Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Reduce the Length of Time Between the End of Its Current Global Trading Hours ("Global Trading Hours" or "GTH") Session and the Beginning of Its Regular Trading Hours ("Regular Trading Hours" or "RTH") Session, 58428-58432 [2024-15773]
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Federal Register / Vol. 89, No. 138 / Thursday, July 18, 2024 / Notices
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
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you should submit only information
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For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.20
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2024–15760 Filed 7–17–24; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–100524; File No. SR–
CBOE–2024–031]
Self-Regulatory Organizations; Cboe
Exchange, Inc.; Notice of Filing and
Immediate Effectiveness of a Proposed
Rule Change To Reduce the Length of
Time Between the End of Its Current
Global Trading Hours (‘‘Global Trading
Hours’’ or ‘‘GTH’’) Session and the
Beginning of Its Regular Trading Hours
(‘‘Regular Trading Hours’’ or ‘‘RTH’’)
Session
khammond on DSKJM1Z7X2PROD with NOTICES
July 12, 2024.‘
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (the
‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on July 3,
2024, Cboe Exchange, Inc. (the
‘‘Exchange’’ or ‘‘Cboe Options’’) filed
with the Securities and Exchange
Commission (the ‘‘Commission’’) the
proposed rule change as described in
Items I, II, and III below, which Items
have been prepared by the Exchange.
The Exchange filed the proposal as a
‘‘non-controversial’’ proposed rule
change pursuant to Section
19(b)(3)(A)(iii) of the Act 3 and Rule
20 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 15 U.S.C. 78s(b)(3)(A)(iii).
1 15
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19b–4(f)(6) thereunder.4 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 reduce
the length of time between the end of its
current global trading hours (‘‘Global
Trading Hours’’ or ‘‘GTH’’) session and
the beginning of its regular trading
hours (‘‘Regular Trading Hours’’ or
‘‘RTH’’) session. The text of the
proposed rule change is provided in
Exhibit 5.
The text of the proposed rule change
is also available on the Exchange’s
website (https://www.cboe.com/
AboutCBOE/CBOELegalRegulatory
Home.aspx), at the Exchange’s Office of
the Secretary, and at the Commission’s
Public Reference Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
Exchange included statements
concerning the purpose of and basis for
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in sections A, B, and C below, of
the most significant aspects of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The Exchange proposes to extend the
hours of its GTH session, thereby
reducing the length of time between the
end of its current GTH session and the
beginning of its RTH session.
By way of background, the Exchange
currently offers three trading sessions.5
RTH, Curb Trading Hours (‘‘Curb’’), and
GTH. Rule 5.1 sets forth the trading
hours for the Exchange’s RTH, Curb,
and GTH trading sessions. Particularly,
CFR 240.19b–4(f)(6).
term ‘‘trading session’’ means the hours
during which the Exchange is open for trading for
Regular Trading Hours, Global Trading Hours or
Curb Trading Hours (each of which may referred to
as a trading session), each as set forth in Rule 5.1.
Unless otherwise specified in the Rules or the
context otherwise indicates, all Rules apply in the
same manner during each trading session. See Rule
1.1 (Definitions).
PO 00000
4 17
5 The
Frm 00102
Fmt 4703
Sfmt 4703
RTH for transactions in equity options
(including options on individual stocks,
ETFs, ETNs, and other securities) are
the normal business days and hours set
forth in the rules of the primary market
currently trading the securities
underlying the options, except for
options on ETFs, ETNs, Index Portfolio
Shares, Index Portfolio Receipts, and
Trust Issued Receipts the Exchange
designates to remain open for trading
beyond 4:00 p.m.6 but in no case later
than 4:15 p.m.7 RTH for transactions in
index options are from 9:30 a.m. to 4:15
p.m., subject to certain exceptions.8 The
Curb session is from 4:15 p.m. to 5:00
p.m., for designated classes, Monday
through Friday.9 The Exchange’s Rules
provide that the Exchange may
designate as eligible for trading during
Curb any exclusively listed option that
the Exchange has designated for trading
under Chapter 4, Section B. Currently,
S&P 500 Index options (‘‘SPX’’), Cboe
Volatility Index options (‘‘VIX’’), and
Mini-SPX Index options (‘‘XSP’’) are
approved for trading during Curb.10
The GTH session currently begins at
8:15 p.m. (previous day) and goes until
9:15 a.m. on Monday through Friday.11
The Exchange’s Rules provide that the
Exchange may designate as eligible for
trading during GTH any exclusively
listed index option designated for
trading under Chapter 4, Section B.
Currently, SPX, VIX and XSP are
approved for trading during GTH.12
By way of further background, the
Exchange originally adopted the GTH
trading session due to global demand
from investors to trade SPX and VIX
options, as alternatives for hedging and
other investment purposes, particularly
as a complementary investment tool to
VIX futures.13 In response to customer
demand for additional options to trade
during the GTH trading session for
similar purposes, the Exchange later
designated XSP options to be eligible for
6 All times referenced herein are Eastern Time,
unless otherwise specifically noted.
7 See Rule 5.1(b)(1).
8 See Rule 5.1(b)(2).
9 See Rule 5.1(d).
10 If the Exchange designates a class of index
options as eligible for trading during Curb, FLEX
Options with the same underlying index are also
deemed eligible for trading during Curb. See Rule
5.1(d)(1).
11 See Rule 5.1(c).
12 If the Exchange designates a class of index
options as eligible for trading during GTH, FLEX
Options with the same underlying index are also
deemed eligible for trading during GTH. See Rule
5.1(c)(1).
13 See Securities Exchange Act Release No. 34–
73017 (September 8, 2014), 79 FR 54758 (September
12, 2014) (SR–CBOE–2014–062).
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Federal Register / Vol. 89, No. 138 / Thursday, July 18, 2024 / Notices
trading during GTH.14 The current GTH
session allows market participants to
engage in trading SPX, XSP and VIX
options in conjunction with trading VIX
futures on Cboe Futures Exchange, LLC
(‘‘CFE’’) during extended hours, as VIX
futures are open for trading on CFE
nearly 23 hours a day, 5 days a week.15
The Exchange proposes to extend the
ending time of the GTH session, from
9:15 a.m. to 9:25 a.m. The proposed
change minimizes the gap between the
end of GTH and the beginning of RTH,
thereby providing an extra ten-minute
electronic only session for trading,
which will be added Monday through
Friday. The proposed rule change
otherwise makes no changes to the
trading rules applicable to GTH.
Transactions effected during the
extended GTH session will continue to
have the same trade date as the RTH
session that immediately follows it. The
extended GTH trading session will
continue to be a separate trading session
from RTH and Curb and the rules that
currently apply (or don’t apply) to the
current GTH session will continue to
apply (or not apply) to the lengthened
GTH session.16 The Exchange will
continue to use the same servers and
hardware during the extended GTH
session as it uses for GTH (and RTH and
Curb) today. Further, Trading Permit
Holders (‘‘TPHs’’) may continue to use
the same ports and connections to the
Exchange for all trading sessions. The
Book used during the extended GTH
session will also be the same Book used
currently during RTH, Curb, and GTH.
