Federal Register / Vol. 87, No. 64 / Monday, April 4, 2022 / Notices 19557 

53 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3The Exchange initially filed the proposed fee 

changes on March 14, 2022 (SR–CBOE–2022–010). 

On March 23, 2022, the Exchange withdrew that 

filing and submitted this filing. 

4See Securities Exchange Act Release Nos. 90853 

(January 5, 2021), 86 FR 2006 (January 11, 2021) 

(SR–CBOE–2020–117); and 91528 (April 9. 2021), 

86 FR 19933 (April 15, 2021) (SR–CBOE–2020– 

117). 

5Underlying Symbol List A includes OEX, XEO, 

RUT, RLG, RLV, RUI, UKXM, SPX (includes 

SPXW), SPESG and VIX. See Cboe Options Fees 

Schedule, Footnote 34. 

Number SR–CboeEDGX–2022–018 and 

should be submitted on or before April 

25, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.53

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–06988 Filed 4–1–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94540; File No. SR–CBOE– 

2022–014] 

Self-Regulatory Organizations; Cboe 

Exchange, Inc.; Notice of Filing and 

Immediate Effectiveness of a Proposed 

Rule Change To Update Its Fees 

Schedule in Connection With the 

Exchange’s Plans To List and Trade 

Nanos S&P 500 Index Options 

March 29, 2022. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that on March 23, 

2022, Cboe Exchange, Inc. (‘‘Exchange’’ 

or ‘‘Cboe Options’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

prepared by the Exchange. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

Cboe Exchange, Inc. (the ‘‘Exchange’’ 

or ‘‘Cboe Options’’) proposes to update 

its Fees Schedule in connection with 

the Exchange’s plans to list and trade 

Nanos S&P 500 (‘‘NANOS’’) Index 

options. The text of the proposed rule 

change is provided in Exhibit 5. 

The text of the proposed rule change 

is also available on the Exchange’s 

website (http://www.cboe.com/ 

AboutCBOE/CBOELegalRegulatory

Home.aspx), 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 amend its 

Fees Schedule in connection with its 

plans to list and trade Nanos options.3

NANOS options are options on the 

Mini-S&P 500 (‘‘XSP’’) Index (the value 

of which is 1/10th the value of the S&P 

500 (‘‘SPX’’) Index) that have an index 

multiplier of one, and thus a smaller 

notional value. The Exchange believes 

that investors will benefit from the 

availability of NANOS options by 

making options overlying the largervalued SPX Index more readily 

available as an investing tool and at 

more affordable prices for investors.4

The Exchange also believes that the 

investor-base for NANOS options will 

be a similar investor-base for XSP 

options, as well as Mini-Russell 2000 

(‘‘MRUT’’) options, which are also 

proprietary, reduced-value (1/10th) 

options on a broad-based index. XSP 

and MRUT options are also designed to 

provide low-cost means to hedge 

investors’ portfolios in connection with 

larger-value broad-based indexes (i.e., 

the RUT and SPX Index) with a smaller 

outlay of capital. The Exchange now 

proposes to amend its Fees Schedule to 

accommodate the planned listing and 

trading of NANOS options. The 

Exchange notes that because NANOS, 

MRUT and XSP are all options on miniindexes and are intended for a similar 

investor-base, the majority of the 

proposed changes amend the Fees 

Schedule in connection with trading in 

NANOS options in a manner that is 

generally consistent with the way in 

which existing transactions fees and 

programs currently apply to trading in 

XSP and MRUT options. 

Standard Transaction Rates and 

Surcharges 

First, the Exchange proposes to adopt 

certain standard transaction fees in 

connection with NANOS options. 

Specifically, the proposed rule change 

adopts certain fees for NANOS options 

in the Rate Table for All Products 

Excluding Underlying Symbol A,5 as 

follows: 

• Adopts fee code NO, appended to 

all Customer (capacity ‘‘C’’) orders in 

NANOS options and assesses no fee; 

• Adopts fee code NN, appended to 

all non-Customer, non-Market-Maker 

(i.e., Clearing Trading Permit Holders 

(capacity ‘‘F’’), Non-Clearing Trading 

Permit Holder Affiliates (capacity ‘‘L’’), 

Broker-Dealers (capacity ‘‘B’’), Joint 

Back-Offices (capacity ‘‘J’’), NonTrading Permit Holder Market-Makers 

(capacity ‘‘N’’), and Professionals 

(capacity ‘‘U’’)) orders in NANOS 

options and assesses a fee of $0.01 per 

contract; and 

• Adopts fee code NM, which is 

appended to all Market-Maker (capacity 

‘‘M’’) orders in NANOS options and 

assesses a fee of $0.01 per contract. 

The Exchange notes that the proposed 

standard transaction fees in connection 

with NANOS options are slightly less 

than the fees assessed for XSP options. 

As described above, both NANOS 

options and XSP options overly the 

Mini-S&P 500 Index; however, NANOS 

options are lower-priced given their 

multiplier of one. 

