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Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the “Act”), and Rule 19b-4 thereunder, notice is hereby given that on October 1, 2024, Cboe Exchange, Inc. (the “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.
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 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 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 Fees Schedule, effective October 1, 2024.
XSP Fees
The Exchange first proposes to amend certain fees related to transactions in Mini-SPX Index (“XSP”) options. Specifically, the proposed rule changes amends and adopts certain fees for XSP in the “Rate Table for All Products Excluding Underlying Symbol List A”, as follows:
- Amends fee code XC, appended to all Customer (capacity “C”) orders in XSP that are for less than 10 contracts and provides a rebate of $0.13 per contract, to provide a rebate of $0.30 per contract.
- Amends fee code MY, appended to all Market-Maker (capacity “M”) in XSP contra to non-customers that remove liquidity and that are executed electronically and assesses a fee of $0.14 per contract, to assess a fee of $0.30 per contract.
GTH Executing Agent Subsidy Program
Next, the Exchange proposes to amend the Global Trading Hours (“GTH”) Executing Agent Subsidy Program, set forth in the Fees Schedule. The GTH Executing Agent Subsidy Program offers a monthly subsidy to Trading Permit Holders (“TPHs”) with executing agent operations during the GTH trading session. Pursuant to the current GTH Executing Agent Subsidy Program, a designated GTH executing agent receives the monthly subsidy amount that corresponds to the number of contracts executed on behalf of customers (including public and broker-dealer customers) during GTH in a calendar month per the GTH Executing Agent Subsidy Program table, as shown in the table below. Qualifying customer volume is limited to SPX and VIX options.
Under current rules, an executing agent operation is one that accepts orders from customers (who may be public or broker-dealer customers) and submits the orders for execution (either directly to the Exchange or through another TPH).
| GTH Monthly customer SPX and VIX options volume | Subsidy |
|---|---|
| 0-19,999 contracts | $0.00 |
| 20,000-99,999 contracts | 15,000 |
| 100,000+ contracts | 50,000 |
Width
| Moneyness * | Expiring option | 1 day | 2 days to 5 days | 6 days to 14 days | 15 days to 35 days |
|---|---|---|---|---|---|
| VIX Value at Prior Close ≤30: | |||||
| [>3% ITM) | $0.20 | $0.25 | $0.25 | $0.50 | $1.00 |
| [3% ITM to 2% ITM) | 0.10 | 0.15 | 0.15 | 0.25 | 0.75 |
| [2% ITM to 0.25% ITM) | 0.04 | 0.05 | 0.05 | 0.06 | 0.10 |
| [0.25% ITM to ATM) | 0.02 | 0.03 | 0.04 | 0.05 | 0.08 |
| [ATM to 1% OTM) | 0.02 | 0.02 | 0.02 | 0.03 | 0.06 |
| [>1% OTM] | 0.02 | 0.02 | 0.02 | 0.02 | 0.04 |
| VIX Value at Prior Close >30: | |||||
| [>3% ITM) | 0.25 | 0.30 | 0.30 | 0.55 | 1.05 |
| [3% ITM to 2% ITM) | 0.15 | 0.20 | 0.20 | 0.30 | 0.80 |
| [2% ITM to 0.25% ITM) | 0.05 | 0.06 | 0.06 | 0.07 | 0.11 |
| [0.25% ITM to ATM) | 0.03 | 0.04 | 0.05 | 0.06 | 0.09 |
| [ATM to 1%OTM) | 0.03 | 0.03 | 0.03 | 0.04 | 0.07 |
