Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Granting Approval of Proposed Rule Change To Expire CBOE Volatility Index Options Every Week, 44403-44405 [2015-18274]

Download as PDF 44403 Federal Register / Vol. 80, No. 143 / Monday, July 27, 2015 / Notices AA–21, Application for Lump-Sum Death Payment and Annuities Unpaid at Death; AA–21cert, Application Summary and Certification; G–131, Authorization of Payment and Release of All Claims to a Death Benefit or Accrued Annuity Payment; and G–273a, Funeral Director’s Statement of Burial Charges. One response is requested of each respondent. Completion is required to obtain benefits. The RRB proposes the following changes to the forms in the information collection: • Form AA–21—Add clarifying language to better define who qualifies for a child’s annuity and other minor editorial changes; • Form G–273a—Add clarifying language to Item 2, regarding the total amount of charges the funeral home should enter; and what the funeral home should list as types of payments received or expected to be received to Item 3. • Form G–131—For clarity, add an Instructions section and space for the RRB to enter the applicant’s name and the waived share amount. • Form AA–11a—Remove from the information collection due to less than 10 responses a year. ESTIMATE OF ANNUAL RESPONDENT BURDEN Annual responses Form No. Time (minutes) Burden (hours) AA–21cert (with assistance) ........................................................................................................ AA–21 (without assistance) ......................................................................................................... G–131 .......................................................................................................................................... G–273a ........................................................................................................................................ 3,500 200 100 4,000 20 40 5 10 1,167 133 8 667 Total ...................................................................................................................................... 7,800 ........................ 1,975 Additional Information or Comments: To request more information or to obtain a copy of the information collection justification, forms, and/or supporting material, contact Dana Hickman at (312) 751–4981 or Dana.Hickman@RRB.GOV. Comments regarding the information collection should be addressed to Charles Mierzwa, Railroad Retirement Board, 844 North Rush Street, Chicago, Illinois 60611–2092 or emailed to Charles.Mierzwa@RRB.GOV. Written comments should be received within 60 days of this notice. Charles Mierzwa, Chief of Information Resources Management. [FR Doc. 2015–18314 Filed 7–24–15; 8:45 am] BILLING CODE 7905–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–75501; File No. SR–CBOE– 2015–050] Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Granting Approval of Proposed Rule Change To Expire CBOE Volatility Index Options Every Week tkelley on DSK3SPTVN1PROD with NOTICES July 21, 2015. I. Introduction On June 1, 2015, Chicago Board Options Exchange, Incorporated (‘‘Exchange’’ or ‘‘CBOE’’) filed with the Securities and Exchange Commission (‘‘Commission’’), pursuant to Section 19(b)(1) of the Securities Exchange Act VerDate Sep<11>2014 18:58 Jul 24, 2015 Jkt 235001 of 1934 (‘‘Act’’) 1 and Rule 19b–4 thereunder,2 a proposed rule change to expire CBOE Volatility Index (‘‘VIX’’) options every week. The proposed rule change was published for comment in the Federal Register on June 12, 2015.3 The Commission received no comments on the proposed rule change. This order grants approval of the proposed rule change. II. Description of the Proposed Rule Change In February 2006, CBOE began trading options that expire monthly on the VIX, which measures a 30-day period of implied volatility. Currently, standard VIX options expire once a month. CBOE now proposes to expire 30-day VIX options every week. According to CBOE, VIX options would continue to trade as they do today and they would be subject to all of the same rules that they are subject to today, except as proposed to be modified by the proposed rule change.4 CBOE notes that, in its capacity as the Reporting Authority, it enhanced the VIX Index (cash/spot value) to include P.M.