Self-Regulatory Organizations; Nasdaq ISE, LLC; Order Granting Approval of a Proposed Rule Change To Permit the Listing and Trading of P.M.-Settled Nasdaq-100 Index Options That Expire on Tuesday or Thursday Under Its Nonstandard Expirations Pilot Program, 47807-47809 [2022-16660]

Download as PDF Federal Register / Vol. 87, No. 149 / Thursday, August 4, 2022 / Notices securities law requirements and assures the public availability of such information. Form F–7 takes approximately 4 hours per response to prepare and is filed by approximately 3 respondents. We estimate that 25% of 4 hours per response (one hour) is prepared by the company for a total annual reporting burden of 3 hours (1 hour per response × 3 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 minimize the burden of the collection of information on respondents, including through the use of automated collection techniques or other forms of information 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. 2022–16677 Filed 8–3–22; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION jspears on DSK121TN23PROD with NOTICES [Release No. 34–95393; File No. SR–ISE– 2022–13] Self-Regulatory Organizations; Nasdaq ISE, LLC; Order Granting Approval of a Proposed Rule Change To Permit the Listing and Trading of P.M.-Settled Nasdaq-100 Index Options That Expire on Tuesday or Thursday Under Its Nonstandard Expirations Pilot Program July 29, 2022. I. Introduction On June 1, 2022, Nasdaq ISE, LLC (‘‘ISE’’ or the Exchange’’) filed with the Securities and Exchange Commission VerDate Sep<11>2014 17:25 Aug 03, 2022 Jkt 256001 (‘‘Commission’’), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (‘‘Act’’) 1 and Rule 19b–4 thereunder,2 a proposed rule change to add P.M.-settled Nasdaq-100 Index (‘‘NDX’’) options that expire on Tuesday or Thursday to the Exchange’s Nonstandard Expirations Pilot Program (‘‘Pilot Program’’). The proposed rule change was published for comment in the Federal Register on June 21, 2022.3 No comments were received. The Commission is approving the proposed rule change. II. Description of the Proposal The Exchange proposes to amend Supplementary Material .07 to Options 4A, Section 12, which governs its Pilot Program, to permit P.M.-settled Nasdaq100 Index (‘‘NDXP’’) 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 (‘‘Weekly Expirations’’) and (2) the last trading day of the month (‘‘End of Month Expirations’’ or ‘‘EOMs’’).4 Specifically, the proposed rule change amends Supplementary Material .07(a) Options 4A, Section 12 to add NDXP options (P.M.-settled) that expire on Tuesday or Thursday (‘‘Tuesday and Thursday NDXP Expirations’’) as permissible Weekly Expirations under the Pilot Program (currently set to expire on November 4, 2022).5 The Exchange notes that permitting Tuesday and Thursday NDXP Expirations, as proposed, is in addition to the NDXP options with Monday, Wednesday and Friday expirations that the Exchange may (and does) already list pursuant to Supplementary Material .07(a) to Options 4A, Section 12.6 The Pilot Program for Weekly Expirations will apply to Tuesday and Thursday NDXP Expirations in the same manner as it currently applies to P.M.-settled broadbased index options with Monday, Wednesday and Friday expirations.7 As proposed, Supplementary Material .07(a) to Options 4A, Section 12 provides that the Exchange may open for trading Weekly Expirations on NDX options to expire on any Tuesday or Thursday (other than days that coincide with the third Friday-of-the-month or an EOM expiration).8 The proposed weekly Tuesday and Thursday NDXP Expirations will be subject to all provisions of Supplementary Material .07(a) to Options 4A, Section 12 in the same manner as existing Monday, Wednesday, and Friday expirations.9 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 Options 4A, Section 12(a)(3) for standard options on the same broadbased index (which is 12 for NDXP options).10 Further, other expirations in the same class are not counted as part of the maximum number of Weekly Expirations for an applicable broadbased index class.11 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.12 Weekly Expirations that are initially listed in a given class may expire up to four weeks from the actual listing date.13 Additionally, the Tuesday and Thursday NDXP Expirations will be treated the same as options on the same underlying index that expire on the third Friday of the expiration month, except that they will be P.M.