The Exchange proposes to amend and
conform various rules relating to the
proposed expanded GTH, as described
more fully below.
khammond on DSKJM1Z7X2PROD with NOTICES
Trading Days and Hours
As noted above, Rule 5.1 currently
sets forth the trading hours for RTH,
Curb, and GTH. The Exchange proposes
to amend Rule 5.1 in connection with
its proposal to reduce the time between
the end of the GTH session and the
beginning of the RTH session.
Particularly, the Exchange proposes to
amend Rule 5.1(c), which sets forth the
trading hours for the GTH session, to
14 See Securities Exchange Act Release No. 34–
75914 (September 14, 2015), 80 FR 56522
(September 18, 2015) (SR–CBOE–2015–079).
15 See CFE Rule 1202(b).
16 For example, business conduct rules in Chapter
8 and rules related to doing business with the
public in Chapter 9 will continue to apply during
the GTH session. Additionally, a broker-dealer’s
due diligence and best execution obligations apply
during the GTH trading session. As there will still
be no open outcry trading on the floor during the
GTH trading, Chapter 5, Section G will continue not
to apply as such rules pertain to manual order
handling and open-outcry trading.
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provide that except under unusual
conditions as may be determined by the
Exchange, GTH hours are from 8:15 p.m.
(previous day) to 9:25 a.m. (rather than
9:15 a.m.) on Monday through Friday.
The Exchange also proposes a
clarifying change to Rule 5.1(c)(2). Rule
5.1(c)(2) states that the Exchange may
list for trading during GTH any series in
eligible classes that it may list pursuant
to Rule 4.13. Rule 5.1(c)(2) further
provides that any series in eligible
classes that are expected to be open for
trading during RTH will be open for
trading during GTH on that same
trading day (subject to Rule 5.31). The
Exchange now proposes to revise Rule
5.1(c)(2) to clarify language regarding
series that may be listed during GTH.
Specifically, the Exchange proposes
revising Rule 5.1(c)(2) to state that any
non-expired series in eligible classes
that were open for trading on the
previous trading day (as of the close of
the previous day’s Curb session) will be
open for trading during GTH on that
following trading day (subject to Rules
4.13 and 5.31). This would exclude from
trading new series that may be listed for
that following trading day’s RTH session
that were not listed on the prior trading
day, which new series are unknown to
the Exchange at the start of the GTH
session.17
Index Values
The Exchange next proposes to amend
Rule 5.1(c)(3) which currently provides
that while it may not be calculated and
disseminated at all times, between 3:00
a.m. to 9:15 a.m. during GTH, current
values of VIX (i.e., intraday/spot values
of the VIX Index) will be widely
disseminated at least once every fifteen
(15) seconds by the Options Price
Reporting Authority (‘‘OPRA’’) or one or
more major market vendors during that
trading session. Rule 5.1(c)(3) also
provides that the Exchange will not
report a value of VIX during Global
Trading Hours from 8:15 p.m. (previous
day) to 3:00 a.m., because the value of
the underlying index will not be
recalculated during this time, and that
no current index value underlying any
other index option trading during GTH
is disseminated during or at the close of
that trading session.
In light of the proposal to end the
GTH session at 9:25 a.m. (instead of 9:15
17 See Rule 1.1, which defines ‘‘trading day’’ as
a day on which the Exchange is open for trading
during Regular Trading Hours. A business day or
trading day includes the RTH session, the Curb
session that immediately follows it and the GTH
session that immediately precedes it. This proposed
change codifies current operations and will have no
impact on series available for trading during the
GTH session.
PO 00000
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58429
a.m.), the Exchange proposes to amend
Rule 5.1(c)(3) to state that while it may
not be calculated and disseminated at
all times, between 3:00 a.m. to 9:25 a.m.
(rather than 9:15 a.m.) during GTH,
current values of VIX will be widely
disseminated at least once every fifteen
(15) seconds by the OPRA or one or
more major market vendors during that
trading session.
Holiday Hours
The Exchange further proposes to
amend Rule 5.1(e), which sets forth the
modified trading schedules for
domestic 18 and international 19
holidays. First, the Exchange proposes
to amend Rule 5.1(e)(1), which outlines
the trading hours schedule for domestic
holidays, and currently provides that for
Martin Luther King, Jr. Day, Presidents’
Day, Memorial Day, Juneteenth National
Independence Day, Independence Day,
Labor Day, and Thanksgiving Day (i.e.,
domestic holidays), the trading day
following the day a holiday is observed
will consist of the following four trading
sessions: (i) a GTH session from 8:15
p.m. on the calendar day preceding the
holiday (observed) to 11:30 a.m. on the
holiday (observed), (ii) a GTH session
from 8:15 p.m. on the holiday
(observed), or if the holiday is observed
on a Friday, on the Sunday following
the holiday, to 9:15 a.m. on the trading
day, (iii) a RTH session on the trading
day, and (iv) a Curb session on the
trading day. The Exchange proposes to
amend Rule 5.1(e)(1)(ii), in relevant
part, to state that, if the holiday is
observed on a Friday, the trading day
following the holiday will include a
GTH session from 8:15 p.m. on the
Sunday following the holiday, to 9:25
a.m. (rather than 9:15 a.m.) on the
trading day.
The Exchange next proposes to amend
Rule 5.1(e)(2), which outlines the
trading hours schedule for international
holidays, and currently provides that for
Good Friday, Christmas Day and New
Year’s Day (i.e., international holidays),
the trading day following the day the
holiday is observed will consist of the
following three trading sessions: (i) a
GTH session from 8:15 p.m. on the
holiday (observed), or if the holiday is
observed on a Friday, on the Sunday
following the holiday, to 9:15 a.m. on
the trading day, (ii) a RTH session on
the trading day, and (iii) a Curb session
on the trading day. The Exchange
proposes to amend Rule 5.1(e)(2)(i), in
18 Domestic holidays include Martin Luther King,
Jr. Day, Presidents’ Day, Memorial Day, Juneteenth
National Independence Day, Independence Day,
Labor Day and Thanksgiving Day.
19 International holidays include Good Friday,
Christmas Day and New Year’s Day.
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Federal Register / Vol. 89, No. 138 / Thursday, July 18, 2024 / Notices
relevant part, to state that, if the holiday
is observed on a Friday, the trading day
following the holiday will include a
GTH session from 8:15 p.m. on the
Sunday following the holiday, to 9:25
a.m. (rather than 9:15 a.m.) on the
trading day.
khammond on DSKJM1Z7X2PROD with NOTICES
Opening Auction Process
The Exchange proposes to amend
Rule 5.31(j), which describes the
opening auction process for S&P 500
options (‘‘SPX’’) that are constituent
option series on exercise settlement
value determination days.20 All
provisions set forth in Rule 5.31 apply
to the opening of SPX constituent
option series 21 for RTH on exercise
settlement value determination days,
except as otherwise provided in Rule
5.31(j) (the ‘‘modified opening auction
process’’), which the Exchange uses in
connection with calculating exercise or
final settlement values for VIX
derivatives. The Exchange uses the
opening trade prices of SPX option
series that comprise the settlement
strip 22 (or the average of a series’
opening bid and ask (which ask price
equals $0.05 if the series opens with
unexecuted sell market orders) if there
is no opening trade in that series)
established by the modified opening
auction process to calculate the exercise
or final settlement value, as applicable,
of expiring VIX derivatives.
