Federal Register / Vol. 89, No. 235 / Friday, December 6, 2024 / Notices 97131 

22 17 CFR 240.17Ad–22(e)(2). 

23 17 CFR 240.17Ad–25(b). 

24 17 CFR 240.17Ad–25(e). 

25 17 CFR 240.17Ad–25(a). 

26 17 CFR 240.17Ad–25(c). 

27 17 CFR 240.17Ad–25(i). 

28As described above, OCC’s proposed changes 

include adopting a definition of Service Provider 

for Core Services within its rules. 

29 17 CFR 240.17Ad–25. 

30 15 U.S.C. 78q–1(b)(3)(F). 

31 17 CFR 240.17Ad–22(e)(2) and 17 CFR 

240.17Ad–25. 

32 In approving the Proposed Rule Change, the 

Commission considered the proposal’s impacts on 

efficiency, competition, and capital formation. 15 

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

33 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. 78s(b)(1). 

4 17 CFR 240.19b–4. 

5OCC has filed the STANS Methodology 

Description and amendments thereto with the 

Commission. See Exchange Act Release Nos. 

100528 (July 15, 2024), 89 FR 58836 (July 19, 2024) 

(SR–OCC–2024–008); 98101 (Aug. 10, 2023), 88 FR 

55775 (Aug. 16, 2023) (SR–OCC–2022–012); 95319 

(July 19, 2022), 87 FR 44167 (July 25, 2022) (SR– 

OCC–2022–001); 93371 (Oct. 18, 2021), 86 FR 

58704 (Oct. 22, 2021) (SR–OCC–2021–011); 91833 

(May 10, 2021), 86 FR 26586 (May 14, 2021) (SR– 

OCC–2021–005); 91079 (Feb. 8, 2021), 86 FR 9410 

(Feb. 12, 2021) (SR–OCC–2020–016). OCC makes its 

STANS Methodology Description available to 

Clearing Members. An overview of the STANS 

methodology is on OCC’s public website: https://

www.theocc.com/Risk-Management/MarginMethodology. 

6OCC has filed the CST Methodology Description 

and amendments thereto with the Commission. See 

Exchange Act Release Nos. 100455 (July 2, 2024), 

89 FR 56452 (July 9, 2024) (SR–OCC–2024–006); 

90827 (Dec. 30, 2020), 86 FR 659 (Jan. 6, 2021) (SR– 

OCC–2020–015); 89014 (June 4, 2020), 85 FR 35446 

(June 10, 2020) (SR–OCC–2020–003); 87718 (Dec. 

11, 2019), 84 FR 68992 (Dec. 17, 2019) (SR–OCC– 

2019–010); 87717 (Dec. 11, 2019), 84 FR 68985 

(Dec. 17, 2019) (SR–OCC–2019–009); 83735 (July 

27, 2018), 83 FR 37855 (Aug. 2, 2018) (SR–OCC– 

2018–008). 

risk management issues may be a basis 

for Watch Level-related responses. 

Based on the foregoing, the Proposed 

Rule Change is consistent with the 

requirements of Rule 17Ad–22(e)(2) 

under the Act.22

C. Consistency With Rule 17Ad–25 

Under the Act 

Rule 17Ad–25 requires, among other 

things, that covered clearing agencies 

establish: requirements that a majority 

of the board of directors 23 and any 

committee 24 with Board authority be 

independent directors 25; a nominating 

committee, written evaluation process, 

fitness standards, and evaluation of the 

independence of nominees and 

directors 26; and policies and procedures 

requiring that senior management 

evaluate and document risks and 

whether the risks can be managed for 

service providers of core services.27

The changes described above require 

that OCC’s Board, and each committee 

with Board authority be composed of a 

majority of independent directors, and 

that such independence is determined 

in accordance with Rule 17Ad–25. The 

proposed changes also contemplate a 

written processes for nominating, 

evaluating, and electing directors. 

The proposed changes revise the 

Board Charter and Third-Party Risk 

Management Framework to require that 

senior management review, approve, 

monitor, and remediate risks with 

service providers of core services.28 The 

proposed amendments also require that 

senior management perform ongoing 

monitoring of relationships with service 

providers of core services, and 

document whether the risks can be 

remedied, and to inform the Board of 

their evaluation. Further, the proposed 

changes articulate the Board’s role in 

oversight of the management of service 

providers of core services through the 

reporting required of the Management 

Committee. 

Based on the foregoing, the Proposed 

Rule Change is consistent with the 

requirements of Rule 17Ad–25 under 

the Act.29

IV. Conclusion 

On the basis of the foregoing, the 

Commission finds that the Proposed 

Rule Change is consistent with the 

requirements of the Act, and in 

particular, Sections 17A(b)(3)(A) and (F) 

of the Act 30 and Rules 17Ad–22(e)(2) 

and 17Ad–25.31

It is Therefore Ordered pursuant to 

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

Proposed Rule Change (SR–OCC–2024– 

015) be, and hereby is, approved.32

For the Commission by the Division of 

Trading and Markets, pursuant to delegated 

authority.33

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2024–28548 Filed 12–5–24; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–101780; File No. SR–OCC– 

2024–016] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Filing of Proposed Rule Change by 

The Options Clearing Corporation 

Concerning Enhancements to the 

System for Theoretical Analysis and 

Numerical Simulations (‘‘STANS’’) and 

OCC’s Comprehensive Stress Testing 

(‘‘CST’’) Methodology, To Better 

Capture the Risks Associated With 

Short-Dated Options 

December 2, 2024. 

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

Securities Exchange Act of 1934 

(‘‘Exchange Act’’ or ‘‘Act’’),1 and Rule 

19b–4 thereunder,2 notice is hereby 

given that on November 22, 2024, The 

Options Clearing Corporation (‘‘OCC’’) 

filed with the Securities and Exchange 

Commission (‘‘SEC’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

prepared primarily by OCC. 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 

This proposed rule change Pursuant 

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

the Securities Exchange Act of 1934 

(‘‘Exchange Act’’ or ‘‘Act’’),3 and Rule 

19b–4 thereunder,4 The Options 

Clearing Corporation (‘‘OCC’’) is filing 

with the Securities and Exchange 

Commission (‘‘Commission’’) a 

proposed rule change in connection 

with enhancements to the modeling 

approach for implied volatility 

components within OCC’s margin 

methodology, the System for Theoretical 

Analysis and Numerical Simulations 

(‘‘STANS’’) and OCC’s Comprehensive 

Stress Testing (‘‘CST’’) methodology, to 

better capture the risks associated with 

short-dated options. Specifically, this 

proposed rule change would, as 

described below: (1) align the day-count 

convention between option price 

smoothing and implied volatility 

scenario generation, and (2) extend the 

term structure of the implied volatility 

shocks to cover implied volatility risk 

associated with options of less than onemonth expiration. 

