Federal Register / Vol. 87, No. 74 / Monday, April 18, 2022 / Notices 22993 

54 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 94292 

(February 22, 2022), 87 FR 11102 (‘‘Notice’’). 

Comments received regarding the proposal are 

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

www.sec.gov/comments/sr-cboe-2022-005/ 

srcboe2022005.htm. 

4 In Amendment No. 1, the Exchange also 

proposes to include the following market quality 

data for SPXW (as defined below) and standard SPX 

options, over sample periods determined by the 

Exchange and the Commission, as part of its Annual 

Report (as defined below) going forward: Timeweighted relative quoted spreads; relative effective 

spreads; and time-weighted bid and offer sizes. 

Amendment No. 1 is available on the Commission’s 

website at: https://www.sec.gov/comments/sr-cboe2022-005/srcboe2022005.htm. 

5See Securities Exchange Act Release No. 62911 

(September 14, 2010), 75 FR 57539 (September 21, 

2010) (‘‘Pilot Approval Order’’). See also Securities 

Exchange Act Release No. 76909 (January 14, 2016), 

81 FR 3512 (January 21, 2016) (permitting P.M.- 

settled options on broad-based indexes that expire 

on any Wednesday); and Securities Exchange Act 

Release No. 78531 (August 10, 2016), 81 FR 54643 

(August 16, 2016) (permitting P.M.-settled options 

on broad-based indexes that expire on any 

Monday). The Pilot is currently set to expire on 

May 2, 2022. See Securities Exchange Act Release 

No. 93459 (October 28, 2021), 86 FR 60663 

(November 3, 2021). 

6Cboe Options Rule 4.13(e). 

7See Notice, supra note 3, 87 FR 11102. 

8 If the Exchange lists EOMs and Weekly 

Expirations as applicable in a given class, the 

Exchange will list an EOM instead of a Weekly 

Expiration that expires on the same day in the given 

class. See Cboe Options Rule 4.13(e)(1). 

9See Notice, supra note 3, 87 FR 11102. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

PEARL–2022–09 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–PEARL–2022–09. This file 

number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

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

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

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

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549, on official 

business days between the hours of 

10:00 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–PEARL–2022–09 and 

should be submitted on or before May 

9, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.54

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–08172 Filed 4–15–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94682; File No. SR–CBOE– 

2022–005] 

Self-Regulatory Organizations; Cboe 

Exchange, Inc.; Notice of Filing of 

Amendment No. 1 and Order Granting 

Accelerated Approval of a Proposed 

Rule Change, as Modified by 

Amendment No. 1, To Expand the 

Nonstandard Expirations Pilot 

Program To Include P.M.-Settled S&P 

500 Index Options That Expire on 

Tuesday or Thursday 

April 12, 2022. 

I. Introduction 

On February 8, 2022, Cboe Exchange, 

Inc. (‘‘Exchange’’ or ‘‘Cboe Options’’) 

filed with the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

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

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder,2 a proposed rule 

change to expand its Nonstandard 

Expirations Pilot Program to permit 

P.M.-settled S&P 500 Index (‘‘SPX’’) 

options that expire on Tuesday or 

Thursday. The proposed rule change 

was published for comment in the 

Federal Register on February 28, 2022.3

On April 6, 2022, the Exchange filed 

Amendment No. 1 to the proposed rule 

change.4 The Commission is publishing 

this notice to solicit comment on 

Amendment No. 1 and is approving the 

proposed rule change, as modified by 

Amendment No. 1, on an accelerated 

basis. 

