Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of Proposed Rule Change to Expire CBOE Volatility Index (VIX) Options Every Week, 33574-33577 [2015-14362]
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Federal Register / Vol. 80, No. 113 / Friday, June 12, 2015 / Notices
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–ICC–2015–009. 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 Web site (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 Web site 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
10:00 a.m. and 3:00 p.m. Copies of such
filings will also be available for
inspection and copying at the principal
office of ICE Clear Credit and on ICE
Clear Credit’s Web site at https://
www.theice.com/clear-credit/regulation.
All comments received will be posted
without change; the Commission does
not edit personal identifying
information from submissions. You
should submit only information that
you wish to make available publicly. All
submissions should refer to File
Number SR–ICC–2015–009 and should
be submitted on or before July 6, 2015.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.8
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015–14361 Filed 6–11–15; 8:45 am]
mstockstill on DSK4VPTVN1PROD with NOTICES
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
Exchange’s Office of the Secretary, and
at the Commission.
[Release No. 34–75053; File No. SR–Phlx–
2015–46]
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
Self-Regulatory Organizations;
NASDAQ OMX PHLX LLC; Notice of
Filing of Proposed Rule Change To
Amend the Amended and Restated
Certificate of Incorporation and ByLaws of The NASDAQ OMX Group, Inc.
May 27, 2015.
Correction
In notice document 2015–13175,
appearing on pages 31439–31440 in the
issue of Tuesday, June 2, 2015, make the
following correction:
On page 31440, in the first column, on
the last line, ‘‘June 22, 2015.’’ should
read ‘‘June 23, 2015.’’
[FR Doc. C1–2015–13175 Filed 6–11–15; 8:45 am]
BILLING CODE 1505–01–D
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–75120; File No. SR–CBOE–
2015–050]
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Notice of Filing of
Proposed Rule Change to Expire
CBOE Volatility Index (VIX) Options
Every Week
June 8, 2015.
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 June 1,
2015, Chicago Board Options Exchange,
Incorporated (the ‘‘Exchange’’ or
‘‘CBOE’’) 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
1 15
CFR 200.30–3(a)(12).
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2 17
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U.S.C. 78s(b)(1).
CFR 240.19b–4.
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A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
CBOE proposes to amend certain of its
rules to expire CBOE Volatility Index
(‘‘VIX’’) options every week. The text of
the proposed rule change is available on
the Exchange’s Web site https://www.
cboe.com/AboutCBOE/CBOELegal
RegulatoryHome.aspx), at the
8 17
In its filing with the Commission, the
self-regulatory organization 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 those 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 parts of such
statements.
Sfmt 4703
In February 2006, CBOE began trading
options that expire monthly on the
CBOE Volatility Index (‘‘VIX’’), which
measures a 30-day period of implied
volatility. Last year, CBOE introduced
weekly expiring options on the CBOE
Short-Term Volatility Index (‘‘VXST’’),
which measures a nine-day implied
volatility period.3 The purpose of this
proposed rule change is to expire 30-day
VIX options every week.4 VIX options
would continue to trade as they do
today and they would be subject to all
of the same rules they are subject to
today, except as proposed to be
modified herein.
In its capacity as the Reporting
Authority, CBOE enhanced the VIX
Index (cash/spot value) to include P.M.settled S&P 500 Index End-of-Week
expirations (‘‘SPXWs’’) in 2014.5 The
inclusion of SPXWs allows the VIX
Index to be calculated with SPX option
series that most precisely match the 30day target timeframe for expected
volatility that the VIX Index is intended
to represent. Using SPX options with
more than 23 days and less than 37 days
to expiration ensures that the VIX Index
will always reflect an interpolation of
3 See Securities Exchange Act Release No. 71764
(March 21, 2014), 79 FR 17212 (March 27, 2014)
(Order Granting Approval of Proposed Rule Change
to List and Trade CBOE Short-Term Volatility Index
Options) (SR–CBOE–2014–003).
4 CBOE Futures Exchange, LLC (‘‘CFE’’) also
plans to expire 30-day VIX futures weekly prior to
expiring 30-day VIX options weekly on CBOE.
5 This enhancement did not impact the exercise
settlement value for VIX options and futures, which
continue to use the same VIX Index formula and the
opening prices of standard (i.e., third Friday
expiration) S&P 500 Index (‘‘SPX’’) option series
with 30 days to expiration.
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two points along the S&P 500 Index
volatility term structure.6
Currently, standard VIX options
expire once a month. The last trading
day for expiring VIX options is the
business day immediately prior to their
expiration date. The expiration date for
VIX options is pegged to the standard
(third Friday) SPX option expiration in
the subsequent month. Specifically, the
expiration date is on the Wednesday
that is 30 days prior to the third Friday
of the calendar month immediately
following the month in which the VIX
option expires. This standard
Wednesday VIX option expiration is
changed if the Friday in the subsequent
month is an Exchange holiday to be the
business day that is thirty days prior to
the Exchange business day immediately
preceding that Friday. CBOE (as the
Reporting Authority for VIX options)
calculates the exercise settlement value
for expiring VIX options on their
expiration date.7
The Exchange proposes to now expire
VIX options each Wednesday.8 These
new VIX expirations would be series of
the existing VIX option class. Similar to
VXST options, however, different types
of SPX options would be used to
calculate and settle VIX options.
