Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of Filing of Proposed Rule Change To Amend Rule 4.13, 47803-47806 [2022-16657]
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47803
Federal Register / Vol. 87, No. 149 / Thursday, August 4, 2022 / Notices
Information Officer, Securities and
Exchange Commission, c/o John
Pezzullo, 100 F Street NE, Washington,
DC 20549 or send an email to: PRA_
Mailbox@sec.gov.
Dated: July 29, 2022.
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2022–16671 Filed 8–3–22; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[SEC File No. 270–156, OMB Control No.
3235–0288]
jspears on DSK121TN23PROD with NOTICES
Proposed Collection; Comment
Request: Extension: Form 20–F
Upon Written Request Copies Available
From: Securities and Exchange
Commission, Office of FOIA Services,
100 F Street NE, Washington, DC
20549–2736
Notice is hereby given that, pursuant
to the Paperwork Reduction Act of 1995
(44 U.S.C. 3501 et seq.), the Securities
and Exchange Commission
(‘‘Commission’’) is soliciting comments
on the collection of information
summarized below. The Commission
plans to submit this existing collection
of information to the Office of
Management and Budget for extension
and approval.
Form 20–F (17 CFR 249.220f) is used
to register securities of foreign private
issuers pursuant to Section 12 of the
Securities Exchange Act of 1934
(‘‘Exchange Act’’) (15 U.S.C. 78l) or as
annual and transitional reports pursuant
to Sections 13 and 15(d) of the Exchange
Act (15 U.S.C. 78m(a) and 78o(d)). The
information required in the Form 20–F
is used by investors in making
investment decisions with respect to the
securities of such foreign private
issuers. We estimate that Form 20–F
takes approximately 2,629.689 hours per
response and is filed by approximately
729 respondents. We estimate that 25%
of the 2,629.689 hours per response
(657.422 hours) is prepared by the
issuer for a total reporting burden of
479,261 (657.422 hours per response ×
729 responses).
Written comments are invited on: (a)
whether this proposed collection of
information is necessary for the proper
performance of the functions of the
agency, including whether the
information will have practical utility;
(b) the accuracy of the agency’s estimate
of the burden imposed by the collection
of information; (c) ways to enhance the
quality, utility, and clarity of the
information collected; and (d) ways to
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minimize the burden of the collection of
information on respondents, including
through the use of automated collection
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technology. Consideration will be given
to comments and suggestions submitted
in writing within 60 days of this
publication by October 3, 2022.
An agency may not conduct or
sponsor, and a person is not required to
respond to, a collection of information
unless it displays a currently valid
control number.
Please direct your written comment to
David Bottom, Director/Chief
Information Officer, Securities and
Exchange Commission, c/o John
Pezzullo, 100 F Street NE, Washington,
DC 20549 or send an email to: PRA_
Mailbox@sec.gov.
Dated: July 29, 2022.
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2022–16678 Filed 8–3–22; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–95392; File No. SR–CBOE–
2022–039]
Self-Regulatory Organizations; Cboe
Exchange, Inc.; Notice of Filing of
Proposed Rule Change To Amend Rule
4.13
July 29, 2022.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on July 21,
2022, Cboe Exchange, Inc. (‘‘Exchange’’)
filed with the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change as described in
Items I and II below, which Items have
been prepared by the Exchange. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
Cboe Exchange, Inc. (the ‘‘Exchange’’
or ‘‘Cboe Options’’) proposes to amend
Rule 4.13. The text of the proposed rule
change is provided below.
(additions are italicized; deletions are
[bracketed])
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Rules of Cboe Exchange, Inc.
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2
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15 U.S.C. 78s(b)(1).
17 CFR 240.19b–4.
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Rule 4.13. Series of Index Options
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(e) Nonstandard Expirations Pilot Program.
(1) Weekly Expirations. The Exchange may
open for trading Weekly Expirations on any
broad-based index eligible for standard
options trading to expire on any Monday,
Wednesday, or Friday (other than the third
Friday-of-the-month or days that coincide
with an EOM expiration). In addition, the
Exchange may also open for trading Weekly
Expirations on S&P 500 Index and Mini-S&P
500 Index options to expire on any Tuesday
or Thursday (other than days that coincide
with an EOM expiration). Weekly Expirations
shall be subject to all provisions of this Rule
and treated the same as options on the same
underlying index that expire on the third
Friday of the expiration month; provided,
however, that Weekly Expirations shall be
P.M.-settled and new series in Weekly
Expirations may be added up to and
including on the expiration date for an
expiring Weekly Expiration.
