[Federal Register Volume 89, Number 157 (Wednesday, August 14, 2024)]
[Notices]
[Pages 66163-66167]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-18069]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-100671; File No. SR-CBOE-2024-034]


Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of 
Filing of a Proposed Rule Change To List P.M.-Settled Broad-Based Index 
Options With Expirations on the Third Friday-of-the-Month

August 8, 2024.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on August 2, 2024, 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 list P.M.-settled broad-based Index options with expirations on the 
Third Friday-of-the-month. 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 its Rules to permit the listing of 
P.M.-settled \3\ options on any broad-based index eligible for standard 
options trading that expire on the standard third Friday-of-the-month 
(``Expiration Friday''). Currently, pursuant to Rule 4.13, 
Interpretations and Policies .13 and .14, the Exchange is permitted to 
list P.M.-settled options on the S&P 500 Index (``SPX options''), the 
Mini-S&P 500 Index (``XSP options''), and the Mini-Russell 2000 Index 
(``MRUT options'') that expire on Expiration Fridays. Additionally, 
pursuant to Rule 4.13(e), the Exchange may list P.M.-settled options on 
any broad-based index eligible for standard options trading that expire 
on any Monday, Tuesday, Wednesday, Thursday, or Friday (other than 
Expiration Friday or days that coincide with an EOM Expiration (as 
defined below)) (``Weekly Expirations'') or that expire on the last 
trading day of the month (``EOM Expirations'' and, combined with Weekly 
Expirations, ``Nonstandard Expirations''). As a result, currently, the 
Exchange may list P.M-settled SPX, XSP, and MRUT options with 
expirations on any day of the week, including all Fridays, while the 
Exchange may list P.M-settled options on all other broad-based index 
options with expirations on any day of the week, including all Fridays 
except Expiration Fridays.
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    \3\ An option with P.M.-settlement has its exercise settlement 
value derived from the closing prices on the expiration date.
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    The proposed rule change would permit the Exchange to list P.M.-
settled options on all broad-based index options that expire on 
Expiration Fridays. Specifically, the proposed rule

[[Page 66164]]

