Federal Register / Vol. 87, No. 76 / Wednesday, April 20, 2022 / Notices 23629 

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

2 17 CFR 240.19b–4. 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94723; File No. SR–CBOE– 

2022–015] 

Self-Regulatory Organizations; Cboe 

Exchange, Inc.; Notice of Filing of a 

Proposed Rule Change, as Modified by 

Amendment No. 1, To Amend Rule 10.3 

Regarding Margin Requirements 

April 14, 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 30, 

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. 

On April 13, 2022, the Exchange filed 

Amendment No. 1 to the proposed rule 

change. The Commission is publishing 

this notice to solicit comments on the 

proposed rule change, as modified by 

Amendment No. 1, 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 amend 

Rule 10.3 regarding margin 

requirements. The text of the proposed 

rule change is provided below. 

(additions are italicized; deletions are 

[bracketed]) 

* * * * * 

Rules of Cboe Exchange, Inc. 

* * * * * 

Rule 10.3. Margin Requirements 

(a)–(b) No change. 

(c) Customer Margin Account— 

Exception. The foregoing requirements 

are subject to the following exceptions. 

Nothing in this paragraph (c) shall 

prevent a broker-dealer from requiring 

margin from any account in excess of 

the amounts specified in these 

provisions. 

(1)–(4) No change. 

(5) Initial and Maintenance Margin 

Requirements on Short Options, Stock 

Index Warrants, Currency Index 

Warrants and Currency Warrants. 

(A)–(B) No change. 

(C) Related Securities Positions— 

Listed or OTC Options. Unless 

otherwise specified, margin must be 

deposited and maintained in the 

following amounts for each of the 

following types of positions. 

(i)–(ii) No change. 

(iii) Covered Calls/Covered Puts. [(a)] 

No margin is required for a call (put) 

option contract or warrant carried in a 

short position where there is carried in 

the same account a long (short) position 

in equivalent units of the underlying 

security. 

[(b) No margin is required for a call 

(put) index option contract or warrant 

carried in a short position where there 

is carried in the same account a long 

(short) position in an (1) underlying 

stock basket, (2) index mutual fund, (3) 

IPR, or (4) IPS, that is based on the same 

index underlying the index option or 

warrant and having a market value at 

least equal to the aggregate current 

index value. 

(c)] In order for th[e]is exception[s in 

subparagraphs (a) and (b) above] to 

apply, in computing margin on 

positions in the underlying security[, 

underlying stock basket, index mutual 

fund, IPR or IPS, as applicable], ([1]a) in 

the case of a call, the current market 

value to be used shall not be greater 

than the exercise price, and ([2]b) in the 

case of a put, margin shall be the 

amount required by subparagraph (b)(2) 

of this Rule, plus the amount, if any, by 

which the exercise price exceeds the 

current market value. 

(iv) Exceptions. The following 

paragraphs set forth the minimum 

amount of margin which must be 

maintained in margin accounts of 

customers having positions in 

components underlying options, stock 

index warrants, currency index warrants 

or currency warrant when such 

components are held in conjunction 

with certain positions in the overlying 

option or warrant. In respect of an 

option or warrant on a market index, an 

underlying stock basket is an eligible 

underlying component. The option or 

warrant must be listed or guaranteed by 

the carrying broker dealer. In the case of 

a call option or warrant carried in a 

short position, a related long position in 

the underlying component shall be 

valued at no more than the call option/ 

warrant exercise price for margin equity 

purposes. 

(a) Long Option Offset. When a 

component underlying an option or 

warrant is carried long (short) in [an] the 

same account [in which there is also 

carried] as a long put (call) option or 

warrant specifying equivalent units of 

the underlying component, the 

minimum amount of margin which 

must be maintained on the underlying 

component is 10% of the option/ 

warrant exercise price plus the out-ofthe-money amount not to exceed the 

minimum maintenance required 

pursuant to paragraph (b) of this Rule. 

(b) Conversion. When a call option or 

warrant carried in a short position is 

covered by a long position in equivalent 

units of the underlying component and 

there is [also] carried in the same 

account a long put option or warrant 

specifying equivalent units of the same 

underlying component and having the 

same exercise price and expiration date 

as the short call option or warrant, the 

minimum amount of margin which 

must be maintained for the underlying 

component shall be 10% of the exercise 

price. 