The Exchange proposes to exclude 

NANOS orders from the AIM Contra Fee 

by amending footnote 18 (appended to 

the AIM Contra Fee) to provide that the 

AIM Contra Execution Fee applies to all 

orders (excluding facilitation orders, per 

footnote 11) in all products, except 

MRUT, NANOS, XSP, Sector Indexes 

and Underlying Symbol List A, 

executed in the Automated 

Improvement Mechanism (‘‘AIM’’), 

Solicitation Auction Mechanism 

(‘‘SAM’’), FLEX AIM and FLEX SAM 

auctions, that were initially entered as 

the contra party to an Agency/Primary 

Order. Applicable standard transaction 

fees will apply to AIM, SAM, FLEX AIM 

and FLEX SAM executions in MRUT, 

NANOS, XSP, Sector Indexes and 

Underlying Symbol List A. The 

Exchange also proposes to exclude 

Market-Maker and non-Customer, nonMarket-Maker complex orders in 

NANOS from the Complex Surcharge by 

amending footnote 35 (appended to the 

Complex Surcharge) to provide that the 


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6The proposed rule change also updates footnote 

6, which is appended to the Liquidity Provider 

Sliding Scale Program, the VIP, and the ORS/CORS 

Programs to reflect the exclusion of MRUT options 

from these programs in the same manner as the 

options classes currently excluded from these 

programs. Specifically, amended footnote 6 

provides that in the event of a Cboe Options System 

outage or other interruption of electronic trading on 

Cboe Options that lasts longer than 60 minutes, the 

Exchange will adjust the national volume in all 

underlying symbols excluding Underlying Symbol 

List A, Sector Indexes, MRUT, MXEA, MXEF, 

NANOS, DJX and XSP for the entire trading day. 

Complex Surcharge applies per contract 

per side surcharge for noncustomer 

complex order executions that remove 

liquidity from the COB and auction 

responses in the Complex Order 

Auction (‘‘COA’’) and AIM in all classes 

except MRUT, NANOS, XSP, Sector 

Indexes and Underlying Symbol List A. 

The proposed exclusion from the AIM 

Contra Fee (and, instead, the application 

of the proposed standard transaction 

fees) and Complex Surcharge in 

connection with transactions in NANOS 

will provide consistency with the fees 

and exclusions currently applicable to 

transactions in similar reduced-value 

XSP and MRUT options. 

Fees Programs 

The proposed rule change excludes 

NANOS volume from the Liquidity 

Provider Sliding Scale, which offers 

credits on Market-Maker orders where a 

Market-Maker achieves certain volume 

thresholds based on total national 

Market-Maker volume in all underlying 

symbols, excluding Underlying Symbol 

List A, MRUT and XSP, during the 

calendar month. Specifically, the 

proposed rule change updates the 

Liquidity Provider Sliding Scale table to 

provide that volume thresholds are 

based on total national Market-Maker 

volume in all underlying symbols 

excluding Underlying Symbol List A, 

MRUT, NANOS and XSP during the 

calendar month, and that it applies in 

all underlying symbols excluding 

Underlying Symbol List A, MRUT, 

NANOS and XSP. The proposed rule 

change also updates footnote 10 

(appended to the Liquidity Provider 

Sliding Scale) to provide that the 

Liquidity Provider Sliding Scale applies 

to Liquidity Provider (Cboe Options 

Market-Maker, DPM and LMM) 

transaction fees in all products except 

(1) Underlying Symbol List A (34), 

MRUT, NANOS and XSP, and (2) 

volume executed in open outcry.6

The proposed rule change updates the 

Volume Incentive Program (‘‘VIP’’) table 

to exclude NANOS volume from the 

VIP, which currently offers a per 

contract credit for certain percentage 

threshold levels of monthly Customer 

volume in all underlying symbols, 

excluding Underlying Symbol List A, 

Sector Indexes, DJX, MRUT, MXEA, 

MXEF and XSP. The proposed rule 

change also amends footnote 36 

(appended to the VIP table) to reflect the 

proposed exclusion of NANOS from the 

VIP by providing (in relevant part) that: 

The Exchange shall credit each Trading 

Permit Holder the per contract amount 

resulting from each public customer 

(‘‘C’’ capacity code) order transmitted by 

that Trading Permit Holder which is 

executed electronically on the Exchange 

in all underlying symbols excluding 

Underlying Symbol List A, Sector 

Indexes, DJX, MRUT, MXEA, MXEF, 

NANOS, XSP, QCC trades, public 

customer to public customer electronic 

complex order executions, and 

executions related to contracts that are 

routed to one or more exchanges in 

connection with the Options Order 

Protection and Locked/Crossed Market 

Plan referenced in Rule 5.67, provided 

the Trading Permit Holder meets certain 

percentage thresholds in a month as 

described in the Volume Incentive 

Program (VIP) table; the percentage 

thresholds are calculated based on the 

percentage of national customer volume 

in all underlying symbols excluding 

Underlying Symbol List A, Sector 

Indexes, MRUT, MXEA, MXEF, 

NANOS, DJX and XSP entered and 

executed over the course of the month; 

and in the event of a Cboe Options 

System outage or other interruption of 

electronic trading on Cboe Options, the 

Exchange will adjust the national 

customer volume in all underlying 

symbols excluding Underlying Symbol 

List A, Sector Indexes, MRUT, MXEA, 

MXEF, NANOS, DJX and XSP for the 

entire trading day. 

The proposed rule change excludes 

NANOS from the list of products 

eligible to receive Break-Up Credits in 

orders executed in AIM, SAM, FLEX 

AIM, and FLEX SAM, by amending the 

Break-Up Credits table to exclude 

NANOS along with the products 

currently excluded—Underlying 

Symbol List A, Sector Indexes, DJX, 

MRUT, MXEA, MXEF and XSP. 

