Federal Register / Vol. 89, No. 191 / Wednesday, October 2, 2024 / Notices 80291 

56 15 U.S.C. 78s(b)(3)(A)(ii). 

57 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. 100671 

(August 8, 2024), 89 FR 66163. The Commission has 

not received any comments. 

4The full text of Amendment No. 1 is available 

on the Commission’s website at: https:// 

Continued 

particular venue to be excessive, or 

rebate opportunities available at other 

venues to be more favorable. In such an 

environment, the Exchange must 

continually adjust its fees to remain 

competitive with other exchanges and 

with alternative trading systems that 

have been exempted from compliance 

with the statutory standards applicable 

to exchanges. Because competitors are 

free to modify their own fees in 

response, and because market 

participants may readily adjust their 

order routing practices, the Exchange 

believes that the degree to which fee 

changes in this market may impose any 

burden on competition is extremely 

limited. 

Intermarket Competition 

Nothing in the proposal burdens 

inter-market competition (the 

competition among self-regulatory 

organizations). 

As discussed above, Trade Outline is 

subject to direct competition from other 

options exchanges that offer substitutes. 

Any of these exchanges can replicate 

this proposal in full or in part, and 

nothing in the proposal would interfere 

with the ability of any exchange to do 

so. 

Intra-Market Competition 

Nothing in the proposal burdens 

intra-market competition (the 

competition among consumers of 

exchange data). Trade Outline is 

available to any customer under the 

same fee schedule as any other 

customer, and any market participant 

that wishes to purchase these products 

can do so on a non-discriminatory basis. 

Offering the 36 months of historical 

data to Current Distributors, but not 

former distributors or firms that have 

never purchased the product, will not 

burden competition because nonsubscribers are free to purchase a 

current subscription. Moreover, a firm 

that is not a Current Distributor may 

become a Current Distributor and then 

cancel the product after receiving the 

historical discount. As such, firms that 

are not Current Distributors will have an 

opportunity to pay the same fees for the 

most recent 36 months of historical data 

as Current Distributors. Outside of the 

36 month period, all firms will have the 

opportunity to purchase historical data 

on an ad hoc basis. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were either 

solicited or received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective pursuant to Section 

19(b)(3)(A)(ii) of the Act.56

At any time within 60 days of the 

filing of the proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is: (i) necessary or appropriate in 

the public interest; (ii) for the protection 

of investors; or (iii) otherwise in 

furtherance of the purposes of the Act. 

If the Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

should be approved or disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include file number 

SR–BX–2024–036 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to file 

number SR–BX–2024–036. This file 

number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

internet website (https://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

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

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549, on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of the filing also 

will be available for inspection and 

copying at the principal office of the 

Exchange. Do not include personal 

identifiable information in submissions; 

you should submit only information 

that you wish to make available 

publicly. We may redact in part or 

withhold entirely from publication 

submitted material that is obscene or 

subject to copyright protection. All 

submissions should refer to file number 

SR–BX–2024–036 and should be 

submitted on or before October 23, 2024 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.57

Vanessa A. Countryman, 

Secretary. 

[FR Doc. 2024–22564 Filed 10–1–24; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–101197; File No. SR– 

CBOE–2024–034] 

Self-Regulatory Organizations; CBOE 

Exchange, Inc.; Notice of Filing of 

Amendment No. 1 and Order Granting 

Accelerated Approval of a Proposed 

Rule Change, as Modified by 

Amendment No. 1, To Adopt Rules To 

List P.M.-Settled Russell 2000 Index 

Options With Expirations on the Third 

Friday-of-the-Month 

September 26, 2024. 

I. Introduction 

On August 2, 2024, 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 list p.m.-settled broad-based 

Index options with expirations on the 

third Friday-of-the-month. The 

proposed rule change was published for 

comment in the Federal Register on 

August 14, 2024.3 On September 13, 

2024, the Exchange filed Amendment 

No. 1 to the proposed rule change, 

described in Item II below, which Item 

has been prepared by the Exchange.4


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www.sec.gov/comments/sr-cboe-2024-034/ 

srcboe2024034.htm. 

5An option with P.M.-settlement has its exercise 

settlement value derived from the closing prices on 

the expiration date. 

6The proposed rule change deletes Interpretation 

.14 and moves XSP and MRUT to Interpretation .13 

so that all indexes on which the Exchange may list 

P.M.-settled third-Friday-of-the-month options 

series are included within the same rule provision. 

This is a nonsubstantive, administrative change, 

and the proposed rule change makes no changes to 

how XSP or MRUT P.M.-settled third-Friday-of-themonth option series trade. 

7The Exchange notes that the index underlying 

MRUT options is the same as the index underlying 

RUT options but are just based on a reduced value 

of that index. 

