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Federal Register / Vol. 86, No. 19 / Monday, February 1, 2021 / Notices
between the values used in a market participants securities account for related securities. For example, if the Exchange continues to use the closing prices of ETF options as the current market value of those options while the marking time of related index options uses prices 15 minutes prior to the close, there could be a significant misalignment between these values, particularly if there were to be a large price move in the equity markets during that 15-minute time period.19
The Exchange believes the proposed rule change will also promote just and equitable principles of trade and remove impediments to and perfect the mechanism of a free and open market by permitting alignment of daily marks for related products that market participants often use in a complementary manner as part of their investment and hedging strategies. The Act authorizes the Exchange to prescribe standards of financial responsibility for Trading Permit Holders, and the proposed rule change regarding the daily value to be used for calculation of daily margin requirements for options positions is consistent with that authority.
B. Self-Regulatory Organizations 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 primary purpose of the proposed rule change is to align margin calculations for related products in the securities industries.
The Exchange does not believe the proposed rule change will impose any burden on intramarket competition that is not necessary or appropriate in furtherance of the purposes of the Act because the proposed change related to margin requirements for the designated options will apply in the same manner to all market participants that hold positions in those options. The Exchange does not believe the proposed rule change 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 relates to margin requirements the Exchange imposes on its Trading Permit Holders. As noted above, the Exchange recently made a similar rule change to permit it to align 19 The Exchange is unaware of market participants who have been significantly negatively impacted by this lack of alignment since the marking time for index options changed in October.
However, the proposed rule change would eliminate the potential risk associated with misalignment going forward.

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the time at which it determines current market value for index options with the time at which a futures exchange determined the daily settlement value for related futures products for substantially similar purposes. Other options exchanges may choose to similarly change the time at which current market value will be determined for purposes of their margin rules.
C. Self-Regulatory Organizations 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 19b3A of the Act 20 and Rule 19b4f6 21
thereunder.
The Exchange has asked the Commission to waive the 30-day operative delay so that the proposal may become operative immediately upon filing. The Exchange stated that it believes waiver of the operative delay will protect investors by permitting the Exchange to align the times at which the current market value of ETF options with the times at which the current market value of related index options in securities accounts are determined as soon as practicable. The Exchange also stated that it believes this will benefit market participants by preventing potential price distortions between related options and reduce pricing risks to market participants that hold positions in ETF options and related index options that may occur if the time at which the current market value of options was determined differed from the time at which the daily settlement value of related futures was determined.
The Exchange also noted the proposed 20 15

U.S.C. 78sb3A.
CFR 240.19b4f6. In addition, as required under Rule 19b4f6iii, the Exchange provided the Commission with written notice of its intent to file the proposed rule change, along with a brief description and the text of the proposed rule change, at least five business days prior to the date of the 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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rule change is not novel, because the Exchange recently made a similar rule change to permit it to align the time at which it determines current market value for index options with the time at which a futures exchange determined the daily settlement value for related futures products for substantially similar purposes. The Exchange stated it will announce to Trading Permit Holders the date on which the change will be implemented in accordance with Rule 1.5 i.e., the date will be announced via specifications, notices, or regulatory circulars with appropriate advanced notice, which are posted on the Exchanges website, or as otherwise provided in the Rules among other methods. The Commission believes that waiving the 30-day operative delay is consistent with the protection of investors and the public interest, because waiver of the operative delay will permit the Exchange to eliminate the potential pricing disparities that may occur as a result of continued misalignment as soon as possible. For this reason, the Commission designates the proposed rule change to be operative upon filing.22
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.
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 Commissions internet comment form http www.sec.gov/
rules/sro.shtml; or Send an email to rule-comments@
sec.gov. Please include File Number SR
CBOE2021006 on the subject line.
22 For purposes only of waiving the 30-day operative delay, the Commission has also considered the proposed rules impact on efficiency, competition, and capital formation. See 15 U.S.C. 78cf.

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