Federal Register / Vol. 88, No. 185 / Tuesday, September 26, 2023 / Notices 66073 

27 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. 97366 

(April 24, 2023), 88 FR 26359 (‘‘Notice’’). 

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

5See Securities Exchange Act Release No. 97678, 

88 FR 39285 (June 15, 2023). The Commission 

designated July 27, 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. 

6See Securities Exchange Act Release No. 98005, 

88 FR 50943 (August 2, 2023). 

7The 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 

Continued 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.27

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–20807 Filed 9–25–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[SEC File No. 270–813, OMB Control No. 

3235–0765] 

Proposed Collection; Comment 

Request; Extension: Rule 498A 

Upon Written Request, Copies Available 

From: Securities and Exchange 

Commission, Office of FOIA Services, 

100 F Street NE, Washington, DC 

20549–2736. 

Notice is hereby given that, pursuant 

to the Paperwork Reduction Act of 1995 

(‘‘Paperwork Reduction Act’’) (44 U.S.C. 

3501–3520), the Securities and 

Exchange Commission (the 

‘‘Commission’’) is soliciting comments 

on the collections of information 

summarized below. The Commission 

plans to submit this existing collection 

of information to the Office of 

Management and Budget for extension 

and approval. 

Rule 498A under the Securities Act 

permits a person to satisfy its 

prospectus delivery obligations under 

Section 5(b)(2) of the Securities Act for 

a contract by: (1) sending or giving to 

new investors key information 

contained in a variable contract 

statutory prospectus in the form of an 

initial summary prospectus; (2) sending 

or giving to existing investors each year 

a brief description of certain changes to 

the contract, and a subset of the 

information in the initial summary 

prospectus, in the form of an updating 

summary prospectus; and (3) providing 

the statutory prospectus and other 

materials online. Rule 498A considers a 

person to have met its prospectus 

delivery obligations for any portfolio 

companies associated with a variable 

contract if the portfolio company 

prospectuses are posted online. Under 

the rule, a registrant (or the financial 

intermediary distributing the variable 

contract) relying on the rule must send 

the variable contract statutory 

prospectus (that statutory prospectus 

must be filed as part of registration 

statement on Form N–3, N–4, or N–6, as 

applicable) and other materials to an 

investor in paper or electronic format 

upon request. 

Based on current EDGAR data, 82% of 

variable contracts that filed annual 

updates to their registration statements 

filed at least one summary prospectus 

under rule 498A. In the aggregate, the 

Commission staff estimates the total 

annual hour burden to comply with 

Rule 498A to be 7,634 hours, at an 

internal time cost equivalent of 

$2,337,471, and a total annual external 

cost burden of $9,094,866. 

The estimate of average burden hours 

is made solely for the purposes of the 

Paperwork Reduction Act. The estimate 

is based on communications with 

industry representatives, and is not 

derived from a comprehensive or even 

a representative survey or study. 

Responses will not be kept confidential. 

An agency may not conduct or sponsor, 

and a person is not required to respond 

to, a collection of information unless it 

displays a currently valid OMB control 

number. 

Written comments are invited on: (a) 

whether the proposed collection of 

information is necessary for the proper 

performance of the functions of the 

Commission, including whether the 

information shall have practical utility; 

(b) the accuracy of the Commission’s 

estimate of the burden of the collection 

of information; (c) ways to enhance the 

quality, utility, and clarity of the 

information collected; and (d) ways to 

minimize the burden of the collection of 

information on respondents, including 

through the use of automated collection 

techniques or other forms of information 

technology. Consideration will be given 

to comments and suggestions submitted 

by November 27, 2023. 

An agency may not conduct or 

sponsor, and a person is not required to 

respond to, a collection of information 

under the PRA unless it displays a 

currently valid OMB control number. 

Please direct your written comments 

to: David Bottom, Acting Director/Chief 

Information Officer, Securities and 

Exchange Commission, c/o John 

Pezzullo, 100 F Street NE, Washington, 

DC 20549 or send an email to: PRA_

Mailbox@sec.gov. 

Dated: September 21, 2023. 

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–20906 Filed 9–25–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98455; File No. SR–CBOE– 

2023–019] 

Self-Regulatory Organizations; Cboe 

Exchange, Inc.; Order Granting 

Approval of a Proposed Rule Change 

To Make Permanent the Operation of 

Its Pilot Program That Allows the 

Exchange To List P.M.-Settled Third 

Friday-of-the-Month Mini-SPX Index 

(‘‘XSP’’) Options and Mini-Russell 2000 

Index (‘‘MRUT’’) Options Series 

September 20, 2023. 

