Self-Regulatory Organizations; C2 Options Exchange, Incorporated; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Relating to Complex Order Price Protections, 18199-18202 [2017-07636]

Download as PDF 18199 Federal Register / Vol. 82, No. 72 / Monday, April 17, 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 (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– NASDAQ–2017–031 and should be submitted on or before May 8, 2017. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.15 Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017–07633 Filed 4–14–17; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION Proposed Collection; Comment Request Upon Written Request Copies Available From: Securities and Exchange Commission, Office of FOIA Services, 100 F Street NE., Washington, DC 20549–2736 mstockstill on DSK30JT082PROD with NOTICES Extension: Rule 163, OMB Control No. 3235–0619, SEC File No. 270–556 Notice is hereby given that, pursuant to the Paperwork Reduction Act of 1995 (44 U.S.C. 3501 et seq.), the Securities and Exchange Commission (‘‘Commission’’) is soliciting comments on the collection of information summarized below. The Commission 15 17 plans to submit this existing collection of information to the Office of Management and Budget for extension and approval. Rule 163 (17 CFR 230.163) provides an exemption from Section 5(c) under the Securities Act of 1933 (15 U.S.C. 77a et seq.) for certain communications by or on behalf of a well-known seasoned issuer. The information filed under Rule 163 is publicly available. We estimate that it takes approximately 0.24 burden hours per response to provide the information required under Rule 163 and that the information is filed by approximately 53 respondents for a total annual reporting burden of 13 hours. We estimate that 25% of 0.24 hours per response (0.06 hours) is prepared by the respondent for a total annual burden of 3 hours (0.06 hours per response × 53 responses). Written comments are invited on: (a) Whether this proposed collection of information is necessary for the performance of the functions of the agency, including whether the information will have practical utility; (b) the accuracy of the agency’s estimate of the burden imposed by the collection of information; (c) ways to enhance the quality, utility, and clarity of the information collected; and (d) ways to minimize the burden of the collection of information on respondents, including through the use of automated collection techniques or other forms of information technology. Consideration will be given to comments and suggestions submitted in writing within 60 days of this publication. An agency may not conduct or sponsor, and a person is not required to respond to, a collection of information unless it displays a currently valid control number. Please direct your written comment to Pamela Dyson, Director/Chief Information Officer, Securities and Exchange Commission, c/o Remi PavlikSimon, 100 F Street NE., Washington, DC 20549 or send an email to: PRA_ Mailbox@sec.gov. Dated: April 11, 2017. Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017–07656 Filed 4–14–17; 8:45 am] BILLING CODE 8011–01–P 17:14 Apr 14, 2017 Jkt 241001 PO 00000 [Release No. 34–80430; File No. SR–C2– 2017–013] Self-Regulatory Organizations; C2 Options Exchange, Incorporated; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Relating to Complex Order Price Protections April 11, 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 April 5, 2017, C2 Options Exchange, Incorporated (the ‘‘Exchange’’ or ‘‘C2’’) filed with the Securities and Exchange Commission (the ‘‘Commission’’) the proposed rule change as described in Items I and II below, which Items have been prepared by the Exchange. The Exchange filed the proposal pursuant to Section 19(b)(3)(A)(iii) of the Act 3 and Rule 19b–4(f)(6) thereunder.4 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 proposes to amend a current price protection related to complex orders. The text of the proposed rule change is provided below. (additions are italicized; deletions are [bracketed]) * * * * * C2 Options Exchange, Incorporated Rules * * * * * Rule 6.13. Complex Order Execution (a)–(c) No change. . . . Interpretations and Policies: .01–.03 No change. .04 Price Check Parameters: On a class-by-class basis, the Exchange may determine (and announce via Regulatory Circular) which of the following price check parameters will apply to eligible complex orders. Paragraphs (b) and (g) will not be applicable to stock-option orders. For purposes of this Interpretation and Policy .04: Vertical Spread. A ‘‘vertical’’ spread is a two-legged complex order with one 1 15 U.S.C. 78s(b)(1). CFR 240.19b–4. 