[Federal Register Volume 87, Number 143 (Wednesday, July 27, 2022)]
[Notices]
[Pages 45138-45141]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-16041]



[[Page 45138]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-95344; File No. SR-CBOE-2022-036]


Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of 
Filing of a Proposed Rule Change To Amend Rule 5.6 and Rule 5.33 To 
Allow Delta-Adjusted at Close Orders To Be Submitted in Equity Options

July 21, 2022
    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 8, 2022, Cboe Exchange, Inc. (``Exchange'' or ``Cboe 
Options'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I, II, 
and III below, which Items have been prepared by the Exchange. The 
Commission is publishing this notice to solicit comments on the 
proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    Cboe Exchange, Inc. (the ``Exchange'' or ``Cboe Options'') proposes 
to amend Rule 5.6 and Rule 5.33 to allow Delta-Adjusted at Close 
(``DAC'') orders to be submitted in equity options. 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 (http://www.cboe.com/AboutCBOE/CBOELegalRegulatoryHome.aspx), at the Exchange's Office of the 
Secretary, and at the Commission's Public Reference Room.

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

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

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

1. Purpose
    The Exchange proposes to amend Rule 5.6 and Rule 5.33 to allow DAC 
orders to be submitted in equity options.\3\
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    \3\ The Exchange notes that reference to equity options and 
equity securities herein this proposal means options on securities 
that are not exchange-traded products (``ETPs'') and equity 
securities that are not ETPs (i.e., single-name securities or single 
stocks), respectively. As noted below, DAC orders will continue to 
be available only for FLEX options.
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    A DAC order is an order for which the System delta-adjusts its 
execution price after the market close. The DAC order instruction is 
available for simple and complex orders and allows Users to incorporate 
into their options pricing the closing price or value of the underlying 
on the transaction date based on how much that price or value changed 
during the trading day. Specifically, pursuant to the DAC order 
definition under Rule 5.6(c) (for simple DAC orders) and Rule 
5.33(b)(5) (for complex DAC orders), the delta-adjusted execution price 
equals the original execution price plus the delta value times the 
difference between the official closing price or value of the 
underlying on the transaction date and the reference price or index 
value of the underlying (``reference price''). Upon order entry for 
electronic execution, a User must designate a delta value (per leg for 
complex DAC orders) and may designate a reference price. If no 
reference price is designated, the System will include the price or 
value, as applicable, of the underlying at the time of order entry as 
the reference price. Upon order entry for open outcry execution, a User 
may designate a delta value (for one or more legs for complex DAC 
orders) and/or a reference price. During the open outcry auction, in-
crowd market participants will determine the final delta value(s) and/
or reference price, which may differ from any delta value or reference 
price designated by the submitting User. The final delta value(s) and 
reference price would be reflected in the final terms of the execution. 
A DAC order (simple and complex) may only be submitted in options on 
ETPs and indexes for execution in a FLEX electronic auction or open 
outcry auction on the Exchange's trading floor pursuant to Rule 
5.72.\4\
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    \4\ Additionally, pursuant to the definition of a DAC order 
under Rule 5.6(c) and Rule 5.33(b)(5), a DAC order submitted for 
execution in open outcry may only have a Time-in-Force of Day. A 
User may not designate a DAC order as All Sessions.
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    The Exchange proposes to make the DAC order instruction available 
for orders submitted in any FLEX option, including equity options. In 
particular, the proposed rule change amends the definition of a DAC 
order (simple and complex) to allow for DAC orders to be submitted in 
equity options by removing the restriction that a DAC order may only be 
submitted in options on ETPs and indexes. In particular, the proposed 
rule change to the definition of a simple DAC order under Rule 5.6(c) 
provides that a DAC order may only be submitted for execution in a FLEX 
electronic auction or open outcry auction on the Exchange's trading 
floor pursuant to Rule 5.72, and the proposed rule change to the 
definition of a complex DAC order under Rule 5.33(b)(5) provides that a 
complex DAC order may only be submitted for execution in a FLEX 
electronic auction or open outcry auction on the Exchange's trading 
floor pursuant to Rule 5.72. In addition to this, the proposed rule 
change adds to the definition of a simple DAC order under Rule 5.6(c) 
that a DAC order submitted in a single stock equity option may not be 
submitted until 45 minutes prior to the market close. A DAC order may 
not be submitted in a single stock equity option on its expiration day.
    DAC orders are designed to allow investors to incorporate any 
upside market moves that may occur following execution of the order up 
to the market close while limiting downside risk. Significant numbers 
of market participants interact in the equity markets near the market 
close, which may substantially impact the price of an underlying equity 
security at the market close. For example, the Exchange understands 
that market makers and other liquidity providers seek to balance their 
books before the market close and contribute to increased price 
discovery surrounding the market close. The Exchange also understands 
it is common for other market participants to seek to offset intraday 
positions and mitigate exposure risks based on their predictions of the 
closing underlying prices. This substantial activity near the market 
close may create wider spreads and increased price volatility, which 
may attract further trading activity from those participants seeking 
arbitrage opportunities and further drive prices. The significant 
liquidity and price/value movements in securities, including equity 
securities, that can occur near the market close, may cause option 
closing and settlement prices to deviate significantly from option 
execution prices earlier that trading day. As such,