8The Exchange corrects outdated language in 

Rule 4.13, Interpretation and Policy .13 by updating 

the definition of P.M.-settled. The exercise 

settlement value of a P.M.-settled option is derived 

from closing prices on the expiration date, rather 

than the last trading day prior to expiration (which 

would have been Friday when options settled on 

Saturdays; however, options now settle on Fridays). 

This is consistent with the fact that expiring P.M.- 

settled options trade on their expiration dates, as set 

forth in Rule 5.1(b)(2)(C). 

Amendment No. 1 superseded the 

original proposed rule change in its 

entirety. 

The Commission is publishing this 

notice and order to solicit comments on 

the proposed rule change, as modified 

by Amendment No. 1, from interested 

persons and is approving the proposed 

rule change, as modified by Amendment 

No. 1, on an accelerated basis. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV below. The 

Exchange has prepared summaries, set 

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

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend its 

Rules to permit the listing of P.M.- 

settled 5 options on the Russell 2000 

Index (‘‘RUT’’) that expire on the 

standard third Friday-of-the-month 

(‘‘Expiration Friday’’). Currently, 

pursuant to Rule 4.13, Interpretations 

and Policies .13 and .14, the Exchange 

is permitted to list P.M.-settled options 

on the S&P 500 Index (‘‘SPX options’’), 

the Mini-S&P 500 Index (‘‘XSP 

options’’), and the Mini-Russell 2000 

Index (‘‘MRUT options’’) that expire on 

Expiration Fridays.6 Additionally, 

pursuant to Rule 4.13(e), the Exchange 

may list P.M.-settled options on any 

broad-based index eligible for standard 

options trading—including RUT—that 

expire on any Monday, Tuesday, 

Wednesday, Thursday, or Friday (other 

than Expiration Friday or days that 

coincide with an EOM Expiration (as 

defined below)) (‘‘Weekly Expirations’’) 

or that expire on the last trading day of 

the month (‘‘EOM Expirations’’ and, 

combined with Weekly Expirations, 

‘‘Nonstandard Expirations’’). As a result, 

currently, the Exchange may list P.Msettled SPX, XSP, and MRUT options 

with expirations on any day of the 

week, including all Fridays, while the 

Exchange may list P.M-settled options 

on RUT with expirations on any day of 

the week, including all Fridays except 

Expiration Fridays. 

The proposed rule change would 

permit the Exchange to list RUT P.M.- 

settled options that expire on Expiration 

Fridays. Specifically, the proposed rule 

change amends Rule 4.13, Interpretation 

and Policy .13 to state that in addition 

to A.M.-settled options on SPX, XSP, 

and MRUT 7 pursuant to Rule 4.13, the 

Exchange may also list options on RUT 

whose exercise settlement value is 

derived from closing prices on their 

expiration dates (‘‘P.M.-Settled’’).8 The 

Exchange notes that permitting RUT 

options that are P.M.-Settled that expire 

on Expiration Friday, as proposed, 

would be in addition to the RUT P.M.- 

settled options with expirations on all 

Fridays other than Expiration Fridays 

that the Exchange may already list on 

those indexes as Weekly Expirations 

pursuant to Rule 4.13(e)(1). Current 

Rule 4.13, Interpretations and Policies 

.13 and .14 together with Rule 4.13(e)(1) 

permit the Exchange to list P.M-settled 

SPX, XSP, and MRUT options on all 

Fridays (including Expiration and nonExpiration Fridays). The proposal 

merely expands this same ability to RUT 

options. 

RUT options that are P.M.-Settled and 

expire on Expiration Friday are subject 

to all provisions of Rule 4.13 and treated 

the same as A.M.-settled RUT options 

(which expire on Expiration Fridays), 

except they are P.M.-settled. RUT 

options that are P.M.-Settled that expire 

on Expiration Fridays have the same 

exercise style, same number of 

permissible expirations, same exercise 

interval prices and limitations, and 

same position and exercise limits, and 

will trade in the same minimum price 

increment, as A.M.-settled RUT options. 

The Exchange believes expanding the 

availability of P.M.-Settled options that 

expire on Expiration Friday to RUT will 

expand hedging tools available to 

market participants while also 

providing greater trading opportunities, 

regardless of in which index option 

market they participate. By expanding 

the availability of P.M.-Settled options 

that expire on Expiration Friday, the 

proposed rule change (together with 

currently available Weekly Expirations 

for RUT) will provide market 

participants with opportunities to 

purchase RUT options in a manner more 

aligned with specific timing needs and 

more effectively tailor their investment 

and hedging strategies related to the 

Russell 2000 Index and manage their 

portfolios. In particular, the proposed 

rule change will allow market 

participants to roll their positions in 

RUT options on more trading days, thus 

with more precision, spread risk across 

more trading days and incorporate daily 

changes in the markets, which may 

reduce the premium cost of buying 

protection. 

