Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of a Proposed Rule Change Related to Rule 24.9(e), 11290-11293 [2017-03302]

Download as PDF 11290 Federal Register / Vol. 82, No. 33 / Tuesday, February 21, 2017 / Notices SECURITIES AND EXCHANGE COMMISSION [Release No. 34–80037; File No. SR–CBOE– 2017–014] Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of a Proposed Rule Change Related to Rule 24.9(e) February 14, 2017. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the ‘‘Act’’),1 and Rule 19b–4 thereunder,2 notice is hereby given that on February 13, 2017, Chicago Board Options Exchange, Incorporated (the ‘‘Exchange’’ or ‘‘CBOE’’) filed with the Securities and Exchange Commission (the ‘‘Commission’’) the proposed rule change as described in Items I, II, and III below, which Items have been prepared by the Exchange. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The Exchange seeks to amend Rule 24.9(e). The text of the proposed rule change is provided below (additions are italicized; deletions are [bracketed]). * * * * * Chicago Board Options Exchange, Incorporated Rules sradovich on DSK3GMQ082PROD with NOTICES * * * * * Rule 24.9. Terms of Index Option Contracts (a)–(d) No change. (e) Nonstandard Expirations Pilot Program (1) Weekly Expirations. The Exchange may open for trading Weekly Expirations on any broad-based index eligible for standard options trading to expire on any Monday, Wednesday, or Friday (other than the third Friday-ofthe-month or days that coincide with an EOM expiration). Weekly Expirations shall be subject to all provisions of this Rule and treated the same as options on the same underlying index that expire on the third Friday of the expiration month; provided, however, that Weekly Expirations shall be P.M.-settled and new series in Weekly Expirations may be added up to and including on the expiration date for an expiring Weekly Expiration. The maximum number of expirations that may be listed for each Weekly 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. VerDate Sep<11>2014 17:15 Feb 17, 2017 Jkt 241001 Expiration (i.e., a Monday expiration, Wednesday expiration, or Friday expiration, as applicable) in a given class is the same as the maximum number of expirations permitted in Rule 24.9 (a)(2) for standard options on the same broad-based index. [Other than expirations that are third Friday-of-themonth or that coincide with an EOM expiration,] Weekly Expirations [shall] need not be for consecutive Monday, Wednesday, or Friday expirations as applicable; however, the expiration date of a non-consecutive expiration may not be beyond what would be considered the last expiration date if the maximum number of expirations were listed consecutively. Weekly Expirations that are first listed in a given class may expire up to four weeks from the actual listing date. If the last trading day of a month is a Monday, Wednesday, or Friday and the Exchange lists EOMs and Weekly Expirations as applicable in a given class, the Exchange will list an EOM instead of a Weekly Expiration in the given class. Other expirations in the same class are not counted as part of the maximum number of Weekly Expirations for a broad-based index class. 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. (2) End of Month (‘‘EOM’’) Expirations. The Exchange may open for trading EOMs on any broad-based index eligible for standard options trading to expire on last trading day of the month. EOMs shall be subject to all provisions of this Rule and treated the same as options on the same underlying index that expire on the third Friday of the expiration month; provided, however, that EOMs shall be P.M.-settled and new series in EOMs may be added up to and including on the expiration date for an expiring EOM. The maximum number of expirations that may be listed for EOMs in a given class is the same as the maximum number of expirations permitted in Rule 24.9 (a)(2) for standard options on the same broad-based index. EOM expirations [shall] need not be for consecutive end of month expirations; however, the expiration date of a nonconsecutive expiration may not be beyond what would be considered the last expiration date if the maximum number of expirations were listed consecutively. EOMs that are first listed in a given class may expire up to four PO 00000 Frm 00120 Fmt 4703 Sfmt 4703 weeks from the actual listing date. Other expirations in the same class are not counted as part of the maximum numbers of EOM expirations for a broad-based index class. (3) Duration of Nonstandard Expirations Pilot Program. The Nonstandard Expirations Pilot Program shall be through May 3, 2017. (4) Weekly Expirations and EOM Trading Hours on the Last Trading Day. On the last trading day, transactions in expiring Weekly Expirations and EOMs may be effected on the Exchange between the hours of 8:30 a.m. (Chicago time) and 3:00 p.m. (Chicago time). * * * * * The text of the proposed rule change is also available on the Exchange’s Web site (http://www.cboe.com/AboutCBOE/ CBOELegalRegulatoryHome.aspx), at the Exchange’s Office of the Secretary, 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 the most significant aspects of such statements. A. Self-Regulatory Organization’s Statement of the Purpose of, and the Statutory Basis for, the Proposed Rule Change 1. Purpose On September 14, 2010, the Commission approved a CBOE proposal to establish a pilot program under which 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 Fridayof-the-month (‘‘EOWs’’), and (b) the last trading day of the month (‘‘EOM’’).3 On January 14, 2016, the Commission approved a CBOE proposal to expand the pilot program to list P.M.