Notice2024-00637
Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of Filing of a Proposed Rule Change To Make Permanent Pilot Programs in Connection With the Listing and Trading of P.M.-Settled Series on Certain Broad-Based Index Options
Primary source
Metadata and text below are from the Federal Register, a public-domain U.S. government work. Always verify the official published version before relying on it for any legal matter.
Published
January 16, 2024
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 89 Issue 10 (Tuesday, January 16, 2024)</title>
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[Federal Register Volume 89, Number 10 (Tuesday, January 16, 2024)]
[Notices]
[Pages 2688-2695]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2024-00637]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-99299; File No. SR-CboeBZX-2023-107]
Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of
Filing of a Proposed Rule Change To Make Permanent Pilot Programs in
Connection With the Listing and Trading of P.M.-Settled Series on
Certain Broad-Based Index Options
January 9, 2024.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on December 26, 2023, Cboe BZX Exchange, Inc. (``Exchange'' or ``BZX'')
filed with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I, II, and III below, which
Items have been prepared by the Exchange. The Commission is publishing
this notice to solicit comments on the proposed rule change from
interested persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to make permanent the operation of its
programs that allow the Exchange to list options on the Mini-SPX Index
(``XSP options'') with P.M.-settlement and to list broad-based index
options with nonstandard expirations (``Nonstandard Expirations Pilot
Program'').
The text of the proposed rule change is available on the Exchange's
website (<a href="http://markets.cboe.com/us/equities/regulation/rule_filings/bzx/">http://markets.cboe.com/us/equities/regulation/rule_filings/bzx/</a>), at the Exchange's Office of the Secretary, and at the
Commission's Public Reference Room.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the Exchange included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
sections A, B, and C below, of the most significant aspects of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to make permanent its XSPPM Pilot Program and
its Nonstandard Expirations Pilot Program. Specifically, the Exchanges
proposes to be permitted to list on a permanent basis (1) XSP options
with third-Friday-of-the-month expiration dates whose exercise
settlement value is derived from closing prices on the last trading day
prior to expiration (``P.M.-settled'') (``XSPPM options'') and (2)
options on broad-based indexes that are P.M.-settled and expire (a) on
any Monday, Wednesday, or Friday (other than the third Friday-of-the-
month or days that coincide with an end-of-month (``EOM'') expiration)
(``Weekly Expirations'') and (b) on the last day of the trading month
(``EOM Expirations'').\3\ The Securities and Exchange Commission (the
``Commission'') approved a rule change that established a pilot program
under which the Exchange is permitted to list (1) XSP options with
third-Friday-of-the-month expiration dates that are P.M.-settled (the
``XSPPM Pilot Program'') and (2) options on broad-based indexes with
Weekly Expirations and Monthly Expirations (the ``Nonstandard
Expirations Pilot Program'' and, with the XSPPM Pilot Program, the
``Pilot Programs'').\4\ XSPPM Options, Weekly Expirations, and EOMs are
cash-settled and have European-style exercise. The Pilot Programs
became effective on a pilot basis for a period of twelve months from
the date of the approval of the Pilot Programs \5\ and were
subsequently extended.\6\ Pursuant to Rule 29.11(a)(6) and (j)(3), the
Pilot Programs are scheduled to expire on May 6, 2024. The Exchange
hereby requests that the Commission approve the Pilot Programs on a
permanent basis.
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\3\ In addition to proposing to delete the language in Rule
29.11(a)(6) and (j)(3) regarding the expiration date of the Pilot
Programs (and renumbering Rule 29.11(j)(4) to be subparagraph (3)),
the Exchange proposes to delete the word ``pilot'' from the heading
of Rule 29.11(j) and make a corresponding change to Rules
29.11(c)(5)(C). The Exchange also proposes a nonsubstantive change
to the introductory paragraph of Rule 29.11(c) to change an
incorrect semicolon to a colon.
\4\ See Securities Exchange Act Release No. 85181 (February 22,
2019), 84 FR 6842 (February 28, 2019) (SR-CboeBZX-2018-066) (``Pilot
Programs Approval Order''). Under the terms of the Nonstandard
Expirations Pilot Program, Weekly Expirations and EOMs are permitted
on any broad-based index that is eligible for regular options
trading.
\5\ See id.
\6\ See Securities Exchange Act Release Nos. 88052 (January 27,
2020), 85 FR 5753 (January 31, 2020) (Notice of Filing and Immediate
Effectiveness of a Proposed Rule Change To Extend the Pilot Programs
in Connection With the Listing and Trading of P.M.-Settled Series on
Certain Broad-Based Index Options) (SR-CboeBZX-2020-004); 88788
(April 30, 2020), 85 FR 27008 (May 6, 2020) (Notice of Filing and
Immediate Effectiveness of a Proposed Rule Change To Extend the
Pilot Programs in Connection With the Listing and Trading of P.M.-
Settled Series on Certain Broad-Based Index Options) (SR-CboeBZX-
2020-038); 90255 (October 22, 2020), 85 FR 68378 (October 28, 2020)
(Notice of Filing and Immediate Effectiveness of a Proposed Rule
Change To Extend the Pilot Programs in Connection With the Listing
and Trading of P.M.-Settled Series on Certain Broad-Based Index
Options) (SR-CboeBZX-2020-076); 91699 (April 28, 2021), 86 FR 23767
(May 4, 2021) (Notice of Filing and Immediate Effectiveness of a
Proposed Rule Change To Extend the Pilot Programs in Connection With
the Listing and Trading of P.M.-Settled Series on Certain Broad-
Based Index Options) (SR-CboeBZX-2021-031); 93454 (October 28,
2021), 86 FR 60727 (November 3, 2021) (Notice of Filing and
Immediate Effectiveness of a Proposed Rule Change To Extend the
Pilot Programs in Connection With the Listing and Trading of P.M.-
Settled Series on Certain Broad-Based Index Options) (SR-CboeBZX-
2021-072); 94802 (April 27, 2022), 87 FR 26240 (May 3, 2022) (Notice
of Filing and Immediate Effectiveness of a Proposed Rule Change To
Extend the Pilot Programs in Connection With the Listing and Trading
of P.M.-Settled Series on Certain Broad-Based Index Options) (SR-
CboeBZX-2022-029); 96208 (November 2, 2022), 87 FR 67524 (November
8, 2022) (Notice of Filing and Immediate Effectiveness of a Proposed
Rule Change To Extend the Pilot Programs in Connection With the
Listing and Trading of P.M.-Settled Series on Certain Broad-Based
Index Options) (SR-CboeBZX-2022-052); 97442 (May 5, 2023), 88 FR
30362 (May 11, 2023) (Notice of Filing and Immediate Effectiveness
of a Proposed Rule Change To Extend the Pilot Programs in Connection
With the Listing and Trading of P.M.-Settled Series on Certain
Broad-Based Index Options) (SR-CboeBZX-2023-034); and 98635
(September 28, 2023), 88 FR 68715 (October 4, 2023) (SR-CboeBZX-
2023-073) (Notice of Filing and Immediate Effectiveness of a
Proposed Rule Change To Extend the Pilot Programs in Connection With
the Listing and Trading of P.M.-Settled Series on Certain Broad-
Based Index Options).