The proposed changes to OCC’s 

STANS Methodology Description 5 and 

Comprehensive Stress Testing & 

Clearing Fund Methodology, and 

Liquidity Risk Management 

Description 6 (‘‘CST Methodology 

Description’’) are contained in Exhibits 

5A and 5B, to File No. SR–OCC–2024– 

016, respectively. Material proposed to 

be added is marked by underlining and 

material proposed to be deleted is 

marked with strikethrough text. Within 

the documents, new, revised, and 

deleted text related to the proposed rule 

change have been incorporated in 

section 2.1.3 (Implied Volatilities 

Scenarios) and 2.1.4 (S&P 500 Implied 

Volatilities Scenarios) of the STANS 

Methodology Description and section 

3.3.2 (Volatility Shock Model) of the 


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7OCC’s By-Laws and Rules can be found on 

OCC’s public website: https://www.theocc.com/ 

Company-Information/Documents-and-Archives/ 

By-Laws-and-Rules. 

8See, e.g., Cboe, The Rise of SPX & 0DTE Options 

(July 27, 2023), available at https://go.cboe.com/l/ 

77532/2023-07-27/ffc83k. 9OCC has included the Study as confidential 

Exhibit 3A to File No. SR–OCC–2024–016. 10OCC collects its credit resources with an 

assumption of a two-day MPOR (i.e., two days after 

the last good margin collection) and potential 

liquidity obligations are evaluated using the same 

concept and assuming the liquidation processes 

details in OCC’s Default Management Policy. 

11The smoothing algorithm is the process that 

OCC uses to estimate fair values for plain vanilla 

listed options based on closing bid and ask price 

quotes. See Exchange Act Release No. 86731 (Aug. 

22, 2019), 84 FR 45188, 45189 (Aug. 28, 2019) (File 

No. SR–OCC–2019–005). 

12 Generally speaking, the implied volatility of an 

option is a measure of the expected future volatility 

of the option’s underlying security at expiration, 

which is reflected in the current option premium 

in the market. 

13The term ‘‘day count convention’’ refers to a 

standardized methodology for calculating the 

number of days between two dates. Both calendar 

and business day conventions are used by OCC in 

STANS and CST calculations. 

14The ‘‘tenor’’ of an option is the amount of time 

remaining to its expiration or maturity. 

15OCC has observed that the day-over-day at the 

money implied volatility changes for the 1W tenor 

are approximately twice that of the 1M tenor on 

certain risk factors such as SPX, RUT, QQQ, AAPL, 

TSLA. 

16The ‘‘term structure’’ of implied volatility is the 

curve that depicts the relationship between the 

implied volatilities of options with different 

expiration (or maturity) dates on the same 

underlying. Expiration and maturity are used 

interchangeably but reflect the same meaning. 

CST Methodology Description. The 

proposed rule change does not require 

any changes to the text of OCC’s ByLaws or Rules. All terms with initial 

capitalization that are not otherwise 

defined herein have the same meaning 

as set forth in the OCC By-Laws and 

Rules.7

II. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

In its filing with the Commission, 

OCC 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. OCC 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 

OCC is the sole clearing agency for 

standardized equity options listed on 

national securities exchanges registered 

with the Commission. In its role as a 

clearing agency, OCC acts as a central 

counterparty (‘‘CCP’’), guarantying all 

contracts it clears. That is, OCC becomes 

the buyer to every seller and the seller 

to every buyer, which exposes OCC to 

risk because OCC is obligated to perform 

even when one of its members defaults. 

These risks include: (i) credit risk, 

which is the risk that OCC would not 

maintain sufficient financial resources 

to cover exposures; and (ii) liquidity 

risk, which is the risk that OCC would 

not have sufficient liquid resources to 

meet payment obligations when due. 

OCC manages its credit and liquidity 

risks through various safeguards to 

ensure that it has sufficient financial 

resources in both form and amount in 

the event of a Clearing Member failure. 

To begin with, OCC periodically collects 

margin collateral from its Clearing 

Members, which is designed to cover 

the credit exposures they individually 

present to OCC with a high degree of 

confidence. OCC also maintains a 

Clearing Fund, which is a mutualized 

pool of financial resources to which 

each Clearing Member is required to 

contribute to ensure that OCC maintains 

sufficient qualifying liquid resources to 

manage its liquidity risk, and to address 

the tail risk that the margin collateral 

OCC collects from each Clearing 

Member might be insufficient to cover 

OCC’s credit exposure to a defaulting 

member in extreme but plausible market 

conditions. In general, OCC performs 

daily stress testing of its financial 

resources using scenarios designed to 

assess whether the resources collected 

are adequate and inform the size of 

OCC’s financial resources (‘‘Sizing 

Scenarios’’) and measure the potential 

exposures Clearing Members may 

present to OCC to determine whether 

calls for additional collateral in either 

margin or in the Clearing Fund would 

be needed (‘‘Sufficiency Scenarios’’). 

Clearing Member margin amounts are 

collected based on calculations obtained 

from STANS, while Clearing Fund 

contributions are default scenario-based 

amounts generated by the CST 

methodology. 

Clearing Member portfolios contain a 

mix of products and positions in 

options of various tenors, as well as 

other cleared positions (e.g., futures, 

stock loans) and collateral (e.g., valued 

securities, delivery obligations, US 

treasuries, Canadian Government bonds, 

and cash). Over the past several years, 

the options markets in particular have 

experienced a significant increase in the 

trading of short-dated options (‘‘SDOs’’), 

which refer to option contracts with a 

maturity of less than or equal to one 

month to expiration.8 However, the 

increase in the volume of SDO trading 

and the larger concentration of SDO 

positions held from hedging and 

speculation activities present unique 

challenges to the risk management 

framework. 

For these reasons, OCC carried out a 

study to examine the specific risks 

posed by SDOs (the ‘‘Study’’) 9

including risks posed by the increase to 

volatility due to the feedback between 

options and equity hedging activity. 

OCC also analyzed the valuation of 

SDOs and option scenario pricing in 

OCC’s 2-day margin period of risk 

(‘‘MPOR’’) 10 and assessed the margin 

risk of portfolios dominated by SDOs 

through sensitivity analysis of realized 

P&L and risk coverage metrics. OCC 

concluded from the Study that valuation 

of SDOs and options scenario pricing in 

the 2-day MPOR was in general 

reasonable, but that opportunities exist 

to improve model performance for 

Clearing Member portfolios dominated 

by SDOs. Moreover, a reasonableness 

analysis of the mark-to market pricing 

and theoretical price simulation of 

SDOs in the MPOR indicated that 

certain existing margin model 

assumptions having a direct impact on 

SDO risk coverage needed further 

enhancement and update. 