The Exchange believes there is 

sufficient investor interest in and 

demand for RUT P.M.-Settled options 

that expire on Expiration Friday to 

warrant adding these expirations and 

that RUT P.M.-Settled options that 

expire on Expiration Friday will provide 

investors with additional means of 

managing their risk exposures and 

carrying out their investment objectives. 

For example, from January 2 through 

August 30, 2024, the total trading 

volume on the Exchange of A.M.-settled 

RUT options (which expire on 

Expiration Fridays) was over 7 million 

contracts, which is comparable to the 

total trading volume on the Exchange of 

P.M.-settled RUT options (which expire 

on any day of the month, including 

Fridays, other than Expiration Fridays) 

of just over 10 million contracts. The 

Exchange believes this demonstrates 

strong customer demand for both A.M.- 

settled RUT options as well as P.M.- 

settled RUT options (across various 

expirations). This RUT options volume 

(A.M.-settled and P.M.-settled 

combined) over 17 million contracts is 

also comparable to the total trading 

volume on the Exchange during that 

timeframe of XSP options (all of which 

are P.M.-settled, including on 

Expiration Fridays) of approximately 

23.5 million contracts. Further, RUT 

options total trading volume on the 

Exchange during this timeframe was 

significantly larger than the total trading 

volume on the Exchange of MRUT 

options of approximately 139,000 

contracts. The Exchange believes the 


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9See Rule 1.6, which states that unless otherwise 

specified, all times in the Rules are Eastern Time. 

10Further, the Exchange expects that RUT P.M.- 

Settled options that expire on Expiration Friday (as 

the Exchange understands is the case for P.M.- 

settled SPX, XSP and MRUT options that expire on 

Expiration Friday and all broad-based index options 

with Nonstandard Expirations) will typically be 

priced in the market based on corresponding 

futures values. If trading expiring RUT P.M.-Settled 

options that expire on Expiration Friday continued 

until 4:15 p.m. on their last trading day, these 

expiring options could not be priced on 

corresponding futures values, but rather would 

have to be priced on the known cash value. At the 

same time, the prices of non-expiring RUT P.M.- 

Settled options series that expire on Expiration 

Friday would continue to move and likely be priced 

in response to changes in corresponding futures 

prices. As a result, a potential pricing divergence 

could occur between 4:00 p.m. and 4:15 p.m. on the 

final trading day in expiring RUT P.M.-Settled 

options that expire on Expiration Friday (e.g., a 

switch from pricing off of futures to cash). The 

Exchange understands that the switch from pricing 

off of futures to cash can be a difficult and risky 

crossover for liquidity providers. As a result, if 

expiring P.M.-Settled contracts closed at 4:15 p.m., 

Market-Makers may react by widening spreads in 

order to compensate for the additional risk. 

11See Securities Exchange Act Release Nos. 

68888 (February 8, 2013), 78 FR 10668 (February 

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

Approval Order’’); 70087 (July 31, 2013), 78 FR 

47809 (August 6, 2013) (SR–CBOE–2013–055) 

(‘‘XSPPM Pilot Approval Order’’); and 91067 

(February 5, 2021), 86 FR 9108 (February 11, 2021) 

(SR–CBOE–2020–116) (‘‘MRUTPM Pilot Approval 

Order’’). 

12See Securities Exchange Act Release Nos. 

98454 (September 20, 2023), 88 FR 66103 

(September 26, 2023) (SR–CBOE–2023–005) 

(‘‘SPXPM Permanent Approval Order’’); and 98455 

(September 20, 2023), 88 FR 66073 (September 26, 

2023) (SR–CBOE–2023–019) (‘‘XSPPM and 

MRUTPM Permanent Approval Order’’). 

13 15 U.S.C. 78f(b). 

14 15 U.S.C. 78f(b)(5). 

comparable volume of RUT options to 

XSP options and the similar volume 

between A.M.-settled and P.M.-settled 

RUT options, as well the significantly 

larger volume of RUT options compared 

to MRUT options, for which the 

Exchange may currently list P.M.-settled 

series that expire on Expiration Fridays, 

demonstrates that customers would 

benefit from the availability of P.M.- 

settled RUT options that expire on 

Expiration Friday. Overall, the 

Exchange believes that permitting the 

trading of P.M.-Settled options that 

expire on Expiration Fridays in an 

additional index option will encourage 

greater trading in this index option. The 

Exchange believes the proposed rule 

change will provide opportunities for 

market participants to benefit from 

exposure to the market for an additional 

index option with further P.M.- 

settlement flexibility. 