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By way of background, when cash-settled \7\ index options were
first introduced in the 1980s, settlement was based on the closing
value of the underlying index on the option's expiration date. The
Commission later became concerned about the impact of P.M.-settled,
cash-settled index options
[[Page 2689]]
on the markets for the underlying stocks at the close on expiration
Fridays. Specifically, certain episodes of price reversals around the
close on quarterly expiration dates attracted the attention of
regulators to the possibility that the simultaneous expiration of index
futures, futures options, and options might be inducing abnormal
volatility in the index value around the close.\8\ Academic research at
the time provided at least some evidence suggesting that futures and
options expirations contributed to excess volatility and reversals
around the close on those days.\9\ In light of the concerns with P.M.
settlement and to help ameliorate the price effects associated with
expirations of P.M.-settled, cash-settled index products, in 1987, the
Commodity Futures Trading Commission (``CFTC'') approved a rule change
by the Chicago Mercantile Exchange (``CME'') to provide for A.M.
settlement \10\ for index futures, including futures on the S&P
500.\11\ The Commission subsequently approved a rule change by Cboe
Options, Inc. (``Cboe Options'') to list and trade A.M.-settled SPX
options.\12\ In 1992, the Commission approved Cboe Options' proposal to
transition all of its European-style cash-settled options on the S&P
500 Index to A.M. settlement; \13\ however, in 1993, the Commission
approved a rule allowing Cboe Options to list P.M.-settled options on
certain broad-based indices, including the S&P 500, expiring at the end
of each calendar quarter (``Quarterly Index Expirations'') (since
adopted as permanent).\14\ Starting in 2006, the Commission approved
numerous rule changes, on a pilot basis, permitting the Cboe Options to
introduce other index options, including SPX options, with P.M.-
settlement. These include P.M.-settled index options expiring weekly
(other than the third Friday of the month) and at the end of each month
(``EOM''),\15\ P.M.-settled options on the S&P 500 Index that expire on
the third Friday-of-the-month (``SPXPM''),\16\ as well as P.M.-settled
Mini-SPX Index (``XSP'') options and Mini-Russell 2000 Index (``MRUT'')
options expiring on the third Friday of the month.\17\ As noted above,
the Commission approved a rule to allow the Exchange to list XSPPM
options and broad-based index options with Weekly and EOM
Expirations.\18\ The Commission recently approved proposed rule changes
to make Cboe Options' pilot programs to list P.M.-settled index options
(including pilot programs substantively the same as the Pilot Programs)
permanent.\19\
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\7\ The seller of a ``cash-settled'' index option pays out the
cash value of the applicable index on expiration or exercise. A
``physically settled'' option, like equity and ETF options, involves
the transfer of the underlying asset rather than cash. See
Characteristics and Risks of Standardized Options, available at:
<a href="https://www.theocc.com/Company-Information/Documents-and-Archives/Options-Disclosure-Document">https://www.theocc.com/Company-Information/Documents-and-Archives/Options-Disclosure-Document</a>.
\8\ The close of trading on the quarterly expiration Friday
(i.e., the third Friday of March, June, September and December),
when options, index futures, and options on index futures all expire
simultaneously, became known as the ``triple witching hour.''
\9\ See Securities and Exchange Commission, Division of Economic
Risk and Analysis, Memorandum, Cornerstone Analysis of PM Cash-
Settled Index Option Pilots (February 2, 2021) (``DERA Staff PM
Pilot Memo'') at 5, available at: <a href="https://www.sec.gov/files/Analysis_of_PM_Cash_Settled_Index_Option_Pilots.pdf">https://www.sec.gov/files/Analysis_of_PM_Cash_Settled_Index_Option_Pilots.pdf</a>.
\10\ The exercise settlement value for an A.M.-settled index
option is determined by reference to the reported level of the index
as derived from the opening prices of the component securities on
the business day before expiration.
\11\ See Securities Exchange Act Release No. 24367 (April 17,
1987), 52 FR 13890 (April 27, 1987) (SR-CBOE-87-11) (noting that CME
moved S&P 500 futures contract's settlement value to opening prices
on the delivery date).
\12\ See id.
\13\ See Securities Exchange Act Release No. 30944 (July 21,
1992), 57 FR 33376 (July 28, 1992) (SR-CBOE-92-09). Thereafter, the
Commission approved proposals by the options markets to transfer
most of their cash-settled index products to A.M. settlement.
\14\ See Securities Exchange Act Release No. 31800 (February 1,
1993), 58 FR 7274 (February 5, 1993) (SR-CBOE-92-13); see also
Securities Exchange Act Release Nos. 54123 (July 11, 2006), 71 FR
40558 (July 17, 2006) (SR-CBOE-2006-65); and 60164 (June 23, 2009),
74 FR 31333 (June 30, 2009) (SR-CBOE-2009-029).
\15\ See Securities Exchange Act Release Nos. 62911 (September
14, 2010), 75 FR 57539 (September 21, 2010) (SR-CBOE-2009-075);
76529 (November 30, 2015), 80 FR 75695 (December 3, 2015) (SR-CBOE-
2015-106); 78132 (June 22, 2016), 81 FR 42018 (June 28, 2016) (SR-
CBOE-2016-046); and 78531 (August 10, 2016), 81 FR 54643 (August 16,
2016) (SR-CBOE-2016-046).
