Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of Amendment No. 1 and Order Granting Accelerated Approval of a Proposed Rule, as Modified by Amendment No. 1, To Introduce Asian Style Settlement and Cliquet Style Settlement for FLexible Exchange Broad-Based Index Options, 42152-42156 [2015-17398]
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42152
Federal Register / Vol. 80, No. 136 / Thursday, July 16, 2015 / Notices
[Release No. 34–75312; File No. SR–ISE–
2015–21]
Self-Regulatory Organizations;
International Securities Exchange,
LLC; Notice of Filing and Immediate
Effectiveness of Proposed Rule
Change To Extend the Penny Pilot
Program
June 26, 2015.
Correction
In notice document 2015–16270,
appearing on pages 38251 through
38253 in the issue of Thursday, July 2,
2015, make the following correction:
On page 38253, in the first column, on
the eighth line from the bottom, ‘‘July
22, 2015’’ should read ‘‘July 23, 2015’’.
[FR Doc. C1–2015–16270 Filed 7–15–15; 8:45 am]
II. Description of the Proposal
BILLING CODE 1505–01–D
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–75425; File No. SR–CBOE–
2015–044]
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Notice of Filing of
Amendment No. 1 and Order Granting
Accelerated Approval of a Proposed
Rule, as Modified by Amendment No.
1, To Introduce Asian Style Settlement
and Cliquet Style Settlement for
FLexible Exchange Broad-Based Index
Options
July 10, 2015.
tkelley on DSK3SPTVN1PROD with NOTICES
I. Introduction
On May 6, 2015, the Chicago Board
Options Exchange, Incorporated (the
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 See Securities Exchange Act Release No. 74914
(May 8, 2015), 80 FR 27408.
4 Amendment No. 1 replaces the original filing in
its entirety. Amendment No. 1 removes proposed
amendments to the strategy-based customer margin
2 17
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19:43 Jul 15, 2015
‘‘Exchange’’ or ‘‘CBOE’’) filed with the
Securities and Exchange Commission
(the ‘‘Commission’’), pursuant to section
19(b)(1) of the Securities Exchange Act
of 1934 (the ‘‘Act’’),1 and Rule 19b–4
thereunder,2 a proposed rule change to
permit Asian style settlement and
Cliquet style settlement for FLexible
Exchange (‘‘FLEX’’) Broad-Based Index
options. The proposed rule change was
published for comment in the Federal
Register on May 13, 2015.3 CBOE filed
Amendment No. 1 to the proposed rule
change on June 18, 2015.4 The
Commission received no comments
regarding the proposal. The Commission
is publishing this notice to solicit
comments on Amendment No. 1 from
interested persons, and is approving the
proposed rule change, as modified by
Amendment No. 1, on an accelerated
basis.
Jkt 235001
The Exchange proposes to amend
CBOE Rules 24A.1 (Definitions), 24A.4
(Terms of FLEX Options), 24B.1
(Definitions) and 24B.4 (Terms of FLEX
Options) to permit Asian style
settlement and Cliquet style settlement
for FLEX Broad-Based Index options.5
Asian Style Settlement
FLEX Broad-Based Index options with
Asian style settlement will be cashsettled call 6 option contracts for which
the final payout will be based on an
arithmetic average of specified closing
values of the underlying broad-based
index (‘‘Asian option’’). Exercise (strike)
prices and premium quotations for
Asian options will be expressed and
governed as provided for in CBOE Rules
24A.4(b)(2) and 24B.(b)(2). Asian
options will have a term of
approximately one year and would
requirements in CBOE Rule 12.3 and modifies Form
19b–4, and Exhibits 1, 3, and 5 to clarify that the
Exchange would apply the Exchange’s existing
strategy-based customer margin requirements for
broad-based index options, which are set forth in
Rule 12.3. Amendment No. 1 also deletes references
to portfolio margining from Form 19b–4 and
Exhibits 1 and 3.
PO 00000
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expire anytime from 350 to 371 days
(which is approximately 50 to 53
calendar weeks) from the date of initial
listing. The contract multiplier for an
Asian option will be $100.7
The parties to an Asian option
contract will designate a set of monthly
observation dates and an expiration date
for each contract. The monthly
observation date will be the date each
month on which the price of the
underlying broad-based index will be
observed for the purpose of calculating
the exercise settlement value for Asian
options. Each Asian option will have 12
consecutive monthly observation dates
(which includes an observation on the
expiration date) and each observation
will be based on the closing price of the
underlying broad-based index. The
specific monthly observation dates will
be determined by working backward
from the farthest out observation date
prior to the expiration date. If a given
monthly observation date falls on a non
CBOE business day (e.g., holiday or
weekend), the monthly observation will
be on the immediately preceding
business day (‘‘preceding business day
convention’’). The parties may not
designate a subsequent business day
convention for Asian options.
Asian options will have Europeanstyle exercise and may not be exercised
prior to the expiration date. The
exercise settlement value for Asian
options will be the arithmetic average of
the closing values of the underlying
broad-based index on the 12
consecutive monthly observation dates,
which include the expiration date of the
option. Mathematically this is expressed
as:
5 Chapter XXIVA sets forth Flexible Exchange
Options rules and chapter XXIVB sets forth FLEX
Hybrid Trading System rules.
6 Puts will not be permitted.
7 See Rules 24A.1(i) and 24B.1(m). ‘‘The Index
Multiplier for FLEX Index Options is $100.’’
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SECURITIES AND EXCHANGE
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Federal Register / Vol. 80, No. 136 / Thursday, July 16, 2015 / Notices
Where Si is the closing price of the
underlying broad-based index on
monthly observation date on the ith
monthly observation date.
The exercise settlement amount for
Asian options will be calculated
similarly to other options, i.e., the
difference between the strike price and
the averaged settlement value will
determine the value, or ‘‘moneyness’’ of
the contract at expiration.