Rule 5.31(j)(3) sets forth order entry
cut off times for the modified opening
auction process. Pursuant to Rule
5.31(j)(3), during the Queuing Period 23
prior to 9:20 a.m., the System accepts all
orders and quotes (except Settlement
Liquidity Opening Orders, or SLOOs,24
20 The term ‘‘exercise settlement value
determination day’’ means a day on which the
Exchange determines the exercise or final
settlement value, as applicable, of expiring VIX
derivatives. See Rule 5.31(j)(1).
21 The term ‘‘constituent option series’’ means all
SPX (including SPXW) option series listed on the
Exchange with the expirations the Exchange uses to
calculate the exercise or final settlement value of
the expiring VIX derivative on exercise settlement
value determination days. The term ‘‘VIX
derivatives’’ means VIX options listed for trading on
the Exchange (as determined under Rule 4.11), VIX
futures listed for trading on an affiliated designated
contract market, or over-the-counter derivatives
overlying VIX whose exercise or final settlement
values, as applicable, are calculated pursuant to, or
by reference to, as applicable, the modified opening
auction process. See Rule 5.31(j)(1).
22 The term ‘‘settlement strip’’ means the
constituent option series used to calculate the
exercise or final settlement value, as applicable, of
expiring VIX derivatives. See Rule 5.31(j)(1).
23 The term ‘‘Queuing Period’’ means the time
period prior to the initiation of an opening rotation
during which the System accepts orders and quotes
in the Queuing Book for participation in the
opening rotation for the applicable trading session.
See Rule 5.31(a).
24 The terms ‘‘settlement liquidity opening order’’
and ‘‘SLOO’’ mean a limit order in a constituent
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which the System rejects), and any
changes to or cancellations of those
orders and quotes. After the 9:20 a.m.
cut-off time (until the opening of trading
in a series), the System only accepts
SLOOs (including changes to and
cancellations of SLOOs) and bulk
message bids and offers (including
changes to and cancellations of bulk
message bids and offers submitted
before and after the cut-off time) from
Market-Makers with an SPX
appointment. After that cut-off, the
System rejects all other orders and
quotes (and all other changes to and
cancellations of orders and quotes
submitted prior to the cut-off time).
Given the proposal to end the GTH
session at 9:25 a.m., the Exchange
proposes to update the cut-off time set
forth in Rule 5.31(j)(3), from 9:20 a.m.,
to refer to one minute following the
close of GTH, so that it continues to
occur after the close of GTH (as it does
today). There are no other changes to
the modified opening auction process as
part of the proposed changes.
Complex Orders
The Exchange finally proposes to
amend Rule 5.33. Particularly, the
Exchange proposes to amend Rule
5.33(c), which describes the Complex
Order Book (‘‘COB’’) Opening Process,
which occurs at the beginning of the
RTH and GTH trading sessions and after
a trading halt. The System accepts
complex orders for inclusion in the COB
Opening Process at the times and in the
manner set forth in Rules 5.7 and
5.31(b), except the order entry period for
complex orders ends when the complex
strategy opens. Complex orders entered
during the order entry period are not
eligible for execution until the initiation
of the COB Opening Process. Rule
5.33(c)(1) currently states that the
Exchange will disseminate indicative
prices and order imbalance information
based on complex orders queued in the
System for the COB Opening Process
beginning at (A) 8:00 p.m. (previous
day) for All Sessions classes for the GTH
session and (B) 8:30 a.m. for RTH Only
classes and 9:15 a.m. for All Sessions
classes for the RTH session, and
updated every five seconds thereafter
until the initiation of the COB Opening
Process. This functionality provides
users with information regarding the
expected COB opening, which the
Exchange believes may contribute
additional transparency and price
discovery to the COB Opening Process.
option series designated with an OPG Time-inForce that Users may only submit to the Exchange
on exercise settlement value determination days
following the cut-off time described in this Rule
5.31(j)(3).
PO 00000
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Fmt 4703
Sfmt 4703
The Exchange proposes to amend Rule
5.33(c)(1) to reflect that in light of the
proposed changes, indicative prices and
order imbalance information will be
disseminated beginning at 9:25 a.m.
(instead of 9:15 a.m.) for All Sessions
classes for the RTH session.
Fees Schedule
Finally, the Exchange proposes
changes to its Fees Schedule to reflect
the proposed change to end the GTH
session at 9:25 a.m. Specifically, the
Exchange proposes to amend references
to the end of the GTH session in the
‘‘GTH VIX/VIXW LMM Incentive
Program’’, ‘‘GTH2 SPX/SPXW LMM
Incentive Program’’, ‘‘GTH2 XSP LMM
Incentive Program’’, and Footnote 37, to
8:25 a.m. CST (from 8:15 a.m. CST).
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.25 Specifically,
the Exchange believes the proposed rule
change is consistent with the Section
6(b)(5) 26 requirements that the rules of
an exchange be designed to prevent
fraudulent and manipulative acts and
practices, to promote just and equitable
principles of trade, to foster cooperation
and coordination with persons engaged
in regulating, clearing, settling,
processing information with respect to,
and facilitating transactions in
securities, to remove impediments to
and perfect the mechanism of a free and
open market and a national market
system, and, in general, to protect
investors and the public interest.
Additionally, the Exchange believes the
proposed rule change is consistent with
the Section 6(b)(5) 27 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
the proposed rule change to reduce the
time period between the end of current
GTH and beginning of RTH will remove
impediments to and perfect the
mechanism of a free and open market
and a national market system.
Particularly, the expansion of GTH is a
competitive initiative designed to
improve the Exchange’s marketplace for
the benefit of investors and allow the
Exchange to provide a competitive
marketplace for market participants to
trade certain products for a longer
25 15
U.S.C. 78f(b).
U.S.C. 78f(b)(5).
26 15
27 Id.
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Federal Register / Vol. 89, No. 138 / Thursday, July 18, 2024 / Notices
period of time towards the end of GTH
and beginning of RTH. As such, the
Exchange believes the proposed rule
change provides Users with additional
flexibility to manage their orders in all
classes that trade during GTH and
remain in the Book towards the end of
GTH market close, thereby removing
impediments to and perfecting the
mechanism of a free and open market
and a national market system, and, in
general, protecting investors and the
public interest.
The GTH trading session is designed
to increase the overlap in time that SPX,
VIX, and XSP options are open
alongside the related futures contracts
and further aims to provide global
market participants with an expanded
timeframe to trade the products offered
during GTH. As discussed above,
extending the GTH session is designed
to provide investors the ability to
manage risk more efficiently, react to
global macroeconomic events as they
are happening and adjust SPX, VIX and
XSP options positions nearly around the
clock, including in the time period
towards the end of current GTH and
beginning of RTH. The Exchange
therefore believes that the proposed rule
change is reasonably designed to
provide an appropriate mechanism for
additional trading time within its
current GTH session, while providing
for appropriate Exchange oversight
pursuant to the Act, trade reporting, and
surveillance.
