Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Approving a Proposed Rule Change To Expand the Nonstandard Expirations Pilot Program To Include Monday Expirations, 54643-54645 [2016-19441]
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Federal Register / Vol. 81, No. 158 / Tuesday, August 16, 2016 / Notices
alternatives offer them better value. The
Exchange does not believe that the
proposed additional tier would burden
competition, but instead, enhances
competition, as it is intended to increase
the competitiveness of and draw
additional volume to the Exchange. The
Exchange does not believe the amended
tier would burden intramarket
competition as it would apply to all
Members uniformly. Accordingly, the
Exchange does not believe that the
proposed change will impair the ability
of Members or competing venues to
maintain their competitive standing in
the financial markets.
With regard to the proposed logical
port fee amendment, the Exchange
believes that fees for connectivity are
constrained by the robust competition
for order flow among exchanges and
non-exchange markets. Further,
excessive fees for connectivity,
including logical port fees, would serve
to impair an exchange’s ability to
compete for order flow rather than
burdening competition. The Exchange
also does not believe the proposed rule
change would impact intramarket
competition as it would apply to all
Members and non-Members equally.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
The Exchange has not solicited, and
does not intend to solicit, comments on
this proposed rule change. The
Exchange has not received any
unsolicited written comments from
Members or other interested parties.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
asabaliauskas on DSK3SPTVN1PROD with NOTICES
The foregoing rule change has become
effective pursuant to Section 19(b)(3)(A)
of the Act 21 and paragraph (f) of Rule
19b–4 thereunder.22 At any time within
60 days of the filing of the proposed rule
change, the Commission summarily may
temporarily suspend such rule change if
it appears to the Commission that such
action is necessary or appropriate in the
public interest, for the protection of
investors, or otherwise in furtherance of
the purposes of the Act.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
SECURITIES AND EXCHANGE
COMMISSION
Electronic Comments
[Release No. 34–78531; File No. SR–CBOE–
2016–046]
• 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–
BatsEDGX–2016–42 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–BatsEDGX–2016–42. This
file number should be included on the
subject line if email is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for Web site viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE.,
Washington, DC 20549, on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of the
filing also will be available for
inspection and copying at the principal
office of the Exchange. All comments
received will be posted without change;
the Commission does not edit personal
identifying information from
submissions. You should submit only
information that you wish to make
available publicly. All submissions
should refer to File Number SR–
BatsEDGX–2016–42, and should be
submitted on or before September 6,
2016.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.23
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016–19444 Filed 8–15–16; 8:45 am]
BILLING CODE 8011–01–P
U.S.C. 78s(b)(3)(A).
22 17 CFR 240.19b–4(f).
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Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Order Approving a
Proposed Rule Change To Expand the
Nonstandard Expirations Pilot
Program To Include Monday
Expirations
August 10, 2016.
I. Introduction
On June 14, 2016, Chicago Board
Options Exchange, Incorporated
(‘‘CBOE’’ or ‘‘Exchange’’) 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
expand the End of Week/End of Month
Pilot Program to permit P.M.-settled
options on broad-based indexes to
expire on any Monday of the month.
The proposed rule change was
published for comment in the Federal
Register on June 28, 2016.3 The
Commission received no comments on
the proposal. This order approves the
proposed rule change.
II. Description of the Proposal
CBOE proposes to expand its existing
Nonstandard Expirations Pilot Program
(the ‘‘Pilot’’).4 Under the terms of the
current Pilot, the Exchange is permitted
to list P.M.-settled options on broadbased indexes to expire on (a) any
Friday of the month, other than the
third Friday-of-the-month (‘‘EOW’’), (b)
the last trading day of the month
(‘‘EOM’’), and (c) any Wednesday of the
month, other than a Wednesday that
coincides with an EOM (‘‘WED’’).5
Under the proposal, the Exchange will
expand the Pilot to permit P.M.-settled
options on broad-based indexes to
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 See Securities Exchange Act Release No. 78132
(June 22, 2016), 81 FR 42018 (June 28, 2016)
(‘‘Notice’’).
