
[Federal Register Volume 88, Number 185 (Tuesday, September 26, 2023)]
[Notices]
[Pages 66103-66106]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2023-20810]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-98454; File No. SR-CBOE-2023-005]


Self-Regulatory Organizations; Cboe Exchange, Inc.; Order 
Granting Approval of a Proposed Rule Change, as Modified by Amendment 
No. 1, To Make Permanent The Operation of the Program That Allows the 
Exchange To List P.M.-Settled Third Friday-of-the-Month S&P 500 Stock 
Index Options (``SPX'') Series

September 20, 2023.

I. Introduction

    On January 6, 2023, Cboe Exchange, Inc. (``Exchange'' or ``Cboe 
Options'') filed with the Securities and Exchange Commission 
(``Commission''), pursuant to section 19(b)(1) of the Securities 
Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder,\2\ a 
proposed rule change to make permanent the operation of its pilot 
program (``Program'') that permits the Exchange to list p.m.-settled 
third Friday-of-the-month SPX options (``SPXPM''). The proposed rule 
change was published for comment in the Federal Register on January 24, 
2023.\3\ On March 7, 2023, pursuant to section 19(b)(2) of the Act,\4\ 
the Commission designated a longer period within which to approve the 
proposed rule change, disapprove the proposed rule change, or institute 
proceedings to determine whether to disapprove the proposed rule 
change.\5\ On March 17, 2023, the Exchange filed Amendment No. 1 to the 
proposed rule change (``Amendment No. 1'').\6\ On April 24, 2023, the 
Commission instituted proceedings to determine whether to approve or 
disapprove the proposed rule change and published Amendment No. 1 for 
notice and comment.\7\ On July 20, 2023, the Commission designated a 
longer period for Commission action on proceedings to determine whether 
to approve or disapprove the proposed rule change, as modified by 
Amendment No. 1.\8\ The Commission did not receive any comment letters 
and is approving the proposed rule change, as modified by Amendment No. 
1.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 96703 (January 18, 
2023), 88 FR 4265 (``Notice'').
    \4\ 15 U.S.C. 78s(b)(2).
    \5\ See Securities Exchange Act Release No. 97063, 88 FR 15476 
(March 13, 2023). The Commission designated April 24, 2023, as the 
date by which the Commission shall approve or disapprove, or 
institute proceedings to determine whether to approve or disapprove, 
the proposed rule change.
    \6\ In Amendment No. 1, the Exchange filed Exhibit 3, which 
provides additional detail regarding the Exchange's analysis of the 
market quality impact of p.m.-settled index options. Amendment No. 1 
is available at: https://www.sec.gov/comments/sr-cboe-2023-005/srcboe2023005.htm.
    \7\ Amendment No. 1 was published for comment in the Federal 
Register on April 28, 2023. See Securities Exchange Act Release No. 
97367 (April 24, 2023), 88 FR 26366 (April 28, 2023) (order 
instituting proceedings and noticing Amendment No. 1).
    \8\ See Securities Exchange Act Release No. 97956, 88 FR 48278 
(July 26, 2023). The Commission designated September 21, 2023, as 
the date by which the Commission shall either approve or disapprove 
the proposed rule change.
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II. Background

    When cash-settled \9\ index options were first introduced in the 
1980s, they generally utilized closing-price settlement procedures 
(i.e., p.m. settlement).\10\ The Commission became

[[Page 66104]]