\16\ See Securities Exchange Act Release No. 68888 (February 8,
2013), 78 FR 10668 (February 14, 2013) (SR-CBOE-2012-120). Pursuant
to Securities Exchange Act Release No. 80060 (February 17, 2017), 82
FR 11673 (February 24, 2017) (SR-CBOE-2016-091), the Exchange moved
third-Friday P.M.-settled options into the S&P 500 Index options
class, and as a result, the trading symbol for P.M.-settled S&P 500
Index options that have standard third Friday-of-the-month
expirations changed from ``SPXPM'' to ``SPXW.'' This change went
into effect on May 1, 2017, pursuant to Cboe Options Regulatory
Circular RG17-054.
\17\ See Securities Exchange Act Release Nos. 70087 (July 31,
2013), 78 FR 47809 (August 6, 2013) (SR-CBOE-2013-055); and 91067
(February 5, 2021) 86 FR 9108 (February 11, 2021) (SR-CBOE-2020-
116).
\18\ See supra note 4.
\19\ See Securities Exchange Act Release Nos. 98454 (September
20, 2023) (SR-CBOE-2023-005) (order approving proposed rule change
to make permanent the operation of a program that allows the
Exchange to list p.m.-settled third Friday-of-the-month SPX options
series); 98455 (September 20, 2023) (SR-CBOE-2023-019) (order
approving proposed rule change to make permanent the operation of a
program that allows the Exchange to list p.m.-settled third Friday-
of-the-month XSP and MRUT options series); and 98456 (September 20,
2023) (SR-CBOE-2023-020) (order approving proposed rule change to
make the nonstandard expirations pilot program permanent).
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As stated above, since its inception in 2019, the Exchange has
continuously extended the Pilot Program periods and, during the course
of the Pilot Programs and in support of the extensions of the Pilot
Programs, the Exchange has submitted reports to the Commission
regarding the Pilot Programs that detail the Exchange's experience with
the Pilot Programs, pursuant to the Pilot Programs Approval Order.\20\
Specifically, the Exchange has submitted annual Pilot Program reports
to the Commission that contain an analysis of volume, open interest,
and trading patterns. In addition, for series that exceed certain
minimum open interest parameters, the annual report would provide
analysis of index price volatility and, if needed, share trading
activity. The Exchange has also submitted periodic interim reports that
contain some, but not all, of the information contained in the annual
reports (together with the periodic interim reports, the ``pilot
reports'').\21\
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\20\ See supra note 4.
\21\ In providing the pilot reports to the Commission, the
Exchange previously requested confidential treatment of the pilot
reports under the Freedom of Information Act (``FOIA''). See 5
U.S.C. 552.
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The pilot reports for the XSPPM Pilot Program contained the
following volume and open interest data:
(1) monthly volume aggregated for all trades;
(2) monthly volume aggregated by expiration date;
(3) monthly volume for each individual series;
(4) month-end open interest aggregated for all series;
(5) month-end open interest for all series aggregated by expiration
date; and
(6) month-end open interest for each individual series.
The pilot reports for the Nonstandard Expirations Pilot Program
contained the following volume and open interest data:
(1) monthly volume aggregated for all Weekly and EOM trades;
(2) volume in Weekly and EOM series aggregated by expiration date;
(3) month-end open interest aggregated for all Weekly and EOM
series;
(4) month-end open interest for EOM series aggregated by expiration
date and week-ending open interest for Weekly series aggregated by
expiration date;
(5) ratio of monthly aggregate volume in Weekly and EOM series to
total monthly class volume; and
(6) ratio of month-end open interest in EOM series to total month-
end class open interest and ratio of week-ending open interest in EOW
series to total week-ending open interest.
The annual reports for the Pilot Programs also contained the
information noted in respective Items (1) through (6) above for
Expiration Friday, A.M.-settled series, if applicable, for the
[[Page 2690]]
period covered in the pilot report. With respect to the Nonstandard
Expirations Pilot Program, upon request by the Commission, the Exchange
provided data files containing: (1) Weekly and EOM option volume data
aggregated by series, and (2) Weekly week-ending open interest for
expiring series and EOM month-end open interest for expiring series. In
the annual reports, the Exchange also provided the following analyses
of trading patterns in XSPPM options and index options with Weekly and
EOM Expirations:
<bullet> with respect to the XSPPM Pilot Program, a time series
analysis of open interest and an analysis of the distribution of trade
sizes; and
<bullet> with respect to the Nonstandard Expirations Pilot Program,
Weekly and EOM option volume data aggregated by series, and Weekly open
interest for expiring series and EOM month-end open interest for
expiring series.
Finally, for series that exceed certain minimum parameters,\22\ the
annual reports contained the following analysis related to index price
changes and underlying share trading volume at the close on Expiration
Fridays:
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\22\ The Exchange and the Commission determined the minimum open
interest parameters, control sample, time intervals, method for
randomly selecting the component securities, and sample periods.
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(1) a comparison of index price changes at the close of trading on
a given Expiration Friday with comparable price changes from a control
sample. The data includes a calculation of percentage price changes for
various time intervals and compare that information to the respective
control sample. Raw percentage price change data as well as percentage
price change data normalized for prevailing market volatility, as
measured by the Cboe Volatility Index (VIX), is provided; and
(2) a calculation of share volume for a sample set of the component
securities representing an upper limit on share trading that could be
attributable to expiring in-the-money series. The data includes a
comparison of the calculated share volume for securities in the sample
set to the average daily trading volumes of those securities over a
sample period.