| [>1% OTM] | 0.03 | 0.03 | 0.03 | 0.03 | 0.05 |
| * Moneyness is calculated as 1 − strike/index for calls, strike/index −1 for puts. Negative numbers are Out of the Money (“OTM”) and positive values are In the Money (“ITM”). A Moneyness value of zero for either calls or puts is considered At the Money (“ATM”). For example, if the index is at 400, the 396 call = 1 - 396/400 = 0.01 = 1% ITM, whereas the 396 put = 396/400 −1 = - 0.01 = 1% OTM. |
| Moneyness | Size (0 to 35 days to expiry) |
|---|---|
| [>3% ITM) | 5 |
| [3% ITM to 2% ITM) | 10 |
| [2% ITM to 0.25% ITM) | 15 |
| [0.25% ITM to ATM) | 20 |
| [ATM to 1% OTM) | 20 |
| [>1% OTM] | 20 |
Width
| Moneyness | Expiring option | 1 day | 2 days to 5 days | 6 days to 14 days | 15 days to 35 days |
|---|---|---|---|---|---|
| VIX Value at Prior Close ≤30: | |||||
| [>3% ITM) | $0.40 | $0.40 | $0.40 | $0.40 | $0.75 |
| [3% ITM to 2% ITM) | 0.30 | 0.30 | 0.30 | 0.30 | 0.50 |
| [2% ITM to 0.25% ITM) | 0.12 | 0.12 | 0.15 | 0.20 | 0.30 |
| [0.25% ITM to ATM) | 0.08 | 0.08 | 0.10 | 0.12 | 0.18 |
| [ATM to 1% OTM) | 0.05 | 0.05 | 0.06 | 0.06 | 0.12 |
| [>1% OTM] | 0.03 | 0.04 | 0.05 | 0.05 | 0.08 |
| VIX Value at Prior Close >30: | |||||
| [>3% ITM) | 0.50 | 0.50 | 0.50 | 0.80 | 1.00 |
| [3% ITM to 2% ITM) | 0.30 | 0.30 | 0.30 | 0.50 | 0.75 |
| [2% ITM to 0.25% ITM) | 0.20 | 0.20 | 0.20 | 0.25 | 0.50 |
| [0.25% ITM to ATM) | 0.08 | 0.10 | 0.12 | 0.15 | 0.20 |
| [ATM to 1% OTM) | 0.05 | 0.06 | 0.07 | 0.09 | 0.12 |
| [>1% OTM] | 0.04 | 0.05 | 0.05 | 0.06 | 0.10 |
Size
| Expiring option | 1 day | 2 days to 5 days | 6 days to 14 days | 15 days to 35 days | |
|---|---|---|---|---|---|
| [>3% ITM) | 5 | 5 | 5 | 5 | 5 |
| [3% ITM to 2% ITM) | 5 | 5 | 5 | 10 | 10 |
| [2% ITM to 0.25% ITM) | 10 | 10 | 10 | 15 | 15 |
| [0.25% ITM to ATM) | 20 | 20 | 20 | 20 | 20 |
| [ATM to 1% OTM) | 20 | 20 | 20 | 20 | 20 |
| [>1% OTM] | 20 | 20 | 20 | 20 | 20 |
Width
| Moneyness | Expiring option | 1 day | 2 days to 5 days | 6 days to 14 days | 15 days to 35 days |
|---|---|---|---|---|---|
| VIX Value at Prior Close ≤30: | |||||
| [>3% ITM) | $0.30 | $0.25 | $0.30 | $0.40 | $0.75 |
| [3% ITM to 2% ITM) | 0.12 | 0.15 | 0.20 | 0.25 | 0.50 |
| [2% ITM to 0.25% ITM) | 0.10 | 0.10 | 0.15 | 0.16 | 0.25 |
| [0.25% ITM to ATM) | 0.06 | 0.06 | 0.08 | 0.10 | 0.15 |
| [ATM to 1% OTM) | 0.03 | 0.03 | 0.05 | 0.06 | 0.10 |
| [>1% OTM] | 0.02 | 0.03 | 0.04 | 0.05 | 0.06 |
| VIX Value at Prior Close >30: | |||||
| [>3% ITM) | 0.30 | 0.40 | 0.50 | 0.70 | 1.00 |
| [3% ITM to 2% ITM) | 0.20 | 0.25 | 0.25 | 0.30 | 0.75 |
| [2% ITM to 0.25% ITM) | 0.15 | 0.20 | 0.20 | 0.25 | 0.40 |
| [0.25% ITM to ATM) | 0.08 | 0.09 | 0.12 | 0.15 | 0.20 |
| [ATM to 1% OTM) | 0.05 | 0.06 | 0.07 | 0.09 | 0.10 |
| [≤1% OTM] | 0.03 | 0.04 | 0.05 | 0.06 | 0.07 |
Size
| Expiring option | 1 day | 2 days to 5 days | 6 days to 14 days | 15 days to 35 days | |
|---|---|---|---|---|---|
| [>3% ITM) | 5 | 5 | 5 | 5 | 5 |
| [3% ITM to 2% ITM) | 5 | 5 | 5 | 10 | 10 |
| [2% ITM to 0.25% ITM) | 10 | 10 | 10 | 15 | 15 |
| [0.25% ITM to ATM) | 20 | 20 | 20 | 20 | 20 |
| [ATM to 1% OTM) | 20 | 20 | 20 | 20 | 20 |
| [>1% OTM] | 20 | 20 | 20 | 20 | 20 |