The maximum number of expirations that
may be listed for each Weekly Expiration
(i.e., a Monday expiration, Tuesday
expiration, Wednesday expiration, Thursday
expiration, or Friday expiration, as
applicable) in a given class is the same as the
maximum number of expirations permitted
in Rule 4.13(a)(2) for standard options on the
same broad-based index. Weekly Expirations
need not be for consecutive Monday,
Tuesday, Wednesday, Thursday, or Friday
expirations as applicable; however, the
expiration date of a non-consecutive
expiration may not be beyond what would be
considered the last expiration date if the
maximum number of expirations were listed
consecutively. Weekly Expirations that are
first listed in a given class may expire up to
four weeks from the actual listing date. If the
Exchange lists EOMs and Weekly Expirations
as applicable in a given class, the Exchange
will list an EOM instead of a Weekly
Expiration that expires on the same day in
the given class. Other expirations in the same
class are not counted as part of the maximum
number of Weekly Expirations for an
applicable broad-based index class. If the
Exchange is not open for business on a
respective Monday, the normally Monday
expiring Weekly Expirations will expire on
the following business day. If the Exchange
is not open for business on a respective
Tuesday, Wednesday, Thursday, or Friday,
the normally Tuesday, Wednesday,
Thursday, or Friday expiring Weekly
Expirations will expire on the previous
business day. If two different Weekly
Expirations on S&P 500 Index or Mini-S&P
500 Index options would expire on the same
day because the Exchange is not open for
business on a certain weekday, the Exchange
will list only one of such Weekly Expirations.
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The text of the proposed rule change
is also available on the Exchange’s
website (https://www.cboe.com/
AboutCBOE/
CBOELegalRegulatoryHome.aspx), at
the Exchange’s Office of the Secretary,
and at the Commission’s Public
Reference Room.
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Federal Register / Vol. 87, No. 149 / Thursday, August 4, 2022 / Notices
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.
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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
Rule 4.13(e), which governs its
Nonstandard Expirations Pilot Program
(‘‘Pilot Program’’), to permit P.M.-settled
options on the Mini-S&P 500 Index
(‘‘XSP options’’) that expire on Tuesday
or Thursday. Under the existing Pilot
Program, the Exchange is permitted to
list P.M.-settled options on broad-based
indexes that expire on: (1) any Monday,
Wednesday, or Friday and, with respect
to options on the S&P 500 Index (‘‘SPX
options’’) any Tuesday or Thursday
(‘‘Weekly Expirations’’ or ‘‘EOWs’’) and
(2) the last trading day of the month
(‘‘End of Month Expirations’’ or
‘‘EOMs’’).3 The proposed XSP options
that expire on Tuesday or Thursday
would be listed under the Pilot Program,
which is currently set to expire on
November 7, 2022. The Exchange notes
that permitting XSP options with
Tuesday and Thursday expirations, as
proposed, would be in addition to the
XSP options with Monday, Wednesday
and Friday expirations that the
Exchange may (and does) already list, as
they are permissible Weekly Expirations
for options on a broad-based index (e.g.,
the Mini-S&P 500 Index) pursuant to
Rule 4.13(e)(1).
The Pilot Program for Weekly
Expirations will apply to XSP options
with Tuesday and Thursday expirations
in the same manner as it currently
applies to all other P.M.-settled broadbased index options with Monday,
Wednesday, and Friday expirations and
to SPX options with Tuesday and
Thursday expirations. Specifically, as
set forth in Rule 4.13(e), Weekly
Expirations, including the proposed
XSP options with Tuesday and
Thursday expirations, are subject to all
3
See Rule 4.13(e).
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provisions of Rule 4.13 and treated the
same as options on the same underlying
index that expire on the third Friday of
the expiration month; provided,
however, that Weekly Expirations are
P.M.-settled, and new series in Weekly
Expirations may be added up to and
including on the expiration date for an
expiring Weekly Expiration. The
maximum number of expirations that
may be listed for each Weekly
Expiration (i.e., a Monday expiration,
Tuesday expiration, Wednesday
expiration, Thursday expiration, or
Friday expiration, as applicable) in a
given class (including XSP) is the same
as the maximum number of expirations
permitted in Rule 4.13(a)(2) for standard
options on the same broad-based index
(which is 12 for XSP options). Weekly
Expirations need not be for consecutive
Monday, Tuesday, Wednesday,
Thursday, or Friday expirations as
applicable; however, the expiration date
of a nonconsecutive expiration may not
be beyond what would be considered
the last expiration date if the maximum
number of expirations were listed
consecutively. Weekly Expirations that
are first listed in a given class may
expire up to four weeks from the actual
listing date. If the Exchange lists EOMs
and Weekly Expirations as applicable in
a given class, the Exchange will list an
EOM instead of a Weekly Expiration
that expires on the same day in the
given class. Other expirations in the
same class are not counted as part of the
maximum number of Weekly
Expirations for an applicable broadbased index class. If the Exchange is not
open for business on a respective
Monday, the normally Monday expiring
Weekly Expirations will expire on the
following business day. If the Exchange
is not open for business on a respective
Tuesday, Wednesday, Thursday, or
Friday, the normally Tuesday,
Wednesday, Thursday, or Friday
expiring Weekly Expirations will expire
on the previous business day.
