Document ID: SEC-2023-0469-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: Cboe Exchange, Inc.
Posted Date: 2023-05-01T04:00Z

[Federal Register Volume 88, Number 83 (Monday, May 1, 2023)]
[Notices]
[Pages 26621-26629]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2023-09079]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-97371; File No. SR-CBOE-2023-020]

Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of 
Filing of a Proposed Rule Change To Make the Nonstandard Expirations 
Pilot Program Permanent

April 25, 2023.
    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 11, 2023, Cboe Exchange, Inc. (``Exchange'' or ``Cboe 
Options'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I, II, 
and III below, which Items have been prepared by the Exchange. The 
Commission is publishing this notice to solicit comments on the 
proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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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 make permanent the operation of its program that allows the Exchange 
to list broad-based index options with nonstandard expirations 
(``Nonstandard Expirations Pilot Program''). The text of the proposed 
rule change is provided below.

(additions are italicized; deletions are [bracketed])
* * * * *

Rules of Cboe Exchange, Inc.

* * * * *

Rule 4.13. Series of Index Options

    (a)-(d) No change.
(e) Nonstandard Expirations [Pilot] Program.
    (1)-(2) No change.
    (3) [Duration of Nonstandard Expirations Pilot Program. The 
Nonstandard Expirations Pilot Program shall be through May 8, 2023.
    (4)] Weekly Expirations and EOM Trading Hours on the Last Trading 
Day. On the last trading day, Regular Trading Hours for expiring Weekly 
Expirations and EOMs are from 9:30 a.m. and 4:00 p.m.
(f) No change.

[[Page 26622]]

Interpretations and Policies

    .01 The procedures for adding and deleting strike prices for index 
options are provided in Rule 4.5 and Interpretations and Policies 
related thereto, as otherwise generally provided by Rule 4.13, and 
include the following:
    (a) No change.
    (b) Notwithstanding the above paragraph, the interval between 
strike prices may be no less than $0.50 for options based on one-one 
hundredth of the value of the DJIA, including for series listed under 
either the Short Term Options Series Program in Rule 4.13(a)(2)(A) or 
the Nonstandard Expirations [Pilot] Program in Rule 4.13(e).
    (c)-(h) No change.
    (i) Notwithstanding Interpretation and Policies .01(a), .01(d) and 
.04 to Rule 4.13, the exercise prices for new and additional series of 
Mini-RUT options shall be listed subject to the following:
    (1)-(2) No change.
    (3) The lowest strike price interval that may be listed for 
standard Mini-RUT options, including LEAPS, is $1, and the lowest 
strike price interval that may be listed for series of Mini-RUT listed 
under the Nonstandard Expirations [Pilot] Program in Rule 4.13(e) and 
for QIX Mini-RUT options is $0.50.
* * * * *
    .10 Notwithstanding Interpretations and Policies .01(a), .01(d) and 
.04 to Rule 4.13, the exercise prices for new and additional series of 
Mini-SPX options shall be listed subject to the following:
    (a)-(b) No change.
    (c) The lowest strike price interval that may be listed for 
standard Mini-SPX options is $1, including for LEAPS, and the lowest 
strike price interval that may be listed for series of Mini-SPX listed 
under either the Short Term Option Series Program in Rule 4.13(a)(2)(A) 
or the Nonstandard Expirations [Pilot] Program in Rule 4.13(e) is 
$0.50.
* * * * *

Rule 5.4. Minimum Increments for Bids and Offers

    (a) Simple Orders for Equity and Index Options. The minimum 
increments for bids and offers on simple orders for equity and index 
options are as follows:
* * * * *

------------------------------------------------------------------------
            Class                Increment       Series trading price
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                              * * * * * * *
Series of VIX options (if             $0.01.  Lower than $3.00.
 the Exchange does not list             0.05  $3.00 and higher.
 VIX on a group basis
 pursuant to Rule 4.13) and
 series of VIX Options not
 listed under the
 Nonstandard Expirations
 [Pilot] Program (if the
 Exchange lists VIX on a
 group basis pursuant to
 Rule 4.13).
Series of VIX Options listed            0.01  All prices.
 under the Nonstandard
 Expirations [Pilot] Program
 (if the Exchange lists VIX
 on a group basis pursuant
 to Rule 4.13).
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* * * * *
    The text of the proposed rule change is also available on the 
Exchange's website (http://www.cboe.com/AboutCBOE/CBOELegalRegulatoryHome.aspx), at the Exchange's Office of the 
Secretary, and at the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The Exchange has prepared summaries, set forth in 
sections A, B, and C below, of the most significant aspects of such 
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to make permanent its Nonstandard Expirations 
Pilot Program. Specifically, the Exchanges proposes to be permitted to 
list P.M.-settled options on broad-based indexes that expire (1) on any 
Monday, Wednesday, or Friday (other than the third Friday-of-the-month 
or days that coincide with an end-of-month (``EOM'') expiration) and, 
with respect to options on the S&P 500 Index (``SPX options'') and the 
Mini-S&P 500 Index (``XSP options''), on any Tuesday or Thursday (other 
than days that coincide with an EOM expiration) (``Weekly 
Expirations'') and (2) on the last day of the trading month (``EOM 
Expirations'').\3\ The Securities and Exchange Commission (the 
``Commission'') approved a rule change that established a pilot program 
under which the Exchange is permitted to list P.M.-settled options on 
broad-based indexes to expire on (a) any Friday of the month, other 
than the third Friday-of-the-month, and (b) the last trading day of the 
month.\4\ On January 14, 2016, the Commission approved a Cboe Options 
proposal to expand the pilot program to allow P.M.-settled options on 
broad-based indexes to expire on any Wednesday of month, other than 
those that coincide with an EOM.\5\ On August 10, 2016, the Commission 
approved a Cboe Options proposal to expand the pilot program to allow 
P.M.-settled options on broad-based indexes to expire on any Monday of 
month, other than those that coincide with an EOM.\6\ On April 12, 
2022, the Commission approved a Cboe Options proposal to expand the 
pilot program to allow P.M.-settled SPX options to also expire on 
Tuesday or Thursday.\7\ On September 15, 2022, the Commission approved 
a Cboe Options proposal to expand the pilot program to allow P.M.-
settled XSP options to similarly expire on Tuesday or Thursday.\8\ 
Under the terms of the Nonstandard Expirations Pilot Program, Weekly 
Expirations and EOMs are permitted on any broad-based index that is 
eligible for regular options trading. Weekly Expirations and EOMs are 
cash-settled and have European-style

