[Federal Register Volume 89, Number 10 (Tuesday, January 16, 2024)]
[Notices]
[Pages 2688-2695]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[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 (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 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: 
https://www.theocc.com/Company-Information/Documents-and-Archives/Options-Disclosure-Document.
    \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: https://www.sec.gov/files/Analysis_of_PM_Cash_Settled_Index_Option_Pilots.pdf.
    \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 https://www.cboe.com/aboutcboe/legal-regulatory/national-market-system-plans/pm-settlement-spxpm-data.
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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.
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    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.
---------------------------------------------------------------------------

    \37\ See S&P Dow Jones Indices, Equity Indices Policies & 
Practices, Methodology (August 2021), at 15, available at https://www.spglobal.com/spdji/en/documents/methodologies/methodology-sp-equity-indices-policies-practices.pdf.
---------------------------------------------------------------------------

    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.
---------------------------------------------------------------------------

    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\
---------------------------------------------------------------------------

    \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\
---------------------------------------------------------------------------

    \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 (https://www.sec.gov/rules/sro.shtml); 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 (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

[[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\
---------------------------------------------------------------------------

    \51\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

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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