Also, during the course of the Pilot Programs, the Exchange
provided the Commission with any additional data or analyses the
Commission requested if it deemed such data or analyses necessary to
determine whether the Nonstandard Expirations Pilot Program was
consistent with the Exchange Act. The Exchange has made public on its
website all data and analyses previously submitted to the Commission
under the Nonstandard Expirations Pilot Program,\23\ and will continue
to make public any data and analyses it submits to the Commission while
the Pilot Programs is still in effect.
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\23\ Available at <a href="https://www.cboe.com/aboutcboe/legal-regulatory/national-market-system-plans/pm-settlement-spxpm-data">https://www.cboe.com/aboutcboe/legal-regulatory/national-market-system-plans/pm-settlement-spxpm-data</a>.
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The Exchange has concluded that the Pilot Programs do not
negatively impact market quality or raise any unique or prohibitive
regulatory concerns. The Exchange has not identified any evidence from
the pilot data indicating that the trading of XSPPM, Weekly options,
and EOM options has any adverse impact on fair and orderly markets on
Expiration Fridays for the underlying indexes or the underlying
securities comprising those indexes, nor have there been any
observations of abnormal market movements attributable to XSPPM, Weekly
and EOM options from any market participants that have come to the
attention of the Exchange.
Based on a study conducted by the Commission's Division of Economic
and Risk Analysis (``DERA'') staff on the pilot data from 2006 through
2018,\24\ and the Exchange's review of the pilot data from 2019 through
2021, the size of the market for P.M.-settled SPX options (including
quarterly, weekly, EOM and third Friday expirations) since 2007 has
grown from a trivial portion of the overall market to a substantial
share (from around 0.1% of open interest in 2007 to 30% in 2021).\25\
Notional value of open interest in P.M.-settled SPX options increased
from approximately a median of $1.5 billion in 2007 to $1.9 trillion in
2021, approximately 1260 times its value in 2007. Notional open
interest in A.M.-settled SPX options was already hovering around a
median of $1.4 trillion in 2007, and it has since increased to
approximately $4.4 trillion in 2021. It is also important to note that
open interest on expiring P.M.-settled SPX options, as compared to
A.M.-settled options, is spread out across a greater number of
expiration dates, which results in a smaller percentage of open
interest expiring on any one date, thus mitigating concerns that SPXPM
option expiration may have a disruptive effect on the market.\26\ Daily
trading volume in P.M.-settled SPX options has increased from a median
of about 700 contracts in 2007 to nearly 1.9 million contracts in
2021,\27\ and now exceeds trading volume in A.M.-settled SPX options.
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\24\ See DERA Staff PM Pilot Memo, at 13 (``Option settlement
quantity data for A.M.- and P.M.-settled options were obtained from
the Cboe, including the number of contracts that settled in-the-
money for each exchange-traded option series on the S&P 500 index .
. . on expiration days from January 20, 2006 through December 31,
2018. Daily open interest and volume data for [SPX] option series
were also obtained from Cboe, including open interest data from
January 3, 2006 through December 31, 2018 and trading volume data
from January 3, 2006 through December 31, 2018.'')
\25\ The DERA staff study reviewed and provided statistics for
market share, median notional value of open interest and median
volume in 2007 and in 2018. The Exchange provides updated statistics
for market share, median notional value of open interest and median
volume in 2021, replacing the 2018 statistics provided in the
Commission staff study.
\26\ See DERA Staff PM Pilot Memo, at 2.
\27\ The Exchange notes that the DERA staff study used two-sided
volume data for the median volume in 2007 and in 2018; therefore,
the Exchange provides two-sided volume data for the median volume in
2021.
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Moreover, the DERA staff study of the P.M.-settled SPX options
pilot data (2006 through 2018) did not identify any significant
economic impact on S&P 500 futures,\28\ the S&P 500, or the underlying
component securities of the S&P 500 surrounding the close. For purposes
of the study, volatility was by and large measured by using the
standard deviation \29\ of one-minute returns of S&P 500 futures values
and the index value during regular hours on each day reviewed
(excluding the first and last 15 minutes of trading) and then compared
with the standard deviation of one-minute returns (for S&P 500 futures,
the S&P 500, and the underlying component securities of the S&P 500)
over the last 15 minutes of a trading day.\30\ Using this as a general
measure,\31\ the DERA staff study then reviewed whether, and to what
extent, the settlement quantity of SPXPM options and the levels of open
interest in SPXPM options on expiration days (as
[[Page 2691]]
compared to non-expiration days) may be associated with general price
volatility and price reversals for S&P 500 futures, the S&P 500, and
the underlying component securities of the S&P 500 near the close. From
its review of the study, the Exchange agrees that, although volatility
before the market close is generally higher than during the rest of the
trading day, there is no evidence of any significant adverse economic
impact to the futures, index, or underlying index component securities
markets as a result of the quantity of P.M.-settled SPX options that
settle at the close or the amount of expiring open interest in P.M.-
settled SPX options. For example, the largest settlement event that
occurred during the time period of the study (a settlement of $100.4
billion of notional on December 29, 2017) had an estimated impact on
the futures price of only approximately 0.02% (a predicted impact of
$0.54 relative to a closing futures price of $2,677).
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\28\ Futures on the S&P 500 experience high volume and liquidity
both before and after the close of the underlying market. Therefore,
futures are a useful measure of abnormal volatility surrounding the
close and the open. See DERA Staff PM Pilot Memo, at 14. The
Exchange agrees with this approach.
\29\ Standard deviation applied to a rate of return (in this
case, one-minute) of an instrument can indicate that instrument's
historical volatility. The greater the standard deviation, the
greater the variance between price and the mean, which indicates a
larger price range, i.e., higher volatility.
\30\ For example, if on a particular day the standard deviation
of one-minute returns between 3:45 p.m. ET and 4:00 p.m. ET is 0.004
and the standard deviation of returns from 9:45 a.m. ET to 3:45 p.m.
ET is 0.002, this metric would take on a value of 2 for that day,
indicating that volatility during the last 15 minutes of the trading
day was twice as high as it was during the rest of the trading day.
