Federal Register / Vol. 88, No. 185 / Tuesday, September 26, 2023 / Notices 66103 

20For purposes only of waiving the 30-day 

operative delay, the Commission has also 

considered the proposed rule’s impact on 

efficiency, competition, and capital formation. See 

15 U.S.C. 78c(f). 

21 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 96703 

(January 18, 2023), 88 FR 4265 (‘‘Notice’’). 

4 15 U.S.C. 78s(b)(2). 

5See Securities Exchange Act Release No. 97063, 

88 FR 15476 (March 13, 2023). The Commission 

designated April 24, 2023, as the date by which the 

Commission shall approve or disapprove, or 

institute proceedings to determine whether to 

approve or disapprove, the proposed rule change. 

6 In Amendment No. 1, the Exchange filed Exhibit 

3, which provides additional detail regarding the 

Exchange’s analysis of the market quality impact of 

p.m.-settled index options. Amendment No. 1 is 

available at: https://www.sec.gov/comments/srcboe-2023-005/srcboe2023005.htm. 

7Amendment No. 1 was published for comment 

in the Federal Register on April 28, 2023. See 

Securities Exchange Act Release No. 97367 (April 

24, 2023), 88 FR 26366 (April 28, 2023) (order 

instituting proceedings and noticing Amendment 

No. 1). 

8See Securities Exchange Act Release No. 97956, 

88 FR 48278 (July 26, 2023). The Commission 

designated September 21, 2023, as the date by 

which the Commission shall either approve or 

disapprove the proposed rule change. 

9The seller of a ‘‘cash-settled’’ index option pays 

out the cash value of the applicable index on 

expiration or exercise. A ‘‘physical delivery’’ 

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: https://www.theocc.com/ 

Company-Information/Documents-and-Archives/ 

Options-Disclosure-Document. 

10See Securities Exchange Act Release No. 65256 

(September 2, 2011), 76 FR 55969, at 55972 

(September 9, 2011) (SR–C2–2011–008) (Order 

approving proposed rule change to establish a pilot 

program to list and trade SPXPM options on the C2 

Options Exchange, Incorporated (‘‘C2’’)) (‘‘C2 

SPXPM Approval’’). SPXPM was traded on a pilot 

basis on C2 until the introduction of SPXPM trading 

on Cboe Options. See Securities Exchange Act 

Release No. 68888 (February 8, 2013), 78 FR 10668, 

Continued 

novel legal or regulatory issues, the 

Commission believes that waiving the 

30-day operative delay is consistent 

with the protection of investors and the 

public interest. Therefore, the 

Commission hereby waives the 30-day 

operative delay and designates the 

proposal operative upon filing.20

At any time within 60 days of the 

filing of the proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

should be approved or disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (https://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include file number SR– 

BOX–2023–24 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to file 

number SR–BOX–2023–24. 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 (https://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for 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–BOX–2023–24 and should be 

submitted on or before October 17, 

2023. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.21

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–20805 Filed 9–25–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98454; File No. SR–CBOE– 

2023–005] 

Self-Regulatory Organizations; Cboe 

Exchange, Inc.; Order Granting 

Approval of a Proposed Rule Change, 

as Modified by Amendment No. 1, To 

Make Permanent The Operation of the 

Program That Allows the Exchange To 

List P.M.-Settled Third Friday-of-theMonth S&P 500 Stock Index Options 

(‘‘SPX’’) Series 

September 20, 2023. 

I. Introduction 

On January 6, 2023, Cboe Exchange, 

Inc. (‘‘Exchange’’ or ‘‘Cboe Options’’) 