The Exchange also notes that it, along
with some of its affiliated options
exchanges, already allow for trading
outside of the hours of RTH (i.e., during
the current GTH trading session).28
Thus, the proposed rule change to
expand the GTH session by ten minutes
is not novel or unique. Additionally,
futures exchanges also operate during
the timeframe proposed to be added to
the GTH trading session, including the
Exchange’s affiliate, CFE 29, and the
Chicago Mercantile Exchange, which
offers E-mini S&P 500 Options for
trading during the proposed timeframe.
Further, the Exchange believes that
maintaining a five-minute time period
between the end of current GTH and
beginning of RTH will continue to be an
adequate and sufficient amount of time.
The pause between GTH and RTH
allows liquidity providers to assess their
risk exposure on volatility settlement
days. Following several years of trading
within the current hours for RTH and
28 See Cboe Options Rule 5.1, Cboe C2 Exchange,
Inc. Rule 5.1 and Cboe EDGX Exchange, Inc. Rule
21.2.
29 See, e.g., CFE Rule 1202, which outlines the
trading schedule for futures on the Cboe Volatility
Index.
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GTH, the Exchange understands from
industry participants that reducing the
time between GTH and RTH, from
fifteen minutes to five minutes, will still
allow ample time for liquidity providers
to continue to do so, while also
eliminating unnecessary closure time,
which may serve to benefit investors
through additional trading opportunities
closer to the opening of RTH. The
proposed change will result in minimal
impact to current trading systems and
may in fact assist some order flow
providers in their transition between the
two trading sessions by reducing
unnecessary pause times.
Other than the change in the time at
which the GTH session will end, trading
during GTH will continue in the same
manner as it does today. Additionally,
the Exchange notes that it will continue
to require that disclosures be made to
customers describing potential risks,
which will continue to further protect
investors from any additional risks
related to trading during GTH.30 The
Exchange believes that, with these
disclosures, GTH, as amended, remain
appropriate and beneficial. The All
Sessions order 31 and RTH Only order 32
will continue to protect investors by
permitting investors who wish only to
trade during RTH from having orders or
quotes execute outside of the RTH
session, including during the extended
GTH session.
The Exchange believes the change to
order entry cut-off time under the
modified opening auction process is
reasonable. Market participants will still
be able to submit SLOOs until after the
close of GTH and prior to the opening
of RTH, and continue to have the
opportunity to provide liquidity to
offset order imbalances and contribute
to a fair and orderly modified opening
auction process for a given series, to the
benefit of investors. The proposed rule
change has no impact on how the
modified opening auction process will
occur.
The proposed rule change further
removes impediments to a free and open
market and does not unfairly
discriminate among market participants,
as all TPHs with access to the Exchange
may participate in GTH and continue to
trade during GTH using the same
connection lines, message formats, data
feeds, and EFIDs they use during
Cboe Options Rule 9.20.
‘‘All Sessions’’ order (including a bulk
message) is an order a User designates as eligible
to trade during all trading sessions. See Cboe
Options Rule 5.6(c).
32 An ‘‘RTH Only’’ order is an order (including a
bulk message) a User designates as eligible to trade
only during RTH or not designated as All Sessions
or RTH and Curb. See Cboe Options Rule 5.6(c).
PO 00000
30 See
31 An
Frm 00105
Fmt 4703
Sfmt 4703
58431
current GTH, eliminating or minimizing
any preparation efforts necessary to
continue to participate. As is today,
TPHs will not be required to trade
during GTH.
Finally, the Exchange believes the
change to Rule 5.1(c)(2) to clarify which
series may be listed for trading during
GTH is reasonable, as the proposed
change is designed to make the
Rulebook more accurate and mitigate
any potential confusion. The Exchange
believes revising the language will
provide certainty regarding series listed
for trading during GTH, to the benefit of
investors and the public. This proposed
change merely codifies current
operations and will have no impact on
series available for trading during the
GTH session.
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 to extend the
closing time of the GTH session by ten
minutes will impose any burden on
intramarket competition that is not
necessary or appropriate in furtherance
of the purposes of the Act, because all
TPHs will be able, but not be required,
to participate during the extended GTH
session, and will be able to do so using
the same connectivity as they use
during RTH, Curb and current GTH. As
discussed, participation in the extended
GTH will be voluntary and within the
discretion of TPHs. Further, the
Exchange does not believe the proposed
rule change to Rule 5.1(c)(2) to clarify
which series may be listed for trading
during GTH will have any impact on
competition, as the change is not
expected to have an impact on trading,
but rather clarify existing processes.
The Exchange does not believe that
the proposed rule change to extend GTH
will impose any burden on intermarket
competition that is not necessary or
appropriate in furtherance of the
purposes of the Act, because the
proposed rule change is a competitive
initiative that will benefit the
marketplace and investors.
Additionally, all options exchanges are
free to compete in the same manner.
Further, futures exchanges operate
during the timeframe proposed to be
added to the GTH trading session,
including the Exchange’s affiliate,
E:\FR\FM\18JYN1.SGM
18JYN1
58432
Federal Register / Vol. 89, No. 138 / Thursday, July 18, 2024 / Notices
CFE,33 and the Chicago Mercantile
Exchange, which offers E-mini S&P 500
Options for trading during the proposed
timeframe. The Exchange further
believes that the same level of
competition among options exchanges
will continue during RTH, regardless of
the proposed change. Because the
Exchange will continue to make only
exclusively listed products available for
trading during GTH, and because any
All Sessions orders that do not trade
during GTH will be eligible to trade
during the RTH trading sessions in the
same manner as all other orders
submitted during RTH, the proposed
rule change will have no effect on the
national best prices or trading during
RTH.
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
khammond on DSKJM1Z7X2PROD with NOTICES
Because the foregoing proposed rule
change does not:
A. significantly affect the protection
of investors or the public interest;
B. impose any significant burden on
competition; and
C. become operative for 30 days from
the date on which it was filed, or such
shorter time as the Commission may
designate, it has become effective
pursuant to Section 19(b)(3)(A) of the
Act 34 and Rule 19b–4(f)(6) 35
thereunder. At any time within 60 days
of the filing of the proposed rule change,
the Commission summarily may
temporarily suspend such rule change if
it appears to the Commission that such
action is necessary or appropriate in the
public interest, for the protection of
investors, or otherwise in furtherance of
the purposes of the Act. If the
Commission takes such action, the
Commission will institute proceedings
to determine whether the proposed rule
33 See, e.g., CFE Rule 1202, which outlines the
trading schedule for futures on the Cboe Volatility
Index.
34 15 U.S.C. 78s(b)(3)(A).
35 17 CFR 240.19b–4(f)(6). In addition, Rule 19b–
4(f)(6) requires a self-regulatory organization to give
the Commission written notice of its intent to file
the proposed rule change, along with a brief
description and text of the proposed rule change,
at least five business days prior to the date of filing
of the proposed rule change, or such shorter time
as designated by the Commission. The Exchange
has satisfied this requirement.
VerDate Sep<11>2014
16:47 Jul 17, 2024
Jkt 262001
change should be approved or
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:
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.36
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2024–15773 Filed 7–17–24; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
Electronic Comments
[Release No. 34–100517; File No. SR–
NASDAQ–2024–035]
• 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–2024–031 on the subject line.