[[Page 45139]]

the Exchange wishes to provide its investors with the same 
opportunities to incorporate any upside market moves that may occur 
following execution of the order up to the market close while limiting 
downside risk in their equity options trading as currently provided for 
their ETP and index options trading by making DAC orders available in 
equity options.
    Additionally, DAC orders are intended to benefit investors that 
participate in defined-outcome investment strategies,\5\ which, at the 
time the DAC order was adopted, existed only for indexes and ETPs. 
Particularly, DAC orders allow such funds to incorporate market moves 
that may occur following execution of the order up to the market close 
while limiting risk and to allow such funds to employ certain FLEX 
options strategies that enable their investors to mitigate risk at the 
market close while also participating in beneficial market moves at the 
close.\6\ The Exchange has recently been made aware that defined-
outcome investment strategies are being created to provide exposure to 
individual equity securities and as a result has received growing 
customer demand to make DAC orders available in equity options.\7\ The 
Exchange understands that, like defined-outcome strategies for ETPs and 
indexes, such funds for single-name equity securities would seek to use 
multi-leg strategy orders when seeding their funds,\8\ and, like for 
any defined-outcome strategy, the goal of the strategies used by 
defined-outcome funds for single-name securities would be to price the 
execution of multi-leg strategy orders at the close of the underlying. 
Also, the Exchange understands that funds for multiple single-name 
equity securities would seek to use single-leg (i.e., simple) orders to 
create a strategy when seeding their funds.\9\ However, there is 
operational execution risk in attempting to fill an order near the 
close to capture the underlying closing price. A DAC complex order 
currently allows the User to execute a strategy order in connection 
with a fund for an ETP or an index prior to the close and have its 
price adjusted at the close. The proposed rule change would allow a 
User to execute strategy orders in connection with seeding a fund for 
an equity security in the same manner.\10\ Like DAC complex orders for 
strategy orders in ETP and index options currently, DAC orders in 
equity options, either simple or complex depending on the structure of 
the fund, would allow the strategy order or orders to be executed at a 
time before the close, eliminating the execution risk, while realizing 
the objective of pricing based on the exact underlying close for those 
strategies that require pricing at the close or a defined amount of 
market exposure through the close. The proposed rule change would allow 
Users to participate in the same benefits--eliminating execution risk 
while realizing objective pricing--for their strategies in equity 
options as they are currently may for their strategies in ETP and index 
options.
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    \5\ Including defined-outcome ETFs, other managed funds, unit 
investment trusts (``UITs''), index funds, structured annuities, and 
other such funds or instruments that are indexed managed funds.
    \6\ See Securities Exchange Act Release No. 88997 (June 3, 
2020), 85 FR 35351 (June 9, 2020) (SR-CBOE-2020-014).
    \7\ Indeed, in the proposal that adopted the DAC order 
instruction, the Exchange notes that if, at a later date, User 
demand warrants the availability of DAC orders for equity options, 
the Exchange could submit a proposal to make DAC orders available 
for equity options. See id.
    \8\ The Exchange understands that, like defined-outcome ETFs for 
ETPs and indexes, issuers of defined-outcome ETFs for equity 
securities would not buy stocks directly, but instead, use options 
contracts to deliver the price gain or loss of the underlying over 
the course of a year, up to a preset cap.
    \9\ The Exchange notes that funds for multiple single-name 