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 make permanent the 

operation of its pilot program 

(‘‘Program’’) that permits the Exchange 

to list p.m.-settled third Friday-of-themonth SPX options (‘‘SPXPM’’). The 

proposed rule change was published for 

comment in the Federal Register on 

January 24, 2023.3 On March 7, 2023, 

pursuant to section 19(b)(2) of the Act,4

the Commission designated a longer 

period within which to approve the 

proposed rule change, disapprove the 

proposed rule change, or institute 

proceedings to determine whether to 

disapprove the proposed rule change.5

On March 17, 2023, the Exchange filed 

Amendment No. 1 to the proposed rule 

change (‘‘Amendment No. 1’’).6 On 

April 24, 2023, the Commission 

instituted proceedings to determine 

whether to approve or disapprove the 

proposed rule change and published 

Amendment No. 1 for notice and 

comment.7 On July 20, 2023, the 

Commission designated a longer period 

for Commission action on proceedings 

to determine whether to approve or 

disapprove the proposed rule change, as 

modified by Amendment No. 1.8 The 

Commission did not receive any 

comment letters and is approving the 

proposed rule change, as modified by 

Amendment No. 1. 

II. Background 

When cash-settled 9 index options 

were first introduced in the 1980s, they 

generally utilized closing-price 

settlement procedures (i.e., p.m. 

settlement).10 The Commission became 


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at 10668 (February 14, 2013) (SR–CBOE–2012–120) 

(‘‘SPXPM Approval Order’’). 

11See C2 SPXPM Approval, 76 FR at 55972. 

12See id. 

13See Securities and Exchange Commission, 

Division of Economic Risk and Analysis, 

Memorandum dated February 2, 2021 on 

Cornerstone Analysis of PM Cash-Settled Index 

Option Pilots (September 16, 2020) (‘‘Pilot Memo’’) 

at 5, available at: https://www.sec.gov/files/ 

Analysis_of_PM_Cash_Settled_Index_Option_

Pilots.pdf (citing, among other papers, Stoll, Hans 

R., and Robert E. Whaley, ‘‘Expiration day effects 

of index options and futures,’’ Monograph Series in 

Finance and Economics, no. 3 (1986)). 

14The 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. 

15See Proposed Amendments Relating to the 

Standard and Poor’s 500, the Standard and Poor’s 

100 and the Standard Poor’s OTC Stock Price Index 

Futures Contract, 51 FR 47053 (December 30, 1986) 

(notice of proposed rule change from the CME). See 

also Securities Exchange Act Release No. 24367 

(April 17, 1987), 52 FR 13890 (April 27, 1987) (SR– 

CBOE–87–11) (noting that the CME moved the S&P 

500 futures contract’s settlement value to opening 

prices on the delivery date). 

16See Securities Exchange Act Release No. 24367 

(April 17, 1987), 52 FR 13890 (April 27, 1987) (SR– 

CBOE–87–11). 

17See Securities Exchange Act Release No. 30944 

(July 21, 1992), 57 FR 33376 (July 28, 1992) (SR– 

CBOE–92–09). The Commission also approved 

proposals by other options markets to transfer most 

of their cash-settled index products to a.m. 

settlement. See, e.g., Securities Exchange Act 

Release No. 25804 (June 15, 1988), 53 FR 23475 

(June 22, 1988) (SR–NYSE–87–11 and 88–04). 

18See 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). 

19See 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); and 78531 (August 10, 

2016), 81 FR 54643 (August 16, 2016) (SR–CBOE– 

2016–046). 

20See 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). 

21See, e.g., SPXPM Approval Order, 78 FR at 

10669. See also Securities Exchange Act Release 

Nos. 64599 (June 3, 2011), 76 FR 33798, 33801–02 

(June 9, 2011) (order instituting proceedings to 

determine whether to approve or disapprove a 

proposed rule change to allow the listing and 

trading of SPXPM options on the C2 Options 

Exchange, Incorporated); and C2 SPXPM Approval, 

76 FR at 55972–76. 

22See, e.g., SPXPM Approval Order, 78 FR at 

10669. 

23See id. 

24See id. at 10670. 

25See, e.g., Securities Exchange Act Release No. 

84535 (November 5, 2018), 83 FR 56129, at 56130 

(November 9, 2018) (SR–CBOE–2018–069) (stating 

the Exchange is making public on its website data 

and analyses previously submitted to the 

Commission under the Program and committing to 

make public any data or analyses submitted in the 

future). 

26See SPXPM Approval Order. 