The Exchange also proposes to amend 

Rule 5.1, which governs trading days 

and hours, in conjunction with the 

proposed addition of RUT P.M.-settled 

options that expire on Expiration 

Friday. Rule 5.1(b)(2)(C) currently 

provides that on their last trading day, 

Regular Trading Hours for expiring 

P.M.-settled SPX, XSP, and MRUT 

options, as well as Index Options with 

Nonstandard Expirations, may be 

effected on the Exchange between 9:30 

a.m. and 4:00 p.m. Eastern Time 9 (as 

opposed to the 9:30 a.m. to 4:15 p.m. 

Regular Trading Hours for options with 

those expirations that are non-expiring). 

The proposed rule change amends Rule 

5.1(b)(2)(C) to include RUT P.M.-Settled 

options. The primary listing markets for 

the component securities that comprise 

broad-based indexes close trading in 

those securities at 4:00 p.m., just as the 

primary listing markets for the 

component securities that comprise the 

SPX, XSP, and MRUT Indexes close 

trading at 4:00 p.m. (the Exchange notes 

the components of the RUT Index are 

identical to the components of MRUT 

Index). The primary listing exchanges 

for the component securities 

disseminate closing prices for the 

component securities, which are used to 

calculate the exercise settlement value 

of broad-based indexes on which the 

Exchange lists options. The Exchange 

believes that, under normal trading 

circumstances, the primary listing 

markets have sufficient bandwidth to 

prevent any data queuing that may 

cause any trades that are executed prior 

to the closing time from being reported 

after 4:00 p.m. If trading in expiring 

RUT P.M.-Settled options that expire on 

Expiration Fridays continued an 

additional fifteen minutes until 4:15 

p.m. on their last trading day, these 

expiring options would be trading after 

the settlement index value for those 

expiring options was calculated.10

Therefore, in order to mitigate potential 

investor confusion and the potential for 

increased costs to investors as a result 

of potential pricing divergence at the 

end of the trading day, the Exchange 

believes that it is appropriate to cease 

trading in the expiring RUT P.M.-Settled 

options that expire on Expiration 

Fridays at 4:00 p.m., as it already does 

for expiring P.M.-settled SPX, XSP, and 

MRUT options that expire on Expiration 

Fridays and for expiring broad-based 

indexes with Nonstandard Expirations 

(which are p.m.-settled) for the same 

aforementioned reasons.11 The 

Exchange does not believe that the 

proposed rule change will impact 

volatility on the underlying cash market 

comprising broad-based indexes at the 

close on Expiration Fridays, as it 

already closes trading on the last trading 

day for expiring P.M.-settled options at 

4:00 p.m. (such as P.M.-settled SPX, 

XSP, and MRUT options that expire on 

Expiration Fridays and broad-based 

index options with Nonstandard 

Expirations), which the Exchange does 

not believe has had an adverse impact 

on fair and orderly markets on 

Expiration Fridays for the underlying 

stocks comprising the corresponding 

indexes.12

With regard to the impact of this 

proposal on system capacity, the 

Exchange has analyzed its capacity and 

represents that it believes that the 

Exchange and OPRA have the necessary 

systems capacity to handle any potential 

additional traffic associated with trading 

of RUT P.M.-Settled options that expire 

on Expiration Fridays. The Exchange 

does not believe that its Trading Permit 

Holders (‘‘TPHs’’) will experience any 

capacity issues as a result of this 

proposal and represents that it will 

monitor the trading volume associated 

with any possible additional options 

series listed as a result of this proposal 

and the effect (if any) of these additional 

series on market fragmentation and on 

the capacity of the Exchange’s 

automated systems. 

In addition to this, the Exchange 

believes that its existing surveillance 

and reporting safeguards in place are 

adequate to deter and detect possible 

manipulative behavior which might 

arise from listing and trading RUT P.M.- 

Settled options that expire on 

Expiration Fridays on all broad-based 

index options and will support the 

protection of investors and the public 

interest. Furthermore, the trading of 

RUT P.M.-Settled options that expire on 

Expiration Fridays will be subject to 

Exchange Rules governing customer 

accounts, position and exercise limits, 

margin requirements and trading halt 

procedures, among other Rules, which 

are designed to prevent fraudulent and 

manipulative acts and practices. 

2. Statutory Basis 

The Exchange believes the proposed 

rule change is consistent with the 

Securities Exchange Act of 1934 (the 

‘‘Act’’) and the rules and regulations 

thereunder applicable to the Exchange 

and, in particular, the requirements of 

Section 6(b) of the Act.13 Specifically, 

the Exchange believes the proposed rule 

change is consistent with the Section 

6(b)(5) 14 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, 


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15 Id. 