The Exchange also proposes to 

exclude Firm (i.e., Clearing Trading 

Permit Holders (capacity ‘‘F’’) and NonClearing Trading Permit Holder 

Affiliates (capacity ‘‘L’’)) transactions in 

NANOS from the Clearing TPH Fee Cap. 

Specifically, it amends footnote 22 

(appended to the Clearing TPH Fee Cap 

table) to provide that all non-facilitation 

business executed in AIM or open 

outcry, or as a QCC or FLEX transaction, 

transaction fees for Clearing TPH 

Proprietary and/or their Non-TPH 

Affiliates in all products except MRUT, 

NANOS, XSP, Sector Indexes and 

Underlying Symbol List A (which 

includes SPX), in the aggregate, are 

capped at $65,000 per month per 

Clearing TPH. It additionally updates 

footnote 11 (which is also appended to 

the Clearing TPH Fee Cap table) to 

provide that the Clearing TPH Fee Cap 

in all products except MRUT, NANOS, 

XSP, Underlying Symbol List A and 

Sector Indexes (the ‘‘Fee Cap’’), among 

other programs, apply to (i) Clearing 

TPH proprietary orders (‘‘F’’ capacity 

code), and (ii) orders of Non-TPH 

Affiliates of a Clearing TPH. 

The Exchange proposes to exclude 

NANOS from eligibility for the Order 

Router Subsidy (‘‘ORS’’) and Complex 

Order Router Subsidy (‘‘CORS’’) 

Programs, in which Participating TPHs 

or Participating Non-Cboe TPHs may 

receive a payment from the Exchange 

for every executed contract routed to the 

Exchange through their system in 

certain classes. Specifically, the 

proposed rule change updates the ORS/ 

CORS Program tables to provide that 

ORS/CORS participants whose total 

aggregate non-customer ORS and CORS 

volume is greater than 0.25% of the total 

national volume (excluding volume in 

options classes included in Underlying 

Symbol List A, Sector Indexes, DJX, 

MRUT, MXEA, MXEF, NANOS or XSP) 

will receive an additional payment for 

all executed contracts exceeding that 

threshold during a calendar month, and 

updates footnote 30 (appended to the 

ORS/CORS Program tables) to 

accordingly provide that Cboe Options 

does not make payments under the 

program with respect to executed 

contracts in options classes included in 

Underlying Symbols List A, Sector 

Indexes, DJX, MRUT, MXEA, MXEF, 

NANOS or XSP. 

The Exchange proposes to exclude 

NANOS from the Floor Broker Sliding 

Scale Rebate Program. The Floor Broker 

Sliding Scale Rebate Program offers 

rebates for Firm Facilitated and nonFirm Facilitated orders that correspond 

to certain volume tiers and is designed 

to incentivize order flow in multiplylisted options to the Exchange’s trading 

floor. As such, the Floor Broker Sliding 

Scale Rebate Program excludes options 

that are not multiply-listed, which 

would include NANOS. As proposed, 

the Floor Broker Sliding Scale Rebate 

Program applies to all products except 

for Underlying Symbol List A, Sector 

Indexes, DJX, MRUT, MXEA, MXEF, 

NANOS and XSP. 

The Exchange notes that excluding 

NANOS transactions from the abovedescribed programs is consistent with 

the manner in which XSP and MRUT 


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7For the month of March 2022, the Exchange 

proposes to apply the heightened quoting standard 

from March 14 to March 31, in light of the midmonth launch of NANOS options and proposal to 

adopt the heighted quoting standards. The 

appointed LMM will be eligible for the full 

financial payment for March 2022 if the LMM meets 

the heightened quoting standard from March 14 to 

March 31. The Exchange notes that other LMM 

Incentive Programs in the Fees Schedule have 

previously adopted the same mid-month 

application upon adopting or modifying the 

program mid-month. See e.g., Securities Exchange 

Act Release No. 87590 (November 22, 2019), 84 FR 

65859 (November 29, 2019) (SR–CBOE–2019–109). 

transactions are also excluded each of 

these programs today. 

Additionally, the Exchange proposes 

to include NANOS in the Marketing Fee 

Program. The Exchange notes that XSP 

is also currently included in the 

Marketing Fee Program. The Marketing 

Fee is assessed on transactions of 

Market-Makers, resulting from customer 

orders at the per contract rate provided 

above on all classes of equity options, 

options on ETFs, options on ETNs and 

index options, except that the marketing 

fee shall not apply to Sector Indexes, 

DJX, MRUT, MXEA, MXEF or 

Underlying Symbol List A. A 

Designated Primary Market-Maker 

(‘‘DPM’’), a ‘‘Preferred Market-Maker 

(‘‘PMM’’), or a Lead Market-Maker 

(‘‘LMM’’) (collectively ‘‘Preferenced 

Market-Maker’’) are given access to the 

marketing fee funds generated from a 

Preferenced order. The funds collected 

via this Marketing Fee are then put into 

pools controlled by the Preferenced 

Market-Maker. The Preferenced MarketMaker controlling a certain pool of 

funds can then determine the order flow 

provider(s) to which the funds should 

be directed in order to encourage such 

order flow provider(s) to send orders to 

the Exchange. The Exchange proposes to 

add NANOS to the Marketing Fee table 

to be assessed a $0.09 collection per 

contract, which is less than the current 

collection fee of $0.25 for XSP. The 

Exchange notes that, like XSP, NANOS 

will not be eligible for the SCORe 

Program—a discount program for Retail, 

Non-FLEX Customer (‘‘C’’ origin code) 

