Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Permit the Exchange To Publish End-of-Day Indicative Values in SPX After the Close of Regular Trading Hours in SPX, 45650-45653 [2017-20889]
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Federal Register / Vol. 82, No. 188 / Friday, September 29, 2017 / Notices
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–
NYSEArca–2017–109 and should be
submitted on or before October 20,
2017.
solicit comments on the proposed rule
change from interested persons.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.27
Eduardo A. Aleman,
Assistant Secretary.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
[FR Doc. 2017–20888 Filed 9–28–17; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–81714; File No. SR–CBOE–
2017–062]
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Notice of Filing and
Immediate Effectiveness of a Proposed
Rule Change To Permit the Exchange
To Publish End-of-Day Indicative
Values in SPX After the Close of
Regular Trading Hours in SPX
asabaliauskas on DSKBBXCHB2PROD with NOTICES
September 25, 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
September 18, 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 and II
below, which Items have been prepared
by the Exchange. The Exchange filed the
proposal as a ‘‘non-controversial’’
proposed rule change 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
27 17
CFR 200.30–3(a)(12).
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).
1 15
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I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to adopt a
process for disseminating two-sided
indicative values in non-expiring series
of S&P 500 Index (‘‘SPX’’) options,
when necessary, in the interests of fair
and orderly markets (‘‘End-of-Day
Indicative Values’’).
The text of the proposed rule change
is also available on the Exchange’s Web
site (https://www.cboe.com/AboutCBOE/
CBOELegalRegulatoryHome.aspx), at
the Exchange’s Office of the Secretary,
and at the Commission’s Public
Reference Room.
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
Interpretation and Policy .06 to Rule
6.2B (Hybrid Opening (and Sometimes
Closing) System (‘‘HOSS’’)) to establish
its aftermarket procedure for generating
two-sided indicative values in certain
series of SPX options (including series
of SPX and SPXW). Specifically,
proposed paragraph (a) would contain
the current text of Interpretation and
Policy .06 to Rule 6.2B, which the
Exchange is not proposing to change,
regarding the Exchange’s end-of-month
process for disseminating after the close
of trading bid and offer quotations that
reflect a designated Lead MarketMaker’s (‘‘LMM’s’’) calculated
theoretical fair value of non-expiring
series of SPX options as of time of the
close of trading in the underlying cash
market on the last business day of each
calendar month. Proposed paragraph (b)
of Interpretation and Policy .06 to Rule
6.2B would establish the Exchange’s
process for generating two-sided
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indicative values for non-expiring series
of SPX options when the Exchange
determines that it is necessary to
publish such values in the interests of
fair and orderly markets on trading days
other than the final business day of a
calendar month. The specific provisions
of proposed paragraph (b) to
Interpretation and Policy .06 to Rule
6.2B are discussed in detail below.
Background
The Exchange’s opening and closing
procedures are codified in Rules 6.2
(Trading Rotations), 6.2B (Hybrid
Opening System (‘‘HOSS’’)), and 24.13
(Trading Rotations).5 In addition to
describing the Exchange’s normal
opening and closing procedures, the
Rules also provide for deviations from
the Exchange’s regular opening and
closing procedures, which, from timeto-time, the Exchange employs in the
interests of fair and orderly markets
under certain circumstances.6 Pursuant
to Rules 6.2, 6.2A, 6.2B and 24.13, the
Exchange may, in the interests of a fair
and orderly market, decide to employ
special closing procedures after the
normal close of a trading session.7 For
example, Interpretation and Policy .02
to Rule 6.2 provides that a closing
trading rotation may be conducted in
non-expiring options whenever two
Floor Officials conclude, in their
judgment, that such action is
5 Additional opening procedures for classes that
are not traded on the Hybrid Trading System are
also contained in Rule 6.2A (Rapid Opening
System). The ‘‘Hybrid Trading System’’ refers to the
Exchange’s trading platform that allows MarketMakers to submit electronic quotes in their
appointed classes and any connectivity to the
foregoing trading platform that is administered by
or on behalf of the Exchange, such as a
communications hub. ‘‘Hybrid 3.0 Platform’’ is an
electronic trading platform on the Hybrid Trading
System that allows one or more quoters to submit
electronic quotes which represent the aggregate
Market-Maker quoting interest in a series for the
trading crowd. References to ‘‘Hybrid,’’ ‘‘Hybrid
System,’’ or ‘‘Hybrid Trading System’’ in the
Exchange’s Rules include all platforms unless
otherwise provided by rule, including both the
Hybrid and Hybrid 3.0 platforms. See Rule 1.1(aaa)
(Definitions—Hybrid Trading System). Currently,
all classes traded on the Exchange are traded on the
Hybrid System as defined under Rule 1.1(aaa), with
standard SPX options contracts being the only
group of series of any class that is traded on the
Hybrid 3.0 Platform.
6 Although Rule 6.2 pertains to trading rotations,
Interpretation and Policy .02 to Rule 6.2 provides
that the Designated Primary Market-Maker (‘‘DPM’’)
or LMM appointed in the class may deviate from
any rotation policy or procedure issued by the
Exchange with the approval of two Floor Officials.
Rule 6.2B(h) is silent as to the type of closing
procedure that may be employed in the interests of
a fair and orderly market. Rule 24.13 references
Rules 6.2 and 6.2B, indicating that the procedures
set forth in those rules may be employed with
respect to index options.