16See SPXPM, XSPPM, and MRUTPM Pilot 

Approval Orders (the Exchange initially listed P.M.- 

Settled SPX, XSP, and MRUT options that expire 

on Expiration Fridays pursuant to pilot programs, 

so the Commission could monitor the impact of 

P.M. settlement of cash-settled index derivatives on 

the underlying cash markets (while recognizing that 

these risks may have been mitigated given 

enhanced closing procedures in use in the primary 

equity markets); and SPXPM, XSPPM, and 

MRUTPM Permanent Approval Orders. 

17See SPXPM Permanent Approval Order at 

66106; and XSPPM and MRUTPM Permanent 

Approval Order at 66076 (citing data the 

Commission reviewed in connection with the pilot 

programs). 

18See id. 

19See, e.g., Nasdaq PHLX, LLC Options 4A, 

Section 12(a)(6) (permitting P.M.-settlement for 

options on the Nasdaq-100 and Nasdaq-100 Micro 

Indexes that expire on Expiration Fridays). 

20See, e.g., Nasdaq PHLX, LLC Options 4A, 

Section 12 (permitting nonstandard expirations, 

including expirations on Tuesdays and Thursdays, 

and facilitating transactions in 

securities, to remove impediments to 

and perfect the mechanism of a free and 

open market and a national market 

system, and, in general, to protect 

investors and the public interest. 

Additionally, the Exchange believes the 

proposed rule change is consistent with 

the Section 6(b)(5) 15 requirement that 

the rules of an exchange not be designed 

to permit unfair discrimination between 

customers, issuers, brokers, or dealers. 

In particular, the Exchange believes 

that the proposed rule change will 

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. The Exchange believes 

that expanding the availability of P.M.- 

Settled options that expire on 

Expiration Fridays to RUT (in addition 

to SPX, XSP, and MRUT (which options 

overly the same index as RUT options 

but merely with a reduced value) will 

provide investors with expanded 

hedging tools and greater trading 

opportunities and flexibility for an 

additional index option. As a result, 

investors will have additional means for 

an additional index option to manage 

their risk exposures and carry out their 

investment objectives. By offering RUT 

P.M.-Settled options that expire on 

Expiration Fridays along with Weekly 

Expirations (including expirations on 

Fridays other than Expiration Friday), 

the proposed rule change will allow 

market participants to purchase options 

on an additional index option available 

for trading on the Exchange in a manner 

more aligned with specific timing needs 

and more effectively tailor their 

investment and hedging strategies 

related to the Russell 2000 Index and 

manage their portfolios. For example, 

the proposed rule change will allow 

market participants to roll their 

positions in RUT options on more 

trading days, thus with more precision, 

spread risk across more trading days 

and incorporate daily changes in the 

markets, which may reduce the 

premium cost of buying protection. The 

Exchange represents that it believes that 

it has the necessary systems capacity to 

support any additional traffic associated 

with trading of RUT P.M.-Settled that 

expire on Expiration Fridays and does 

not believe that its TPHs will experience 

any capacity issues as a result of this 

proposal. 

The Commission previously 

recognized that listing P.M.-Settled SPX, 

XSP, and MRUT options that expire on 

Expiration Fridays was consistent with 

the Act.16 The Exchange notes that 

MRUT options overlie a reduced-value 

version of the same index underlying 

RUT options. The Commission noted 

that P.M.-Settled options that expire on 

Expiration Fridays in these index 

options ‘‘has benefitted investors and 

other market participants by providing 

more flexible trading and hedging 

opportunities while also having no 

disruptive impact on the market.’’ 17

The proposed rule change is consistent 

with these findings, as it will benefit 

investors and other market participants 

that participate in the market for RUT 

options that expire on Expiration 

Fridays do by providing investors with 

more flexible trading and hedging 

opportunities in this index option. 

Additionally, the Exchange does not 

believe listing of RUT P.M.-Settled 

options that expire on Expiration 

Fridays will have any significant 

economic impact on the underlying 

component securities surrounding the 

close as a result of expiring p.m.-settled 

options or impact market quality, based 

on the data provided to and reviewed by 

the Commission (and the Commission’s 

own conclusions based on that review, 

as noted above) and due to the 

significant changes in closing 

procedures in the decades since index 

options moved to a.m.-settlement.18

This is particularly true given that RUT 

options overlie the same index as MRUT 

options (for which the Exchange may 

list P.M.-Settled options that expire on 

Expiration Fridays), but just the fullvalue of that underlying index. 

In addition, the Exchange believes 

that the proposal to end trading at 4:00 

p.m. on the last trading day for 

transactions in expiring RUT P.M.- 

Settled options that expire on 

Expiration Fridays will prevent 

continued trading on a product after the 

exercise settlement value has been 

fixed, thereby mitigating potential 

investor confusion and the potential for 

increased costs to investors as a result 

of potential pricing divergence at the 

end of the trading day. 