volume in SPX (including SPXW), VIX, 

RUT, MXEA and MXEF (‘‘Qualifying 

Classes’’) available to any TPH 

Originating Clearing Firm or non-TPH 

Originating Clearing Firm that sign up 

for the program—but instead eligible for 

the Marketing Fee Program. Because not 

all Firms are registered for the SCORe 

Program, the Exchange believes that 

providing NANOS, like XSP, as eligible 

for the Marketing Fee Program (which 

automatically applies to all classes 

unless otherwise explicitly excluded) as 

opposed to the SCORe Program 

potentially generates more customer 

order flow in NANOS by allowing 

Preferenced Market-Makers to amass a 

pool of funds from NANOS transactions 

with which to use to incentivize any 

customer order flow provider to submit 

Customer orders in NANOS to the 

Exchange. 

NANOS LMM Program 

Finally, the Exchange proposes to 

adopt a financial program in connection 

with NANOS options for LMMs 

appointed to the program. As proposed, 

the NANOS LMM Incentive Program 

provides that if the LMM appointed to 

the NANOS LMM Incentive Program 

provides continuous electronic quotes 

during Regular Trading Hours that meet 

or exceed the proposed heightened 

quoting standards (below) in at least 

99% of the series 90% of the time in a 

given month, the LMM will receive a 

payment for that month in the amount 

of $15,000 (or pro-rated amount if an 

appointment begins after the first 

trading day of the month or ends prior 

to the last trading day of the month).7

Premium level Width Size 

VIX Value at Prior Close <20 

$0.00–$2.00 ............................................................................................................................................................. $0.28 1000 

$2.01–$5.00 ............................................................................................................................................................. 0.32 1000 

$5.01–$15.00 ........................................................................................................................................................... 0.35 500 

Greater than $15.00 ................................................................................................................................................ 0.50 300 

VIX Value at Prior Close from 20–30 

$0.00–$2.00 ............................................................................................................................................................. 0.30 1000 

$2.01–$5.00 ............................................................................................................................................................. 0.35 500 

$5.01–$15.00 ........................................................................................................................................................... 0.40 500 

Greater than $15.00 ................................................................................................................................................ 0.55 300 

VIX Value at Prior Close from >30 

$0.00–$2.00 ............................................................................................................................................................. 0.35 500 

$2.01–$5.00 ............................................................................................................................................................. 0.40 500 

$5.01–$15.00 ........................................................................................................................................................... 0.45 300 

Greater than $15.00 ................................................................................................................................................ 0.60 200 

The Exchange notes the different sets 

of quoting standards are applicable 

depending on the VIX Index value at the 

(i.e., at the close of the preceding RTH 

session). Meeting or exceeding the 

heightened quoting standards in 

NANOS, as proposed, to receive the 

proposed compensation payment is 

optional for an LMM appointed to the 

Program. The Exchange may consider 

other exceptions to this quoting 

standard based on demonstrated legal or 

regulatory requirements or other 

mitigating circumstances. In calculating 

whether an LMM met the heightened 

quoting standard each month, the 

Exchange will exclude from the 

calculation in that month the business 

day in which the LMM missed meeting 

or exceeding the heightened quoting 

standard in the highest number of 

series. The heightened quoting 

requirements offered by the NANOS 

LMM Incentive Program are designed to 

incentivize LMMs appointed to the 

Program to provide significant liquidity 

in NANOS options during the trading 

day upon their listing and trading on the 

Exchange, which, in turn, would 

provide greater trading opportunities, 


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8 15 U.S.C. 78f. 

9 15 U.S.C. 78f(b)(4). 

10 15 U.S.C. 78f.(b)(5). 

added market transparency and 

enhanced price discovery for all market 

participants in NANOS. 

2. Statutory Basis 

The Exchange believes that the 

proposed rule change is consistent with 

the objectives of Section 6 of the Act,8

in general, and furthers the objectives of 

Section 6(b)(4),9 in particular, as it is 

designed to provide for the equitable 

allocation of reasonable dues, fees and 

other charges among its Members and 

issuers and other persons using its 

facilities. The Exchange also believes 

that the proposed rule change is 

consistent with the objectives of Section 

6(b)(5) 10 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, and, 

particularly, is not designed to permit 

unfair discrimination between 

customers, issuers, brokers, or dealers. 

Standard Transaction Rates and 

Surcharges 

The Exchange believes that the 

proposed amendments to the Fees 

Schedule in connection with standard 

transaction rates and surcharges for 

NANOS transactions are reasonable, 

equitable and not unfairly 

discriminatory. Specifically, the 

Exchange believes that it is reasonable 

to assess fees for Customer, MarketMaker, and non-Market-Maker, nonCustomer orders in NANOS that are 

slightly less than those fees for 

transactions in XSP options (both of 

which overly the Mini-S&P 500 Index) 

because NANOS options have a smaller 

notional value given their multiplier of 

one. Moreover, the Exchange believes it 

is reasonable to exclude NANOS from 

the Complex Surcharge and AIM Contra 

Fee (and to apply the standard 

transaction fees for NANOS orders in 

lieu of the AIM Contra Fee) because 

these proposed surcharge exclusions 

will provide consistency between the 

fees assessed for orders in MRUT and 

XSP, which, like NANOS, are reducedvalue index options designed to offer 

investors lower cost options to obtain 

the potential benefits of options on a 

broad-based index option and intended 

for a similar investor-base. Therefore, 

the Exchange believes it is appropriate 

to amend the Fees Schedule in a manner 

that generally situates fees assessed for 

orders in NANOS options with those 

assessed for orders in XSP and MRUT 

options. 