equity securities would seek to use simple orders across multiple 
single-name equity options when seeding their funds as multi-leg, 
multi-class strategies in single stock options are not available for 
trading on the Exchange.
    \10\ Because multi-leg strategies themselves may have delta 
offsets, the User is hedged, meaning that the User may realize a 
negative movement versus the initial execution on some legs, which 
is offset by a positive move in other legs. The Exchange notes that 
the strategies may or may not define an exact delta offset (``delta 
neutrality'' occurs where the strategy defines an exact delta 
offset). Given the delta neutral nature of an order with exact 
offset, a User is indifferent to any movement in the underlying from 
the time of execution to the close. Whether or not a User defines an 
exact delta offset, a User anticipates a given amount of market 
exposure, either partial or none, depending on the strategy and 
combinations of buy/sell, call/put and quantity. See supra note 6 at 
35352.
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    As stated above, the proposed rule change also provides that a 
simple DAC order submitted in a single stock equity option may not be 
submitted until 45 minutes prior to the market close and may not be 
submitted on its expiration day. As a general rule, attempted 
manipulation of the price of a security encounters greater difficulty 
the more volume that is traded, and, generally, single name equity 
securities tend to be less liquid and experience greater price 
sensitivity and larger market moves than indexes or ETPs. The Exchange 
notes that on expiration day in particular, underlying equity 
securities may experience more price sensitivity than on non-expiration 
days and may be more susceptible to incentive to manipulate given that 
the exercise value of overlying options are contingent on the 
underlying closing price on expiration day. Options holders on 
expiration day, whether their positions were taken via a DAC execution 
or not, are subject to the risk of price swings in the underlying prior 
to the final close; however, options holders of positions taken via a 
DAC execution may potentially be more susceptible to such risk given 
the price adjustment at the close. For example, if a market participant 
executes a DAC order to buy calls on expiration day and a large price 
swing follows, in that, the underlying price is pushed significantly 
higher before the close, the DAC option holder would be forced to pay a 
much higher premium upon adjustment, and ultimately expiration. 
Therefore, in order to mitigate the potential risk associated with 
expiration day price swings, which may potentially expose DAC order 
users the gamma effect of options as they become more sensitive to 
underlying price changes as they approach expiration, particularly in 
options overlying less liquid securities, the proposed rule change 
restricts trading (regardless of opening or closing) in simple DAC 
orders in single stock options on expiration day. In addition to this, 
the proposed rule to require simple DAC orders in single stock options 
to be submitted no earlier than 45 minutes before the market close will 
reduce the amount of time during which the underlying price could 
potentially move; movements which, as stated above, may pose greater 
risk upon price adjustment at close to holders of DAC options. The 
Exchange notes that the same potential incentive to ``push'' the price 
of the underlying on expiration day in connection with the exercise 
price of an option is greatly diminished for multi-leg orders given 
that parties to multi-leg transactions are focused on the spread or 
ratio between the transaction prices for each of the legs (i.e., the 
net price of the entire complex trade).
    The Exchange notes that the same rules regarding the entry, 
execution and processing of DAC orders submitted in ETP and index 
options will apply to DAC orders submitted in equity options.\11\ 
Unadjusted and adjusted