Finally, the proposed rule change to 

correct the definition of P.M.-Settled in 

Rule 4.13, Interpretation and Policy .13 

will benefit investors, as it will mitigate 

potential confusion of having an 

outdated definition in the Exchange’s 

Rules. This proposed rule change will 

have no impact on trading, as the 

proposed definition of P.M.-Settled is 

consistent with how P.M.-Settled 

options currently settle. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. The 

Exchange does not believe that the 

proposed rule change will impose any 

burden on intramarket competition that 

is not necessary or appropriate in 

furtherance of the purposes of the Act 

because RUT P.M.-Settled options that 

expire on Expiration Fridays will be 

available to all market participants. By 

permitting RUT P.M.-Settled options 

that expire on Expiration Fridays, the 

proposed rule change will provide all 

investors that participate in the market 

for RUT options with greater trading 

and hedging opportunities and 

flexibility to meet their investment and 

hedging needs, which are already 

available for SPX, XSP, and MRUT 

options. Additionally, RUT P.M.-Settled 

options that expire on Expiration 

Fridays will trade in the same manner 

as RUT A.M-settled options. Further, 

the proposed 4:00 p.m. closing time on 

Expiration Fridays will apply equally to 

all market participants trading in RUT 

P.M.-Settled options that expire on 

Expiration Fridays. 

The Exchange does not believe that 

the proposal to list RUT P.M.-Settled 

options that expire on Expiration 

Fridays will impose any burden on 

intermarket competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act because these 

options are proprietary Exchange 

products. Other exchanges offer P.M.- 

settlement on Expiration Fridays for 

other broad-based index options.19

Additionally, options on equity options 

(including options on certain exchangetraded funds (‘‘ETFs’’) that track the 

Russell 2000 Index) are P.M.-settled, 

and exchanges offer short-term options 

programs for certain equity options,20


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Federal Register / Vol. 89, No. 191 / Wednesday, October 2, 2024 / Notices 80295 

for Nasdaq-100 index options and Nasdaq 100- 

Micro index options); and Nasdaq ISE, LLC Options 

4, Section 5, Supplementary Material .03 

(permitting short-term options series with daily 

expirations for SPY and QQQ options). [update] 

[sic] 

21 In approving this proposed rule change, as 

modified by Amendment No. 1, the Commission 

has considered the proposed rule’s impact on 

efficiency, competition, and capital formation. See 

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

22 15 U.S.C. 78f(b)(5). 

23See supra Item II.A.1, at note 12 (citing XSPPM 

and MRUTPM Permanent Approval Order). 

24See id. 

25See supra Item II.A.1. In support of this 

statement, the Exchange examined trading volumes 

of a.m.-settled RUT options and P.M.-Settled RUT 

options as well XSP and MRUT options (all of 

which are P.M.-Settled). Based on the total trading 

volumes, the Exchange concludes that there is 

strong customer demand for both a.m.-settled RUT 

options and P.M.-Settled RUT options and that 

trading volume in all RUT options is comparable to 

that of XSP options and significantly larger than 

MRUT options. See id. 

26See supra Item II.A.2. at text accompanying 

note 18. 

27See supra Item II.A.1 and II.A.2. 

28See supra Item II.A.1. 

29See Securities Exchange Act Release No. 65256 

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

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

approving proposed rule change to establish a pilot 

program to list and trade SPXPM options on the C2 

Options Exchange, Incorporated). 30See e.g., SPXPM Permanent Approval Order; 

XSPPM and MRUTPM Permanent Approval Order; 

Securities Exchange Act Release Nos. 98450 

(September 20, 2023), 88 FR 66111 (September 26, 

2023) (SR–ISE–2023–08) (Order Granting Approval 

of a Proposed Rule Change, as Modified by 

Amendment No. 1, to Make Permanent Certain 

P.M.-Settled Pilots); and 98451 (September 20, 

2023), 88 FR 66088 (September 26, 2023) (SR–Phlx– 

203–07) (Order approving a nonstandard 

expirations pilot program and p.m.-settled XND 

options). See also Securities Exchange Act Release 

Nos. 98935 (November 14, 2023), 88 FR 80792 

(November 20, 2023) (SR–ISE–2023–20) (Order 

approving the listing and trading of p.m.-settled 

Nasdasq-100 Index Options with a third Friday-ofthe-month expiration). 

31See e.g., XSPPM and MRUTPM Permanent 

Approval Order, 88 FR at 66075–66076. 

32See id. 