3 15 U.S.C. 78s(b)(3)(A)(iii). 4 17 CFR 240.19b–4(f)(6). 2 17 CFR 200.30–3(a)(12). VerDate Sep<11>2014 SECURITIES AND EXCHANGE COMMISSION Frm 00101 Fmt 4703 Sfmt 4703 E:\FR\FM\17APN1.SGM 17APN1 mstockstill on DSK30JT082PROD with NOTICES 18200 Federal Register / Vol. 82, No. 72 / Monday, April 17, 2017 / Notices leg to buy a number of calls (puts) and one leg to sell the same number of calls (puts) with the same expiration date but different exercise prices. Butterfly Spread. A ‘‘butterfly’’ spread is a three-legged complex order with two legs to buy (sell) the same number of calls (puts) and one leg to sell (buy) twice as many calls (puts), all with the same expiration date but different exercise prices, and the exercise price of the middle leg is between the exercise prices of the other legs. If the exercise price of the middle leg is halfway between the exercise prices of the other legs, it is a ‘‘true’’ butterfly; otherwise, it is a ‘‘skewed’’ butterfly. Box Spread. A ‘‘box’’ spread is a fourlegged complex order with one leg to buy calls and one leg to sell puts with one strike price, and one leg to sell calls and one leg to buy puts with another strike price, all of which have the same expiration date and are for the same number of contracts. To the extent a price check parameter is applicable, the Exchange will not automatically execute an eligible complex order that is: (a)–(d) No change. (e) Acceptable Percentage Range Parameter: (i) An incoming complex order (including a stock-option order) after [all leg]the series for all legs of the complex order are open for trading that is marketable and would execute immediately upon submission to the COB or following a COA if the execution would be at a price outside an acceptable percentage range. The ‘‘acceptable percentage range’’ is the national spread market (or Exchange spread market if the NBBO in any leg is locked, crossed or unavailable and for pairs of orders submitted to AIM or SAM) that existed when the System received the order or at the start of COA, as applicable, plus/minus: (A) the amount equal to a percentage (which may not be less than 3%) of the national spread market (the ‘‘percentage amount’’) if that amount is not less than a minimum amount or greater than a maximum amount (the Exchange will determine the percentage and minimum and maximum amounts on a class-byclass basis and announce them to Trading Permit Holders by Regulatory Circular); (B) the minimum amount, if the percentage amount is less than the minimum amount; or (C) the maximum amount, if the percentage amount is greater than the maximum amount. (ii) The System cancels an order (or any remaining size after partial execution of the order) that would VerDate Sep<11>2014 17:14 Apr 14, 2017 Jkt 241001 execute or rest in the COB at a price outside the acceptable price range. (iii) If the System rejects either order in a pair of orders submitted to AIM or SAM pursuant to this parameter, then the System also cancels the paired order. Notwithstanding the foregoing, with respect to an AIM Retained (‘‘A:AIR’’) order as defined in Interpretation and Policy .10 to Rule 6.51, if the System rejects the Agency Order pursuant to this check, then the System also rejects the contra-side order; however, if the System rejects the contra-side order pursuant to this check, the System still accepts the Agency Order if it satisfies the check. [To the extent a contra-side order or response is marketable against the Agency Order, the execution price will be capped at the opposite side of the acceptable price range.] (iv) This parameter applies to auction responses in the same manner as it does orders. (f)–(h) No change. .06–.07 No change. * * * * * The text of the proposed rule change is also available on the Exchange’s website (https://www.cboe.com/About CBOE/CBOELegalRegulatory Home.