-settled S&P 500 Index End-ofWeek expirations (‘‘SPXWs’’) in 2014.5 According to CBOE, the inclusion of SPXWs allows the VIX Index to be U.S.C. 78s(b)(1). CFR 240.19b–4. 3 See Securities Exchange Act Release No. 75120 (June 8, 2015), 80 FR 33574 (‘‘Notice’’). 4 See Notice, supra note 3, at 33574. 5 See Notice, supra note 3, at 33574–75. CBOE notes that 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. See id. at 33575, n.5. PO 00000 1 15 2 17 Frm 00081 Fmt 4703 Sfmt 4703 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. CBOE further states that 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 two points along the S&P 500 Index volatility term structure.6 The last trading day for expiring standard 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. According to CBOE, 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.7 CBOE (as the Reporting Authority for VIX options) calculates the exercise settlement value for expiring VIX options on their expiration date.8 6 See Notice, supra note 3, at 33574–75. See also the VIX White Paper available at https:// www.cboe.com/micro/vix/vixwhite.pdf for a detailed description about the VIX Index methodology. 7 See Notice, supra note 3, at 33575. If the Friday in the subsequent month is an Exchange holiday this standard Wednesday VIX option expiration is changed to be the business day that is thirty days prior to the Exchange business day immediately preceding that Friday. See id. 8 See CBOE Rule 24.9(a)(5) (setting forth the method of determining the day on which the exercise settlement value will be calculated for VIX options and determining the expiration date and last trading day for VIX options). See also Notice, supra note 3, at 33575. E:\FR\FM\27JYN1.SGM 27JYN1 44404 Federal Register / Vol. 80, No. 143 / Monday, July 27, 2015 / Notices tkelley on DSK3SPTVN1PROD with NOTICES The Exchange now proposes to expire VIX options each Wednesday.9 According to CBOE, the new VIX expirations would be series of the existing VIX option class. Similar to the CBOE Short-Term Volatility Index (‘‘VXST’’),10 however, different types of SPX options would be used to calculate and settle VIX options. Specifically, CBOE states that, 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 weekly 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.11 In order to allow for the weekly expiration of 30-day VIX options, CBOE is also proposing to amend its rules relating to volatility index options in several ways. CBOE proposes to add new language relating to VIX options specifying that the exercise settlement value of a VIX option will 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.12 CBOE notes that 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.13 The Exchange also proposes to add detailed information about the ‘‘time to expiration’’ input for VIX options 9 CBOE notes that it is currently 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. See Notice, supra note 3 at 33575, n.8. 10 CBOE introduced weekly expiring options on the VXST, which measures a nine-day implied volatility period, in 2014. See Securities Exchange Act Release No. 71764 (March 21, 2014), 79 FR 17212 (March 27, 2014) (SR–CBOE–2014–003) (Order Granting Approval of Proposed Rule Change to List and Trade CBOE Short-Term Volatility Index Options). 11 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). 12 See Notice, supra note 3, at 33575. 13 See id. VerDate Sep<11>2014 18:58 Jul 24, 2015 Jkt 235001 volatility index options (including standard (monthly) and weekly VIX options) that will be used. Specifically, under the proposal, the ‘‘time to expiration’’ used to calculate the Special Opening Quotation will account for the actual number of days and minutes until expiration for the constituent options series.14 The Exchange also notes that it currently is permitted to list up to 12 standard (monthly) VIX expirations.15 The Exchange proposes to retain 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. According to the Exchange, 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.16 The Exchange notes that currently it may list new series in VIX options up to the fifth business day prior to expiration. The Exchange proposes to amend CBOE Rule 24.9 to permit new series to be added up to and including on the last day of trading for an expiring VIX option contract. The Exchange notes that this listing ability is similar to the series setting schedule for other types of weekly expirations, including VXST options.17 Finally, the Exchange proposes to break out VIX options separately from other volatility index options under new subparagraph (ii) to CBOE Rule 24.9.01(1) and to specify that 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 id. 