The Exchange believes the proposed 

standard transaction rates and exclusion 

from certain surcharges are equitable 

and not unfairly discriminatory because 

they will apply automatically and 

uniformly to all capacities as applicable 

(i.e., Customer, Market-Maker and nonMarket-Maker, non-Customer), in 

NANOS options. The Exchange also 

notes that, regarding the proposed 

standard transaction rate of no charge 

for Customer transactions in NANOS 

options, there is a history in the options 

markets of providing preferential 

treatment to customers and customer 

order flow attracts additional liquidity 

to the Exchange, providing market 

participants with more trading 

opportunities and signaling an increase 

in Market-Maker activity, which 

facilitates tighter spreads. This may 

cause an additional corresponding 

increase in order flow from other market 

participants, contributing overall 

towards a robust and well-balanced 

market ecosystem, particularly in a 

newly listed and traded product. 

Fees Programs 

The Exchange believes that the 

proposed updates to the Fees Schedule 

in connection with the application of 

certain fees programs to transactions in 

NANOS options are reasonable, 

equitable and not unfairly 

discriminatory. Particularly, the 

Exchange believes it is reasonable to 

exclude transactions in NANOS options 

from the Liquidity Provider Sliding 

Scale, the VIP, the Break-Up Credits 

table, the Clearing TPH Fee cap, the 

ORS/CORS, and the Floor Broker 

Sliding Scale Rebate programs in the 

same manner in which transactions in 

XSP and MRUT options are currently 

excluded from the same programs today 

as the Exchange believes it is 

appropriate to update these fees 

programs in a manner that generally 

situates transactions in NANOS with 

transactions in XSP and MRUT, as all 

three index options are designed to offer 

investors lower cost options to obtain 

the potential benefits of options on a 

broad-based index options and are 

intended for a similar investor base. The 

Exchange believes that excluding 

NANOS transactions from certain fees 

programs is equitable and not unfairly 

discriminatory because the programs 

will equally not apply to, or exclude in 

the same manner, all market 

participants’ orders in NANOS options. 

The Exchange notes that the proposed 

rule change does not alter any of the 

existing program rates or volume 

calculations, but instead, merely 

proposes not to include transactions in 

NANOS in those programs and volume 

calculations in the same way that 

transactions in XSP and MRUT options 

are not currently included. 

Additionally, the Exchange believes 

that including NANOS in the Marketing 

Fee Program is reasonably designed to 

attract additional NANOS order flow to 

the Exchange, which would increase 

liquidity and benefit all market 

participants. More specifically, the 

Exchange believes it is reasonable, 

equitable and not unfairly 

discriminatory to incentivize customer 

order flow providers to submit customer 

order flow in NANOS via the Marketing 

Fee because customer order flow 

benefits all market participants as it 

attracts liquidity to the Exchange by 

providing more trading opportunities. 

This, in turn, attracts Market-Makers, 

signaling additional corresponding 

increase in order flow from other market 

participants, and, as a result, 

contributing towards a robust, wellbalanced market ecosystem to the 

benefit of investors. The Exchange 

believes that assessing a collection fee of 

$0.09 per contract for NANOS orders in 

the Marketing Fee Program is reasonable 

because it is less than the collection fee 

assessed for other classes, including 

XSP, which have a higher notional 

value than NANOS. The Exchange 

additionally believes that providing 

NANOS, like XSP, as eligible for the 

Marketing Fee Program (which 

automatically applies) as opposed to the 

SCORe Program potentially generates 

more customer order flow in NANOS, 

which ultimately benefits investors, by 

providing an incentive to all customer 

order flow providers to submit customer 

orders in NANOS to the Exchange. The 

Exchange believes it is reasonable to 

include NANOs in the Marketing Fee 

Program along with XSP, as both 

NANOS and XSP options are options on 

the same underlying index—the MiniS&P 500 Index. The Exchange lastly 

believes the proposed marketing fee for 

NANOS is equitable and not unfairly 

discriminatory because it will apply 

equally to all applicable transactions in 

NANOS, in that all Market-Maker orders 

in NANOS resulting from customer 

orders will be uniformly assessed under, 

and otherwise a part of, the Marketing 

Fee Program. 


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11See Cboe Options Fees Schedule, ‘‘MRUT LMM 

Incentive Program’’, ‘‘MSCI LMM Incentive 

Program’’, ‘‘GTH1 VIX/VIXW LMM Incentive 

Program’’, ‘‘GTH2 VIX/VIXW LMM Incentive 

Program’’, ‘‘GTH1 SPX/SPXW LMM Incentive 

Program’’, ‘‘GTH2 SPX/SPXW LMM Incentive 

Program’’, and ‘‘RTH SPESG LMM Incentive 

Program’’. 12See id. 13See supra note 11. 

NANOS LMM Program 

The Exchange believes the proposed 

NANOS LMM Incentive Program is 

reasonable, equitable and not unfairly 

discriminatory. Particularly, the 

proposed NANOS LMM Incentive 

Program is a reasonable financial 

incentive program because the proposed 

heightened quoting standards and rebate 

amount for meeting the heightened 

quoting standards in NANOS series are 

reasonably designed to incentivize an 

LMM appointed to the Program to meet 

the proposed heightened quoting 

standards during RTH for NANOS, 

thereby providing liquid and active 

markets, which facilitates tighter 

spreads, increased trading 

opportunities, and overall enhanced 

market quality to the benefit of all 

market participants, particularly in a 

newly listed and traded product on the 

Exchange during the trading day. 