-settled and new series in Weekly Expirations may be added up to and including on the expiration date for an expiring Weekly Expiration.14 If the Exchange is not open for business on a Tuesday or Thursday, the normally Tuesday- or Thursdayexpiring NDXP options will expire on the previous business day.15 The proposed rule change also adds that, if two different Weekly Expirations on NDX 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 8 See id. id. 10 See proposed Supplementary Material .07(a) to Options 4A, Section 12. See also Notice, supra note 3, at 36895. 11 See proposed Supplementary Material .07(a) to Options 4A, Section 12. 12 See id. 13 See id. 14 See also Notice, supra note 3, at 36894. 15 See id. at 36895. 9 See 1 15 U.S.C. 78s(b)(1). CFR 240.19b–4. 3 See Securities Exchange Act Release No. 95101 (June 14, 2022), 87 FR 36894 (‘‘Notice’’). 4 See Supplementary Material .07 to Options 4A, Section 12. 5 See Notice, supra note 3, at 36894. 6 See id. 7 See id. 2 17 PO 00000 Frm 00119 Fmt 4703 Sfmt 4703 47807 E:\FR\FM\04AUN1.SGM 04AUN1 jspears on DSK121TN23PROD with NOTICES 47808 Federal Register / Vol. 87, No. 149 / Thursday, August 4, 2022 / Notices Weekly Expirations.16 Transactions in Weekly Expirations may be effected on the Exchange between the hours of 9:30 a.m. (Eastern Time) and 4:15 p.m. (Eastern Time), except that on the last trading day, transactions in expiring Weekly Expirations may be effected on the Exchange between the hours of 9:30 a.m. (Eastern time) and 4:00 p.m. (Eastern time).17 proposes to include the following market quality data, over sample periods determined by the Exchange and the Commission, for NDXP options (NDXP and standard NDX options) as part of the annual reports going forward: (1) time-weighted relative quoted spreads; (2) relative effective spreads; and (3) time-weighted bid and offer sizes.25 Pilot Report The Exchange proposes to abide by the same reporting requirements for the trading of Tuesday and Thursday NDXP Expirations that it does for the trading of P.M.-settled options on broad-based indexes that expire on any Monday, Wednesday, or Friday pursuant to the Pilot Program.18 The Exchange represented that it will continue to provide the Commission with ongoing data regarding Tuesday and Thursday NDXP Expirations unless and until the Nonstandard Pilot is made permanent or discontinued.19 As provided in the Pilot Program Approval Order,20 the annual report will contain an analysis of volume, open interest and trading patterns. In addition, for series that exceed certain minimum open interest parameters, the annual report will provide analysis of index price volatility and, if needed, share trading activity.21 Additionally, the Exchange 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 Tuesday and Thursday NDXP Expirations as proposed, is consistent with the Exchange Act.22 As it does for current Pilot Program products, the Exchange will make public on its website all data and analyses in connection with Tuesday and Thursday NDXP Expirations it submits to the Commission under the Pilot Program.23 Going forward, the Exchange states that it will include the same areas of analysis for Tuesday and Thursday NDXP Expirations.24 The Exchange also Implementation The Exchange proposes to implement this rule change on or before August 1, 2022. The Exchange will issue an Options Trader Alert to notify members and member organizations of the implementation date.26 16 See id. 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. Id. 17 See id. 18 See id. 19 See id. 20 See Securities Exchange Act Release No. 82612 (February 1, 2018), 83 FR 5470 (February 7, 2018) (approving SR–ISE–2017–111) (Order Approving a Proposed Rule Change To Establish a Nonstandard Expirations Pilot Program). 21 See Notice, supra note 3, at 36895. 22 See id. 23 See id. 24 See id. VerDate Sep<11>2014 17:25 Aug 03, 2022 Jkt 256001 III. Discussion and Commission Findings After careful review, the Commission finds that the proposed rule change is consistent with the requirements of the Act and the rules and regulations thereunder applicable to a national securities exchange and, in particular, with Section 6(b) of the Act.27 In particular, the Commission finds that the proposed rule change is consistent with Section 6(b)(5) of the Act, 28 which requires, among other things, that a national securities exchange have rules designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in regulating, clearing, settling, processing information with respect to, and facilitating transactions in securities, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. As the Commission noted in its recent order approving the listing and trading of P.M.-settled options on the S&P 500 Index that expire on Tuesday or Thursday, the Commission has had concerns about the potential adverse effects and impact of P.M. settlement upon market volatility and the operation of fair and orderly markets on the underlying cash markets at or near the close of trading, including for cashsettled derivatives contracts based on a broad-based index.29 The potential 25 See id. at 36895–96. id. at 36896. 