(c) Reverse Conversion. When a put 

option or warrant carried in a short 

position is covered by a short position 

in equivalent units of the underlying 

component and there is [also] carried in 

the same account a long call option or 

warrant specifying equivalent units of 

the same underlying component and 

having the same exercise price and 

expiration date as the short put option 

or warrant, the minimum amount of 

margin which must be maintained for 

the underlying component shall be 10% 

of the exercise price plus the amount by 

which the exercise price of the put 

exceeds the current market value of the 

underlying, if any. 

(d) Collar. When a call option or 

warrant carried in a short position is 

covered by a long position in equivalent 

units of the underlying component and 

there is [also] carried in the same 

account a long put option or warrant 

specifying equivalent units of the same 

underlying component and having a 

lower exercise price than, and same 

expiration date as, the short call option/ 

warrant, the minimum amount of 

margin which must be maintained for 

the underlying component shall be the 

lesser of 10% of the exercise price of the 

put plus the put out-of- the-money 

amount or 25% of the call exercise 

price. 

(e) Protected Option. When an in-themoney index call (put) option contract 

or warrant is carried in a short position 

and there is carried in the same account 

a long (short) position in an underlying 

stock basket, non-leveraged index 

mutual fund or non-leveraged 

exchange-traded fund that is based on 

the same index underlying the index 

option or warrant, the minimum 

amount of margin which must be 

maintained on a short index call option 

is 100% of the amount, if any, by which 

the aggregate current index value 

exceeds the market value of the basket 

or fund; and in the case of a short index 

put option, 100% of the amount, if any, 

by which the aggregate current index 

value is below the market value of the 


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23630 Federal Register / Vol. 87, No. 76 / Wednesday, April 20, 2022 / Notices 

3 In computing margin on such a position in the 

underlying security, (a) in the case of a call, the 

current market value to be used shall not be greater 

than the exercise price and (b) in the case of a put, 

margin will be the amount required by Rule 

10.3(b)(2), plus the amount, if any, by which the 

exercise price of the put exceeds the current market 

value of the underlying. 

4An ‘‘underlying stock basket’’ means a group of 

securities that includes each of the component 

securities of the applicable index and which meets 

the following conditions: (a) The quantity of each 

stock in the basket is proportional to its 

representation in the index, (b) the total market 

value of the basket is equal to the underlying index 

value of the index options or warrants to be 

covered, (c) the securities in the basket cannot be 

used to cover more than the number of index 

options or warrants represented by that value and 

(d) the securities in the basket shall be unavailable 

to support any other option or warrant transaction 

in the account. See Rule 10.3(a)(7). 

5 IPRs are securities that (a) represent an interest 

in a unit investment trust (‘‘UIT’’) which holds the 

securities that comprise an index on which a series 

of IPRs is based; (b) are issued by the UIT in a 

specified aggregate minimum number in return for 

a ‘‘Portfolio Deposit’’ consisting of specified 

numbers of shares of stock plus a cash amount; (c) 

when aggregated in the same specified minimum 

number, may be redeemed from the UIT, which will 

pay to the redeeming holder the stock and cash then 

comprising the Portfolio Deposit; and (d) pay 

holders a periodic cash payment corresponding to 

the regular cash dividends or distributions declared 

and paid with respect to the component securities 

of the stock index on which the IPRs are based, less 

certain expenses and other charges as set forth in 

the UIT prospectus. IPRs are ‘‘UIT interests’’ within 

the meaning of the Rules. See Rule 1.1. A UIT 

Interest is any share, unit, or other interest in or 

relating to a unit investment trust, including any 

component resulting from the subdivision or 

separation of such an interest. 

6 IPSs are securities that (a) are issued by an openend management investment company based on a 

portfolio of stocks or fixed income securities 

designed to provide investment results that 

correspond generally to the price and yield 

performance of a specified foreign or domestic stock 

index or fixed income securities index; (b) are 

issued by such an open-end management 

investment company in a specified aggregate 

minimum number in return for a deposit of 

specified number of shares of stock and/or a cash 

amount, or a specified portfolio of fixed income 

securities and/or a cash amount, with a value equal 

to the next determined net asset value; and (c) when 

aggregated in the same specified minimum number, 

may be redeemed at a holder’s request by such 

open-end management investment company, which 

will pay to the redeeming holder stock and/or cash, 

or a specified portfolio of fixed income securities 

and/or cash with a value equal to the next 

determined net asset value. See Rule 1.1. 

