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Federal Register / Vol. 86, No. 165 / Monday, August 30, 2021 / Notices SECURITIES AND EXCHANGE
COMMISSION
Release No. 3492739; File No. SRCBOE
2021048

Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Amend Fees Schedule Regarding Executions in the Cboe Compression Service August 24, 2021.

Pursuant to Section 19b1 of the Securities Exchange Act of 1934 the Act,1 and Rule 19b4 thereunder,2
notice is hereby given that on August 12, 2021, 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 and II 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 Organizations Statement of the Terms of Substance of the Proposed Rule Change Cboe Exchange, Inc. the Exchange or Cboe Options proposes to amend its fees schedule. The text of the proposed rule change is provided in Exhibit 5.
The text of the proposed rule change is also available on the Exchanges website http www.cboe.com/
AboutCBOE/CBOELegalRegulatory Home.aspx, at the Exchanges Office of the Secretary, and at the Commissions Public Reference Room.

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II. Self-Regulatory Organizations 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.

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A. Self-Regulatory Organizations Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The Exchange proposes to amend its Fees Schedule in connection with executions of S&P 500 Index options SPX in the Cboe Compression Service CCS and to make a clarifying change regarding Position Compression Cross PCC orders, effective August 12, 2021.
Specifically, the Exchange recently adopted the CCS for SPX including SPX Weeklys SPXW,3 which it intends to launch on August 12, 2021.
CCS is an additional, voluntary compression tool that Trading Permit Holders TPHs can use to close SPX
positions to reduce regulatory capital attributable to their SPX holdings. To participate, a TPH must submit a position list prior to an Exchangespecified time after the close of trading on the specified day that details all of the open SPX positions it would like to close out. If all TPHs that submit position lists on that day agree to the compression proposal provided by the Exchange, the Exchange then runs an automated process to match offsetting positions in an anonymized manner and then effects the transactions at specified compression prices 4 off the exchange.5
The Exchange now proposes to amend its Fees Schedule in connection with the planned implementation of CCS for SPX/SPXW. Particularly, the Exchange proposes to waive all transaction fees and applicable surcharges incurred as a result of CCS transactions in SPX/
SPXW.
First, the proposed rule change amends footnote 41 so that transaction fees and applicable surcharges are waived for CCS transactions, as they currently are for Position Compression Cross PCC transactions, which TPHs may also use to compress their positions 3 See Securities Exchange Release No. 92354 July 8, 2021, 86 FR 37197 July 14, 2021 SRCBOE
2021020 Notice of Filing of Amendment No. 1
and Order Granting Accelerated Approval of a Proposed Rule Change, as Modified by Amendment No. 1, To Adopt Rule 6.10 To Introduce a Voluntary Multilateral Compression Service for SPX Options.
4 The compression price is generally the price of the option as close as possible to the midpoint of the NBBO at the close of the trading day or the daily marking time, subject to adjustment using generally accepted volatility and options pricing models in the event of wide markets, market volatility, or other unusual circumstances.
5 The Exchange notifies the TPH participants of each TPHs individual compression proposal, and each TPH with at least one offsetting position must notify the Exchange whether it accepts its individual proposal in order to proceed with the CCS transactions.

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in SPX/SPXW. Specifically, the proposed rule change amends footnote 41 to provide that the Exchange shall waive transaction fees, including the Index License Surcharge and SPX/
SPXW Execution Surcharge, for i PCC
transactions executed electronically or in open outcry, as applicable, and ii CCS transactions, and that PCC and CCS
transactions will not count towards any volume thresholds. The Exchange notes that Footnote 41 is currently appended to: 1 SPX/SPXW and SPESG Liquidity Provider Sliding Scale; 2 Clearing Trading Permit Holder Proprietary Products Sliding Scale; 3 Select Customer Options Reduction SCORe Program; 4 SPX/SPXW Market-Maker Tier Appointment Fees; 5 Floor Broker Trading Surcharge; 6 Floor Broker ADV Discount; 7 Floor Brokerage Fees Discount Scale; and 8 Frequent Trader Program; 6 therefore, CCS transactions, like PCC transactions, will not count towards any volume thresholds for these programs. The proposed rule change also appends footnote 41 to the line item for SPX incl SPXW and SPESG
that corresponds to Joint Back-Office JBO, Non-TPH Market-Maker and Professional transaction fees to make it clear that all SPX/SPXW-related transaction fees and applicable surcharges for PCC transactions and CCS transactions, as proposed, are waived. Next, the proposed rule change amends footnote 17 of the Fees Schedule to explicitly exclude CCS
transactions from the FLEX Surcharge Fee.7 Finally, the proposed rule change amends footnote 21 of the Fees Schedule to explicitly exclude PCC
orders and CCS transactions from the SPX, SPXW and SPESG Execution Surcharge. The Exchange notes that the SPX, SPXW and SPESG Surcharge does not currently apply to PCC transactions, as provided in footnote 41; the proposed rule change merely adds PCC to footnote 21 to provide additional clarity in the Fees Schedule.
The Exchange wishes to waive transaction fees and surcharges for CCS
transactions to encourage TPHs to use the service. The Exchange believes compression of SPX positions using the CCS would improve market liquidity by freeing TPHs capital currently covering nearly worthless positions and allow them to put that capital back into the markets to facilitate execution of customer orders. As CCS transactions 6 The Exchange notes that footnote 41 is also appended to the Floor Broker Sliding Scale Rebate Program; however, this program is not applicable generally to orders in SPX/SPXW.
7 The Exchange notes that PCC for FLEX is not currently supported, therefore this surcharge is not currently applicable to PCC orders.

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