[[Page 26623]]

exercise. The proposal became effective on a pilot basis for a period 
of fourteen months that commenced on the next full month after approval 
was received to establish the Program \9\ and was subsequently 
extended.\10\ Pursuant to Rule 4.13(e)(3), the Program is scheduled to 
expire on May 8, 2023. The Exchange hereby requests that the Commission 
approve the Nonstandard Expirations Pilot Program on a permanent basis.
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    \3\ In addition to proposing to delete the language in Rule 
4.13(e)(3) regarding the expiration date of the pilot program (and 
renumbering subparagraph (4) to be subparagraph (3)), the Exchange 
proposes to delete the word ``pilot'' from the heading of Rule 
4.13(e)(3) and make corresponding changes to Rules 4.13, 
Interpretations and Policies .01(b) and (i)(3), .10(c), and 5.4(a).
    \4\ See Securities Exchange Act Release 62911 (September 14, 
2010), 75 FR 57539 (September 21, 2010) (order approving SR-CBOE-
2009-075).
    \5\ See Securities Exchange Act Release 76909 (January 14, 
2016), 81 FR 3512 (January 21, 2016) (order approving SR-CBOE-2015-
106).
    \6\ See Securities Exchange Act Release 78531 (August 10, 2016), 
81 FR 54643 (August 16, 2016) (order approving SR-CBOE-2016-046).
    \7\ See Securities Exchange Act Release 94682 (April 12, 2022) 
(order approving SR-CBOE-2022-005).
    \8\ See Securities Exchange Act Release 95795 (September 21, 
2022) (order approving SR-CBOE-2022-039).
    \9\ See supra note 4.
    \10\ See Securities Exchange Act Release 65741 (November 14, 
2011), 76 FR 72016 (November 21, 2011) (immediately effective rule 
change extending the Program through February 14, 2013); see also 
Securities Exchange Act Release 68933 (February 14, 2013), 78 FR 
12374 (February 22, 2013) (immediately effective rule change 
extending the Program through April 14, 2014); 71836 (April 1, 
2014), 79 FR 19139 (April 7, 2014) (immediately effective rule 
change extending the Program through November 3, 2014); 73422 
(October 24, 2014), 79 FR 64640 (October 30, 2014) (immediately 
effective rule change extending the Program through May 3, 2016); 
76909 (January 14, 2016), 81 FR 3512 (January 21, 2016) (extending 
the Program through May 3, 2017); 80387 (April 6, 2017), 82 FR 17706 
(April 12, 2017) (extending the Program through May 3, 2018); 83165 
(May 3, 2018), 83 FR 21316 (May 9, 2018) (SR-CBOE-2018-038) 
(extending the Program through November 5, 2018); 84534 (November 5, 
2019), 83 FR 56119 (November 9, 2018) (SR-CBOE-2018-070) (extending 
the Program through May 6, 2019); 85650 (April 15, 2019), 84 FR 
16552 (April 19, 2019) (SR-CBOE-2019-022) (extending the Program 
through November 4, 2019); 87462 (November 5, 2019), 84 FR 61108 
(November 12, 2019) (SR-CBOE-2019-104) (extending the Program 
through May 4, 2020); 88673 (April 16, 2020), 85 FR 22507 (April 22, 
2020) (SR-CBOE-2020-035) (extending the Program through November 2, 
2020); 90262 (October 23, 2020) 85 FR 68616 (October 29, 2020) (SR-
CBOE-2020-101); 91697 (April 28, 2021), 86 FR 23775 (May 4, 2021) 
(SR-CBOE-2021-026) (extending the Program through November 1, 2021); 
93459 (October 28, 2021), 86 FR 60663 (November 3, 2021) (SR-CBOE-
2021-063) (extending the Program through May 2, 2022); and 94800 
(April 27, 2022) 87 FR 26248 (May 3, 2022) (SR-CBOE-2022-021 
(extending the Program through November 7, 2022).
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    By way of background, when cash-settled \11\ index options were 
first introduced in the 1980s, settlement was based on the closing 
value of the underlying index on the option's expiration date. The 
Commission later became concerned about the impact of P.M.-settled, 
cash-settled index options on the markets for the underlying stocks at 
the close on expiration Fridays. Specifically, certain episodes of 
price reversals around the close on quarterly expiration dates 
attracted the attention of regulators to the possibility that the 
simultaneous expiration of index futures, futures options, and options 
might be inducing abnormal volatility in the index value around the 
close.\12\ Academic research at the time provided at least some 
evidence suggesting that futures and options expirations contributed to 
excess volatility and reversals around the close on those days.\13\ In 
light of the concerns with P.M. settlement and to help ameliorate the 
price effects associated with expirations of P.M.-settled, cash-settled 
index products, in 1987, the Commodity Futures Trading Commission 
(``CFTC'') approved a rule change by the Chicago Mercantile Exchange 
(``CME'') to provide for A.M. settlement \14\ for index futures, 
including futures on the S&P 500.\15\ The Commission subsequently 
approved a rule change by Cboe Options to list and trade A.M.-settled 
SPX options.\16\ In 1992, the Commission approved Cboe Options' 
proposal to transition all of its European-style cash-settled options 
on the S&P 500 Index to A.M. settlement; \17\ however, in 1993, the 
Commission approved a rule allowing Cboe Options to list P.M.-settled 
options on certain broad-based indices, including the S&P 500, expiring 
at the end of each calendar quarter (``Quarterly Index Expirations'') 
(since adopted as permanent).\18\ Starting in 2006, the Commission 
approved numerous rule changes, on a pilot basis, permitting the Cboe 
Options to introduce other index options, including SPX options, with 
P.M.-settlement. These include P.M.-settled index options expiring 
weekly (other than the third Friday) and at the end of each month 
(``EOM''),\19\ SPXPM, as well as P.M.-settled Mini-SPX Index (``XSP'') 
options and Mini-Russell 2000 Index (``MRUT'') options expiring on the 
third Friday.\20\
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    \11\ The seller of a ``cash-settled'' index option pays out the 
cash value of the applicable index on expiration or exercise. A 
``physically settled'' option, like equity and ETF options, involves 
the transfer of the underlying asset rather than cash. See 
Characteristics and Risks of Standardized Options, available at: 
https://www.theocc.com/Company-Information/Documents-and-Archives/Options-Disclosure-Document.
    \12\ The close of trading on the quarterly expiration Friday 
(i.e., the third Friday of March, June, September and December), 
when options, index futures, and options on index futures all expire 
simultaneously, became known as the ``triple witching hour.''
    \13\ See Securities and Exchange Commission, Division of 
Economic Risk and Analysis, Memorandum, Cornerstone Analysis of PM 
Cash-Settled Index Option Pilots (February 2, 2021) (``DERA Staff PM 
Pilot Memo'') at 5, available at: https://www.sec.gov/files/Analysis_of_PM_Cash_Settled_Index_Option_Pilots.pdf.
    \14\ The exercise settlement value for an A.M.-settled index 
option is determined by reference to the reported level of the index 
as derived from the opening prices of the component securities on 
the business day before expiration.
    \15\ See Securities Exchange Act Release No. 24367 (April 17, 
1987), 52 FR 13890 (April 27, 1987) (SR-CBOE-87-11) (noting that CME 
moved S&P 500 futures contract's settlement value to opening prices 
on the delivery date).
    \16\ See id.
    \17\ See Securities Exchange Act Release No. 30944 (July 21, 
1992), 57 FR 33376 (July 28, 1992) (SR-CBOE-92-09). Thereafter, the 
Commission approved proposals by the options markets to transfer 
most of their cash-settled index products to A.M. settlement.
    \18\ See Securities Exchange Act Release No. 31800 (February 1, 
1993), 58 FR 7274 (February 5, 1993) (SR-CBOE-92-13); and see Rule 
4.13(a)(2)(B); see also Securities Exchange Act Release Nos. 54123 
(July 11, 2006), 71 FR 40558 (July 17, 2006) (SR-CBOE-2006-65); and 
60164 (June 23, 2009), 74 FR 31333 (June 30, 2009) (SR-CBOE-2009-
029).
    \19\ See Securities Exchange Act Release Nos. 62911 (September 
14, 2010), 75 FR 57539 (September 21, 2010) (SR-CBOE-2009-075); 
76529 (November 30, 2015), 80 FR 75695 (December 3, 2015) (SR-CBOE-
2015-106); 78132 (June 22, 2016), 81 FR 42018 (June 28, 2016) (SR-
CBOE-2016-046); and 78531 (August 10, 2016), 81 FR 54643 (August 16, 
2016) (SR-CBOE-2016-046).
    \20\ See Securities Exchange Act Release Nos. 70087 (July 31, 
2013), 78 FR 47809 (August 6, 2013) (SR-CBOE-2013-055); and 91067 
(February 5, 2021) 86 FR 9108 (February 11, 2021) (SR-CBOE-2020-
116).
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    As stated above, since its inception in 2010, the Exchange has 
continuously extended the Nonstandard Expirations Pilot Program period 
and, during the course of the Nonstandard Expirations Pilot Program and 
in support of the extensions of the Nonstandard Expirations Pilot 
Program, the Exchange has submitted reports to the Commission regarding 
the Pilot Program that detail the Exchange's experience with the Pilot 
Program, pursuant to the Nonstandard Expirations Pilot Program Approval 
Order.\21\ Specifically, the Exchange has submitted annual Pilot 
Program reports to the Commission that contain an analysis of volume, 
open interest, and trading patterns. In addition, for series that 
exceed certain minimum open interest parameters, the annual report 
would provide analysis of index price volatility and, if needed, share 
trading activity. The Exchange has also submitted periodic interim 
reports that contain some, but not all, of the information contained in 
the annual reports (together with the periodic interim reports, the 
``pilot reports'').\22\
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    \21\ See supra note 4.
    \22\ In providing the pilot reports to the Commission, the 
Exchange previously requested confidential treatment of the pilot 
reports under the Freedom of Information Act (``FOIA''). See 5 
U.S.C. 552.
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    The pilot reports contained the following volume and open interest 
data:

    (1) monthly volume aggregated for all Weekly and EOM trades;
    (2) volume in Weekly and EOM series aggregated by expiration 
date;
    (3) month-end open interest aggregated for all Weekly and EOM 
series;
    (4) month-end open interest for EOM series aggregated by 
expiration date and week-ending open interest for Weekly series 
aggregated by expiration date;
    (5) ratio of monthly aggregate volume in Weekly and EOM series 
to total monthly class volume; and

[[Page 26624]]

    (6) ratio of month-end open interest in EOM series to total 
month-end class open interest and ratio of week-ending open interest 
in EOW series to total week-ending open interest.

    The annual reports also contained the information noted in Items 
(1) through (6) above for Expiration Friday, A.M.-settled series, if 
applicable, for the period covered in the pilot report as well as for 
the six-month period prior to the initiation of the pilot. Upon request 
by the Commission, the Exchange provided data files containing: (1) 
Weekly and EOM option volume data aggregated by series, and (2) Weekly 
week-ending open interest for expiring series and EOM month-end open 
interest for expiring series. In the annual reports, the Exchange also 
provided a monthly analysis of Weekly and EOM trading patterns by 
undertaking a time series analysis of open interest in Weekly and EOM 
series aggregated by expiration date compared to open interest in near-
term standard Expiration Friday A.M.-settled series in order to 
determine whether users were shifting positions from standard series to 
Weekly and Monthly series.
    Finally, for series that exceed certain minimum parameters,\23\ the 
annual reports contained the following analysis related to index price 
changes and underlying share trading volume at the close on Expiration 
Fridays:
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    \23\ The Exchange and the Commission determined the minimum open 
interest parameters, control sample, time intervals, method for 
randomly selecting the component securities, and sample periods.