27 15 U.S.C. 78f(b). In approving this proposed rule change, the Commission has considered the proposed rule’s impact on efficiency, competition, and capital formation. See 15 U.S.C. 78c(f). 28 15 U.S.C. 78f(b)(5). 29 See Securities Exchange Act Release No. 94682 (April 12, 2022), 87 FR 22993 (April 18, 2022) (CBOE–2022–005). 26 See PO 00000 Frm 00120 Fmt 4703 Sfmt 4703 impact today remains unclear, given the significant changes in the closing procedures of the primary markets in recent decades. The Commission is mindful of the historical experience with the impact of P.M. settlement of cash-settled index derivatives on the underlying cash markets, but recognizes that these risks may be mitigated today by the enhanced closing procedures that are now in use at the primary equity markets. The Exchange’s proposal to add Tuesday and Thursday NDXP Expirations to the existing Pilot Program would offer additional investment options to investors and may be useful for their investment or hedging objectives while providing the Commission with data to monitor the effects of Tuesday and Thursday NDXP Expirations and the impact of P.M. settlement on the markets. To assist the Commission in assessing any potential impact of Tuesday and Thursday NDXP Expirations on the options markets as well as the underlying cash equities markets, the Exchange will be required to submit data to the Commission in connection with the Pilot Program.30 Further, including the proposed Tuesday and Thursday NDXP Expirations in the Pilot Program, together with the data and analysis that the Exchange will provide to the Commission, will allow the Exchange and the Commission to monitor for and assess any potential for adverse market effects of allowing Tuesday and Thursday NDXP Expirations, including on the underlying component stocks. In particular, the data collected from the Pilot Program will help inform the Commission’s consideration of whether the Pilot Program, as amended to include Tuesday and Thursday NDXP Expirations, should be modified, discontinued, extended, or permanently approved. Furthermore, the Exchange’s ongoing analysis of the Pilot Program should help it monitor any potential risks from large P.M.-settled positions and take appropriate action if warranted. For the foregoing reasons, the Commission finds that the proposed rule change is consistent with the Ac t. IV. Conclusion It is therefore ordered, pursuant to Section 19(b)(2) of the Act,31 that the proposed rule change (SR–ISE–2022– 13), be, and hereby is, approved. 30 See 31 15 E:\FR\FM\04AUN1.SGM Notice, supra note 3, at 36895–96. U.S.C. 78s(b)(2). 04AUN1 Federal Register / Vol. 87, No. 149 / Thursday, August 4, 2022 / Notices For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.32 J. Matthew DeLesDernier, Deputy Secretary. [FR Doc. 2022–16660 Filed 8–3–22; 8:45 am] BILLING CODE 8011–01–P (A) Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change SECURITIES AND EXCHANGE COMMISSION [Release No. 34–95394; File No. SR–ICEEU– 2022–014] Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing of Proposed Rule Change Relating to the ICE Clear Europe Outsourcing Policy 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 19, 2022, ICE Clear Europe Limited filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed rule changes described in Items I, II, and III below, which Items have been prepared primarily by ICE Clear Europe. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. jspears on DSK121TN23PROD with NOTICES I. Clearing Agency’s Statement of the Terms of Substance of the Proposed Rule Change ICE Clear Europe Limited (‘‘ICE Clear Europe’’ or the ‘‘Clearing House’’) is submitting its Outsourcing Policy (‘‘Outsourcing Policy’’ or ‘‘Policy’’), which would set out in a consolidated document how the Clearing House manages outsourcing arrangements with third party providers and affiliates of the Clearing House, as well as how the ICE Clear Europe Board maintains oversight of its outsourcing arrangements. A copy of the proposed Outsourcing Policy is set forth in Exhibit 5[sic].3 II. Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, ICE Clear Europe 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 32 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 3 Capitalized terms used but not defined herein have the meanings specified in the ICE Clear Europe Clearing Rules and the Outsourcing Policy. 