33See supra note 13. 

making options on certain ETFs that 

track the Russell 2000 Index available 

with expirations on all Fridays. To the 

extent that the addition of RUT P.M.- 

Settled options that expire on 

Expiration Fridays available for trading 

on the Exchange makes the Exchange a 

more attractive marketplace to market 

participants at other exchanges, such 

market participants are free to elect to 

become market participants on the 

Exchange. 

The Exchange does not believe the 

proposed rule change to correct the 

definition of P.M.-Settled in Rule 4.13, 

Interpretation and Policy .13 will 

impose any burden on competition that 

is not necessary or appropriate in 

furtherance of the purposes of the Act, 

as it is not a competitive change. This 

proposed change merely updates an 

outdated definition in the Exchange’s 

Rules and will have no impact on 

trading, as the proposed definition of 

p.m.-settled is consistent with how 

P.M.-Settled options currently settle. 

B. 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. Discussion and Commission 

Findings 

After careful review, the Commission 

finds that the proposed rule change, as 

modified by Amendment No. 1, is 

consistent with the Act and the rules 

and regulations thereunder applicable to 

a national securities exchange.21 In 

particular, the Commission finds that 

the proposed rule change, as modified 

by Amendment No. 1, is consistent with 

Section 6(b)(5) of the Act,22 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 support of its proposal, the 

Exchange states that the Commission 

approved trading of MRUT options that 

expire on Expiration Fridays, which 

options overly the same index as RUT 

options but with a reduced value.23 In 

addition, the Commission approved 

other P.M.-Settled broad-based index 

options that expire on Expiration 

Fridays including SPX and XSP.24 The 

Exchange states that expanding the 

availability of P.M.-Settled options that 

expire on Expiration Fridays to RUT 

will provide investors with expanded 

hedging tools and greater trading 

opportunities and flexibility for an 

additional index option. Further, the 

Exchange also states there is sufficient 

investor interest in and demand for RUT 

P.M.-Settled options that expire on 

Expiration Friday to warrant adding 

these expirations.25

In addition, the Exchange further 

believes that listing P.M.-Settled RUT 

options that expire on Expiration Friday 

will not have any significant economic 

impact on the underlying component 

securities surrounding the close as a 

result of expiring P.M.-Settled options 

or impact market quality.26 The 

Exchange represents that it has the 

necessary systems capacity to support 

any additional traffic associated with 

trading of RUT P.M.-Settled options that 

expire on Expiration Fridays and does 

not believe that its TPHs will experience 

any capacity issues as a result of this 

proposal.27 Finally, the Exchange states 

that it believes that its existing 

surveillance and reporting safeguards in 

place are adequate to deter and detect 

possible manipulative behavior which 

might arise from listing and trading RUT 

P.M.-Settled options that expire on 

Expiration Fridays.28

The Commission has had concerns 

about the adverse effects and impact of 

p.m.-settlement upon market volatility 

and the operation of fair and orderly 

markets on the underlying cash market 

at or near the close of trading on 

expiration days.29 However, the 

Commission recently approved 

proposals from several exchanges, 

including the Exchange, to permanently 

establish programs permitting the listing 

and trading of certain P.M.-Settled 

broad-based index options.30 In 

approving these proposals, the 

Commission reviewed data provided by 

the exchanges in their filings, the 

exchanges’ pilot data and reports, as 

well as an analysis conducted at the 

direction of Staff from the Commission’s 

Division of Economic and Risk Analysis 

and concluded that 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 for an 

existing product when a new P.M.- 

Settled expiration was introduced.31

Further, the Commission stated that 

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.32

As noted above, the Exchange may 

currently trade Expiration Friday MRUT 

options, in addition to P.M.-Settled 

index options on XSP and SPX that 

expire on Expiration Fridays.33 The 

Exchange’s proposal, which would 

permit P.M.-Settled RUT options to 

expire on Expiration Fridays, is 

reasonably designed as a limited 

expansion of existing P.M.-Settled 

broad-based index option programs and 

may provide the investing public and 

other market participants more 

flexibility to closely tailor their 

investment and hedging decisions. The 

Exchange has represented that it has an 


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80296 Federal Register / Vol. 89, No. 191 / Wednesday, October 2, 2024 / Notices 

34See supra note 26 and accompanying text. 

35 15 U.S.C. 78f(b)(5). 

36 15 U.S.C. 78s(b)(2). 

37 15 U.S.C. 78f(b)(2). 

38 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Notice of Filing, infra note 4, at 89 FR 

54602. 

4Securities Exchange Act Release No. 100417 

(June 25, 2024), 89 FR 54602 (July 1, 2024) (File No. 

SR–FICC–2024–009) (‘‘Notice of Filing’’). 