The proposed rule change also adds
that if two different Weekly Expirations
on Mini-S&P 500 Index options (as is
the case of S&P 500 Index options)
would expire on the same day because
the Exchange is not open for business
on a certain weekday, the Exchange will
list only one of such Weekly
Expirations. The Exchange believes it is
appropriate to clarify in the rule text
that the Exchange will list just one
Weekly Expiration in such a case, as the
two Weekly Expirations would
essentially be the same options contract.
For example, if the Exchange listed XSP
options with proposed Thursday
expirations and Friday expirations and
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the Exchange was closed for business on
a Friday then, pursuant to current Rule
4.13(e)(1), the normally expiring Friday
expiration would expire on the previous
business day—essentially making it an
XSP option with a Thursday expiration.
Thus, expiring XSP options in this case
will always have the same weekday
expiration (per the example, it is an XSP
option with a Thursday expiration,
whether it was listed as an XSP with a
Thursday expiration or a Friday
expiration). As such, for the sake of
clarity in the rules and to mitigate any
confusion regarding the listing of
Weekly XSP options when the Exchange
is closed for business, the proposed rule
change provides that the Exchange will
list just one Weekly Expiration if two
Weekly Expirations would expire on the
same day due to the Exchange being
closed for business. In addition, like all
Weekly Expirations listed pursuant to
Rule 4.13(e)(4), transactions in expiring
XSP options with Tuesday and
Thursday expirations may be effected
on the Exchange between the hours of
9:30 a.m. and 4:00 p.m. on their last
trading day (Eastern Time).
The Exchange believes that that the
introduction of XSP options with
Tuesday and Thursday expirations will
expand hedging tools available to
market participants while also
providing greater trading opportunities.
By offering XSP options with Tuesday
and Thursday expirations along with
the current Monday, Wednesday and
Friday expirations, the proposed rule
change will allow market participants to
purchase XSP options in a manner more
aligned with specific timing needs and
more effectively tailor their investment
and hedging strategies and manage their
portfolios. In particular, the proposed
rule change will allow market
participants to roll their positions on
more trading days, thus with more
precision, spread risk across more
trading days and incorporate daily
changes in the markets, which may
reduce the premium cost of buying
protection.
The Exchange proposes to abide by
the same reporting requirements for the
trading of XSP options that expire on
any Tuesday or Thursday that it does for
the trading of P.M.-settled options on
broad-based indexes that expire on any
Monday, Wednesday, or Friday and for
SPX options that expire on Tuesday or
Thursday pursuant to the Pilot Program.
The Exchange proposes to include data
regarding XSP options that expire on
Tuesdays or Thursdays as it does for all
other Weekly Expirations in the Pilot
Program annual report that it submits to
the Securities and Exchange
Commission (‘‘Commission’’) at least
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two months prior to the expiration date
of the Pilot Program.4 The Exchange is
required to submit an annual report at
least yearly. The annual report to the
Commission addresses the following
areas: Analysis of Volume & Open
Interest, Monthly Analysis of Weekly
Expirations & EOM Trading Patterns
and Provisional Analysis of Index Price
Volatility. Going forward, the Exchange
will include the same areas of analysis
for XSP options with Tuesday and
Thursday expirations in the annual
reports. The Exchange also proposes to
include the following market quality
data, over sample periods determined
by the Exchange and the Commission,
for XSP options as part of the annual
report, as it does for SPX options:
• time-weighted relative quoted
spreads;
• relative effective spreads; and
• time-weighted bid and offer sizes.
The Exchange also will provide the
Commission with any additional data or
analyses the Commission requests
because it deems such data or analyses
necessary to determine whether the
Pilot Program, including XSP options
with Tuesday and Thursday expirations
as proposed, is consistent with the
Exchange Act. As it does for current
Pilot Program products, the Exchange
will make public on its website all data
and analyses in connection with XSP
options with Tuesday and Thursday
expirations it submits to the
Commission under the Pilot Program.
The Exchange believes there is
sufficient investor interest and demand
in XSP options with Tuesday and
Thursday expirations to warrant
inclusion in the Pilot Program and that
the Pilot Program, as amended, will
continue to provide investors with
additional means of managing their risk
exposures and carrying out their
investment objectives.5 The Exchange
notes that during the Pilot Program’s
approximately 12-year tenure, the
Exchange has not observed any
significant adverse market effects or
identified any regulatory concerns as a
result of the Pilot Program, nor does it
believe that additional expirations listed
4 See Nonstandard Expirations Pilot Approval
Order.