II. Description of the Proposal, as 

Modified by Amendment No. 1 

Cboe Options proposes to expand its 

existing Nonstandard Expirations Pilot 

(‘‘Pilot’’).5 Under the terms of the 

current Pilot, the Exchange is permitted 

to list P.M.-settled options on broadbased indexes that expire on: (1) Any 

Monday, Wednesday, or Friday 

(‘‘Weekly Expirations’’ or ‘‘EOWs’’) and 

(2) the last trading day of the month 

(‘‘End of Month Expirations’’ or 

‘‘EOMs’’).6 Under the proposal, the 

Exchange will expand the Pilot to 

permit P.M.-settled SPX Weekly 

(‘‘SPXW’’) options that expire on 

Tuesday or Thursday (‘‘Tuesday and 

Thursday SPXW Expirations’’) as 

permissible Weekly Expirations under 

the Pilot, in addition to the SPXW 

options with Monday, Wednesday, and 

Friday expirations that the Exchange 

may currently list pursuant to Rule 

4.13(e)(1). The Exchange states that the 

Pilot for Weekly Expirations will apply 

to Tuesday and Thursday SPXW 

Expirations in the same manner as it 

currently applies to P.M.-settled broadbased index options with Monday, 

Wednesday, and Friday expirations.7

A. Tuesday and Thursday SPXW 

Expirations 

The Exchange’s proposed rule change 

will allow it to open for trading SPXW 

options with Tuesday and Thursday 

expirations to expire on any Tuesday or 

Thursday of the month, other than days 

that coincide with an EOM expiration.8

The maximum number of expirations 

that may be listed for each type of 

Weekly Expiration (including the 

proposed Tuesday and Thursday SPXW 

Expirations) in a given class is the same 

as the maximum number of expirations 

permitted in Rule 4.13(a)(2) for standard 

options on the same broad-based index 

(12 for SPX options).9 Further, under 

current Cboe Options Rule 4.13(e)(1), 


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22994 Federal Register / Vol. 87, No. 74 / Monday, April 18, 2022 / Notices 

10See Cboe Options Rule 4.13(e)(1). 

11See proposed Cboe Options Rule 4.13(e)(1). 

12See Cboe Options Rule 4.13(e)(1). 

13 Id. 

14See Notice, supra note 3, 87 FR 11102. The 

proposed rule change also clarifies that on the last 

trading day, Regular Trading Hours for expiring 

Weekly Expirations and EOMs are from 9:30 a.m. 

to 4:00 p.m. See proposed Cboe Options Rule 

4.13(e)(4). 

15 Id. 

16 Id. 

17See Pilot Approval Order, supra note 5. 

18See Notice, supra note 3, 87 FR at 11103. See 

also Pilot Approval Order, supra note 5, 75 FR 

57540 (stating, ‘‘[i]n particular, the Commission 

notes that [the Exchange] will provide the 

Commission with the annual report analyzing 

volume and open interest of EOWs and EOMs, will 

also contain information and analysis of EOW and 

EOM trading patterns, and index price volatility 

and share trading activity for series that exceed 

minimum parameters.’’). 

19See Notice, supra note 3, 87 FR 11103. 

20See Amendment No. 1, supra note 4. In 

particular, the Exchange proposes to include the 

following market quality data, over sample periods 

determined by the Exchange and the Commission, 

for SPX options (SPXW and standard SPX options) 

as part of the annual reports going forward: Timeweighted relative quoted spreads; relative effective 

spreads; and time-weighted bid and offer sizes. See 

id. 

21See Notice, supra note 3, 87 FR 11103. 

22 Id. 

23 15 U.S.C. 78f(b). In approving this proposed 

rule change, the Commission has considered the 

proposed rule’s impact on efficiency, competition, 

and capital formation. See 15 U.S.C. 78c(f). 

24 15 U.S.C. 78f(b)(5). 

25See Letter from John Zhu, Head of Trading, 

Optiver US LLC, to Vanessa Countryman, Secretary, 

Commission, dated March 18, 2022. 

26See id. at 1. 

27 Id. 

28 Id. 

29 Id. at 2. 

30 Id. 

31See Securities Exchange Act Release No. 68888 

(February 8, 2013), 78 FR 10668, 10669 (February 

14, 2013) (order approving the listing and trading 

of SPXPM on Cboe Options). See also Securities 

Exchange Act Release Nos. 64599 (June 3, 2011), 76 

FR 33798, 33801–02 (June 9, 2011) (order 

instituting proceedings to determine whether to 

approve or disapprove a proposed rule change to 

allow the listing and trading of SPXPM options on 

the C2 Options Exchange, Incorporated); and 65256 

(September 2, 2011), 76 FR 55969, 55970–76 

(September 9, 2011) (order approving proposed rule 

change to establish a pilot program to list and trade 

SPXPM options on the C2 Options Exchange, 

Incorporated). 