4 See Securities Exchange Act Release No. 62911
(September 14, 2010), 75 FR 57539 (September 21,
2010) (order approving SR–CBOE–2009–075)
(‘‘Pilot Approval Order’’). See also Securities
Exchange Act Release No. 76909 (January 14, 2016),
81 FR 3512 (January 21, 2016) (SR–CBOE–2015–
106) (order approving an expansion and extension
of the Pilot) (‘‘WED Approval Order’’). The Pilot is
currently set to expire on May 3, 2017. See id.
5 EOWs, EOMs, and WEDs are permitted on any
broad-based index that is eligible for regular options
trading. EOWs, EOMs, and WEDs are cash-settled
expirations with European-style exercise, and are
subject to the same rules that govern the trading of
standard index options. See CBOE Rule 24.9(e).
2 17
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Federal Register / Vol. 81, No. 158 / Tuesday, August 16, 2016 / Notices
expire on any Monday of the month
other than Mondays that coincide with
an EOM (‘‘Monday Expirations’’). The
Exchange also proposes to reorganize
the rules relating to existing EOW and
WED expirations together with the
proposed Monday Expirations into a
new category called ‘‘Weekly
Expirations.’’ 6
A. Monday Expirations
The Exchange’s proposed rule change
will allow it to open for trading Monday
Expirations on any broad-based index
eligible for standard options trading to
expire on any Monday of the month,
other than a Monday that is EOM.7
Monday Expirations will be treated the
same as options on the same underlying
index that expire on the third Friday of
the expiration month, except that they
will be P.M.-settled,8 and will be subject
to the same rules that currently govern
the trading of traditional index options,
including sales practice rules, margin
requirements, and floor trading
procedures.9 In addition, Monday
Expirations on the same broad-based
index will be aggregated with option
contracts on the same broad-based index
for position limits, if any, and any
applicable reporting and other
requirements.10 Contract terms for
Monday Expirations will be similar to
the current EOWs and WEDs, as
described below.11
asabaliauskas on DSK3SPTVN1PROD with NOTICES
B. Weekly Expirations
The proposal would eliminate the
designations ‘‘EOW’’ and ‘‘WED’’ but
preserve the existing concepts of EOWs
and WEDs by combining them with the
proposed Monday Expirations into a
new category, Weekly Expirations. The
maximum number of expirations that
may be listed for Weekly Expirations
(including the proposed Monday
Expirations) is the same as the
maximum number of expirations
permitted in CBOE Rule 24.9(a)(2) for
standard options on the same broadbased index, and CBOE proposes that
other expirations in the same class will
not be counted as part of the maximum
number of Weekly Expirations
expirations for a particular broad-based
index class.12 Other than expirations
that coincide with an EOM expiration,
CBOE’s proposed rule will require that
6 The Exchange also proposes conforming
changes to CBOE Rule 24.9(e)(2), which the
Exchange represents are non-substantive in nature.
See Notice, supra note 3, at n. 6.
7 See proposed CBOE Rule 24.9(e)(1).
8 See id.
9 See Notice, supra note 3, at 42019.
10 See proposed CBOE Rule 24.4(b).
11 See Notice, supra note 3, at 42019.
12 See proposed CBOE Rule 24.9(e)(1).
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Weekly Expirations (including the
proposed Monday Expirations) expire
on consecutive Mondays, Wednesdays,
or Fridays, as applicable.13 Further, a
new group of Weekly Expirations
(including the proposed Monday
Expirations) that are first listed in a
given class may begin with an initial
expiration up to four weeks from the
date that CBOE first lists the group.14
With respect to listing, if the last
trading day of a month falls on a day on
which the exchange would normally list
an EOM and a Weekly Expiration
(including the proposed Monday
Expirations), the Exchange will list an
EOM and not a Weekly Expiration.15
Finally, the exchange proposes to
address the expiration of Weekly
Expirations on days that the Exchange is
not open for business: If the exchange is
not open for business on a respective
Monday, the normally Monday-expiring
Weekly Expirations will expire on the
following business day. If the Exchange
is not open for business on a respective
Wednesday or Friday, the normally
Wednesday- or Friday-expiring Weekly
Expirations will expire on the previous
business day.16
C. Annual Pilot Program Report
The Exchange has previously
undertaken to submit a Pilot report to
the Commission at least two months
prior to the expiration date of the Pilot
(the ‘‘Annual Report’’). The Exchange
represents that it will expand the
Annual Report to provide the same data
and analysis related to the proposed
Monday Expirations (encompassed by
the proposed Weekly Expirations
category) as is currently provided for
EOW, EOM, and WED expirations.17
III. Discussion and Commission
Findings
After careful review, 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 and, in particular,
with Section 6(b) of the Act.18 In
particular, the Commission finds that
the proposed rule change is consistent
with Section 6(b)(5) of the Act,19 which
requires, among other things, that a
national securities exchange have rules
13 See
id.
id.