Self-Regulatory Organizations; The
Nasdaq Stock Market LLC; Notice of
Filing and Immediate Effectiveness of
Proposed Rule Change To Amend Its
Pricing Schedule at Equity 7, Section
114(h)
Paper Comments
July 12, 2024.
• 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–2024–031. 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
a.m. and 3 p.m. Copies of the filing also
will be available for inspection and
copying at the principal office of the
Exchange. Do not include personal
identifiable information in submissions;
you should submit only information
that you wish to make available
publicly. We may redact in part or
withhold entirely from publication
submitted material that is obscene or
subject to copyright protection. All
submissions should refer to file number
SR–CBOE–2024–031 and should be
submitted on or before August 8, 2024.
PO 00000
Frm 00106
Fmt 4703
Sfmt 4703
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 1,
2024, The Nasdaq Stock Market LLC
(‘‘Nasdaq’’ or ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘SEC’’ or ‘‘Commission’’) the proposed
rule change as described in Items I, II
and III, below, which Items have been
prepared by the Exchange. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to amend the
Exchange’s pricing schedule at Equity 7,
Section 114(h), as described further
below.
The text of the proposed rule change
is available on the Exchange’s website at
https://listingcenter.nasdaq.com/
rulebook/nasdaq/rules, at the principal
office of the Exchange, and at the
Commission’s Public Reference Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
Exchange included statements
concerning the purpose of and basis for
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in sections A, B, and C below, of
36 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
E:\FR\FM\18JYN1.SGM
18JYN1
]]>Agencies
[Federal Register Volume 89, Number 138 (Thursday, July 18, 2024)]
[Notices]
[Pages 58428-58432]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-15773]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-100524; File No. SR-CBOE-2024-031]
Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of
Filing and Immediate Effectiveness of a Proposed Rule Change To Reduce
the Length of Time Between the End of Its Current Global Trading Hours
(``Global Trading Hours'' or ``GTH'') Session and the Beginning of Its
Regular Trading Hours (``Regular Trading Hours'' or ``RTH'') Session
July 12, 2024.`
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that on July 3, 2024, Cboe Exchange, Inc. (the ``Exchange'' or ``Cboe
Options'') filed with the Securities and Exchange Commission (the
``Commission'') the proposed rule change as described in Items I, II,
and III below, which Items have been prepared by the Exchange. The
Exchange filed the proposal as a ``non-controversial'' proposed rule
change pursuant to Section 19(b)(3)(A)(iii) of the Act \3\ and Rule
19b-4(f)(6) thereunder.\4\ The Commission is publishing this notice to
solicit comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ 15 U.S.C. 78s(b)(3)(A)(iii).
\4\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------
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 reduce the length of time between the end of its current global
trading hours (``Global Trading Hours'' or ``GTH'') session and the
beginning of its regular trading hours (``Regular Trading Hours'' or
``RTH'') session. The text of the proposed rule change is provided in
Exhibit 5.
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.
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 extend the hours of its GTH session,
thereby reducing the length of time between the end of its current GTH
session and the beginning of its RTH session.
By way of background, the Exchange currently offers three trading
sessions.\5\ RTH, Curb Trading Hours (``Curb''), and GTH. Rule 5.1 sets
forth the trading hours for the Exchange's RTH, Curb, and GTH trading
sessions. Particularly, RTH for transactions in equity options
(including options on individual stocks, ETFs, ETNs, and other
securities) are the normal business days and hours set forth in the
rules of the primary market currently trading the securities underlying
the options, except for options on ETFs, ETNs, Index Portfolio Shares,
Index Portfolio Receipts, and Trust Issued Receipts the Exchange
designates to remain open for trading beyond 4:00 p.m.\6\ but in no
case later than 4:15 p.m.\7\ RTH for transactions in index options are
from 9:30 a.m. to 4:15 p.m., subject to certain exceptions.\8\ The Curb
session is from 4:15 p.m. to 5:00 p.m., for designated classes, Monday
through Friday.\9\ The Exchange's Rules provide that the Exchange may
designate as eligible for trading during Curb any exclusively listed
option that the Exchange has designated for trading under Chapter 4,
Section B. Currently, S&P 500 Index options (``SPX''), Cboe Volatility
Index options (``VIX''), and Mini-SPX Index options (``XSP'') are
approved for trading during Curb.\10\
---------------------------------------------------------------------------
\5\ The term ``trading session'' means the hours during which
the Exchange is open for trading for Regular Trading Hours, Global
Trading Hours or Curb Trading Hours (each of which may referred to
as a trading session), each as set forth in Rule 5.1. Unless
otherwise specified in the Rules or the context otherwise indicates,
all Rules apply in the same manner during each trading session. See
Rule 1.1 (Definitions).
\6\ All times referenced herein are Eastern Time, unless
otherwise specifically noted.
\7\ See Rule 5.1(b)(1).
\8\ See Rule 5.1(b)(2).
\9\ See Rule 5.1(d).
\10\ If the Exchange designates a class of index options as
eligible for trading during Curb, FLEX Options with the same
underlying index are also deemed eligible for trading during Curb.
See Rule 5.1(d)(1).
---------------------------------------------------------------------------
The GTH session currently begins at 8:15 p.m. (previous day) and
goes until 9:15 a.m. on Monday through Friday.\11\ The Exchange's Rules
provide that the Exchange may designate as eligible for trading during
GTH any exclusively listed index option designated for trading under
Chapter 4, Section B. Currently, SPX, VIX and XSP are approved for
trading during GTH.\12\
---------------------------------------------------------------------------
\11\ See Rule 5.1(c).
\12\ If the Exchange designates a class of index options as
eligible for trading during GTH, FLEX Options with the same
underlying index are also deemed eligible for trading during GTH.
See Rule 5.1(c)(1).
---------------------------------------------------------------------------
By way of further background, the Exchange originally adopted the
GTH trading session due to global demand from investors to trade SPX
and VIX options, as alternatives for hedging and other investment
purposes, particularly as a complementary investment tool to VIX
futures.\13\ In response to customer demand for additional options to
trade during the GTH trading session for similar purposes, the Exchange
later designated XSP options to be eligible for
[[Page 58429]]
trading during GTH.\14\ The current GTH session allows market
participants to engage in trading SPX, XSP and VIX options in
conjunction with trading VIX futures on Cboe Futures Exchange, LLC
(``CFE'') during extended hours, as VIX futures are open for trading on
CFE nearly 23 hours a day, 5 days a week.\15\
---------------------------------------------------------------------------
\13\ See Securities Exchange Act Release No. 34-73017 (September
8, 2014), 79 FR 54758 (September 12, 2014) (SR-CBOE-2014-062).
\14\ See Securities Exchange Act Release No. 34-75914 (September
14, 2015), 80 FR 56522 (September 18, 2015) (SR-CBOE-2015-079).
\15\ See CFE Rule 1202(b).