27See Securities Exchange Act Release Nos. 

71424 (January 28, 2014), 79 FR 6249 (February 3, 

2014) (SR–CBOE–2014–004); 73338 (October 10, 

2014), 79 FR 62502 (October 17, 2014) (SR–CBOE– 

2014–076); 77573 (April 8, 2016), 81 FR 22148 

(April 14, 2016) (SR–CBOE–2016–036); 80386 

(April 6, 2017), 82 FR 17704 (April 12, 2017) (SR– 

CBOE–2017–025); 83166 (May 3, 2018), 83 FR 

21324 (May 9, 2018) (SR–CBOE–2018–036); 84535 

(November 5, 2018), 83 FR 56129 (November 9, 

2018) (SR–CBOE–2018–069); 85688 (April 18, 

2019), 84 FR 17214 (April 24, 2019) (SR–CBOE– 

2019–023); 87464 (November 5, 2019), 84 FR 61099 

(November 12, 2019) (SR–CBOE–2019–107); 88674 

(April 16, 2020), 85 FR 22479 (April 22, 2020) (SR– 

CBOE–2020–036); 90263 (October 23, 2020), 85 FR 

68611 (October 29, 2020) (SR–CBOE–2020–100); 

91698 (April 28, 2021) 86 FR 23761 (May 4, 2021) 

(SR–CBOE–2021–027); 93455 (October 28, 2021), 86 

FR 60660 (November 3, 2021) (SR–CBOE–2021– 

062); 94799 (April 27, 2022), 87 FR 26244 (May 3, 

2022) (SR–CBOE–2022–019); 96222 (November 3, 

2022), 87 FR 67736 (November 9, 2022) (SR–CBOE– 

2022–054); and 97446 (May 5, 2023), 88 FR 30365 

(May 11, 2023). 

concerned with the impact of p.m.- 

settled, cash-settled index options on 

the underlying cash equities markets, 

and in particular, added market 

volatility and sharp price movements 

near the close on expiration days.11

These concerns were heightened during 

the ‘‘triple-witching’’ hour on the third 

Friday of March, June, September, and 

December when index options, index 

futures, and options on index futures 

expired concurrently.12 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.13

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 approved 

a proposed rule change by the Chicago 

Mercantile Exchange (‘‘CME’’) to 

provide for a.m. settlement 14 for index 

futures, including futures on the S&P 

500 Index (‘‘S&P 500’’).15 The 

Commission subsequently approved a 

proposed rule change by Cboe Options 

to list and trade a.m.-settled options on 

the S&P 500.16 In 1992, the Commission 

approved Cboe Options’ proposal to 

transition all of its European-style cashsettled options on the S&P 500 to a.m. 

settlement.17 However, in 1993, the 

Commission approved a proposed rule 

change allowing Cboe Options to list 

p.m.-settled options on certain broadbased indexes, including the S&P 500, 

expiring at the end of each calendar 

quarter (since approved as 

permanent).18 Starting in 2006, the 

Commission approved a number of 

proposals, on a pilot basis, permitting 

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) and at the 

end of each month,19 SPXPM, 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.20

In the course of approving the various 

pilots, the Commission reiterated its 

concern about the potential impact on 

the market at expiration for the 

underlying component stocks for a p.m.- 

settled, cash-settled index option.21

However, the Commission also 

recognized the potential impact was 

unclear.22 The Commission approved 

the Program on a pilot basis to allow the 

Exchange and the Commission to 

monitor for and assess any potential for 

adverse market effects.23 In order to 

facilitate this assessment, the Exchange 

committed to provide the Commission 

with data and analysis in connection 

with the Program 24 and to make such 

data publicly available.25 In addition to 

the Exchange’s data and analysis, 

Cornerstone Research also conducted an 

analysis at the direction of Staff from 

the Commission’s Division of Economic 

and Risk Analysis. The analysis utilizes 

the level of expiring p.m.-settled index 

options open interest and the measures 

of volatility and price reversals for the 

corresponding index futures, the 

underlying cash index, and index 

component securities in the minutes 

leading up to and immediately 

following the market close to study the 

effects of pilot programs allowing p.m.- 

settled index options. The Pilot Memo 

is discussed in more detail below. 