An example of an Asian FLEX call
option expiring in-the-money follows.
On January 21, 2015, an investor
hedging the value of the S&P 500 Index
over a year purchases a call option
expiring on January 22, 2016 with a
strike price of 2000 and a contract
multiplier of $100. The option has
monthly observation dates occurring on
the 23rd of each month.
Monthly observation date
S&P 500 Index
closing value
23–Feb–15 ......................
23–Mar–15 ......................
23–Apr–15 ......................
22–May–15 * ...................
23–Jun–15 ......................
23–Jul–15 .......................
21–Aug–15 * ...................
23–Sep–15 .....................
23–Oct–15 ......................
23–Nov–15 .....................
23–Dec–15 .....................
22–Jan–16 ......................
Exercise (Averaged) Settlement Value ..............
2025.36
2049.34
2019.77
1989.65
2005.64
2035.10
2032.15
2076.18
2099.01
2109.32
2085.42
2084.81
24,611.75/12 =
2050.98
tkelley on DSK3SPTVN1PROD with NOTICES
* Because Asian FLEX options use the
‘‘preceding business day convention,’’ the
dates of May 23, 2015 and August 23, 2015,
were not used in the above example because
those dates will fall on a weekend or a holiday. Instead the business days immediately
preceding those dates were used as the
monthly observation date.
The exercise settlement amount for
this 2000 Asian FLEX call option would
be equal to $5,098. This amount would
be determined by adding the 12
observed closing values for the S&P 500
Index and dividing that amount by 12
(24,611.75/12), which is equal to
2050.98 (when rounded). As a result,
this 2000 call option would be $5,098
in-the-money (50.98 x $100).
If, in the above example, the strike
price for the Asian FLEX call option was
2060, that contract would have expired
out-of-the-money. This is because the
exercise settlement value for this 2060
call option is equal to 2050.98 (when
rounded). Since the strike price of 2060
is more than the 2050.98 exercise
settlement value, this option would not
be exercised and would expire
worthless.
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Cliquet Style Settlement
FLEX Broad-Based Index options with
Cliquet style settlement will be cashsettled call 8 option contracts for which
the final payout will be based on the
sum of monthly returns (i.e., percent
changes in the closing value of the
underlying broad-based index from one
monthly observation date to the next
monthly observation date), subject to a
monthly return ‘‘cap’’ (e.g., 2%) applied
over 12 monthly observation dates
(‘‘Cliquet option’’). Premium quotations
for Cliquet options will be expressed
and governed as provided for in CBOE
Rules 24A.4(b)(2) and 24B.(b)(2). Cliquet
options will have a term of
approximately one year and will expire
anytime from 350 to 371 days (which is
approximately 50 to 53 calendar weeks)
from the date of initial listing. The
contract multiplier for a Cliquet option
will be $100.9
The parties to a Cliquet option will
designate a set of monthly observation
dates for each contract and an
expiration date for each contract. The
monthly observation date will be the
date each month on which the price of
the underlying broad-based index will
be observed for the purpose of
calculating the exercise settlement value
for Cliquet FLEX options. Each Cliquet
FLEX option will have 12 consecutive
monthly observation dates (which
includes an observation on the
expiration date) and each observation
will be based on the closing price of the
underlying broad-based index. The
specific monthly observation dates will
be determined working backward from
the farther out observation date prior to
the expiration date. If a given monthly
observation date falls on a non CBOE
business day (e.g., holiday or weekend),
the monthly observation will be on the
immediately preceding business day
(‘‘preceding business day convention’’).
The parties may not designate a
subsequent business day convention for
Cliquet options.
The parties to a Cliquet option will
designate a capped monthly return
(percent change in the closing values of
the underlying broad-based index from
one month to the next month) for the
contract, which will be the maximum
monthly return that will be included in
the calculation of the exercise
settlement value for the contract. On
each monthly observation date, the
Exchange will determine the actual
monthly return (the percent change of
the underlying broad-based index) using
the closing value of the broad-based
PO 00000
8 Puts
9 See
will not be permitted.
CBOE Rules 24A.1(i) and 24B.1(m).
Frm 00069
Fmt 4703
Sfmt 4703
42153
index on the current monthly
observation date and the closing value
of the broad-based index on the
previous monthly observation date. The
Exchange will then compare the actual
monthly return to the capped monthly
return. The value to be included as the
monthly return for a Cliquet option will
be the lesser of the actual monthly
return or the capped monthly return.
For example, if the actual monthly
return of the underlying broad-based
index was 1.75% and the designated
capped monthly return for a Cliquet
option was 2%, the 1.75% value would
be included (and not the 2%) as the
value for the observation date to
determine the exercise settlement value.
Using this same example, if the actual
monthly return of the underlying broadbased index was 3.30%, the 2% value
would be included (and not the 3.30%)
as the value of the observation date to
determine the exercise settlement value.
This latter example illustrates that
Cliquet options have a capped upside.
Cliquet options do not, however, have a
capped downside for the monthly return
that would be included in determining
the exercise settlement value. Drawing
on this same example, if the actual
monthly return of the underlying broadbased index was -4.07%, the -4.07%
value would be included as the value
for the observation date to determine the
exercise settlement value. There would
be, however, be a global floor for Cliquet
options so that if the sum of the
monthly returns is negative, a Cliquet
option would expire worthless.
Unlike other options, Cliquet options
will not have a traditional exercise
(strike) price. Rather, the exercise
(strike) price field for a Cliquet option
will represent the designated capped
monthly return for the contract and
would be expressed in dollars and
cents. For example, a capped monthly
return of 2.25% would be represented
by the dollar amount of $2.25. The
‘‘strike’’ price for a Cliquet option may
only be expressed in a dollar and cents
amount and the ‘‘strike’’ price for a
Cliquet option may only span a range
between $0.05 and $25.95. In addition,
the ‘‘strike’’ price for a Cliquet option
may only be designated in $0.05
increments, e.g., $1.75, $2.50, $4.15.