change amends Rule 4.13, Interpretation and Policy .13 to state that in 
addition to A.M.-settled options on any broad-based index approved for 
trading on the Exchange pursuant to Rule 4.13, the Exchange may also 
list options on any broad-based index whose exercise settlement value 
is derived from closing prices on their expiration dates \4\ (``P.M.-
Settled Third Friday Index Options'').\5\ The Exchange notes that 
permitting P.M.-Settled Third Friday Index Options for all broad-based 
indexes, as proposed, would be in addition to the P.M.-settled options 
with expirations on all Fridays other than Expiration Fridays that the 
Exchange may already list on those indexes as Weekly Expirations 
pursuant to Rule 4.13(e)(1). Current Rule 4.13, Interpretations and 
Policies .13 and .14 together with Rule 4.13(e)(1) permit the Exchange 
to list P.M-settled SPX, XSP, and MRUT options on all Fridays 
(including Expiration and non-Expiration Fridays). The proposal merely 
expands this same ability to all other broad-based indexes eligible for 
A.M.-settled standard option trading.
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    \4\ The Exchange corrects outdated language in Rule 4.13, 
Interpretation and Policy .13 by updating the definition of P.M.-
settled. The exercise settlement value of a P.M.-settled option is 
derived from closing prices on the expiration date, rather than the 
last trading day prior to expiration (which would have been Friday 
when options settled on Saturdays; however, options now settle on 
Fridays). This is consistent with the fact that expiring P.M.-
settled options trade on their expiration dates, as set forth in 
Rule 5.1(b)(2)(C).
    \5\ The proposed rule change also deletes Rule 4.13, 
Interpretation and Policy .14, as the proposed changes to 
Interpretation and Policy .13 make Interpretation and Policy .14 
redundant and, thus, unnecessary (i.e., as the Mini-SPX Index and 
Mini-RUT Index are broad-based indexes, those indexes are included 
in the phrase ``all broad-based indexes'' in proposed Rule 4.13, 
Interpretation and Policy .13).
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    P.M.-Settled Third Friday Index Options are subject to all 
provisions of Rule 4.13 and treated the same as A.M.-settled options on 
the same underlying index that expire on Expiration Fridays, except 
they are P.M.-settled. P.M.-Settled Third Friday Index Options have the 
same exercise style, same number of permissible expirations, same 
exercise interval prices and limitations, and same position and 
exercise limits, and will trade in the same minimum price increment, as 
A.M.-settled options on the same underlying index.
    The Exchange believes expanding the availability of P.M.-Settled 
Third Friday Index Options to all broad-based index options (rather 
than having those expirations available for three broad-based indexes 
only) will expand hedging tools available to market participants while 
also providing greater trading opportunities, regardless of in which 
index option market they participate. By expanding the availability of 
P.M.-Settled Third Friday Index Options, the proposed rule change 
(together with currently available Weekly Expirations for all broad-
based index options) will provide market participants with 
opportunities to purchase options on all broad-based index options 
available for trading on the Exchange in a manner more aligned with 
specific timing needs and more effectively tailor their investment and 
hedging strategies and manage their portfolios. In particular, the 
proposed rule change will allow market participants to roll their 
positions for additional index options on more trading days, thus with 
more precision, spread risk across more trading days and incorporate 
daily changes in the markets, which may reduce the premium cost of 
buying protection. The Exchange believes there is sufficient investor 
interest in and demand for P.M.-Settled Third Friday Index Options for 
broad-based index options beyond SPX, XSP, and MRUT to warrant adding 
these expirations for additional broad-based index options and that 
P.M.-Settled Third Friday Index Options will continue to provide 
investors with additional means of managing their risk exposures and 
carrying out their investment objectives. Overall, the Exchange 
believes that permitting the trading of P.M.-Settled Third Friday Index 
Options in more broad-based indexes will encourage greater trading in 
these index options. The Exchange believes the proposed rule change 
will provide opportunities for market participants to benefit from 
exposure to the market for all broad-based index options with 
additional P.M.-settlement flexibility.
    The Exchange also proposes to amend Rule 5.1, which governs trading 
days and hours, in conjunction with the proposed addition of P.M.-
settled options on Expiration Fridays in all broad-based index options. 
Rule 5.1(b)(2)(C) currently provides that on their last trading day, 
Regular Trading Hours for expiring P.M.-settled SPX, XSP, and MRUT 
options, as well as Index Options with Nonstandard Expirations, may be 
effected on the Exchange between 9:30 a.m. and 4:00 p.m. Eastern Time 
\6\ (as opposed to the 9:30 a.m. to 4:15 p.m. Regular Trading Hours for 
options with those expirations that are non-expiring). The proposed 
rule change amends Rule 5.1(b)(2)(C) to include P.M.-Settled Third 
Friday Index Options for all broad-based indexes (and thus deletes the 
specific references to p.m.-settled SPX, XSP, and MRUT options, as 
those options are captured by the proposed defined term ``P.M.-Settled 
Third Friday Index Options''). The primary listing markets for the 
component securities that comprise broad-based indexes close trading in 
those securities at 4:00 p.m., just as the primary listing markets for 
the component securities that comprise the SPX, XSP, and MRUT Indexes 
close trading at 4:00 p.m. The primary listing exchanges for the 
component securities disseminate closing prices for the component 
securities, which are used to calculate the exercise settlement value 
of broad-based indexes on which the Exchange lists options. The 
Exchange believes that, under normal trading circumstances, the primary 
listing markets have sufficient bandwidth to prevent any data queuing 
that may cause any trades that are executed prior to the closing time 
from being reported after 4:00 p.m. If trading in expiring P.M.-Settled 
Third Friday Index Options continued an additional fifteen minutes 
until 4:15 p.m. on their last trading day, expiring P.M.-Settled Third 
Friday Index Options would be trading after the settlement index value 
for those expiring options was calculated.\7\ Therefore, in order to 
mitigate potential investor confusion and the potential for increased 
costs to investors as a result of potential pricing divergence at the 
end of the trading day, the Exchange believes that it is appropriate to 
cease trading in the expiring P.M.-Settled Third Friday Index Options 
at 4:00 p.m., as it already does for expiring P.M.-settled SPX, XSP, 
and MRUT options that expire on Expiration Fridays and for expiring 
broad-based indexes with

