Self-Regulatory Organizations; Cboe Exchange, Inc.; Order Approving a Proposed Rule Change To Expand the Nonstandard Expirations Pilot Program To Include P.M.-Settled Options on the Mini-S&P 500 Index That Expire on Tuesday or Thursday, 57745-57747 [2022-20377]

Download as PDF khammond on DSKJM1Z7X2PROD with NOTICES Federal Register / Vol. 87, No. 182 / Wednesday, September 21, 2022 / Notices Credit Fund, LP, Churchill Middle Market CLO VI Ltd., Churchill Middle Market CLO VII Ltd., and Churchill Middle Market Senior Loan Fund (JPY) Series 2022, L.P. FILING DATES: The application was filed on April 15, 2022, and amended on July 11, 2022 and August 17, 2022. HEARING OR NOTIFICATION OF HEARING: An order granting the requested relief will be issued unless the Commission orders a hearing. Interested persons may request a hearing on any application by emailing the SEC’s Secretary at Secretarys-Office@sec.gov and serving the Applicants with a copy of the request by email, if an email address is listed for the relevant Applicant below, or personally or by mail, if a physical address is listed for the relevant Applicant below. Hearing requests should be received by the Commission by 5:30 p.m. on, October 11, 2022, and should be accompanied by proof of service on applicants, in the form of an affidavit or, for lawyers, a certificate of service. Pursuant to rule 0–5 under the Act, hearing requests should state the nature of the writer’s interest, any facts bearing upon the desirability of a hearing on the matter, the reason for the request, and the issues contested. Persons who wish to be notified of a hearing may request notification by emailing the Commission’s Secretary at Secretarys-Office@sec.gov. ADDRESSES: The Commission: Secretarys-Office@sec.gov. Applicants: John McCally, General Counsel, Churchill Asset Management LLC, at john.mccally@churchillam.com, and Steven B. Boehm, Esq., Payam Siadatpour, Esq., and Anne G. Oberndorf, Esq., Eversheds Sutherland (US) LLP, at anneoberndorf@evershedssutherland.us. FOR FURTHER INFORMATION CONTACT: Kieran G. Brown, Senior Counsel, or Terri Jordan, Branch Chief, at (202) 551– 6825 (Division of Investment Management, Chief Counsel’s Office). SUPPLEMENTARY INFORMATION: For Applicants’ representations, legal analysis, and conditions, please refer to Applicants’ second amended and restated application, dated August 17, 2022, which may be obtained via the Commission’s website by searching for the file number at the top of this document, or for an Applicant using the Company name search field, on the SEC’s EDGAR system. The SEC’s EDGAR system may be searched at, https://www.sec.gov/edgar/searchedgar/ legacy/companysearch.html. You may also call the SEC’s Public Reference Room at (202) 551–8090. VerDate Sep<11>2014 19:54 Sep 20, 2022 Jkt 256001 For the Commission, by the Division of Investment Management, under delegated authority. J. Matthew DeLesDernier, Deputy Secretary. [FR Doc. 2022–20369 Filed 9–20–22; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–95795; File No. SR–CBOE– 2022–039] Self-Regulatory Organizations; Cboe Exchange, Inc.; Order Approving a Proposed Rule Change To Expand the Nonstandard Expirations Pilot Program To Include P.M.-Settled Options on the Mini-S&P 500 Index That Expire on Tuesday or Thursday September 15, 2022. I. Introduction On July 21, 2022, Cboe Exchange, Inc. (‘‘Exchange’’ or ‘‘Cboe Options’’) filed with the Securities and Exchange Commission (‘‘Commission’’), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (‘‘Act’’) 1 and Rule 19b–4 thereunder,2 a proposed rule change to expand its Nonstandard Expirations Pilot Program to permit P.M.-settled options on the Mini-S&P 500 Index that expire on Tuesday or Thursday. The proposed rule change was published for comment in the Federal Register on August 4, 2022.3 The Commission received no comments on the proposal. The Commission is approving the proposed rule change. II. Description of the Proposal Cboe Options proposes to expand its existing Nonstandard Expirations Pilot (‘‘Pilot Program’’) 4 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) 1 15 U.S.C. 78s(b)(1). CFR 240.19b–4. 3 See Securities Exchange Act Release No. 95392 (July 29, 2022), 87 FR 47803 (‘‘Notice’’). 4 See Securities Exchange Act Release No. 62911 (September 14, 2010), 75 FR 57539 (September 21, 2010) (‘‘Pilot Approval Order’’). See also Securities Exchange Act Release No. 76909 (January 14, 2016), 81 FR 3512 (January 21, 2016) (permitting P.M.settled options on broad-based indexes that expire on any Wednesday); and Securities Exchange Act Release No. 78531 (August 10, 2016), 81 FR 54643 (August 16, 2016) (permitting P.M.-settled options on broad-based indexes that expire on any Monday). The Pilot is currently set to expire on November 7, 2022. See Securities Exchange Act Release No. 94800 (April 27, 2022), 87 FR 26248 (May 3, 2022). 