Specifically, the Study referred to a 

difference between option price 

smoothing 11 that uses calendar day 

convention, and implied volatility 12

simulation that uses trading day 

convention. The usage of two day count 

conventions 13 results in differences in 

implied volatility, especially when nontrading days make up a large portion of 

the time-to-expiration (e.g., on Fridays 

for options that expire the following 

Monday). In this regard, SDOs are far 

more sensitive to differences in daycount convention than contracts with 

longer expiries. In addition, OCC’s 

model for simulating the theoretical 

prices assumes that the implied 

volatility shocks of the one-month tenor 

(‘‘1M’’) are sufficient to cover the 

implied volatility changes for SDO 

tenors.14 However, empirical results 

indicate that the implied volatility 

changes from SDOs can be much larger 

than those for options with one month 

to expiration.15

OCC proposes to improve the 

theoretical price simulation of SDOs 

and enhance the modeling of the 

implied volatility risk associated with 

SDOs by: (1) aligning the day-count 

convention used between option price 

smoothing and its models for simulating 

implied volatility, and (2) extending the 

term structure 16 to cover implied 

volatility risk associated with options 

expiring in less than one-month. The 


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17See OCC Rule 601. 

18See Exchange Act Release No. 86731 (Aug. 22, 

2019), 84 FR 45188 (Aug. 28, 2019) (SR–OCC–2019– 

005). 

19The ‘‘volatility surface’’ refers to a threedimensional plot of the implied volatilities of the 

various options on the same stock reflecting time 

to maturity, and different strike prices for the 

option. 

20See generally Exchange Act Release No. 95319, 

supra note 3, at 44168–69. 

21The ‘‘delta’’ of an option represents the 

sensitivity of the option price with respect to the 

price of the underlying security. 

22See Exchange Act Release No. 94165 (Feb. 7, 

2022), 87 FR 8072, 8073 (Feb. 11, 2022) (SR–OCC– 

2022–001). 

23 Id. 

24See generally Exchange Act Release No. 95319, 

supra note 3, at 44168–69. 

25The term ‘‘moneyness’’ of an option refers to 

the relationship between the strike price and the 

price of the option underlying. 

26See Exchange Act Release No. 94165, supra 

note 20, at 8075. 

27 Id. 

proposed changes will be introduced to 

the Implied Volatilities Scenarios Model 

and S&P 500 Implied Volatility 

Simulation Model in STANS and the 

Volatility Shock component in CST. The 

impact of the proposed enhancements 

on Clearing Member margin and on CST 

is presented further below. 

1. Purpose 

Background 

OCC’s risk framework includes its 

STANS methodology used to calculate 

Clearing Member margin amounts, and 

its CST methodology used to stress test 

Clearing Member portfolios in order to 

determine the appropriate size of the 

Clearing Fund and allocate portions to 

Clearing Members commensurate with 

the risk they present to OCC. 

STANS Overview 

STANS is OCC’s proprietary risk 

management system for calculating 

Clearing Member margin requirements. 

The STANS methodology utilizes largescale Monte Carlo simulations to 

forecast price and volatility movements 

in determining a Clearing Member’s 

margin requirement.17 OCC uses a 

smoothing algorithm to generate 

theoretical prices and volatilities for 

option contracts based on the fair value 

for plain vanilla listed options from 

closing bid and ask price quotes.18 OCC 

does this by first filtering out certain 

poor-quality quotes on contracts based 

on certain conditions and estimates the 

forward prices of the securities 

underlying these options. OCC then 

generates the theoretical option prices 

based on the filtered bid and ask quotes 

and constructs a volatility surface 19

using the smoothed prices to 

approximate option contract prices. The 

output of the Smoothing Algorithm, 

consisting of various theoretical option 

contract prices and volatilities, is then 

used downstream as a starting point to 

simulate variations in implied volatility 

for option contracts. 

Using the Black-Scholes options 

pricing model, the implied volatility is 

the standard deviation of the underlying 

asset price necessary to arrive at the 

market price of an option of a given 

strike, time to maturity, underlying asset 

price and the current discount interest 

rate. In effect, the implied volatility is 

responsible for that portion of the 

premium that cannot be explained by 

the current intrinsic value of the option 

(i.e., the difference between the price of 

the underlying and the exercise price of 

the option), discounted to reflect its 

time value. OCC considers variations in 

implied volatility within STANS to 

ensure that the anticipated cost of 

liquidating options positions in an 

account recognizes the possibility that 

the implied volatility could change 

during the two-business day liquidation 

time horizon and lead to corresponding 

changes in the market prices of the 

options. Specifically, OCC models 

variations in implied volatility using its 

(1) Implied Volatilities Scenarios Model 

for non-S&P 500 based products, and (2) 

S&P 500 Implied Volatility Simulation 

Model for products in the S&P 500 

group.20

Implied Volatilities Scenarios Model 

Using its current Implied Volatilities 

Scenarios Model, OCC models the 

variations in implied volatility used to 

re-price non-S&P 500 based options 

within STANS. Variations in implied 

volatility are modeled through a 

volatility surface by incorporating 

certain risk factors (i.e., implied 

volatility pivot points) based on a range 

of tenors and option deltas 21 into the 

models in STANS. These implied 

volatility pivot points consist of three 

tenors of one month, three months and 

one year, and three deltas of 0.25, 0.5, 

and 0.75, resulting in nine implied 

volatility risk factors.22 These pivot 

points are chosen such that their 

combination allows the model to 

capture changes in level, skew (i.e., 

strike price), convexity, and term 

structure of the implied volatility 

surface.23

The Implied Volatility Scenarios 

Model has certain limitations related to 

SDOs. First, the underlying prices and 

implied volatilities generated from the 

Smoothing Algorithm, which are an 

input to the Implied Volatility Scenarios 

Model, are generated using a calendar 

day convention, which is not consistent 

with the trading day convention used in 

the calibration of the model parameters. 

The misalignment in day-count 

conventions may result in over- or 

under-estimation of option prices based 

on the implied volatility scenarios. 

SDOs are more sensitive to day-count 

convention alignment than contracts 

with longer expirations due to the 

proportionally larger difference in time 

to expiry between the trading day 

convention and calendar day 

convention for shorter dated tenors. 

Second, the model imposes a flat term 

structure on SDOs, which forces the use 

of the implied volatility shock from the 

1M tenor on all option contracts 

expiring in less than one month. 