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. See Notice, supra note 3, at 33576, n.13. 16 See Notice, supra note 3, at 33576 (providing a chart summarizing the maximum listing ability under the proposed rule change). 17 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. PO 00000 14 See 15 The Frm 00082 Fmt 4703 Sfmt 4703 proposed paragraph are already permitted for VIX options.18 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. The Exchange proposes several clarifying changes to the rule titles and various subheadings to reflect the substantive changes the Exchange is proposing. In addition, the Exchange is proposing various clarifying nonsubstantive changes to ensure consistency and parallel structure among various Exchange rules. CBOE represents that it 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. CBOE further notes that 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. 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.19 Specifically, the Commission finds that the proposed rule change is consistent with Section 6(b)(5) of the Act,20 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. Specifically, the Commission believes that expiring VIX options weekly will 18 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. 19 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). 20 15 U.S.C. 78f(b)(5). E:\FR\FM\27JYN1.SGM 27JYN1 Federal Register / Vol. 80, No. 143 / Monday, July 27, 2015 / Notices provide investors with an additional trading and hedging mechanism and may provide investors with additional opportunities to manage 30-day volatility risk each week. The Exchange has represented that it 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 30-day weekly VIX series.21 In approving the proposed weekly expiring VIX options, the Commission has also relied on the Exchange’s representation that it and OPRA have the necessary systems capacity to handle the additional traffic associated with the listing of new series that would result from the weekly expiration of VIX options.22 IV. Conclusion IT IS THEREFORE ORDERED, pursuant to Section 19(b)(2) of the Act,23 that the proposed rule change (SR–CBOE–2015–050) be, and hereby is, approved. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.24 Robert W. Errett, Deputy Secretary. [FR Doc. 2015–18274 Filed 7–24–15; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Investment Company Act Release No. 31721; 812–14413] BPV Capital Management, LLC and BPV Family of Funds; Notice of Application July 21, 2015. Securities and Exchange Commission (‘‘Commission’’). ACTION: Notice of an application under section 6(c) of the Investment Company Act of 1940 (‘‘Act’’) for an exemption from section 15(a) of the Act and rule 18f–2 under the Act, as well as from certain disclosure requirements in rule 20a–1 under the Act, Item 19(a)(3) of Form N–1A, Items 22(c)(1)(ii), 22(c)(1)(iii), 22(c)(8) and 22(c)(9) of Schedule 14A under the Securities Exchange Act of 1934, and Sections 6– 07(2)(a), (b), and (c) of Regulation S–X (‘‘Disclosure Requirements’’). The requested exemption would permit an investment adviser to hire and replace tkelley on DSK3SPTVN1PROD with NOTICES AGENCY: 21 See Notice, supra note 3, at 33577. id. 23 15 U.S.C. 78s(b)(2). 24 17 CFR 200.30–3(a)(12). 22 See VerDate Sep<11>2014 18:58 Jul 24, 2015 Jkt 235001 certain sub-advisers without shareholder approval and grant relief from the Disclosure Requirements as they relate to fees paid to the subadvisers. 