concerned with the impact of p.m.-settled, cash-settled index options 
on the underlying cash equities markets, and in particular, added 
market volatility and sharp price movements near the close on 
expiration days.\11\ These concerns were heightened during the 
``triple-witching'' hour on the third Friday of March, June, September, 
and December when index options, index futures, and options on index 
futures expired concurrently.\12\ Academic research at the time 
provided at least some evidence suggesting that futures and options 
expirations contributed to excess volatility and reversals around the 
close on those days.\13\
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    \9\ The seller of a ``cash-settled'' index option pays out the 
cash value of the applicable index on expiration or exercise. A 
``physical delivery'' option, like equity and ETF options, involves 
the transfer of the underlying asset rather than cash. See 
Characteristics and Risks of Standardized Options, available at: 
https://www.theocc.com/Company-Information/Documents-and-Archives/Options-Disclosure-Document.
    \10\ See Securities Exchange Act Release No. 65256 (September 2, 
2011), 76 FR 55969, at 55972 (September 9, 2011) (SR-C2-2011-008) 
(Order approving proposed rule change to establish a pilot program 
to list and trade SPXPM options on the C2 Options Exchange, 
Incorporated (``C2'')) (``C2 SPXPM Approval''). SPXPM was traded on 
a pilot basis on C2 until the introduction of SPXPM trading on Cboe 
Options. See Securities Exchange Act Release No. 68888 (February 8, 
2013), 78 FR 10668, at 10668 (February 14, 2013) (SR-CBOE-2012-120) 
(``SPXPM Approval Order'').
    \11\ See C2 SPXPM Approval, 76 FR at 55972.
    \12\ See id.
    \13\ See Securities and Exchange Commission, Division of 
Economic Risk and Analysis, Memorandum dated February 2, 2021 on 
Cornerstone Analysis of PM Cash-Settled Index Option Pilots 
(September 16, 2020) (``Pilot Memo'') at 5, available at: https://www.sec.gov/files/Analysis_of_PM_Cash_Settled_Index_Option_Pilots.pdf (citing, among 
other papers, Stoll, Hans R., and Robert E. Whaley, ``Expiration day 
effects of index options and futures,'' Monograph Series in Finance 
and Economics, no. 3 (1986)).
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    In light of the concerns with p.m. settlement and to help 
ameliorate the price effects associated with expirations of p.m.-
settled, cash-settled index products, in 1987, the Commodity Futures 
Trading Commission approved a proposed rule change by the Chicago 
Mercantile Exchange (``CME'') to provide for a.m. settlement \14\ for 
index futures, including futures on the S&P 500 Index (``S&P 
500'').\15\ The Commission subsequently approved a proposed rule change 
by Cboe Options to list and trade a.m.-settled options on the S&P 
500.\16\ In 1992, the Commission approved Cboe Options' proposal to 
transition all of its European-style cash-settled options on the S&P 
500 to a.m. settlement.\17\ However, in 1993, the Commission approved a 
proposed rule change allowing Cboe Options to list p.m.-settled options 
on certain broad-based indexes, including the S&P 500, expiring at the 
end of each calendar quarter (since approved as permanent).\18\ 
Starting in 2006, the Commission approved a number of proposals, on a 
pilot basis, permitting Cboe Options to introduce other index options, 
including SPX options, with p.m.-settlement. These include p.m.-settled 
index options expiring weekly (other than the third Friday) and at the 
end of each month,\19\ SPXPM, as well as p.m.-settled Mini-SPX Index 
(``XSP'') options and Mini-Russell 2000 Index (``MRUT'') options 
expiring on the third Friday of the month.\20\
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    \14\ The exercise settlement value for an a.m.-settled index 
option is determined by reference to the reported level of the index 
as derived from the opening prices of the component securities on 
the business day before expiration.
    \15\ See Proposed Amendments Relating to the Standard and Poor's 
500, the Standard and Poor's 100 and the Standard Poor's OTC Stock 
Price Index Futures Contract, 51 FR 47053 (December 30, 1986) 
(notice of proposed rule change from the CME). See also Securities 
Exchange Act Release No. 24367 (April 17, 1987), 52 FR 13890 (April 
27, 1987) (SR-CBOE-87-11) (noting that the CME moved the S&P 500 
futures contract's settlement value to opening prices on the 
delivery date).
    \16\ See Securities Exchange Act Release No. 24367 (April 17, 
1987), 52 FR 13890 (April 27, 1987) (SR-CBOE-87-11).
    \17\ See Securities Exchange Act Release No. 30944 (July 21, 
1992), 57 FR 33376 (July 28, 1992) (SR-CBOE-92-09). The Commission 
also approved proposals by other options markets to transfer most of 
their cash-settled index products to a.m. settlement. See, e.g., 
Securities Exchange Act Release No. 25804 (June 15, 1988), 53 FR 
23475 (June 22, 1988) (SR-NYSE-87-11 and 88-04).
    \18\ See Securities Exchange Act Release No. 31800 (February 1, 
1993), 58 FR 7274 (February 5, 1993) (SR-CBOE-92-13). See also 
Securities Exchange Act Release Nos. 54123 (July 11, 2006), 71 FR 
40558 (July 17, 2006) (SR-CBOE-2006-65); and 60164 (June 23, 2009), 
74 FR 31333 (June 30, 2009) (SR-CBOE-2009-029).
    \19\ See Securities Exchange Act Release Nos. 62911 (September 
14, 2010), 75 FR 57539 (September 21, 2010) (SR-CBOE-2009-075); 
76529 (November 30, 2015), 80 FR 75695 (December 3, 2015) (SR-CBOE-
2015-106); and 78531 (August 10, 2016), 81 FR 54643 (August 16, 
2016) (SR-CBOE-2016-046).
    \20\ See Securities Exchange Act Release Nos. 70087 (July 31, 
2013), 78 FR 47809 (August 6, 2013) (SR-CBOE-2013-055); and 91067 
(February 5, 2021) 86 FR 9108 (February 11, 2021) (SR-CBOE-2020-
116).
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    In the course of approving the various pilots, the Commission 
reiterated its concern about the potential impact on the market at 
expiration for the underlying component stocks for a p.m.-settled, 
cash-settled index option.\21\ However, the Commission also recognized 
the potential impact was unclear.\22\ The Commission approved the 
Program on a pilot basis to allow the Exchange and the Commission to 
monitor for and assess any potential for adverse market effects.\23\ In 
order to facilitate this assessment, the Exchange committed to provide 
the Commission with data and analysis in connection with the Program 
\24\ and to make such data publicly available.\25\ In addition to the 
Exchange's data and analysis, Cornerstone Research also conducted an 
analysis at the direction of Staff from the Commission's Division of 
Economic and Risk Analysis. The analysis utilizes the level of expiring 
p.m.-settled index options open interest and the measures of volatility 
and price reversals for the corresponding index futures, the underlying 
cash index, and index component securities in the minutes leading up to 
and immediately following the market close to study the effects of 
pilot programs allowing p.m.-settled index options. The Pilot Memo is 
discussed in more detail below.
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    \21\ See, e.g., SPXPM Approval Order, 78 FR at 10669. See also 
Securities Exchange Act Release Nos. 64599 (June 3, 2011), 76 FR 
33798, 33801-02 (June 9, 2011) (order instituting proceedings to 
determine whether to approve or disapprove a proposed rule change to 
allow the listing and trading of SPXPM options on the C2 Options 
Exchange, Incorporated); and C2 SPXPM Approval, 76 FR at 55972-76.
    \22\ See, e.g., SPXPM Approval Order, 78 FR at 10669.
    \23\ See id.
    \24\ See id. at 10670.
    \25\ See, e.g., Securities Exchange Act Release No. 84535 
(November 5, 2018), 83 FR 56129, at 56130 (November 9, 2018) (SR-
CBOE-2018-069) (stating the Exchange is making public on its website 
data and analyses previously submitted to the Commission under the 
Program and committing to make public any data or analyses submitted 
in the future).
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III. Description of the Proposal, as Modified by Amendment No. 1