5 The Exchange currently lists Tuesday and
Thursday expirations in SPX options. The Exchange
also already allows XSP options to expire on
Tuesdays for normally Monday or Wednesday
expiring XSP options when the Exchange is not
open for business on a respective Monday or
Wednesday (as applicable), and already allows XSP
options to expire on Thursdays for normally Friday
expiring XSP options when the Exchange is not
open for business on a respective Friday. Also,
EOM options in XSP (and other broad-based
indexes) may currently be listed to expire on a
Tuesday or Thursday.
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under the Pilot Program would result in
any such impact or regulatory concerns.
Based on a study conducted by
Commission staff on the pilot data
(including quarterly, weekly, EOM and
third Friday expirations for P.M.-settled
XSP options),6 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 XSP options that settle at
the close or the amount of expiring open
interest in P.M.-settled XSP options.7
With regard to the impact of this
proposal on system capacity, the
Exchange has analyzed its capacity and
represents that it believes that the
Exchange and OPRA have the necessary
systems capacity to handle any potential
additional traffic associated with trading
of XSP options with Tuesday and
Thursday expirations. The Exchange
does not believe that its Trading Permit
Holders (‘‘TPHs’’) will experience any
capacity issues as a result of this
proposal and represents that it will
monitor the trading volume associated
with any possible additional options
series listed as a result of this proposal
and the effect (if any) of these additional
series on market fragmentation and on
the capacity of the Exchange’s
automated systems.
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.8 Specifically,
the Exchange believes the proposed rule
change is consistent with the Section
6(b)(5) 9 requirements that the rules of
6 See Securities and Exchange Commission,
Division of Economic Risk and Analysis,
Memorandum, Cornerstone Analysis of PM CashSettled Index Option Pilots (February 2, 2021)
(‘‘SEC PM Pilot Memo’’) at 13, available at: https://
www.sec.gov/files/Analysis_of_PM_Cash_Settled_
Index_Option_Pilots.pdf (‘‘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 [XSP] 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.’’)
7 See id. at 3. 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).
8 15 U.S.C. 78f(b).
9 15 U.S.C. 78f(b)(5).
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47805
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 facilitation 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) 10 requirement that
the rules of an exchange not be designed
to permit unfair discrimination between
customers, issuers, brokers, or dealers.
In particular, the Exchange believes
that the proposed rule change will
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 by providing investors
with greater trading and hedging
opportunities and flexibility, allowing
them to transact in XSP options in a
manner more aligned with specific
timing needs and more effectively tailor
their investment and hedging objectives
by listing XSP options that expire each
trading day of the week. The Exchange
does not believe that the addition of
XSP options with Tuesday and
Thursday expirations to the Pilot
Program will raise any prohibitive
regulatory concerns or adversely impact
fair and orderly markets on expiration
days. The Exchange has not observed
any meaningful regulatory concerns or
adverse impact on fair and orderly
markets in connection with the listing
and trading of XSP options with
Monday, Wednesday and Friday
expirations or with the recent listing
and trading SPX options with
expirations on Monday through.
Particularly, the Exchange does not
believe an increase in the number of
P.M.-settled XSP options series will
have any significant adverse economic
impact on the futures, index, or
underlying index component securities
markets.
The Exchange will include analysis in
connection with XSP options that expire
on Tuesdays and Thursdays in the same
manner that it currently does for other
Pilot Program products, as described
above, in the annual reports it submits
to the Commission. The Exchange also
will provide the Commission with any
additional data or analyses that it may
request if it deems such data or analyses
necessary to determine whether the
10
Id.
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Pilot Program, including XSP options
with Tuesday and Thursday expirations
as proposed, is consistent with the
Exchange Act. The Exchange represents
that it believes that it has the necessary
systems capacity to support any
additional traffic associated with trading
of XSP options with Tuesday and
Thursday expirations and does not
believe that its TPHs will experience
any capacity issues as a result of this
proposal. The Exchange will monitor
the trading volume associated with any
possible additional options series listed
and the effect (if any) of these additional
series on market fragmentation and on
the capacity of the Exchange’s
automated systems.
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
because XSP options with Tuesday and
Thursday expirations will be available
to all market participants. By listing
XSP options that expire Tuesdays and
Thursdays, the proposed rule change
will provide all investors that
participate in the XSP options market
greater trading and hedging
opportunities and flexibility to meet
their investment and hedging needs.
Additionally, Tuesday and Thursday
expiring XSP options will trade in the
same manner as Weekly Expirations
currently trade.