III. Description of the Proposal, as 

Modified by Amendment No. 1 

SPXPM are cash-settled SPX options 

with third Friday-of-the-month 

expiration dates (‘‘Expiration Friday’’) 

whose exercise settlement value is 

derived from closing prices on the last 

trading day prior to expiration. In 

February 2013, the Commission 

approved the Program to list and trade 

these options on a pilot basis.26

The Exchange has filed to extend the 

operation of the pilot on multiple 

occasions and it is currently set to 

expire on the earlier of November 6, 

2023, or the date on which the Program 

is approved on a permanent basis.27

Now, the Exchange proposes to make 

the Program permanent. 

Since the Program’s inception in 

2013, the Exchange has submitted 

reports to the Commission regarding the 

Program that detail the Exchange’s 

experience with the Program, pursuant 


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Federal Register / Vol. 88, No. 185 / Tuesday, September 26, 2023 / Notices 66105 

28See supra note 10. The Exchange has made 

public on its website data and analyses previously 

submitted to the Commission under the Program. 

See https://www.cboe.com/aboutcboe/legalregulatory/national-market-system-plans/pmsettlement-spxpm-data. 

29See Notice, 88 FR at 4267. 

30 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). 

31 15 U.S.C. 78f(b)(5). 

32See Notice, 88 FR at 4267. 

33See id. at 4266–70. 

34See id. at 4268. 

35See Pilot Memo at 2. 

36See Notice, 88 FR at 4267. Specifically, since 

2007, p.m.-settled SPX options grew from 0.1% of 

open interest to 30% of open interest in 2021. Id. 

37See Pilot Memo at 3. 

38See id. 

39See Notice, 88 FR at 4268. 

40See id. 

41See id. 

42See id. 

43See id. 

44See id. at 4269. 

45See id. 

46See id. 

47The 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). 

48The 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 

Continued 

to the SPXPM Approval Order.28 The 

Exchange states that, during the course 

of the Program, it also provided the 

Commission with any additional data or 

analyses the Commission requested if 

the Commission deemed such data or 

analyses necessary to determine 

whether the Program was consistent 

with the Act.29

IV. Discussion and Commission 

Findings 

After careful review, the Commission 

finds that the proposed rule change, as 

modified by Amendment No. 1, is 

consistent with the Act and the rules 

and regulations thereunder applicable to 

a national securities exchange.30 In 

particular, the Commission finds that 

the proposed rule change, as modified 

by Amendment No. 1, is consistent with 

section 6(b)(5) of the Act,31 which 

requires, among other things, that the 

Exchange’s rules 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. In its proposal to make 

the Program permanent, the Exchange 

addressed whether the Program 

negatively impacts markets or impacted 

the quality of the SPX options market. 

Each of these elements is discussed in 

greater detail below. As stated above, no 

comments were received on the 

proposed rule change. 

Market Impact Considerations 

The Exchange states it has not 

identified any evidence from the pilot 

data indicating that the trading of p.m.- 

settled SPX options has any adverse 

impact on fair and orderly markets on 

Expiration Fridays for the S&P 500 or 

the underlying securities comprising the 

S&P 500, nor have there been any 

observations of abnormal market 

movements attributable to p.m.-settled 

SPX options from any market 

participants that have come to the 

attention of the Exchange.32 In order to 

support its overall assessment of the 

Program, the Exchange included a 

review and analysis of pilot data.33

Among other things, the Exchange’s 

analysis includes end of day volatility 

as well as a comparison of the impact 

of quarterly index rebalancing versus 

p.m.-settled expirations.34

In addition to reviewing the data and 

analysis provided by the Exchange, the 

Commission reviewed the analysis in 

the Pilot Memo, which evaluates 

whether higher levels of expiring open 

interest in p.m.-settled index options 

results in increased volatility and price 

reversals around the close. The Pilot 

Memo shows that the market share for 

p.m.-settled options on the S&P 500 has 

grown substantially since 2007.35 The 

Exchange’s review of pilot data also 

showed this trend continuing from 2019 

through 2021.36

The Pilot Memo examines whether 

and to what extent expiring open 

interest in p.m.-settled index options is 

empirically related with the tendency of 

the corresponding index futures, the 

underlying index, or index components 

to experience increased transitory 

volatility and price reversals around the 

time of market close on expiration dates. 