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DAC trade information for DAC orders in equity options will be sent to 
the transacting parties, Options Clearing Corporation (``OCC'') and 
Options Price Reporting Agency (``OPRA'') in the same manner as such 
trade information for DAC orders in ETP and index options is currently 
sent today. The Exchange further notes that, similar to a DAC order 
instruction, the Exchange Rules already permit exercise prices for FLEX 
Equity Options series to be formatted as a percentage of the closing 
value of the underlying security.
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    \11\ See Rule 5.6(c) (definition of simple DAC order), Rule 
5.33(b)(5) (definition of complex DAC order), and Rule 5.34(c)(11) 
(DAC order reasonability check). The Exchange notes too that all DAC 
orders, currently and as proposed, are entered, priced, prioritized, 
allocated and execute as any other FLEX Order would when submitted 
into any FLEX electronic or open outcry auction and, like any FLEX 
Order, a FLEX DAC order may only be submitted into FLEX Options 
series eligible for trading pursuant to the FLEX Rules.
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    The Exchange has analyzed its capacity and represents that it 
believes the Exchange and OPRA have the necessary systems capacity to 
handle any additional order traffic, and the associated restatements, 
that may result from the submission of DAC orders in equity options and 
represents that it continues to have an adequate surveillance program 
in place to monitor orders with DAC pricing, including such orders in 
equity options. The Exchange additionally notes that it intends to 
further enhance its surveillances to, among other things, monitor for 
certain changes in delta and stock price between an original order and 
the final terms of execution and to generally monitor activity in the 
underlying potentially related to DAC trades. The Exchange notes that 
it has not observed any impact on pricing or price discovery at or near 
the market close as a result of DAC orders submitted in ETP and index 
options and does not believe that making DAC orders available in equity 
options will have any impact on pricing or price discovery at or near 
the market close. The Exchange also notes that it has not identified an 
impact on pricing or price discovery at or near the close as a result 
of exercise prices for FLEX Equity Options series formatted as a 
percentage of the closing value of the underlying security, which is 
similar to a DAC order instruction and permitted on the Exchange today.
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.\12\ Specifically, the 
Exchange believes the proposed rule change is consistent with the 
Section 6(b)(5) \13\ 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) \14\ requirement that the rules of an exchange not be 
designed to permit unfair discrimination between customers, issuers, 
brokers, or dealers.
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    \12\ 15 U.S.C. 78f(b).
    \13\ 15 U.S.C. 78f(b)(5).
    \14\ Id.
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    In particular, the Exchange believes that making DAC orders 
available in all FLEX options, including equity options, will promote 
just and equitable principles of trade and will remove impediments to 
and perfect the mechanism of a free and open market and national market 
system and, in general, protect investors, as it will allow investors 
to realize the same benefits in connection with their equity options 
trading that they may currently realize through the use of DAC orders 
in their ETP and index options trading, as previously approved by the 
Commission.\15\ As stated above, the Exchange has received growing 
customer demand to make DAC orders available in equity options.\16\ The 
proposed change to make DAC orders available in all options will 
benefit investors by allowing them to incorporate into the pricing of 
their equity options the closing price of the underlying on the 
transaction date based on the amount that the price of the underlying 
changes intraday. This allows investors to incorporate potential upside 
market moves that may occur following the execution of an order up to 
the market close while limiting downside risk in the same manner as may 
today for their ETP and index options. Also, offering DAC orders in 
equity options will allow investors to use the underlying reference 
prices and delta to fully hedge their equity options positions taken 
during the trading day through the market close and potentially benefit 
from price movements at the close as they are already able to do for 
their ETP and index option positions. In addition to this, as managed 
funds for single-name securities are expected to begin utilizing 
strategies at the close in order to mitigate risk at the close and 
participate in beneficial market moves at the same time, the Exchange 
believes that DAC orders in equity options will offer to managed funds 
for equity securities the same method by which such funds for ETPs and 
indexes are currently able to meet these objectives through the 
execution of FLEX options, thereby benefiting investors that hold 
shares of these funds. Additionally, the proposed restrictions in 
connection with the submission of simple DAC orders in equity options 
are designed to prevent fraudulent and manipulative acts and practices 
and protect investors by mitigating the potential risk associated with 
expiration day price swings, which may potentially expose DAC order 
users to the gamma effect of options as they become more sensitive to 
underlying price changes as such options approach expiration, and 
reducing the amount of time during which the underlying price could 
potentially move. As described, single-name securities may experience 
greater price sensitivity and may experience larger price swings than 
compared to indexes and ETPs, and DAC options holders particularly may 
potentially be subject to a greater risk of paying much higher premiums 
given the price adjustment at close. The Exchange believes proposed 
will minimize any potential incentive to attempt to manipulate the 
equities that may underlie a DAC order, particularly those securities 
that may experience relatively lower volume, and will mitigate 
potential risk to holders of DAC options in single-name securities.
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    \15\ See Securities and Exchange Act Release No. 90319 (November 
3, 2020), 85 FR 71361 (November 9, 2020) (SR-CBOE-2020-014).
    \16\ See supra note 7.
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    Further, the Exchange believes that the proposed rule change will 
remove impediments to and perfect the mechanism of a free and open 
market and a national market system and, in general, protect investors 
because the same rules regarding the entry, execution and processing of 
DAC orders submitted in ETP and index options will apply to DAC orders 
submitted in equity options,\17\ and all DAC trade information for DAC 
orders in equity options will be sent to the transacting parties, OCC 
and OPRA in the same manner as such trade information for DAC orders in 
ETP and index options is currently sent today. The Exchange represents 
that the Exchange itself and OPRA have the necessary systems capacity 
to handle any additional order traffic and the related restatements 
that may result from making DAC orders available in equity options and 
represents that it continues to have an adequate surveillance program 
in place to monitor orders with DAC pricing,