    SPXPM are cash-settled SPX options with third Friday-of-the-month 
expiration dates (``Expiration Friday'') whose exercise settlement 
value is derived from closing prices on the last trading day prior to 
expiration. In February 2013, the Commission approved the Program to 
list and trade these options on a pilot basis.\26\
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    \26\ See SPXPM Approval Order.
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    The Exchange has filed to extend the operation of the pilot on 
multiple occasions and it is currently set to expire on the earlier of 
November 6, 2023, or the date on which the Program is approved on a 
permanent basis.\27\ Now, the Exchange proposes to make the Program 
permanent.
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    \27\ See Securities Exchange Act Release Nos. 71424 (January 28, 
2014), 79 FR 6249 (February 3, 2014) (SR-CBOE-2014-004); 73338 
(October 10, 2014), 79 FR 62502 (October 17, 2014) (SR-CBOE-2014-
076); 77573 (April 8, 2016), 81 FR 22148 (April 14, 2016) (SR-CBOE-
2016-036); 80386 (April 6, 2017), 82 FR 17704 (April 12, 2017) (SR-
CBOE-2017-025); 83166 (May 3, 2018), 83 FR 21324 (May 9, 2018) (SR-
CBOE-2018-036); 84535 (November 5, 2018), 83 FR 56129 (November 9, 
2018) (SR-CBOE-2018-069); 85688 (April 18, 2019), 84 FR 17214 (April 
24, 2019) (SR-CBOE-2019-023); 87464 (November 5, 2019), 84 FR 61099 
(November 12, 2019) (SR-CBOE-2019-107); 88674 (April 16, 2020), 85 
FR 22479 (April 22, 2020) (SR-CBOE-2020-036); 90263 (October 23, 
2020), 85 FR 68611 (October 29, 2020) (SR-CBOE-2020-100); 91698 
(April 28, 2021) 86 FR 23761 (May 4, 2021) (SR-CBOE-2021-027); 93455 
(October 28, 2021), 86 FR 60660 (November 3, 2021) (SR-CBOE-2021-
062); 94799 (April 27, 2022), 87 FR 26244 (May 3, 2022) (SR-CBOE-
2022-019); 96222 (November 3, 2022), 87 FR 67736 (November 9, 2022) 
(SR-CBOE-2022-054); and 97446 (May 5, 2023), 88 FR 30365 (May 11, 
2023).
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    Since the Program's inception in 2013, the Exchange has submitted 
reports to the Commission regarding the Program that detail the 
Exchange's experience with the Program, pursuant