The Pilot Memo concludes that, 

although expiring p.m.-settled index 

option open interest may have a 

statistically significant relationship with 

volatility and price reversals of the 

underlying index, index futures, and 

index component securities around the 

market close, the magnitude of the effect 

is economically very small.37 For 

example, the largest settlement event 

that occurred during the time period 

studied in the Pilot Memo (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).38

The Exchange further reviewed a 

sample of pilot data from 2019 through 

2021, and measured the volatility of the 

S&P 500 over the final fifteen minutes 

of each trading day and compared 

expiration days to non-expiration 

days.39 Generally volatility was slightly 

higher on expiration days, but in cases 

where overall market volatility 

increased, the normalized impact on 

expiration days versus non-expiration 

days remained consistent.40 The 

Exchange further analyzed volatility on 

days when the S&P 500 was rebalanced, 

and states its results suggest more 

closing volatility on rebalance dates 

compared to non-rebalance expiration 

dates, indicating that rebalancing of the 

S&P 500 may have a greater impact on 

S&P 500 volatility than p.m.-settled 

option expirations.41

The Exchange also reviewed a sample 

of post-2018 pilot data for potential 

correlation between excess market 

volatility and price reversals and the 

hedging activity of liquidity providers.42

To determine whether there is a 

correlation, the Exchange calculated an 

estimate of the amount of market-onclose (‘‘MOC’’) volume in the S&P 500 

component markets attributable to 

expected hedging activity as a result of 

expiring in-the-money options.43 The 

Exchange states its results indicate that 

other sources of MOC share volume 

generally exceed the volume resulting 

from hedging activity for p.m.-settled 

SPX options.44 Further, the Exchange 

also compared hedging futures positions 

that would correspond to expiring inthe-money p.m.-settled SPX options and 

concludes the data indicate negligible 

capacity for hedging activity to increase 

volatility in the underlying markets.45

Finally, the Exchange states that the 

significant changes in the closing 

procedures of the primary markets in 

recent decades, including considerable 

advances in trading systems and 

technology, have significantly 

minimized risks of any potential impact 

of p.m.-, cash-settled SPX options on the 

underlying cash markets.46

Market Quality Considerations 

The Exchange also completed an 

analysis intended to evaluate whether 

the Program impacted the quality of the 

SPX options market. Specifically, the 

Exchange compared values of key 

market quality indicators (specifically, 

the bid-ask spread 47 and effective 

spread 48) in p.m.-settled SPX weekly 


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(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. 49For purposes of comparison, the Exchange 

paired SPXW options and SPY options with the 

same moneyness and same days to expiration. 50See Notice, 88 FR at 4269. 51See id. at 4270. 52See id. 

53 15 U.S.C. 78f(b)(5). 

54 15 U.S.C. 78s(b)(2). 

55 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3An Opening Sweep is a one-sided order entered 

by a Market Maker through SQF for execution 

against eligible interest in the System during the 

Opening Process. This order type is not subject to 

any protections listed in Options 3, Section 15, 

except for Automated Quotation Adjustments. The 

Opening Sweep will only participate in the 

Opening Process pursuant to Options 3, Section 

8(b)(1) and will be cancelled upon the open if not 

executed. See Options 3, Section 7(u). 

4An Opening Only (‘‘OPG’’) order is entered with 

a TIF of ‘‘OPG.’’ This order can only be executed 

in the Opening Process pursuant to Options 3, 

Section 8. This order type is not subject to any 

protections listed in Options 3, Section 15, except 

Size Limitation. Any portion of the order that is not 

executed during the Opening Process is cancelled. 