[[Page 45141]]

including such orders in equity options, thereby ensuring the 
protection of investors. In addition to this, the Exchange intends to 
further enhance its surveillances to, among other things, monitor for 
certain changes in delta and stock price between an original order and 
the final terms of execution and to generally monitor activity in the 
underlying potentially related to DAC trades. As noted above, the 
Exchange has not observed any impact on pricing or price discovery at 
or near the market close as a result of DAC orders submitted in ETP and 
index options, nor as a result of orders submitted in FLEX Equity 
Options series with exercise prices formatted as a percentage of the 
closing value of the underlying security, which are similar to DAC 
orders in equity options and currently permitted under the Exchange 
Rules. The Exchange does not believe that making DAC orders available 
in equity options will have any impact on pricing or price discovery at 
or near the market close.
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    \17\ See supra note 11.
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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 proposed rule change 
will not impose any burden on intramarket competition that is not 
necessary or appropriate in furtherance of the purposes of the Act, 
because use of the DAC order instruction is optional and already 
available to all Users. The proposed rule change merely expands the 
availability of an optional order instruction to orders submitted in 
all FLEX options. The Exchange believes that making DAC orders 
available in FLEX equity options is consistent with current demand by 
market participants and will allow them to realize the same benefits in 
their equity options trading as they may currently realize for their 
ETP and index options trading through the use of DAC orders. Also, and 
as described above, the additional proposed parameters in connection 
with single-leg, single name DAC orders are designed to minimize any 
potential incentive to attempt to manipulate the equities that may 
underlie a DAC order, particularly those securities that may experience 
relatively lower volume, and will mitigate potential risk to holders of 
DAC options in single-name securities.
    The proposed rule change will not impose any burden on intermarket 
competition that is not necessary or appropriate in furtherance of the 
purposes of the Act, as the Exchange already offers DAC order 
functionality--the proposed rule change merely expands the availability 
of the DAC order instruction to orders in all FLEX options. The 
proposed rule change it is intended to provide market participants in 
equity options with an additional means to manage risks in connection 
with potential volatility and downside price swings that may occur near 
the market close, while allowing them to receive potential benefits 
associated with any upside market moves near the market close. The 
Exchange believes the proposed rule change may foster competition, as 
other options exchanges in their discretion may pursue the adoption of 
similar orders applicable to equity options, which will result in 
additional choices for investors.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    The Exchange neither solicited nor received comments on the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the Exchange consents, the Commission will:
    A. by order approve or disapprove such proposed rule change, or
    B. institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-CBOE-2022-036 on the subject line.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.

    All submissions should refer to File Number SR-CBOE-2022-036. This 
file number should be included on the subject line if email is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549 on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of the filing also will be available for inspection 
and copying at the principal office of the Exchange. All comments 
received will be posted without change. Persons submitting comments are 
cautioned that we do not redact or edit personal identifying 
information from comment submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-CBOE-2022-036, and should be submitted 
on or before August 17, 2022.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\18\
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    \18\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2022-16041 Filed 7-26-22; 8:45 am]
BILLING CODE 8011-01-P