Specifically, as today, the standard
(monthly) VIX option expirations would
be calculated using A.M.-settled SPX
options that expire on the third Friday
in the subsequent month and the period
of implied volatility covered by these
contracts would be exactly 30 days. The
new VIX option expirations would be
calculated using P.M.-settled SPXWs
that expire in 30 days and the period of
implied volatility by these contracts
would be 30 days, plus 390 minutes.9
In order to expire 30-day VIX options
weekly, CBOE proposes to amend Rule
24.9(a)(5) in several ways. First, the
Exchange notes that Rule 24.9(a)(5) is
styled, ‘‘Method of Determining Day
that Exercise Settlement Value will be
Calculated and of Determining
6 For a detailed description about the VIX Index
methodology, please refer to the VIX White Paper
available at: https://www.cboe.com/micro/vix/
vixwhite.pdf.
7 See CBOE Rule 24.9(a)(5) which sets forth the
method of determining the day on which the
exercise settlement value will be calculated for VIX
options and of determining the expiration date and
last trading day for VIX options.
8 CBOE is making this current filing because
CBOE is unable to list weekly VIX options under
its other weekly option programs because those
programs require that weekly options expire on
Fridays and VIX options expire on Wednesdays.
9 P.M.-settled, expiring SPXWs stop trading at
3:00 p.m. (Chicago time) on their last day of trading.
See Rule 24.9(e)(4). The additional 390 minutes
reflects that these constituent options trade for six
and a half hours on their expiration date until 3:00
p.m. (Chicago time).
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19:05 Jun 11, 2015
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Expiration Date and Last Trading Day
for Options on Volatility Indexes that
Measure a 30-Day Volatility Period (e.g.,
VIX, RVX, VXD, VXN, Individual Stock
or ETF Based Volatility Index)
(‘Volatility Index options’).’’ The
Exchange proposes to revise this title so
that it reads: ‘‘Method of Determining
Day that Exercise Settlement Value will
be Calculated, Special Opening
Quotation and Expiration Date and Last
Trading Day for Options on Volatility
Indexes that Measure a 30-Day Volatility
Period (‘Volatility Index options’).’’ 10
Second, the Exchange proposes to
also add the following 3 new
subheadings as subparagraphs A, B and
C, respectively, to Rule 24.9(a)(5):
Method of Determining Day that
Exercise Settlement Value will be
Calculated, Special Opening Quotation
and Expiration Date and Last Trading
Day. The Exchange believes that the
proposed addition of these subheadings
would help to clarify that new
subparagraphs B and C would apply to
all Volatility index options.
Third, under proposed new
subparagraph A, the Exchange proposes
to add new subparagraph (i) styled
‘‘Volatility Index Options (Other than
VIX Options, e.g., RVX, VXD, VXN,
Individual Stock or ETF Based Volatility
Index Options) set forth in Rule
24.9(a)(5).11 This new subparagraph
(A)(i) would generally maintain the
current rule text language as it applies
to standard (monthly) Volatility Index
options (other than VIX options). Some
non-substantive changes are being
proposed to help clarify that this
provision applies to standard (monthly)
options on 30-day volatility indexes.
Fourth, CBOE proposes to add new
subparagraph A(ii) to Rule 24.9(a)(5)
styled ‘‘CBOE Volatility Index (‘‘VIX’’)
Options,’’ which would read as follows:
The exercise settlement value of a VIX
option for all purposes under these Rules and
the Rules of the Clearing Corporation, shall
be calculated on the specific date (usually a
Wednesday) identified in the option symbol
for the series. If that Wednesday or the Friday
that is 30 days following that Wednesday is
an Exchange holiday, the exercise settlement
value shall be calculated on the business day
immediately preceding that Wednesday.
The Exchange notes that Rule
24.9(a)(5) is cross-referenced in Rule
6.2B.08, which sets forth the days on
which Modified Opening Procedures are
10 The Exchange proposes to add ‘‘Special
Opening Quotation’’ to the title to make it more
complete since the Special Opening Quotation is
already explained in this provision and applies to
all Volatility Index options.
11 In addition to VIX options, the Exchange lists
options on other 30-day volatility indexes, which
are covered by this provision too.
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33575
used for Hybrid classes and series that
are used to calculated volatility indexes.
Rule 24.9(a)(5) is identified in Rule
6.2B.08 in order to determine the
specific days on which the Modified
Opening Procedures are utilized.
Expiring 30-day VIX options weekly
would result in the Modified Opening
Procedures being used more frequently
for the constituent options series used to
calculate the exercise settlement values
for the proposed new 30-day VIX
weekly expirations.