7 IPRs and IPSs are commonly referred to as ETFs. 

8The out-of-the-money amount for a call is any 

excess of the aggregate exercise price of the option 

or warrant over the product of the current (spot or 

cash) index value and the applicable multiplier. 

The out-of-the-money amount for a put is any 

excess of the product of the current (spot or cash) 

index value and the applicable multiplier over the 

aggregate exercise price of the option or warrant. 

9This is the same margin treatment that applies 

to an option on an equity security written against 

the underlying security. See current Rule 

10.3(c)(5)(C)(iii)(a). 10Rule 10.3(b)(2) provides the minimum amount 

of margin that must be maintained in customer 

margin accounts having positions in securities is: 

(1) With respect to long positions, 25% of the 

current market value of all long in the account; plus 

(2) with respect to short positions, (a) $2.50 per 

share or 100% of the current market value, 

whichever is greater, of each security short in the 

account that has a current market value of less than 

$5.00 per share; plus (b) $5.00 per share or 30% of 

the current market value, whichever is greater, of 

each security short in the account that has a current 

market value of $5.00 per share or more. 

basket or fund. If the index call (put) 

option contract or warrant carried short 

is at- or out-of-the-money and there is 

carried in the same account a long 

(short) position in any underlying stock 

basket, non-leveraged index mutual 

fund or non-leveraged ETF that is based 

on the same index underlying the index 

option or warrant, no margin is 

required. 

* * * * * 

The text of the proposed rule change 

is also available on the Exchange’s 

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

AboutCBOE/CBOELegal

RegulatoryHome.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 proposed rule change amends 

Rule 10.3 regarding margin 

requirements. Specifically, the 

Exchange proposes to amend Rule 

10.3(c)(5)(C)(iii)(b) to update the 

provisions that provide margin relief for 

a cash-settled index option written 

against a holding in an exchange-traded 

fund that tracks the same index as the 

index underlying the index option. Rule 

10.3 sets forth margin requirements, and 

certain exceptions to those 

requirements, applicable to security 

positions of Trading Permit Holders’ 

(‘‘TPHs’’) customers. Rule 

10.3(c)(5)(C)(iii) currently requires no 

margin for covered calls and puts. 

Specifically, that rule provides the 

following: 

• No margin is required for a call 

(put) option contract or warrant carried 

in a short position where there is carried 

in the same account a long (short) 

position in equivalent units of the 

underlying security.3

• No margin is required for a call 

(put) index option contract or warrant 

carried in a short position where there 

is carried in the same account a long 

(short) position in an (1) underlying 

stock basket,4 (2) index mutual fund, (3) 

index portfolio receipt (‘‘IPR’’),5 or (4) 

index portfolio share (‘‘IPS’’),6 that is 

based on the same index underlying the 

index option or warrant and having a 

market value at least equal to the 

aggregate current index value. 

• In order for the exceptions in the 

previous bullets to apply, in computing 

margin on positions in the underlying 

security, underlying stock basket, index 

mutual fund, IPR or IPS, as applicable,7

(1) in the case of a call, the current 

market value to be used shall not be 

greater than the exercise price, and (2) 

in the case of a put, margin shall be the 

amount required by subparagraph (b)(2) 

of Rule 10.3, plus the amount, if any, by 

which the exercise price exceeds the 

current market value. 

Rule 10.3(c)(5) generally requires 

TPHs to obtain from a customer, and 

maintain, a margin deposit for short 

cash-settled index options in an amount 

equal to 100% of the current market 

value of the option plus 15% (if 

overlying a broad-based index) or 20% 

(if overlying a narrow-based index) of 

the amount equal to the index value 

multiplied by the index multiplier 

minus the amount, if any, by which the 

option is out-of-the-money.8 The 

minimum margin required for such an 

option is 100% of the option current 

market value plus 10% of the index 

value multiplied by the index multiplier 

for a call or 10% of the exercise price 

multiplied by the index multiplier for a 

put. 