-settled options on broad-based indexes that expire on any Wednesday of the month (‘‘WEDs’’) and to rename the End of Week/End of Month Expirations Pilot Program to the Nonstandard Expirations 3 See Securities Exchange Act Release No. 62911 (September 14, 2010), 75 FR 57539 (September 21, 2010) (order approving SR–CBOE–2009–075). E:\FR\FM\21FEN1.SGM 21FEN1 Federal Register / Vol. 82, No. 33 / Tuesday, February 21, 2017 / Notices sradovich on DSK3GMQ082PROD with NOTICES Pilot Program.4 On August 10, 2016, the Commission approved a CBOE proposal to expand the pilot program to list P.M.settled options on broad-based indexes that expire on any Monday of the month (‘‘MONs’’).5 Currently, other than expirations that are third Friday-of-the-month or that coincide with an EOM expiration, Weekly Expirations (i.e., MONs, WEDs, and EOWs) must be for consecutive Monday, Wednesday, or Friday expirations as applicable.6 Similarly, EOM expirations must be for consecutive end of months.7 The purpose of this filing is to eliminate the consecutive expiration restriction for the listing of Weekly Expirations and EOMs. The maximum number of expirations that may be listed for each Weekly Expiration (i.e., a Monday expiration, Wednesday expiration, or Friday expiration, as applicable) and EOM in a given class is the same as the maximum number of expirations permitted in Rule 24.9(a)(2) for standard options on the same broad-based index.8 Thus, for Weekly Expirations and EOM expirations in the SPX options class (which trade under the symbol SPXW), the MONs, WEDs, EOWs, and EOMs each may have 12 expirations (i.e. a total of 48 expirations in all four programs).9 However, the Exchange does not currently exercise its discretion to list all 12 expirations in each Weekly Expiration and EOM program—opting instead to introduce additional expirations as customer demand dictates. Typically, the Exchange lists four MONs, six WEDs, and seven EOWs in SPXW options.10 4 See Securities Exchange Act Release No. 76909 (January 14, 2016), 81 FR 3512 (January 21, 2016) (order approving SR–CBOE–2015–106). 5 See Securities Exchange Act Release No. 78531 (August 10, 2016), 81 FR 54643 (August 16, 2016) (order approving SR–CBOE–2016–046). 6 See Rule 24.9(e)(1). 7 See Rule 24.9(e)(2). 8 See Rules 24.9(e)(1) and (2). 9 See Rule 24.9(a)(2) (specifying that the Exchange may list up to 12 standard monthly expirations at any one time for any class that the Exchange (as the Reporting Authority) uses to calculate a volatility index). The Exchange uses the SPX class to calculate a volatility index; thus, pursuant to Rules 24.9(e)(1) and (2), the MONs, WEDs, EOWs, and EOMs each may have 12 expirations. 10 See CBOE Regulatory Circulars RG16–053 (extending SPXW WEDs to four expirations and reducing SPXW EOWs to seven expirations) and RG16–157 (expanding SPXW WEDs to six expirations and SPXW MONs to four expirations). Although RG16–157 indicates that there are five SPXW Monday Expirations, the October 31, 2016 expiration with a listing date of May 2, 2016 is technically an EOM expiration listed pursuant to the EOM program and should not have been identified as being listed pursuant to the Weekly Expirations program. See Rule 24.9(e)(1) and (2). VerDate Sep<11>2014 17:15 Feb 17, 2017 Jkt 241001 The Exchange has received repeated customer interest to list Weekly Expirations and EOMs that expire in the mid-term (as opposed to long-term expirations contemplated by Long-Term Index Option Series (‘‘LEAPS’’) 11 and short-term expirations that are encompassed by the Exchange’s current listing schedule to include four MONs, six WEDs, and seven EOWs in SPXW) in order to utilize SPXW options to provide a financial hedge for impactful economic events, such as domestic and international elections. In order to meet customer demand and continue to effectively manage the listing process, the Exchange is seeking the ability to list Weekly Expirations and EOMs nonconsecutively. Currently, the Exchange is able to add additional expirations (up to 12 expirations as noted above) in one or more of the Weekly Expirations; however, customer demand for SPXW listings exceeds the Exchange’s current listing practices of maintaining four MONs, six WEDs, and seven EOWs in SPXW and often beyond 12 expirations. More importantly, the customer demand is for expirations near a certain future economically impactful event (e.g., a national election)—not every expiration between the current date and that particular event. Thus, instead of listing all 12 EOWs, for example, to reach a certain event, the Exchange believes the marketplace would be better served by allowing the Exchange to list EOWs (or the other Weekly Expirations or EOMs) non-consecutively because listing expirations non-consecutively allows the Exchange to list fewer expirations (particularly those with less customer demand), limiting potential burdens on liquidity providers to quote in the relevant option classes. Listing expirations non-consecutively also allows the Exchange to use its considerable experience to list expirations that will offer all market participants the ability to use SPXW options, for example, to hedge a future economic event. Simply put, as with the expansion of the Pilot to MONs and WEDs, non-consecutive expirations will expand hedging tools available to market participants and allow market participants to tailor their investment or hedging needs more effectively. Although this proposal gives the Exchange the ability to list expirations non-consecutively, the proposal is narrowly tailored as it only applies to the Nonstandard Expirations Pilot Program (i.e., Weekly Expirations and EOMs), which may only include broad11 See Rule 24.9(e). LEAPS expire from 12 to 180 months from the date of issuance. PO 00000 Frm 00121 Fmt 4703 Sfmt 4703 11291 based index options eligible for standard options trading. In fact, the Exchange currently only lists Nonstandard Expirations in three classes: S&P 500 Index options under symbol SPXW, CBOE Mini S&P 500 Index options under symbol XSP, and Russell 2000 Index options under symbol RUTW. Furthermore, the Exchange only lists MONs and WEDs in SPXW; EOWs in SPXW, RUTW, and XSP; and EOMs in SPXW and RUTW. Thus, nearly every options class will remain unaffected by this proposal. Even within the Nonstandard Expirations program, the Exchange believes the vast majority of expirations will continue to be listed consecutively because the majority of trading interest is in the nearer term weeks. More importantly, however, as an expiration that was originally listed nonconsecutively gets closer to expiration, the particular expiration falls in line with the exchange’s regular listing schedule. For example, if the Exchange regularly has seven EOWs listed consecutively, with each passing week one of the listings expires and another expiration is added. In this way, as the weeks pass, any expiration that is added non-consecutively (in this case the eighth expiration) will eventually become the seventh expiration and thus become a consecutive expiration. Additionally, the Exchange notes that the proposal will not affect