See DERA Staff PM Pilot Memo, at 15; see also DERA Staff PM Pilot
Memo, at Section V, which discusses in detail the metrics used to
measure, for the purposes of the study, the extent to which the
market may experience abnormal volatility surrounding SPXPM option
settlement.
\31\ See DERA Staff PM Pilot Memo, at Section V, which discusses
in detail the metrics used to measure, for the purposes of the
study, the extent to which the market may experience abnormal
volatility surrounding SPXPM option settlement.
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In particular, the DERA staff study found that an additional P.M.-
settled SPX options settlement quantity equal to $10 billion in
notional value is associated with a marginal impact on futures prices
during the last 15 minutes of the trading day of only about $0.06
(where the hypothetical index level is 2,500), additional expiring open
interest in P.M.-settled SPX options equal to $10 billion in notional
value is associated with a marginal impact on futures prices during the
last 15 minutes of the trading day of only about $0.05 (assumed index
level is 2,500). Also, an additional increase in settlement quantity or
in expiring open interest, each equal to $20 million in notional value,
did not result in any meaningful futures price reversals near the close
(neither was found to cause a price reversal of over one standard
deviation.\32\)
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\32\ See supra note 29.
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Likewise, the study identified that an additional total P.M.-
settled SPX options settlement quantity equal to $10 billion in
notional value corresponds to price movement in the S&P 500 of only
about $0.08 (assuming an index level of 2,500) during the last 15
minutes of the trading day, and that additional expiring open interest
equal to $10 billion in notional value corresponds to a price movement
in the S&P 500 of only about $0.06 (assuming an index level of 2,500)
during the last 15 minutes of the trading day. The study also
identified that it would take an increase of $34 billion in notional
value of total settlement quantity and of expiring open interest for
one additional S&P 500 price reversal of greater than two standard
deviations to occur in the last 15 minutes before the market close.
Also, regarding potential impact to S&P 500 component securities, it
would take an increase in total P.M.-settled SPX options settlement
quantity equal to $20 billion to effect a price movement of only
approximately $0.03 for a $200 stock, an increase in expiring open
interest in P.M.-settled SPX options equal to $10 billion to effect a
price movement less than half a standard deviation, and an increase in
total P.M.-settled SPX settlement quantity equal to $7 billion to
achieve a price reversal greater two standard deviations.
The study employed the same metrics to determine whether there is
greater price volatility for S&P 500 futures, the S&P 500, and the
component securities of the S&P 500 related to SPXPM option settlements
during an environment of high market volatility (i.e., on days in which
the VIX Index was in the top 10% of closing index values) and did not
identify indicators of any significant economic impact on these markets
near the close as a result of the P.M.-settled SPX options
settlement.\33\ In addition to this, the DERA staff study, applying the
same metrics and analysis as for P.M.-settled SPX options to A.M.-
settled SPX options, did not identify any evidence of a statistically
significant relationship between settlement quantity or expiring open
interest of A.M.-settled options and volatility near the open.
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\33\ The Exchange also notes that the study did not identify any
evidence that less liquid S&P 500 constituent securities experienced
any greater impact from the settlement of P.M.-settled SPX options.
---------------------------------------------------------------------------
Upon review of the results of the DERA staff study, the Exchange
agrees that each of the above-described marginal price movements in S&P
500 futures, the S&P 500, and the S&P 500 component securities affected
by increases in P.M.-settled SPX options settlement quantity and
expiring open interest appear to be de minimis pricing changes from
those that occur over regular trading hours (outside of the last 15
minutes of the trading day). Further, the Exchange has not observed any
significant economic impact or other adverse effects on the market from
similar reviews of its pilot reports and data submitted after 2018.\34\
In its review of a sample of the pilot data from 2019 through 2021, the
Exchange similarly measured volatility over the final fifteen minutes
of each trading day by taking the standard deviation of rolling one-
minute returns of the S&P 500 level (excluding the first and last
fifteen minutes of trading) and comparing such with the standard
deviation of one-minute returns \35\ of the S&P 500 level, over the
last 15 minutes of a trading day. The Exchange identified an average
standard deviation ratio of 1.42 for the S&P 500 on non-expiration days
and an average standard deviation ratio of 1.54 for the S&P 500 on
expiration days (a ratio between expiration days and non-expiration
days of 1.09). The Exchange also notes that, using the same
methodology, it observed that, from 2015 through 2019,\36\ the average
standard deviation ratio for the S&P 500 on non-expiration days was
1.11 and the average standard deviation ratio for the S&P 500 on
expiration days was 1.22 (a ratio between expiration days and non-
expiration days of 1.10). While the average standard deviation ratio on
both expiration and non-expiration days was higher in 2019 through 2021
due to overall market volatility, the ratios between the standard
deviation ratios on expiration days and non-expirations days remained
nearly identical between the 2015 through 2019 timeframe and the 2019
through 2021. This shows that, in cases where overall market volatility
may increase, the normalized impact on expiration days to non-
expiration days generally remains consistent.
---------------------------------------------------------------------------
\34\ Total SPX open interest volumes were examined for
expiration dates over a roughly two-year period between October 2019
and November 2021.
\35\ Calculated at every tick for the prior minute.
\36\ November 2015 through November 2021.
---------------------------------------------------------------------------
In addition to this, the Exchange notes that the S&P 500 Index is
rebalanced quarterly. The changes resulting from each rebalancing
coincide with the third-Friday of the quarterly rebalancing month
(i.e., March, June, September, October and December) \37\ and generally
drive an increase in trading activity from investors that seek to track
the S&P 500. As such, the Exchange measured volatility on quarterly
rebalancing dates and found that the average standard deviation ratio
was 1.62, which suggests more closing volatility on quarterly rebalance
dates compared to non-quarterly expiration dates (for which the average
standard deviation ratio was 1.22), thus indicating that the impact
rebalancing may have on the S&P 500 is greater than any impact that
P.M.-settled SPX options may have on the S&P 500.
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\37\ See S&P Dow Jones Indices, Equity Indices Policies &
Practices, Methodology (August 2021), at 15, available at <a href="https://www.spglobal.com/spdji/en/documents/methodologies/methodology-sp-equity-indices-policies-practices.pdf">https://www.spglobal.com/spdji/en/documents/methodologies/methodology-sp-equity-indices-policies-practices.pdf</a>.