Increments of $0.01 in the ‘‘strike’’ price
field (representing the capped monthly
return) will not be permitted.
The first ‘‘monthly’’ return for a
Cliquet option will be based on the
initial reference value, which will be the
closing value of the underlying broadbased index on the date a new Cliquet
option is listed. The time period
measured for the first ‘‘monthly’’ return
will be between the initial listing date
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Federal Register / Vol. 80, No. 136 / Thursday, July 16, 2015 / Notices
and the first monthly observation date.
For example, if a Cliquet option was
opened on January 1 and the parties
designated the 31st of each month as the
monthly observation date, the
measurement period for the first
monthly return would span the time
period from January 1 to January 31.
The time period measured for the
second monthly return, and all
subsequent monthly returns, would run
from the 31st of one month to the 31st
of the next month (or the last CBOE
business day of each month depending
on the actual number of calendar days
in each month covered by the contract).
Cliquet options will have Europeanstyle exercise and may not be exercised
prior to the expiration date. The
exercise settlement value for Cliquet
options will be equal to the initial
reference price of the underlying broad-
based index multiplied by the sum of
the monthly returns (with the cap
applied) on the 12 consecutive monthly
observation dates, which include the
expiration date of the option, provided
that the sum is greater than 0. If the sum
of the monthly returns (with the applied
cap) is 0 or a less, the option will expire
worthless.10 Mathematically this is
expressed as:
An example of a Cliquet option
follows. On January 21, 2015, an
investor hedging the value of the S&P
500 Index over a year purchases a
Cliquet FLEX call option expiring on
January 22, 2016 with a capped monthly
return of 2% and a contract multiplier
of $100. The initial reference price of
the S&P 500 Index (closing value) on
January 21, 2015 is 2000. The option has
monthly observation dates occurring on
the 23rd of each month.
S&P 500 Index
closing value
(Si)
Monthly observation date
23–Feb–15 ...............................................................................
23–Mar–15 ...............................................................................
23–Apr–15 ...............................................................................
22–May–15* .............................................................................
23–Jun–15 ...............................................................................
23–Jul–15 ................................................................................
21–Aug–15 * .............................................................................
23–Sep–15 ...............................................................................
23–Oct–15 ...............................................................................
23–Nov–15 ...............................................................................
23–Dec–15 ...............................................................................
22–Jan–16 ...............................................................................
2025.36
2049.34
2019.77
1989.65
2005.64
2035.10
2032.15
2076.18
2099.01
2109.32
2085.42
2084.81
Exercise Settlement Value ......................................................
Capped monthly
return
(CMRi)
(%)
1.27
1.18
¥1.44
¥1.49
0.80
1.47
¥0.14
2.17
1.10
0.49
¥1.13
¥0.03
1.27
1.18
¥1.44
¥1.49
0.80
1.47
¥0.14
** 2.00
1.10
0.49
¥1.13
¥0.03
Sum of monthly
returns
(%)
1.27
2.45
1.01
¥0.48
0.32
1.79
1.65
3.65
4.75
5.24
4.11
4.08
[(4.08% * 2000.00)] + 2 = 83.60
* Because Cliquet FLEX options use the ‘‘preceding business day convention,’’ the dates of May 23, 2015, and August 23, 2015, were not
used in the above example because those dates will fall on a weekend or a holiday. Instead the business days immediately preceding those
dates were used as the monthly observation dates.
** Monthly capped return applied.
10 Prior to expiration, it is possible that the
accumulated monthly returns could become
negative to a point at which it is known that the
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value of the contract at expiration would be zero.
The holder or writer of such a position may choose
PO 00000
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to exit the position prior to expiration for a
negligible credit or debit amount, respectively.
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tkelley on DSK3SPTVN1PROD with NOTICES
Actual monthly
return
(%)
Federal Register / Vol. 80, No. 136 / Thursday, July 16, 2015 / Notices
The exercise settlement amount for
this January 22, 2016 Cliquet option,
with a capped monthly 2% return
(‘‘strike price’’) and a contract multiplier
of $100 would be equal to $8,360. This
value would be calculated by summing
the monthly capped returns (equal to
4.08%) and multiplying that amount by
the initial reference price (equal to
2000), which equals 81.60. The ‘‘strike
price’’ (2%) amount would then be
added to that amount (81.60) to arrive
at an exercise settlement value of 83.60.
Because the ‘‘strike price’’ field for a
Cliquet option would be the manner in
which the designated capped monthly
return would be identified for the
contract and because the designated
monthly return for the contract would
have been already substantively applied
to determine the exercise settlement
value, the ‘‘strike price’’ of 2.0 would be
subtracted from the exercise settlement
value before the contract multiplier
($100) would be applied [(83.60¥2) *
100]. Accordingly, resulting payout for
this contract would be $8,160.
If the sum of the monthly capped
returns had been negative, this option
would have expired worthless.
Margin
The Exchange will margin Asian and
Cliquet FLEX Broad-Based Index
options as ‘‘broad-based index’’ options
under CBOE’s existing rules.11 Thus,
under current Rule 12.3(c)(5)(A), the
margin requirement for a short call will
be 100% of the current market value of
the contract plus up to 15% of the
‘‘product of the current index group
value and the applicable index
multiplier.’’ Additional margin may be
required pursuant to Rules 12.3(h) and
12.10.
tkelley on DSK3SPTVN1PROD with NOTICES
Exchange Rules Applicable
Except as modified by this proposal,
the rules in chapters I through XIX,
XXIV, XXIVA and XXIVB will equally
apply to Asian and Cliquet options. For
example, per CBOE Rule 6.1A
(Extended Trading Hours), Asian and
Cliquet options will not be eligible for
trading during Extended Trading Hours.