the total expirations for MONs, WEDs, EOWs, or EOMs. The maximum number of expirations that may be listed for each Weekly Expiration (i.e., a Monday expiration, Wednesday expiration, or Friday expiration, as applicable) and EOMs in a given class will continue to be the same as the maximum number of expirations permitted in Rule 24.9(a)(2) for standard options on the same broadbased index.12 As previously noted, in SPXW, the maximum number of expirations is 12. The Exchange also notes that the proposal will not affect the maximum duration (i.e., the maximum time from listing to expiration) of Weekly Expirations or EOMs. For example, under the current rule, if the exchange were to list all 12 WEDs in SPXW, the 12th WED expiration would expire 11 weeks from the nearest term expiration (assuming, for example, there are no EOMs that coincide with the WEDs in SPXW).13 To further illustrate the 12 See e.g., Rules 24.9(e). stated in Rule 24.9(e)(1) if the last trading day of a month is a Monday, Wednesday, or Friday and the Exchange lists EOMs and Weekly Expirations as applicable in a given class, the 13 As E:\FR\FM\21FEN1.SGM Continued 21FEN1 11292 Federal Register / Vol. 82, No. 33 / Tuesday, February 21, 2017 / Notices sradovich on DSK3GMQ082PROD with NOTICES current rule, assume that on Monday February 6, 2017, the nearest term WED expiration in SPXW expires on February 8, 2017. Also assume the Exchange lists all 12 WEDs in SPXW. In this example, the 12th expiration would expire on April 26, 2017. In order to ensure that this proposal does not affect the maximum duration of the expirations, the Exchange proposes to specify in Rule 24.9(e)(1) and (2) that the expiration date of a non-consecutive expiration may not be beyond what would be considered the last expiration date if the maximum number of expirations were listed consecutively. Under the proposed rule (as with the current rule), the April 26th expiration in the above example is the farthest expiration that could be listed. The only difference between the current rule and this proposal is that under the current rule the exchange would have to list all 12 expirations in order to list the April 26th expiration in the above example, and under the proposed rule the Exchange would be able to list the April 26th expiration without the requirement to, for example, list the April 19th expiration. The annual Pilot report provided to the Securities and Exchange Commission (‘‘Commission’’) will include any Weekly Expirations and EOMs, regardless of whether the expirations are listed consecutively or non-consecutively. In sum, the proposal will allow market participants to better plan for future economic events; will allow market participants to tailor their investment or hedging needs more effectively; will allow the Exchange to list expirations in a way that limits potential burdens on liquidity providers quoting in the affected classes; does not increase the allowable number of total expirations for Nonstandard Expirations; and is narrowly tailored to apply only to the Nonstandard Expiration Pilot Program (in which only three classes currently participate). 2. Statutory Basis The Exchange believes the proposed rule change is consistent with the Securities Exchange Act of 1934 (the ‘‘Act’’) and the rules and regulations thereunder applicable to the Exchange and, in particular, the requirements of Section 6(b) of the Act.14 Specifically, the Exchange believes the proposed rule change is consistent with the Section 6(b)(5) 15 requirements that the rules of Exchange will list an EOM instead of a Weekly Expiration in the given class. 14 15 U.S.C. 78f(b). 15 15 U.S.C. 78f(b)(5). VerDate Sep<11>2014 17:15 Feb 17, 2017 Jkt 241001 an exchange be 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. Additionally, the Exchange believes the proposed rule change is consistent with the Section 6(b)(5) 16 requirement that the rules of an exchange not be designed to permit unfair discrimination between customers, issuers, brokers, or dealers. In particular, the Exchange believes the Nonstandard Expirations Pilot has been successful to date and that allowing non-consecutive expirations will simply expand the ability of investors to hedge risks against market movements stemming from future economic events, which in general, helps to protect investors and the public interest. Similarly, the Exchange believes non-consecutive expirations will create greater trading and hedging opportunities and flexibility, and provide customers with the ability to more closely tailor their investment objectives. The Exchange also believe that the proposal will allow the Exchange to list expirations in a way that limits potential burdens on liquidity providers quoting in the affected classes, which helps remove impediments to and perfect the mechanism of a free and open market and a national market system. proposal will impose any burden on intermarket competition because the proposed rule change relates solely to the listing of series pursuant to a CBOE pilot program, and market participants on other exchanges are welcome to become Trading Permit Holders and trade at CBOE if they determine that this proposed rule change has made CBOE more attractive or favorable. Finally, although the majority of the Exchange’s broad-based index options are exclusively-listed at CBOE, all options exchanges are free to compete by listing and trading their own broad-based index options with Weekly Expirations and EOM expirations. B. Self-Regulatory Organization’s Statement on Burden on Competition CBOE does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. Specifically, the Exchange does not believe the proposal will impose any burden on intramarket competition as all market participants will be treated in the same manner. Any perceived burden on Market-Makers is unfounded as the proposal does not increase the total number of expirations that can be listed under the Nonstandard Expirations Pilot Program. In fact, the proposal may alleviate potential burdens on MarketMakers quoting in the affected classes as listing non-consecutively allows the Exchange to avoid listing expirations that are in less demand. Additionally, the Exchange does not believe the 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: 16 Id. PO 00000 Frm 00122 Fmt 4703 Sfmt 4703 C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others The