---------------------------------------------------------------------------
The Exchange additionally focused its study of the post-2018 sample
pilot data on reviewing for potential correlation between excess market
volatility and price reversals and the hedging activity of liquidity
providers. As explained in
[[Page 2692]]
the DERA staff study, potential impact of P.M.-settled SPX options on
the correlated equity markets is thought to stem from the hedging
activity of liquidity providers in such options.\38\ To determine any
such potential correlation, the Exchange studied the expected action of
liquidity providers that are the primary source of the hedging on
settlement days. These liquidity providers generally delta-hedge their
S&P 500 index exposure via S&P 500 futures and on settlement day unwind
their futures positions that correspond with the delta of their in-the-
money (ITM) expiring P.M.-settled SPX options. Assuming such behavior,
the Exchange estimated the Market-On-Close (``MOC'') \39\ volume for
the shares of the S&P 500 component securities (i.e., ``MOC share
volume'') that could ultimately result from the unwinding of the
liquidity providers' futures positions by equating the notional value
of the futures positions that correspond to expiring ITM open interest
to the number S&P 500 component security contracts (based on the weight
of each S&P 500 component security). That is, the Exchange calculated
(an estimate) of the amount of MOC volume in the S&P 500 component
markets attributable hedging activity as a result of expiring ITM P.M.-
settled SPX options (i.e., ``hedging MOC''). The Exchange then: (1)
compared the hedging MOC share volume to all MOC share volume on
expiration days and non-expiration trading days; and (2) compared the
notional value of the hedging futures positions (i.e., that correspond
to expiring ITM P.M.-settled SPX options open interest) to the notional
value of expiring ITM P.M.-settled SPX options open interest, the
notional value of all expiring P.M.-settled SPX options open interest
and the notional value of all P.M.-settled SPX options open interest.
---------------------------------------------------------------------------
\38\ See DERA Staff PM Pilot Memo, at 10-12.
\39\ MOC orders allow a market participant to trade at the
closing price. Market participants generally utilize MOC orders to
ensure they exit positions at the end of the trading day.
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The Exchange observed that, on average, there were approximately
25% more MOC shares executed on expiration days (332 expiration days)
than non-expiration days (209 non-expiration days). While, at first
glance, the volume of MOC shares executed on expiration days seems much
greater than the volume executed on non-expiration days, the Exchange
notes that much of this difference is attributable to just eight
expiration days--the quarterly index rebalancing dates captured within
the scope of the post-2018 sample pilot data. The average MOC share
volume on the eight quarterly rebalancing dates was approximately 4.8
times the average MOC share volume on the non-quarterly rebalancing
expiration dates; again, indicating that the impact rebalancing may
have on the S&P 500 Index is greater than any impact that P.M.-settled
SPX options may have on the S&P 500 Index. That is, the Exchange
observed that the majority of closing volume on quarterly rebalance
dates is driven by rebalancing of shares in in the S&P 500, and not by
P.M.-settled SPX options expiration-related hedging activity.
Notwithstanding the MOC share volume on quarterly rebalancing dates,
the volume of MOC shares executed on expiration days (324 expiration
days) was only approximately 13% more than that on non-expiration days,
substantially less than the increase in volume over non-expiration days
wherein the eight index rebalancing dates are included in expiration
day volume. In addition to this, the Exchange observed that the hedging
MOC share volume (i.e., the expected MOC share volume resulting from
hedging activity in connection with expiring ITM P.M.-settled SPX
options) was, on average, less than the MOC share volume on non-
expiration days, and was only approximately 20% of the total MOC share
volume on expiration days, indicating that other sources of MOC share
volume generally exceed the volume resulting from hedging activity of
expiring ITM P.M.-settled SPX options and would more likely be a source
of any potential market volatility.
The Exchange also observed that, across all third-Friday
expirations, the notional value of the hedging futures positions was
approximately 25% of the notional value of expiring ITM P.M.-settled
SPX options, approximately 3.8% of the notional value of all expiring
P.M.-settled SPX options, and approximately only 0.5% of the notional
value of all P.M.-settled SPX options. As such, the estimated hedging
activity from liquidity providers on expiration days is a fraction of
the expiring open interest in P.M.-settled SPX options, which, the
Exchange notes, is only 14% of the total open interest in P.M.-settled
SPX options; thus, indicating negligible capacity for hedging activity
to increase volatility in the underlying markets.
While unrelated to the initial concerns of P.M.-settlement as
described above, at the request of the Commission, the Exchange
recently completed an analysis intended to evaluate whether the Pilot
Programs impacted the quality of the A.M.-settled option market.
Specifically, the Exchange compared values of key market quality
indicators (specifically, the bid-ask spread \40\ and effective spread)
\41\ in SPXW options (which trade on Cboe Options, an affiliated of the
Exchange, pursuant to a nonstandard expiration program substantively
similar to the Nonstandard Expiration Pilot Program) both before and
after the introduction of Tuesday expirations and Thursday expirations
for SPXW options on April 18 and May 11, 2022, respectively.\42\
Options on the Standard & Poor's Depositary Receipts S&P 500 ETF
(``SPY'') were used as a control group to account for any market
factors that might influence key market quality indicators. The
Exchange used data from January 3, 2022 through March 4, 2022 (the two-
month period prior to the introduction of SPXW options with Tuesday
expirations) and data from May 11, 2022 to July 10, 2022 (the two-month
period following the introduction of SPXW options with Thursday
expirations).\43\
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\40\ The Exchange calculated for each of SPXW options (with
Monday, Wednesday, and Friday expirations) and SPY Weekly options
(with Monday, Wednesday, and Friday expirations) the daily time-
weighted bid-ask spread on the Exchange during its regular trading
hours session, adjusted for the difference in size between SPXW
options and SPY options (SPXW options are approximately ten times
the value of SPY options).