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 Statutory Basis for, the Proposed Rule Change 1. Purpose The Exchange proposes to amend its acceptable percentage range parameter for complex orders. In general, pursuant to the acceptable percentage range parameter in Rule 6.13, Interpretation and Policy .04(e), the System cancels an incoming order 5 that is marketable and 5 The current rule states this price protection applies to an incoming order after all leg series are PO 00000 Frm 00102 Fmt 4703 Sfmt 4703 would execute immediately upon submission to the complex order book (‘‘COB’’) or following a COA if the execution would be at a price outside an acceptable percentage range, which is the national spread market that existed when the System received the order or at the start of COA, as applicable, plus/ minus: • The amount equal to a percentage (which may not be less than 3%) of the national spread market (the ‘‘percentage amount’’) if that amount is not less than a minimum amount or greater than a maximum amount (the Exchange will determine the percentage and minimum and maximum amounts and announce them to Trading Permit Holders by Regulatory Circular); • the minimum amount, if the percentage amount is less than the minimum amount; or • the maximum amount, if the percentage amount is greater than the maximum amount. First, the proposed rule change amends Rule 6.13, Interpretation and Policy .04(e)(i)(A) to provide the Exchange may determine the percentage and the minimum and maximum amounts on a class-by-class basis. Currently, the rule states the percentage and minimum and maximum amounts will be the same for all classes. Because of class differences such as the minimum increment and option prices, the Exchange believes it may be appropriate to set different amounts so the outside of the range is not too close or too far away from the market price for a class and ensure the range creates an effective check for all classes. Therefore, the proposed rule change adds this flexibility to the Rule. Other price protections have similar flexibility.6 Second, the proposed rule change adds Rule 6.13, Interpretation and Policy .04(e)(iv) to provide this parameter will apply to auction responses in the same manner as it does orders. The current parameter does not apply to auction responses. As noted in a recent rule filing enhancing this parameter, even if the parameter does not apply to auction responses, this protection will prevent an order from executing outside the acceptable price range (including against an auction response), and thus responses will not execute against an order outside the open for trading. The proposed rule change makes a nonsubstantive change to this provision to clarify this means the protection applies to an incoming order after the series for all legs of the complex order are open for trading. 6 See, e.g., Rule 6.13, Interpretation and Policy .04(g). E:\FR\FM\17APN1.SGM 17APN1 Federal Register / Vol. 82, No. 72 / Monday, April 17, 2017 / Notices acceptable price range.7 However, cancelling an auction response prior to the end of an auction that would execute outside the acceptable price range may give the submitting Trading Permit Holder an opportunity to submit a new response within the acceptable price range prior to the end of the auction, and thus increase execution opportunities. Therefore, the proposed rule change applies this parameter to auction response. An auction response at a price outside the acceptable price range will not execute regardless of whether this parameter applies to the auction response; applying the parameter to auction responses merely changes the timing of when the response is cancelled.8 Other price protections similarly apply to auction responses.9 2. Statutory Basis mstockstill on DSK30JT082PROD with NOTICES The Exchange believes the proposed rule change is consistent with the Act and the rules and regulations thereunder applicable to the Exchange and, in particular, the requirements of Section 6(b) of the Act.10 Specifically, the Exchange believes the proposed rule change is consistent with the Section 6(b)(5) 11 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) 12 requirement that the rules of an exchange not be designed 7 See Securities Exchange Act Release No. 34– 80281 (March 20, 2017), 82 FR 15074, note 24 (March 44, 2017) (SR–C2–2017–010). 8 Paragraph (e)(iii) currently states to the extent a contra-side order or response is marketable against the Agency Order, the execution price will be capped at the opposite side of the acceptable price range. The proposed rule change deletes this rule language, as it is redundant. The price protection will, as proposed, cancel orders and responses (or remaining size after partial execution) that would execute outside the acceptable price range. There [sic] is effectively the same as capping an execute [sic] price no wider than the acceptable price range, as no order or response will be able to execute at a price outside the range. 9 See, e.g., Rule 6.13, Interpretation and Policy .04(c)(4). 