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Federal Register / Vol. 86, No. 210 / Wednesday, November 3, 2021 / Notices
permits the listing and trading of XSP
options with third-Friday-of-the-month expiration dates, whose exercise settlement value will be based on the closing index value on the expiration day P.M.-settled on a pilot basis set to expire on November 1, 2021 the XSPPM Pilot Program. Rule 29.11j3 also permits the listing and trading of P.M.-settled options on broadbased indexes with weekly expirations Weeklys and end-of-month expirations EOMs on a pilot basis set to expire on November 1, 2021 the Nonstandard Expirations Pilot Program, and together with the XSPPM
Pilot Program, the Pilot Programs.
The Exchange proposes to extend the Pilot Programs through May 2, 2022.

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XSPPM Pilot Program Rule 29.11a6 permits the listing and trading, in addition to A.M.-settled XSP options, of P.M.-settled XSP
options with third-Friday-of-the-month expiration dates on a pilot basis. The Exchange believes that continuing to permit the trading of XSP options on a P.M.-settled basis will continue to encourage greater trading in XSP
options. Other than settlement and closing time on the last trading day pursuant to Rule 29.10a,6 contract terms for P.M.-settled XSP options are the same as the A.M.-settled XSP
options. The contract uses a $100
multiplier and the minimum trading increments, strike price intervals, and expirations are the same as the A.M.settled XSP option series. P.M.-settled XSP options have European-style exercise. The Exchange also has flexibility to open for trading additional series in response to customer demand.
If the Exchange were to propose another extension of the XSPPM Pilot Program or should the Exchange propose to make the XSPPM Pilot Program permanent, the Exchange would submit a filing proposing such amendments to the XSPPM Pilot Program. Further, any positions 038; and 90255 October 22, 2020, 85 FR 68378
October 28, 2020 Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Extend the Pilot Programs in Connection With the Listing and Trading of P.M.-Settled Series on Certain Broad-Based Index Options SRCboeBZX2020
076; and 91699 April 28, 2021, 86 FR 23767 May 4, 2021 Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Extend the Pilot Programs in Connection With the Listing and Trading of P.M.-Settled Series on Certain Broad-Based Index Options SRCboeBZX2021
031.
6 Rule 29.10a permits transactions in P.M.settled XSP options on their last trading day to be effected on the Exchange between the hours of 9:30
a.m. and 4:00 p.m. Eastern time. All other transactions in index options are effected on the Exchange between the hours of 9:30 a.m. and 4:15
p.m. Eastern time.

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established under the XSPPM Pilot Program would not be impacted by the expiration of the XSPPM Pilot Program.
For example, if the Exchange lists a P.M.-settled XSP option that expires after the XSPPM Pilot Program expires and is not extended, then those positions would continue to exist. If the pilot were not extended, then the positions could continue to exist.
However, any further trading in those series would be restricted to transactions where at least one side of the trade is a closing transaction.
As part of the XSPPM Pilot Program, the Exchange submits a pilot report to the Commission at least two months prior to the expiration date of the pilot.7
This annual report contains an analysis of volume, open interest, and trading patterns. In proposing to extend the XSPPM Pilot Program, the Exchange will continue to abide by the reporting requirements described in the Notice.8
Additionally, the Exchange will provide the Commission with any additional data or analyses the Commission requests because it deems such data or analyses necessary to determine whether the XSPPM Pilot Program is consistent with the Exchange Act. The Exchange makes its annual data and analyses previously submitted to the Commission under the Pilot Program public on its website and will continue to make public any data and analyses it submits to the Commission under the Pilot Program in the future. The Exchange also notes that its affiliated options exchange, Cboe Exchange, Inc.
Cboe Options currently has pilots that permit P.M.-settled third Friday-ofthe-month XSP options.9
Nonstandard Expirations Pilot Program Rule 29.11j1 permits the listing and trading, on a pilot basis, of P.M.settled options on broad-based indexes with nonstandard expiration dates and is currently set to expire on November 1, 2021. The Nonstandard Expirations Pilot Program permits both Weeklys and EOMs as discussed below. Contract terms for the Weekly and EOM
expirations are similar to those of the A.M.-settled broad-based index options, 7 The Exchange notes that the Pilot Programs currently run on a bi-annual pilot basis.
8 See supra note 5.
9 See Cboe Options Rule 4.13.13, which also permits P.M.-settled third Friday-of-the-month SPX
options on a pilot basis SPXPM Pilot Program.
The Exchange notes that, prior to the proposed May 2, 2022 Pilot Programs expiration date, Cboe Options intends to submit a proposal to make its SPXPM Pilot Program permanent. Following the Commissions review and approval of Cboe Options proposal, the Exchange intends to file a similar proposal to make its XSPPM Pilot Program permanent.

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except that the Weekly and EOM
expirations are P.M.-settled.
In particular, Rule 29.11j1 permits the Exchange to open for trading Weeklys on any broad-based index eligible for standard options trading to expire on any Monday, Wednesday, or Friday other than the third Friday-ofthe-month or days that coincide with an EOM. Weeklys are subject to all provisions of Rule 29.11 and are treated the same as options on the same underlying index that expire on the third Friday of the expiration month.
However, under the Nonstandard Expirations Pilot Program, Weeklys are P.M.-settled, and new Weekly series may be added up to and including on the expiration date for an expiring Weekly.
Rule 29.11a2 permits the Exchange to open for trading EOMs on any broadbased index eligible for standard options trading to expire on the last trading day of the month. EOMs are subject to all provisions of Rule 29.11
and treated the same as options on the same underlying index that expire on the third Friday of the expiration month. However, under the Nonstandard Expirations Pilot Program, EOMs are P.M.-settled, and new series of EOMs may be added up to and including on the expiration date for an expiring EOM.
As stated above, this proposed rule change extends the Nonstandard Expirations Pilot Program for broadbased index options on a pilot basis, for a period of six months. If the Exchange were to propose an additional extension of the Nonstandard Expirations Pilot Program or should the Exchange propose to make it permanent, the Exchange would submit additional filings proposing such amendments.
Further, any positions established under the Nonstandard Expirations Pilot Program would not be impacted by the expiration of the pilot. For example, if the Exchange lists a Weekly or EOM that expires after the Nonstandard Expirations Pilot Program expires and is not extended, then those positions would continue to exist. However, any further trading in those series would be restricted to transactions where at least one side of the trade is a closing transaction.
As part of the Nonstandard Expirations Pilot Program, the Exchange submits a pilot report to the Commission at least two months prior to the expiration date of the pilot.10 This annual report contains an analysis of volume, open interest, and trading patterns. In proposing to extend the 10 See
E:FRFM03NON1.SGM

supra note 7.

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