Also, for example, CBOE Rules 24A.7
and 24A.8 set forth the position limits
and reporting requirements applicable
to FLEX Broad-Based Index options and
Rules 24A.7 and 24B.7 set forth the
exercise limits applicable to FLEX
Broad-Based Index options. Respecting
positions and exercise limits, these
provisions set forth general rules and
carve-outs for certain broad-based FLEX
Broad-Based Index options, which will
11 See
Exhibit 3 to Amendment No. 1.
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17:39 Jul 15, 2015
Jkt 235001
apply with equal force to Asian and
Cliquet options.
Surveillance
The Exchange will use the same
surveillance procedures currently
utilized for the Exchange’s other FLEX
Broad-Based Index options to monitor
trading in Asian and Cliquet options.
The Exchange further represents that
these surveillance procedures shall be
adequate to monitor trading in options
on these option products. For
surveillance purposes, the Exchange
will have complete access to
information regarding trading activity in
the pertinent underlying securities.
III. Discussion and Commission
Findings
The Commission finds that the
proposed rule change is consistent with
the requirements of the Act and the
rules and regulations thereunder
applicable to a national securities
exchange.12 Specifically, the
Commission finds that the proposed
rule change is consistent with section
6(b)(5) of the Act,13 which requires,
among other things, that the rules of a
national securities exchange be
designed to prevent fraudulent and
manipulative acts and practices, to
promote just and equitable principles of
trade, 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. The
Commission believes that the Asian and
Cliquet settlement styles for FLEX
Broad-Based Index options may provide
investors with additional trading and
hedging tools. The Commission also
believes that CBOE’s proposal to allow
Asian and Cliquet style settlement for
FLEX Broad-Based Index options may
give investors and other market
participants the ability to individually
tailor, within specified limits, certain
terms of those options. Further, the
Commission believes that the
Exchange’s proposal with respect to
Asian and Cliquet style settlement,
contract specifications, margin, and
other aspects of the proposed rule are
appropriate and consistent with the Act.
The Exchange has represented that
the launch of Asian and Cliquet style
settlement would be permitted subject
to the Commission’s approval of an
Options Clearing Corporation (‘‘OCC’’)
rule filing to make risk model changes
necessary to accommodate the clearance
12 In approving this proposed rule change, the
Commission has considered the proposed rule’s
impact on efficiency, competition, and capital
formation. See 15 U.S.C. 78c(f).
13 15 U.S.C. 78f(b)(5).
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42155
and settlement of the proposed options.
The Exchange will issue a circular to
Trading Permit Holders to announce a
specific launch date for the proposed
options.
The Commission notes that the
Exchange would use the same
surveillance procedures currently
utilized for the Exchange’s other FLEX
Broad-Based Index options to monitor
trading in those options with Asian and
Cliquet style settlement. The Exchange
has represented that these surveillance
procedures shall be adequate to monitor
trading in options on these option
products. The Exchange has also stated
that for surveillance purposes, the
Exchange will have complete access to
information regarding trading activity in
the pertinent underlying securities.
IV. Solicitation of Comments on
Amendment No. 1 to the Proposed Rule
Change
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether Amendment No. 1 to
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–2015–044 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–2015–044. 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
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Federal Register / Vol. 80, No. 136 / Thursday, July 16, 2015 / Notices
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
filing also will be available for
inspection and copying at the principal
office of the CBOE. 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–
2015–044 and should be submitted on
or before August 6, 2015.
V. Accelerated Approval of Proposed
Rule Change, as Modified by
Amendment No. 1
The Commission finds good cause to
approve the proposed rule change, as
modified by Amendment No. 1, prior to
the thirtieth day after the date of
publication of notice of the amendment
in the Federal Register. Amendment
No. 1 modifies the proposed rule change
by removing proposed amendments to
the strategy-based customer margin
requirements in CBOE Rule 12.3 and
removing references to portfolio
margining. The Commission believes
that the removal of the proposed margin
requirements for Asian and Cliquet
FLEX Broad-Based Index options, set
forth in Amendment No. 1, simply
clarify that the Exchange would apply
the existing strategy-based customer
margin requirements for broad-based
index options to Asian and Cliquet
options. In addition, the Commission
notes that the Exchange has represented
that it will monitor trading in the
proposed products and would continue
to evaluate the strategy-based customer
margin levels.14 Accordingly, the
Commission finds good cause, pursuant
to section 19(b)(2) of the Act,15 to
approve the proposed rule change, as
modified by Amendment No. 1, on an
accelerated basis.
tkelley on DSK3SPTVN1PROD with NOTICES
VI. Conclusion
It is therefore ordered, pursuant to
section 19(b)(2) of the Act,16 that the
proposed rule change (SR–CBOE–2015–
044), as modified by Amendment No. 1,
be, and it hereby is, approved on an
accelerated basis.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.17
Jill M. Peterson,
Assistant Secretary.
[FR Doc. 2015–17398 Filed 7–15–15; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–75424; File No. SR–Phlx–
2015–56]
Self-Regulatory Organizations;
NASDAQ OMX PHLX LLC; Notice of
Filing and Immediate Effectiveness of
Proposed Rule Change To Adopt a
Midpoint Peg Post-Only Order Under
Rule 3301A(b)
July 10, 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 26,
2015, NASDAQ OMX PHLX LLC
(‘‘Phlx’’ or ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘SEC’’ or ‘‘Commission’’) the proposed
rule change as described in Items I and
II 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 the Substance
of the Proposed Rule Change
The Exchange proposes to adopt a
Midpoint Peg Post-Only Order under
Rule 3301A(b).
The text of the proposed rule change
is available on the Exchange’s Web site
at https://
nasdaqomxphlx.cchwallstreet.com/, at
the principal office of the Exchange, 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
17 17
15 15
Amendment No. 1.
U.S.C. 78s(b)(2).
16 15 U.S.C. 78s(b)(2).