15 See id.
16 See id.
17 See Notice, supra note 3, at 42020–21.
18 15 U.S.C. 78f(b). 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).
19 15 U.S.C. 78f(b)(5).
14 See
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designed to prevent fraudulent and
manipulative acts and practices, to
promote just and equitable principles of
trade, to foster cooperation and
coordination with persons engaged in
regulating, clearing, settling, processing
information with respect to, and
facilitating transactions in securities, 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 has had concerns
about the adverse effects and impact of
P.M. settlement upon market volatility
and the operation of fair and orderly
markets on the underlying cash market
at or near the close of trading. Only in
limited instances has the Commission
previously approved P.M. settlement for
cash-settled options. In addition to
approving the original Pilot 20 and
expanding it to include WEDs,21 in
1993, the Commission approved CBOE’s
listing of P.M.-settled, cash-settled
options on certain broad-based indexes
expiring on the first business day of the
month following the end of each
calendar quarter.22 In 2010, the
Commission approved CBOE’s listing of
P.M.-settled FLEX options on a pilot
basis.23 The Commission also approved
the listing of P.M.-settled SPX index
options on a pilot basis.24
The Commission believes that it is
appropriate to approve the Monday
Expirations proposal (as encompassed
by the proposed Weekly Expirations
category) on a pilot basis in order to
allow the Exchange to gain experience
with the new Monday Expirations and
collect data concerning Monday
20 See
Pilot Approval Order, supra note 4.
WED Approval Order, supra note 4.
22 See Securities Exchange Act Release No. 31800
(February 1, 1993), 58 FR 7274 (February 5, 1993)
(SR–CBOE–92–13). In 2006, CBOE implemented, on
a pilot basis, listing of P.M.-settled index options
expiring on the last business day of a calendar
quarter. See Securities Exchange Act Release No.
54123 (July 11, 2006), 71 FR 40558 (July 17, 2006)
(SR–CBOE–2006–65).
23 See Securities Exchange Act Release No. 61439
(January 28, 2010), 75 FR 5831 (February 4, 2010)
(SR–CBOE–2009–087).
24 The Commission initially approved P.M.settled SPX index options (‘‘SPXPM’’) on a 14month pilot basis (the ‘‘SPXPM Pilot’’) on C2
Options Exchange, Incorporated (‘‘C2’’). See
Securities Exchange Act Release No. 65256
(September 2, 2011), 76 FR 55969 (September 9,
2011) (SR–C2–2011–008). The SPXPM Pilot was
subsequently transferred from C2 to CBOE and reset
to a new 12-month pilot period. See Securities
Exchange Act Release No. 68888 (February 8, 2013),
78 FR 10668 (February 14, 2013) (SR–CBOE–2012–
120). In 2013, the Commission approved the
addition of P.M.-settled mini-SPX index options to
the SPXPM Pilot and the pilot’s extension. See
Securities Exchange Act Release No. 70087 (July 31,
2013), 78 FR 47809 (August 6, 2013) (SR–CBOE–
2013–055).
21 See
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Federal Register / Vol. 81, No. 158 / Tuesday, August 16, 2016 / Notices
Expirations. The addition of Monday
Expirations would offer additional
investment options to investors and may
be useful for their investment or
hedging objectives, including the ability
to hedge over-the-weekend risk. The
Commission believes that the proposal
strikes a reasonable balance between the
Exchange’s desire to offer a wider array
of investment opportunities and the
need to avoid unnecessary proliferation
of options series that may burden some
liquidity providers and further stress
options quotation and transaction
infrastructure. Further, including the
new Monday Expirations in the Pilot
should allow for both the Exchange and
the Commission to continue monitoring
the potential for adverse market effects
of P.M. settlement on the market,
including the underlying cash equities
markets at the expiration of these
options.