Exchange neither solicited nor received comments on the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Within 45 days of the date of publication of this notice in the Federal Register or within such longer period up to 90 days (i) as the Commission may designate if it finds such longer period to be appropriate and publishes its reasons for so finding or (ii) as to which the Exchange consents, the Commission will: A. By order approve or disapprove such proposed rule change, or B. institute proceedings to determine whether the proposed rule change should be disapproved. Electronic Comments • Use the Commission’s Internet comment form (http://www.sec.gov/ rules/sro.shtml); or • Send an email to rule-comments@ sec.gov. Please include File Number SR– CBOE–2017–014 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–2017–014. This file number should be included on the E:\FR\FM\21FEN1.SGM 21FEN1 Federal Register / Vol. 82, No. 33 / Tuesday, February 21, 2017 / Notices 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 (http://www.sec.gov/ rules/sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and printing in the Commission’s Public Reference Room, 100 F Street NE., Washington, DC 20549, on official business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of the filing also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR–CBOE– 2017–014, and should be submitted on or before March 14, 2017. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.17 Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017–03302 Filed 2–17–17; 8:45 am] BILLING CODE 8011–01–P SOCIAL SECURITY ADMINISTRATION [Docket No: SSA–2017–0006] Agency Information Collection Activities: Proposed Request and Comment Request The Social Security Administration (SSA) publishes a list of information collection packages requiring clearance by the Office of Management and Budget (OMB) in compliance with Public Law 104–13, the Paperwork Reduction Act of 1995, effective October 1, 1995. This notice includes revisions and one extension of OMB-approved information collections. SSA is soliciting comments on the accuracy of the agency’s burden estimate; the need for the information; its practical utility; ways to enhance its quality, utility, and clarity; and ways to minimize burden on respondents, including the use of automated collection techniques or other forms of information technology. Mail, email, or fax your comments and recommendations on the information collection(s) to the OMB Desk Officer and SSA Reports Clearance Officer at the following addresses or fax numbers. (OMB), Office of Management and Budget, Attn: Desk Officer for SSA, Fax: 202–395–6974, Email address: OIRA_ Submission@omb.eop.gov. (SSA), Social Security Administration, OLCA, Attn: Reports Clearance Director, 3100 West High Rise, 6401 Security Blvd., Baltimore, MD 21235, Fax: 410–966–2830, Email address: OR.Reports.Clearance@ssa.gov. Or you may submit your comments online through www.regulations.gov, referencing Docket ID Number [SSA– 2017–0006]. I. The information collections below are pending at SSA. SSA will submit 11293 them to OMB within 60 days from the date of this notice. To be sure we consider your comments, we must receive them no later than April 24, 2017. Individuals can obtain copies of the collection instruments by writing to the above email address. 1. Government Pension Questionnaire—20 CFR 404.408a— 0960–0160. The basic Social Security benefits application (OMB No. 0960– 0618) contains a lead question asking if the applicants are qualified (or will qualify) to receive a government pension. If the respondent is qualified, or will qualify, to receive a government pension, the applicant completes Form SSA–3885 either on paper or through a personal interview with an SSA claims representative. If the applicants are not entitled to receive a government pension at the time they apply for Social Security benefits, SSA requires them to provide the government pension information as beneficiaries when they become eligible to receive their pensions. Regardless of the timing, at some point the applicants or beneficiaries must complete and sign Form SSA–3885 to report information about their government pensions before the pensions begin. SSA uses the information to: (1) Determine whether the Government Pension Offset provision applies; (2) identify exceptions as stated in 20 CFR 404.408a; and (3) determine the benefit reduction amount and effective date. If the applicants and beneficiaries do not respond using this questionnaire, SSA offsets their entire benefit amount. The respondents are applicants or recipients of spousal benefits who are eligible for or already receiving a Government pension. Type of Request: Revision of an OMBapproved information collection. Number of respondents Frequency of response Average burden per response (minutes) Estimated total annual burden (hours) SSA–3885 ........................................................................................................ sradovich on DSK3GMQ082PROD with NOTICES Modality of completion 76,000 1 13 16,467 2. Modified Benefit Formula Questionnaire—0960–0395. SSA collects information on Form SSA–150 to determine which formula to use in computing the Social Security benefit for someone who receives a pension from employment not covered by Social Security. The Windfall Elimination Provision (WEP) requires use of a benefit formula replacing a smaller percentage of a worker’s pre-retirement 17 17 earnings. However, the resulting amount cannot show a difference in the benefit computed using the modified and regular formulas greater than one-half the amount of the pension received in the first month an individual is entitled to both the pension and the Social Security benefit. The SSA–150 collects the information needed to make all the necessary benefit computations. SSA requires respondents to furnish the information on Form SSA–150 so we can calculate their benefits using the data they supply. SSA calculates the benefits of applicants who do not respond to this questionnaire using the full WEP reduction. SSA employees collect this information once from the applicant at the time they file their claim. The respondents are applicants for old age and disability benefits. CFR 200.30–3(a)(12). VerDate Sep<11>2014 17:15 Feb 17, 2017 Jkt 241001 PO 00000 Frm 00123 Fmt 4703 Sfmt 4703 E:\FR\FM\21FEN1.SGM 21FEN1