1 15
17:39 Jul 15, 2015
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
Jkt 235001
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
14 See
VerDate Sep<11>2014
the most significant aspects of such
statements.
PO 00000
Frm 00072
Fmt 4703
Sfmt 4703
The Exchange is proposing to adopt a
Midpoint Peg Post-Only Order 3 for use
on the Exchange’s NASDAQ OMX PSX
System (‘‘PSX System’’ or ‘‘PSX’’),
which is based on the Midpoint Peg
Post-Only Order of the NASDAQ Stock
Market (‘‘NASDAQ’’).4 A Midpoint Peg
Post-Only Order is a Non-Displayed 5
Order that is priced at the midpoint
between the National Best Bid and Offer
(‘‘NBBO’’) and that will execute upon
entry against locking or crossing quotes
only in circumstances where
economically beneficial to the party
entering the Midpoint Peg Post-Only
Order. Because the Order is priced at
the midpoint, it can provide price
improvement to incoming Orders when
it is executed after posting to the PSX
book. The Midpoint Peg Post-Only
Order will be available during regular
market hours (9:30 a.m. until 4:00 p.m.
ET) only.
A Midpoint Peg Post-Only Order must
be assigned a limit price. When a
Midpoint Peg Post-Only Order is
entered, it will be priced at the
midpoint between the NBBO, unless
such midpoint is higher than (lower
than) the limit price of an Order to buy
(sell), in which case the Midpoint Peg
Post-Only Order will be priced at its
limit price. If the NBBO is locked, the
Midpoint Peg Post-Only Order will be
priced at the locking price, if the NBBO
is crossed, it will nevertheless be priced
at the midpoint between the NBBO
(provided, however, that the Order may
execute as described below), and if there
is no NBBO,6 the Midpoint Peg PostOnly Order will be rejected. The
Midpoint Peg Post-Only Order will post
to the PSX book unless it is a buy (sell)
Order that is priced higher than (lower
than) a sell (buy) Order on the PSX
book, in which case it will execute at
the price of the Order on the PSX book;
provided, however, that if the Order has
3 The
term ‘‘Order’’ is defined in Rule 3301(e).
Exchange notes that the proposed rule text
is based on newly-amended NASDAQ rule text,
which provides a clearer and more detailed
description of its Midpoint Peg Post-Only Order
functionality than its prior rule. See Securities
Exchange Act Release No. 75252 (June 22, 2015)
(not yet published in the Federal Register) (Order
approving SR–NASDAQ–2015–024).
5 See Rule 3301B(k).
6 That is, if no market center is disseminating a
displayed bid or a displayed offer, such that it is
impossible to determine a midpoint price.
4 The
E:\FR\FM\16JYN1.SGM
16JYN1
]]>Agencies
[Federal Register Volume 80, Number 136 (Thursday, July 16, 2015)]
[Notices]
[Pages 42152-42156]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-17398]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-75425; File No. SR-CBOE-2015-044]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Notice of Filing of Amendment No. 1 and Order Granting
Accelerated Approval of a Proposed Rule, as Modified by Amendment No.
1, To Introduce Asian Style Settlement and Cliquet Style Settlement for
FLexible Exchange Broad-Based Index Options
July 10, 2015.
I. Introduction
On May 6, 2015, the Chicago Board Options Exchange, Incorporated
(the ``Exchange'' or ``CBOE'') filed with the Securities and Exchange
Commission (the ``Commission''), pursuant to section 19(b)(1) of the
Securities Exchange Act of 1934 (the ``Act''),\1\ and Rule 19b-4
thereunder,\2\ a proposed rule change to permit Asian style settlement
and Cliquet style settlement for FLexible Exchange (``FLEX'') Broad-
Based Index options. The proposed rule change was published for comment
in the Federal Register on May 13, 2015.\3\ CBOE filed Amendment No. 1
to the proposed rule change on June 18, 2015.\4\ The Commission
received no comments regarding the proposal. The Commission is
publishing this notice to solicit comments on Amendment No. 1 from
interested persons, and is approving the proposed rule change, as
modified by Amendment No. 1, on an accelerated basis.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ See Securities Exchange Act Release No. 74914 (May 8, 2015),
80 FR 27408.
\4\ Amendment No. 1 replaces the original filing in its
entirety. Amendment No. 1 removes proposed amendments to the
strategy-based customer margin requirements in CBOE Rule 12.3 and
modifies Form 19b-4, and Exhibits 1, 3, and 5 to clarify that the
Exchange would apply the Exchange's existing strategy-based customer
margin requirements for broad-based index options, which are set
forth in Rule 12.3. Amendment No. 1 also deletes references to
portfolio margining from Form 19b-4 and Exhibits 1 and 3.
---------------------------------------------------------------------------
II. Description of the Proposal
The Exchange proposes to amend CBOE Rules 24A.1 (Definitions),
24A.4 (Terms of FLEX Options), 24B.1 (Definitions) and 24B.4 (Terms of
FLEX Options) to permit Asian style settlement and Cliquet style
settlement for FLEX Broad-Based Index options.\5\
---------------------------------------------------------------------------
\5\ Chapter XXIVA sets forth Flexible Exchange Options rules and
chapter XXIVB sets forth FLEX Hybrid Trading System rules.
---------------------------------------------------------------------------
Asian Style Settlement
FLEX Broad-Based Index options with Asian style settlement will be
cash-settled call \6\ option contracts for which the final payout will
be based on an arithmetic average of specified closing values of the
underlying broad-based index (``Asian option''). Exercise (strike)
prices and premium quotations for Asian options will be expressed and
governed as provided for in CBOE Rules 24A.4(b)(2) and 24B.(b)(2).
Asian options will have a term of approximately one year and would
expire anytime from 350 to 371 days (which is approximately 50 to 53
calendar weeks) from the date of initial listing. The contract
multiplier for an Asian option will be $100.\7\
---------------------------------------------------------------------------
\6\ Puts will not be permitted.