    (1) a comparison of index price changes at the close of trading 
on a given expiration date with comparable price changes from a 
control sample. The data includes a calculation of percentage price 
changes for various time intervals and compare that information to 
the respective control sample. Raw percentage price change data as 
well as percentage price change data normalized for prevailing 
market volatility, as measured by the Cboe Volatility Index (VIX), 
is provided; and
    (2) a calculation of share volume for a sample set of the 
component securities representing an upper limit on share trading 
that could be attributable to expiring in-the-money Weekly and EOM 
expirations. The data includes a comparison of the calculated share 
volume for securities in the sample set to the average daily trading 
volumes of those securities over a sample period.

    Also, during the course of the Nonstandard Expirations Pilot 
Program, the Exchange provided the Commission with any additional data 
or analyses the Commission requested if it deemed such data or analyses 
necessary to determine whether the Nonstandard Expirations Pilot 
Program was consistent with the Exchange Act. The Exchange has made 
public on its website all data and analyses previously submitted to the 
Commission under the Nonstandard Expirations Pilot Program,\24\ and 
will continue to make public any data and analyses it submits to the 
Commission while the Nonstandard Expirations Pilot Program is still in 
effect.
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    \24\ Available at https://www.cboe.com/aboutcboe/legal-regulatory/national-market-system-plans/pm-settlement-spxpm-data.
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    The Exchange has concluded that the Nonstandard Expirations Pilot 
Program does not negatively impact market quality or raise any unique 
or prohibitive regulatory concerns. The Exchange has not identified any 
evidence from the pilot data indicating that the trading of Weekly and 
EOM options has any adverse impact on fair and orderly markets on 
Expiration Fridays for the underlying indexes or the underlying 
securities comprising those indexes, nor have there been any 
observations of abnormal market movements attributable to Weekly and 
EOM options from any market participants that have come to the 
attention of the Exchange. Based on a study conducted by the 
Commission's Division of Economic and Risk Analysis (``DERA'') staff on 
the pilot data from 2006 through 2018,\25\ and the Exchange's review of 
the pilot data from 2019 through 2021, the size of the market for P.M.-
settled SPX options (including quarterly, weekly, EOM and third Friday 
expirations) since 2007 has grown from a trivial portion of the overall 
market to a substantial share (from around 0.1% of open interest in 
2007 to 30% in 2021).\26\ Notional value of open interest in P.M.-
settled SPX options increased from approximately a median of $1.5 
billion in 2007 to $1.9 trillion in 2021, approximately 1260 times its 
value in 2007. Notional open interest in A.M.-settled SPX options was 
already hovering around a median of $1.4 trillion in 2007, and it has 
since increased to approximately $4.4 trillion in 2021. It is also 
important to note that open interest on expiring P.M.-settled SPX 
options, as compared to A.M.-settled options, is spread out across a 
greater number of expiration dates, which results in a smaller 
percentage of open interest expiring on any one date, thus mitigating 
concerns that SPXPM option expiration may have a disruptive effect on 
the market.\27\ Daily trading volume in P.M.-settled SPX options has 
increased from a median of about 700 contracts in 2007 to nearly 1.9 
million contracts in 2021,\28\ and now exceeds trading volume in A.M.-
settled SPX options.
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    \25\ See DERA Staff PM Pilot Memo, at 13 (``Option settlement 
quantity data for A.M.- and P.M.-settled options were obtained from 
the Cboe, including the number of contracts that settled in-the-
money for each exchange-traded option series on the S&P 500 index. . 
.on expiration days from January 20, 2006 through December 31, 2018. 
Daily open interest and volume data for [SPX] option series were 
also obtained from Cboe, including open interest data from January 
3, 2006 through December 31, 2018 and trading volume data from 
January 3, 2006 through December 31, 2018.'')
    \26\ The DERA staff study reviewed and provided statistics for 
market share, median notional value of open interest and median 
volume in 2007 and in 2018. The Exchange provides updated statistics 
for market share, median notional value of open interest and median 
volume in 2021, replacing the 2018 statistics provided in the 
Commission staff study.
    \27\ See DERA Staff PM Pilot Memo, at 2.
    \28\ The Exchange notes that the DERA staff study used two-sided 
volume data for the median volume in 2007 and in 2018; therefore, 
the Exchange provides two-sided volume data for the median volume in 
2021.
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    Moreover, the DERA staff study of the P.M.-settled SPX options 
pilot data (2006 through 2018) did not identify any significant 
economic impact on S&P 500 futures,\29\ the S&P 500, or the underlying 
component securities of the S&P 500 surrounding the close. For purposes 
of the study, volatility was by and large measured by using the 
standard deviation \30\ of one-minute returns of S&P 500 futures values 
and the index value during regular hours on each day reviewed 
(excluding the first and last 15 minutes of trading) and then compared 
with the standard deviation of one-minute returns (for S&P 500 futures, 
the S&P 500, and the underlying component securities of the S&P 500) 
over the last 15 minutes of a trading day.\31\ Using this as a general 
measure,\32\ the DERA staff study then reviewed

[[Page 26625]]