2 17 PO 00000 Frm 00066 Fmt 4703 Sfmt 4703 57745 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 (‘‘EOMs’’).5 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 Exchange states that the Pilot Program for Weekly Expirations will apply to Tuesday and Thursday XSP options 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.6 A. Tuesday and Thursday XSP Options The Exchange’s proposed rule change will allow it to open for trading XSP options with Tuesday and Thursday expirations to expire on any Tuesday or Thursday of the month, other than days that coincide with an EOM expiration.7 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).8 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.9 Weekly Expirations that are first listed in a given class may expire up to four weeks from the actual listing date.10 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 5 See Rule 4.13(e). Notice, supra note 3, 87 FR at 47804. 7 If the Exchange lists EOMs and Weekly Expirations as applicable in a given class, the Exchange will list an EOM instead of a Weekly Expiration that expires on the same day in the given class. See Cboe Options Rule 4.13(e)(1). 8 See Notice, supra note 3, 87 FR at 47803. 9 See Cboe Options Rule 4.13(e)(1). 10 Id. 6 See E:\FR\FM\21SEN1.SGM 21SEN1 57746 Federal Register / Vol. 87, No. 182 / Wednesday, September 21, 2022 / Notices 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.11 If two different Weekly Expirations on MiniS&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.12 B. Annual Pilot Program Report The Exchange has previously undertaken to submit a Pilot report to the Commission at least two months prior to the expiration date of the Pilot Program (‘‘Annual Report’’).13 The Exchange represents that it will 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.14 The Exchange states that it will 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 Commission at least two months prior to the expiration date of the Pilot Program.15 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; 11 Id. 12 See proposed Cboe Options Rule 4.13(e)(1). Pilot Approval Order, supra note 4. 14 See Notice, supra note 3, 87 FR at 47804– 47805. See also Pilot Approval Order, supra note 4, 75 FR at 57540 (stating, ‘‘[i]n particular, the Commission notes that [the Exchange] will provide the Commission with the annual report analyzing volume and open interest of EOWs and EOMs, will also contain information and analysis of EOW and EOM trading patterns, and index price volatility and share trading activity for series that exceed minimum parameters.’’). 15 See Notice, supra note 3, 87 FR at 47804– 47805. khammond on DSKJM1Z7X2PROD with NOTICES 13 See VerDate Sep<11>2014 19:54 Sep 20, 2022 Jkt 256001 • relative effective spreads; and • time-weighted bid and offer sizes.16 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 Act.17 As it does for current Pilot Program products, the Exchange states it will make public on its website all data and analyses in connection with XSP options with Tuesday and Thursday expirations it submits to the Commission under the Pilot Program.18 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.19 In particular, the Commission finds that the proposed rule change is consistent with Section 6(b)(5) of the Act,20 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.21 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. The Exchange’s proposal to add Tuesday and Thursday XSP 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 XSP expirations and the impact of P.M. settlement on the markets. To assist the Commission in assessing any potential impact of Tuesday and Thursday XSP expiration 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.22 Further, including the proposed Tuesday and Thursday XSP 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 XSP 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 XSP 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 Act. IV. Conclusion 16 See id. at 47805. 17 See id. 18 See id. 19 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). 20 15 U.S.C. 78f(b)(5). 21 See Securities Exchange Act Release No. 94682 (April 12, 2022), 87 FR 22993 (April 18, 2022) (CBOE–2022–005). PO 00000 Frm 00067 Fmt 4703 Sfmt 4703 It is therefore ordered, pursuant to Section 19(b)(2) of the Act,23 that the proposed rule change (SR–CBOE–2022– 039) be, and hereby is, approved. 22 See Notice, supra note 3, 87 FR at 47804–47805 and Pilot Approval Order, supra note 4, 75 FR at 57540. See also supra notes 15–18. 23 15 U.S.C. 78s(b)(2). E:\FR\FM\21SEN1.SGM 21SEN1 Federal Register / Vol. 87, No. 182 / Wednesday, September 21, 2022 / Notices For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.24 J. Matthew DeLesDernier, Deputy Secretary. [FR Doc. 2022–20377 Filed 9–20–22; 8:45 am] BILLING CODE 8011–01–P SMALL BUSINESS ADMINISTRATION [Disaster Declaration #17624 and #17625; WEST VIRGINIA Disaster Number WV– 00057] Administrative Declaration of a Disaster for the State of West Virginia U.S. Small Business Administration. ACTION: Notice. AGENCY: This is a notice of an Administrative declaration of a disaster for the State of West Virginia dated 09/ 15/2022. Incident: Severe Storms and Flooding. Incident Period: 05/06/2022. DATES: Issued on 09/15/2022. Physical Loan Application Deadline Date: 11/14/2022. Economic Injury (EIDL) Loan Application Deadline Date: 06/15/2023. ADDRESSES: Submit completed loan applications to: U.S. Small Business