \83\ and rules related to

[[Page 17373]]

doing business with the public in Chapter 9 \84\ will continue to apply
during the Curb trading session, as well as a broker-dealer's due
diligence and best execution obligations.\85\ In addition, the
processes for options clearing, settlement, exercise, and expiration,
as well as order processing \86\ and clearly erroneous trade breaks,
will remain the same during Curb.\87\ Moreover, the Exchange has
represented that it will perform all necessary surveillance and have
qualified regulatory staff available during Curb in keeping with its
obligations as an self-regulatory organization.\88\ The Exchange also
states that it has held discussions with the OCC, which has informed
the Exchange that it will be able to clear and settle all transactions
that occur on the Exchange and handle exercises of options during
Curb.\89\ As a result, the Commission finds that the proposed rule
change is reasonably designed to help prevent fraudulent and
manipulative acts and practices, and promote just and equitable
principles of trade, by conditioning the increased availability for
TPHs to trade during the additional Curb trading session with Exchange
oversight and regulatory surveillance and reporting.
---------------------------------------------------------------------------

\82\ See id. at 45.
\83\ The Commission notes that Chapter 8 of CBOE's Rules, among
other things, prohibits TPHs from engaging in acts or practices
inconsistent with just and equitable principles of trade or from
making any willful or material misrepresentation, including a
misstatement or false statement, or omission in any application,
report or other communication to the Exchange, or to the OCC with
respect to the reporting or clearance of any Exchange transaction,
or willfully or materially adjust any position at the OCC in any
class of options traded on the Exchange except for the purpose of
correcting a bona fide error in recording or of transferring the
position to another account. See CBOE Rules 8.1 and 8.5.
\84\ The Commission notes that Chapter 9 of CBOE's Rules,
includes, among other things, rules on Suitability of
Recommendations and Global Trading Hours Disclosure, which is being
amended to include Curb Trading Hours. See CBOE Rules 9.3 and
Proposed CBOE Rule 9.20.
\85\ See Amendment No. 2, supra note 6 at 7, n.14.
\86\ See id. at 39. The Exchange has also represented that there
will be no changes to the ranking, display, or allocation
algorithms. See id. Moreover, the Commission notes that the Exchange
intends to utilize the same LMM structure during Curb that it uses
during GTH. See id. at 33. In addition, Market-Maker appointments
would also apply to the Curb Trading Session pursuant to CBOE Rule
5.50(a). See id. at 32.
\87\ See id. at 41.
\88\ See id. at 41-42.
\89\ See id. at 39, n.59.
---------------------------------------------------------------------------

The Commission also believes that CBOE's disclosure requirement
that obligates TPHs to make certain disclosures to customers regarding
material trading risks that may exist during Curb is consistent with
the protection of investors.\90\ Specifically, TPHs will be required to
make certain disclosures to customers including the risk of lower
liquidity, higher volatility, and wider spreads during Curb, as well as
make clear that the underlying index or portfolio value and intraday
indicative value may not be calculated or widely disseminated during
Curb.\91\ The Commission believes that such disclosures should help
ensure that customers are reasonably informed about the specific risks
associated with trading during Curb. Further, these requirements are
designed to mitigate, to the extent possible, the likelihood of
investor confusion regarding the significant differences between the
character of the market typical of RTH and Curb sessions.
---------------------------------------------------------------------------

\90\ See id. at 37.
\91\ See proposed CBOE Rule 9.20. Pursuant to the proposed rule
change, the Exchange will not report a value of an index underlying
an index option trading during Curb because the value of the
underlying index will not be recalculated during or at the close of
Curb. See Amendment No. 2, supra note 6, at 10. The Exchange has
represented, however, and the Commission expects that to the extent
CGI as index calculator determines that SPX quotes during such
session will support accurate VIX indicative values, CGI will
reconsider whether to calculate and disseminate these values during
Curb (and the Exchange would submit rule filings to amend the rules,
as necessary). See id. at 11.
---------------------------------------------------------------------------

The Commission also notes that the Exchange has highlighted
differences in the Rules between the trading process during Curb and
the other trading sessions, such as generally not having an opening
auction process and limiting the types of orders available during Curb.
The Commission believes these differences are consistent with the
differences between the trading sessions. For example, the Commission
notes that the Curb session, unlike GTH, will begin immediately after
the prior trading session, i.e., RTH, and therefore, any All Sessions
orders resting on the Book will become eligible for execution during
Curb, subject to a User's instructions, without an opening
rotation.\92\ However, in the event that Curb does not begin at 4:15
p.m. and there is a gap in time between RTH and Curb, then similar to
GTH,\93\ proposed CBOE Rule 5.31(d)(3) would provide for an opening
rotation. Also for example, similar to GTH, since trading would occur
outside of RTH, trading would be electronic only and certain order
types, such as market orders, would not be available during Curb.\94\
---------------------------------------------------------------------------

\92\ See id. at 29-30.
\93\ See CBOE Rule 5.31(d)(2). Pursuant to the rule, the System
initiates an opening rotation for GTH at 8:15 p.m.
\94\ According to the Exchange, there may be reduced liquidity,
higher volatility and wider spreads during Curb and therefore, the
Exchange believed it was appropriate for investor protection to not
allow market orders to participate should wild price fluctuations
occur due to the potential illiquid and volatile nature of the
market or other factors that could impact market activity. See
Amendment No. 2, supra note 6, at 18-19.
---------------------------------------------------------------------------