\41\ The Exchange calculated the volume-weighted average daily
effective spread for simple trades for each of SPXW options (with
Monday, Wednesday, and Friday expirations) and SPY Weekly options
(with Monday, Wednesday, and Friday expirations) as twice the amount
of the absolute value of the difference between an order execution
price and the midpoint of the national best bid and offer at the
time of execution, adjusted for the difference in size between SPXW
options and SPY options.
\42\ For purposes of comparison, the Exchange paired SPXW
options and SPY options with the same moneyness and same days to
expiration.
\43\ The Exchange observed comparable market volatility levels
during the pre-intervention and post-intervention time ranges.
---------------------------------------------------------------------------
Given the time that as passed since the implementation of the Pilot
Programs, as well as the fact that when the Exchange began offering
XSPPM, Weekly and EOM options, XSPPM, Weekly, and EOM options had
already been trading on other exchanges for nearly a decade, the
Exchange is unable to analyze whether the introduction of those options
significantly impacted the market quality of corresponding A.M.-settled
options. The Exchange believes analyzing whether the introduction of
new SPXW P.M.-settled expirations (i.e., SPXW options with Tuesday and
Thursday expirations) impacted the market quality of then-existing SPXW
P.M.-settled expirations (i.e., SPXW options with Monday, Wednesday,
and Friday expirations) provides a reasonable substitute to evaluate
whether the introduction of XSPPM, Weekly and EOM options impacted the
[[Page 2693]]
market quality of any corresponding A.M.-settled options when the pilot
began.\44\
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\44\ The full analysis is included in Exhibit 3 of this rule
filing.
---------------------------------------------------------------------------
As a result of this analysis, the Exchange believes the
introduction of SPX options with Tuesday and Thursday options had no
significant impact on the market quality of SPXW options with Monday,
Wednesday, and Friday expirations. With respect to the majority of
series analyzed, the Exchange observed no statistically significant
difference in the bid-ask spread or the effective spread of the series
in the period prior to introduction of the Tuesday and Thursday
expirations and the period following the introduction of the Tuesday
and Thursday expirations. While statistically insignificant, the
Exchange notes that in many series, particularly as they were closer to
expiration, the Exchange observed that the values of these spreads
decreased during the period following the introduction of the Tuesday
and Thursday expirations.\45\
---------------------------------------------------------------------------
\45\ In any series in which the Exchange observed an increase in
the market quality indicators, the Exchange notes any such increase
was also statistically insignificant.
---------------------------------------------------------------------------
To further note, given the significant changes in the closing
procedures of the primary markets in recent decades, including
considerable advances in trading systems and technology, the Exchange
believes that the risks of any potential impact of Weekly and EOM
options on the underlying cash markets are also de minimis.
The Exchange proposes to make the Pilot Programs permanent as P.M.-
settled index products have become a part of the Exchange's product
offerings, providing investors with greater trading opportunities and
flexibility. As indicated by the significant growth in the size of the
market for P.M.-settled options, such options have been, and continue
to be, well-received and widely used by market participants. Therefore,
the Exchange wishes to be able to have the authority to continue to
provide investors with the ability to trade XSPPM, Weekly, and EOM
options on a permanent basis. The Exchange believes that the permanent
continuation of the Pilot Programs will serve to maintain the status
quo by continuing to offer a product to which investors have become
accustomed and have incorporated into their business models and day-to-
day trading methodologies for nearly 14 years (and for nearly 5 years
on the Exchange). As such, the Exchange also believes that ceasing to
have the authority to offer XSPPM, Weekly, and EOM options may result
in market disruption and investor confusion. The Exchange has not
identified any significant impact on market quality nor any unique or
prohibitive regulatory concerns as a result of the Pilot Programs, and,
as such, the Exchange believes that the continuation of the Pilot
Programs as a pilot, including the use of time and resources to compile
and analyze interim and annual pilot reports and pilot data, is no
longer necessary and that making the Pilot Programs permanent will
allow the Exchange to otherwise allocate time and resources to other
industry initiatives.
2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
the Act and the rules and regulations thereunder applicable to the
Exchange and, in particular, the requirements of Section 6(b) of the
Act.\46\ Specifically, the Exchange believes the proposed rule change
is consistent with the Section 6(b)(5) \47\ 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.
---------------------------------------------------------------------------
\46\ 15 U.S.C. 78f(b).
\47\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
In particular, the Exchange believes that the making the Pilot
Programs permanent will allow the Exchange to be able to have the
authority to continue to offer XSPPM, Weekly, and EOM options--products
that have become a part of the Exchange's offerings--on a continuous
and permanent basis. Since their reintroduction beginning in 2006,\48\
P.M.-settled options have been, and continue to be, well-received and
widely used by market participants, providing investors with greater
trading opportunities and flexibility. The Exchange believes that the
permanent continuation of the Pilot Programs will remove impediments to
and perfect the mechanism of a free and open market and a national
market system, and, in general, protect investors and the public
interest by continuing to offer a product to which investors have
become accustomed and have incorporated into their business models and
day-to-day trading strategies for nearly 14 years (including nearly 5
years on the Exchange). As indicated by the significant growth in the
size of the market for P.M.-settled options, such options have been,
and continue to be, well-received and widely used by market
participants. Conversely, the Exchange believes ceasing to offer the
Pilot Programs may result in market disruption and investor confusion,
as P.M.-settled index products have become a part of the Exchange's
product offerings, providing investors with greater trading
opportunities and flexibility.
---------------------------------------------------------------------------
\48\ See supra notes 24-44. As described above, the Exchange's
conclusion is consistent with the analysis in the DERA Staff PM
Pilot Memo.