Administration, Processing and Disbursement Center, 14925 Kingsport Road, Fort Worth, TX 76155. FOR FURTHER INFORMATION CONTACT: A. Escobar, Office of Disaster Assistance, U.S. Small Business Administration, 409 3rd Street SW, Suite 6050, Washington, DC 20416, (202) 205–6734. SUPPLEMENTARY INFORMATION: Notice is hereby given that as a result of the Administrator’s disaster declaration, applications for disaster loans may be filed at the address listed above or other locally announced locations. The following areas have been determined to be adversely affected by the disaster: Primary Counties: Cabell. Contiguous Counties: West Virginia: Lincoln, Mason, Putnam, Wayne. Ohio: Gallia, Lawrence. The Interest Rates are: SUMMARY: khammond on DSKJM1Z7X2PROD with NOTICES Percent For Physical Damage: Homeowners with Credit Available Elsewhere .................... Homeowners without Credit Available Elsewhere ............ Businesses with Credit Available Elsewhere .................... 24 17 3.375 1.688 5.870 CFR 200.30–3(a)(12). VerDate Sep<11>2014 19:54 Sep 20, 2022 Jkt 256001 57747 at 202–647–9894, or by mail at Office of Mexican Affairs—Room 3924, Department of State, 2201 C St. NW, 2.935 Washington, DC 20520. Percent Businesses without Credit Available Elsewhere ............ Non-Profit Organizations with Credit Available Elsewhere Non-Profit Organizations without Credit Available Elsewhere ................................... For Economic Injury: Businesses & Small Agricultural Cooperatives without Credit Available Elsewhere Non-Profit Organizations without Credit Available Elsewhere ................................... 1.875 Hillary Quam, Border Coordinator, Office of Mexican Affairs, Department of State. 1.875 [FR Doc. 2022–20385 Filed 9–20–22; 8:45 am] BILLING CODE 4710–29–P 2.935 SURFACE TRANSPORTATION BOARD 1.875 The number assigned to this disaster for physical damage is 17624 6 and for economic injury is 17625 0. The States which received an EIDL Declaration # are Ohio, West Virginia. (Catalog of Federal Domestic Assistance Number 59008.) Isabella Guzman, Administrator. [FR Doc. 2022–20351 Filed 9–20–22; 8:45 am] BILLING CODE 8026–09–P DEPARTMENT OF STATE [Public Notice: 11863] Regional Meeting of the Binational Bridges and Border Crossings Group in San Luis, Arizona ACTION: Notice of a meeting. Delegates from the United States and Mexican governments, the states of California and Arizona, and the Mexican states of Baja California and Sonora will participate in a regional meeting of the U.S.-Mexico Binational Bridges and Border Crossings Group on Thursday, October 27, 2022 in San Luis, Arizona. The purpose of this meeting is to discuss operational matters involving existing and proposed international bridges and border crossings and their related infrastructure and to exchange technical information as well as views on policy. This meeting will include a public session on Thursday, October 27, 2022 from 8:30 a.m. until 11:30 a.m. This session will allow proponents of proposed bridges and border crossings and related projects to make presentations to the delegations and members of the public. DATES: October 27, 2022. SUPPLEMENTARY INFORMATION: For further information on the meeting and to attend the public session, please contact the Office of Mexican Affairs’ Border Affairs Unit via email at WHABorderAffairs@state.gov, by phone SUMMARY: PO 00000 Frm 00068 Fmt 4703 Sfmt 4703 [Docket No. EP 670 (Sub-No. 1)] Notice of Rail Energy Transportation Advisory Committee Meeting Surface Transportation Board. Notice of Rail Energy Transportation Advisory Committee meeting. AGENCY: ACTION: Notice is hereby given of a meeting of the Rail Energy Transportation Advisory Committee (RETAC), pursuant to the Federal Advisory Committee Act. DATES: The meeting will be held on Wednesday, October 26, 2022, at 9 a.m. EDT. ADDRESSES: The meeting will be held at the Surface Transportation Board headquarters at 395 E Street SW, Washington, DC 20423. FOR FURTHER INFORMATION CONTACT: Kristen Nunnally at (202) 245–0312 or Kristen.Nunnally@stb.gov. Assistance for the hearing impaired is available through the Federal Relay Service at (800) 877–8339. SUPPLEMENTARY INFORMATION: RETAC was formed in 2007 to provide advice and guidance to the Board, and to serve as a forum for discussion of emerging issues related to the transportation of energy resources by rail. Establishment of a Rail Energy Transp. Advisory Comm., EP 670 (STB served July 17, 2007). The purpose of this meeting is to facilitate discussions regarding issues including rail service, infrastructure planning and development, and effective coordination among suppliers, rail carriers, and users of energy resources. Potential agenda items for this meeting include a rail performance measures review, industry segment updates by RETAC members, and a roundtable discussion. The meeting, which is open to the public, will be conducted in accordance with the Federal Advisory Committee Act, 5 U.S.C. app. 2; Federal Advisory Committee Management regulations, 41 CFR parts 102–3; RETAC’s charter; and Board procedures. Further communications about this meeting may SUMMARY: E:\FR\FM\21SEN1.SGM 21SEN1