Because the term structure for the 

Implied Volatilities Scenarios Model 

starts at the 1M tenor, the current model 

is not consistent with the observed 

dynamics of the underlying assets and 

the implied volatility surface for SDOs. 

This may lead to inadequate coverage 

for portfolios with concentrations in 

SDOs. 

S&P 500 Implied Volatility Simulation 

Model 

OCC uses the S&P 500 Implied 

Volatility Simulation Model for the S&P 

500 product group.24 The purpose of the 

S&P 500 Implied Volatility Simulation 

Model is to establish a consistent and 

robust framework for implied volatility 

simulation and provide natural offsets 

for volatility products with similar 

characteristics to S&P 500 implied 

volatility. The output of the S&P 500 

Implied Volatility Simulation Model is 

used by OCC’s options pricing model, as 

well as the Volatility Index Futures 

Model. The S&P 500 Implied Volatility 

Simulation Model is a Monte Carlo 

simulation model that captures the risk 

dynamics in the S&P 500 implied 

volatility surface utilizing standardized 

log-moneyness 25 and a fixed number of 

key tenors as well as skew to generate 

an S&P 500 1M at-the-money (‘‘ATM’’) 

risk factor.26 OCC then uses the 

generated implied volatility scenarios to 

produce option prices in margin 

estimation and stress testing.27

The S&P 500 Implied Volatility 

Simulation Model has certain 

limitations related to SDOs. Like the 

Implied Volatilities Scenarios Model 

discussed above, the S&P 500 Implied 

Volatility Simulation Model uses a 

trading day convention in the 

calibration of the model, which is not 

consistent with the calendar day 

convention used in the generation of the 

input from the Smoothing Algorithm. 

As for the Implied Volatilities Scenarios 

Model, this misalignment may result in 


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28See Exchange Act Release No. 83406 (Jun 11, 

2018), 83 FR 28018, 28022 (June 15, 2018) (SR– 

OCC–2018–008). 

29 Id. 

30The ‘‘beta’’ of a security is the sensitivity of the 

price of the security relative to the price of the 

security. 

31Exchange Act Release No. 83406, supra note 

26, at 28022. 

32 Id. 

33 Id. 

34See generally id. at 28023. 

35The term ‘‘systemic stress scenarios’’ are 

scenarios designed to the capture risk to OCC in an 

extreme event impacting all positions driven by risk 

drivers. 

36Exchange Act Release No. 83406, supra note 

26, at 28023. 

37 Id. 

38 Id. 

39See Exchange Act Release No. 87386 (Oct. 23, 

2019), 84 FR 57911, 57913–14 (Oct. 29, 2019) (SR– 

OCC–2019–009). 

40See id. at 57916 n. 29 and accompanying text. 

41Unlike the other model discussed herein, the 

VIX Futures Price Shocks model uses the SPX 

volatility beta with extended tenors less than 1 

month from the Volatility Shocks model component 

and Dynamic VIX Calibration model component as 

inputs, and day-count convention alignment is not 

within the scope for this model component. 

42See generally Exchange Act Release No. 87386, 

supra note 37, at 57913. 

over- or under-estimation of option 

prices, particularly for SDOs. Second, 

the S&P 500 Implied Volatility 

Simulation Model uses a fixed number 

of key tenors beginning with the 1M 

tenor. Because the term structure for the 

S&P 500 Implied Volatility Simulation 

Model starts at the 1M tenor, the current 

model is not consistent with the 

observed dynamics of the underlying 

assets and the implied volatility surface 

for SDOs, which may lead to inadequate 

coverage for portfolios with 

concentrations in SDOs. 

CST Overview 

As described in the CST Methodology 

Description, OCC uses CST to analyze 

the adequacy of its financial resources 

in extreme but plausible scenarios. It 

enables OCC to better manage its risks 

by promoting OCC’s ability to 

thoroughly monitor its potential 

exposure under varied sets of stressed 

market scenarios and provides it with 

the ability to review the sufficiency of 

its financial resources. Moreover, the 

methodology includes stress tests 

designed to size and monitor the 

sufficiency of both prefunded credit and 

liquidity resources. OCC relies upon a 

set of stress scenarios constructed 

pursuant to the CST Methodology 

Description, including both Sizing and 

Sufficiency scenarios. 

CST is a scenario-based, one-factor 

risk model with four principal 

elements.28 First, a set of risk drivers is 

selected based on the portfolio 

exposures of all Clearing Members in 

the aggregate.29 Second, each individual 

underlying security from the portfolio of 

a Clearing Member is mapped to a key 

risk driver, to estimate the sensitivity for 

the beta 30 of the security with respect 

to the corresponding risk driver.31

Third, stress scenarios are generated by 

assigning a stress shock to each of the 

risk drivers, which drives the shock of 

an individual underlying security.32

Fourth, the aggregate risk exposure or 

shortfall of each portfolio is generated 

for each stress scenario for each Clearing 

Member and the Clearing Member 

Group level.33 The CST methodology 

consists of several component models, 

including the Volatility Shocks, the VIX 

Futures Prices Shocks, and Idiosyncratic 

Scenarios models. 

Volatility Shocks 

The Volatility Shocks model 

component of the CST methodology 

provides a method to generate implied 

volatility in a stress scenario for all 

individual option products that are 

cleared by OCC.34 This model 

component is used to shock any option 

product cleared by OCC. Shocked 

implied volatility is needed at the 

product, expiration, and strike level to 

evaluate individual option implied 

volatilities in stressed market 

conditions, which is then used to 

determine options prices and calculate 

the profit and loss of Clearing Member 

accounts in stress scenarios. For all 

systemic stress scenarios,35 the Cboe 

Volatility Index (‘‘VIX’’) is used as the 

main risk driver in determining shocked 

implied volatility.36

Two methods are used to generate 

strike-level shocked implied volatility 

from VIX shocks: (1) an approach for 

equity products, including equity ETFs, 

indexes and futures that have the S&P 

500 Index (‘‘SPX’’) as the risk driver; 

and (2) an approach used for options on 

all risk factors that do not have SPX as 

a risk driver. The term structure of SPXdriven implied volatilities is based on 

volatility betas versus VIX, while a 

standardized log-moneyness metric is 

used to model the implied volatility 

curves.37 For non-SPX driven risk 

factors, the implied volatility shocks are 

based on historical volatility beta 

regressed directly against the VIX.38

The Volatility Shocks component of 

CST has certain limitations related to 

SDOs. First, like the STANS models 

discussed above, the Volatility Shocks 

component uses a trading day 

convention in the calibration of model 

parameters, which is not consistent with 

the calendar day convention used by the 

Smoothing Algorithm. As discussed 

above, this misalignment may result in 

over- or under-estimation of option 

prices, particularly for SDOs. Second, 

Volatility Shock imposes a flat term 

structure for SDOs when calculating 

shocked implied volatility, which is not 

consistent with the observed dynamics 

of the underlying assets and the implied 

volatility surface for SDOs. These 

limitations may result in inadequate 

shocks for SDOs. 