The Exchange does not believe that
the proposal to list XSP options with
Tuesday and Thursday expirations will
impose any burden on intermarket
competition that is not necessary or
appropriate in furtherance of the
purposes of the Act because XSP
options are proprietary Exchange
products. Other exchanges offer
nonstandard expiration programs for
index options as well as short-term
options programs for certain equity
options and are welcome to similarly
propose to list Tuesday and Thursday
options on those indexes or equity
products. To the extent that the addition
of XSP options that expire on Tuesdays
and Thursdays available for trading on
the Exchange makes the Exchange a
more attractive marketplace to market
participants at other exchanges, such
market participants are free to elect to
become market participants on the
Exchange.
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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 (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
CBOE–2022–039 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–2022–039. This file
number should be included on the
subject line if email is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
internet website (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
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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–2022–039, and
should be submitted on or before
August 25, 2022.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.11
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2022–16657 Filed 8–3–22; 8:45 am]
BILLING CODE P
SECURITIES AND EXCHANGE
COMMISSION
[SEC File No. 270–331, OMB Control No.
3235–0383]
Proposed Collection; Comment
Request: Extension: Form F–7
Upon Written Request Copies Available
From: Securities and Exchange
Commission, Office of FOIA Services,
100 F Street NE, Washington, DC
20549–2736
Notice is hereby given that, pursuant
to the Paperwork Reduction Act of 1995
(44 U.S.C. 3501 et seq.), the Securities
and Exchange Commission
(‘‘Commission’’) is soliciting comments
on the collection of information
summarized below. The Commission
plans to submit this existing collection
of information to the Office of
Management and Budget for extension
and approval.
Form F–7 (17 CFR 239.37) is a
registration statement under the
Securities Act of 1933 (15 U.S.C. 77a et
seq.) used to register securities that are
offered for cash upon the exercise of
rights granted to a registrant’s existing
security holders to purchase or
subscribe such securities. The
information collected is intended to
ensure that the information required to
be filed by the Commission permits
verification of compliance with
11
17 CFR 200.30–3(a)(12).
E:\FR\FM\04AUN1.SGM
04AUN1
]]>Agencies
[Federal Register Volume 87, Number 149 (Thursday, August 4, 2022)]
[Notices]
[Pages 47803-47806]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-16657]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-95392; File No. SR-CBOE-2022-039]
Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of
Filing of Proposed Rule Change To Amend Rule 4.13
July 29, 2022.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on July 21, 2022, Cboe Exchange, Inc. (``Exchange'') filed with the
Securities and Exchange Commission (``Commission'') the 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.
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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 amend Rule 4.13. 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
* * * * *
(e) Nonstandard Expirations Pilot Program.
(1) Weekly Expirations. The Exchange may open for trading Weekly
Expirations on any broad-based index eligible for standard options
trading to expire on any Monday, Wednesday, or Friday (other than
the third Friday-of-the-month or days that coincide with an EOM
expiration). In addition, the Exchange may also open for trading
Weekly Expirations on S&P 500 Index and Mini-S&P 500 Index options
to expire on any Tuesday or Thursday (other than days that coincide
with an EOM expiration). Weekly Expirations shall be subject to all
provisions of this Rule and treated the same as options on the same
underlying index that expire on the third Friday of the expiration
month; provided, however, that Weekly Expirations shall be P.M.-
settled and new series in Weekly Expirations may be added up to and
including on the expiration date for an expiring Weekly Expiration.
The maximum number of expirations that may be listed for each
Weekly Expiration (i.e., a Monday expiration, Tuesday expiration,
Wednesday expiration, Thursday expiration, or Friday expiration, as
applicable) in a given class is the same as the maximum number of
expirations permitted in Rule 4.13(a)(2) for standard options on the
same broad-based index. Weekly Expirations need not be for
consecutive Monday, Tuesday, Wednesday, Thursday, or Friday
expirations as applicable; however, the expiration date of a non-
consecutive expiration may not be beyond what would be considered
the last expiration date if the maximum number of expirations were
listed consecutively. Weekly Expirations that are first listed in a
given class may expire up to four weeks from the actual listing
date. If the Exchange lists EOMs and Weekly Expirations as
applicable in a given class, the Exchange will list an EOM instead
of a Weekly Expiration that expires on the same day in the given
class. Other expirations in the same class are not counted as part
of the maximum number of Weekly Expirations for an applicable broad-
based index class. If the Exchange is not open for business on a
respective Monday, the normally Monday expiring Weekly Expirations
will expire on the following business day. If the Exchange is not
open for business on a respective Tuesday, Wednesday, Thursday, or
Friday, the normally Tuesday, Wednesday, Thursday, or Friday
expiring Weekly Expirations will expire on the previous business
day. If two different Weekly Expirations on S&P 500 Index or Mini-
S&P 500 Index options would expire on the same day because the
Exchange is not open for business on a certain weekday, the Exchange
will list only one of such Weekly Expirations.