Agencies

[Federal Register Volume 82, Number 33 (Tuesday, February 21, 2017)]
[Notices]
[Pages 11290-11293]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-03302]



[[Page 11290]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-80037; File No. SR-CBOE-2017-014]


Self-Regulatory Organizations; Chicago Board Options Exchange, 
Incorporated; Notice of Filing of a Proposed Rule Change Related to 
Rule 24.9(e)

February 14, 2017.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that on February 13, 2017, Chicago Board Options Exchange, Incorporated 
(the ``Exchange'' or ``CBOE'') filed with the Securities and Exchange 
Commission (the ``Commission'') the proposed rule change as described 
in Items I, II, and III below, which Items have been prepared by the 
Exchange. The Commission is publishing this notice to solicit comments 
on the proposed rule change from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange seeks to amend Rule 24.9(e). The text of the proposed 
rule change is provided below (additions are italicized; deletions are 
[bracketed]).
* * * * *

Chicago Board Options Exchange, Incorporated Rules

* * * * *

Rule 24.9. Terms of Index Option Contracts

    (a)-(d) No change.
    (e) Nonstandard Expirations Pilot Program
    (1) Weekly Expirations. The Exchange may open for trading Weekly 
Expirations on any broad-based index eligible for standard options 
trading to expire on any Monday, Wednesday, or Friday (other than the 
third Friday-of-the-month or days that coincide with an EOM 
expiration). Weekly Expirations shall be subject to all provisions of 
this Rule and treated the same as options on the same underlying index 
that expire on the third Friday of the expiration month; provided, 
however, that Weekly Expirations shall be P.M.-settled and new series 
in Weekly Expirations may be added up to and including on the 
expiration date for an expiring Weekly Expiration.
    The maximum number of expirations that may be listed for each 
Weekly Expiration (i.e., a Monday expiration, Wednesday expiration, or 
Friday expiration, as applicable) in a given class is the same as the 
maximum number of expirations permitted in Rule 24.9 (a)(2) for 
standard options on the same broad-based index. [Other than expirations 
that are third Friday-of-the-month or that coincide with an EOM 
expiration,] Weekly Expirations [shall] need not be for consecutive 
Monday, Wednesday, or Friday expirations as applicable; however, the 
expiration date of a non-consecutive expiration may not be beyond what 
would be considered the last expiration date if the maximum number of 
expirations were listed consecutively. Weekly Expirations that are 
first listed in a given class may expire up to four weeks from the 
actual listing date. If the last trading day of a month is a Monday, 
Wednesday, or Friday and the Exchange lists EOMs and Weekly Expirations 
as applicable in a given class, the Exchange will list an EOM instead 
of a Weekly Expiration in the given class. Other expirations in the 
same class are not counted as part of the maximum number of Weekly 
Expirations for a broad-based index class. 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.
    (2) End of Month (``EOM'') Expirations. The Exchange may open for 
trading EOMs on any broad-based index eligible for standard options 
trading to expire on last trading day of the month. EOMs shall be 
subject to all provisions of this Rule and treated the same as options 
on the same underlying index that expire on the third Friday of the 
expiration month; provided, however, that EOMs shall be P.M.-settled 
and new series in EOMs may be added up to and including on the 
expiration date for an expiring EOM.
    The maximum number of expirations that may be listed for EOMs in a 
given class is the same as the maximum number of expirations permitted 
in Rule 24.9 (a)(2) for standard options on the same broad-based index. 
EOM expirations [shall] need not be for consecutive end of month 
expirations; however, the expiration date of a non-consecutive 
expiration may not be beyond what would be considered the last 
expiration date if the maximum number of expirations were listed 
consecutively. EOMs that are first listed in a given class may expire 
up to four weeks from the actual listing date. Other expirations in the 
same class are not counted as part of the maximum numbers of EOM 
expirations for a broad-based index class.
    (3) Duration of Nonstandard Expirations Pilot Program. The 
Nonstandard Expirations Pilot Program shall be through May 3, 2017.
    (4) Weekly Expirations and EOM Trading Hours on the Last Trading 
Day. On the last trading day, transactions in expiring Weekly 
Expirations and EOMs may be effected on the Exchange between the hours 
of 8:30 a.m. (Chicago time) and 3:00 p.m. (Chicago time).
* * * * *
    The text of the proposed rule change is also available on the 
Exchange's Web site (http://www.cboe.com/AboutCBOE/CBOELegalRegulatoryHome.aspx), at the Exchange's Office of the 
Secretary, 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 the most significant aspects of such 
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and the 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    On September 14, 2010, the Commission approved a CBOE proposal to 
establish a pilot program under which 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 (``EOWs''), and 
(b) the last trading day of the month (``EOM'').\3\ On January 14, 
2016, the Commission approved a CBOE proposal to expand the pilot 
program to list P.M.-settled options on broad-based indexes that expire 
on any Wednesday of the month (``WEDs'') and to rename the End of Week/
End of Month Expirations Pilot Program to the Nonstandard Expirations