Fifth, the Exchange proposes to
amend Rule 24.9(a) by adding an
additional paragraph (under proposed
new subparagraph B ‘‘Special Opening
Quotation’’) that provides detailed
information about the ‘‘time to
expiration’’ input. Specifically, the
paragraph would provide as a follows:
The ‘‘time to expiration’’ used to calculate
the SOQ shall account for the actual number
of days and minutes until expiration for the
constituent option series. For example, if the
Exchange announces that the opening of
trading in the constituent option series is
delayed, the amount of time until expiration
for the constituent option series used to
calculate the exercise settlement value would
be reduced to reflect the actual opening time
of the constituent option series. Another
example would be when the Exchange is
closed on a Wednesday due to an Exchange
holiday, the amount of time until expiration
used to calculate the exercise settlement
value would be increased to reflect the extra
calendar day between the day that the
exercise settlement value is calculated and
the day on which the constituent option
series expire.
In support of this proposed change,
the Exchange states that similar
language about the above description of
the ‘‘time to expiration’’ input for VIX
options is already set forth in CBOE
Regulatory Circular RG14–005.12 Also,
similar language is set forth in Rule
24.9(a)(6) when describing the ‘‘time to
expiration’’ input for VXST options. The
Exchange is proposing to take this
opportunity to marry up this concept
with Rule 24.9(a)(6), as applicable here.
The Exchange also proposes to take
this opportunity to make the following
minor amendments to Rule 24.9(a)(6): (i)
Modification to the title of that Rule, (ii)
addition of similar subheadings
throughout that Rule, and (iii) revision
to the Wednesday holiday example
provided under the proposed new
subheading ‘‘Special Opening
Quotation.’’ The Exchange proposes to
make these changes in order to conform
Rule 24.9(a)(6) with the proposed new
structure and formatting of Rule
12 The Exchange would revise this circular to
layer in weekly VIX option expirations and to make
general updates, as needed.
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Federal Register / Vol. 80, No. 113 / Friday, June 12, 2015 / Notices
24.9(a)(5). The Exchange believes that it
would be beneficial to have parallel
structure between these two rule
provisions because the rules address the
same topics but for different option
classes. The Exchange states that the
proposed changes to Rule 24.9(a)(6) are
non-substantive.
Sixth, as to Rule 24.9(a)(5), the
Exchange proposes to add a sentence to
address when the last trading day is
moved because of an Exchange holiday.
Specifically, the sentence would
provide that the last trading day would
be the day immediately preceding the
last regularly scheduled trading day. As
with the ‘‘time to expiration’’ input
proposed addition, this proposed
sentence is similar to language that is
set forth in Rule 24.9(a)(6). The
Exchange is proposing to take this
opportunity to marry up Rule 24.9(a)(5)
with Rule 24.9(a)(6), as applicable here.
The Exchange is currently permitted
to list up to 12 standard (monthly) VIX
expirations.13 The Exchange proposes to
maintain the ability to list 12 standard
(monthly) VIX expirations and proposes
to permit the Exchange to list up to six
weekly expirations in VIX options. The
six weekly expirations would be for the
nearest weekly expirations from the
actual listing date and weekly
expirations would not be permitted to
expire in the same week in which
standard (monthly) VIX options expire.
Standard (monthly) expirations in VIX
options would not be counted as part of
the maximum six weekly expirations
permitted for VIX options. The below
chart illustrates the maximum listing
ability under this new proposed
revision as of July 30, 2015:
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Expiration date
AUG 5 2015 .......
AUG 12 2015 .....
AUG 19 2015 .....
AUG 26 2015 .....
SEP 2 2015 ........
SEP 9 2015 ........
SEP 16 2015 ......
SEP 23 2015 ......
OCT 21 2015 .....
NOV 18 2015 .....
DEC 16 2015 .....
JAN 20 2016 ......
FEB 17 2016 ......
MAR 16 2016 .....
APR 20 2016 .....
MAY 18 2016 .....
JUN 15 2016 ......
JUL 20 2016 ......
Type of expiration
Weekly (1).
Weekly (2).
Standard (Monthly)
Weekly (3).
Weekly (4).
Weekly (5).
Standard (Monthly)
Weekly (6).
Standard (Monthly)
Standard (Monthly)
Standard (Monthly)
Standard (Monthly)
Standard (Monthly)
Standard (Monthly)
Standard (Monthly)
Standard (Monthly)
Standard (Monthly)
Standard (Monthly)
(1).
19:05 Jun 11, 2015
The Exchange notes that the strike
setting parameters set forth in the
proposed paragraph are already
permitted for VIX options.15 The
Exchange believes that separating VIX
options from other volatility index
options in this section to the CBOE
Rulebook would benefit market
participants since it would be easier to
identify the strike setting parameters for
VIX options by breaking them out as
proposed.
Capacity
(2).
(3).
(4).
(5).
(6).
(7).
(8).
(9).
(10).
(11).
(12).
13 The Exchange calculates the CBOE VVIX Index,
which measures the expected volatility of the 30day forward price of the VIX Index and is
calculated using VIX options. Because CBOE
calculates a volatility index using VIX options, the
Exchange is permitted to list up to 12 expirations
at any one time for VIX options.
VerDate Sep<11>2014
To effectuate this change, the
Exchange proposes to amend Rule
24.9(a)(2) to expressly provide for these
VIX expirations. The Exchange also
proposes to take this opportunity to
clean up and stream line this
subparagraph (a)(2) to Rule 24.9. No
substantive changes are being proposed
by these reorganizational amendments.