44405 Summary of the Application 1. The Adviser will serve as the investment adviser to the Funds pursuant to an investment advisory agreement with the Trust (the ‘‘Advisory Agreement’’).1 The Adviser will provide APPLICANTS: BPV Family of Funds (the ‘‘Trust’’), a Delaware statutory trust the Funds with continuous and registered under the Act as an open-end comprehensive investment management services subject to the supervision of, management investment company with and policies established by, each Fund’s multiple series, and BPV Capital board of trustees (‘‘Board’’). The Management, LLC, a Delaware limited Advisory Agreement permits the liability company registered as an Adviser, subject to the approval of the investment adviser under the Board, to delegate to one or more subInvestment Advisers Act of 1940 advisers (each, a ‘‘Sub-Adviser’’ and (‘‘BPV’’ or the ‘‘Adviser,’’ and, collectively with the Trust, the collectively, the ‘‘Sub-Advisers’’) the ‘‘Applicants’’). responsibility to provide the day-to-day DATES: Filing Dates: The application was portfolio investment management of each Fund, subject to the supervision filed January 8, 2015, and amended on and direction of the Adviser. The June 10, 2015. primary responsibility for managing the Hearing or Notification of Hearing: An Funds will remain vested in the order granting the application will be Adviser. The Adviser will hire, issued unless the Commission orders a hearing. Interested persons may request evaluate, allocate assets to and oversee the Sub-Advisers, including a hearing by writing to the determining whether a Sub-Adviser Commission’s Secretary and serving should be terminated, at all times applicants with a copy of the request, subject to the authority of the Board. personally or by mail. Hearing requests 2. Applicants request an exemption to should be received by the Commission permit the Adviser, subject to Board by 5:30 p.m. on August 17, 2015, and approval, to hire certain Sub-Advisers should be accompanied by proof of service on the applicants, in the form of pursuant to Sub-Advisory Agreements an affidavit or, for lawyers, a certificate and materially amend existing Subof service. Pursuant to rule 0–5 under Advisory Agreements without obtaining the Act, hearing requests should state the shareholder approval required under the nature of the writer’s interest, any section 15(a) of the Act and rule 18f–2 facts bearing upon the desirability of a under the Act.2 Applicants also seek an hearing on the matter, the reason for the exemption from the Disclosure request, and the issues contested. Requirements to permit a Fund to Persons who wish to be notified of a disclose (as both a dollar amount and a hearing may request notification by percentage of the Fund’s net assets): (a) writing to the Commission’s Secretary. The aggregate fees paid to the Adviser and any Affiliated Sub-Adviser; and (b) ADDRESSES: Secretary, U.S. Securities and Exchange Commission, 100 F Street the aggregate fees paid to Sub-Advisers NE., Washington, DC 20549–1090. other than Affiliated Sub-Advisers Applicants: Michael R. West, BPV (collectively, ‘‘Aggregate Fee Family of Funds, 9202 South Disclosure’’). For any Fund that Northshore Drive, Suite 300, Knoxville, employs an Affiliated Sub-Adviser, the TN 37922; and Jeffrey T. Skinner, Esq., Fund will provide separate disclosure of Kirkpatrick, Townsend & Stockton LLP, 1 Applicants request relief with respect to any 1001 W. Fourth Street, Winston-Salem, existing and any future series of the Trust and any NC 27101. other registered open-end management company or FOR FURTHER INFORMATION CONTACT: series thereof that: (a) Is advised by BPV or its Emerson S. Davis, Senior Counsel, at successor or by a person controlling, controlled by, (202) 551–6868, or Daniele Marchesani, or under common control with BPV or its successor (each, also an ‘‘Adviser’’); (b) uses the manager of Branch Chief, at (202) 551–6821 managers structure described in the application; (Division of Investment Management, and (c) complies with the terms and conditions of Chief Counsel’s Office). the application (any such series, a ‘‘Fund’’ and collectively, the ‘‘Funds’’). For purposes of the SUPPLEMENTARY INFORMATION: The requested order, ‘‘successor’’ is limited to an entity following is a summary of the that results from a reorganization into another application. The complete application jurisdiction or a change in the type of business may be obtained via the Commission’s organization. 2 The requested relief will not extend to any SubWeb site by searching for the file Adviser that is an affiliated person, as defined in number, or an applicant using the section 2(a)(3) of the Act, of a Fund or the Adviser, Company name box, at http:// other than by reason of serving as a sub-adviser to www.sec.gov/search/search.htm or by one or more of the Funds (‘‘Affiliated SubAdviser’’). calling (202) 551–8090. PO 00000 Frm 00083 Fmt 4703 Sfmt 4703 E:\FR\FM\27JYN1.SGM 27JYN1