[[Page 11291]]

Pilot Program.\4\ On August 10, 2016, the Commission approved a CBOE 
proposal to expand the pilot program to list P.M.-settled options on 
broad-based indexes that expire on any Monday of the month 
(``MONs'').\5\
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    \3\ See Securities Exchange Act Release No. 62911 (September 14, 
2010), 75 FR 57539 (September 21, 2010) (order approving SR-CBOE-
2009-075).
    \4\ See Securities Exchange Act Release No. 76909 (January 14, 
2016), 81 FR 3512 (January 21, 2016) (order approving SR-CBOE-2015-
106).
    \5\ See Securities Exchange Act Release No. 78531 (August 10, 
2016), 81 FR 54643 (August 16, 2016) (order approving SR-CBOE-2016-
046).
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    Currently, other than expirations that are third Friday-of-the-
month or that coincide with an EOM expiration, Weekly Expirations 
(i.e., MONs, WEDs, and EOWs) must be for consecutive Monday, Wednesday, 
or Friday expirations as applicable.\6\ Similarly, EOM expirations must 
be for consecutive end of months.\7\ The purpose of this filing is to 
eliminate the consecutive expiration restriction for the listing of 
Weekly Expirations and EOMs.
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    \6\ See Rule 24.9(e)(1).
    \7\ See Rule 24.9(e)(2).
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    The maximum number of expirations that may be listed for each 
Weekly Expiration (i.e., a Monday expiration, Wednesday expiration, or 
Friday expiration, as applicable) and EOM in a given class is the same 
as the maximum number of expirations permitted in Rule 24.9(a)(2) for 
standard options on the same broad-based index.\8\ Thus, for Weekly 
Expirations and EOM expirations in the SPX options class (which trade 
under the symbol SPXW), the MONs, WEDs, EOWs, and EOMs each may have 12 
expirations (i.e. a total of 48 expirations in all four programs).\9\ 
However, the Exchange does not currently exercise its discretion to 
list all 12 expirations in each Weekly Expiration and EOM program--
opting instead to introduce additional expirations as customer demand 
dictates. Typically, the Exchange lists four MONs, six WEDs, and seven 
EOWs in SPXW options.\10\
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    \8\ See Rules 24.9(e)(1) and (2).
    \9\ See Rule 24.9(a)(2) (specifying that the Exchange may list 
up to 12 standard monthly expirations at any one time for any class 
that the Exchange (as the Reporting Authority) uses to calculate a 
volatility index). The Exchange uses the SPX class to calculate a 
volatility index; thus, pursuant to Rules 24.9(e)(1) and (2), the 
MONs, WEDs, EOWs, and EOMs each may have 12 expirations.
    \10\ See CBOE Regulatory Circulars RG16-053 (extending SPXW WEDs 
to four expirations and reducing SPXW EOWs to seven expirations) and 
RG16-157 (expanding SPXW WEDs to six expirations and SPXW MONs to 
four expirations). Although RG16-157 indicates that there are five 
SPXW Monday Expirations, the October 31, 2016 expiration with a 
listing date of May 2, 2016 is technically an EOM expiration listed 
pursuant to the EOM program and should not have been identified as 
being listed pursuant to the Weekly Expirations program. See Rule 
24.9(e)(1) and (2).
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    The Exchange has received repeated customer interest to list Weekly 
Expirations and EOMs that expire in the mid-term (as opposed to long-
term expirations contemplated by Long-Term Index Option Series 
(``LEAPS'') \11\ and short-term expirations that are encompassed by the 
Exchange's current listing schedule to include four MONs, six WEDs, and 
seven EOWs in SPXW) in order to utilize SPXW options to provide a 
financial hedge for impactful economic events, such as domestic and 
international elections. In order to meet customer demand and continue 
to effectively manage the listing process, the Exchange is seeking the 
ability to list Weekly Expirations and EOMs non-consecutively.
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    \11\ See Rule 24.9(e). LEAPS expire from 12 to 180 months from 
the date of issuance.