Currently, the Exchange may list new
series in VIX options up to the fifth
business day prior to expiration. The
Exchange proposes to amend Rule
24.9(.01)(c) to permit new series to be
added up to and including on the last
day of trading for an expiring VIX
option contract. In support of this
change, the Exchange states that this
listing ability is similar to the series
setting schedule for other types of
weekly expirations, including VXST
options.14
Finally, the Exchange proposes to
amend Rule 24.9.01(l) by breaking out
VIX options separately from other
volatility index options under new
subparagraph (ii). New subparagraph (ii)
would provide, Notwithstanding
paragraphs (a) and (l)(i), the interval
between strike prices for CBOE
Volatility Index (VIX) options will be
$0.50 or greater where the strike price
is less than $75, $1 or greater where the
strike price is $200 or less and $5 or
greater where the strike price is more
than $200.
Jkt 235001
CBOE has analyzed its capacity and
represents that it believes the Exchange
and the Options Price Reporting
Authority (‘‘OPRA’’) have the necessary
systems capacity to handle the
additional traffic associated with the
listing of new series that would result
from the expiring VIX options weekly.
14 See existing Rule 24.9.01(c). See also Rules
5.5(d)(4) and 24.9(a)(2)(A)(iv) which permit series
to be added up to and including on their expiration
date for short-term (weekly) options.
15 See Rule 24.9(l) and Rule 24.9.12, which
permits $0.50 and $1 strike price intervals for
options that are used to calculate volatility indexes.
The Exchange calculates the CBOE VVIX Index,
which measures the expected volatility of the 30day forward price of the VIX Index and is
calculated using VIX options.
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Because the proposal is limited to a
single class, the Exchange believes that
the additional traffic that would be
generated from the introduction of
weekly 30-Day VIX option series would
be manageable.
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.16 Specifically,
the Exchange believes the proposed rule
change is consistent with the Section
6(b)(5) 17 requirements that the rules of
an exchange be designed to promote just
and equitable principles of trade, to
prevent fraudulent and manipulative
acts, to remove impediments to and to
perfect the mechanism for a free and
open market and a national market
system, and, in general, to protect
investors and the public interest.
Specifically, the Exchange believes
that there is an unmet market demand
for options that expire each week that
measure a 30-day volatility period. By
permitting VIX options to expire every
week, CBOE hopes to respond to that
unmet market demand.
The success of CBOE’s VIX options
that measure a 30-day period illustrate
the prominence that volatility products
have taken over the past several years.
CBOE seeks to enlarge its suite of
volatility offerings by introducing
weekly expiring series that would
provide investors with a 30-day VIX
contract that expires every week. CBOE
believes that expiring 30-day VIX
options weekly would provide investors
with additional opportunities to manage
30-day volatility risk each week.
CBOE has many years of history and
experience in conducting surveillance
for volatility index options trading to
draw from in order to detect
manipulative trading in the proposed
new 30-day weekly VIX series.
Additionally, the Exchange represents
that it has the necessary systems
capacity to support the addition of
weekly 30-day VIX expirations.
The Exchange believes that the
proposed non-substantive changes to
Rules 24.9(a)(5) and 24.9(a)(6) would be
beneficial to market participants and
users of CBOE’s Rulebook because there
would be parallel structure between two
rule provisions that address same topics
but for different option classes. The
Exchange also believes that these
proposed changes would generally
16 15
17 15
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U.S.C. 78f(b).
U.S.C. 78f(b)(5).
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Federal Register / Vol. 80, No. 113 / Friday, June 12, 2015 / Notices
result in a clearer and more userfriendly presentment of the provisions
set forth in CBOE’s Rulebook.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
CBOE does not believe that the
proposed rule change will impose any
burden on competition not necessary or
appropriate in furtherance of the
purposes of the Act. Specifically, CBOE
believes that the permitting 30-day VIX
options to expire weekly would enhance
competition among market participants
and would provide a new weekly
expiration that can compete with other
weekly options to the benefit of
investors and the marketplace.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
No written comments were solicited
or received with respect to 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.
BILLING CODE 8011–01–P
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:
mstockstill on DSK4VPTVN1PROD with NOTICES
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rulecomments@sec.gov. Please include File
Number SR–CBOE–2015–050 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.
19:05 Jun 11, 2015
Jkt 235001
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.18
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015–14362 Filed 6–11–15; 8:45 am]
IV. Solicitation of Comments
VerDate Sep<11>2014
All submissions should refer to File
Number SR–CBOE–2015–050. 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 Web site (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 Web site 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
10:00 a.m. and 3:00 p.m. Copies of the
filing also will be available for
inspection and copying at the principal
office of the Exchange. All comments
received will be posted without change;
the Commission does not edit personal
identifying information from
submissions. You should submit only
information that you wish to make
available publicly. All submissions
should refer to File Number SR–CBOE–
2015–050 and should be submitted on
or before July 6, 2015.
SMALL BUSINESS ADMINISTRATION
Announcement of Startup in a Day
Competition; Dream Big Model
U.S. Small Business
Administration.
ACTION: Notice.