The Commission notes that CBOE will
provide the Commission with the
Annual Report analyzing volume and
open interest of EOMs and Weekly
Expirations (including the proposed
Monday Expirations), which will also
contain information and analysis of
EOMs and Weekly Expirations trading
patterns and index price volatility and
share trading activity for series that
exceed minimum parameters. This
information should be useful to the
Commission as it evaluates whether
allowing P.M. settlement for EOMs and
Weekly Expirations has resulted in
increased market and price volatility in
the underlying component stocks,
particularly at expiration. The Pilot
information should help the
Commission and CBOE assess the
impact on the markets and determine
whether changes to these programs are
necessary or appropriate. Furthermore,
the Exchange’s ongoing analysis of the
Pilot should help it monitor any
potential risks from large P.M.-settled
positions and take appropriate action if
warranted.
IV. Conclusion
asabaliauskas on DSK3SPTVN1PROD with NOTICES
It is Therefore Ordered, pursuant to
Section 19(b)(2) of the Act,25 that the
proposed rule change (SR–CBOE–2016–
046) be, and it hereby is, approved.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.26
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016–19441 Filed 8–15–16; 8:45 am]
BILLING CODE 8011–01–P
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26 17
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SMALL BUSINESS ADMINISTRATION
SMALL BUSINESS ADMINISTRATION
Meeting of the Advisory Committee on
Veterans Business Affairs
Meeting of the Interagency Task Force
on Veterans Small Business
Development
U.S. Small Business
Administration
AGENCY:
Notice of open Federal Advisory
Committee meeting.
ACTION:
The SBA is issuing this notice
to announce the loation, date, time and
agenda for the next meeting of the
Advisory Committee on Veterans
Business Affairs. The meeting will be
open to the public.
SUMMARY:
Wednesday, September 16, 2016,
from 9:00 a.m. to 4:00 p.m.
DATES:
U.S. Small Business
Administration, 409 3rd Street SW.,
Washington, DC 20416, Eisenhower
Conference room, side B, located on the
concourse level.
ADDRESSES:
Pursuant
to section 10(a)(2) of the Federal
Advisory Committee Act (5 U.S.C.,
Appendix 2), SBA announces the
meeting of the Advisory Committee on
Veterans Business Affairs (ACVBA). The
ACVBA serves as an independent
source of advice and policy
recommendation to the Administrator of
the U.S. Small Business Administration.
The purpose of this meeting is to
discuss the formation and growth of
small business concerns owned and
controlled by veterans and service
disable-veterans and to focus on
strategic planning and provide updates
on past and current events.
Additional Information: This meeting
is open to the public. Advance notice of
attendance is requested. Anyone
wishing to attend and/or make
comments to the Advisory Committee
contact the Office of Veterans Business
Development no later than September 9,
2016 at vetstaskforce@sba.gov.
Comments will be limited to five
minutes in the interest of time and to
accommodate as many participants as
possible. Written comments should also
be sent to the above email no later than
September 9, 2016. Special
accomodations requests should also be
directed to the Office of Veterans
Business Development at (202) 205–
6773 or above email. For more
information on veteran owned small
business programs, please visit
www.sba.gov/vets.
SUPPLEMENTARY INFORMATION:
Dated: August 2, 2016.
Miguel J. L’Heureux,
SBA Committee Management Officer.
BILLING CODE 8025–01–P
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U.S. Small Business
Administration
ACTION: Notice of open Federal
Interagency Task Force Meeting.
AGENCY:
[FR Doc. 2016–19488 Filed 8–15–16; 8:45 am]
U.S.C. 78s(b)(2).
CFR 200.30–3(a)(12).
54645
The SBA is issuing this notice
to announce the loation, date, time and
agenda for the next meeting of the
Interagency Task Force on Veterans
Small Business Development. The
meeting will be open to the public.
DATES: Date and Time: Thursday,
September 15, 2016, from 9:00 a.m. to
12:00 noon.
ADDRESSES: U.S. Small Business
Administration, 409 3rd Street SW.,
Washington, DC 20416.
Where: Eisenhower Conference room,
side b, located on the Concourse level.