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    Currently, the Exchange is able to add additional expirations (up 
to 12 expirations as noted above) in one or more of the Weekly 
Expirations; however, customer demand for SPXW listings exceeds the 
Exchange's current listing practices of maintaining four MONs, six 
WEDs, and seven EOWs in SPXW and often beyond 12 expirations. More 
importantly, the customer demand is for expirations near a certain 
future economically impactful event (e.g., a national election)--not 
every expiration between the current date and that particular event. 
Thus, instead of listing all 12 EOWs, for example, to reach a certain 
event, the Exchange believes the marketplace would be better served by 
allowing the Exchange to list EOWs (or the other Weekly Expirations or 
EOMs) non-consecutively because listing expirations non-consecutively 
allows the Exchange to list fewer expirations (particularly those with 
less customer demand), limiting potential burdens on liquidity 
providers to quote in the relevant option classes. Listing expirations 
non-consecutively also allows the Exchange to use its considerable 
experience to list expirations that will offer all market participants 
the ability to use SPXW options, for example, to hedge a future 
economic event. Simply put, as with the expansion of the Pilot to MONs 
and WEDs, non-consecutive expirations will expand hedging tools 
available to market participants and allow market participants to 
tailor their investment or hedging needs more effectively.
    Although this proposal gives the Exchange the ability to list 
expirations non-consecutively, the proposal is narrowly tailored as it 
only applies to the Nonstandard Expirations Pilot Program (i.e., Weekly 
Expirations and EOMs), which may only include broad-based index options 
eligible for standard options trading. In fact, the Exchange currently 
only lists Nonstandard Expirations in three classes: S&P 500 Index 
options under symbol SPXW, CBOE Mini S&P 500 Index options under symbol 
XSP, and Russell 2000 Index options under symbol RUTW. Furthermore, the 
Exchange only lists MONs and WEDs in SPXW; EOWs in SPXW, RUTW, and XSP; 
and EOMs in SPXW and RUTW. Thus, nearly every options class will remain 
unaffected by this proposal. Even within the Nonstandard Expirations 
program, the Exchange believes the vast majority of expirations will 
continue to be listed consecutively because the majority of trading 
interest is in the nearer term weeks. More importantly, however, as an 
expiration that was originally listed non-consecutively gets closer to 
expiration, the particular expiration falls in line with the exchange's 
regular listing schedule. For example, if the Exchange regularly has 
seven EOWs listed consecutively, with each passing week one of the 
listings expires and another expiration is added. In this way, as the 
weeks pass, any expiration that is added non-consecutively (in this 
case the eighth expiration) will eventually become the seventh 
expiration and thus become a consecutive expiration.
    Additionally, the Exchange notes that the proposal will not affect 
the total expirations for MONs, WEDs, EOWs, or EOMs. The maximum number 
of expirations that may be listed for each Weekly Expiration (i.e., a 
Monday expiration, Wednesday expiration, or Friday expiration, as 
applicable) and EOMs in a given class will continue to be the same as 
the maximum number of expirations permitted in Rule 24.9(a)(2) for 
standard options on the same broad-based index.\12\ As previously 
noted, in SPXW, the maximum number of expirations is 12.
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    \12\ See e.g., Rules 24.9(e).
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    The Exchange also notes that the proposal will not affect the 
maximum duration (i.e., the maximum time from listing to expiration) of 
Weekly Expirations or EOMs. For example, under the current rule, if the 
exchange were to list all 12 WEDs in SPXW, the 12th WED expiration 
would expire 11 weeks from the nearest term expiration (assuming, for 
example, there are no EOMs that coincide with the WEDs in SPXW).\13\ To 
further illustrate the