10 15 U.S.C. 78f(b). 11 15 U.S.C. 78f(b)(5). 12 Id. VerDate Sep<11>2014 17:14 Apr 14, 2017 Jkt 241001 to permit unfair discrimination between customers, issuers, brokers, or dealers. In particular, the Exchange believes the proposed rule change to provide the Exchange with flexibility to determine settings for the acceptable percentage range parameter on a class-by-class manner will permit the Exchange to ensure the range is not too close or too far away from the market price for a class based on factors such as minimum increment and premium, and thus ensure the range creates an effective check for all classes. This will protect investors from potentially erroneous executions while removing impediments to and perfecting the mechanism of a free and open market and a national market system by ensuring orders are not inadvertently cancelled due to a range that is too narrow. Other price protections have similar flexibility.13 The proposed rule change to apply the acceptable percentage range parameter to auction responses merely changes the time at which responses outside the acceptable price range is cancelled. However, application of the acceptable percentage range parameter to auction responses may permit the submitting Trading Permit Holder to enter a new auction response at a price within the range prior to the end of the auction, which improves execution opportunities and thus protects investors. Other price protections similarly apply to auction responses.14 B. Self-Regulatory Organization’s Statement on Burden on Competition C2 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. The proposed rule change will apply to all complex orders submitted to C2 in the same manner. The enhancements to the acceptable percentage range parameter applicable to all incoming orders will help further prevent potentially erroneous executions, which benefits all market participants. Additionally, the proposed rule change is substantially similar to other price protections.15 The proposed rule change will not impose any burden on intermarket competition, as it applies only to C2 price protection mechanisms that prevent erroneous executions on C2. 13 See, e.g., Rule 6.13, Interpretation and Policy .04(g). 14 See, e.g., Rule 6.13, Interpretation and Policy .04(c)(4). 15 See, e.g., Rule 6.13, Interpretation and Policy .04(c)(4) and (g). PO 00000 Frm 00103 Fmt 4703 Sfmt 4703 18201 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 Because the foregoing proposed rule change does not: (i) Significantly affect the protection of investors or the public interest; (ii) impose any significant burden on competition; and (iii) become operative for 30 days from the date on which it was filed, or such shorter time as the Commission may designate, it has become effective pursuant to Section 19(b)(3)(A) of the Act 16 and Rule 19b– 4(f)(6) thereunder.17 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: (i) Necessary or appropriate in the public interest; (ii) for the protection of investors; or (iii) otherwise in furtherance of the purposes of the Act. If the Commission takes such action, the Commission shall institute proceedings to determine whether the proposed rule change should be approved or disapproved. IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods: Electronic Comments • Use the Commission’s Internet comment form (https://www.sec.gov/ rules/sro.shtml); or • Send an email to rule-comments@ sec.gov. Please include File Number SR– C2–2017–013 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. 16 15 U.S.C. 78s(b)(3)(A). CFR 240.19b–4(f)(6). As required under Rule 19b–4(f)(6)(iii), the Exchange provided the Commission with written notice of its intent to file the proposed rule change, along with a brief description and the text of the proposed rule change, at least five business days prior to the date of filing of the proposed rule change, or such shorter time as designated by the Commission. 17 17 E:\FR\FM\17APN1.SGM 17APN1 18202 Federal Register / Vol. 82, No. 72 / Monday, April 17, 2017 / Notices All submissions should refer to File Number SR–C2–2017–013. 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 website (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 website 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–C2– 2017–013 and should be submitted on or before May 8, 2017. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.18 Eduardo A. Aleman, Assistant Secretary. days for public comment in response to the notice. This notice complies with such requirements. DATES: Submit comments on or before June 16, 2017. ADDRESSES: Send all comments to Stephen Morris, Online Media Coordinator, Office of Communications and Public Liaison, Small Business Administration, 409 3rd Street, Floor, Washington, DC 20416. FOR FURTHER INFORMATION CONTACT: Natale Goriel, Online Media Coordinator, (503) 326–5207, Natale.goriel@sba.gov, or Curtis B. Rich, SBA PRA Officer, 202–205–7030, curtis.rich@sba.gov. SUPPLEMENTARY INFORMATION: In an effort to streamline the National Small Business Week nomination process, the SBA has put together nomination forms based on the criteria for each National Small Business Week award. The nomination forms will help the public more easily submit nomination packages to the SBA. Solicitation of Public Comments SBA is requesting comments on (a) Whether the collection of information is necessary for the agency to properly perform its functions; (b) whether the burden estimates are accurate; (c) whether there are ways to minimize the burden, including through the use of automated techniques or other forms of information technology; and (d) whether there are ways to enhance the quality, utility, and clarity of the information. BILLING CODE 8011–01–P SMALL BUSINESS ADMINISTRATION Data Collection Available for Public Comments 60-Day notice and request for comments. ACTION: Summary of Information Collection [FR Doc. 2017–07650 Filed 4–14–17; 8:45 am] Title: National Small Business Week Awards Nomination Forms. Description of Respondents: General public. Form Numbers: 3301–3313. Total Estimated Annual Responses: 200. Total Estimated Annual Hour Burden: 1 hour. BILLING CODE 8025–01–P SUMMARY: [FR Doc. 2017–07654 Filed 4–14–17; 8:45 am] BILLING CODE 8025–01–P The Small Business Administration (SBA) intends to request approval, from the Office of Management and Budget (OMB) for the collection of information described below. The Paperwork Reduction Act (PRA) of 1995 requires federal agencies to publish a notice in the Federal Register concerning each proposed collection of information before submission to OMB, and to allow 60 mstockstill on DSK30JT082PROD with NOTICES SUMMARY: CFR 200.30–3(a)(12). VerDate Sep<11>2014 17:14 Apr 14, 2017 Jkt 241001 Curtis Rich, Management Analyst. Curtis B. Rich, Management Analyst. [FR Doc. 2017–07636 Filed 4–14–17; 8:45 am] 18 17 collection of information described below. The Paperwork Reduction Act (PRA) of 1995 requires federal agencies to publish a notice in the Federal Register concerning each proposed collection of information before submission to OMB, and to allow 60 days for public comment in response to the notice. This notice complies with that requirement. DATES: Submit comments on or before June 16, 2017. ADDRESSES: Send all comments to Mary Frias, Loan Specialist, Office of Financial Assistance, Small Business Administration, 409 3rd Street SW., Washington, DC 20416. FOR FURTHER INFORMATION CONTACT: Mary Frias, Loan Specialist, Office of Financial Assistance, mary.frias@ sba.gov 202–401–8234, or Curtis B. Rich, Management Analyst, 202–205– 7030, curtis.rich@sba.gov. SUPPLEMENTARY INFORMATION: The information collected is used by SBA to monitor the Agents, fees charged by Agents, and the relationship between Agents and lenders. The information helps SBA to determine among other things whether borrowers are paying unnecessary, unreasonable or prohibitive fees. Title: ‘‘Compensation Agreement’’. Form Number’s: 159(7a), 159(504), 159D. Annual Responses: 9,210. Annual Burden: 1,385. SMALL BUSINESS ADMINISTRATION Data Collection Available for Public Comments 60-Day notice and request for comments. ACTION: The Small Business Administration (SBA) intends to request approval, from the Office of Management and Budget (OMB) for the SUMMARY: PO 00000 Frm 00104 Fmt 4703 Sfmt 4703 SMALL BUSINESS ADMINISTRATION Data Collection Available for Public Comments 60-Day Notice and request for comments. ACTION: In accordance with the Paperwork Reduction Act of 1995, this notice announces the Small Business Administration’s intentions to request approval on a new and/or currently approved information collection. DATES: Submit comments on or before June 16, 2017. ADDRESSES: Send all comments regarding whether this information collection is necessary for the proper performance of the function of the agency, whether the burden estimates are accurate, and if there are ways to minimize the estimated burden and enhance the quality of the collections, to Louis Cupp, New Markets Policy E:\FR\FM\17APN1.SGM 17APN1