Agencies

[Federal Register Volume 80, Number 143 (Monday, July 27, 2015)]
[Notices]
[Pages 44403-44405]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-18274]


=======================================================================
-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-75501; File No. SR-CBOE-2015-050]


Self-Regulatory Organizations; Chicago Board Options Exchange, 
Incorporated; Order Granting Approval of Proposed Rule Change To Expire 
CBOE Volatility Index Options Every Week

July 21, 2015.

I. Introduction

    On June 1, 2015, Chicago Board Options Exchange, Incorporated 
(``Exchange'' or ``CBOE'') filed with the Securities and Exchange 
Commission (``Commission''), pursuant to Section 19(b)(1) of the 
Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 
thereunder,\2\ a proposed rule change to expire CBOE Volatility Index 
(``VIX'') options every week. The proposed rule change was published 
for comment in the Federal Register on June 12, 2015.\3\ The Commission 
received no comments on the proposed rule change. This order grants 
approval of the proposed rule change.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 75120 (June 8, 
2015), 80 FR 33574 (``Notice'').
---------------------------------------------------------------------------

II. Description of the Proposed Rule Change

    In February 2006, CBOE began trading options that expire monthly on 
the VIX, which measures a 30-day period of implied volatility. 
Currently, standard VIX options expire once a month. CBOE now proposes 
to expire 30-day VIX options every week. According to CBOE, VIX options 
would continue to trade as they do today and they would be subject to 
all of the same rules that they are subject to today, except as 
proposed to be modified by the proposed rule change.\4\
---------------------------------------------------------------------------

    \4\ See Notice, supra note 3, at 33574.
---------------------------------------------------------------------------

    CBOE notes that, in its capacity as the Reporting Authority, it 
enhanced the VIX Index (cash/spot value) to include P.M.-settled S&P 
500 Index End-of-Week expirations (``SPXWs'') in 2014.\5\ According to 
CBOE, 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. 
CBOE further states that 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 two points along the S&P 500 Index 
volatility term structure.\6\
---------------------------------------------------------------------------

    \5\ See Notice, supra note 3, at 33574-75. CBOE notes that 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. See id. at 33575, n.5.
    \6\ See Notice, supra note 3, at 33574-75. See also the VIX 
White Paper available at https://www.cboe.com/micro/vix/vixwhite.pdf 
for a detailed description about the VIX Index methodology.
---------------------------------------------------------------------------

    The last trading day for expiring standard 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. According to CBOE, 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.\7\ CBOE (as the Reporting Authority for VIX 
options) calculates the exercise settlement value for expiring VIX 
options on their expiration date.\8\
---------------------------------------------------------------------------

    \7\ See Notice, supra note 3, at 33575. If the Friday in the 
subsequent month is an Exchange holiday this standard Wednesday VIX 
option expiration is changed to be the business day that is thirty 
days prior to the Exchange business day immediately preceding that 
Friday. See id.
    \8\ See CBOE Rule 24.9(a)(5) (setting forth the method of 
determining the day on which the exercise settlement value will be 
calculated for VIX options and determining the expiration date and 
last trading day for VIX options). See also Notice, supra note 3, at 
33575.

---------------------------------------------------------------------------

[[Page 44404]]

    The Exchange now proposes to expire VIX options each Wednesday.\9\ 
According to CBOE, the new VIX expirations would be series of the 
existing VIX option class. Similar to the CBOE Short-Term Volatility 
Index (``VXST''),\10\ however, different types of SPX options would be 
used to calculate and settle VIX options. Specifically, CBOE states 
that, 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 weekly 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.\11\
---------------------------------------------------------------------------