The Exchange believes that the 

proposed heightened quoting standards 

are reasonable because they are similar 

to the detail and format (VIX Index 

value indicator, where applicable, 

corresponding premiums, quote widths, 

and sizes) of the quoting standards 

currently in place for LMM Incentive 

Programs for other proprietary Exchange 

products.11 The Exchange also believes 

that proposed heightened quoting 

requirements are reasonably tailored to 

reflect market characteristics of NANOS. 

The Exchange believes the generally 

smaller premium levels and widths 

appropriately reflect the lower-priced 

NANOS product. The Exchange also 

notes that the larger quote size 

requirements reflect NANOS smaller 

multiplier, but are comparatively 

‘‘smaller’’ in notional size than the 

quote size requirements of LMM 

Incentive Programs for other proprietary 

Exchange products. For example, a 

NANOS order for a size of 1000 only 

equates to an SPX order for a size of 

one, as NANOS options are 1/1000 the 

size of SPX options (XSP options are 1/ 

10th the size of SPX options and, given 

a multiplier of one, NANOS are 1/100th 

the size of XSP options). The Exchange 

believes the proposed finer premiums, 

smaller quote widths and smaller sizes 

(comparatively) in the proposed 

heightened quoting standards for the 

NANOS LMM Incentive Program 

reasonably reflect what the Exchanges 

believes will be typical market 

characteristics in NANOS options, given 

their multiplier of one, their smaller 

notional value and general anticipated 

retail base, thus smaller, retail-sized 

orders. The Exchange also notes that the 

proposed heightened quoting 

requirements do not provide for various 

expiration categories which the 

Exchange believes is reasonable because 

it will make the proposed heightened 

quoting requirements relatively easier 

for appointed LMMs to meet at the onset 

of the listing and trading of NANOS, 

thereby incentivizing additional 

liquidity in a new product. The 

Exchange notes it may update the 

heightened quoting requirements in the 

future to accommodate expiry 

categories. 

The Exchange further believes the 

proposed heighten quoting requirements 

are also reasonably tailored to reflect 

then-current market conditions and 

market characteristics, as the proposed 

quoting standards that are applicable 

depend on the VIX Index value at the 

prior market close (i.e., at the close of 

the preceding RTH session). Spreads in 

SPX-based options generally widen 

when the market experiences higher 

volatility (i.e., the VIX Index level is 

higher in value). Therefore, to encourage 

LMMs to meet the proposed quoting 

standards regardless of market volatility, 

the proposed rule change adopts 

generally wider widths and smaller 

quote sizes where the market may be 

experiencing higher volatility (i.e., 

when the value of the VIX Index in the 

proposed VIX value categories becomes 

relatively higher compared to the 

closing index value from the preceding 

trading session). The Exchange notes 

that the quoting standards currently in 

place under the GTH1 and GTH2 VIX/ 

VIXW and SPX/SPXW LMM Incentive 

Programs are tailored in a similar 

manner. Moreover, the Exchange 

believes that the proposed $15,000 

monthly rebate for an appointed LMM 

that meets the proposed heightened 

quoting standards in NANOS in a 

month is reasonable and equitable as it 

equal or comparable to the rebates 

offered for other LMM Incentive 

Programs for other proprietary 

products.12 For example, the GTH1 and 

GTH2 LMM Incentive Programs for 

SPX/SPXW and for VIX/VIXW offer 

$15,000 per month for SPX and VIXW, 

respectively, in which an appointed 

LMM meets the given quoting 

standards. 

Finally, the Exchange believes it is 

equitable and not unfairly 

discriminatory to offer the financial 

incentive to LMMs appointed to the 

NANOS LMM Incentive Program, 

because it will benefit all market 

participants trading in NANOS during 

RTH by encouraging the appointed 

LMMs to satisfy the heightened quoting 

standards, which incentivizes 

continuous increased liquidity and 

thereby may provide more trading 

opportunities and tighter spreads. 

Indeed, the Exchange notes that these 

LMMs serve a crucial role in providing 

quotes and the opportunity for market 

participants to trade NANOS, which can 

lead to increased volume, providing for 

robust markets. The Exchange 

ultimately proposes to offer the NANOS 

LMM Incentive Program to sufficiently 

incentivize the appointed LMMs to 

provide key liquidity and active markets 

in the newly listed and traded NANOS 

options during the trading day to 

encourage liquidity, thereby protecting 

investors and the public interest. The 

Exchange also notes that an LMM 

appointed to the Program may 

undertake added costs each month to 

satisfy that heightened quoting 

standards (e.g., having to purchase 

additional logical connectivity). The 

Exchange believes the proposed 

program is equitable and not unfairly 

discriminatory because similar 

programs currently exist for LMMs 

appointed to programs in other 

proprietary products,13 and the 

proposed program will equally apply to 

any TPH that is appointed as an LMM 

to the NANOS LMM Incentive Program. 