* * * * *
The text of the proposed rule change is also available on the
Exchange's website (https://www.cboe.com/AboutCBOE/CBOELegalRegulatoryHome.aspx), at the Exchange's Office of the
Secretary, and at the Commission's Public Reference Room.
[[Page 47804]]
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the Exchange included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
sections A, B, and C below, of the most significant aspects of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to amend Rule 4.13(e), which governs its
Nonstandard Expirations Pilot Program (``Pilot Program''), to permit
P.M.-settled options on the Mini-S&P 500 Index (``XSP options'') that
expire on Tuesday or Thursday. Under the existing Pilot Program, the
Exchange is permitted to list P.M.-settled options on broad-based
indexes that expire on: (1) any Monday, Wednesday, or Friday and, with
respect to options on the S&P 500 Index (``SPX options'') any Tuesday
or Thursday (``Weekly Expirations'' or ``EOWs'') and (2) the last
trading day of the month (``End of Month Expirations'' or ``EOMs'').\3\
The proposed XSP options that expire on Tuesday or Thursday would be
listed under the Pilot Program, which is currently set to expire on
November 7, 2022. The Exchange notes that permitting XSP options with
Tuesday and Thursday expirations, as proposed, would be in addition to
the XSP options with Monday, Wednesday and Friday expirations that the
Exchange may (and does) already list, as they are permissible Weekly
Expirations for options on a broad-based index (e.g., the Mini-S&P 500
Index) pursuant to Rule 4.13(e)(1).
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\3\ See Rule 4.13(e).
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The Pilot Program for Weekly Expirations will apply to XSP options
with Tuesday and Thursday expirations in the same manner as it
currently applies to all other P.M.-settled broad-based index options
with Monday, Wednesday, and Friday expirations and to SPX options with
Tuesday and Thursday expirations. Specifically, as set forth in Rule
4.13(e), Weekly Expirations, including the proposed XSP options with
Tuesday and Thursday expirations, are subject to all provisions of Rule
4.13 and treated the same as options on the same underlying index that
expire on the third Friday of the expiration month; provided, however,
that Weekly Expirations are P.M.-settled, and new series in Weekly
Expirations may be added up to and including on the expiration date for
an expiring Weekly Expiration. The maximum number of expirations that
may be listed for each Weekly Expiration (i.e., a Monday expiration,
Tuesday expiration, Wednesday expiration, Thursday expiration, or
Friday expiration, as applicable) in a given class (including XSP) is
the same as the maximum number of expirations permitted in Rule
4.13(a)(2) for standard options on the same broad-based index (which is
12 for XSP options). Weekly Expirations need not be for consecutive
Monday, Tuesday, Wednesday, Thursday, or Friday expirations as
applicable; however, the expiration date of a nonconsecutive expiration
may not be beyond what would be considered the last expiration date if
the maximum number of expirations were listed consecutively. Weekly
Expirations that are first listed in a given class may expire up to
four weeks from the actual listing date. If the Exchange lists EOMs and
Weekly Expirations as applicable in a given class, the Exchange will
list an EOM instead of a Weekly Expiration that expires on the same day
in the given class. Other expirations in the same class are not counted
as part of the maximum number of Weekly Expirations for an applicable
broad-based index class. If the Exchange is not open for business on a
respective Monday, the normally Monday expiring Weekly Expirations will
expire on the following business day. If the Exchange is not open for
business on a respective Tuesday, Wednesday, Thursday, or Friday, the
normally Tuesday, Wednesday, Thursday, or Friday expiring Weekly
Expirations will expire on the previous business day.
The proposed rule change also adds that if two different Weekly
Expirations on Mini-S&P 500 Index options (as is the case of S&P 500
Index options) would expire on the same day because the Exchange is not
open for business on a certain weekday, the Exchange will list only one
of such Weekly Expirations. The Exchange believes it is appropriate to
clarify in the rule text that the Exchange will list just one Weekly
Expiration in such a case, as the two Weekly Expirations would
essentially be the same options contract. For example, if the Exchange
listed XSP options with proposed Thursday expirations and Friday
expirations and the Exchange was closed for business on a Friday then,
pursuant to current Rule 4.13(e)(1), the normally expiring Friday
expiration would expire on the previous business day--essentially
making it an XSP option with a Thursday expiration. Thus, expiring XSP
options in this case will always have the same weekday expiration (per
the example, it is an XSP option with a Thursday expiration, whether it
was listed as an XSP with a Thursday expiration or a Friday
expiration). As such, for the sake of clarity in the rules and to
mitigate any confusion regarding the listing of Weekly XSP options when
the Exchange is closed for business, the proposed rule change provides
that the Exchange will list just one Weekly Expiration if two Weekly
Expirations would expire on the same day due to the Exchange being
closed for business. In addition, like all Weekly Expirations listed
pursuant to Rule 4.13(e)(4), transactions in expiring XSP options with
Tuesday and Thursday expirations may be effected on the Exchange
between the hours of 9:30 a.m. and 4:00 p.m. on their last trading day
(Eastern Time).