VIX Futures Price Shocks 

The VIX is an index for measuring 

implied volatility based on options on 

the SPX with approximately 30 days to 

expiration. OCC derives VIX futures 

prices shocks from SPX volatility betas 

and VIX index shocks using the VIX 

Futures Price Shocks component of 

CST.39 The term structure of the VIX 

futures prices shocks is modeled from 

that of the SPX ATM implied volatility 

shocks. OCC first determines the term 

structure of the SPX volatility beta, by 

running regression of the 2-day returns 

of SPX ATM implied volatility with 

respect to the 2-day returns of the VIX 

index for different expirations, ranging 

from 1M to twelve months (‘‘12M’’).40

Through linear interpolation on the 

term structure curve of SPX volatility 

beta OCC determines the volatility beta 

at the VIX futures expiration and 30 

days after, which are the basis to 

calculate VIX futures price shocks. As a 

final step a constraint is then applied to 

ensure that the VIX futures price shocks 

do not exceed the VIX index shock. 

Like the Volatility Shocks model, the 

VIX Futures Price Shocks component 

imposes a flat term structure for SDOs 

when calculating shocked implied 

volatility, which is not consistent with 

the observed dynamics of the 

underlying assets and the implied 

volatility surface for SDOs. This 

limitation of the VIX Futures Price 

Shocks model may result in inadequate 

shocks for SDOs.41

Idiosyncratic Scenarios 

OCC uses Idiosyncratic Scenarios to 

generate and capture the risk from 

extreme non-systemic events that may 

impact OCC’s financial resources.42

Specifically, OCC captures the risk of 

extreme non-systemic market moves on 

single name equity securities (non-ETF, 

non-Index) through individual up and 

down shocks (assuming all other 

products are unchanged). Single-name 

equities are classified into large and 

small capitalization (cap) for the price 

shocks. Four types of idiosyncratic 

moves are constructed based on the 


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43 Id. 

44 Id. 

45OCC would also make conforming changes to 

the whitepapers for these models. OCC has 

provided updates to its STANS whitepapers for the 

impacted models in confidential Exhibit 3B and 3C 

to File No. SR–OCC–2024–016. 

46OCC would also make conforming changes to 

the whitepapers for these models. OCC has 

provided updates to its CST whitepapers for the 

impacted models in confidential Exhibit 3D and 3F 

to File No. SR–OCC–2024–016. 

market capitalization and direction of 

the price shock: large cap up, large cap 

down, small cap up and small cap 

down.43 A fixed price shock for each of 

the four scenarios is calibrated from 

historical price return data such that 

probability of idiosyncratic moves is 

comparable to systemic scenarios and 

probability in all four scenarios is 

approximately equal. Based on price 

shocks, ATM implied volatility shocks 

are calibrated for each of the four 

scenarios.44

The Idiosyncratic Scenarios 

component of CST shares the 

limitations related to SDOs discussed 

above with respect to the other models. 

Specifically, the Idiosyncratic Scenarios 

component uses a trading day 

convention in the calibration of model 

parameters, which is not consistent with 

the Smoothing Algorithm’s calendar day 

convention. As discussed above, this 

misalignment may result in over- or 

under-estimation of option prices, 

particularly for SDOs. Second, like the 

Volatility Shocks model, Idiosyncratic 

Scenarios imposes a flat term structure 

for SDOs when calculating shocked 

implied volatility, which is not 

consistent with the observed dynamics 

of the underlying assets and the implied 

volatility surface for SDOs. These 

limitations may result in inadequate 

shocks for SDOs. 

Proposed Change 

OCC proposes to capture the risks 

associated with SDOs by applying 

enhancements to the implied volatility 

modeling approach to: (1) align the daycount convention between option price 

smoothing and implied volatility 

scenario generation, and (2) extend the 

term structure to cover implied 

volatility risk associated with options 

with less than one month to expiration. 

These enhancements will be 

implemented for model components in 

STANS and CST. 

Day-Count Convention Alignment 

At present, the implied volatility 

output from smoothing, determined 

using a calendar day convention, is 

directly applied in the initial implied 

volatility scenarios in STANS and CST. 

However, the calibration of the 

parameters used in implied volatility 

scenarios uses a trading day convention, 

which is also used to model forecasted 

variance as well as the shocks in CST. 

OCC proposes to align the day-count 

convention to be consistent between 

calibration and price smoothing in both 

STANS and CST. 

In STANS, OCC proposes to align the 

day-count convention between price 

smoothing and its model components 

used for forecasting changes in implied 

volatility through amendments to the 

sections of the STANS Methodology 

Description that address the Implied 

Volatilities Scenarios Model and the 

S&P 500 Implied Volatility Simulation 

Model.45 For the Implied Volatilities 

Scenarios Model (pivot-based), implied 

volatility levels would be initially 

converted into trading day convention 

before application of pivot scenario 

shocks. The shocked implied volatility 

scenarios would then be converted back 

to calendar day convention before being 

used to calculate shocked option price 

scenarios. For the S&P 500 Implied 

Volatility Simulation Model, the process 

for generating the shocked implied 

volatility scenarios for listed tenors 

would convert the initial implied 

volatility from using calendar day 

convention to using trading day 

convention followed by generation of 

the ATM implied volatility log-return 

scenarios for listed tenors. The skew 

shock scenarios would be generated 

next, followed by the shocked implied 

volatility scenarios. The outputs of the 

shocked implied volatility scenarios 

would then be converted back to 

calendar day convention before 

calculating the theoretical option price 

scenarios. These conversion steps taken 

together would then align the day-count 

convention used in both option price 

smoothing and implied volatility 

simulations. 

Similarly, OCC would align the daycount convention of the Implied 

Volatility Shocks in CST through 

conversion of the initial volatility 

surface from the output of the 

Smoothing Algorithm to business day 

convention before application of any 

volatility shocks.46 After the volatility 

shock is applied, the shocked implied 

volatility would then be scaled back to 

calendar day convention, before being 

used downstream for option pricing in 

CST. These changes would be reflected 

in amendments to the CST Methodology 

Description’s section that addresses the 

Volatility Shock Model. With respect to 

the Idiosyncratic Scenarios, the CST 

methodology already provides that after 

calculating the shocked ATM volatility, 

the shocked implied volatility for all the 

strikes in the expiration follows the 

same methodology as for the Volatility 

Shock Model. 