Pursuant to current Rule 

10.3(c)(5)(C)(iii)(b) and (c), however, a 

TPH needs to require no margin deposit 

for a short cash-settled index call option 

if the TPH is holding in the same 

account a long position in an ETF that 

tracks the same index underlying the 

index option 9 if the current market 

value of the ETF for margin purposes (1) 

is at least equal to the aggregate current 

index value and (2) is not greater than 

the exercise price. If an account is short 

a cash-settled index put option and is 

holding in the same account a short 

position in the ETF, a TPH needs to 

require a margin deposit for the amount 

required by Rule 10.3(b)(2) 10 plus the 


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Federal Register / Vol. 87, No. 76 / Wednesday, April 20, 2022 / Notices 23631 

11Proposed paragraph (e) limits the margin relief 

to index options written against an underlying stock 

basket, non-leveraged index mutual fund or nonleveraged exchange-traded fund (compared to 

underlying stock basket, index mutual fund, IPR, or 

IPS in current subparagraph (iii)(b)). The Exchange 

proposes to add the non-leveraged limitation to 

clarify that this exception is not intended to and 

does not apply to leveraged instruments. 

Additionally, the Exchange excludes IPRs and IPSs 

from being eligible for the margin relief in 

paragraph (e), as the Exchange understands that the 

use and availability of these products has 

diminished and has not observed the writing of 

index options against them. 

12The proposed rule change identifies the 

strategy described in proposed subparagraph (e) as 

a ‘‘protected option,’’ which is a strategy of writing 

an index option against a holding in an ETF based 

on the same index as the index option, to 

differentiate it from a ‘‘covered call,’’ which is a 

strategy of writing an option against a position in 

an underlying security (the margin treatment for 

which is described in current subparagraph (iii)(a)). 

13The Exchange understands that FINRA intends 

to submit a proposed rule change to adopt the same 

provision in its rules following Commission 

approval of this proposed rule change. 14Pursuant to the current Rules, if the ETF market 

value is not at least equal to the aggregate index 

value, and additional shares are not purchased or 

deposited, then the required margin is equal to the 

amount of the option current market value plus 

15% (if a broad-based index) or 20% (if a narrowbased index) of the aggregate index value minus any 

out-of-the-money amount, subject to a minimum 

requirement. 

15These terms are related only to current 

subparagraph (b). 

amount, if any, by which the exercise 

price of the option exceeds the market 

value of the ETF if the market value of 

the ETF is at least equal to the aggregate 

current index value. 

The Exchange proposes to amend this 

exception to margin requirements 

applicable to short option positions or 

warrants on indexes that are offset by 

positions in an underlying stock basket, 

non-leveraged index mutual fund, or 

non-leveraged exchange-traded fund 

(collectively referred to as ‘‘ETFs’’) that 

is based on the same index option, as 

well as move it within Rule 10.3 to Rule 

10.3(c)(5)(C)(iv).11 Specifically, the 

proposed rule change adopts the 

following as Rule 10.3(c)(5)(C)(iv)(e): 12

When an in-the-money index call 

(put) option contract or warrant is 

carried in a short position and there is 

carried in the same account a long 

(short) position in an underlying stock 

basket, non-leveraged index mutual 

fund or non-leveraged exchange-traded 

fund that is based on the same index 

underlying the index option or warrant, 

the minimum amount of margin which 

must be maintained on a short index 

call option is 100% of the amount, if 

any, by which the aggregate current 

index value exceeds the market value of 

the basket or fund; and in the case of a 

short index put option, 100% of the 

amount, if any, by which the aggregate 

current index value is below the market 

value of the basket or fund. If the index 

call (put) option contract or warrant 

carried short is at- or out-of-the-money 

and there is carried in the same account 

a long (short) position in any underlying 

stock basket, non-leveraged index 

mutual fund or non-leveraged ETF that 

is based on the same index underlying 

the index option or warrant, no margin 

is required.13

The proposed rule change amends the 

form of margin a TPH is required to 

hold in an account for a short in-themoney index call (put) option if there is 

a long position in an ETF based on the 

same index to be the amount by which 

the value of an ETF is below (above) the 

aggregate index value. Rather than 

necessitating the purchase or deposit of 

additional ETF shares to address a 

deficiency in the value of the ETF 

compared to the aggregate index value 

(regardless of the amount of the 

deficiency), as required by current rules, 

the proposed rule change will enable 

excess maintenance margin equity in a 

margin account to support the 

requirement. If excess maintenance 

margin is insufficient or nonexistent, 

the TPH would need to require a deposit 

of margin which can be in any form 

(e.g., cash and/or marginable securities) 

from the account owner in an amount 

equal to any deficit.14 Additionally, the 

proposed rule change will require no 

margin when an option is at- or out-ofthe-money, regardless of whether the 

ETF market value is at least equal to the 

aggregate index value. 