\7\ See Rules 24A.1(i) and 24B.1(m). ``The Index Multiplier for
FLEX Index Options is $100.''
---------------------------------------------------------------------------
The parties to an Asian option contract will designate a set of
monthly observation dates and an expiration date for each contract. The
monthly observation date will be the date each month on which the price
of the underlying broad-based index will be observed for the purpose of
calculating the exercise settlement value for Asian options. Each Asian
option will have 12 consecutive monthly observation dates (which
includes an observation on the expiration date) and each observation
will be based on the closing price of the underlying broad-based index.
The specific monthly observation dates will be determined by working
backward from the farthest out observation date prior to the expiration
date. If a given monthly observation date falls on a non CBOE business
day (e.g., holiday or weekend), the monthly observation will be on the
immediately preceding business day (``preceding business day
convention''). The parties may not designate a subsequent business day
convention for Asian options.
Asian options will have European-style exercise and may not be
exercised prior to the expiration date. The exercise settlement value
for Asian options will be the arithmetic average of the closing values
of the underlying broad-based index on the 12 consecutive monthly
observation dates, which include the expiration date of the option.
Mathematically this is expressed as:
[GRAPHIC] [TIFF OMITTED] TN16JY15.001
[[Page 42153]]
Where Si is the closing price of the underlying broad-based index on
monthly observation date on the ith monthly observation date.
The exercise settlement amount for Asian options will be calculated
similarly to other options, i.e., the difference between the strike
price and the averaged settlement value will determine the value, or
``moneyness'' of the contract at expiration.
An example of an Asian FLEX call option expiring in-the-money
follows. On January 21, 2015, an investor hedging the value of the S&P
500 Index over a year purchases a call option expiring on January 22,
2016 with a strike price of 2000 and a contract multiplier of $100. The
option has monthly observation dates occurring on the 23rd of each
month.
------------------------------------------------------------------------
S&P 500 Index
Monthly observation date closing value
------------------------------------------------------------------------
23-Feb-15............................................ 2025.36
23-Mar-15............................................ 2049.34
23-Apr-15............................................ 2019.77
22-May-15 *.......................................... 1989.65
23-Jun-15............................................ 2005.64
23-Jul-15............................................ 2035.10
21-Aug-15 *.......................................... 2032.15
23-Sep-15............................................ 2076.18
23-Oct-15............................................ 2099.01
23-Nov-15............................................ 2109.32
23-Dec-15............................................ 2085.42
22-Jan-16............................................ 2084.81
------------------
Exercise (Averaged) Settlement Value................. 24,611.75/12 =
2050.98
------------------------------------------------------------------------
* Because Asian FLEX options use the ``preceding business day
convention,'' the dates of May 23, 2015 and August 23, 2015, were not
used in the above example because those dates will fall on a weekend
or a holiday. Instead the business days immediately preceding those
dates were used as the monthly observation date.
The exercise settlement amount for this 2000 Asian FLEX call option
would be equal to $5,098. This amount would be determined by adding the
12 observed closing values for the S&P 500 Index and dividing that
amount by 12 (24,611.75/12), which is equal to 2050.98 (when rounded).
As a result, this 2000 call option would be $5,098 in-the-money (50.98
x $100).
If, in the above example, the strike price for the Asian FLEX call
option was 2060, that contract would have expired out-of-the-money.
This is because the exercise settlement value for this 2060 call option
is equal to 2050.98 (when rounded). Since the strike price of 2060 is
more than the 2050.98 exercise settlement value, this option would not
be exercised and would expire worthless.
Cliquet Style Settlement
FLEX Broad-Based Index options with Cliquet style settlement will
be cash-settled call \8\ option contracts for which the final payout
will be based on the sum of monthly returns (i.e., percent changes in
the closing value of the underlying broad-based index from one monthly
observation date to the next monthly observation date), subject to a
monthly return ``cap'' (e.g., 2%) applied over 12 monthly observation
dates (``Cliquet option''). Premium quotations for Cliquet options will
be expressed and governed as provided for in CBOE Rules 24A.4(b)(2) and
24B.(b)(2). Cliquet options will have a term of approximately one year
and will expire anytime from 350 to 371 days (which is approximately 50
to 53 calendar weeks) from the date of initial listing. The contract
multiplier for a Cliquet option will be $100.\9\
---------------------------------------------------------------------------
\8\ Puts will not be permitted.
\9\ See CBOE Rules 24A.1(i) and 24B.1(m).
---------------------------------------------------------------------------
The parties to a Cliquet option will designate a set of monthly
observation dates for each contract and an expiration date for each
contract. The monthly observation date will be the date each month on
which the price of the underlying broad-based index will be observed
for the purpose of calculating the exercise settlement value for
Cliquet FLEX options. Each Cliquet FLEX option will have 12 consecutive
monthly observation dates (which includes an observation on the
expiration date) and each observation will be based on the closing
price of the underlying broad-based index. The specific monthly
observation dates will be determined working backward from the farther
out observation date prior to the expiration date. If a given monthly
observation date falls on a non CBOE business day (e.g., holiday or
weekend), the monthly observation will be on the immediately preceding
business day (``preceding business day convention''). The parties may
not designate a subsequent business day convention for Cliquet options.
The parties to a Cliquet option will designate a capped monthly
return (percent change in the closing values of the underlying broad-
based index from one month to the next month) for the contract, which
will be the maximum monthly return that will be included in the
calculation of the exercise settlement value for the contract. On each
monthly observation date, the Exchange will determine the actual
monthly return (the percent change of the underlying broad-based index)
using the closing value of the broad-based index on the current monthly
observation date and the closing value of the broad-based index on the
previous monthly observation date. The Exchange will then compare the
actual monthly return to the capped monthly return. The value to be
included as the monthly return for a Cliquet option will be the lesser
of the actual monthly return or the capped monthly return.