1 15 VerDate Sep<11>2014 17:25 Aug 03, 2022 Jkt 256001 statements may be examined at the places specified in Item IV below. ICE Clear Europe has prepared summaries, set forth in sections (A), (B), and (C) below, of the most significant aspects of such statements. (a) Purpose ICE Clear Europe is submitting its Outsourcing Policy which would describe, in a consolidated document, the Clearing House’s procedures for management of its outsourcing arrangements. The Outsourcing Policy would complement the existing ICE Clear Europe Vendor Management Policy (‘‘VMP’’), which describes certain group-wide policies of the Clearing House’s ultimate parent, Intercontinental Exchange, Inc., with respect to its outsourcing arrangements with third parties. The Outsourcing Policy also references ICE Clear Europe’s Outsourcing Operating Manual (‘‘OOM’’), which sets out additional details concerning the steps it follows in order to introduce, amend and/or maintain outsourcing arrangements. The purpose of the Outsourcing Policy would be to set out, in a consolidated document, how the Clearing House manages its outsourcing arrangements, both with third party providers and its affiliates, and how the Clearing House’s Board maintains oversight of the outsourcing arrangements. Together with the VMP, the Outsourcing Policy is intended to document how the Clearing House assesses the risks of outsourcing certain functions. The Policy is not expected to represent a change in the Clearing House’s current practices, but rather to more clearly document those practices in a Clearing House level policy. The Outsourcing Policy would include an introduction section which describes the differences between outsourcing and purchasing services, the former being the Clearing House’s use of a service provider to perform an ongoing activity that would usually be performed by the Clearing House and which often involves transferring or sharing related non-public proprietary information, and the latter being the Clearing House’s purchases of services, goods and facilities and which would typically not include any transfer of non-public proprietary information. The Outsourcing Policy would also differentiate the Clearing House’s outsourcing practices and purchasing arrangements in respect of third-party providers, which would be managed PO 00000 Frm 00121 Fmt 4703 Sfmt 4703 47809 through the VMP, from outsourcing through its affiliates, which would typically have a lower risk profile for the Clearing House because such affiliates tend to be regulated entities with the same or similar systems, risk appetites, standards and processes, among other commonalities, as the Clearing House. The Policy would set out the Clearing House’s overall objectives when considering outsourcing. The Policy would include a discussion of outsourcing to third parties and outsourcing to the Clearing House’s affiliates. As mentioned, outsourcing to third parties is covered under the VMP, which covers due diligence, risk assessment, suitability, and performance management, among other topics. Outsourcing to affiliates of the Clearing House would follow the same process and standards as under the VMP; however, assessment would be performed by ICE Clear Europe’s senior management rather than the Clearing House’s Vendor Management Office. In all cases, the Clearing House would look to ensure that all service provider related incidents (such as service interruptions) are recorded and monitored and escalated to the Clearing House’s senior management in a consistent manner. The Policy would provide the Clearing House would consider in its assessment of service providers that there can be lower risk in outsourcing functions to third parties that are also regulated or authorized. The Clearing House would consider in its assessment of a service provider how the service provider’s jurisdiction impacts the risks associated with outsourcing functions to that service providers. ICE Clear Europe proposes to include in the Policy that it looks to manage any potential or actual conflicts of interest resulting from its outsourcing arrangements, particularly in respect of outsourcing arrangements it has with its affiliates. Additionally, ICE Clear Europe proposes to include in the Policy that it looks to reserve independent audit rights to check compliance with legal and regulatory requirements and policies in its outsourcing agreements with third party and affiliate service providers, as required. ICE Clear Europe also proposes to include in the Policy information about its cloud-based outsourcing arrangements. Outsourcing to the cloud is generally covered under the existing VMP. Relevant ICE Clear Europe and ICE Group policies, such as the Corporate Information Security Policy would also be considered when E:\FR\FM\04AUN1.SGM 04AUN1