The Exchange believes that that the introduction of XSP options
with Tuesday and Thursday expirations will expand hedging tools
available to market participants while also providing greater trading
opportunities. By offering XSP options with Tuesday and Thursday
expirations along with the current Monday, Wednesday and Friday
expirations, the proposed rule change will allow market participants to
purchase XSP options in a manner more aligned with specific timing
needs and more effectively tailor their investment and hedging
strategies and manage their portfolios. In particular, the proposed
rule change will allow market participants to roll their positions on
more trading days, thus with more precision, spread risk across more
trading days and incorporate daily changes in the markets, which may
reduce the premium cost of buying protection.
The Exchange proposes to abide by the same reporting requirements
for the trading of XSP options that expire on any Tuesday or Thursday
that it does for the trading of P.M.-settled options on broad-based
indexes that expire on any Monday, Wednesday, or Friday and for SPX
options that expire on Tuesday or Thursday pursuant to the Pilot
Program. The Exchange proposes to include data regarding XSP options
that expire on Tuesdays or Thursdays as it does for all other Weekly
Expirations in the Pilot Program annual report that it submits to the
Securities and Exchange Commission (``Commission'') at least
[[Page 47805]]
two months prior to the expiration date of the Pilot Program.\4\ The
Exchange is required to submit an annual report at least yearly. The
annual report to the Commission addresses the following areas: Analysis
of Volume & Open Interest, Monthly Analysis of Weekly Expirations & EOM
Trading Patterns and Provisional Analysis of Index Price Volatility.
Going forward, the Exchange will include the same areas of analysis for
XSP options with Tuesday and Thursday expirations in the annual
reports. The Exchange also proposes to include the following market
quality data, over sample periods determined by the Exchange and the
Commission, for XSP options as part of the annual report, as it does
for SPX options:
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\4\ See Nonstandard Expirations Pilot Approval Order.
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time-weighted relative quoted spreads;
relative effective spreads; and
time-weighted bid and offer sizes.
The Exchange also will provide the Commission with any additional
data or analyses the Commission requests because it deems such data or
analyses necessary to determine whether the Pilot Program, including
XSP options with Tuesday and Thursday expirations as proposed, is
consistent with the Exchange Act. As it does for current Pilot Program
products, the Exchange will make public on its website all data and
analyses in connection with XSP options with Tuesday and Thursday
expirations it submits to the Commission under the Pilot Program.
The Exchange believes there is sufficient investor interest and
demand in XSP options with Tuesday and Thursday expirations to warrant
inclusion in the Pilot Program and that the Pilot Program, as amended,
will continue to provide investors with additional means of managing
their risk exposures and carrying out their investment objectives.\5\
The Exchange notes that during the Pilot Program's approximately 12-
year tenure, the Exchange has not observed any significant adverse
market effects or identified any regulatory concerns as a result of the
Pilot Program, nor does it believe that additional expirations listed
under the Pilot Program would result in any such impact or regulatory
concerns. Based on a study conducted by Commission staff on the pilot
data (including quarterly, weekly, EOM and third Friday expirations for
P.M.-settled XSP options),\6\ 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 XSP options that settle at the close or the amount of expiring
open interest in P.M.-settled XSP options.\7\
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\5\ The Exchange currently lists Tuesday and Thursday
expirations in SPX options. The Exchange also already allows XSP
options to expire on Tuesdays for normally Monday or Wednesday
expiring XSP options when the Exchange is not open for business on a
respective Monday or Wednesday (as applicable), and already allows
XSP options to expire on Thursdays for normally Friday expiring XSP
options when the Exchange is not open for business on a respective
Friday. Also, EOM options in XSP (and other broad-based indexes) may
currently be listed to expire on a Tuesday or Thursday.
\6\ See Securities and Exchange Commission, Division of Economic
Risk and Analysis, Memorandum, Cornerstone Analysis of PM Cash-
Settled Index Option Pilots (February 2, 2021) (``SEC PM Pilot
Memo'') at 13, available at: https://www.sec.gov/files/Analysis_of_PM_Cash_Settled_Index_Option_Pilots.pdf (``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 [XSP]
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.'')