[[Page 66105]]

to the SPXPM Approval Order.\28\ The Exchange states that, during the 
course of the Program, it also provided the Commission with any 
additional data or analyses the Commission requested if the Commission 
deemed such data or analyses necessary to determine whether the Program 
was consistent with the Act.\29\
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    \28\ See supra note 10. The Exchange has made public on its 
website data and analyses previously submitted to the Commission 
under the Program. See https://www.cboe.com/aboutcboe/legal-regulatory/national-market-system-plans/pm-settlement-spxpm-data.
    \29\ See Notice, 88 FR at 4267.
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IV. Discussion and Commission Findings

    After careful review, the Commission finds that the proposed rule 
change, as modified by Amendment No. 1, is consistent with the Act and 
the rules and regulations thereunder applicable to a national 
securities exchange.\30\ In particular, the Commission finds that the 
proposed rule change, as modified by Amendment No. 1, is consistent 
with section 6(b)(5) of the Act,\31\ which requires, among other 
things, that the Exchange's rules be designed to prevent fraudulent and 
manipulative acts and practices, to promote just and equitable 
principles of trade, 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. In its proposal 
to make the Program permanent, the Exchange addressed whether the 
Program negatively impacts markets or impacted the quality of the SPX 
options market. Each of these elements is discussed in greater detail 
below. As stated above, no comments were received on the proposed rule 
change.
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    \30\ In approving this proposed rule change, the Commission has 
considered the proposed rule's impact on efficiency, competition, 
and capital formation. See 15 U.S.C. 78c(f).
    \31\ 15 U.S.C. 78f(b)(5).
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Market Impact Considerations