The Commission also believes that the Exchange's proposed changes
to its trading halts rule is consistent with the Act. The proposed
changes would allow the Exchange to consider the extent to which the
opening process has been completed or other factors regarding the
status of the opening process in determining whether to halt trading
and allow the Exchange to resume trading in a security that has been
the subject of a trading halt. The Commission notes that pursuant to
CBOE Rule 5.20, Trading Halts, generally any decisions to halt trading
must be made by two Floor Officials, in consultation with a designated
senior executive officer of the Exchange, in the interests of a fair
and orderly market and to protect investors.\95\ Similarly, trading may
be resumed upon a determination by two Floor Officials, in consultation
with a designated senior executive officer of the Exchange that the
interests of a fair and orderly market are best served by a resumption
of trading.\96\ The proposed rule change is also consistent with
Section 11A(a)(1)(C) of the Act.\97\ Congress found in those provisions
that it is in the public interest and appropriate for the protection of
investors and the maintenance of fair and orderly markets to assure the
availability to brokers, dealers, and investors of information with
respect to quotations for and transactions in securities, and to assure
the practicability of brokers executing investors' orders in the best
market. The proposed rule change is designed to accomplish these
objectives by ensuring that the Exchange will report its best bid and
offer and executed trades to OPRA during the Curb session in the same
manner that they are reported currently during RTH and GTH,\98\ thereby
providing public transparency of activity during the Curb session.
---------------------------------------------------------------------------

\95\ See CBOE Rule 5.20(a).
\96\ See CBOE Rule 5.20(b).
\97\ 15 U.S.C. 78k-1(a)(1)(C).
\98\ See Amendment No. 2, supra note 6, at 40, n.60. Further,
according to the Exchange, the operator of OPRA intends to add a
modifier to the disseminated information during Curb.
---------------------------------------------------------------------------

Finally, the Commission also believes that the Exchange's proposed
change to CBOE Rule 5.7(e), which would allow Users to cancel all GTC
or GTD orders until 5:15 p.m. is also consistent with the Act. The
Commission notes that Users are currently able to cancel such orders
and quotes until 4:45 p.m. The Commission believes that this proposed
change should provide Users with additional flexibility to manage their
GTC or GTD orders.

IV. Solicitation of Comments

Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether Amendment No. 2
is

[[Page 17374]]

consistent with the Act. Comments may be submitted by any of the
following methods:

Electronic Comments

<bullet> Use the Commission's internet comment form (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>); or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#6c1e190009410f0301010902181f2c1f090f420b031a"><span class="__cf_email__" data-cfemail="097b7c656c246a6664646c677d7a497a6c6a276e667f">[email&#160;protected]</span></a>. Please include
File Number SR-CBOE-2021-071 on the subject line.

Paper Comments

<bullet> 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-CBOE-2021-071. 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 website (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>).
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. All submissions
should refer to File Number SR-CBOE-2021-071 and should be submitted by
April 18, 2022. Rebuttal comments should be submitted by May 2, 2022.

V. Accelerated Approval of Proposed Rule Change, as Modified by
Amendment No. 2

The Commission finds good cause for approving the proposed rule
change, as amended by Amendment No. 2, prior to the 30th day after the
date of publication of notice in the Federal Register. Amendment No. 2
provided technical and conforming changes to the rule text to reflect
CBOE rules recently adopted by the Exchange.\99\ Amendment No. 2 also
provided additional detail on several aspects of the proposal,
including the impact of the recently adopted modified holiday trading
schedule \100\ on Curb and notifications relating to catastrophic error
reviews. The Exchange also further discussed why it may be appropriate
to resume trading during GTH and Curb after a trading halt and
clarified the application of CBOE Rule 5.22 during Curb. As described
above, the Commission believes that Amendment No. 2 does not change the
substance of the proposed rule change, but merely adds detail and
clarification to several items of the proposal and makes necessary
conforming changes to reflect the recently approved modified holiday
trading schedule, as well as makes necessary updates to its proposed
rules.\101\ Accordingly, the Commission finds good cause for approving
the proposed rule change, as amended, on an accelerated basis, pursuant
to Section 19(b)(2) of the Act.\102\
---------------------------------------------------------------------------

\99\ See Securities Exchange Act Release Nos. 94253 (February
15, 2022), 87 FR 9729 (February 22, 2022) (SR-CBOE-2021-068) (Order
Granting Approval of a Proposed Rule Change to Adopt a Modified
Trading Schedule for Holidays) (``Modified Holiday Trading Schedule
Order''); 93799 (December 16, 2021), 86 FR 72654 (December 22, 2021)
(SR-CBOE-2021-074) (Notice of Filing and Immediate Effectiveness of
a Proposed Rule Change to Make Juneteenth National Independence Day
a Holiday of the Exchange); and 93646 (November 22, 2021), 86 FR
67777 (November 29, 2021) (SR-CBOE-2021-067) (Notice of Filing and
Immediate Effectiveness of a Proposed Rule Change to Add a Held
Order Instruction). The Exchange also corrected a marking error in
the text of CBOE Rule 5.71(b)(2).
\100\ See Modified Holiday Trading Schedule Order, supra note
99.
\101\ See supra note 99.
\102\ 15 U.S.C. 78s(b)(2).
---------------------------------------------------------------------------

VI. Conclusion

It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\103\ that the proposed rule change, as modified by Amendment No. 2
(SR-CBOE-2021-071) be, and hereby is, approved on an accelerated basis.
---------------------------------------------------------------------------

\103\ Id.

For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\104\
---------------------------------------------------------------------------

\104\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022-06383 Filed 3-25-22; 8:45 am]
BILLING CODE 8011-01-P

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