SUPPLEMENTARY INFORMATION: Pursuant
to section 10(a)(2) of the Federal
Advisory Committee Act (5 U.S.C.,
Appendix 2), SBA announces the
meeting of the Interagency Task Force
on Veterans Small Business
Development. The Task Force is
established pursuant to Executive Order
13540 and focused on coordinating and
pre-established Federal contracting
goals for small business concers owned
and controlled by veterans and servicedisabled veterans. Moreover, the Task
Force shall coordinate administrative
and regulatory activities and develop
proposals relating to ‘‘six focus areas’’:
(1) Access to capital (loans, surety
bonding and franchising); (2) Ensure
achievement of pre-established
contracting goals, including mentor
´ ´
protege and matching with contracting
opportunities; (3) Increase the integrity
of certifications of status as a small
business; (4) Reducing paperwork and
administrative burdens in accessing
business development and
entrepreneurship opportunities; (5)
Increasing and improving training and
counseling services; and (6) Making
other improvements to support veteran
business development by the Federal
government.
Additional Information: This meeting
is open to the public. Advance notice of
attendance is requested. Anyone
wishing to attend and/or make
comments to the Task Force must
contact the Office of Veterans Business
Development no later than September 9,
2016 at vetstaskforce@sba.gov.
Comments for the record should be
applicable to the ‘‘six focus areas’’ of the
Task Force and will be limited to five
minutes in the interest of time and to
SUMMARY:
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]]>Agencies
[Federal Register Volume 81, Number 158 (Tuesday, August 16, 2016)]
[Notices]
[Pages 54643-54645]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-19441]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-78531; File No. SR-CBOE-2016-046]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Order Approving a Proposed Rule Change To Expand the
Nonstandard Expirations Pilot Program To Include Monday Expirations
August 10, 2016.
I. Introduction
On June 14, 2016, Chicago Board Options Exchange, Incorporated
(``CBOE'' or ``Exchange'') 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 expand the End of Week/End of
Month Pilot Program to permit P.M.-settled options on broad-based
indexes to expire on any Monday of the month. The proposed rule change
was published for comment in the Federal Register on June 28, 2016.\3\
The Commission received no comments on the proposal. This order
approves 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. 78132 (June 22,
2016), 81 FR 42018 (June 28, 2016) (``Notice'').
---------------------------------------------------------------------------
II. Description of the Proposal
CBOE proposes to expand its existing Nonstandard Expirations Pilot
Program (the ``Pilot'').\4\ Under the terms of the current Pilot, the
Exchange is permitted to list P.M.-settled options on broad-based
indexes to expire on (a) any Friday of the month, other than the third
Friday-of-the-month (``EOW''), (b) the last trading day of the month
(``EOM''), and (c) any Wednesday of the month, other than a Wednesday
that coincides with an EOM (``WED'').\5\ Under the proposal, the
Exchange will expand the Pilot to permit P.M.-settled options on broad-
based indexes to
[[Page 54644]]
expire on any Monday of the month other than Mondays that coincide with
an EOM (``Monday Expirations''). The Exchange also proposes to
reorganize the rules relating to existing EOW and WED expirations
together with the proposed Monday Expirations into a new category
called ``Weekly Expirations.'' \6\
---------------------------------------------------------------------------
\4\ See Securities Exchange Act Release No. 62911 (September 14,
2010), 75 FR 57539 (September 21, 2010) (order approving SR-CBOE-
2009-075) (``Pilot Approval Order''). See also Securities Exchange
Act Release No. 76909 (January 14, 2016), 81 FR 3512 (January 21,
2016) (SR-CBOE-2015-106) (order approving an expansion and extension
of the Pilot) (``WED Approval Order''). The Pilot is currently set
to expire on May 3, 2017. See id.
\5\ EOWs, EOMs, and WEDs are permitted on any broad-based index
that is eligible for regular options trading. EOWs, EOMs, and WEDs
are cash-settled expirations with European-style exercise, and are
subject to the same rules that govern the trading of standard index
options. See CBOE Rule 24.9(e).
\6\ The Exchange also proposes conforming changes to CBOE Rule
24.9(e)(2), which the Exchange represents are non-substantive in
nature. See Notice, supra note 3, at n. 6.