For example, if the actual monthly return of the underlying broad-
based index was 1.75% and the designated capped monthly return for a
Cliquet option was 2%, the 1.75% value would be included (and not the
2%) as the value for the observation date to determine the exercise
settlement value. Using this same example, if the actual monthly return
of the underlying broad-based index was 3.30%, the 2% value would be
included (and not the 3.30%) as the value of the observation date to
determine the exercise settlement value. This latter example
illustrates that Cliquet options have a capped upside. Cliquet options
do not, however, have a capped downside for the monthly return that
would be included in determining the exercise settlement value. Drawing
on this same example, if the actual monthly return of the underlying
broad-based index was -4.07%, the -4.07% value would be included as the
value for the observation date to determine the exercise settlement
value. There would be, however, be a global floor for Cliquet options
so that if the sum of the monthly returns is negative, a Cliquet option
would expire worthless.
Unlike other options, Cliquet options will not have a traditional
exercise (strike) price. Rather, the exercise (strike) price field for
a Cliquet option will represent the designated capped monthly return
for the contract and would be expressed in dollars and cents. For
example, a capped monthly return of 2.25% would be represented by the
dollar amount of $2.25. The ``strike'' price for a Cliquet option may
only be expressed in a dollar and cents amount and the ``strike'' price
for a Cliquet option may only span a range between $0.05 and $25.95. In
addition, the ``strike'' price for a Cliquet option may only be
designated in $0.05 increments, e.g., $1.75, $2.50, $4.15. Increments
of $0.01 in the ``strike'' price field (representing the capped monthly
return) will not be permitted.
The first ``monthly'' return for a Cliquet option will be based on
the initial reference value, which will be the closing value of the
underlying broad-based index on the date a new Cliquet option is
listed. The time period measured for the first ``monthly'' return will
be between the initial listing date
[[Page 42154]]
and the first monthly observation date. For example, if a Cliquet
option was opened on January 1 and the parties designated the 31st of
each month as the monthly observation date, the measurement period for
the first monthly return would span the time period from January 1 to
January 31. The time period measured for the second monthly return, and
all subsequent monthly returns, would run from the 31st of one month to
the 31st of the next month (or the last CBOE business day of each month
depending on the actual number of calendar days in each month covered
by the contract).
Cliquet options will have European-style exercise and may not be
exercised prior to the expiration date. The exercise settlement value
for Cliquet options will be equal to the initial reference price of the
underlying broad-based index multiplied by the sum of the monthly
returns (with the cap applied) on the 12 consecutive monthly
observation dates, which include the expiration date of the option,
provided that the sum is greater than 0. If the sum of the monthly
returns (with the applied cap) is 0 or a less, the option will expire
worthless.\10\ Mathematically this is expressed as:
---------------------------------------------------------------------------
\10\ Prior to expiration, it is possible that the accumulated
monthly returns could become negative to a point at which it is
known that the value of the contract at expiration would be zero.
The holder or writer of such a position may choose to exit the
position prior to expiration for a negligible credit or debit
amount, respectively.
[GRAPHIC] [TIFF OMITTED] TN16JY15.002
An example of a Cliquet option follows. On January 21, 2015, an
investor hedging the value of the S&P 500 Index over a year purchases a
Cliquet FLEX call option expiring on January 22, 2016 with a capped
monthly return of 2% and a contract multiplier of $100. The initial
reference price of the S&P 500 Index (closing value) on January 21,
2015 is 2000. The option has monthly observation dates occurring on the
23rd of each month.
----------------------------------------------------------------------------------------------------------------
S&P 500 Index
Monthly observation date closing value Actual monthly Capped monthly Sum of monthly
(Si) return (%) return (CMRi) (%) returns (%)
----------------------------------------------------------------------------------------------------------------
23-Feb-15........................... 2025.36 1.27 1.27 1.27
23-Mar-15........................... 2049.34 1.18 1.18 2.45
23-Apr-15........................... 2019.77 -1.44 -1.44 1.01
22-May-15*.......................... 1989.65 -1.49 -1.49 -0.48
23-Jun-15........................... 2005.64 0.80 0.80 0.32
23-Jul-15........................... 2035.10 1.47 1.47 1.79
21-Aug-15 *......................... 2032.15 -0.14 -0.14 1.65
23-Sep-15........................... 2076.18 2.17 ** 2.00 3.65
23-Oct-15........................... 2099.01 1.10 1.10 4.75
23-Nov-15........................... 2109.32 0.49 0.49 5.24
23-Dec-15........................... 2085.42 -1.13 -1.13 4.11
22-Jan-16........................... 2084.81 -0.03 -0.03 4.08
---------------------------------------------------------------------------
Exercise Settlement Value........... [(4.08% * 2000.00)] + 2 = 83.60
----------------------------------------------------------------------------------------------------------------
* Because Cliquet FLEX options use the ``preceding business day convention,'' the dates of May 23, 2015, and
August 23, 2015, were not used in the above example because those dates will fall on a weekend or a holiday.
Instead the business days immediately preceding those dates were used as the monthly observation dates.
** Monthly capped return applied.
[[Page 42155]]
The exercise settlement amount for this January 22, 2016 Cliquet
option, with a capped monthly 2% return (``strike price'') and a
contract multiplier of $100 would be equal to $8,360. This value would
be calculated by summing the monthly capped returns (equal to 4.08%)
and multiplying that amount by the initial reference price (equal to
2000), which equals 81.60. The ``strike price'' (2%) amount would then
be added to that amount (81.60) to arrive at an exercise settlement
value of 83.60. Because the ``strike price'' field for a Cliquet option
would be the manner in which the designated capped monthly return would
be identified for the contract and because the designated monthly
return for the contract would have been already substantively applied
to determine the exercise settlement value, the ``strike price'' of 2.0
would be subtracted from the exercise settlement value before the
contract multiplier ($100) would be applied [(83.60-2) * 100].