I. Introduction 

On April 19, 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 XSP and MRUT options (‘‘p.m.- 

settled XSP’’ and ‘‘p.m.-settled MRUT,’’ 

respectively, and collectively, the ‘‘Pilot 

Products’’). The proposed rule change 

was published for comment in the 

Federal Register on April 28, 2023.3 On 

June 9, 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 July 27, 2023, the 

Commission instituted proceedings to 

determine whether to approve or 

disapprove the proposed rule change.6

The Commission did not receive any 

comment letters and is approving the 

proposed rule change. 

II. Background 

When cash-settled 7 index options 

were first introduced in the 1980s, they 


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66074 Federal Register / Vol. 88, No. 185 / Tuesday, September 26, 2023 / Notices 

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. 

8See 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 p.m.-settled third Fridayof-the-month S&P 500 stock index (‘‘SPX’’) options 

(‘‘SPXPM’’) 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, at 10668 (February 

14, 2013) (SR–CBOE–2012–120) (‘‘SPXPM Approval 

Order’’). 

9See C2 SPXPM Approval, 76 FR at 55972. 

10See id. 

11See 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)). 

12The 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. 

13See 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). 

14See Securities Exchange Act Release No. 24367 

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

CBOE–87–11). 

15See 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). 

16See 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). 

17See 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). 

18See Securities Exchange Act Release Nos. 

70087 (July 31, 2013), 78 FR 47809 (August 6, 2013) 

(SR–CBOE–2013–055) (‘‘XSP Approval Order’’); 

and 91067 (February 5, 2021) 86 FR 9108 (February 

11, 2021) (SR–CBOE–2020–116) (‘‘MRUT Approval 

Order’’). 

19See, 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. 

20See, e.g., SPXPM Approval Order, 78 FR at 

10669. 

21See XSP Approval Order, 78 FR at 47811; and 

MRUT Approval Order, 86 FR at 9109. 

22 Id. 

23See, e.g., Securities Exchange Act Release No. 

97446 (May 5, 2023), 88 FR 30365, at 30366 (May 

11, 2023) (SR–CBOE–2023–024) (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). 

24See, e.g., Securities Exchange Act Release Nos. 

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

2014) (SR–CBOE–2014–004) and 96222 (November 

3, 2022), 87 FR 67736 (November 9, 2022) (SR– 

CBOE–2022–054). 

25See Securities Exchange Act Release No. 97446 

(May 5, 2023), 88 FR 30365 (May 11, 2023). 

generally utilized closing-price 

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

settlement).8 The Commission became 

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.9

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.10 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.11

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 12 for index 

futures, including futures on the S&P 

500 Index (‘‘S&P 500’’).13 The 

Commission subsequently approved a 

proposed rule change by Cboe Options 

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

the S&P 500.14 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.15 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).16 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,17 SPXPM, as well as 

p.m.-settled XSP and MRUT options 

expiring on the third Friday of the 

month.18

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.19

However, the Commission also 

recognized the potential impact was 

unclear.20 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.21 In order to 

facilitate this assessment, the Exchange 

committed to provide the Commission 

with data and analysis in connection 

with the Program 22 and to make such 

data publicly available.23 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 

The Pilot Products are cash-settled 

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. 

The Exchange has filed to extend the 

operation of the pilot on multiple 

occasions 24 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.25

Now, the Exchange proposes to make 

the Program permanent. 

Since the Program’s inception in 2013 

for p.m.-settled XSP and 2021 for p.m.- 

settled MRUT, the Exchange has 

submitted reports to the Commission 

regarding the Program that detail the 

Exchange’s experience with the 

Program, pursuant to the XSP and 


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Federal Register / Vol. 88, No. 185 / Tuesday, September 26, 2023 / Notices 66075 

26See supra note 18. 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. 

27See Notice, 88 FR at 26361–26362. 

28 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). 

29 15 U.S.C. 78f(b)(5). 

30See Notice, 88 FR at 26362. 

31See id. at 26361–65. The Exchange states that 

although its analysis specifically evaluated SPX 

options, the Exchange believes it is appropriate to 

extrapolate the data to apply the Pilot Products. See 

Notice, 88 FR at 26365. The Commission agrees it 

is appropriate to extrapolate the data to the Pilot 

Products, as the Exchange’s analysis examines 

liquidity and volatility dynamics around the market 

close, which may be associated with typical 

hedging activities tied to expiring p.m.-settled 

index options. 

32See id. at 26364. 

33See Pilot Memo at 2. 

34See Notice, 88 FR at 26362. Specifically, since 

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

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

35See Pilot Memo at 3. The Pilot Memo also 

examined options on the Russell 2000 Index and 

the Nasdaq-100 Index. However, during the time 

period covered by the study (2007–2018), the 

markets for both a.m.- and p.m.-settled options on 

these indexes were very small compared to the size 

of that for S&P 500 Index options. See id. at 4. 

36See id. at 3. 