Agencies

[Federal Register Volume 87, Number 182 (Wednesday, September 21, 2022)]
[Notices]
[Pages 57745-57747]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-20377]


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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-95795; File No. SR-CBOE-2022-039]


Self-Regulatory Organizations; Cboe Exchange, Inc.; Order 
Approving a Proposed Rule Change To Expand the Nonstandard Expirations 
Pilot Program To Include P.M.-Settled Options on the Mini-S&P 500 Index 
That Expire on Tuesday or Thursday

September 15, 2022.

I. Introduction

    On July 21, 2022, Cboe Exchange, Inc. (``Exchange'' or ``Cboe 
Options'') filed with the Securities and Exchange Commission 
(``Commission''), pursuant to Section 19(b)(1) of the Securities 
Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder,\2\ a 
proposed rule change to expand its Nonstandard Expirations Pilot 
Program to permit P.M.-settled options on the Mini-S&P 500 Index that 
expire on Tuesday or Thursday. The proposed rule change was published 
for comment in the Federal Register on August 4, 2022.\3\ The 
Commission received no comments on the proposal. 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. 95392 (July 29, 
2022), 87 FR 47803 (``Notice'').
---------------------------------------------------------------------------

II. Description of the Proposal

    Cboe Options proposes to expand its existing Nonstandard 
Expirations Pilot (``Pilot Program'') \4\ 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 (``EOMs'').\5\ 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 
Exchange states that the Pilot Program for Weekly Expirations will 
apply to Tuesday and Thursday XSP options 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.\6\
---------------------------------------------------------------------------

    \4\ See Securities Exchange Act Release No. 62911 (September 14, 
2010), 75 FR 57539 (September 21, 2010) (``Pilot Approval Order''). 
See also Securities Exchange Act Release No. 76909 (January 14, 
2016), 81 FR 3512 (January 21, 2016) (permitting P.M.-settled 
options on broad-based indexes that expire on any Wednesday); and 
Securities Exchange Act Release No. 78531 (August 10, 2016), 81 FR 
54643 (August 16, 2016) (permitting P.M.-settled options on broad-
based indexes that expire on any Monday). The Pilot is currently set 
to expire on November 7, 2022. See Securities Exchange Act Release 
No. 94800 (April 27, 2022), 87 FR 26248 (May 3, 2022).
    \5\ See Rule 4.13(e).
    \6\ See Notice, supra note 3, 87 FR at 47804.
---------------------------------------------------------------------------