Agencies

SECURITIES AND EXCHANGE COMMISSION

[Federal Register Volume 82, Number 72 (Monday, April 17, 2017)]
[Notices]
[Pages 18199-18202]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-07636]

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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-80430; File No. SR-C2-2017-013]

Self-Regulatory Organizations; C2 Options Exchange, Incorporated;
Notice of Filing and Immediate Effectiveness of a Proposed Rule Change
Relating to Complex Order Price Protections

April 11, 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 April 5, 2017, C2 Options Exchange, Incorporated (the
``Exchange'' or ``C2'') filed with the Securities and Exchange
Commission (the ``Commission'') the proposed rule change as described
in Items I and II below, which Items have been prepared by the
Exchange. The Exchange filed the proposal pursuant to Section
19(b)(3)(A)(iii) of the Act \3\ and Rule 19b-4(f)(6) thereunder.\4\ 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.
\3\ 15 U.S.C. 78s(b)(3)(A)(iii).
\4\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------

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

The Exchange proposes to amend a current price protection related
to complex orders. The text of the proposed rule change is provided
below.
(additions are italicized; deletions are [bracketed])
* * * * *

C2 Options Exchange, Incorporated

Rules

* * * * *

Rule 6.13. Complex Order Execution

(a)-(c) No change.

. . . Interpretations and Policies:

.01-.03 No change.
.04 Price Check Parameters: On a class-by-class basis, the Exchange
may determine (and announce via Regulatory Circular) which of the
following price check parameters will apply to eligible complex orders.
Paragraphs (b) and (g) will not be applicable to stock-option orders.
For purposes of this Interpretation and Policy .04:
Vertical Spread. A ``vertical'' spread is a two-legged complex
order with one

[[Page 18200]]

leg to buy a number of calls (puts) and one leg to sell the same number
of calls (puts) with the same expiration date but different exercise
prices.
Butterfly Spread. A ``butterfly'' spread is a three-legged complex
order with two legs to buy (sell) the same number of calls (puts) and
one leg to sell (buy) twice as many calls (puts), all with the same
expiration date but different exercise prices, and the exercise price
of the middle leg is between the exercise prices of the other legs. If
the exercise price of the middle leg is halfway between the exercise
prices of the other legs, it is a ``true'' butterfly; otherwise, it is
a ``skewed'' butterfly.
Box Spread. A ``box'' spread is a four-legged complex order with
one leg to buy calls and one leg to sell puts with one strike price,
and one leg to sell calls and one leg to buy puts with another strike
price, all of which have the same expiration date and are for the same
number of contracts.
To the extent a price check parameter is applicable, the Exchange
will not automatically execute an eligible complex order that is:
(a)-(d) No change.
(e) Acceptable Percentage Range Parameter:
(i) An incoming complex order (including a stock-option order)
after [all leg]the series for all legs of the complex order are open
for trading that is marketable and would execute immediately upon
submission to the COB or following a COA if the execution would be at a
price outside an acceptable percentage range. The ``acceptable
percentage range'' is the national spread market (or Exchange spread
market if the NBBO in any leg is locked, crossed or unavailable and for
pairs of orders submitted to AIM or SAM) that existed when the System
received the order or at the start of COA, as applicable, plus/minus:
(A) the amount equal to a percentage (which may not be less than
3%) of the national spread market (the ``percentage amount'') if that
amount is not less than a minimum amount or greater than a maximum
amount (the Exchange will determine the percentage and minimum and
maximum amounts on a class-by-class basis and announce them to Trading
Permit Holders by Regulatory Circular);
(B) the minimum amount, if the percentage amount is less than the
minimum amount; or
(C) the maximum amount, if the percentage amount is greater than
the maximum amount.
(ii) The System cancels an order (or any remaining size after
partial execution of the order) that would execute or rest in the COB
at a price outside the acceptable price range.
(iii) If the System rejects either order in a pair of orders
submitted to AIM or SAM pursuant to this parameter, then the System
also cancels the paired order. Notwithstanding the foregoing, with
respect to an AIM Retained (``A:AIR'') order as defined in
Interpretation and Policy .10 to Rule 6.51, if the System rejects the
Agency Order pursuant to this check, then the System also rejects the
contra-side order; however, if the System rejects the contra-side order
pursuant to this check, the System still accepts the Agency Order if it
satisfies the check. [To the extent a contra-side order or response is
marketable against the Agency Order, the execution price will be capped
at the opposite side of the acceptable price range.]
(iv) This parameter applies to auction responses in the same manner
as it does orders.
(f)-(h) No change.
.06-.07 No change.
* * * * *
The text of the proposed rule change is also available on the
Exchange's website (https://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
Statutory Basis for, the Proposed Rule Change