Agencies

[Federal Register Volume 87, Number 149 (Thursday, August 4, 2022)]
[Notices]
[Pages 47807-47809]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-16660]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-95393; File No. SR-ISE-2022-13]


Self-Regulatory Organizations; Nasdaq ISE, LLC; Order Granting 
Approval of a Proposed Rule Change To Permit the Listing and Trading of 
P.M.-Settled Nasdaq-100 Index Options That Expire on Tuesday or 
Thursday Under Its Nonstandard Expirations Pilot Program

July 29, 2022.

I. Introduction

    On June 1, 2022, Nasdaq ISE, LLC (``ISE'' or the Exchange'') filed 
with the Securities and Exchange Commission (``Commission''), pursuant 
to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') 
\1\ and Rule 19b-4 thereunder,\2\ a proposed rule change to add P.M.-
settled Nasdaq-100 Index (``NDX'') options that expire on Tuesday or 
Thursday to the Exchange's Nonstandard Expirations Pilot Program 
(``Pilot Program''). The proposed rule change was published for comment 
in the Federal Register on June 21, 2022.\3\ No comments were received. 
The Commission is approving the proposed rule change.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 95101 (June 14, 
2022), 87 FR 36894 (``Notice'').
---------------------------------------------------------------------------

II. Description of the Proposal

    The Exchange proposes to amend Supplementary Material .07 to 
Options 4A, Section 12, which governs its Pilot Program, to permit 
P.M.-settled Nasdaq-100 Index (``NDXP'') 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 (``Weekly 
Expirations'') and (2) the last trading day of the month (``End of 
Month Expirations'' or ``EOMs'').\4\
---------------------------------------------------------------------------

    \4\ See Supplementary Material .07 to Options 4A, Section 12.
---------------------------------------------------------------------------

    Specifically, the proposed rule change amends Supplementary 
Material .07(a) Options 4A, Section 12 to add NDXP options (P.M.-
settled) that expire on Tuesday or Thursday (``Tuesday and Thursday 
NDXP Expirations'') as permissible Weekly Expirations under the Pilot 
Program (currently set to expire on November 4, 2022).\5\ The Exchange 
notes that permitting Tuesday and Thursday NDXP Expirations, as 
proposed, is in addition to the NDXP options with Monday, Wednesday and 
Friday expirations that the Exchange may (and does) already list 
pursuant to Supplementary Material .07(a) to Options 4A, Section 12.\6\ 
The Pilot Program for Weekly Expirations will apply to Tuesday and 
Thursday NDXP Expirations in the same manner as it currently applies to 
P.M.-settled broad-based index options with Monday, Wednesday and 
Friday expirations.\7\ As proposed, Supplementary Material .07(a) to 
Options 4A, Section 12 provides that the Exchange may open for trading 
Weekly Expirations on NDX options to expire on any Tuesday or Thursday 
(other than days that coincide with the third Friday-of-the-month or an 
EOM expiration).\8\
---------------------------------------------------------------------------

    \5\ See Notice, supra note 3, at 36894.
    \6\ See id.
    \7\ See id.
    \8\ See id.
---------------------------------------------------------------------------