AGENCY:
The U.S. Small Business
Administration (SBA) announces the
2015 Startup in a Day Competition—
Dream Big Model, pursuant to the
America Competes Act, to spur the
development, implementation, and
improvement of online tools that will let
entrepreneurs learn about the business
startup process in their area, including
how to register and apply for all
SUMMARY:
18 17
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CFR 200.30–3(a)(12).
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33577
required local licenses and permits—all
in one day or less.
DATES: The submission period for
entries begins 12:00 p.m. EDT, June 11,
2015 and ends July 13, 2015 at 11:59
p.m. EDT. Winners will be announced
no later than August 31, 2015.
ADDRESSES: For further information,
please contact the U.S. Small Business
Administration, Startup in a Day—IGA,
409 Third Street SW., Washington, DC
20416, (202) 205–7364, startup@sba.gov.
SUPPLEMENTARY INFORMATION:
Competition Details
1. Subject of Competition: The SBA is
seeking to support entrepreneurs who
are navigating the requirements to start
a business. Currently many of these
requirements are in multiple locations
and a streamlined approach could help
entrepreneurs startup more easily. The
Startup in a Day Competition—Dream
Big Model is designed to spur the
development, implementation, and
improvement of online tools that will let
entrepreneurs learn about the business
startup process in their area, including
how to register and apply for all
required local licenses and permits, in
one day or less. This announcement, the
Startup in a Day Competition—Dream
Big Model, is specific for cities and
Native American Communities that will
develop an open source solution that
may be freely adopted by localities
across the United States. An ‘‘open
source’’ solution is software that can be
freely used, changed, and shared (in
modified or unmodified form) by
anyone 1 and complies with generally
accepted criteria for distribution
outlined by the Open Source Initiative
(for this criteria, see https://
opensource.org/docs/osd#fields-ofendeavor). In order to maximize the
success of this competition, SBA will
work with the National League of Cities
(NLC), an advocacy organization
representing thousands of
municipalities, to establish a formal
mechanism by which all Startup in a
Day competition winners will be able to
collaborate and share best practices.
In conjunction with the Startup in a
Day Competition, President Barack
Obama is asking cities and Native
American Communities across America
to take a pledge to support
entrepreneurs in their area by making it
easier to start a business (for the text of
this pledge, see sba.gov/startup). While
it is not required to enter this
Competition, all cities and Native
1 Open Source Initiative, Welcome to The Open
Source Initiative, Palo Alto, CA: Open Source
Initiative. Accessed June 2, 2015, https://
opensource.org/.
E:\FR\FM\12JNN1.SGM
12JNN1
]]>Agencies
[Federal Register Volume 80, Number 113 (Friday, June 12, 2015)]
[Notices]
[Pages 33574-33577]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-14362]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-75120; File No. SR-CBOE-2015-050]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Notice of Filing of Proposed Rule Change to Expire CBOE
Volatility Index (VIX) Options Every Week
June 8, 2015.
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 June 1, 2015, Chicago Board Options Exchange, Incorporated
(the ``Exchange'' or ``CBOE'') 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 proposes to amend certain of its rules to expire CBOE
Volatility Index (``VIX'') options every week. The text of the proposed
rule change is available on the Exchange's Web site https://www.cboe.com/AboutCBOE/CBOELegalRegulatoryHome.aspx), at the Exchange's
Office of the Secretary, and at the Commission.
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 self-regulatory organization
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 those 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 parts of such statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
In February 2006, CBOE began trading options that expire monthly on
the CBOE Volatility Index (``VIX''), which measures a 30-day period of
implied volatility. Last year, CBOE introduced weekly expiring options
on the CBOE Short-Term Volatility Index (``VXST''), which measures a
nine-day implied volatility period.\3\ The purpose of this proposed
rule change is to expire 30-day VIX options every week.\4\ VIX options
would continue to trade as they do today and they would be subject to
all of the same rules they are subject to today, except as proposed to
be modified herein.
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\3\ See Securities Exchange Act Release No. 71764 (March 21,
2014), 79 FR 17212 (March 27, 2014) (Order Granting Approval of
Proposed Rule Change to List and Trade CBOE Short-Term Volatility
Index Options) (SR-CBOE-2014-003).
\4\ CBOE Futures Exchange, LLC (``CFE'') also plans to expire
30-day VIX futures weekly prior to expiring 30-day VIX options
weekly on CBOE.
---------------------------------------------------------------------------
In its capacity as the Reporting Authority, CBOE enhanced the VIX
Index (cash/spot value) to include P.M.-settled S&P 500 Index End-of-
Week expirations (``SPXWs'') in 2014.\5\ The inclusion of SPXWs allows
the VIX Index to be calculated with SPX option series that most
precisely match the 30-day target timeframe for expected volatility
that the VIX Index is intended to represent. Using SPX options with
more than 23 days and less than 37 days to expiration ensures that the
VIX Index will always reflect an interpolation of
[[Page 33575]]
two points along the S&P 500 Index volatility term structure.\6\
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\5\ This enhancement did not impact the exercise settlement
value for VIX options and futures, which continue to use the same
VIX Index formula and the opening prices of standard (i.e., third
Friday expiration) S&P 500 Index (``SPX'') option series with 30
days to expiration.