1. Purpose
The Exchange proposes to amend its acceptable percentage range
parameter for complex orders. In general, pursuant to the acceptable
percentage range parameter in Rule 6.13, Interpretation and Policy
.04(e), the System cancels an incoming order \5\ that is marketable and
would execute immediately upon submission to the complex order book
(``COB'') or following a COA if the execution would be at a price
outside an acceptable percentage range, which is the national spread
market that existed when the System received the order or at the start
of COA, as applicable, plus/minus:
---------------------------------------------------------------------------

\5\ The current rule states this price protection applies to an
incoming order after all leg series are open for trading. The
proposed rule change makes a nonsubstantive change to this provision
to clarify this means the protection applies to an incoming order
after the series for all legs of the complex order are open for
trading.
---------------------------------------------------------------------------

The amount equal to a percentage (which may not be less
than 3%) of the national spread market (the ``percentage amount'') if
that amount is not less than a minimum amount or greater than a maximum
amount (the Exchange will determine the percentage and minimum and
maximum amounts and announce them to Trading Permit Holders by
Regulatory Circular);
the minimum amount, if the percentage amount is less than
the minimum amount; or
the maximum amount, if the percentage amount is greater
than the maximum amount.
First, the proposed rule change amends Rule 6.13, Interpretation
and Policy .04(e)(i)(A) to provide the Exchange may determine the
percentage and the minimum and maximum amounts on a class-by-class
basis. Currently, the rule states the percentage and minimum and
maximum amounts will be the same for all classes. Because of class
differences such as the minimum increment and option prices, the
Exchange believes it may be appropriate to set different amounts so the
outside of the range is not too close or too far away from the market
price for a class and ensure the range creates an effective check for
all classes. Therefore, the proposed rule change adds this flexibility
to the Rule. Other price protections have similar flexibility.\6\
---------------------------------------------------------------------------

\6\ See, e.g., Rule 6.13, Interpretation and Policy .04(g).
---------------------------------------------------------------------------

Second, the proposed rule change adds Rule 6.13, Interpretation and
Policy .04(e)(iv) to provide this parameter will apply to auction
responses in the same manner as it does orders. The current parameter
does not apply to auction responses. As noted in a recent rule filing
enhancing this parameter, even if the parameter does not apply to
auction responses, this protection will prevent an order from executing
outside the acceptable price range (including against an auction
response), and thus responses will not execute against an order outside
the

[[Page 18201]]

acceptable price range.\7\ However, cancelling an auction response
prior to the end of an auction that would execute outside the
acceptable price range may give the submitting Trading Permit Holder an
opportunity to submit a new response within the acceptable price range
prior to the end of the auction, and thus increase execution
opportunities. Therefore, the proposed rule change applies this
parameter to auction response. An auction response at a price outside
the acceptable price range will not execute regardless of whether this
parameter applies to the auction response; applying the parameter to
auction responses merely changes the timing of when the response is
cancelled.\8\ Other price protections similarly apply to auction
responses.\9\
---------------------------------------------------------------------------

\7\ See Securities Exchange Act Release No. 34-80281 (March 20,
2017), 82 FR 15074, note 24 (March 44, 2017) (SR-C2-2017-010).
\8\ Paragraph (e)(iii) currently states to the extent a contra-
side order or response is marketable against the Agency Order, the
execution price will be capped at the opposite side of the
acceptable price range. The proposed rule change deletes this rule
language, as it is redundant. The price protection will, as
proposed, cancel orders and responses (or remaining size after
partial execution) that would execute outside the acceptable price
range. There [sic] is effectively the same as capping an execute
[sic] price no wider than the acceptable price range, as no order or
response will be able to execute at a price outside the range.
\9\ See, e.g., Rule 6.13, Interpretation and Policy .04(c)(4).
---------------------------------------------------------------------------