---------------------------------------------------------------------------
The Exchange proposes to extend the ending time of the GTH session,
from 9:15 a.m. to 9:25 a.m. The proposed change minimizes the gap
between the end of GTH and the beginning of RTH, thereby providing an
extra ten-minute electronic only session for trading, which will be
added Monday through Friday. The proposed rule change otherwise makes
no changes to the trading rules applicable to GTH. Transactions
effected during the extended GTH session will continue to have the same
trade date as the RTH session that immediately follows it. The extended
GTH trading session will continue to be a separate trading session from
RTH and Curb and the rules that currently apply (or don't apply) to the
current GTH session will continue to apply (or not apply) to the
lengthened GTH session.\16\ The Exchange will continue to use the same
servers and hardware during the extended GTH session as it uses for GTH
(and RTH and Curb) today. Further, Trading Permit Holders (``TPHs'')
may continue to use the same ports and connections to the Exchange for
all trading sessions. The Book used during the extended GTH session
will also be the same Book used currently during RTH, Curb, and GTH.
The Exchange proposes to amend and conform various rules relating to
the proposed expanded GTH, as described more fully below.
---------------------------------------------------------------------------
\16\ For example, business conduct rules in Chapter 8 and rules
related to doing business with the public in Chapter 9 will continue
to apply during the GTH session. Additionally, a broker-dealer's due
diligence and best execution obligations apply during the GTH
trading session. As there will still be no open outcry trading on
the floor during the GTH trading, Chapter 5, Section G will continue
not to apply as such rules pertain to manual order handling and
open-outcry trading.
---------------------------------------------------------------------------
Trading Days and Hours
As noted above, Rule 5.1 currently sets forth the trading hours for
RTH, Curb, and GTH. The Exchange proposes to amend Rule 5.1 in
connection with its proposal to reduce the time between the end of the
GTH session and the beginning of the RTH session. Particularly, the
Exchange proposes to amend Rule 5.1(c), which sets forth the trading
hours for the GTH session, to provide that except under unusual
conditions as may be determined by the Exchange, GTH hours are from
8:15 p.m. (previous day) to 9:25 a.m. (rather than 9:15 a.m.) on Monday
through Friday.
The Exchange also proposes a clarifying change to Rule 5.1(c)(2).
Rule 5.1(c)(2) states that the Exchange may list for trading during GTH
any series in eligible classes that it may list pursuant to Rule 4.13.
Rule 5.1(c)(2) further provides that any series in eligible classes
that are expected to be open for trading during RTH will be open for
trading during GTH on that same trading day (subject to Rule 5.31). The
Exchange now proposes to revise Rule 5.1(c)(2) to clarify language
regarding series that may be listed during GTH. Specifically, the
Exchange proposes revising Rule 5.1(c)(2) to state that any non-expired
series in eligible classes that were open for trading on the previous
trading day (as of the close of the previous day's Curb session) will
be open for trading during GTH on that following trading day (subject
to Rules 4.13 and 5.31). This would exclude from trading new series
that may be listed for that following trading day's RTH session that
were not listed on the prior trading day, which new series are unknown
to the Exchange at the start of the GTH session.\17\
---------------------------------------------------------------------------
\17\ See Rule 1.1, which defines ``trading day'' as a day on
which the Exchange is open for trading during Regular Trading Hours.
A business day or trading day includes the RTH session, the Curb
session that immediately follows it and the GTH session that
immediately precedes it. This proposed change codifies current
operations and will have no impact on series available for trading
during the GTH session.
---------------------------------------------------------------------------
Index Values
The Exchange next proposes to amend Rule 5.1(c)(3) which currently
provides that while it may not be calculated and disseminated at all
times, between 3:00 a.m. to 9:15 a.m. during GTH, current values of VIX
(i.e., intraday/spot values of the VIX Index) will be widely
disseminated at least once every fifteen (15) seconds by the Options
Price Reporting Authority (``OPRA'') or one or more major market
vendors during that trading session. Rule 5.1(c)(3) also provides that
the Exchange will not report a value of VIX during Global Trading Hours
from 8:15 p.m. (previous day) to 3:00 a.m., because the value of the
underlying index will not be recalculated during this time, and that no
current index value underlying any other index option trading during
GTH is disseminated during or at the close of that trading session.
In light of the proposal to end the GTH session at 9:25 a.m.
(instead of 9:15 a.m.), the Exchange proposes to amend Rule 5.1(c)(3)
to state that while it may not be calculated and disseminated at all
times, between 3:00 a.m. to 9:25 a.m. (rather than 9:15 a.m.) during
GTH, current values of VIX will be widely disseminated at least once
every fifteen (15) seconds by the OPRA or one or more major market
vendors during that trading session.
Holiday Hours
The Exchange further proposes to amend Rule 5.1(e), which sets
forth the modified trading schedules for domestic \18\ and
international \19\ holidays. First, the Exchange proposes to amend Rule
5.1(e)(1), which outlines the trading hours schedule for domestic
holidays, and currently provides that for Martin Luther King, Jr. Day,
Presidents' Day, Memorial Day, Juneteenth National Independence Day,
Independence Day, Labor Day, and Thanksgiving Day (i.e., domestic
holidays), the trading day following the day a holiday is observed will
consist of the following four trading sessions: (i) a GTH session from
8:15 p.m. on the calendar day preceding the holiday (observed) to 11:30
a.m. on the holiday (observed), (ii) a GTH session from 8:15 p.m. on
the holiday (observed), or if the holiday is observed on a Friday, on
the Sunday following the holiday, to 9:15 a.m. on the trading day,
(iii) a RTH session on the trading day, and (iv) a Curb session on the
trading day. The Exchange proposes to amend Rule 5.1(e)(1)(ii), in
relevant part, to state that, if the holiday is observed on a Friday,
the trading day following the holiday will include a GTH session from
8:15 p.m. on the Sunday following the holiday, to 9:25 a.m. (rather
than 9:15 a.m.) on the trading day.
---------------------------------------------------------------------------
\18\ Domestic holidays include Martin Luther King, Jr. Day,
Presidents' Day, Memorial Day, Juneteenth National Independence Day,
Independence Day, Labor Day and Thanksgiving Day.
\19\ International holidays include Good Friday, Christmas Day
and New Year's Day.
---------------------------------------------------------------------------
The Exchange next proposes to amend Rule 5.1(e)(2), which outlines
the trading hours schedule for international holidays, and currently
provides that for Good Friday, Christmas Day and New Year's Day (i.e.,
international holidays), the trading day following the day the holiday
is observed will consist of the following three trading sessions: (i) a
GTH session from 8:15 p.m. on the holiday (observed), or if the holiday
is observed on a Friday, on the Sunday following the holiday, to 9:15
a.m. on the trading day, (ii) a RTH session on the trading day, and
(iii) a Curb session on the trading day. The Exchange proposes to amend
Rule 5.1(e)(2)(i), in
[[Page 58430]]
relevant part, to state that, if the holiday is observed on a Friday,
the trading day following the holiday will include a GTH session from
8:15 p.m. on the Sunday following the holiday, to 9:25 a.m. (rather
than 9:15 a.m.) on the trading day.