Extension of the Term Structure 

At present, the STANS Implied 

Volatilities Scenarios model uses a flat 

term structure for options with listed 

tenors that are shorter than one month, 

which means that the implied volatility 

shock is derived from the 1M key tenor 

or pivot. OCC proposes to change the 

Implied Volatility Scenarios term 

structure for the implied volatility 

simulation of all non-SPX related risk 

factors, such that for points with shorter 

than one month to maturity, a squaredroot decay is applied with respect to one 

month to expiration up to a 

predetermined shortest time to maturity. 

For the S&P 500 Implied Volatility 

Simulation Model term structure and 

SPX related risk factors, the applicable 

sections of the STANS Methodology 

Description would be updated to 

provide for a shorter key tenor than the 

current 1M time to maturity. 

With respect to the CST Volatility 

Shocks model, which uses the volatility 

beta from the 1M tenor for SDOs, OCC 

proposes to extend the volatility beta 

approach to cover constant maturity 

tenors of less than one-month expiration 

by adding constant maturity tenors at 

the 1-week (‘‘1W’’) and 2-week (‘‘2W’’) 

key points of the term structure. 

Similarly, for the VIX Futures Price 

Shocks model, OCC proposes that the 

volatility beta for listed tenors that are 

less than the 1W tenor and down to the 

3-day (‘‘3D’’) tenor would be linearly 

interpolated from the 1W tenor and 2W 

tenor volatility betas, i.e., the 1W and 

2W tenor expirations would be added as 

inputs to the term structure of SPX 

volatility betas. As for Idiosyncratic 

Scenarios, the term structure would be 

extended from 1M down to the 1W 

tenor and 2W tenor. These changes 

would be applied to the section of the 

CST Methodology Description that 

addresses the Volatility Shock Model, 

the same methodology for which also 

applies to the Idiosyncratic Scenarios 

Models as described above. In addition, 

this change would also apply to the VIX 

Futures Price Shock Model because the 

Volatility Shock Model’s method is 

incorporated by reference in the section 

that describes the volatility beta shocks 

applied to volatility instruments. 

OCC also proposes to update the day 

count to the more precise value of 

365.25 within the CST Methodology 

Description when referring to calendar 

days in a year and also when used in a 

formula. This amendment to the CST 

Methodology Description conforms with 


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47Margin is calculated as the sum of requirement 

shortfall and stress test add-on charge. 

48OCC notes that backtesting data for this 

scenario is limited due to its recent deployment and 

use in production. 

49 15 U.S.C. 78q–1. 

50 17 CFR 240.17Ad–22(e)(6). 

51 17 CFR 240.17Ad–22(e)(7). 

52 15 U.S.C. 78q–1(b)(3)(F). 

53 Id. 

54 17 CFR 240.17Ad–2(e)(6). 

55 17 CFR 240.17Ad–2(e)(6)(i), (iii), (v). 

how the system was designed to be 

consistent with the day-count 

convention specified in the STANS 

Methodology Description. Since the 

CST system already uses a 365.25 day 

count convention, the proposed change 

to correct the documentation would 

have no impact on stress test results. 

Additionally, OCC plans to make 

several other minor non-substantial 

typographical changes throughout the 

document. 

In addition, OCC proposes to further 

revise the relevant sections of the 

STANS Methodology Description 

concerning the S&P 500 Implied 

Volatility Simulation model to eliminate 

redundant and duplicative information. 

Specifically, OCC proposes to remove 

sections related to the generation of the 

simulation of certain shocks that are 

duplicative of information covered in 

the STANS Methodology Description’s 

discussion of the theory and 

specifications for that model. The 

sections related to the simulation of the 

shocked implied volatility scenarios 

would be amended to instead refer to 

those previous sections, which would 

be updated to reflect the two changes 

proposed herein. 

Impact Analysis 

OCC has reviewed the potential 

impact of the proposed changes on 

margin across all Clearing Member tier 

accounts over a 15-month period, 

between July 2023 and September 2024. 

OCC observed that the proposed 

enhancements would lead to an average 

daily total margin 47 increase of 0.58% 

(approximately $0.2 billion, calculated 

based on the average daily margin of 

nearly $38 billion) across all accounts 

and activity dates, with the daily total 

margins falling in a narrow range 

between the largest decrease of 0.81% 

(approximately $0.3 billion) to the 

largest increase of 3.21% 

(approximately $1.1 billion). The results 

further demonstrated that the SDO 

enhancements had a larger measurable 

impact for accounts with high 

concentrations of short-dated options. 

OCC also reviewed the potential 

impact on CST for the proposed model 

enhancements based on backtesting 

results over the same time period. OCC 

observed that the proposed changes had 

a relatively small impact on the Cover 

1 and Cover 2 shortfalls used in 

Sufficiency and Sizing Scenarios for the 

leading Clearing Member Groups. The 

impact varied among Clearing Members, 

influenced by factors such as portfolio 

size, product diversity within those 

portfolios, and the concentration of SDO 

positions. Smaller Clearing Members 

with a high concentration of SDO 

positions experienced relatively more 

meaningful impacts. 

With respect to Sizing Scenarios 

impacts, OCC observed a decrease in the 

average Cover 2 shortfall for the 1-in-80- 

Year Rally Scenario of 0.1% 

(approximately $12.7 million) with the 

daily variation falling in a narrow range 

between the largest decrease of 3.18% to 

the largest increase of 0.53%. For the 

Cover 2 shortfall on the 1-in-80-Year 

Decline Scenario OCC observed an 

average decrease of 0.47% 

(approximately $65 million) with the 

daily variation falling in a narrow range 

between the largest decrease of 3.17% to 

the largest increase of 1.16%. 

Simliarly, regarding Sufficiency 

Scenarios impacts, OCC observed a 

decrease in the average Cover 1 shortfall 

for the 1987 Crash Scenario of 0.39% 

(approximately $37 million) with the 

daily variation falling in the range 

between the largest daily decrease of 

3.15% and largest daily increase of 

1.97%. For the Largest Rally from 2008 

Sufficiency Scenario, the daily average 

Cover 2 Shortfall increased by around 

0.22%, which is about $16 million. The 

shortfall ranged between a decrease of 

$208 million and an increase of $116 

million, which is about a decrease of 

3.54% to an increase of 1.90%. For the 

Largest Rally from 2008—Historical Beta 

Sufficiency Scenario,48 the daily 

average Cover 2 Shortfall decreased by 

around 0.1%, which is about $7 million. 