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A. Monday Expirations
The Exchange's proposed rule change will allow it to open for
trading Monday Expirations on any broad-based index eligible for
standard options trading to expire on any Monday of the month, other
than a Monday that is EOM.\7\ Monday Expirations will be treated the
same as options on the same underlying index that expire on the third
Friday of the expiration month, except that they will be P.M.-
settled,\8\ and will be subject to the same rules that currently govern
the trading of traditional index options, including sales practice
rules, margin requirements, and floor trading procedures.\9\ In
addition, Monday Expirations on the same broad-based index will be
aggregated with option contracts on the same broad-based index for
position limits, if any, and any applicable reporting and other
requirements.\10\ Contract terms for Monday Expirations will be similar
to the current EOWs and WEDs, as described below.\11\
---------------------------------------------------------------------------
\7\ See proposed CBOE Rule 24.9(e)(1).
\8\ See id.
\9\ See Notice, supra note 3, at 42019.
\10\ See proposed CBOE Rule 24.4(b).
\11\ See Notice, supra note 3, at 42019.
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B. Weekly Expirations
The proposal would eliminate the designations ``EOW'' and ``WED''
but preserve the existing concepts of EOWs and WEDs by combining them
with the proposed Monday Expirations into a new category, Weekly
Expirations. The maximum number of expirations that may be listed for
Weekly Expirations (including the proposed Monday Expirations) is the
same as the maximum number of expirations permitted in CBOE Rule
24.9(a)(2) for standard options on the same broad-based index, and CBOE
proposes that other expirations in the same class will not be counted
as part of the maximum number of Weekly Expirations expirations for a
particular broad-based index class.\12\ Other than expirations that
coincide with an EOM expiration, CBOE's proposed rule will require that
Weekly Expirations (including the proposed Monday Expirations) expire
on consecutive Mondays, Wednesdays, or Fridays, as applicable.\13\
Further, a new group of Weekly Expirations (including the proposed
Monday Expirations) that are first listed in a given class may begin
with an initial expiration up to four weeks from the date that CBOE
first lists the group.\14\
---------------------------------------------------------------------------
\12\ See proposed CBOE Rule 24.9(e)(1).
\13\ See id.
\14\ See id.
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With respect to listing, if the last trading day of a month falls
on a day on which the exchange would normally list an EOM and a Weekly
Expiration (including the proposed Monday Expirations), the Exchange
will list an EOM and not a Weekly Expiration.\15\
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\15\ See id.
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Finally, the exchange proposes to address the expiration of Weekly
Expirations on days that the Exchange is not open for business: If the
exchange is not open for business on a respective Monday, the normally
Monday-expiring Weekly Expirations will expire on the following
business day. If the Exchange is not open for business on a respective
Wednesday or Friday, the normally Wednesday- or Friday-expiring Weekly
Expirations will expire on the previous business day.\16\
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\16\ See id.
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C. Annual Pilot Program Report
The Exchange has previously undertaken to submit a Pilot report to
the Commission at least two months prior to the expiration date of the
Pilot (the ``Annual Report''). The Exchange represents that it will
expand the Annual Report to provide the same data and analysis related
to the proposed Monday Expirations (encompassed by the proposed Weekly
Expirations category) as is currently provided for EOW, EOM, and WED
expirations.\17\
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\17\ See Notice, supra note 3, at 42020-21.
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III. Discussion and Commission Findings
After careful review, 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
and, in particular, with Section 6(b) of the Act.\18\ In particular,
the Commission finds that the proposed rule change is consistent with
Section 6(b)(5) of the Act,\19\ which requires, among other things,
that a national securities exchange have rules designed to prevent
fraudulent and manipulative acts and practices, to promote just and
equitable principles of trade, to foster cooperation and coordination
with persons engaged in regulating, clearing, settling, processing
information with respect to, and facilitating transactions in
securities, 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.
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\18\ 15 U.S.C. 78f(b). 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).
\19\ 15 U.S.C. 78f(b)(5).