other expirations in the same class will 

not be counted as part of the maximum 

number of Weekly Expirations for an 

applicable broad-based index class.10

Weekly Expirations need not be for 

consecutive Monday, Tuesday, 

Wednesday, Thursday, or Friday 

expirations as applicable; 11 however, 

the expiration date of a non-consecutive 

expiration may not be beyond what 

would be considered the last expiration 

date if the maximum number of 

expirations were listed consecutively.12

Weekly Expirations that are first listed 

in a given class may expire up to four 

weeks from the actual listing date.13

Tuesday and Thursday SPXW 

Expirations will be treated the same as 

options on the same underlying index 

that expire on the third Friday of the 

expiration month, except that they will 

be P.M.-settled and new series in 

Weekly Expirations may be added up to 

and including on the expiration date for 

an expiring Weekly Expiration.14

Finally, if the Exchange is not open 

for business on a Tuesday or Thursday, 

the normally Tuesday- or Thursdayexpiring SPXW will expire on the 

previous business day.15 If two different 

SPXW options will expire on the same 

day because the Exchange is not open 

for business on a certain weekday, the 

Exchange will list only one of such 

SPXW options.16

B. Annual Pilot Program Report 

The Exchange has previously 

undertaken to submit a Pilot report to 

the Commission at least two months 

prior to the expiration date of the Pilot 

(‘‘Annual Report’’).17 The Exchange 

represents that it will abide by the same 

reporting requirements for the trading of 

Tuesday and Thursday SPXW 

Expirations that it does for the trading 

of P.M.-settled options on broad-based 

indexes that expire on any Monday, 

Wednesday, or Friday pursuant to the 

Pilot.18 The Exchange states that it will 

include data regarding Tuesday and 

Thursday SPXW Expirations in the 

Annual Report that it submits to the 

Commission at least two months prior to 

the expiration date of the Pilot.19

Additionally, the Exchange represents 

that it will provide certain additional 

market quality data for SPX options 20

and will also provide the Commission 

with any additional data or analyses the 

Commission requests because it deems 

such data or analyses necessary to 

determine whether the Pilot, including 

the proposed Tuesday and Thursday 

SPXW Expirations, is consistent with 

the Act.21 As it does for current Pilot 

program products, the Exchange states it 

will make public on its website all data 

and analyses in connection with SPXW 

options with Tuesday and Thursday 

expirations it submits to the 

Commission under the Pilot.22

III. Discussion and Commission 

Findings 

After careful review, the Commission 

finds that the proposed rule change, as 

modified by Amendment No. 1, is 

consistent with the requirements of the 

Act and the rules and regulations 

thereunder applicable to a national 

securities exchange and, in particular, 

with Section 6(b) of the Act.23 In 

particular, the Commission finds that 

the proposed rule change is consistent 

with Section 6(b)(5) of the Act,24 which 

requires, among other things, that a 

national securities exchange have rules 

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. 

The Commission received a comment 

letter in support of the Exchange’s 

proposal.25 The commenter states that 

the addition of Tuesday and Thursday 

SPXW Expirations would allow 

investors to closely tailor their hedging 

strategies around specific dates 26 and 

potentially reduce hedging costs,27 as 

well as allow investors to spread risk 

across more trading days and account 

for daily changes in the markets.28 The 

commenter also asserts that there is 

demand for the proposed Tuesday and 

Thursday SPXW Expirations, and that 

the proposal ‘‘will enhance the total 

liquidity and risk management 

opportunities that the US options 

market offers, and will further enhance 

the overall health of the US listed 

options market.’’ 29 The commenter 

states that it has not observed any 

negative impact on the market or 

regulatory concerns arising from SPXW 

options.30

As the Commission noted in its orders 

approving the listing and trading of 

P.M.-settled options on the S&P 500 

Index, the Commission has had 

concerns about the potential adverse 

effects and impact of P.M. settlement 

upon market volatility and the operation 

of fair and orderly markets on the 

underlying cash markets at or near the 

close of trading, including for cashsettled derivatives contracts based on a 

broad-based index.31 The potential 

impact today remains unclear, given the 

significant changes in the closing 

procedures of the primary markets in 

recent decades. The Commission is 

mindful of the historical experience 

with the impact of P.M. settlement of 

cash-settled index derivatives on the 

underlying cash markets, but recognizes 

that these risks may be mitigated today 

by the enhanced closing procedures that 

are now in use at the primary equity 

markets. 