Opening Auction Process
The Exchange proposes to amend Rule 5.31(j), which describes the
opening auction process for S&P 500 options (``SPX'') that are
constituent option series on exercise settlement value determination
days.\20\ All provisions set forth in Rule 5.31 apply to the opening of
SPX constituent option series \21\ for RTH on exercise settlement value
determination days, except as otherwise provided in Rule 5.31(j) (the
``modified opening auction process''), which the Exchange uses in
connection with calculating exercise or final settlement values for VIX
derivatives. The Exchange uses the opening trade prices of SPX option
series that comprise the settlement strip \22\ (or the average of a
series' opening bid and ask (which ask price equals $0.05 if the series
opens with unexecuted sell market orders) if there is no opening trade
in that series) established by the modified opening auction process to
calculate the exercise or final settlement value, as applicable, of
expiring VIX derivatives.
---------------------------------------------------------------------------
\20\ The term ``exercise settlement value determination day''
means a day on which the Exchange determines the exercise or final
settlement value, as applicable, of expiring VIX derivatives. See
Rule 5.31(j)(1).
\21\ The term ``constituent option series'' means all SPX
(including SPXW) option series listed on the Exchange with the
expirations the Exchange uses to calculate the exercise or final
settlement value of the expiring VIX derivative on exercise
settlement value determination days. The term ``VIX derivatives''
means VIX options listed for trading on the Exchange (as determined
under Rule 4.11), VIX futures listed for trading on an affiliated
designated contract market, or over-the-counter derivatives
overlying VIX whose exercise or final settlement values, as
applicable, are calculated pursuant to, or by reference to, as
applicable, the modified opening auction process. See Rule
5.31(j)(1).
\22\ The term ``settlement strip'' means the constituent option
series used to calculate the exercise or final settlement value, as
applicable, of expiring VIX derivatives. See Rule 5.31(j)(1).
---------------------------------------------------------------------------
Rule 5.31(j)(3) sets forth order entry cut off times for the
modified opening auction process. Pursuant to Rule 5.31(j)(3), during
the Queuing Period \23\ prior to 9:20 a.m., the System accepts all
orders and quotes (except Settlement Liquidity Opening Orders, or
SLOOs,\24\ which the System rejects), and any changes to or
cancellations of those orders and quotes. After the 9:20 a.m. cut-off
time (until the opening of trading in a series), the System only
accepts SLOOs (including changes to and cancellations of SLOOs) and
bulk message bids and offers (including changes to and cancellations of
bulk message bids and offers submitted before and after the cut-off
time) from Market-Makers with an SPX appointment. After that cut-off,
the System rejects all other orders and quotes (and all other changes
to and cancellations of orders and quotes submitted prior to the cut-
off time).
---------------------------------------------------------------------------
\23\ The term ``Queuing Period'' means the time period prior to
the initiation of an opening rotation during which the System
accepts orders and quotes in the Queuing Book for participation in
the opening rotation for the applicable trading session. See Rule
5.31(a).
\24\ The terms ``settlement liquidity opening order'' and
``SLOO'' mean a limit order in a constituent option series
designated with an OPG Time-in-Force that Users may only submit to
the Exchange on exercise settlement value determination days
following the cut-off time described in this Rule 5.31(j)(3).
---------------------------------------------------------------------------
Given the proposal to end the GTH session at 9:25 a.m., the
Exchange proposes to update the cut-off time set forth in Rule
5.31(j)(3), from 9:20 a.m., to refer to one minute following the close
of GTH, so that it continues to occur after the close of GTH (as it
does today). There are no other changes to the modified opening auction
process as part of the proposed changes.
Complex Orders
The Exchange finally proposes to amend Rule 5.33. Particularly, the
Exchange proposes to amend Rule 5.33(c), which describes the Complex
Order Book (``COB'') Opening Process, which occurs at the beginning of
the RTH and GTH trading sessions and after a trading halt. The System
accepts complex orders for inclusion in the COB Opening Process at the
times and in the manner set forth in Rules 5.7 and 5.31(b), except the
order entry period for complex orders ends when the complex strategy
opens. Complex orders entered during the order entry period are not
eligible for execution until the initiation of the COB Opening Process.
Rule 5.33(c)(1) currently states that the Exchange will disseminate
indicative prices and order imbalance information based on complex
orders queued in the System for the COB Opening Process beginning at
(A) 8:00 p.m. (previous day) for All Sessions classes for the GTH
session and (B) 8:30 a.m. for RTH Only classes and 9:15 a.m. for All
Sessions classes for the RTH session, and updated every five seconds
thereafter until the initiation of the COB Opening Process. This
functionality provides users with information regarding the expected
COB opening, which the Exchange believes may contribute additional
transparency and price discovery to the COB Opening Process. The
Exchange proposes to amend Rule 5.33(c)(1) to reflect that in light of
the proposed changes, indicative prices and order imbalance information
will be disseminated beginning at 9:25 a.m. (instead of 9:15 a.m.) for
All Sessions classes for the RTH session.
Fees Schedule
Finally, the Exchange proposes changes to its Fees Schedule to
reflect the proposed change to end the GTH session at 9:25 a.m.
Specifically, the Exchange proposes to amend references to the end of
the GTH session in the ``GTH VIX/VIXW LMM Incentive Program'', ``GTH2
SPX/SPXW LMM Incentive Program'', ``GTH2 XSP LMM Incentive Program'',
and Footnote 37, to 8:25 a.m. CST (from 8:15 a.m. CST).
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.\25\ Specifically, the
Exchange believes the proposed rule change is consistent with the
Section 6(b)(5) \26\ requirements that the rules of an exchange be
designed to prevent fraudulent and manipulative acts and practices, to
promote just and equitable principles of trade, to foster cooperation
and coordination with persons engaged in regulating, clearing,
settling, processing information with respect to, and facilitating
transactions in securities, to remove impediments to and perfect the
mechanism of a free and open market and a national market system, and,
in general, to protect investors and the public interest. Additionally,
the Exchange believes the proposed rule change is consistent with the
Section 6(b)(5) \27\ requirement that the rules of an exchange not be
designed to permit unfair discrimination between customers, issuers,
brokers, or dealers.
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\25\ 15 U.S.C. 78f(b).
\26\ 15 U.S.C. 78f(b)(5).
\27\ Id.
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In particular, the Exchange believes the proposed rule change to
reduce the time period between the end of current GTH and beginning of
RTH will remove impediments to and perfect the mechanism of a free and
open market and a national market system. Particularly, the expansion
of GTH is a competitive initiative designed to improve the Exchange's
marketplace for the benefit of investors and allow the Exchange to
provide a competitive marketplace for market participants to trade
certain products for a longer
[[Page 58431]]
period of time towards the end of GTH and beginning of RTH. As such,
the Exchange believes the proposed rule change provides Users with
additional flexibility to manage their orders in all classes that trade
during GTH and remain in the Book towards the end of GTH market close,
thereby removing impediments to and perfecting the mechanism of a free
and open market and a national market system, and, in general,
protecting investors and the public interest.
The GTH trading session is designed to increase the overlap in time
that SPX, VIX, and XSP options are open alongside the related futures
contracts and further aims to provide global market participants with
an expanded timeframe to trade the products offered during GTH. As
discussed above, extending the GTH session is designed to provide
investors the ability to manage risk more efficiently, react to global
macroeconomic events as they are happening and adjust SPX, VIX and XSP
options positions nearly around the clock, including in the time period
towards the end of current GTH and beginning of RTH. The Exchange
therefore believes that the proposed rule change is reasonably designed
to provide an appropriate mechanism for additional trading time within
its current GTH session, while providing for appropriate Exchange
oversight pursuant to the Act, trade reporting, and surveillance.