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The Commission has had concerns about the adverse effects and
impact of P.M. settlement upon market volatility and the operation of
fair and orderly markets on the underlying cash market at or near the
close of trading. Only in limited instances has the Commission
previously approved P.M. settlement for cash-settled options. In
addition to approving the original Pilot \20\ and expanding it to
include WEDs,\21\ in 1993, the Commission approved CBOE's listing of
P.M.-settled, cash-settled options on certain broad-based indexes
expiring on the first business day of the month following the end of
each calendar quarter.\22\ In 2010, the Commission approved CBOE's
listing of P.M.-settled FLEX options on a pilot basis.\23\ The
Commission also approved the listing of P.M.-settled SPX index options
on a pilot basis.\24\
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\20\ See Pilot Approval Order, supra note 4.
\21\ See WED Approval Order, supra note 4.
\22\ See Securities Exchange Act Release No. 31800 (February 1,
1993), 58 FR 7274 (February 5, 1993) (SR-CBOE-92-13). In 2006, CBOE
implemented, on a pilot basis, listing of P.M.-settled index options
expiring on the last business day of a calendar quarter. See
Securities Exchange Act Release No. 54123 (July 11, 2006), 71 FR
40558 (July 17, 2006) (SR-CBOE-2006-65).
\23\ See Securities Exchange Act Release No. 61439 (January 28,
2010), 75 FR 5831 (February 4, 2010) (SR-CBOE-2009-087).
\24\ The Commission initially approved P.M.-settled SPX index
options (``SPXPM'') on a 14-month pilot basis (the ``SPXPM Pilot'')
on C2 Options Exchange, Incorporated (``C2''). See Securities
Exchange Act Release No. 65256 (September 2, 2011), 76 FR 55969
(September 9, 2011) (SR-C2-2011-008). The SPXPM Pilot was
subsequently transferred from C2 to CBOE and reset to a new 12-month
pilot period. See Securities Exchange Act Release No. 68888
(February 8, 2013), 78 FR 10668 (February 14, 2013) (SR-CBOE-2012-
120). In 2013, the Commission approved the addition of P.M.-settled
mini-SPX index options to the SPXPM Pilot and the pilot's extension.
See Securities Exchange Act Release No. 70087 (July 31, 2013), 78 FR
47809 (August 6, 2013) (SR-CBOE-2013-055).
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The Commission believes that it is appropriate to approve the
Monday Expirations proposal (as encompassed by the proposed Weekly
Expirations category) on a pilot basis in order to allow the Exchange
to gain experience with the new Monday Expirations and collect data
concerning Monday
[[Page 54645]]
Expirations. The addition of Monday Expirations would offer additional
investment options to investors and may be useful for their investment
or hedging objectives, including the ability to hedge over-the-weekend
risk. The Commission believes that the proposal strikes a reasonable
balance between the Exchange's desire to offer a wider array of
investment opportunities and the need to avoid unnecessary
proliferation of options series that may burden some liquidity
providers and further stress options quotation and transaction
infrastructure. Further, including the new Monday Expirations in the
Pilot should allow for both the Exchange and the Commission to continue
monitoring the potential for adverse market effects of P.M. settlement
on the market, including the underlying cash equities markets at the
expiration of these options.
The Commission notes that CBOE will provide the Commission with the
Annual Report analyzing volume and open interest of EOMs and Weekly
Expirations (including the proposed Monday Expirations), which will
also contain information and analysis of EOMs and Weekly Expirations
trading patterns and index price volatility and share trading activity
for series that exceed minimum parameters. This information should be
useful to the Commission as it evaluates whether allowing P.M.
settlement for EOMs and Weekly Expirations has resulted in increased
market and price volatility in the underlying component stocks,
particularly at expiration. The Pilot information should help the
Commission and CBOE assess the impact on the markets and determine
whether changes to these programs are necessary or appropriate.
Furthermore, the Exchange's ongoing analysis of the Pilot should help
it monitor any potential risks from large P.M.-settled positions and
take appropriate action if warranted.
IV. Conclusion
It is Therefore Ordered, pursuant to Section 19(b)(2) of the
Act,\25\ that the proposed rule change (SR-CBOE-2016-046) be, and it
hereby is, approved.
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\25\ 15 U.S.C. 78s(b)(2).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\26\
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\26\ 17 CFR 200.30-3(a)(12).
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Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-19441 Filed 8-15-16; 8:45 am]
BILLING CODE 8011-01-P