The Exchange believes the proposed 

rule change is more reasonable and 

practical than the current requirements, 

as clearing firms will no longer need to 

constantly monitor the value of an ETF 

and compare it to the aggregate current 

index value and see to it that an account 

owner deposits or purchases additional 

ETF shares to address any deficiencies 

in order to satisfy the margin exception 

in the rule. As a result, the Exchange 

believes the proposed rule may reduce 

the operational cost of the protected 

option strategy, which may make this 

strategy more beneficial to customers. 

While the structure of ETFs and market 

forces may cause an ETF’s price to differ 

slightly in value from the index value, 

the Exchange has observed that these 

values are highly correlated and do not 

deviate significantly. Therefore, the 

Exchange believes the proposed margin 

requirement for protected in-the-money 

index options is an effective safeguard 

against the risk of a short option 

position. 

The proposed rule change also 

eliminates the need for margin for an atthe-money or out-of-the-money 

protected index option, regardless of the 

value of the ETF. Currently, if the 

market value of an ETF was less (if a 

call) or more (if a put) than the current 

aggregate index value, the ETF position 

must be supplemented to address the 

deficiency. Due to the high correlation 

between the values of an ETF and an 

index, as noted above, the amount of 

margin necessary to address such 

deficiency would be minimal. In 

addition, given that options are unlikely 

to be assigned/exercised when they are 

at- or out-of-the-money, the need for 

such margin is also minimal. Therefore, 

the Exchange believes the cost to TPHs 

to monitor the need for margin for 

options that are unlikely to be assigned/ 

exercised is not justified and 

unnecessary given the minimal margin 

amounts that would ultimately be 

necessary to cover the likely small 

deficiencies between the values of an 

ETF and index. 

Additionally, the proposed rule 

change eliminates the requirement to 

mark the price of a long ETF with an 

index call option written against it at 

the lower of the ETF’s market value or 

the index option strike price. With 

covered call options, this requirement is 

intended to cap favorable moves in the 

price of the underlying security at the 

strike price because moves above the 

strike price will not be realized. 

Currently, the Exchange applies this 

same requirement to protected options 

written against ETF holdings to 

maintain equivalency with the 

treatment of covered options. However, 

unlike stocks, favorable moves in the 

price of an underlying ETF may be 

realized because, if a short index option 

is assigned, the ETF shares are not sold 

(in the case of a long ETF/short call) or 

purchased (in the case of a short ETF/ 

short put). Thus, favorable moves in the 

ETF price are not capped at the strike 

price. As a result, the Exchange believes 

it is appropriate to no longer apply this 

requirement to protected options 

written against ETF holdings. 

In connection with this change, the 

proposed rule change deletes Rule 

10.3(c)(5)(C)(iii)(b), as well as the crossreference to such paragraph and the 

references to underlying stock basket, 

index mutual fund, IPR or IPS, as 

applicable,15 in current subparagraph 

(c), as those terms relate specifically to 

current subparagraph (b). Because this 

would leave only one section in Rule 

10.3(c)(5)(C)(iii), the proposed rule 

change deletes subparagraph lettering 

and combines current subparagraph 

(iii)(a) and current subparagraph (iii)(c) 

into a single provision as subparagraph 


khammond on DSKJM1Z7X2PROD with NOTICES
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16 15 U.S.C. 78f(b). 

17 15 U.S.C. 78f(b)(5). 

18 Id. 

19 15 U.S.C. 78f(c)(3). 

(iii) and makes corresponding 

conforming changes. 

The proposed rule change also makes 

clarifying, nonsubstantive changes in 

each subparagraph of Rule 

10.3(c)(5)(C)(iv) to conform language in 

those subparagraphs to language used 

throughout Rule 10.3. Specifically, the 

proposed rule change amends the 

provision of each subparagraph to state 

that the minimum amount of required 

margin in the circumstances described 

in each subparagraph applies when the 

applicable long position is carried ‘‘in 

the same account as’’ the applicable 

short position, rather than ‘‘also 

carried.’’ This language is consistent 

with the language in, for example, 

current Rule 10.3(c)(5)(C)(iii), as margin 

requirements are determined generally 

based on positions held in the same 

account. 