[[Page 66165]]

Nonstandard Expirations (which are p.m.-settled) for the same 
aforementioned reasons.\8\ The Exchange does not believe that the 
proposed rule change will impact volatility on the underlying cash 
market comprising broad-based indexes at the close on Expiration 
Fridays, as it already closes trading on the last trading day for 
expiring P.M.-settled options at 4:00 p.m. (such as P.M.-settled SPX, 
XSP, and MRUT options that expire on Expiration Fridays and broad-based 
index options with Nonstandard Expirations), which the Exchange does 
not believe has had an adverse impact on fair and orderly markets on 
Expiration Fridays for the underlying stocks comprising the 
corresponding indexes.\9\
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    \6\ See Rule 1.6, which states that unless otherwise specified, 
all times in the Rules are Eastern Time.
    \7\ Further, the Exchange expects that all P.M.-Settled Third 
Friday Index Options (as the Exchange understands is the case for 
P.M.-settled SPX, XSP and MRUT options that expire on Expiration 
Friday and all broad-based index options with Nonstandard 
Expirations) will typically be priced in the market based on 
corresponding futures values. If trading expiring P.M.-Settled Third 
Friday Index Options continued until 4:15 p.m. on their last trading 
day, expiring P.M.-Settled Third Friday Index Options could not be 
priced on corresponding futures values, but rather would have to be 
priced on the known cash value. At the same time, the prices of non-
expiring P.M.-Settled Third Friday Index Options series would 
continue to move and likely be priced in response to changes in 
corresponding futures prices. As a result, a potential pricing 
divergence could occur between 4:00 p.m. and 4:15 p.m. on the final 
trading day in expiring P.M.-Settled Third Friday Index Options 
(e.g., a switch from pricing off of futures to cash). The Exchange 
understands that the switch from pricing off of futures to cash can 
be a difficult and risky crossover for liquidity providers. As a 
result, if expiring P.M.-settled contracts closed at 4:15 p.m., 
Market-Makers may react by widening spreads in order to compensate 
for the additional risk.
    \8\ See Securities Exchange Act Release Nos. 68888 (February 8, 
2013), 78 FR 10668 (February 14, 2013) (SR-CBOE-2012-120) (``SPXPM 
Pilot Approval Order''); 70087 (July 31, 2013), 78 FR 47809 (August 
6, 2013) (SR-CBOE-2013-055) (``XSPPM Pilot Approval Order''); and 
91067 (February 5, 2021), 86 FR 9108 (February 11, 2021) (SR-CBOE-
2020-116) (``MRUTPM Pilot Approval Order'').
    \9\ See Securities Exchange Act Release Nos. 98454 (September 
20, 2023), 88 FR 66103 (September 26, 2023) (SR-CBOE-2023-005) 
(``SPXPM Permanent Approval Order''); and 98455 (September 20, 
2023), 88 FR 66073 (September 26, 2023) (SR-CBOE-2023-019) (``XSPPM 
and MRUTPM Permanent Approval Order'').
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    With regard to the impact of this proposal on system capacity, the 
Exchange has analyzed its capacity and represents that it believes that 
the Exchange and OPRA have the necessary systems capacity to handle any 
potential additional traffic associated with trading of P.M.-Settled 
Third Friday Index Options. The Exchange does not believe that its 
Trading Permit Holders (``TPHs'') will experience any capacity issues 
as a result of this proposal and represents that it will monitor the 
trading volume associated with any possible additional options series 
listed as a result of this proposal and the effect (if any) of these 
additional series on market fragmentation and on the capacity of the 
Exchange's automated systems.
    In addition to this, the Exchange believes that its existing 
surveillance and reporting safeguards in place are adequate to deter 
and detect possible manipulative behavior which might arise from 
listing and trading P.M.-Settled Third Friday Index Options on all 
broad-based index options and will support the protection of investors 
and the public interest. Furthermore, the trading of P.M.-Settled Third 
Friday Index Options will be subject to Exchange Rules governing 
customer accounts, position and exercise limits, margin requirements 
and trading halt procedures, among other Rules, which are designed to 
prevent fraudulent and manipulative acts and practices.
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.\10\ Specifically, the 
Exchange believes the proposed rule change is consistent with the 
Section 6(b)(5) \11\ 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) \12\ requirement that the rules of an exchange not be 
designed to permit unfair discrimination between customers, issuers, 
brokers, or dealers.
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    \10\ 15 U.S.C. 78f(b).
    \11\ 15 U.S.C. 78f(b)(5).
    \12\ Id.
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    In particular, 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, to protect 
investors and the public interest. The Exchange believes that expanding 
the availability of P.M.-Settled Third Friday Index Options to all 
broad-based index options (rather than having these expirations 
available for three broad-based indexes only) will provide investors 
with expanded hedging tools and greater trading opportunities and 
flexibility, regardless of in which broad-based index option market 
they participate. As a result, investors will have additional means for 
additional index options to manage their risk exposures and carry out 
their investment objectives. By offering expanded P.M.-Settled Third 
Friday Index Options along with Weekly Expirations (including 
expirations on Fridays other than Expiration Friday) for all broad-
based index options, the proposed rule change will allow market 
participants to purchase options on all broad-based index options 
available for trading on the Exchange in a manner more aligned with 
specific timing needs and more effectively tailor their investment and 
hedging strategies and manage their portfolios. For example, the 
proposed rule change will allow market participants to roll their 
positions in more index options on more trading days, thus with more 
precision, spread risk across more trading days and incorporate daily 
changes in the markets, which may reduce the premium cost of buying 
protection. The Exchange represents that it believes that it has the 
necessary systems capacity to support any additional traffic associated 
with trading of options on all broad-based index options with P.M.-
Settled Third Friday Index Options and does not believe that its TPHs 
will experience any capacity issues as a result of this proposal.
    The Commission previously recognized that listing P.M.-Settled 
Third Friday Index Options for SPX, XSP, and MRUT options was 
consistent with the Act.\13\ The Commission noted that P.M.-Settled 
Third Friday Index Options in these index options ``has benefitted 
investors and other market participants by providing more flexible 
trading and hedging opportunities while also having no disruptive 
impact on the market.'' \14\ The proposed rule change is consistent 
with these findings, as it will benefit investors and other market 
participants that participate in the markets for broad-based index 
options other than SPX, XSP, and MRUT options in the same manner as 
SPX, XSP, and MRUT options that expire on Expiration Fridays do by 
providing investors with more flexible trading and hedging 
opportunities in these additional index options. Additionally, the 
Exchange does not believe listing of P.M.-settled options that expire 
on Expiration Fridays on additional broad-based indexes will have any 
significant economic impact on the underlying component securities 
surrounding the close as a result of expiring p.m.-settled options or 
impact market quality, based on the data provided to and reviewed by 
the Commission (and the Commission's own conclusions based on that 
review, as noted above) and due to the