5Comments on the Proposed Rule Change are 

available at https://www.sec.gov/comments/sr-ficc2024-009/srficc2024009.htm. 

6 15 U.S.C. 78s(b)(2). 

7Securities Exchange Act Release No. 100693 

(Aug. 12, 2024), 89 FR 66746 (Aug. 16, 2024) (File 

No. SR–FICC–2024–009). 

8 15 U.S.C. 78s(b)(2)(B). 

adequate surveillance program in place 

to monitor trading in the P.M.-Settled 

RUT options that expire on Expiration 

Fridays and has the necessary systems 

capacity to support the new options 

series.34 The Commission expects the 

Exchange to continue to monitor any 

potential risks from large P.M.-Settled 

positions and take appropriate action on 

a timely basis if warranted. 

Accordingly, the Commission finds 

that the proposed rule change is 

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

Act 35 and the rules and regulations 

thereunder applicable to a national 

securities exchange. 

IV. Solicitation of Comments on 

Amendment No. 1 to the Proposed Rule 

Change 

Interested persons are invited to 

submit written data, views, and 

arguments concerning whether 

Amendment No. 1 is consistent with the 

Act. Comments may be submitted by 

any of the following methods: 

Electronic Comments 

• Use the Commission’s internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include file number SR– 

CBOE–2024–034 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to file 

number SR–CBOE–2024–034. This file 

number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

internet website (https://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

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

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549, on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of the filing also 

will be available for inspection and 

copying at the principal office of the 

Exchange. Do not include personal 

identifiable information in submissions; 

you should submit only information 

that you wish to make available 

publicly. We may redact in part or 

withhold entirely from publication 

submitted material that is obscene or 

subject to copyright protection. All 

submissions should refer to file number 

SR–CBOE–2024–034 and should be 

submitted on or before October 23, 

2024. 

V. Accelerated Approval of the 

Proposed Rule Change, as Modified by 

Amendment No. 1 

The Commission finds good cause to 

approve the proposed rule change, as 

modified by Amendment No. 1, prior to 

the thirtieth day after the date of 

publication of notice of the filing of 

Amendment No. 1 in the Federal 

Register. In Amendment No. 1, the 

Exchange narrows the scope of the 

proposed rule change from all broadbased indexes to the RUT index, 

provides additional support for the 

proposed rule change, and does not 

otherwise alter the substance of the 

proposed rule change. The changes to 

the proposal and additional information 

in Amendment No. 1 do not raise any 

novel regulatory issues and assist the 

Commission in evaluating the 

Exchange’s proposal and in determining 

that it is consistent with the Act. 

Accordingly, the Commission finds 

good cause, pursuant to Section 19(b)(2) 

of the Act,36 to approve the proposed 

rule change, as modified by Amendment 

No. 1, on an accelerated basis. 

VI. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,37 that the 

proposed rule change (SR–CBOE–2024– 

034), as modified by Amendment No. 1, 

be and hereby is, approved on an 

accelerated basis. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.38

Vanessa A. Countryman, 

Secretary. 

[FR Doc. 2024–22559 Filed 10–1–24; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–101194; File No. SR–FICC– 

2024–009] 

Self-Regulatory Organizations; Fixed 

Income Clearing Corporation; Order 

Instituting Proceedings To Determine 

Whether To Approve or Disapprove a 

Proposed Rule Change To Modify the 

GSD Rules Relating to the Adoption of 

a Trade Submission Requirement 

September 26, 2024. 

I. Introduction 

On June 12, 2024, Fixed Income 

Clearing Corporation (‘‘FICC’’) filed 

with the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change SR–FICC–2024– 

009 pursuant to Section 19(b) of the 

Securities Exchange Act of 1934 

(‘‘Exchange Act’’) 1 and Rule 19b–4 2

thereunder to modify FICC’s 

Government Securities Division 

(‘‘GSD’’) Rulebook (‘‘GSD Rules’’) as it 

relates to the adoption of a requirement 

for its direct participants to submit for 

clearance and settlement all eligible 

secondary market transactions in U.S. 

Treasury securities to which such direct 

participant is a counterparty.3 The 

Proposed Rule Change was published 

for public comment in the Federal 

Register on July 1, 2024.4 The 

Commission has received comments 

regarding the substance of the changes 

proposed in the Proposed Rule Change.5

On August 16, 2024, pursuant to 

Section 19(b)(2) of the Exchange Act,6

the Commission designated a longer 

period within which to approve, 

disapprove, or institute proceedings to 

determine whether to approve or 

disapprove the Proposed Rule Change.7

The Commission is instituting 

proceedings, pursuant to Section 

19(b)(2)(B) of the Exchange Act,8 to 

determine whether to approve or 

disapprove the Proposed Rule Change. 


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