2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
the Act and the rules and regulations thereunder applicable to the
Exchange and, in particular, the requirements of Section 6(b) of the
Act.\10\ Specifically, the Exchange believes the proposed rule change
is consistent with the Section 6(b)(5) \11\ 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) \12\ requirement that the rules of
an exchange not be designed to permit unfair discrimination between
customers, issuers, brokers, or dealers.
---------------------------------------------------------------------------

\10\ 15 U.S.C. 78f(b).
\11\ 15 U.S.C. 78f(b)(5).
\12\ Id.
---------------------------------------------------------------------------

In particular, the Exchange believes the proposed rule change to
provide the Exchange with flexibility to determine settings for the
acceptable percentage range parameter on a class-by-class manner will
permit the Exchange to ensure the range is not too close or too far
away from the market price for a class based on factors such as minimum
increment and premium, and thus ensure the range creates an effective
check for all classes. This will protect investors from potentially
erroneous executions while removing impediments to and perfecting the
mechanism of a free and open market and a national market system by
ensuring orders are not inadvertently cancelled due to a range that is
too narrow. Other price protections have similar flexibility.\13\
---------------------------------------------------------------------------

\13\ See, e.g., Rule 6.13, Interpretation and Policy .04(g).
---------------------------------------------------------------------------

The proposed rule change to apply the acceptable percentage range
parameter to auction responses merely changes the time at which
responses outside the acceptable price range is cancelled. However,
application of the acceptable percentage range parameter to auction
responses may permit the submitting Trading Permit Holder to enter a
new auction response at a price within the range prior to the end of
the auction, which improves execution opportunities and thus protects
investors. Other price protections similarly apply to auction
responses.\14\
---------------------------------------------------------------------------

\14\ See, e.g., Rule 6.13, Interpretation and Policy .04(c)(4).
---------------------------------------------------------------------------

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

C2 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. The proposed rule change will
apply to all complex orders submitted to C2 in the same manner. The
enhancements to the acceptable percentage range parameter applicable to
all incoming orders will help further prevent potentially erroneous
executions, which benefits all market participants. Additionally, the
proposed rule change is substantially similar to other price
protections.\15\ The proposed rule change will not impose any burden on
intermarket competition, as it applies only to C2 price protection
mechanisms that prevent erroneous executions on C2.
---------------------------------------------------------------------------

\15\ See, e.g., Rule 6.13, Interpretation and Policy .04(c)(4)
and (g).
---------------------------------------------------------------------------

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

Because the foregoing proposed rule change does not: (i)
Significantly affect the protection of investors or the public
interest; (ii) impose any significant burden on competition; and (iii)
become operative for 30 days from the date on which it was filed, or
such shorter time as the Commission may designate, it has become
effective pursuant to Section 19(b)(3)(A) of the Act \16\ and Rule 19b-
4(f)(6) thereunder.\17\
---------------------------------------------------------------------------

\16\ 15 U.S.C. 78s(b)(3)(A).
\17\ 17 CFR 240.19b-4(f)(6). As required under Rule 19b-
4(f)(6)(iii), the Exchange provided the Commission with written
notice of its intent to file the proposed rule change, along with a
brief description and the text of the proposed rule change, at least
five business days prior to the date of filing of the proposed rule
change, or such shorter time as designated by the Commission.
---------------------------------------------------------------------------

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: (i)
Necessary or appropriate in the public interest; (ii) for the
protection of investors; or (iii) otherwise in furtherance of the
purposes of the Act. If the Commission takes such action, the
Commission shall institute proceedings to determine whether the
proposed rule change should be approved or disapproved.

IV. Solicitation of Comments

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

Electronic Comments

Use the Commission's Internet comment form (https://www.sec.gov/rules/sro.shtml); or
Send an email to rule-comments@sec.gov. Please include
File Number SR-C2-2017-013 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.

[[Page 18202]]

All submissions should refer to File Number SR-C2-2017-013. 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 website (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 website 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-C2-2017-013 and should be
submitted on or before May 8, 2017.
---------------------------------------------------------------------------

\18\ 17 CFR 200.30-3(a)(12).

For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\18\
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-07636 Filed 4-14-17; 8:45 am]
BILLING CODE 8011-01-P

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.