\6\ For a detailed description about the VIX Index methodology,
please refer to the VIX White Paper available at: https://www.cboe.com/micro/vix/vixwhite.pdf.
---------------------------------------------------------------------------
Currently, standard VIX options expire once a month. The last
trading day for expiring VIX options is the business day immediately
prior to their expiration date. The expiration date for VIX options is
pegged to the standard (third Friday) SPX option expiration in the
subsequent month. Specifically, the expiration date is on the Wednesday
that is 30 days prior to the third Friday of the calendar month
immediately following the month in which the VIX option expires. This
standard Wednesday VIX option expiration is changed if the Friday in
the subsequent month is an Exchange holiday to be the business day that
is thirty days prior to the Exchange business day immediately preceding
that Friday. CBOE (as the Reporting Authority for VIX options)
calculates the exercise settlement value for expiring VIX options on
their expiration date.\7\
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\7\ See CBOE Rule 24.9(a)(5) which sets forth the method of
determining the day on which the exercise settlement value will be
calculated for VIX options and of determining the expiration date
and last trading day for VIX options.
---------------------------------------------------------------------------
The Exchange proposes to now expire VIX options each Wednesday.\8\
These new VIX expirations would be series of the existing VIX option
class. Similar to VXST options, however, different types of SPX options
would be used to calculate and settle VIX options. Specifically, as
today, the standard (monthly) VIX option expirations would be
calculated using A.M.-settled SPX options that expire on the third
Friday in the subsequent month and the period of implied volatility
covered by these contracts would be exactly 30 days. The new VIX option
expirations would be calculated using P.M.-settled SPXWs that expire in
30 days and the period of implied volatility by these contracts would
be 30 days, plus 390 minutes.\9\
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\8\ CBOE is making this current filing because CBOE is unable to
list weekly VIX options under its other weekly option programs
because those programs require that weekly options expire on Fridays
and VIX options expire on Wednesdays.
\9\ P.M.-settled, expiring SPXWs stop trading at 3:00 p.m.
(Chicago time) on their last day of trading. See Rule 24.9(e)(4).
The additional 390 minutes reflects that these constituent options
trade for six and a half hours on their expiration date until 3:00
p.m. (Chicago time).
---------------------------------------------------------------------------
In order to expire 30-day VIX options weekly, CBOE proposes to
amend Rule 24.9(a)(5) in several ways. First, the Exchange notes that
Rule 24.9(a)(5) is styled, ``Method of Determining Day that Exercise
Settlement Value will be Calculated and of Determining Expiration Date
and Last Trading Day for Options on Volatility Indexes that Measure a
30-Day Volatility Period (e.g., VIX, RVX, VXD, VXN, Individual Stock or
ETF Based Volatility Index) (`Volatility Index options').'' The
Exchange proposes to revise this title so that it reads: ``Method of
Determining Day that Exercise Settlement Value will be Calculated,
Special Opening Quotation and Expiration Date and Last Trading Day for
Options on Volatility Indexes that Measure a 30-Day Volatility Period
(`Volatility Index options').'' \10\
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\10\ The Exchange proposes to add ``Special Opening Quotation''
to the title to make it more complete since the Special Opening
Quotation is already explained in this provision and applies to all
Volatility Index options.
---------------------------------------------------------------------------
Second, the Exchange proposes to also add the following 3 new
subheadings as subparagraphs A, B and C, respectively, to Rule
24.9(a)(5): Method of Determining Day that Exercise Settlement Value
will be Calculated, Special Opening Quotation and Expiration Date and
Last Trading Day. The Exchange believes that the proposed addition of
these subheadings would help to clarify that new subparagraphs B and C
would apply to all Volatility index options.
Third, under proposed new subparagraph A, the Exchange proposes to
add new subparagraph (i) styled ``Volatility Index Options (Other than
VIX Options, e.g., RVX, VXD, VXN, Individual Stock or ETF Based
Volatility Index Options) set forth in Rule 24.9(a)(5).\11\ This new
subparagraph (A)(i) would generally maintain the current rule text
language as it applies to standard (monthly) Volatility Index options
(other than VIX options). Some non-substantive changes are being
proposed to help clarify that this provision applies to standard
(monthly) options on 30-day volatility indexes.
---------------------------------------------------------------------------
\11\ In addition to VIX options, the Exchange lists options on
other 30-day volatility indexes, which are covered by this provision
too.
---------------------------------------------------------------------------
Fourth, CBOE proposes to add new subparagraph A(ii) to Rule
24.9(a)(5) styled ``CBOE Volatility Index (``VIX'') Options,'' which
would read as follows:
The exercise settlement value of a VIX option for all purposes
under these Rules and the Rules of the Clearing Corporation, shall
be calculated on the specific date (usually a Wednesday) identified
in the option symbol for the series. If that Wednesday or the Friday
that is 30 days following that Wednesday is an Exchange holiday, the
exercise settlement value shall be calculated on the business day
immediately preceding that Wednesday.