---------------------------------------------------------------------------
The Exchange further believes that making the Pilot Programs
permanent will remove impediments to and perfect the mechanism of a
free and open market and a national market system and protect
investors, while maintaining a fair and orderly market, as the Exchange
believes that previous concerns (arising in the 1980s) regarding
options expirations potentially contributing to excess volatility and
reversals around the close have been adequately diminished. As
described in detail above, the Exchange has observed no significant
adverse market impact or identified any meaningful regulatory concerns
during the approximately 5-year operation of the Pilot Programs as
pilots nor during the nearly years since P.M.-settled SPX options were
reintroduced to the marketplace.\49\ Notably, the Exchange did not
identify any significant economic impact (including on pricing or
volatility or in connection with reversals) on related futures, the
underlying indexes, or the underlying component securities of the
underlying indexes surrounding the close as a result of the quantity of
XSPPM, Weekly, and EOM options that settle at the close or the amount
of expiring open interest in XSPPM, Weekly, and EOM options, nor any
demonstrated capacity for options hedging activity to impact volatility
in the underlying markets. While the DERA staff study and corresponding
Exchange study described above specifically evaluated SPX options,
because XSPPM, Weekly, and EOM options may only overly broad-based
index options, the Exchange believes it is appropriate to extrapolate
the data to apply to the XSPPM, Weekly, and EOM options, as SPX options
also overlay a broad-based index. Additionally, with respect to XSP
options, XSP options overly the same index comprised of the same
securities (just one tenth the size). This is particularly true given
that the
[[Page 2694]]
reports submitted by the Exchange during the pilot period have
similarly demonstrated no significant economic impact on the respective
underlying indexes or other products.
---------------------------------------------------------------------------
\49\ See supra notes 24-44.
---------------------------------------------------------------------------
The Exchange also believes the introduction of XSPPM, Weekly, and
EOM options had no significant impact on the market quality of
corresponding A.M.-settled options (which the Exchange does not list)
or other options. The Exchange believes this as a result of its
analysis conducted after the introduction of SPXW options with Tuesday
and Thursday expirations, which demonstrated no statistically
significant impact on the bid-ask or effective spreads of SPXW options
with Monday, Wednesday, and Friday expirations after trading in the
SPXW options with Tuesday and Thursday expirations began. While SPXW
options are P.M.-settled and SPX options are A.M.-settled, they are
otherwise nearly identical products. As noted above, XSPPM options are
nearly identical to P.M.-settled and A.M.-settled SPX options, as they
are based on an index comprised of the same securities, just 1/10th the
size. Additionally, Weekly, and EOM options may only overly broad-based
indexes, including the Mini-SPX Index. Therefore, the Exchange believes
analyzing the impact of new SPXW options on then-existing SPXW options
permit the Exchange to extrapolate from this data that it is unlikely
the introduction of any other XSPPM, Weekly, or EOM options
significantly impacted the market quality of A.M.-settled options when
the pilots began.
Additionally, the significant changes in the closing procedures of
the primary markets in recent decades, including considerable advances
in trading systems and technology, has significantly minimized risks of
any potential impact of XSPPM, Weekly, or EOM options on the underlying
cash markets. As such, the Exchange believes that permanent Pilot
Programs do not raise any unique or prohibitive regulatory concerns and
that such trading has not, and will not, adversely impact fair and
orderly markets on Expiration Fridays for the underlying indexes and
their component securities. Further, as the Exchange has not identified
any significant impact on market quality or any unique or prohibitive
regulatory concerns as a result of offering XSPPM, Weekly, and EOM
options, the Exchange believes that the continuation of the Pilot
Programs as pilots, including the gathering, submission and review of
the pilot reports and data, is no longer necessary and that making the
Pilot Programs permanent will allow the Exchange to otherwise allocate
time and resources to other industry initiatives.
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 making the Pilot Programs permanent will impose any
unnecessary or inappropriate burden on intramarket competition because
XSPPM, Weekly, and EOM options will continue to be available to all
market participants who wish to participate in the markets for those
options. The Exchange believes that the growth the market of P.M.-
settled options products, including XSPPM, Weekly, and EOM options, has
experienced since their reintroduction through pilot programs indicates
strong, continued investor interest and demand, warranting a permanent
Pilot Program. The Exchange believes that, for the period that XSPPM,
Weekly, and EOM options have been in operation as pilot programs, they
have provided investors with a desirable product with which to trade
and wishes to permanently offer this product to investors. Furthermore,
during the pilot period, the Exchange has not observed any significant
adverse market effects nor identified any regulatory concerns as a
result of the Pilot Programs, and, as such, the continuation of the
Pilot Programs as pilots, including the gathering, submission and
review of the pilot reports and data, is no longer necessary. Permanent
Pilot Programs will allow the Exchange to otherwise allocate time and
resources to other industry initiatives.
The Exchange further does not believe that making the Pilot
Programs permanent will impose any burden on intermarket competition
that is not necessary or appropriate in furtherance of the purposes of
the Act because other exchanges are free to and do offer competing
products.\50\ To the extent that the permanent offering and continued
trading of XSPPM, Weekly, and EOM options may make the Exchange a more
attractive marketplace to market participants at other exchanges, such
market participants may elect to become Exchange market participants.
---------------------------------------------------------------------------
\50\ See, e.g., Cboe Options Rule 4.13(e) and Interpretation and
Policy .13.
---------------------------------------------------------------------------
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 written comments on the
proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the Exchange consents, the Commission will:
A. by order approve or disapprove such proposed rule change, or
B. institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
<bullet> Use the Commission's internet comment form (<a href="https://www.sec.gov/rules/sro.shtml">https://www.sec.gov/rules/sro.shtml</a>); or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#e193948d84cc828e8c8c848f9592a1928482cf868e97"><span class="__cf_email__" data-cfemail="5624233a337b35393b3b333822251625333578313920">[email protected]</span></a>. Please include
file number SR-CboeBZX-2023-107 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-CboeBZX-2023-107. 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="https://www.sec.gov/rules/sro.shtml">https://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
[[Page 2695]]
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
a.m. and 3 p.m. Copies of the filing also will be available for
inspection and copying at the principal office of the Exchange. Do not
include personal identifiable information in submissions; you should
submit only information that you wish to make available publicly. We
may redact in part or withhold entirely from publication submitted
material that is obscene or subject to copyright protection. All
submissions should refer to file number SR-CboeBZX-2023-107 and should
be submitted on or before February 6, 2024.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\51\
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\51\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2024-00637 Filed 1-12-24; 8:45 am]
BILLING CODE 8011-01-P
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