[[Page 11292]]

current rule, assume that on Monday February 6, 2017, the nearest term 
WED expiration in SPXW expires on February 8, 2017. Also assume the 
Exchange lists all 12 WEDs in SPXW. In this example, the 12th 
expiration would expire on April 26, 2017. In order to ensure that this 
proposal does not affect the maximum duration of the expirations, the 
Exchange proposes to specify in Rule 24.9(e)(1) and (2) that the 
expiration date of a non-consecutive expiration may not be beyond what 
would be considered the last expiration date if the maximum number of 
expirations were listed consecutively. Under the proposed rule (as with 
the current rule), the April 26th expiration in the above example is 
the farthest expiration that could be listed. The only difference 
between the current rule and this proposal is that under the current 
rule the exchange would have to list all 12 expirations in order to 
list the April 26th expiration in the above example, and under the 
proposed rule the Exchange would be able to list the April 26th 
expiration without the requirement to, for example, list the April 19th 
expiration.
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    \13\ As stated in Rule 24.9(e)(1) if the last trading day of a 
month is a Monday, Wednesday, or Friday and the Exchange lists EOMs 
and Weekly Expirations as applicable in a given class, the Exchange 
will list an EOM instead of a Weekly Expiration in the given class.
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    The annual Pilot report provided to the Securities and Exchange 
Commission (``Commission'') will include any Weekly Expirations and 
EOMs, regardless of whether the expirations are listed consecutively or 
non-consecutively.
    In sum, the proposal will allow market participants to better plan 
for future economic events; will allow market participants to tailor 
their investment or hedging needs more effectively; will allow the 
Exchange to list expirations in a way that limits potential burdens on 
liquidity providers quoting in the affected classes; does not increase 
the allowable number of total expirations for Nonstandard Expirations; 
and is narrowly tailored to apply only to the Nonstandard Expiration 
Pilot Program (in which only three classes currently participate).
2. Statutory Basis
    The Exchange believes the proposed rule change is consistent with 
the Securities Exchange Act of 1934 (the ``Act'') and the rules and 
regulations thereunder applicable to the Exchange and, in particular, 
the requirements of Section 6(b) of the Act.\14\ Specifically, the 
Exchange believes the proposed rule change is consistent with the 
Section 6(b)(5) \15\ requirements that the rules of an exchange be 
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. Additionally, 
the Exchange believes the proposed rule change is consistent with the 
Section 6(b)(5) \16\ requirement that the rules of an exchange not be 
designed to permit unfair discrimination between customers, issuers, 
brokers, or dealers.
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    \14\ 15 U.S.C. 78f(b).
    \15\ 15 U.S.C. 78f(b)(5).
    \16\ Id.
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    In particular, the Exchange believes the Nonstandard Expirations 
Pilot has been successful to date and that allowing non-consecutive 
expirations will simply expand the ability of investors to hedge risks 
against market movements stemming from future economic events, which in 
general, helps to protect investors and the public interest. Similarly, 
the Exchange believes non-consecutive expirations will create greater 
trading and hedging opportunities and flexibility, and provide 
customers with the ability to more closely tailor their investment 
objectives. The Exchange also believe that the proposal will allow the 
Exchange to list expirations in a way that limits potential burdens on 
liquidity providers quoting in the affected classes, which helps remove 
impediments to and perfect the mechanism of a free and open market and 
a national market system.

B. Self-Regulatory Organization's Statement on Burden on Competition

    CBOE does not believe that the proposed rule change will impose any 
burden on competition that is not necessary or appropriate in 
furtherance of the purposes of the Act. Specifically, the Exchange does 
not believe the proposal will impose any burden on intramarket 
competition as all market participants will be treated in the same 
manner. Any perceived burden on Market-Makers is unfounded as the 
proposal does not increase the total number of expirations that can be 
listed under the Nonstandard Expirations Pilot Program. In fact, the 
proposal may alleviate potential burdens on Market-Makers quoting in 
the affected classes as listing non-consecutively allows the Exchange 
to avoid listing expirations that are in less demand. Additionally, the 
Exchange does not believe the proposal will impose any burden on 
intermarket competition because the proposed rule change relates solely 
to the listing of series pursuant to a CBOE pilot program, and market 
participants on other exchanges are welcome to become Trading Permit 
Holders and trade at CBOE if they determine that this proposed rule 
change has made CBOE more attractive or favorable. Finally, although 
the majority of the Exchange's broad-based index options are 
exclusively-listed at CBOE, all options exchanges are free to compete 
by listing and trading their own broad-based index options with Weekly 
Expirations and EOM expirations.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    The Exchange neither solicited nor received comments on the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the Exchange consents, the Commission will:
    A. By order approve or disapprove such proposed rule change, or
    B. institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-CBOE-2017-014 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-2017-014. This file 
number should be included on the

[[Page 11293]]

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 
(http://www.sec.gov/rules/sro.shtml). Copies of the submission, all 
subsequent amendments, all written statements with respect to the 
proposed rule change that are filed with the Commission, and all 
written communications relating to the proposed rule change between the 
Commission and any person, other than those that may be withheld from 
the public in accordance with the provisions of 5 U.S.C. 552, will be 
available for Web site viewing and printing in the Commission's Public 
Reference Room, 100 F Street NE., Washington, DC 20549, on official 
business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of 
the filing also will be available for inspection and copying at the 
principal office of the Exchange. All comments received will be posted 
without change; the Commission does not edit personal identifying 
information from submissions. You should submit only information that 
you wish to make available publicly. All submissions should refer to 
File Number SR-CBOE-2017-014, and should be submitted on or before 
March 14, 2017.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\17\
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    \17\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-03302 Filed 2-17-17; 8:45 am]
 BILLING CODE 8011-01-P