2024-24371. Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Amend its Fees Schedule

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

To become a designated GTH executing agent, a TPH must submit a form to the Exchange no later than 3:00 p.m. on the second to last business day of a calendar month to be designated an GTH executing agent under the program, and thus eligible for the subsidy, beginning the following calendar month. The current criteria states that a TPH must include on or with the form information demonstrating it maintains an GTH executing agent operation: (1) physically staffed throughout each entire GTH trading session and (2) willing to accept and execute orders on behalf of customers. The designation will be effective the first business day of the following calendar month, subject to the Exchange's confirmation the TPH's GTH executing agent operations satisfies these two conditions and will remain in effect until the Exchange receives an email from the TPH terminating its designation or the Exchange determines the TPH's GTH executing agent operation no longer satisfies these two conditions.

The Exchange proposes to amend the GTH Executing Agent Subsidy Program to include Professional Customers ( i.e., capacity “U”) in the program, so that a designated GTH executing agent receives the monthly subsidy amount that corresponds to the number of contracts executed on behalf of customers (including professional, public and broker-dealer customers) during GTH in a calendar month per the GTH Executing Agent Subsidy Program table.

The proposed changes are designed to continue to encourage designated GTH executing agents to increase their order flow executed as agent (on behalf of customers, including professional customers) in SPX and VIX options that trade during GTH, to meet the volume thresholds and receive the corresponding subsidies. The Exchange notes that incentivizing TPHs to conduct executing agent operations willing to accept orders from all customers, including professional customers, during GTH is intended to increase customer accessibility to the GTH trading session. The Exchange believes that increased order flow through designated GTH executing agents would allow the Exchange to grow participation during GTH, which may benefit all market participants, as additional liquidity to the Exchange during GTH would create more trading opportunities during GTH, and in turn attract market participants to submit additional order flow during GTH.

Flex Surcharge Fee

The Exchange also proposes to adopt the FLEX Surcharge fee for XND (Nasdaq 100 Micro Index Options) FLEX Options orders. Currently, the Exchange assesses a FLEX Surcharge Fee of $0.10-per-contract credit for DJX, MRUT, MXEA, MXEF, MXACW, MXUSA, MXWLD, NDX, NDXP and XSP FLEX Options orders (all capacity codes) executed electronically (except for Cboe Compression Service (“CCS”) and FLEX Micro transactions). The FLEX Surcharge Fee is only charged up to the first 2,500 contracts per trade ($250 per trade). The Exchange proposes to amend its Fees Schedule, to assess the FLEX Surcharge Fee to XND. The FLEX Surcharge Fee assists the Exchange in recouping the cost of developing and maintaining the FLEX system.

RTH XSP LMM Incentive Program

Finally, the Exchange proposes to amend its Regular Trading Hours (“RTH”) XSP Lead Market-Maker (“LMM”) Incentive Program (the “Program”). By way of background, the Exchange offers several LMM Incentive Programs which provide a rebate to TPHs with LMM appointments to the respective incentive program that meet certain quoting standards in the applicable series in a month. The Exchange notes that meeting or exceeding the quoting standards in each of the LMM Incentive Program products to receive the applicable is optional for an LMM appointed to a program. Particularly, an LMM appointed to an incentive program is eligible to receive the corresponding rebate if it satisfies the applicable quoting standards, which the Exchange believes encourages appointed LMMs to provide liquidity in the applicable class and trading session ( i.e., RTH or GTH). The Exchange may consider other exceptions to the programs' quoting standards based on demonstrated legal or regulatory requirements or other mitigating circumstances. In calculating whether an LMM appointed to an incentive program meets the applicable program's quoting standards each month, the Exchange excludes from the calculation in that month the business day in which the LMM missed meeting or exceeding the quoting standards in the highest number of the applicable series.

The Exchange proposes to amend the current Program. Currently, the Program provides that, if an LMM appointed to the Program provides continuous electronic quotes during RTH that meet ( print page 84426) or exceed the basic quoting standards (below) in at least 95% of the series 93% of the time in a given month, the LMM will receive (i) a payment for that month in the amount of $40,000 (or pro-rated amount if an appointment begins after the first trading day of the month or ends prior to the last trading day of the month) and (ii) a rebate of $0.09 per XSP contract that is executed in RTH in Market-Maker capacity and adds liquidity electronically contra to non-customer capacity.

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

The Exchange proposes to restructure the Program by adopting two sets of quoting standards for XSP options, a set of basic quoting standards and a set of advanced quoting standards. First, the Exchange proposes to adopt the basic quoting standards (below) under the Program.

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

( print page 84427)

As proposed, under the Program, if an appointed LMM provides continuous electronic quotes during RTH that meet or exceed the basic quoting standards in at least 90% the series 90% of the time in a given month, the LMM will receive $15,000 (or pro-rated amount if an appointment begins after the first trading day of the month or ends prior to the last trading day of the month). In addition, the proposed rule change adopts a performance payment under the Program, which provides that, in addition to the above rebate, the LMM with the highest performance in satisfying the above basic quoting standards in a month will receive a performance payment of $10,000 for that month. In order to be eligible to receive the performance payment in a month, an LMM must meet or exceed the above quoting standards in that month. Highest performance is measured as the cumulative sum of series in which an LMM meets or exceeds the basic quoting requirements by the total series each day (excluding the day in which an LMM missed meeting or exceeding the basic quoting standard in the highest number of series).

The Exchange proposes to eliminate the additional credit of $0.03 per contract applied to all XSP contracts executed in a Market-Maker capacity which add liquidity electronically contra to non-customer capacity, currently offered to an LMM appointed to the Program which provides continuous electronic quotes during RTH that meet or exceed the XSP heightened quoting standards.

The Exchange proposes to amend the Program to adopt advanced quoting standards (provided below). As proposed, if an LMM appointed to the Program provides continuous electronic quotes during RTH that meet or exceed the proposed advanced quoting standards (below) in at least 85% of the series 85% of the time in a given month, the LMM will receive a payment for that month in the amount of $20,000 (or pro-rated amount if an appointment begins after the first trading day of the month or ends prior to the last trading day of the month).

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