The Exchange notes that Rule 24.9(a)(5) is cross-referenced in Rule
6.2B.08, which sets forth the days on which Modified Opening Procedures
are used for Hybrid classes and series that are used to calculated
volatility indexes. Rule 24.9(a)(5) is identified in Rule 6.2B.08 in
order to determine the specific days on which the Modified Opening
Procedures are utilized. Expiring 30-day VIX options weekly would
result in the Modified Opening Procedures being used more frequently
for the constituent options series used to calculate the exercise
settlement values for the proposed new 30-day VIX weekly expirations.
Fifth, the Exchange proposes to amend Rule 24.9(a) by adding an
additional paragraph (under proposed new subparagraph B ``Special
Opening Quotation'') that provides detailed information about the
``time to expiration'' input. Specifically, the paragraph would provide
as a follows:
The ``time to expiration'' used to calculate the SOQ shall
account for the actual number of days and minutes until expiration
for the constituent option series. For example, if the Exchange
announces that the opening of trading in the constituent option
series is delayed, the amount of time until expiration for the
constituent option series used to calculate the exercise settlement
value would be reduced to reflect the actual opening time of the
constituent option series. Another example would be when the
Exchange is closed on a Wednesday due to an Exchange holiday, the
amount of time until expiration used to calculate the exercise
settlement value would be increased to reflect the extra calendar
day between the day that the exercise settlement value is calculated
and the day on which the constituent option series expire.
In support of this proposed change, the Exchange states that
similar language about the above description of the ``time to
expiration'' input for VIX options is already set forth in CBOE
Regulatory Circular RG14-005.\12\ Also, similar language is set forth
in Rule 24.9(a)(6) when describing the ``time to expiration'' input for
VXST options. The Exchange is proposing to take this opportunity to
marry up this concept with Rule 24.9(a)(6), as applicable here.
---------------------------------------------------------------------------
\12\ The Exchange would revise this circular to layer in weekly
VIX option expirations and to make general updates, as needed.
---------------------------------------------------------------------------
The Exchange also proposes to take this opportunity to make the
following minor amendments to Rule 24.9(a)(6): (i) Modification to the
title of that Rule, (ii) addition of similar subheadings throughout
that Rule, and (iii) revision to the Wednesday holiday example provided
under the proposed new subheading ``Special Opening Quotation.'' The
Exchange proposes to make these changes in order to conform Rule
24.9(a)(6) with the proposed new structure and formatting of Rule
[[Page 33576]]
24.9(a)(5). The Exchange believes that it would be beneficial to have
parallel structure between these two rule provisions because the rules
address the same topics but for different option classes. The Exchange
states that the proposed changes to Rule 24.9(a)(6) are non-
substantive.
Sixth, as to Rule 24.9(a)(5), the Exchange proposes to add a
sentence to address when the last trading day is moved because of an
Exchange holiday. Specifically, the sentence would provide that the
last trading day would be the day immediately preceding the last
regularly scheduled trading day. As with the ``time to expiration''
input proposed addition, this proposed sentence is similar to language
that is set forth in Rule 24.9(a)(6). The Exchange is proposing to take
this opportunity to marry up Rule 24.9(a)(5) with Rule 24.9(a)(6), as
applicable here.
The Exchange is currently permitted to list up to 12 standard
(monthly) VIX expirations.\13\ The Exchange proposes to maintain the
ability to list 12 standard (monthly) VIX expirations and proposes to
permit the Exchange to list up to six weekly expirations in VIX
options. The six weekly expirations would be for the nearest weekly
expirations from the actual listing date and weekly expirations would
not be permitted to expire in the same week in which standard (monthly)
VIX options expire. Standard (monthly) expirations in VIX options would
not be counted as part of the maximum six weekly expirations permitted
for VIX options. The below chart illustrates the maximum listing
ability under this new proposed revision as of July 30, 2015:
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\13\ The Exchange calculates the CBOE VVIX Index, which measures
the expected volatility of the 30-day forward price of the VIX Index
and is calculated using VIX options. Because CBOE calculates a
volatility index using VIX options, the Exchange is permitted to
list up to 12 expirations at any one time for VIX options.
------------------------------------------------------------------------
Expiration date Type of expiration
------------------------------------------------------------------------
AUG 5 2015................................ Weekly (1).
AUG 12 2015............................... Weekly (2).
AUG 19 2015............................... Standard (Monthly) (1).
AUG 26 2015............................... Weekly (3).
SEP 2 2015................................ Weekly (4).
SEP 9 2015................................ Weekly (5).
SEP 16 2015............................... Standard (Monthly) (2).
SEP 23 2015............................... Weekly (6).
OCT 21 2015............................... Standard (Monthly) (3).
NOV 18 2015............................... Standard (Monthly) (4).
DEC 16 2015............................... Standard (Monthly) (5).
JAN 20 2016............................... Standard (Monthly) (6).
FEB 17 2016............................... Standard (Monthly) (7).
MAR 16 2016............................... Standard (Monthly) (8).
APR 20 2016............................... Standard (Monthly) (9).
MAY 18 2016............................... Standard (Monthly) (10).
JUN 15 2016............................... Standard (Monthly) (11).
JUL 20 2016............................... Standard (Monthly) (12).