The shortfall ranged between a decrease 

of $196 million and an increase of $143 

million, which is about a decrease of 

1.93% to an increase of 1.41%. 

Overall, OCC observed a reduction to 

the Clearing Fund size of around 0.14% 

(approximately $14 million) based on 

the changes in Cover 2 shortfalls in 

Sizing Scenarios. OCC believes that 

such changes to margin and Cover 1 

Sufficiency Scenarios and Cover 2 

Sizing Scenarios are commensurate with 

the risks presented by Clearing Members 

SDO trading activities. 

Implementation and Timeframe 

The proposed margin model and CST 

methodology changes will be integrated 

into OCC’s current production system, 

and implemented within 180 days after 

the date that OCC receives all necessary 

regulatory approvals for the proposed 

changes. OCC will announce the 

implementation date of the proposed 

changes by an Information 

Memorandum posted to its public 

website at least 2 weeks prior to 

implementation. 

2. Statutory Basis 

OCC believes the proposed rule 

change is consistent with Section 17A of 

the Exchange Act 49 and Rules 17Ad– 

22(e)(6) 50 and (e)(7) 51 thereunder. 

Section 17A(b)(3)(F) of the Act 52

requires, among other things, that the 

rules of a clearing agency be designed to 

promote the prompt and accurate 

clearance and settlement of securities 

transactions, and in general, to protect 

investors and the public interest. As 

described above, OCC could be exposed 

to increased credit and liquidity risk if 

the margin and Clearing Fund models 

do not adequately capture changes to 

the dynamic behavior of the implied 

volatility associated with portfolios 

dominated by SDO positions. As 

discussed above, OCC believes the 

proposed enhancements improve the 

model performance for portfolios with 

high SDO concentration. The output of 

these models would be used by OCC to 

calculate margin and Clearing Fund 

requirements designed to limit its credit 

and liquidity exposures to participants 

and ensure that OCC is able to continue 

the prompt and accurate clearance and 

settlement of its cleared products. The 

collection of margin and Clearing Fund 

helps to protect investors and the public 

interest by ensuring OCC has sufficient 

resources to manage a potential Clearing 

Member default that may otherwise 

impose unexpected costs on nondefaulting Clearing Members and, 

ultimately, their customers. For these 

reasons, OCC believes the proposed 

changes are designed to promote the 

prompt and accurate clearance and 

settlement of securities transactions, 

and, thereby, to protect investors and 

the public interest in accordance with 

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

Act.53

OCC also believes that the proposed 

changes are consistent with Rule 17Ad– 

22(e)(6).54 In particular, paragraphs (i), 

(iii), and (v) of Rule 17Ad–22(e)(6) 55

require a covered clearing agency that 

provides central counterparty services 

to establish, implement, maintain and 

enforce written policies and procedures 

reasonably designed to cover its credit 

exposures to its participants by 

establishing a risk-based margin system 


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56 Id. 

57 15 U.S.C. 78q–1(b)(3)(I). 58See 17 CFR 240.17Ad–2(e)(6)(i). 

that (1) considers, and produces margin 

levels commensurate with, the risks and 

particular attributes of each relevant 

product, portfolio, and market; (2) 

calculates margin sufficient to cover its 

potential future exposure to participants 

in the interval between the last margin 

collection and the close out of positions 

following a participant default; and (3) 

uses an appropriate method for 

measuring credit exposure that accounts 

for relevant product risk factors and 

portfolio effects across products. As 

noted above, OCC’s current models in 

STANS may not adequately capture the 

implied volatility behaviors associated 

with SDO in portfolios that may be 

dominated by SDO positions, which 

could result in inadequate margin 

requirements. As described in detail 

above, OCC believes that aligning the 

day count convention and extending the 

term structure in OCC’s margin system 

to take into consideration SDO specific 

attributes, are appropriate methods to 

enable OCC to measure SDO credit 

exposure and produce margin 

requirements commensurate with the 

risks presented by SDO trading 

activities, and as designed enables OCC 

to calculate margin sufficient to cover 

SDO exposure from Clearing Member 

accounts with high concentrations of 

short-dated options. The proposed 

changes are designed to enhance model 

outputs to produce margin requirements 

that are commensurate with the risks 

presented by portfolios containing SDO 

s positions. As a result, OCC believes 

that the proposed changes are 

reasonably designed to calculate margin 

commensurate with risks and particular 

attributes of SDO and sufficient to cover 

its potential future exposure to 

participants in the interval between the 

last margin collection and the close out 

of positions following a participant 

default, and uses an appropriate method 

to measure credit exposures that 

accounts for the relevant SDO product 

risk factors in a manner consistent with 

Rules 17Ad–22(e)(6)(i), (iii) and (v).56

(B) Clearing Agency’s Statement on 

Burden on Competition 

Section 17A(b)(3)(I) requires that the 

rules of a clearing agency do not impose 

any burden on competition not 

necessary or appropriate in furtherance 

of the purposes of the Act.57 The 

proposed alignment of the calendar 

convention between price smoothing 

and model calibration, and the 

extension of the term structure for 

implied volatility and volatility shocks, 

would be used by OCC to manage its 

credit and liquidity risk across all 

Clearing Members. Accordingly, OCC 

does not believe that the proposed rule 

change would unfairly hinder access to 

OCC’s services. 

While the proposed rule change may 

impact different accounts to a greater or 

lesser degree depending on the 

composition of SDO positions in each 

account, OCC does not believe that the 

proposed rule change would impose any 

burden on competition not necessary or 

appropriate in furtherance of the 

purposes of the Exchange Act. As 

discussed above, OCC is obligated under 

the Exchange Act and the regulations 

thereunder to establish, implement, 

maintain and enforce written policies 

and procedures reasonably designed to 

cover its credit exposures to its 

participants by establishing a risk-based 

margin system that, among other things, 

considers, and produces margin levels 

commensurate with the risks and 

particular attributes of each relevant 

product, portfolio, and market.58

Overall, the impact analysis indicates 

there are significant improvements in 

performance and margin coverage for 

SDOs from the proposed model 

enhancements. 