    The Exchange states it has not identified any evidence from the 
pilot data indicating that the trading of p.m.-settled SPX options has 
any adverse impact on fair and orderly markets on Expiration Fridays 
for the S&P 500 or the underlying securities comprising the S&P 500, 
nor have there been any observations of abnormal market movements 
attributable to p.m.-settled SPX options from any market participants 
that have come to the attention of the Exchange.\32\ In order to 
support its overall assessment of the Program, the Exchange included a 
review and analysis of pilot data.\33\ Among other things, the 
Exchange's analysis includes end of day volatility as well as a 
comparison of the impact of quarterly index rebalancing versus p.m.-
settled expirations.\34\
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    \32\ See Notice, 88 FR at 4267.
    \33\ See id. at 4266-70.
    \34\ See id. at 4268.
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    In addition to reviewing the data and analysis provided by the 
Exchange, the Commission reviewed the analysis in the Pilot Memo, which 
evaluates whether higher levels of expiring open interest in p.m.-
settled index options results in increased volatility and price 
reversals around the close. The Pilot Memo shows that the market share 
for p.m.-settled options on the S&P 500 has grown substantially since 
2007.\35\ The Exchange's review of pilot data also showed this trend 
continuing from 2019 through 2021.\36\
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    \35\ See Pilot Memo at 2.
    \36\ See Notice, 88 FR at 4267. Specifically, since 2007, p.m.-
settled SPX options grew from 0.1% of open interest to 30% of open 
interest in 2021. Id.
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    The Pilot Memo examines whether and to what extent expiring open 
interest in p.m.-settled index options is empirically related with the 
tendency of the corresponding index futures, the underlying index, or 
index components to experience increased transitory volatility and 
price reversals around the time of market close on expiration dates. 
The Pilot Memo concludes that, although expiring p.m.-settled index 
option open interest may have a statistically significant relationship 
with volatility and price reversals of the underlying index, index 
futures, and index component securities around the market close, the 
magnitude of the effect is economically very small.\37\ For example, 
the largest settlement event that occurred during the time period 
studied in the Pilot Memo (a settlement of $100.4 billion of notional 
on December 29, 2017) had an estimated impact on the futures price of 
only approximately 0.02% (a predicted impact of $0.54 relative to a 
closing futures price of $2,677).\38\
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    \37\ See Pilot Memo at 3.
    \38\ See id.
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    The Exchange further reviewed a sample of pilot data from 2019 
through 2021, and measured the volatility of the S&P 500 over the final 
fifteen minutes of each trading day and compared expiration days to 
non-expiration days.\39\ Generally volatility was slightly higher on 
expiration days, but in cases where overall market volatility 
increased, the normalized impact on expiration days versus non-
expiration days remained consistent.\40\ The Exchange further analyzed 
volatility on days when the S&P 500 was rebalanced, and states its 
results suggest more closing volatility on rebalance dates compared to 
non-rebalance expiration dates, indicating that rebalancing of the S&P 
500 may have a greater impact on S&P 500 volatility than p.m.-settled 
option expirations.\41\
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    \39\ See Notice, 88 FR at 4268.
    \40\ See id.
    \41\ See id.
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    The Exchange also reviewed a sample of post-2018 pilot data for 
potential correlation between excess market volatility and price 
reversals and the hedging activity of liquidity providers.\42\ To 
determine whether there is a correlation, the Exchange calculated an 
estimate of the amount of market-on-close (``MOC'') volume in the S&P 
500 component markets attributable to expected hedging activity as a 
result of expiring in-the-money options.\43\ The Exchange states its 
results indicate that other sources of MOC share volume generally 
exceed the volume resulting from hedging activity for p.m.-settled SPX 
options.\44\ Further, the Exchange also compared hedging futures 
positions that would correspond to expiring in-the-money p.m.-settled 
SPX options and concludes the data indicate negligible capacity for 
hedging activity to increase volatility in the underlying markets.\45\
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    \42\ See id.
    \43\ See id.
    \44\ See id. at 4269.
    \45\ See id.
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    Finally, the Exchange states that the significant changes in the 
closing procedures of the primary markets in recent decades, including 
considerable advances in trading systems and technology, have 
significantly minimized risks of any potential impact of p.m.-, cash-
settled SPX options on the underlying cash markets.\46\
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    \46\ See id.
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Market Quality Considerations