OPG orders may not route. See Supplementary 

Material .02(e) to Options 3, Section 7. 

5See Securities Exchange Act Release No. 96821 

(February 6, 2023), 88 FR 8950 (February 10, 2023) 

(‘‘SPXW’’) options both before and after 

the introduction of Tuesday expirations 

and Thursday expirations for SPXW 

options on April 18 and May 11, 2022, 

respectively.49 The Exchange states that 

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 p.m.-settled 

index options impacted the market 

quality of the SPX market when the 

Program began.50 Therefore, the 

Exchange believes analyzing the impact 

of new SPXW options on then-existing 

SPXW options permit the Exchange to 

extrapolate that it is unlikely the 

introduction of p.m.-settled SPXW 

options significantly impacted the 

market quality of a.m.-settled SPX 

options when the Program began.51 The 

Exchange concludes from this analysis 

that 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. For 

a majority of the series analyzed, the 

Exchange observed no statistically 

significant difference in bid-ask spread 

or effective spread.52

The Commission believes that the 

evidence contained in the Exchange’s 

filing, the Exchange’s pilot data and 

reports, and the Pilot Memo analysis 

demonstrate that the Program has 

benefitted investors and other market 

participants by providing more flexible 

trading and hedging opportunities while 

also having no disruptive impact on the 

market. The market for SPXPM options 

has grown significantly in size over the 

course of the Program, and analysis of 

the pilot data did not identify any 

significant economic impact on the 

underlying component securities of the 

S&P 500 surrounding the close as a 

result of expiring p.m.-settled SPX 

options nor did it indicate a 

deterioration in market quality (as 

measured by bid-ask and effective 

spreads) for an existing product when a 

new p.m.-settled expiration was 

introduced. Further, significant changes 

in closing procedures in the decades 

since index options moved to a.m. 

settlement may also serve to mitigate the 

potential impact of p.m.-settled index 

options on the underlying cash markets. 

Accordingly, the Commission finds 

that the proposed rule change, as 

modified by Amendment No. 1, is 

consistent with section 6(b)(5) of the 

Act 53 and the rules and regulations 

thereunder applicable to a national 

securities exchange. 

V. Conclusion 

It is therefore ordered, pursuant to 

section 19(b)(2) of the Act,54 that the 

proposed rule change (SR–CBOE–2023– 

005), as modified by Amendment No. 1, 

be, and hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.55

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–20810 Filed 9–25–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98443; File No. SR–ISE– 

2023–19] 

Self-Regulatory Organizations; Nasdaq 

ISE, LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Amend Options 3, 

Section 13 Related to PIM 

September 20, 2023. 

Pursuant to section 19(b)(1) of the 

Securities Exchange Act of 1934 

(‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that on 

September 8, 2023, Nasdaq ISE, LLC 

(‘‘ISE’’ or ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(the ‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III, below, which Items have been 

prepared by the Exchange. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend 

Options 3, Section 7, Types of Orders 

and Order and Quote Protocols; Options 

3, Section 11, Auction Mechanisms; and 

Options 3, Section 13, Price 

Improvement Mechanism for Crossing 

Transactions. 

The text of the proposed rule change 

is available on the Exchange’s website at 

https://listingcenter.nasdaq.com/ 

rulebook/ise/rules, at the principal 

office of the Exchange, and at the 

Commission’s Public Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV below. The 

Exchange has prepared summaries, set 

forth in sections A, B, and C below, of 

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend 

Options 3, Section 7, Types of Orders 

and Order and Quote Protocols; Options 

3, Section 11, Auction Mechanisms; and 

Options 3, Section 13, Price 

Improvement Mechanism for Crossing 

Transactions. Each change is described 

below. 

Options 3, Section 7 

Opening Only 

The Exchange proposes to amend 

Options 3, Section 7(u), Opening 

Sweep 3 and Supplementary Material 

.02(e) to Options 3, Section 7 related to 

Opening Only 4 or ‘‘OPG’’ orders. The 

proposed rule text was adopted as part 

of a planned System migration.5


lotter on DSK11XQN23PROD with NOTICES1