    The proposed weekly Tuesday and Thursday NDXP Expirations will be 
subject to all provisions of Supplementary Material .07(a) to Options 
4A, Section 12 in the same manner as existing Monday, Wednesday, and 
Friday expirations.\9\ 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 Options 4A, Section 12(a)(3) for 
standard options on the same broad-based index (which is 12 for NDXP 
options).\10\ Further, 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.\11\ 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.\12\ Weekly Expirations that are initially listed in a 
given class may expire up to four weeks from the actual listing 
date.\13\ Additionally, the Tuesday and Thursday NDXP Expirations will 
be treated the same as options on the same underlying index that expire 
on the third Friday of the expiration month, except that they will be 
P.M.-settled and new series in Weekly Expirations may be added up to 
and including on the expiration date for an expiring Weekly 
Expiration.\14\
---------------------------------------------------------------------------

    \9\ See id.
    \10\ See proposed Supplementary Material .07(a) to Options 4A, 
Section 12. See also Notice, supra note 3, at 36895.
    \11\ See proposed Supplementary Material .07(a) to Options 4A, 
Section 12.
    \12\ See id.
    \13\ See id.
    \14\ See also Notice, supra note 3, at 36894.
---------------------------------------------------------------------------

    If the Exchange is not open for business on a Tuesday or Thursday, 
the normally Tuesday- or Thursday-expiring NDXP options will expire on 
the previous business day.\15\ The proposed rule change also adds that, 
if two different Weekly Expirations on NDX 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

[[Page 47808]]

Weekly Expirations.\16\ Transactions in Weekly Expirations may be 
effected on the Exchange between the hours of 9:30 a.m. (Eastern Time) 
and 4:15 p.m. (Eastern Time), except that on the last trading day, 
transactions in expiring Weekly Expirations may be effected on the 
Exchange between the hours of 9:30 a.m. (Eastern time) and 4:00 p.m. 
(Eastern time).\17\
---------------------------------------------------------------------------

    \15\ See id. at 36895.
    \16\ See id. 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. Id.
    \17\ See id.
---------------------------------------------------------------------------

Pilot Report
    The Exchange proposes to abide by the same reporting requirements 
for the trading of Tuesday and Thursday NDXP Expirations that it does 
for the trading of P.M.-settled options on broad-based indexes that 
expire on any Monday, Wednesday, or Friday pursuant to the Pilot 
Program.\18\ The Exchange represented that it will continue to provide 
the Commission with ongoing data regarding Tuesday and Thursday NDXP 
Expirations unless and until the Nonstandard Pilot is made permanent or 
discontinued.\19\ As provided in the Pilot Program Approval Order,\20\ 
the annual report will contain an analysis of volume, open interest and 
trading patterns. In addition, for series that exceed certain minimum 
open interest parameters, the annual report will provide analysis of 
index price volatility and, if needed, share trading activity.\21\ 
Additionally, the Exchange 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 Tuesday and Thursday NDXP Expirations as proposed, is 
consistent with the Exchange Act.\22\ As it does for current Pilot 
Program products, the Exchange will make public on its website all data 
and analyses in connection with Tuesday and Thursday NDXP Expirations 
it submits to the Commission under the Pilot Program.\23\ Going 
forward, the Exchange states that it will include the same areas of 
analysis for Tuesday and Thursday NDXP Expirations.\24\ The Exchange 
also proposes to include the following market quality data, over sample 
periods determined by the Exchange and the Commission, for NDXP options 
(NDXP and standard NDX options) as part of the annual reports going 
forward: (1) time-weighted relative quoted spreads; (2) relative 
effective spreads; and (3) time-weighted bid and offer sizes.\25\
---------------------------------------------------------------------------

    \18\ See id.
    \19\ See id.
    \20\ See Securities Exchange Act Release No. 82612 (February 1, 
2018), 83 FR 5470 (February 7, 2018) (approving SR-ISE-2017-111) 
(Order Approving a Proposed Rule Change To Establish a Nonstandard 
Expirations Pilot Program).
    \21\ See Notice, supra note 3, at 36895.
    \22\ See id.
    \23\ See id.
    \24\ See id.
    \25\ See id. at 36895-96.
---------------------------------------------------------------------------