whether, and to what extent, the settlement quantity of SPXPM options 
and the levels of open interest in SPXPM options on expiration days (as 
compared to non-expiration days) may be associated with general price 
volatility and price reversals for S&P 500 futures, the S&P 500, and 
the underlying component securities of the S&P 500 near the close. From 
its review of the study, the Exchange agrees that, although volatility 
before the market close is generally higher than during the rest of the 
trading day, there is no evidence of any significant adverse economic 
impact to the futures, index, or underlying index component securities 
markets as a result of the quantity of P.M.-settled SPX options that 
settle at the close or the amount of expiring open interest in P.M.-
settled SPX options. For example, the largest settlement event that 
occurred during the time period of the study (a settlement of $100.4 
billion of notional on December 29, 2017) had an estimated impact on 
the futures price of only approximately 0.02% (a predicted impact of 
$0.54 relative to a closing futures price of $2,677).
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    \29\ Futures on the S&P 500 experience high volume and liquidity 
both before and after the close of the underlying market. Therefore, 
futures are a useful measure of abnormal volatility surrounding the 
close and the open. See DERA Staff PM Pilot Memo, at 14. The 
Exchange agrees with this approach.
    \30\ Standard deviation applied to a rate of return (in this 
case, one-minute) of an instrument can indicate that instrument's 
historical volatility. The greater the standard deviation, the 
greater the variance between price and the mean, which indicates a 
larger price range, i.e., higher volatility.
    \31\ For example, if on a particular day the standard deviation 
of one-minute returns between 3:45 p.m. ET and 4:00 p.m. ET is 0.004 
and the standard deviation of returns from 9:45 a.m. ET to 3:45 p.m. 
ET is 0.002, this metric would take on a value of 2 for that day, 
indicating that volatility during the last 15 minutes of the trading 
day was twice as high as it was during the rest of the trading day. 
See DERA Staff PM Pilot Memo, at 15; see also DERA Staff PM Pilot 
Memo, at Section V, which discusses in detail the metrics used to 
measure, for the purposes of the study, the extent to which the 
market may experience abnormal volatility surrounding SPXPM option 
settlement.
    \32\ See DERA Staff PM Pilot Memo, at Section V, which discusses 
in detail the metrics used to measure, for the purposes of the 
study, the extent to which the market may experience abnormal 
volatility surrounding SPXPM option settlement.
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    In particular, the DERA staff study found that an additional P.M.-
settled SPX options settlement quantity equal to $10 billion in 
notional value is associated with a marginal impact on futures prices 
during the last 15 minutes of the trading day of only about $0.06 
(where the hypothetical index level is 2,500), additional expiring open 
interest in P.M.-settled SPX options equal to $10 billion in notional 
value is associated with a marginal impact on futures prices during the 
last 15 minutes of the trading day of only about $0.05 (assumed index 
level is 2,500). Also, an additional increase in settlement quantity or 
in expiring open interest, each equal to $20 million in notional value, 
did not result in any meaningful futures price reversals near the close 
(neither was found to cause a price reversal of over one standard 
deviation \33\).
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    \33\ See supra note 26.
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    Likewise, the study identified that an additional total P.M.-
settled SPX options settlement quantity equal to $10 billion in 
notional value corresponds to price movement in the S&P 500 of only 
about $0.08 (assuming an index level of 2,500) during the last 15 
minutes of the trading day, and that additional expiring open interest 
equal to $10 billion in notional value corresponds to a price movement 
in the S&P 500 of only about $0.06 (assuming an index level of 2,500) 
during the last 15 minutes of the trading day. The study also 
identified that it would take an increase of $34 billion in notional 
value of total settlement quantity and of expiring open interest for 
one additional S&P 500 price reversal of greater than two standard 
deviations to occur in the last 15 minutes before the market close. 
Also, regarding potential impact to S&P 500 component securities, it 
would take an increase in total P.M.-settled SPX options settlement 
quantity equal to $20 billion to effect a price movement of only 
approximately $0.03 for a $200 stock, an increase in expiring open 
interest in P.M.-settled SPX options equal to $10 billion to effect a 
price movement less than half a standard deviation, and an increase in 
total P.M.-settled SPX settlement quantity equal to $7 billion to 
achieve a price reversal greater two standard deviations.
    The study employed the same metrics to determine whether there is 
greater price volatility for S&P 500 futures, the S&P 500, and the 
component securities of the S&P 500 related to SPXPM option settlements 
during an environment of high market volatility (i.e., on days in which 
the VIX Index was in the top 10% of closing index values) and did not 
identify indicators of any significant economic impact on these markets 
near the close as a result of the P.M.-settled SPX options 
settlement.\34\ In addition to this, the DERA staff study, applying the 
same metrics and analysis as for P.M.-settled SPX options to A.M.-
settled SPX options, did not identify any evidence of a statistically 
significant relationship between settlement quantity or expiring open 
interest of A.M.-settled options and volatility near the open.
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    \34\ The Exchange also notes that the study did not identify any 
evidence that less liquid S&P 500 constituent securities experienced 
any greater impact from the settlement of P.M.-settled SPX options.
---------------------------------------------------------------------------

    Upon review of the results of the DERA staff study, the Exchange 
agrees that each of the above-described marginal price movements in S&P 
500 futures, the S&P 500, and the S&P 500 component securities affected 
by increases in P.M.-settled SPX options settlement quantity and 
expiring open interest appear to be de minimis pricing changes from 
those that occur over regular trading hours (outside of the last 15 
minutes of the trading day). Further, the Exchange has not observed any 
significant economic impact or other adverse effects on the market from 
similar reviews of its pilot reports and data submitted after 2018.\35\ 
In its review of a sample of the pilot data from 2019 through 2021, the 
Exchange similarly measured volatility over the final fifteen minutes 
of each trading day by taking the standard deviation of rolling one-
minute returns of the S&P 500 level (excluding the first and last 
fifteen minutes of trading) and comparing such with the standard 
deviation of one-minute returns \36\ of the S&P 500 level, over the 
last 15 minutes of a trading day. The Exchange identified an average 
standard deviation ratio of 1.42 for the S&P 500 on non-expiration days 
and an average standard deviation ratio of 1.54 for the S&P 500 on 
expiration days (a ratio between expiration days and non-expiration 
days of 1.09). The Exchange also notes that, using the same 
methodology, it observed that, from 2015 through 2019,\37\ the average 
standard deviation ratio for the S&P 500 on non-expiration days was 
1.11 and the average standard deviation ratio for the S&P 500 on 
expiration days was 1.22 (a ratio between expiration days and non-
expiration days of 1.10). While the average standard deviation ratio on 
both expiration and non-expiration days was higher in 2019 through 2021 
due to overall market volatility, the ratios between the standard 
deviation ratios on expiration days and non-expirations days remained 
nearly identical between the 2015 through 2019 timeframe and the 2019 
through 2021. This shows that, in cases where overall market volatility 
may increase, the normalized impact on expiration days to non-
expiration days generally remains consistent.
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    \35\ Total SPX open interest volumes were examined for 
expiration dates over a roughly two-year period between October 2019 
and November 2021.
    \36\ Calculated at every tick for the prior minute.
    \37\ November 2015 through November 2021.
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    In addition to this, the Exchange notes that the S&P 500 Index is 
rebalanced quarterly. The changes resulting from each rebalancing 
coincide with the third-Friday of the quarterly rebalancing month 
(i.e., March, June, September, October and December) \38\ and generally 
drive an increase in trading activity from investors that seek to track 
the S&P 500. As such, The Exchange measured volatility on quarterly 
rebalancing dates and found that the average standard deviation ratio 
was 1.62, which suggests more closing volatility on quarterly rebalance 
dates compared to non-quarterly expiration dates (for which the average 
standard deviation ratio was 1.22), thus indicating that the impact 
rebalancing may have on the S&P 500 is greater than any impact that 
P.M.-settled SPX options may have on the S&P 500.
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    \38\ See S&P Dow Jones Indices, Equity Indices Policies & 
Practices, Methodology (August 2021), at 15, available at https://www.spglobal.com/spdji/en/documents/methodologies/methodology-sp-equity-indices-policies-practices.pdf.
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    The Exchange additionally focused its study of the post-2018 sample 
pilot data