[[Page 66166]]

significant changes in closing procedures in the decades since index 
options moved to a.m.-settlement.\15\
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    \13\ See SPXPM, XSPPM, and MRUTPM Pilot Approval Orders (the 
Exchange initially listed P.M.-Settled Third Friday SPX, XSP, and 
MRUT Options pursuant to pilot programs, so the Commission could 
monitor the impact of P.M. settlement of cash-settled index 
derivatives on the underlying cash markets (while recognizing that 
these risks may have been mitigated given enhanced closing 
procedures in use in the primary equity markets); and SPXPM, XSPPM, 
and MRUTPM Permanent Approval Orders.
    \14\ See SPXPM Permanent Approval Order at 66106; and XSPPM and 
MRUTPM Permanent Approval Order at 66076 (citing data the Commission 
reviewed in connection with the pilot programs).
    \15\ See id.
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    In addition, the Exchange believes that the proposal to end trading 
at 4:00 p.m. on the last trading day for transactions in expiring P.M.-
Settled Third Friday Index Options will prevent continued trading on a 
product after the exercise settlement value has been fixed, thereby 
mitigating potential investor confusion and the potential for increased 
costs to investors as a result of potential pricing divergence at the 
end of the trading day.
    Finally, the proposed rule change to correct the definition of 
p.m.-settled in Rule 4.13, Interpretation and Policy .13 will benefit 
investors, as it will mitigate potential confusion of having an 
outdated definition in the Exchange's Rules. This proposed rule change 
will have no impact on trading, as the proposed definition of p.m.-
settled is consistent with how p.m.-settled options currently settle.