37See Notice, 88 FR at 26363. 38See id. 39See id. 40See id. 41See id. 42See id. at 26364. 43See id. 44See id. 

MRUT Approval Orders.26 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.27

IV. Discussion and Commission 

Findings 

After careful review, the Commission 

finds that the proposed rule change is 

consistent with the Act and the rules 

and regulations thereunder applicable to 

a national securities exchange.28 In 

particular, the Commission finds that 

the proposed rule change is consistent 

with section 6(b)(5) of the Act,29 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 XSP and MRUT 

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 the 

Pilot Products has any adverse impact 

on fair and orderly markets on 

Expiration Fridays for the Mini-SPX 

Index, the Mini-RUT Index or the 

underlying securities comprising the 

underlying indexes, nor have there been 

any observations of abnormal market 

movements attributable to the Pilot 

Products from any market participants 

that have come to the attention of the 

Exchange.30 In order to support its 

overall assessment of the Program, the 

Exchange included a review and 

analysis of pilot data.31 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.32

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 2007.33 The 

Exchange’s review of pilot data also 

showed this trend continuing from 2019 

through 2021.34

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.35 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).36

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.37 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.38 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.39

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.40

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.41 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.42 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.43

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 XSP or MRUT 

options on the underlying cash 

markets.44

Market Quality Considerations 

The Exchange also completed an 

analysis intended to evaluate whether 

the Program impacted the quality of the 

a.m.-settled options market. 

Specifically, the Exchange compared 


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45The 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). 

46The 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. 

47For purposes of comparison, the Exchange 

paired SPXW options and SPY options with the 

same moneyness and same days to expiration. 

48See Notice, 88 FR at 26364. 

49See id. 

50See Notice, 88 FR at 26364. 

51See id. at 26365. 

52 15 U.S.C. 78f(b)(5). 

53 15 U.S.C. 78s(b)(2). 

54 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3The Trust was formed as a Delaware statutory 

trust on June 22, 2021 and is operated as a grantor 

trust for U.S. federal tax purposes. The Trust has 

no fixed termination date. 

4On May 7, 2021 the Trust filed with the 

Commission an initial registration statement (the 

‘‘Registration Statement’’) on Form S–1 under the 

Securities Act of 1933 (15 U.S.C. 77a). The 

description of the operation of the Trust herein is 

based, in part, on the Registration Statement. The 

Registration Statement is not yet effective and the 

Shares will not trade on the Exchange until such 

time that the Registration Statement is effective. 

5The Commission approved BZX Rule 14.11(e)(4) 

in Securities Exchange Act Release No. 65225 

(August 30, 2011), 76 FR 55148 (September 6, 2011) 

(SR–BATS–2011–018). 

values of key market quality indicators 

(specifically, the bid-ask spread 45 and 

effective spread 46) in p.m.-settled SPX 

weekly (‘‘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.47 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.48

For a majority of the series analyzed, the 

Exchange observed no statistically 

significant difference in bid-ask spread 

or effective spread.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 thenexisting 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 

market quality when the Program 

began.50 Therefore, the Exchange 

believes the results of its analysis permit 

the Exchange to extrapolate that it is 

unlikely the introduction of p.m.-settled 

XSP or p.m.-settled MRUT options 

significantly impacted the market 

quality of a.m.-settled options, such as 

a.m.-settled SPX or Russell 2000 

options, respectively, when the Program 

began.51

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 p.m.-settled 

options has grown 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 

surrounding the close as a result of 

expiring p.m.-settled 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 is 

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

Act 52 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,53 that the 

proposed rule change (SR–CBOE–2023– 

019) be, and hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.54

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–20811 Filed 9–25–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98457; File No. SR– 

CboeBZX–2023–069] 

Self-Regulatory Organizations; Cboe 

BZX Exchange, Inc.; Notice of Filing of 

a Proposed Rule Change To List and 

Trade Shares of the VanEck Ethereum 

ETF Under BZX Rule 14.11(e)(4), 

Commodity-Based Trust Shares 

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 6, 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. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

Cboe BZX Exchange, Inc. (‘‘BZX’’ or 

the ‘‘Exchange’’) is filing with the 

Securities and Exchange Commission 

(‘‘Commission’’ or ‘‘SEC’’) a proposed 

rule change to list and trade shares of 

the VanEck Ethereum ETF (the 

‘‘Trust’’),3 under BZX Rule 14.11(e)(4), 

Commodity-Based Trust Shares. 

The text of the proposed rule change 

is also available on the Exchange’s 

website (http://markets.cboe.com/us/ 

equities/regulation/rule_filings/bzx/), 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 list and 

trade the Shares of the VanEck 

Ethereum Trust 4 under BZX Rule 

14.11(e)(4),5 which governs the listing 


lotter on DSK11XQN23PROD with NOTICES1