Implementation
    The Exchange proposes to implement this rule change on or before 
August 1, 2022. The Exchange will issue an Options Trader Alert to 
notify members and member organizations of the implementation date.\26\
---------------------------------------------------------------------------

    \26\ See id. at 36896.
---------------------------------------------------------------------------

III. Discussion and Commission Findings

    After careful review, the Commission finds that the proposed rule 
change is consistent with the requirements of the Act and the rules and 
regulations thereunder applicable to a national securities exchange 
and, in particular, with Section 6(b) of the Act.\27\ In particular, 
the Commission finds that the proposed rule change is consistent with 
Section 6(b)(5) of the Act, \28\ which requires, among other things, 
that a national securities exchange have rules designed to prevent 
fraudulent and manipulative acts and practices, to promote just and 
equitable principles of trade, to foster cooperation and coordination 
with persons engaged in regulating, clearing, settling, processing 
information with respect to, and facilitating transactions in 
securities, to remove impediments to and perfect the mechanism of a 
free and open market and a national market system, and, in general, to 
protect investors and the public interest.
---------------------------------------------------------------------------

    \27\ 15 U.S.C. 78f(b). In approving this proposed rule change, 
the Commission has considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
    \28\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    As the Commission noted in its recent order approving the listing 
and trading of P.M.-settled options on the S&P 500 Index that expire on 
Tuesday or Thursday, the Commission has had concerns about the 
potential adverse effects and impact of P.M. settlement upon market 
volatility and the operation of fair and orderly markets on the 
underlying cash markets at or near the close of trading, including for 
cash-settled derivatives contracts based on a broad-based index.\29\ 
The potential impact today remains unclear, given the significant 
changes in the closing procedures of the primary markets in recent 
decades. The Commission is mindful of the historical experience with 
the impact of P.M. settlement of cash-settled index derivatives on the 
underlying cash markets, but recognizes that these risks may be 
mitigated today by the enhanced closing procedures that are now in use 
at the primary equity markets.
---------------------------------------------------------------------------

    \29\ See Securities Exchange Act Release No. 94682 (April 12, 
2022), 87 FR 22993 (April 18, 2022) (CBOE-2022-005).
---------------------------------------------------------------------------

    The Exchange's proposal to add Tuesday and Thursday NDXP 
Expirations to the existing Pilot Program would offer additional 
investment options to investors and may be useful for their investment 
or hedging objectives while providing the Commission with data to 
monitor the effects of Tuesday and Thursday NDXP Expirations and the 
impact of P.M. settlement on the markets. To assist the Commission in 
assessing any potential impact of Tuesday and Thursday NDXP Expirations 
on the options markets as well as the underlying cash equities markets, 
the Exchange will be required to submit data to the Commission in 
connection with the Pilot Program.\30\ Further, including the proposed 
Tuesday and Thursday NDXP Expirations in the Pilot Program, together 
with the data and analysis that the Exchange will provide to the 
Commission, will allow the Exchange and the Commission to monitor for 
and assess any potential for adverse market effects of allowing Tuesday 
and Thursday NDXP Expirations, including on the underlying component 
stocks. In particular, the data collected from the Pilot Program will 
help inform the Commission's consideration of whether the Pilot 
Program, as amended to include Tuesday and Thursday NDXP Expirations, 
should be modified, discontinued, extended, or permanently approved. 
Furthermore, the Exchange's ongoing analysis of the Pilot Program 
should help it monitor any potential risks from large P.M.-settled 
positions and take appropriate action if warranted.
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    \30\ See Notice, supra note 3, at 36895-96.
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    For the foregoing reasons, the Commission finds that the proposed 
rule change is consistent with the Ac t.

IV. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\31\ that the proposed rule change (SR-ISE-2022-13), be, and hereby 
is, approved.
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    \31\ 15 U.S.C. 78s(b)(2).


[[Page 47809]]


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    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\32\
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    \32\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2022-16660 Filed 8-3-22; 8:45 am]
BILLING CODE 8011-01-P
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