A. Tuesday and Thursday XSP Options

    The Exchange's proposed rule change will allow it to open for 
trading XSP options with Tuesday and Thursday expirations to expire on 
any Tuesday or Thursday of the month, other than days that coincide 
with an EOM expiration.\7\ 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).\8\
---------------------------------------------------------------------------

    \7\ If the Exchange lists EOMs and Weekly Expirations as 
applicable in a given class, the Exchange will list an EOM instead 
of a Weekly Expiration that expires on the same day in the given 
class. See Cboe Options Rule 4.13(e)(1).
    \8\ See Notice, supra note 3, 87 FR at 47803.
---------------------------------------------------------------------------

    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.\9\ Weekly Expirations that are 
first listed in a given class may expire up to four weeks from the 
actual listing date.\10\ 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

[[Page 57746]]

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.\11\ 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.\12\
---------------------------------------------------------------------------

    \9\ See Cboe Options Rule 4.13(e)(1).
    \10\ Id.
    \11\ Id.
    \12\ See proposed Cboe Options Rule 4.13(e)(1).
---------------------------------------------------------------------------

B. Annual Pilot Program Report

    The Exchange has previously undertaken to submit a Pilot report to 
the Commission at least two months prior to the expiration date of the 
Pilot Program (``Annual Report'').\13\ The Exchange represents that it 
will 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.\14\ The Exchange 
states that it will 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 Commission at 
least two months prior to the expiration date of the Pilot Program.\15\ 
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:
---------------------------------------------------------------------------

    \13\ See Pilot Approval Order, supra note 4.
    \14\ See Notice, supra note 3, 87 FR at 47804-47805. See also 
Pilot Approval Order, supra note 4, 75 FR at 57540 (stating, ``[i]n 
particular, the Commission notes that [the Exchange] will provide 
the Commission with the annual report analyzing volume and open 
interest of EOWs and EOMs, will also contain information and 
analysis of EOW and EOM trading patterns, and index price volatility 
and share trading activity for series that exceed minimum 
parameters.'').
    \15\ See Notice, supra note 3, 87 FR at 47804-47805.
---------------------------------------------------------------------------

     time-weighted relative quoted spreads;
     relative effective spreads; and
     time-weighted bid and offer sizes.\16\
---------------------------------------------------------------------------

    \16\ See id. at 47805.
---------------------------------------------------------------------------

    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 Act.\17\ As it does for current Pilot Program 
products, the Exchange states it will make public on its website all 
data and analyses in connection with XSP options with Tuesday and 
Thursday expirations it submits to the Commission under the Pilot 
Program.\18\
---------------------------------------------------------------------------

    \17\ See id.
    \18\ See id.
---------------------------------------------------------------------------

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.\19\ In particular, 
the Commission finds that the proposed rule change is consistent with 
Section 6(b)(5) of the Act,\20\ 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.
---------------------------------------------------------------------------

    \19\ 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).
    \20\ 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.\21\ 
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.
---------------------------------------------------------------------------

    \21\ 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 XSP 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 XSP expirations and the impact of P.M. 
settlement on the markets. To assist the Commission in assessing any 
potential impact of Tuesday and Thursday XSP expiration 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.\22\ Further, including the proposed Tuesday and 
Thursday XSP 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 
XSP 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 XSP 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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    \22\ See Notice, supra note 3, 87 FR at 47804-47805 and Pilot 
Approval Order, supra note 4, 75 FR at 57540. See also supra notes 
15-18.
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    For the foregoing reasons, the Commission finds that the proposed 
rule change is consistent with the Act.

IV. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\23\ that the proposed rule change (SR-CBOE-2022-039) be, and 
hereby is, approved.
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    \23\ 15 U.S.C. 78s(b)(2).


[[Page 57747]]


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    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\24\
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    \24\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2022-20377 Filed 9-20-22; 8:45 am]
BILLING CODE 8011-01-P
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