Moreover, while the composition of 

SDOs within Clearing Member 

portfolios may drive margin and 

scenario charges that may be higher or 

lower than under the current regime, 

nevertheless OCC believes that margin 

coverage improvements occur with the 

adoption of the proposed 

enhancements. These enhanced model 

components would utilize a more 

consistent approach to calendar 

conventions, while the term structure is 

also extended to account for SDO 

tenors, which directly address certain 

limitations within the current 

implementation of STANS and CST 

models. In addition, the proposed 

model enhancements are expected to 

produce margin requirements that are 

more commensurate to the risks 

generated from holding SDO positions 

within Clearing Member portfolios, and 

therefore consistent with OCC’s 

obligations under the Exchange Act and 

regulations thereunder. Accordingly, 

OCC believes that the proposed rule 

change would not impose any burden or 

impact on competition not necessary or 

appropriate in furtherance of the 

purposes of the Exchange Act. 

(C) Clearing Agency’s Statement on 

Comments on the Proposed Rule 

Change Received From Members, 

Participants or Others 

Written comments were not, and are 

not, intended to be solicited with 

respect to the proposed change and 

none have been received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 45 days of the date of 

publication of this notice in the Federal 

Register or within such longer period 

up to 90 days (i) as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 

reasons for so finding or (ii) as to which 

the selfregulatory organization consents, 

the Commission will: 

(A) by order approve or disapprove 

such proposed rule change, or 

(B) institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

The proposal shall not take effect 

until all regulatory actions required 

with respect to the proposal are 

completed. 

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-regulations/self-regulatoryorganization-rulemaking); or 

• Send an email to rule-comments@

sec.gov. Please include file number SR– 

OCC–2024–016 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Vanessa Countryman, Secretary, 

Securities and Exchange Commission, 

100 F Street NE, Washington, DC 

20549–1090. 

All submissions should refer to file 

number SR–OCC–2024–016. 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 


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59 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See ‘‘MIAX Exchange Group—Options and 

Equities Markets—Final Reminder: New email 

domain,’’ available at https://www.miaxglobal.com/ 

alert/2023/06/01/miax-exchange-group-optionsand-equities-markets-final-reminder-new-email-1. 

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 such filing 

also will be available for inspection and 

copying at the principal office of OCC 

and on OCC’s website at https://

www.theocc.com/CompanyInformation/Documents-and-Archives/ 

By-Laws-and-Rules. 

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–OCC–2024–016 and 

should be submitted on or before 

December 27, 2024. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.59

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2024–28538 Filed 12–5–24; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–101789; File No. SR–MIAX– 

2024–41] 

Self-Regulatory Organizations; Miami 

International Securities Exchange, 

LLC; Notice of Filing and Immediate 

Effectiveness of a Proposed Rule 

Change To Amend Its Fee Schedule 

December 2, 2024. 

Pursuant to the provisions of 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 November 19, 2024, Miami 

International Securities Exchange, LLC 

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

Securities and Exchange Commission 

(‘‘Commission’’) a proposed rule change 

as described in Items I and II below, 

which Items have been prepared by the 

Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend the 

MIAX Options Exchange Fee Schedule 

(‘‘Fee Schedule’’) to (1) update the 

Exchange’s email domain; and (2) delete 

all references and transaction fees and 

rebates for mini-options. 

The text of the proposed rule change 

is available on the Exchange’s website at 

https://www.miaxglobal.com/markets/ 

us-options/miax-options/rule-filings, at 

MIAX’s principal office, 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 the 

Fee Schedule to (1) update the 

Exchange’s email domain; and (2) delete 

all references and transaction fees and 

rebates for mini-options. 

Proposal To Amend the Footnote 

Definition of ‘‘Affiliate’’ in Section 1)a)i) 

of the Fee Schedule 

The Exchange proposes to amend the 

MIAX email domain in footnote #1 of 

the Members and Their Affiliates In 

Priority Customer Rebate Program 

Volume Tier 3 or Higher table in Section 

1)a)i) of the Fee Schedule. 

Currently, footnote #1 in the Fee 

Schedule provides, in relevant part, that 

‘‘. . . A MIAX Market Maker appoints 

an EEM and an EEM appoints a MIAX 

Market Maker, for the purposes of the 

Fee Schedule, by each completing and 

sending an executed Volume 

Aggregation Request Form by email to 

membership@miaxoptions.com no later 

than 2 business days prior to the first 

business day of the month in which the 

designation is to become effective . . .’’ 

MIAX started using the new domain 

(@miaxglobal.com), instead of the old 

domain (@miaxoptions.com), and all 

firms are required to include the new 

domain (@miaxglobal.com) as of June 1, 

2023.3 The Exchange now proposes to 

replace the old email domain 

(membership@miaxoptions.com) with 

the new email domain (membership@

miaxglobal.com) in footnote #1 in the 

Fee Schedule. Accordingly, with the 

proposed changes, footnote #1 will read 

as follows: 

For purposes of the MIAX Options Fee 

Schedule, the term ‘‘Affiliate’’ means (i) an 

affiliate of a Member of at least 75% common 

ownership between the firms as reflected on 

each firm’s Form BD, Schedule A, 

(‘‘Affiliate’’), or (ii) the Appointed Market 

Maker of an Appointed EEM (or, conversely, 

the Appointed EEM of an Appointed Market 

Maker). An ‘‘Appointed Market Maker’’ is a 

MIAX Market Maker (who does not otherwise 

have a corporate affiliation based upon 

common ownership with an EEM) that has 

been appointed by an EEM and an 

‘‘Appointed EEM’’ is an EEM (who does not 

otherwise have a corporate affiliation based 

upon common ownership with a MIAX 

Market Maker) that has been appointed by a 

MIAX Market Maker, pursuant to the 

following process. A MIAX Market Maker 

appoints an EEM and an EEM appoints a 

MIAX Market Maker, for the purposes of the 

Fee Schedule, by each completing and 

sending an executed Volume Aggregation 

Request Form by email to membership@

miaxglobal.com no later than 2 business days 

prior to the first business day of the month 

in which the designation is to become 

effective. Transmittal of a validly completed 

and executed form to the Exchange along 

with the Exchange’s acknowledgement of the 

effective designation to each of the Market 

Maker and EEM will be viewed as acceptance 

of the appointment. The Exchange will only 

recognize one designation per Member. A 

Member may make a designation not more 

than once every 12 months (from the date of 

its most recent designation), which 

designation shall remain in effect unless or 

until the Exchange receives written notice 

submitted 2 business days prior to the first 

business day of the month from either 

Member indicating that the appointment has 

been terminated. Designations will become 

operative on the first business day of the 

effective month and may not be terminated 

prior to the end of the month. Execution data 

and reports will be provided to both parties. 

Proposal To Delete All References to 

Mini-Options 

The Exchange proposes to delete all 

outdated references to mini-options in 

the Fee Schedule. On April 17, 2013, 

the Exchange began listing and trading 

mini-options that were options contracts 

on a select number of high-priced and 


lotter on DSK11XQN23PROD with NOTICES1