    \9\ CBOE notes that it is currently 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. See Notice, supra note 3 at 33575, 
n.8.
    \10\ CBOE introduced weekly expiring options on the VXST, which 
measures a nine-day implied volatility period, in 2014. See 
Securities Exchange Act Release No. 71764 (March 21, 2014), 79 FR 
17212 (March 27, 2014) (SR-CBOE-2014-003) (Order Granting Approval 
of Proposed Rule Change to List and Trade CBOE Short-Term Volatility 
Index Options).
    \11\ 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 allow for the weekly expiration of 30-day VIX options, 
CBOE is also proposing to amend its rules relating to volatility index 
options in several ways. CBOE proposes to add new language relating to 
VIX options specifying that the exercise settlement value of a VIX 
option will 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.\12\
---------------------------------------------------------------------------

    \12\ See Notice, supra note 3, at 33575.
---------------------------------------------------------------------------

    CBOE notes that 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.\13\
---------------------------------------------------------------------------

    \13\ See id.
---------------------------------------------------------------------------

    The Exchange also proposes to add detailed information about the 
``time to expiration'' input for VIX options volatility index options 
(including standard (monthly) and weekly VIX options) that will be 
used. Specifically, under the proposal, the ``time to expiration'' used 
to calculate the Special Opening Quotation will account for the actual 
number of days and minutes until expiration for the constituent options 
series.\14\
---------------------------------------------------------------------------

    \14\ See id.
---------------------------------------------------------------------------

    The Exchange also notes that it currently is permitted to list up 
to 12 standard (monthly) VIX expirations.\15\ The Exchange proposes to 
retain 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. According to the Exchange, 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.\16\
---------------------------------------------------------------------------

    \15\ 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. See 
Notice, supra note 3, at 33576, n.13.
    \16\ See Notice, supra note 3, at 33576 (providing a chart 
summarizing the maximum listing ability under the proposed rule 
change).
---------------------------------------------------------------------------

    The Exchange notes that currently it may list new series in VIX 
options up to the fifth business day prior to expiration. The Exchange 
proposes to amend CBOE Rule 24.9 to permit new series to be added up to 
and including on the last day of trading for an expiring VIX option 
contract. The Exchange notes that this listing ability is similar to 
the series setting schedule for other types of weekly expirations, 
including VXST options.\17\
---------------------------------------------------------------------------

    \17\ 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 break out VIX options separately 
from other volatility index options under new subparagraph (ii) to CBOE 
Rule 24.9.01(1) and to specify that 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.\18\ 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.
---------------------------------------------------------------------------

    \18\ 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.
---------------------------------------------------------------------------

    The Exchange proposes several clarifying changes to the rule titles 
and various subheadings to reflect the substantive changes the Exchange 
is proposing. In addition, the Exchange is proposing various clarifying 
non-substantive changes to ensure consistency and parallel structure 
among various Exchange rules.
    CBOE represents that it 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. CBOE further notes that 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.

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.\19\ 
Specifically, the Commission finds that the proposed rule change is 
consistent with Section 6(b)(5) of the Act,\20\ 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. Specifically, the Commission believes that expiring VIX 
options weekly will

[[Page 44405]]

provide investors with an additional trading and hedging mechanism and 
may provide investors with additional opportunities to manage 30-day 
volatility risk each week.
---------------------------------------------------------------------------

    \19\ 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).
    \20\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange has represented that it 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 30-day weekly VIX series.\21\ In approving the proposed weekly 
expiring VIX options, the Commission has also relied on the Exchange's 
representation that it and OPRA have the necessary systems capacity to 
handle the additional traffic associated with the listing of new series 
that would result from the weekly expiration of VIX options.\22\
---------------------------------------------------------------------------

    \21\ See Notice, supra note 3, at 33577.
    \22\ See id.
---------------------------------------------------------------------------

IV. Conclusion

    IT IS THEREFORE ORDERED, pursuant to Section 19(b)(2) of the 
Act,\23\ that the proposed rule change (SR-CBOE-2015-050) be, and 
hereby is, approved.
---------------------------------------------------------------------------

    \23\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\24\
---------------------------------------------------------------------------

    \24\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015-18274 Filed 7-24-15; 8:45 am]
BILLING CODE 8011-01-P