[[Page 26626]]

on reviewing for potential correlation between excess market volatility 
and price reversals and the hedging activity of liquidity providers. As 
explained in the DERA staff study, potential impact of P.M.-settled SPX 
options on the correlated equity markets is thought to stem from the 
hedging activity of liquidity providers in such options.\39\ To 
determine any such potential correlation, the Exchange studied the 
expected action of liquidity providers that are the primary source of 
the hedging on settlement days. These liquidity providers generally 
delta-hedge their S&P 500 index exposure via S&P 500 futures and on 
settlement day unwind their futures positions that correspond with the 
delta of their in-the-money (ITM) expiring P.M.-settled SPX options. 
Assuming such behavior, the Exchange estimated the Market-On-Close 
(``MOC'') \40\ volume for the shares of the S&P 500 component 
securities (i.e., ``MOC share volume'') that could ultimately result 
from the unwinding of the liquidity providers' futures positions by 
equating the notional value of the futures positions that correspond to 
expiring ITM open interest to the number S&P 500 component security 
contracts (based on the weight of each S&P 500 component security). 
That is, the Exchange calculated (an estimate) of the amount of MOC 
volume in the S&P 500 component markets attributable hedging activity 
as a result of expiring ITM P.M.-settled SPX options (i.e., ``hedging 
MOC''). The Exchange then: (1) compared the hedging MOC share volume to 
all MOC share volume on expiration days and non-expiration trading 
days; and (2) compared the notional value of the hedging futures 
positions (i.e., that correspond to expiring ITM P.M.-settled SPX 
options open interest) to the notional value of expiring ITM P.M.-
settled SPX options open interest, the notional value of all expiring 
P.M.-settled SPX options open interest and the notional value of all 
P.M.-settled SPX options open interest.
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    \39\ See DERA Staff PM Pilot Memo, at 10-12.
    \40\ MOC orders allow a market participant to trade at the 
closing price. Market participants generally utilize MOC orders to 
ensure they exit positions at the end of the trading day.
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    The Exchange observed that, on average, there were approximately 
25% more MOC shares executed on expiration days (332 expiration days) 
than non-expiration days (209 non-expiration days). While, at first 
glance, the volume of MOC shares executed on expiration days seems much 
greater than the volume executed on non-expiration days, the Exchange 
notes that much of this difference is attributable to just eight 
expiration days--the quarterly index rebalancing dates captured within 
the scope of the post-2018 sample pilot data. The average MOC share 
volume on the eight quarterly rebalancing dates was approximately 4.8 
times the average MOC share volume on the non-quarterly rebalancing 
expiration dates; again, indicating that the impact rebalancing may 
have on the S&P 500 Index is greater than any impact that P.M.-settled 
SPX options may have on the S&P 500 Index. That is, the Exchange 
observed that the majority of closing volume on quarterly rebalance 
dates is driven by rebalancing of shares in in the S&P 500, and not by 
P.M.-settled SPX options expiration-related hedging activity. 
Notwithstanding the MOC share volume on quarterly rebalancing dates, 
the volume of MOC shares executed on expiration days (324 expiration 
days) was only approximately 13% more than that on non-expiration days, 
substantially less than the increase in volume over non-expiration days 
wherein the eight index rebalancing dates are included in expiration 
day volume. In addition to this, the Exchange observed that the hedging 
MOC share volume (i.e., the expected MOC share volume resulting from 
hedging activity in connection with expiring ITM P.M.-settled SPX 
options) was, on average, less than the MOC share volume on non-
expiration days, and was only approximately 20% of the total MOC share 
volume on expiration days, indicating that other sources of MOC share 
volume generally exceed the volume resulting from hedging activity of 
expiring ITM P.M.-settled SPX options and would more likely be a source 
of any potential market volatility.
    The Exchange also observed that, across all third-Friday 
expirations, the notional value of the hedging futures positions was 
approximately 25% of the notional value of expiring ITM P.M.-settled 
SPX options, approximately 3.8% of the notional value of all expiring 
P.M.-settled SPX options, and approximately only 0.5% of the notional 
value of all P.M.-settled SPX options. As such, the estimated hedging 
activity from liquidity providers on expiration days is a fraction of 
the expiring open interest in P.M.-settled SPX options, which, the 
Exchange notes, is only 14% of the total open interest in P.M.-settled 
SPX options; thus, indicating negligible capacity for hedging activity 
to increase volatility in the underlying markets.
    While unrelated to the initial concerns of P.M.-settlement as 
described above, at the request of the Commission, the Exchange 
recently completed an analysis intended to evaluate whether the SPXPM 
Program impacted the quality of the SPX option market. Specifically, 
the Exchange compared values of key market quality indicators 
(specifically, the bid-ask spread \41\ and effective spread \42\) in 
SPXW options both before and after the introduction of Tuesday 
expirations and Thursday expirations for SPXW options on April 18 and 
May 11, 2022, respectively.\43\ Options on the Standard & Poor's 
Depositary Receipts S&P 500 ETF (``SPY'') were used as a control group 
to account for any market factors that might influence key market 
quality indicators. The Exchange used data from January 3, 2022 through 
March 4, 2022 (the two-month period prior to the introduction of SPXW 
options with Tuesday expirations) and data from May 11, 2022 to July 
10, 2022 (the two-month period following the introduction of SPXW 
options with Thursday expirations).\44\
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    \41\ The Exchange calculated for each of SPXW options (with 
Monday, Wednesday, and Friday expirations) and SPY Weekly options 
(with Monday, Wednesday, and Friday expirations) the daily time-
weighted bid-ask spread on the Exchange during its regular trading 
hours session, adjusted for the difference in size between SPXW 
options and SPY options (SPXW options are approximately ten times 
the value of SPY options).
    \42\ The Exchange calculated the volume-weighted average daily 
effective spread for simple trades for each of SPXW options (with 
Monday, Wednesday, and Friday expirations) and SPY Weekly options 
(with Monday, Wednesday, and Friday expirations) as twice the amount 
of the absolute value of the difference between an order execution 
price and the midpoint of the national best bid and offer at the 
time of execution, adjusted for the difference in size between SPXW 
options and SPY options.
    \43\ For purposes of comparison, the Exchange paired SPXW 
options and SPY options with the same moneyness and same days to 
expiration.
    \44\ The Exchange observed comparable market volatility levels 
during the pre-intervention and post-intervention time ranges.
---------------------------------------------------------------------------