Additionally, if an appointed LMM does 

not satisfy the heightened quoting 

standard in NANOS for any given 

month, then it simply will not receive 

the offered payment for that month. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange believes the proposed 

amendments to its Fee Schedule will 

not 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 the proposed NANOS 

transaction fees for the separate types of 

market participants will be assessed 

automatically and uniformly to all such 

market participants, i.e., all qualifying 

Customer orders in NANOS will be 

assessed the same amount, all MarketMaker orders in NANOS will be 

assessed the same amount, and all nonCustomer, non-Market-Maker orders in 

NANOS will be assessed the same 


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19562 Federal Register / Vol. 87, No. 64 / Monday, April 4, 2022 / Notices 

14See Cboe Global Markets, U.S. Options Market 

Volume Summary by Month (March 14, 2022), 

available at http://markets.cboe.com/us/options/ 

market_share/. 15See Securities Exchange Act Release No. 51808 

(June 9, 2005), 70 FR 37496, 37499 (June 29, 2005). 

16NetCoalition v. SEC, 615 F.3d 525, 539 (D.C. 

Cir. 2010) (quoting Securities Exchange Act Release 

No. 59039 (December 2, 2008), 73 FR 74770, 74782– 

83 (December 9, 2008) (SR–NYSEArca–2006–21)). 

17 15 U.S.C. 78s(b)(3)(A). 

18 17 CFR 240.19b–4(f). 

amount. The Exchange again notes that 

there is a history in the options markets 

of providing preferential treatment to 

customers and, as described above, 

customer order flow tends to attract key 

liquidity from other market participants. 

Further, the proposed rule change will 

uniformly exclude all transactions in 

NANOS from certain programs and fees/ 

surcharges (i.e., the AIM Contra Fee and 

Complex Surcharge), as it currently does 

for XSP and MRUT options, and as it 

does for many of the Exchange’s other 

proprietary products. In addition to this, 

the proposed rule change to include 

NANOS in the Marketing Fee Program 

will apply equally to all applicable 

transactions in NANOS, in that, all 

Market-Maker orders in NANOS 

resulting from customer orders will be 

uniformly assessed under, and 

otherwise a part of, the Marketing Fee 

Program (as almost all other classes on 

the Exchange are). The Exchange again 

notes that XSP, which is also on option 

on the Mini-SPX Index, is currently 

included in the Marketing Fee Program. 

Overall, the proposed rule change is 

designed to increase incentive for 

customer order flow providers to submit 

customer order flow in a newly listed 

and traded product, which, as indicated 

above, contributes to a more robust 

market ecosystem to the benefit of all 

market participants. 

The Exchange also does not believe 

that the proposed LMM Incentive 

Program for NANOS options would 

impose any burden on intramarket 

competition because it applies to all 

LMMs appointed to the NANOS LMM 

Incentive Program in a uniform manner, 

in the same way similar programs apply 

to appointed LMMs in other proprietary 

products today. To the extent appointed 

LMMs receive a benefit that other 

market participants do not, these LMMs 

in their role as Market-Makers on the 

Exchange have different obligations and 

are held to different standards. For 

example, Market-Makers play a crucial 

role in providing active and liquid 

markets in their appointed products, 

especially in the newly developing 

NANOS market, thereby providing a 

robust market which benefits all market 

participants. Such Market-Makers also 

have obligations and regulatory 

requirements that other participants do 

not have. The Exchange also notes that 

an LMM appointed to an incentive 

program may undertake added costs 

each month to satisfy that heightened 

quoting standards (e.g., having to 

purchase additional logical 

connectivity). The Exchange also notes 

that the NANOS LMM Incentive 

Program, like the other LMM Incentive 

Programs, is designed to attract 

additional order flow to the Exchange, 

wherein greater liquidity benefits all 

market participants by providing more 

trading opportunities, tighter spreads, 

and added market transparency and 

price discovery, and signals to other 

market participants to direct their order 

flow to those markets, thereby 

contributing to robust levels of liquidity. 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on intermarket competition 

that is not necessary or appropriate in 

furtherance of the purposes of the Act 

because the proposed rule changes 

apply only to a product exclusively 

listed on the Exchange. Additionally, 

the Exchange notes it operates in a 

highly competitive market. In addition 

to Cboe Options, TPHs have numerous 

alternative venues that they may 

participate on and director their order 

flow, including 15 other options 

exchanges, as well as off-exchange 

venues, where competitive products are 

available for trading. Based on publicly 

available information, no single options 

exchange has more than 16% of the 

market share of executed volume of 

options trades.14 Therefore, no exchange 

possesses significant pricing power in 

the execution of option order flow. 

Moreover, the Commission has 

repeatedly expressed its preference for 

competition over regulatory 

intervention in determining prices, 

products, and services in the securities 

markets. Specifically, in Regulation 

NMS, the Commission highlighted the 

importance of market forces in 

determining prices and SRO revenues 

and, also, recognized that current 

regulation of the market system ‘‘has 

been remarkably successful in 

promoting market competition in its 

broader forms that are most important to 

investors and listed companies.’’ 15 The 

fact that this market is competitive has 

also long been recognized by the courts. 

In NetCoalition v. Securities and 

Exchange Commission, the D.C. Circuit 

stated as follows: ‘‘[n]o one disputes 

that competition for order flow is 

‘fierce.’ . . . As the SEC explained, ‘[i]n 

the U.S. national market system, buyers 

and sellers of securities, and the brokerdealers that act as their order-routing 

agents, have a wide range of choices of 

where to route orders for execution’; 

[and] ‘no exchange can afford to take its 

market share percentages for granted’ 

because ‘no exchange possesses a 

monopoly, regulatory or otherwise, in 

the execution of order flow from broker 

dealers’. . . .’’.16 Accordingly, the 

Exchange does not believe its proposed 

changes to the incentive programs 

impose any burden on competition that 

is not necessary or appropriate in 

furtherance of the purposes of the Act. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange has not solicited, and 

does not intend to solicit, comments on 

this proposed rule change. The 

Exchange has not received any written 

comments from members or other 

interested parties. 