The Exchange also notes that it, along with some of its affiliated
options exchanges, already allow for trading outside of the hours of
RTH (i.e., during the current GTH trading session).\28\ Thus, the
proposed rule change to expand the GTH session by ten minutes is not
novel or unique. Additionally, futures exchanges also operate during
the timeframe proposed to be added to the GTH trading session,
including the Exchange's affiliate, CFE \29\, and the Chicago
Mercantile Exchange, which offers E-mini S&P 500 Options for trading
during the proposed timeframe.
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\28\ See Cboe Options Rule 5.1, Cboe C2 Exchange, Inc. Rule 5.1
and Cboe EDGX Exchange, Inc. Rule 21.2.
\29\ See, e.g., CFE Rule 1202, which outlines the trading
schedule for futures on the Cboe Volatility Index.
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Further, the Exchange believes that maintaining a five-minute time
period between the end of current GTH and beginning of RTH will
continue to be an adequate and sufficient amount of time. The pause
between GTH and RTH allows liquidity providers to assess their risk
exposure on volatility settlement days. Following several years of
trading within the current hours for RTH and GTH, the Exchange
understands from industry participants that reducing the time between
GTH and RTH, from fifteen minutes to five minutes, will still allow
ample time for liquidity providers to continue to do so, while also
eliminating unnecessary closure time, which may serve to benefit
investors through additional trading opportunities closer to the
opening of RTH. The proposed change will result in minimal impact to
current trading systems and may in fact assist some order flow
providers in their transition between the two trading sessions by
reducing unnecessary pause times.
Other than the change in the time at which the GTH session will
end, trading during GTH will continue in the same manner as it does
today. Additionally, the Exchange notes that it will continue to
require that disclosures be made to customers describing potential
risks, which will continue to further protect investors from any
additional risks related to trading during GTH.\30\ The Exchange
believes that, with these disclosures, GTH, as amended, remain
appropriate and beneficial. The All Sessions order \31\ and RTH Only
order \32\ will continue to protect investors by permitting investors
who wish only to trade during RTH from having orders or quotes execute
outside of the RTH session, including during the extended GTH session.
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\30\ See Cboe Options Rule 9.20.
\31\ An ``All Sessions'' order (including a bulk message) is an
order a User designates as eligible to trade during all trading
sessions. See Cboe Options Rule 5.6(c).
\32\ An ``RTH Only'' order is an order (including a bulk
message) a User designates as eligible to trade only during RTH or
not designated as All Sessions or RTH and Curb. See Cboe Options
Rule 5.6(c).
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The Exchange believes the change to order entry cut-off time under
the modified opening auction process is reasonable. Market participants
will still be able to submit SLOOs until after the close of GTH and
prior to the opening of RTH, and continue to have the opportunity to
provide liquidity to offset order imbalances and contribute to a fair
and orderly modified opening auction process for a given series, to the
benefit of investors. The proposed rule change has no impact on how the
modified opening auction process will occur.
The proposed rule change further removes impediments to a free and
open market and does not unfairly discriminate among market
participants, as all TPHs with access to the Exchange may participate
in GTH and continue to trade during GTH using the same connection
lines, message formats, data feeds, and EFIDs they use during current
GTH, eliminating or minimizing any preparation efforts necessary to
continue to participate. As is today, TPHs will not be required to
trade during GTH.
Finally, the Exchange believes the change to Rule 5.1(c)(2) to
clarify which series may be listed for trading during GTH is
reasonable, as the proposed change is designed to make the Rulebook
more accurate and mitigate any potential confusion. The Exchange
believes revising the language will provide certainty regarding series
listed for trading during GTH, to the benefit of investors and the
public. This proposed change merely codifies current operations and
will have no impact on series available for trading during the GTH
session.
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 to extend the closing time of the
GTH session by ten minutes will impose any burden on intramarket
competition that is not necessary or appropriate in furtherance of the
purposes of the Act, because all TPHs will be able, but not be
required, to participate during the extended GTH session, and will be
able to do so using the same connectivity as they use during RTH, Curb
and current GTH. As discussed, participation in the extended GTH will
be voluntary and within the discretion of TPHs. Further, the Exchange
does not believe the proposed rule change to Rule 5.1(c)(2) to clarify
which series may be listed for trading during GTH will have any impact
on competition, as the change is not expected to have an impact on
trading, but rather clarify existing processes.
The Exchange does not believe that the proposed rule change to
extend GTH will impose any burden on intermarket competition that is
not necessary or appropriate in furtherance of the purposes of the Act,
because the proposed rule change is a competitive initiative that will
benefit the marketplace and investors. Additionally, all options
exchanges are free to compete in the same manner. Further, futures
exchanges operate during the timeframe proposed to be added to the GTH
trading session, including the Exchange's affiliate,
[[Page 58432]]
CFE,\33\ and the Chicago Mercantile Exchange, which offers E-mini S&P
500 Options for trading during the proposed timeframe. The Exchange
further believes that the same level of competition among options
exchanges will continue during RTH, regardless of the proposed change.
Because the Exchange will continue to make only exclusively listed
products available for trading during GTH, and because any All Sessions
orders that do not trade during GTH will be eligible to trade during
the RTH trading sessions in the same manner as all other orders
submitted during RTH, the proposed rule change will have no effect on
the national best prices or trading during RTH.
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\33\ See, e.g., CFE Rule 1202, which outlines the trading
schedule for futures on the Cboe Volatility Index.
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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
Because the foregoing proposed rule change does not:
A. significantly affect the protection of investors or the public
interest;
B. impose any significant burden on competition; and
C. become operative for 30 days from the date on which it was
filed, or such shorter time as the Commission may designate, it has
become effective pursuant to Section 19(b)(3)(A) of the Act \34\ and
Rule 19b-4(f)(6) \35\ thereunder. At any time within 60 days of the
filing of the proposed rule change, the Commission summarily may
temporarily suspend such rule change if it appears to the Commission
that such action is necessary or appropriate in the public interest,
for the protection of investors, or otherwise in furtherance of the
purposes of the Act. If the Commission takes such action, the
Commission will institute proceedings to determine whether the proposed
rule change should be approved or disapproved.
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\34\ 15 U.S.C. 78s(b)(3)(A).
\35\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)
requires a self-regulatory organization to give the Commission
written notice of its intent to file the proposed rule change, along
with a brief description and text of the proposed rule change, at
least five business days prior to the date of filing of the proposed
rule change, or such shorter time as designated by the Commission.
The Exchange has satisfied this requirement.
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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-2024-031 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-2024-031. 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
a.m. and 3 p.m. Copies of the filing also will be available for
inspection and copying at the principal office of the Exchange. Do not
include personal identifiable information in submissions; you should
submit only information that you wish to make available publicly. We
may redact in part or withhold entirely from publication submitted
material that is obscene or subject to copyright protection. All
submissions should refer to file number SR-CBOE-2024-031 and should be
submitted on or before August 8, 2024.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\36\
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\36\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2024-15773 Filed 7-17-24; 8:45 am]
BILLING CODE 8011-01-P