    Given the time that as passed since the introduction of Weekly and 
EOM options, the Exchange is unable to analyze whether the introduction 
of Weekly and EOM options significantly impacted the market quality of 
corresponding A.M.-settled options. The Exchange believes analyzing 
whether the introduction of new SPXW P.M.-settled expirations (i.e., 
SPXW options with Tuesday and Thursday expirations) impacted the market 
quality of then-existing SPXW P.M.-settled expirations (i.e., SPXW 
options with Monday, Wednesday, and Friday expirations) provides a 
reasonable substitute to evaluate whether the introduction of Weekly 
and EOM options impacted the market quality of any corresponding A.M.-
settled options when the pilot began.\45\
---------------------------------------------------------------------------

    \45\ The full analysis is included in Exhibit 3 of this rule 
filing.
---------------------------------------------------------------------------

    As a result of this analysis, the Exchange believes the 
introduction of

[[Page 26627]]

SPX options with Tuesday and Thursday options had no significant impact 
on the market quality of SPXW options with Monday, Wednesday, and 
Friday expirations. With respect to the majority of series analyzed, 
the Exchange observed no statistically significant difference in the 
bid-ask spread or the effective spread of the series in the period 
prior to introduction of the Tuesday and Thursday expirations and the 
period following the introduction of the Tuesday and Thursday 
expirations. While statistically insignificant, the Exchange notes that 
in many series, particularly as they were closer to expiration, the 
Exchange observed that the values of these spreads decreased during the 
period following the introduction of the Tuesday and Thursday 
expirations.\46\
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    \46\ In any series in which the Exchange observed an increase in 
the market quality indicators, the Exchange notes any such increase 
was also statistically insignificant.
---------------------------------------------------------------------------

    To further note, given the significant changes in the closing 
procedures of the primary markets in recent decades, including 
considerable advances in trading systems and technology, the Exchange 
believes that the risks of any potential impact of Weekly and EOM 
options on the underlying cash markets are also de minimis.
    The Exchange proposes to make the Nonstandard Expirations Pilot 
Program permanent as P.M.-settled index products, particularly Weekly 
and EOM options, have become an integral part of the Exchange's product 
offerings, providing investors with greater trading opportunities and 
flexibility. As indicated by the significant growth in the size of the 
market for P.M.-settled Weekly and EOM options, such options have been, 
and continue to be, well-received and widely used by market 
participants. Therefore, the Exchange wishes to be able to continue to 
provide investors with the ability to trade Weekly and EOM options on a 
permanent basis. The Exchange believes that the permanent continuation 
of the Nonstandard Expirations Pilot Program will serve to maintain the 
status quo by continuing to offer a product to which investors have 
become accustomed and have incorporated into their business models and 
day-to-day trading methodologies for approximately 13 years. As such, 
the Exchange also believes that ceasing to offer Weekly and EOM options 
may result in significant market disruption and investor confusion. The 
Exchange has not identified any significant impact on market quality 
nor any unique or prohibitive regulatory concerns as a result of the 
Nonstandard Expirations Pilot Program, and, as such, the Exchange 
believes that the continuation of the Nonstandard Expirations Pilot 
Program as a pilot, including the use of time and resources to compile 
and analyze quarterly and annual pilot reports and pilot data, is no 
longer necessary and that making the Nonstandard Expirations Pilot 
Program permanent will allow the Exchange to otherwise allocate time 
and resources to other industry initiatives.
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.\47\ Specifically, the 
Exchange believes the proposed rule change is consistent with the 
Section 6(b)(5) \48\ 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.
---------------------------------------------------------------------------

    \47\ 15 U.S.C. 78f(b).
    \48\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    In particular, the Exchange believes that the making the 
Nonstandard Expirations Pilot Program permanent will allow the Exchange 
to be able to continue to offer Weekly and EOM options--a product of 
which has become an integral part of the Exchange's offerings--on a 
continuous and permanent basis. Since their reintroduction beginning in 
2006,\49\ P.M.-settled options have been, and continue to be, well-
received and widely used by market participants, providing investors 
with greater trading opportunities and flexibility. The Exchange 
believes that the permanent continuation of the Nonstandard Expirations 
Pilot Program will remove impediments to and perfect the mechanism of a 
free and open market and a national market system, and, in general, 
protect investors and the public interest by continuing to offer a 
product to which investors have become accustomed and have incorporated 
into their business models and day-to-day trading strategies for 
approximately 13 years. As indicated by the significant growth in the 
size of the market for P.M.-settled options, such options have been, 
and continue to be, well-received and widely used by market 
participants. Conversely, the Exchange believes ceasing to offer the 
Nonstandard Expirations Pilot Program may result in significant market 
disruption and investor confusion, as P.M.-settled index products, 
particularly Weekly and EOM options, have become an integral part of 
the Exchange's product offerings, providing investors with greater 
trading opportunities and flexibility.
---------------------------------------------------------------------------