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 Exchange does not 
believe that 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 P.M.-Settled Third 
Friday Index Options in all broad-based indexes will be available to 
all market participants. By permitting P.M.-settled options that expire 
on Expiration Fridays in additional broad-based indexes, the proposed 
rule change will provide all investors that participate in the markets 
for options on more broad-based indexes (in addition to SPX, XSP, and 
MRUT options) available for trading on the Exchange with greater 
trading and hedging opportunities and flexibility to meet their 
investment and hedging needs, which are already available for SPX, XSP, 
and MRUT options. Additionally, P.M.-Settled Third Friday Index Options 
will trade in the same manner as A.M-settled options on the same 
indexes. Further, the proposed 4:00 p.m. closing time on Expiration 
Fridays will apply equally to all market participants trading in P.M.-
Settled Third Friday Index Options.
    The Exchange does not believe that the proposal to list P.M.-
Settled Third Friday Index Options in all broad-based indexes will 
impose any burden on intermarket competition that is not necessary or 
appropriate in furtherance of the purposes of the Act because these 
options are proprietary Exchange products. Other exchanges offer P.M.-
settlement on Expiration Fridays for other broad-based index 
options.\16\ Additionally, options on equity options (including options 
on certain exchange-traded funds (``ETFs'') that track broad-based 
indexes on which the Exchange lists options) are P.M.-settled, and 
exchanges offer short-term options programs for certain equity 
options,\17\ making options on certain ETFs that track broad-based 
indexes on which the Exchange lists options available with expirations 
on all Fridays. To the extent that the addition of P.M.-Settled Third 
Friday Index Options on additional broad-based indexes available for 
trading on the Exchange makes the Exchange a more attractive 
marketplace to market participants at other exchanges, such market 
participants are free to elect to become market participants on the 
Exchange.
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    \16\ See, e.g., Nasdaq PHLX, LLC Options 4A, Section 12(a)(6) 
(permitting P.M.-settlement for options on the Nasdaq-100 and 
Nasdaq-100 Micro Indexes that expire on Expiration Fridays).
    \17\ See, e.g., Nasdaq PHLX, LLC Options 4A, Section 12 
(permitting nonstandard expirations, including expirations on 
Tuesdays and Thursdays, for Nasdaq-100 index options and Nasdaq 100-
Micro index options); and Nasdaq ISE, LLC Options 4, Section 5, 
Supplementary Material .03 (permitting short-term options series 
with daily expirations for SPY and QQQ options). [update] [sic]
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    The Exchange does not believe the proposed rule change to correct 
the definition of p.m.-settled in Rule 4.13, Interpretation and Policy 
.13 will impose any burden on competition that is not necessary or 
appropriate in furtherance of the purposes of the Act, as it is not a 
competitive change. This proposed change merely updates an outdated 
definition in the Exchange's Rules and will have no impact on trading, 
as the proposed definition of p.m.-settled is consistent with how p.m.-
settled options currently settle.

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 written 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 (https://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
file number SR-CBOE-2024-034 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-2024-034. 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 (https://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 
a.m. and 3 p.m. Copies of the filing also will be available for 
inspection and copying at the principal office of the Exchange. Do not 
include personal identifiable information in submissions; you should 
submit only information that you wish to make available publicly. We 
may redact in part or withhold entirely from publication submitted 
material that is obscene or

[[Page 66167]]

subject to copyright protection. All submissions should refer to file 
number SR-CBOE-2024-034 and should be submitted on or before September 
4, 2024.

    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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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2024-18069 Filed 8-13-24; 8:45 am]
BILLING CODE 8011-01-P