\7\ See id. at 3. 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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With regard to the impact of this proposal on system capacity, the
Exchange has analyzed its capacity and represents that it believes that
the Exchange and OPRA have the necessary systems capacity to handle any
potential additional traffic associated with trading of XSP options
with Tuesday and Thursday expirations. The Exchange does not believe
that its Trading Permit Holders (``TPHs'') will experience any capacity
issues as a result of this proposal and represents that it will monitor
the trading volume associated with any possible additional options
series listed as a result of this proposal and the effect (if any) of
these additional series on market fragmentation and on the capacity of
the Exchange's automated systems.
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.\8\ Specifically, the
Exchange believes the proposed rule change is consistent with the
Section 6(b)(5) \9\ 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 facilitation
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) \10\ requirement that the rules of an exchange not be
designed to permit unfair discrimination between customers, issuers,
brokers, or dealers.
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\8\ 15 U.S.C. 78f(b).
\9\ 15 U.S.C. 78f(b)(5).
\10\ Id.
---------------------------------------------------------------------------
In particular, the Exchange believes that the proposed rule change
will 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 by providing investors with greater
trading and hedging opportunities and flexibility, allowing them to
transact in XSP options in a manner more aligned with specific timing
needs and more effectively tailor their investment and hedging
objectives by listing XSP options that expire each trading day of the
week. The Exchange does not believe that the addition of XSP options
with Tuesday and Thursday expirations to the Pilot Program will raise
any prohibitive regulatory concerns or adversely impact fair and
orderly markets on expiration days. The Exchange has not observed any
meaningful regulatory concerns or adverse impact on fair and orderly
markets in connection with the listing and trading of XSP options with
Monday, Wednesday and Friday expirations or with the recent listing and
trading SPX options with expirations on Monday through. Particularly,
the Exchange does not believe an increase in the number of P.M.-settled
XSP options series will have any significant adverse economic impact on
the futures, index, or underlying index component securities markets.
The Exchange will include analysis in connection with XSP options
that expire on Tuesdays and Thursdays in the same manner that it
currently does for other Pilot Program products, as described above, in
the annual reports it submits to the Commission. The Exchange also will
provide the Commission with any additional data or analyses that it may
request if it deems such data or analyses necessary to determine
whether the
[[Page 47806]]
Pilot Program, including XSP options with Tuesday and Thursday
expirations as proposed, is consistent with the Exchange Act. The
Exchange represents that it believes that it has the necessary systems
capacity to support any additional traffic associated with trading of
XSP options with Tuesday and Thursday expirations and does not believe
that its TPHs will experience any capacity issues as a result of this
proposal. The Exchange will monitor the trading volume associated with
any possible additional options series listed and the effect (if any)
of these additional series on market fragmentation and on the capacity
of the Exchange's automated systems.
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 because XSP options with Tuesday
and Thursday expirations will be available to all market participants.
By listing XSP options that expire Tuesdays and Thursdays, the proposed
rule change will provide all investors that participate in the XSP
options market greater trading and hedging opportunities and
flexibility to meet their investment and hedging needs. Additionally,
Tuesday and Thursday expiring XSP options will trade in the same manner
as Weekly Expirations currently trade.
The Exchange does not believe that the proposal to list XSP options
with Tuesday and Thursday expirations will impose any burden on
intermarket competition that is not necessary or appropriate in
furtherance of the purposes of the Act because XSP options are
proprietary Exchange products. Other exchanges offer nonstandard
expiration programs for index options as well as short-term options
programs for certain equity options and are welcome to similarly
propose to list Tuesday and Thursday options on those indexes or equity
products. To the extent that the addition of XSP options that expire on
Tuesdays and Thursdays available for trading on the Exchange makes the
Exchange a more attractive marketplace to market participants at other
exchanges, such market participants are free to elect to become market
participants on the Exchange.
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 (https://www.sec.gov/rules/sro.shtml); or
Send an email to [email protected]. Please include
File Number SR-CBOE-2022-039 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-2022-039. This file
number should be included on the subject line if email is used. To help
the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's internet website (https://www.sec.gov/rules/sro.shtml).
Copies of the submission, all subsequent amendments, all written
statements with respect to the proposed rule change that are filed with
the Commission, and all written communications relating to the proposed
rule change between the Commission and any person, other than those
that may be withheld from the public in accordance with the provisions
of 5 U.S.C. 552, will be available for website viewing and printing in
the Commission's Public Reference Room, 100 F Street NE, Washington, DC
20549 on official business days between the hours of 10:00 a.m. and
3:00 p.m. Copies of the filing also will be available for inspection
and copying at the principal office of the Exchange. All comments
received will be posted without change. Persons submitting comments are
cautioned that we do not redact or edit personal identifying
information from comment submissions. You should submit only
information that you wish to make available publicly. All submissions
should refer to File Number SR-CBOE-2022-039, and should be submitted
on or before August 25, 2022.
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\11\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\11\
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2022-16657 Filed 8-3-22; 8:45 am]
BILLING CODE P