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Federal Register / Vol. 87, No. 74 / Monday, April 18, 2022 / Notices 22995 

32See Notice, supra note 3, 87 FR 11103; Pilot 

Approval Order, supra note 5, 75 FR 57540; and 

Amendment No. 1, supra note 4. See also supra 

notes 18 and 20. 

33See Amendment No. 1, supra note 4. 

34 15 U.S.C. 78s(b)(2). 

35 15 U.S.C. 78s(b)(2). 

36 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

The Exchange’s proposal to add 

Tuesday and Thursday SPXW 

Expirations to the existing Pilot would 

offer additional investment options to 

investors and may be useful for their 

investment or hedging objectives while 

providing the Commission with data to 

monitor the effects of Tuesday and 

Thursday SPXW Expirations and the 

impact of P.M. settlement on the 

markets. To assist the Commission in 

assessing any potential impact of 

Tuesday and Thursday SPXW options 

on the options markets as well as the 

underlying cash equities markets, the 

Exchange will be required to submit 

data to the Commission in connection 

with the Pilot.32 Further, including the 

proposed Tuesday and Thursday SPXW 

Expirations in the Pilot, together with 

the data and analysis that the Exchange 

will provide to the Commission, will 

allow Cboe Options and the 

Commission to monitor for and assess 

any potential for adverse market effects 

of allowing Tuesday and Thursday 

SPXW Expirations, including on the 

underlying component stocks. In 

particular, the data collected from the 

Pilot will help inform the Commission’s 

consideration of whether the Pilot, as 

amended to include Tuesday and 

Thursday SPXW Expirations, should be 

modified, discontinued, extended, or 

permanently approved. Furthermore, 

the Exchange’s ongoing analysis of the 

Pilot should help it monitor any 

potential risks from large P.M.-settled 

positions and take appropriate action if 

warranted. 

IV. Solicitation of Comments on 

Amendment No. 1 to the Proposed Rule 

Change 

Interested persons are invited to 

submit written data, views, and 

arguments concerning whether 

Amendment No. 1 is consistent with the 

Act. Comments may be submitted by 

any of the following methods: 

Electronic Comments 

• Use the Commission’s internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

CBOE–2022–005 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–CBOE–2022–005. 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–2022–005, and 

should be submitted on or before May 

9, 2022. 

V. Accelerated Approval of the 

Proposed Rule Change, as Modified by 

Amendment No. 1 

The Commission finds good cause to 

approve the proposed rule change, as 

modified by Amendment No. 1, prior to 

the thirtieth day after the date of 

publication of notice of the filing of 

Amendment No. 1 in the Federal 

Register. In Amendment No. 1, the 

Exchange represents that it will provide 

certain additional data in the Pilot 

Program annual reports regarding SPXW 

options.33 The Exchange states that such 

data will assist in monitoring for any 

adverse market effects or regulatory 

concerns. Amendment No. 1 raises no 

novel regulatory issues and will provide 

additional data that will assist the 

Commission in evaluating the Pilot. 

Accordingly, the Commission finds 

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

of the Act,34 to approve the proposed 

rule change, as modified by Amendment 

No. 1, on an accelerated basis. 

VI. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,35 that the 

proposed rule change (SR–CBOE–2022– 

005), as modified by Amendment No. 1, 

be, and hereby is, approved on an 

accelerated basis. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.36

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–08162 Filed 4–15–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94686; File No. SR–CBOE– 

2022–016] 

Self-Regulatory Organizations; Cboe 

Exchange, Inc.; Notice of Filing and 

Immediate Effectiveness of a Proposed 

Rule Change To Amend the Fees 

Applicable to Various Market Data 

Products 

April 12, 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 April 1, 

2022, Cboe Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘Cboe Options’’) filed 

with the Securities and Exchange 

Commission (the ‘‘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. (‘‘Cboe Options’’ 

or the ‘‘Exchange’’) is filing with the 

Securities and Exchange Commission 

(the ‘‘Commission’’) a proposed rule 

change to amend the fees applicable to 

various market data products. 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 


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