2. Statutory Basis 

The Exchange believes the proposed 

rule change is consistent with the 

Securities Exchange Act of 1934 (the 

‘‘Act’’) and the rules and regulations 

thereunder applicable to the Exchange 

and, in particular, the requirements of 

Section 6(b) of the Act.16 Specifically, 

the Exchange believes the proposed rule 

change is consistent with the Section 

6(b)(5) 17 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. 

Additionally, the Exchange believes the 

proposed rule change is consistent with 

the Section 6(b)(5) 18 requirement that 

the rules of an exchange not be designed 

to permit unfair discrimination between 

customers, issuers, brokers, or dealers. 

The Exchange further believes the 

proposed rule change furthers the 

objectives of Section 6(c)(3) of the Act,19

which authorizes the Exchange to, 

among other things, prescribe standards 

of financial responsibility or operational 

capability and standards of training, 

experience and competence for its 

Trading Permit Holders and person 

associated with Trading Permit Holders. 

In particular, the proposed rule 

change amends a specific margin 

treatment related to short index options 

written against ETFs in the same 

manner. Given the difference described 

above between short stock options 

written against the underlying stock and 

short index options written against 

ETFs, the Exchange believes it is 

reasonable to apply different margin 

treatments to these different strategies. 

While the economic outcomes of 

covered options and protected options 

are similar, as described above, the 

Exchange believes it promotes just and 

equitable principles of trade to apply 

margin slightly differently to protected 

options than covered options given the 

possibility of realizing gains in ETFs 

above the exercise prices that is not a 

possibility for covered options. While 

the proposed rule change may result in 

lower margin requirements for protected 

option strategies, the Exchange believes 

the proposed margin amounts are more 

reasonable than the current 

requirements, as they are more tailored 

to these strategies and reflect the 

potential deficiencies between the value 

of the ETF and the value of the index. 

As a result, the Exchange believes the 

proposed margin required will still be 

sufficient for protected option strategies. 

Given the high correlation between 

these values, the Exchange believes it is 

appropriate to require margin in an 

amount necessary to only cover this 

deficiency, as ultimately that is the risk 

against which the margin requirement is 

protecting. Additionally, the Exchange 

believes the burdens associated with the 

current margin requirements for short 

at- and out-of-the-money index options 

outweigh the benefits of the likely 

minimal margin that is required for 

options that are unlikely to be assigned/ 

exercised. Additionally, as discussed 

above, the proposed rule change may 

reduce the operational burden of 

protected option strategies, which the 

Exchange believes may make the 

strategies more beneficial for customers 

and thus remove impediments to and 

perfect the mechanism of a free and 

open market, as well as reduce the 

margin required for such strategies, 

which will potentially free up capital 

that can be put back into the market, 

which ultimately benefits investors. 

The proposed clarifying, 

nonsubstantive changes provide for 

more consistent language in similar rule 

provisions, which will ultimately 

benefit investors. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. The 

Exchange does not believe that the 

proposed rule change will impose any 

burden on intramarket competition that 

is not necessary or appropriate in 

furtherance of the purposes of the Act, 

as it will apply the same margin 

treatment to all TPHs. The Exchange 

does not believe that the proposed rule 

change will impose any burden on 

intermarket competition, as the 

Exchange expects FINRA to adopt a 

similar rule change, and several other 

options exchanges incorporate by 

reference the Exchange’s margin rules 

into their rules (and thus apply them to 

their members). Additionally, as 

discussed above, the proposed rule 

change may reduce the operational 

burden of protected option strategies, as 

well as reduce the margin required for 

such strategies, which may make the 

strategies more beneficial for customers. 