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) 

of the Act 17 and paragraph (f) of Rule 

19b–4 18 thereunder. At any time within 

60 days of the filing of the proposed rule 

change, the Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission will institute proceedings 

to determine whether the proposed rule 

change 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 (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

CBOE–2022–014 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. 


khammond on DSKJM1Z7X2PROD with NOTICES
Federal Register / Vol. 87, No. 64 / Monday, April 4, 2022 / Notices 19563 

19 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3 15 U.S.C. 78q–1. 

4 17 CFR 240.17Ad–22. 

5 15 U.S.C. 78q–1(b)(3)(F). 

6 Id. 

All submissions should refer to File 

Number SR–CBOE–2022–014. 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 (http://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 

10:00 a.m. and 3:00 p.m. Copies of the 

filing also will be available for 

inspection and copying at the principal 

office of the Exchange. All comments 

received will be posted without change. 

Persons submitting comments are 

cautioned that we do not redact or edit 

personal identifying information from 

comment submissions. You should 

submit only information that you wish 

to make available publicly. All 

submissions should refer to File 

Number SR–CBOE–2022–014, and 

should be submitted on or before April 

25, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.19

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–06987 Filed 4–1–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94544; File No. SR–ICC– 

2022–002] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Notice of Filing of 

Proposed Rule Change Relating to the 

ICC Risk Parameter Setting and 

Review Policy 

March 29, 2022. 

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 March 22, 

2022, ICE Clear Credit LLC (‘‘ICC’’) 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 primarily by ICC. 

The Commission is publishing this 

notice to solicit comments on the 

proposed rule change from interested 

persons. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

The principal purpose of the 

proposed rule change is to make 

changes to ICC’s Risk Parameter Setting 

and Review Policy. These revisions do 

not require any changes to the ICC 

Clearing Rules (the ‘‘Rules’’). 

II. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

In its filing with the Commission, ICC 

included statements concerning the 

purpose of and basis for the proposed 

rule change, security-based swap 

submission, or advance notice and 

discussed any comments it received on 

the proposed rule change, securitybased swap submission, or advance 

notice. The text of these statements may 

be examined at the places specified in 

Item IV below. ICC has prepared 

summaries, set forth in sections (A), (B), 

and (C) below, of the most significant 

aspects of these statements. 

(A) Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

(a) Purpose 

ICC proposes revising its Risk 

Parameter Setting and Review Policy, 

which describes the process of setting 

and reviewing the risk management 

model core parameters and the 

performance of sensitivity analyses 

related to certain parameter settings. ICC 

believes that such revisions will 

facilitate the prompt and accurate 

clearance and settlement of securities 

transactions and derivative agreements, 

contracts, and transactions for which it 

is responsible. ICC proposes to make 

such changes effective following 

Commission approval of the proposed 

rule change. The proposed revisions are 

described in detail as follows. 

ICC proposes to amend the 

‘‘Univariate Level Parameters’’ 

subsection (Subsection 1.7.1), which 

describes the univariate level 

parameters associated with the 

integrated spread response model 

component. For single name risk factors, 

ICC proposes to clarify how the end-ofday (‘‘EOD’’) recovery rate is derived 

from quotes. The proposed changes 

describe how the EOD recovery rate 

would deviate when the single name 

risk factor is distressed. The proposed 

language further specifies the role of the 

established EOD recovery rate upon 

using the ISDA Standard Model in terms 

of price-to-spread mapping. Finally, ICC 

proposes to update the revision history 

to reflect the proposed changes 

accordingly. Overall, the proposed 

amendments are intended to serve as 

clarifications and would not change the 

methodology. 

(b) Statutory Basis 

ICC believes that the proposed rule 

change is consistent with the 

requirements of Section 17A of the Act 3

and the regulations thereunder 

applicable to it, including the applicable 

standards under Rule 17Ad–22.4 In 

particular, Section 17A(b)(3)(F) of the 

Act 5 requires that the rule change be 

consistent with the prompt and accurate 

clearance and settlement of securities 

transactions and derivative agreements, 

contracts and transactions cleared by 

ICC, the safeguarding of securities and 

funds in the custody or control of ICC 

or for which it is responsible, and the 

protection of investors and the public 

interest. The revisions are limited to 

clarification changes and would not 

amend the methodology. As described 

above, for single name risk factors, ICC 

proposes to clarify how the EOD 

recovery rate is derived from quotes. 

The proposed changes also describe 

how the EOD recovery rate would 

deviate when the single name risk factor 

is distressed and the role of the 

established EOD recovery rate in respect 

of the ISDA Standard Model. Such 

changes would ensure transparency and 

clarity in the Risk Parameter Setting and 

Review Policy with respect to ICC’s 

parameter setting and calibration 

process to support the effectiveness of 

ICC’s risk management system. The 

proposed rule change is therefore 

consistent with the prompt and accurate 

clearing and settlement of the contracts 

cleared by ICC, the safeguarding of 

securities and funds in the custody or 

control of ICC or for which it is 

responsible, and the protection of 

investors and the public interest, within 

the meaning of Section 17A(b)(3)(F) of 

the Act.6


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