Accordingly, resulting payout for this contract would be $8,160.
If the sum of the monthly capped returns had been negative, this
option would have expired worthless.
Margin
The Exchange will margin Asian and Cliquet FLEX Broad-Based Index
options as ``broad-based index'' options under CBOE's existing
rules.\11\ Thus, under current Rule 12.3(c)(5)(A), the margin
requirement for a short call will be 100% of the current market value
of the contract plus up to 15% of the ``product of the current index
group value and the applicable index multiplier.'' Additional margin
may be required pursuant to Rules 12.3(h) and 12.10.
---------------------------------------------------------------------------
\11\ See Exhibit 3 to Amendment No. 1.
---------------------------------------------------------------------------
Exchange Rules Applicable
Except as modified by this proposal, the rules in chapters I
through XIX, XXIV, XXIVA and XXIVB will equally apply to Asian and
Cliquet options. For example, per CBOE Rule 6.1A (Extended Trading
Hours), Asian and Cliquet options will not be eligible for trading
during Extended Trading Hours. Also, for example, CBOE Rules 24A.7 and
24A.8 set forth the position limits and reporting requirements
applicable to FLEX Broad-Based Index options and Rules 24A.7 and 24B.7
set forth the exercise limits applicable to FLEX Broad-Based Index
options. Respecting positions and exercise limits, these provisions set
forth general rules and carve-outs for certain broad-based FLEX Broad-
Based Index options, which will apply with equal force to Asian and
Cliquet options.
Surveillance
The Exchange will use the same surveillance procedures currently
utilized for the Exchange's other FLEX Broad-Based Index options to
monitor trading in Asian and Cliquet options. The Exchange further
represents that these surveillance procedures shall be adequate to
monitor trading in options on these option products. For surveillance
purposes, the Exchange will have complete access to information
regarding trading activity in the pertinent underlying securities.
III. Discussion and Commission Findings
The Commission finds that the proposed rule change is consistent
with the requirements of the Act and the rules and regulations
thereunder applicable to a national securities exchange.\12\
Specifically, the Commission finds that the proposed rule change is
consistent with section 6(b)(5) of the Act,\13\ which requires, among
other things, that the rules of a national securities exchange be
designed to prevent fraudulent and manipulative acts and practices, to
promote just and equitable principles of trade, 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. The Commission believes that the Asian and Cliquet settlement
styles for FLEX Broad-Based Index options may provide investors with
additional trading and hedging tools. The Commission also believes that
CBOE's proposal to allow Asian and Cliquet style settlement for FLEX
Broad-Based Index options may give investors and other market
participants the ability to individually tailor, within specified
limits, certain terms of those options. Further, the Commission
believes that the Exchange's proposal with respect to Asian and Cliquet
style settlement, contract specifications, margin, and other aspects of
the proposed rule are appropriate and consistent with the Act.
---------------------------------------------------------------------------
\12\ In approving this proposed rule change, the Commission has
considered the proposed rule's impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
\13\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
The Exchange has represented that the launch of Asian and Cliquet
style settlement would be permitted subject to the Commission's
approval of an Options Clearing Corporation (``OCC'') rule filing to
make risk model changes necessary to accommodate the clearance and
settlement of the proposed options. The Exchange will issue a circular
to Trading Permit Holders to announce a specific launch date for the
proposed options.
The Commission notes that the Exchange would use the same
surveillance procedures currently utilized for the Exchange's other
FLEX Broad-Based Index options to monitor trading in those options with
Asian and Cliquet style settlement. The Exchange has represented that
these surveillance procedures shall be adequate to monitor trading in
options on these option products. The Exchange has also stated that for
surveillance purposes, the Exchange will have complete access to
information regarding trading activity in the pertinent underlying
securities.
IV. Solicitation of Comments on Amendment No. 1 to the Proposed Rule
Change
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether Amendment No. 1
to 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-2015-044 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-2015-044. 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
[[Page 42156]]
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 filing also will be available for inspection and copying at the
principal office of the CBOE. 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-2015-044 and should be submitted on or before
August 6, 2015.
V. Accelerated Approval of Proposed Rule Change, as Modified by
Amendment No. 1
The Commission finds good cause to approve the proposed rule
change, as modified by Amendment No. 1, prior to the thirtieth day
after the date of publication of notice of the amendment in the Federal
Register. Amendment No. 1 modifies the proposed rule change by removing
proposed amendments to the strategy-based customer margin requirements
in CBOE Rule 12.3 and removing references to portfolio margining. The
Commission believes that the removal of the proposed margin
requirements for Asian and Cliquet FLEX Broad-Based Index options, set
forth in Amendment No. 1, simply clarify that the Exchange would apply
the existing strategy-based customer margin requirements for broad-
based index options to Asian and Cliquet options. In addition, the
Commission notes that the Exchange has represented that it will monitor
trading in the proposed products and would continue to evaluate the
strategy-based customer margin levels.\14\ Accordingly, the Commission
finds good cause, pursuant to section 19(b)(2) of the Act,\15\ to
approve the proposed rule change, as modified by Amendment No. 1, on an
accelerated basis.
---------------------------------------------------------------------------
\14\ See Amendment No. 1.
\15\ 15 U.S.C. 78s(b)(2).
---------------------------------------------------------------------------
VI. Conclusion
It is therefore ordered, pursuant to section 19(b)(2) of the
Act,\16\ that the proposed rule change (SR-CBOE-2015-044), as modified
by Amendment No. 1, be, and it hereby is, approved on an accelerated
basis.
---------------------------------------------------------------------------
\16\ 15 U.S.C. 78s(b)(2).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\17\
---------------------------------------------------------------------------
\17\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Jill M. Peterson,
Assistant Secretary.
[FR Doc. 2015-17398 Filed 7-15-15; 8:45 am]
BILLING CODE 8011-01-P