------------------------------------------------------------------------
To effectuate this change, the Exchange proposes to amend Rule
24.9(a)(2) to expressly provide for these VIX expirations. The Exchange
also proposes to take this opportunity to clean up and stream line this
subparagraph (a)(2) to Rule 24.9. No substantive changes are being
proposed by these reorganizational amendments.
Currently, the Exchange may list new series in VIX options up to
the fifth business day prior to expiration. The Exchange proposes to
amend Rule 24.9(.01)(c) to permit new series to be added up to and
including on the last day of trading for an expiring VIX option
contract. In support of this change, the Exchange states that this
listing ability is similar to the series setting schedule for other
types of weekly expirations, including VXST options.\14\
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\14\ See existing Rule 24.9.01(c). See also Rules 5.5(d)(4) and
24.9(a)(2)(A)(iv) which permit series to be added up to and
including on their expiration date for short-term (weekly) options.
---------------------------------------------------------------------------
Finally, the Exchange proposes to amend Rule 24.9.01(l) by breaking
out VIX options separately from other volatility index options under
new subparagraph (ii). New subparagraph (ii) would provide,
Notwithstanding paragraphs (a) and (l)(i), the interval between strike
prices for CBOE Volatility Index (VIX) options will be $0.50 or greater
where the strike price is less than $75, $1 or greater where the strike
price is $200 or less and $5 or greater where the strike price is more
than $200.
The Exchange notes that the strike setting parameters set forth in
the proposed paragraph are already permitted for VIX options.\15\ The
Exchange believes that separating VIX options from other volatility
index options in this section to the CBOE Rulebook would benefit market
participants since it would be easier to identify the strike setting
parameters for VIX options by breaking them out as proposed.
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\15\ See Rule 24.9(l) and Rule 24.9.12, which permits $0.50 and
$1 strike price intervals for options that are used to calculate
volatility indexes. The Exchange calculates the CBOE VVIX Index,
which measures the expected volatility of the 30-day forward price
of the VIX Index and is calculated using VIX options.
---------------------------------------------------------------------------
Capacity
CBOE has analyzed its capacity and represents that it believes the
Exchange and the Options Price Reporting Authority (``OPRA'') have the
necessary systems capacity to handle the additional traffic associated
with the listing of new series that would result from the expiring VIX
options weekly. Because the proposal is limited to a single class, the
Exchange believes that the additional traffic that would be generated
from the introduction of weekly 30-Day VIX option series would be
manageable.
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.\16\ Specifically, the
Exchange believes the proposed rule change is consistent with the
Section 6(b)(5) \17\ requirements that the rules of an exchange be
designed to promote just and equitable principles of trade, to prevent
fraudulent and manipulative acts, to remove impediments to and to
perfect the mechanism for a free and open market and a national market
system, and, in general, to protect investors and the public interest.
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\16\ 15 U.S.C. 78f(b).
\17\ 15 U.S.C. 78f(b)(5).
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Specifically, the Exchange believes that there is an unmet market
demand for options that expire each week that measure a 30-day
volatility period. By permitting VIX options to expire every week, CBOE
hopes to respond to that unmet market demand.
The success of CBOE's VIX options that measure a 30-day period
illustrate the prominence that volatility products have taken over the
past several years. CBOE seeks to enlarge its suite of volatility
offerings by introducing weekly expiring series that would provide
investors with a 30-day VIX contract that expires every week. CBOE
believes that expiring 30-day VIX options weekly would provide
investors with additional opportunities to manage 30-day volatility
risk each week.
CBOE has many years of history and experience in conducting
surveillance for volatility index options trading to draw from in order
to detect manipulative trading in the proposed new 30-day weekly VIX
series. Additionally, the Exchange represents that it has the necessary
systems capacity to support the addition of weekly 30-day VIX
expirations.
The Exchange believes that the proposed non-substantive changes to
Rules 24.9(a)(5) and 24.9(a)(6) would be beneficial to market
participants and users of CBOE's Rulebook because there would be
parallel structure between two rule provisions that address same topics
but for different option classes. The Exchange also believes that these
proposed changes would generally
[[Page 33577]]
result in a clearer and more user-friendly presentment of the
provisions set forth in CBOE's Rulebook.
B. Self-Regulatory Organization's Statement on Burden on Competition
CBOE does not believe that the proposed rule change will impose any
burden on competition not necessary or appropriate in furtherance of
the purposes of the Act. Specifically, CBOE believes that the
permitting 30-day VIX options to expire weekly would enhance
competition among market participants and would provide a new weekly
expiration that can compete with other weekly options to the benefit of
investors and the marketplace.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
No written comments were solicited or received with respect to 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 rule-comments@sec.gov. Please include
File Number SR-CBOE-2015-050 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-2015-050. 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 Web site (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 Web site 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
10:00 a.m. and 3:00 p.m. Copies of the filing also will be available
for inspection and copying at the principal office of the Exchange. All
comments received will be posted without change; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-CBOE-2015-050 and should be
submitted on or before July 6, 2015.
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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Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015-14362 Filed 6-11-15; 8:45 am]
BILLING CODE 8011-01-P