    \49\ See supra notes 27-39. As described above, the Exchange's 
conclusion is consistent with the analysis in the DERA Staff PM 
Pilot Memo.
---------------------------------------------------------------------------

    The Exchange further believes that making the Nonstandard 
Expirations Pilot Program permanent will remove impediments to and 
perfect the mechanism of a free and open market and a national market 
system and protect investors, while maintaining a fair and orderly 
market, as the Exchange believes that previous concerns (arising in the 
1980s) regarding options expirations potentially contributing to excess 
volatility and reversals around the close have been adequately 
diminished. As described in detail above, the Exchange has observed no 
significant adverse market impact or identified any meaningful 
regulatory concerns during the approximately 13-year operation of the 
Nonstandard Expirations Pilot Program as a pilot nor during the 15 
years since P.M.-settled SPX options were reintroduced to the 
marketplace.\50\ Notably, the Exchange did not identify any significant 
economic impact (including on pricing or volatility or in connection 
with reversals) on related futures, the underlying indexes, or the 
underlying component securities of the underlying indexes surrounding 
the close as a result of the quantity of Weekly and EOM options that 
settle at the close or the amount of expiring open interest in Weekly 
and EOM options, nor any demonstrated capacity for options hedging 
activity to impact volatility in the underlying markets. While the DERA 
staff study and corresponding Exchange study described above 
specifically evaluated SPX options, because Weekly and EOM options may 
only overly broad-based index options, the Exchange believes it is 
appropriate to extrapolate the data to apply to the Weekly and EOM 
options (which include SPX options). This is particularly true given 
that the reports submitted by the Exchange during the pilot period have 
similarly demonstrated no significant economic

[[Page 26628]]

impact on the respective underlying indexes or other products.
---------------------------------------------------------------------------

    \50\ See supra notes 26-39.
---------------------------------------------------------------------------

    The Exchange also believes the introduction of Weekly and EOM 
options had no significant impact on the market quality of 
corresponding A.M.-settled options or other options. The Exchange 
believes this as a result of its analysis conducted after the 
introduction of SPXW options with Tuesday and Thursday expirations, 
which demonstrated no statistically significant impact on the bid-ask 
or effective spreads of SPXW options with Monday, Wednesday, and Friday 
expirations after trading in the SPXW options with Tuesday and Thursday 
expirations began. While SPXW options are P.M.-settled and SPX options 
are A.M.-settled, they are otherwise nearly identical products. As 
noted above, Weekly and EOM options may only overly broad-based 
indexes, including the S&P 500. Therefore, the Exchange believes 
analyzing the impact of new SPXW options on then-existing SPXW options 
permit the Exchange to extrapolate from this data that it is unlikely 
the introduction of any other Weekly or EOM options significantly 
impacted the market quality of corresponding A.M.-settled SPX options 
when the pilot began. Additionally, the significant changes in the 
closing procedures of the primary markets in recent decades, including 
considerable advances in trading systems and technology, has 
significantly minimized risks of any potential impact of Weekly or EOM 
options on the underlying cash markets. As such, the Exchange believes 
that a permanent Nonstandard Expirations Pilot Program does not raise 
any unique or prohibitive regulatory concerns and that such trading has 
not, and will not, adversely impact fair and orderly markets on 
Expiration Fridays for the underlying indexes and their component 
securities. Further, as the Exchange has not identified any significant 
impact on market quality or any unique or prohibitive regulatory 
concerns as a result of offering Weekly and EOM options, the Exchange 
believes that the continuation of the Nonstandard Expirations Pilot 
Program as a pilot, including the gathering, submission and review of 
the pilot reports and data, is no longer necessary and that making the 
Nonstandard Expirations Pilot Program permanent will allow the Exchange 
to otherwise allocate time and resources to other industry initiatives.

B. Self-Regulatory Organization's Statement on Burden on Competition

    Cboe Options 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 making the Nonstandard Expirations Pilot Program permanent 
will impose any unnecessary or inappropriate burden on intramarket 
competition because Weekly and EOM options will continue to be 
available to all market participants who wish to participate in the 
Weekly and EOM options market. The Exchange believes that the 
significant and sustained growth the Weekly and EOM options market has 
experienced since their reintroduction through pilot programs indicates 
strong, continued investor interest and demand, warranting a permanent 
Nonstandard Expirations Pilot Program. The Exchange believes that, for 
the period that Weekly and EOM options have been in operation as pilot 
programs, they have provided investors with a desirable product with 
which to trade and wishes to permanently offer this product to 
investors. Furthermore, during the pilot period, the Exchange has not 
observed any significant adverse market effects nor identified any 
regulatory concerns as a result of the Weekly and EOM Program, and, as 
such, the continuation of the Nonstandard Expirations Pilot Program as 
a pilot, including the gathering, submission and review of the pilot 
reports and data, is no longer necessary--a permanent Nonstandard 
Expirations Pilot Program will allow the Exchange to otherwise allocate 
time and resources to other industry initiatives.
    The Exchange further does not believe that making the Nonstandard 
Expirations Pilot Program permanent will impose any burden on 
intermarket competition that is not necessary or appropriate in 
furtherance of the purposes of the Act because it applies to a class of 
options listed only for trading on Cboe Options. The Exchange notes 
that other exchanges are free to and do offer competing products. To 
the extent that the permanent offering and continued trading of Weekly 
and EOM options may make Cboe Options a more attractive marketplace to 
market participants at other exchanges, such market participants may 
elect to become Cboe Options market participants.

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:

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-CBOE-2023-020 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-2023-020. 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

[[Page 26629]]

inspection and copying at the principal office of the Exchange. Do not 
include personal identifiable information in submissions; you should 
submit only information that you wish to make available publicly. We 
may redact in part or withhold entirely from publication submitted 
material that is obscene or subject to copyright protection. All 
submissions should refer to File Number SR-CBOE-2023-020, and should be 
submitted on or before May 22, 2023.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\51\
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    \51\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2023-09079 Filed 4-28-23; 8:45 am]
BILLING CODE 8011-01-P