The proposed rule change is not 

intended as a competitive filing, but 

rather to modify margin requirements 

for a certain option strategy to be more 

reasonable and practical. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange neither solicited nor 

received comments on the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 45 days of the date of 

publication of this notice in the Federal 

Register or within such longer period 

up to 90 days (i) as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 

reasons for so finding or (ii) as to which 

the Exchange consents, the Commission 

will: 

A. By order approve or disapprove 

such proposed rule change, or 

B. institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 


khammond on DSKJM1Z7X2PROD with NOTICES
Federal Register / Vol. 87, No. 76 / Wednesday, April 20, 2022 / Notices 23633 

20 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3The MIAX Emerald Express Interface (‘‘MEI’’) is 

a connection to the MIAX Emerald System that 

enables Market Makers to submit simple and 

complex electronic quotes to MIAX Emerald. See 

the Definitions Section of the Fee Schedule. 

4The term ‘‘Market Makers’’ refers to Lead Market 

Makers (‘‘LMMs’’), Primary Lead Market Makers 

(‘‘PLMMs’’), and Registered Market Makers 

(‘‘RMMs’’) collectively. See the Definitions Section 

of the Fee Schedule and Exchange Rule 100. 

5The term ‘‘System’’ means the automated 

trading system used by the Exchange for the trading 

of securities. See the Definitions Section of the Fee 

Schedule and Exchange Rule 100. 

6See Securities Exchange Act Release No. 92662 

(August 13, 2021), 86 FR 46726 (August 19, 2021) 

(SR–EMERALD–2021–25). 

7 Id. 

8See Letter from Richard J. McDonald, 

Susquehanna International Group, LLC (‘‘SIG’’), to 

Vanessa Countryman, Secretary, Commission, dated 

September 7, 2021 (‘‘SIG Letter 1’’). 

9See SR–EMERALD–2021–30. 

10See Securities Exchange Act Release No. 93188 

(September 29, 2021), 86 FR 55052 (October 5, 

2021) (SR–EMERALD–2021–31). 

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–2022–015 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–2022–015. 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–2022–015 and 

should be submitted on or before May 

11, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.20

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–08388 Filed 4–19–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94718; File No. SR– 

EMERALD–2022–15] 

Self-Regulatory Organizations; MIAX 

Emerald, LLC; Notice of Filing of a 

Proposed Rule Change To Amend Its 

Fee Schedule To Adopt a TieredPricing Structure for Additional 

Limited Service MIAX Emerald Express 

Interface Ports; Suspension of and 

Order Instituting Proceedings To 

Determine Whether To Approve or 

Disapprove the Proposed Rule Change 

April 14, 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 April 1, 

2022, MIAX Emerald, LLC (‘‘MIAX 

Emerald’’ 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 and is, pursuant 

to Section 19(b)(3)(C) of the Act, hereby: 

(i) Temporarily suspending the 

proposed rule change; and (ii) 

instituting proceedings to determine 

whether to approve or disapprove the 

proposed rule change. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange is filing a proposal to 

amend the MIAX Emerald Options Fee 

Schedule (the ‘‘Fee Schedule’’) to 

amend certain port fees. 

The text of the proposed rule change 

is available on the Exchange’s website at 

http://www.miaxoptions.com/rulefilings/emerald, 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 [sic] 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 adopt a tiered-pricing 

structure for additional Limited Service 

MIAX Emerald Express Interface 

(‘‘MEI’’) Ports 3 available to Market 

Makers.4 The Exchange believes a 

tiered-pricing structure will encourage 

Market Makers to be more efficient and 

economical when determining how to 

connect to the Exchange. This should 

also enable the Exchange to better 

monitor and provide access to the 

Exchange’s network to ensure sufficient 

capacity and headroom in the System.5

The Exchange initially filed the 

proposed fee changes on August 2, 

2021, with the changes being 

immediately effective (‘‘First Proposed 

Rule Change’’).6 The First Proposed 

Rule Change was published for 

comment in the Federal Register on 

August 19, 2021.7 The Commission 

received one comment letter on the First 

Proposed Rule Change.8 The Exchange 

withdrew the First Proposed Rule 

Change on September 27, 2021 and 

resubmitted its proposal (‘‘Second 

Proposed Rule Change’’).9 On 

September 28, 2021, the Exchange 

withdrew the Second Proposed Rule 

Change and re-submitted the proposal 

on September 28, 2021, with the 

proposed fee changes being immediately 

effective (‘‘Third Proposed Rule 

Change’’).10 The Third Proposed Rule 

Change was published for comment in 

the Federal Register on October 5, 


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