    The Exchange also completed an analysis intended to evaluate 
whether the Program impacted the quality of the SPX options market. 
Specifically, the Exchange compared values of key market quality 
indicators (specifically, the bid-ask spread \47\ and effective spread 
\48\) in p.m.-settled SPX weekly

[[Page 66106]]

(``SPXW'') options both before and after the introduction of Tuesday 
expirations and Thursday expirations for SPXW options on April 18 and 
May 11, 2022, respectively.\49\ The Exchange states that analyzing 
whether the introduction of new SPXW p.m.-settled expirations (i.e., 
SPXW options with Tuesday and Thursday expirations) impacted the market 
quality of then-existing SPXW p.m.-settled expirations (i.e., SPXW 
options with Monday, Wednesday, and Friday expirations) provides a 
reasonable substitute to evaluate whether the introduction of p.m.-
settled index options impacted the market quality of the SPX market 
when the Program began.\50\ Therefore, the Exchange believes analyzing 
the impact of new SPXW options on then-existing SPXW options permit the 
Exchange to extrapolate that it is unlikely the introduction of p.m.-
settled SPXW options significantly impacted the market quality of a.m.-
settled SPX options when the Program began.\51\ The Exchange concludes 
from this analysis that the introduction of SPX options with Tuesday 
and Thursday options had no significant impact on the market quality of 
SPXW options with Monday, Wednesday, and Friday expirations. For a 
majority of the series analyzed, the Exchange observed no statistically 
significant difference in bid-ask spread or effective spread.\52\
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    \47\ The Exchange calculated for each of SPXW options (with 
Monday, Wednesday, and Friday expirations) and SPY Weekly options 
(with Monday, Wednesday, and Friday expirations) the daily time-
weighted bid-ask spread on the Exchange during its regular trading 
hours session, adjusted for the difference in size between SPXW 
options and SPY options (SPXW options are approximately ten times 
the value of SPY options).
    \48\ The Exchange calculated the volume-weighted average daily 
effective spread for simple trades for each of SPXW options (with 
Monday, Wednesday, and Friday expirations) and SPY Weekly options 
(with Monday, Wednesday, and Friday expirations) as twice the amount 
of the absolute value of the difference between an order execution 
price and the midpoint of the national best bid and offer at the 
time of execution, adjusted for the difference in size between SPXW 
options and SPY options.
    \49\ For purposes of comparison, the Exchange paired SPXW 
options and SPY options with the same moneyness and same days to 
expiration.
    \50\ See Notice, 88 FR at 4269.
    \51\ See id. at 4270.
    \52\ See id.
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    The Commission believes that the evidence contained in the 
Exchange's filing, the Exchange's pilot data and reports, and the Pilot 
Memo analysis demonstrate that the Program has benefitted investors and 
other market participants by providing more flexible trading and 
hedging opportunities while also having no disruptive impact on the 
market. The market for SPXPM options has grown significantly in size 
over the course of the Program, and analysis of the pilot data did not 
identify any significant economic impact on the underlying component 
securities of the S&P 500 surrounding the close as a result of expiring 
p.m.-settled SPX options nor did it indicate a deterioration in market 
quality (as measured by bid-ask and effective spreads) for an existing 
product when a new p.m.-settled expiration was introduced. Further, 
significant changes in closing procedures in the decades since index 
options moved to a.m. settlement may also serve to mitigate the 
potential impact of p.m.-settled index options on the underlying cash 
markets.
    Accordingly, the Commission finds that the proposed rule change, as 
modified by Amendment No. 1, is consistent with section 6(b)(5) of the 
Act \53\ and the rules and regulations thereunder applicable to a 
national securities exchange.
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    \53\ 15 U.S.C. 78f(b)(5).
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V. Conclusion

    It is therefore ordered, pursuant to section 19(b)(2) of the 
Act,\54\ that the proposed rule change (SR-CBOE-2023-005), as modified 
by Amendment No. 1, be, and hereby is, approved.
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    \54\ 15 U.S.C. 78s(b)(2).
    \55\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\55\
Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2023-20810 Filed 9-25-23; 8:45 am]
BILLING CODE 8011-01-P