7 See Rules 6.2.02, 6.2.03, 6.2.05, 6.2B(h), 6.2B(f),
and 24.13.01.
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appropriate. Among the factors that may
be considered in determining whether
to conduct a closing rotation are
whether there has been a recent opening
or reopening of trading in the
underlying security, a declaration of a
‘‘fast market’’ pursuant to Rule 6.6,8 a
need for a rotation in connection with
expiring individual security options, an
end of the year rotation, or the restart of
a rotation which is already in progress.9
Notably, Interpretation and Policy .02 to
Rule 6.2 explicitly provides that the list
of examples identified as factors that
may be considered in determining
whether to employ a closing rotation are
exemplary, not exhaustive. In addition,
Rule 6.2 expressly provides that the
DPM or LMM appointed in the class
may, with the approval of senior Help
Desk personnel, deviate from any
rotation policy or procedure issued by
the Exchange. Such deviations from
normal policies and procedures may
include, for example, determinations to
employ abbreviated closing rotation
procedures pursuant to Interpretation
and Policy .04 to Rule 6.2.
Similarly, Rule 6.2B(g) permits the
Exchange to employ a closing rotation
in series traded on the Hybrid Trading
System. Under Rule 6.2B(h), the
Exchange may decide to employ a
closing rotation in a series after the end
of the normal close of any trading
session whenever the Exchange
concludes that such action is
appropriate in the interests of a fair and
orderly market. Similar to Interpretation
and Policy .02 to Rule 6.2, the list of
factors that may be considered in
determining whether to hold a closing
rotation procedure include, but are not
limited to, whether there has been a
recent opening or reopening of trading
in the underlying security, a declaration
of a fast market, or a need for a closing
procedure in connection with expiring
individual security options, an end of
the year procedure, or the restart of a
procedure which is already in progress.
Rule 6.2B(g) provides that senior Help
Desk personnel and senior management
may deviate from the standard manner
of conducting a closing rotation in any
option class if necessary in the interests
of maintaining a fair and orderly market.
Similarly, Rule 24.13 extends the
8 See Rule 6.6(a) (Unusual Market Conditions)
(Whenever in the judgment of any two Floor
Officials, because of an influx of orders or other
unusual conditions or circumstances, the interest of
maintaining a fair and orderly market so require,
those Floor Officials may declare the market in one
or more classes of option contracts to be ‘‘fast.’’).
9 See Rule 6.2.02.
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quotations in affected series, will be
disseminated after the close of trading
pursuant to special closing procedures.
In an effort to enhance and increase
transparency around the end-of-day
process, the Exchange proposes to
change the way that it deals with wide
and absent quotations in non-expiring
series of SPX on days other than the
final business day of each calendar
month by adding to the Rules a
procedure for disseminating clearly
marked two-sided indicative values,
derived from previously displayed firm
quotations and orders or generally
accepted volatility and options pricing
models after the close of trading.
closing rotation procedures in Rules 6.2
and 6.2B to index options products.10
In general, the Exchange’s end-of-day
bid and offer quotations are determined
based on actual bids and offers
displayed in market as of the close of
trading on the Exchange. These final
end-of-day bids and offer are used by
various market participants, which may
include broker-dealers, mutual funds,
hedge funds, advisory firms, and
clearing houses, for different business
and risk-related functions such as
portfolio performance analyses, daily
profit and loss reports. On certain
trading days, however, market
conditions may cause Market-Makers to
widen or remove their quotes from the
market during the final moments of
trading in order to mitigate the risk and
uncertainty associated with carrying
overnight positions and the possibility
of hedges being unavailable to offset
such risk after the close of trading.
Additionally, synchronization issues
may cause Market-Makers to widen or
remove their quotes from the market
during the final moments of trading if
their feed from the underlying futures
markets are not synchronized with the
Exchange’s close of trading. In these
instances, resulting quotations may not
reflect true market pricing, which may
artificially affect the Net Asset Value
(‘‘NAV’’) of mutual funds, portfolio
managers’ performance indicators, and
institutional and retail capital
requirements. Consistent with the
discretion afforded to the Exchange
under Rules 6.2A, 6.2B, and 24.13, as
discussed above, the Exchange may
conduct special closing procedures to
ensure that the end-of-day pricing is
consistent with actual market
conditions as of the close of trading if
it concludes that deviation from the
Exchange’s standard closing procedures
is appropriate in the interests of fair and
orderly markets. In such cases, in
addition to publishing the actual end-ofday bid and offer quotations displayed
in market as of the close of trading, the
Exchange provides notice to Trading
Permit Holders (‘‘TPHs’’) that a second
set of quotations, determined based on
an objectively selected Market-Maker’s
algorithmically generated bid and offer
Proposal
The Exchange proposes to adopt
paragraph (b) to Interpretation and
Policy .06 to Rule 6.2B to describe its
end-of-day process for formulating twosided indicative values for certain series
of SPX options when necessary in the
interests of fair and orderly markets.
Specifically, proposed paragraph (b) of
Interpretation and Policy .06 to Rule
6.2B would provide that following the
close of trading on any trading day that
is not the last business day of a calendar
month, in addition to the Exchange’s
regular end-of-day quotations, the
Exchange may determine, on a seriesby-series basis, to disseminate two-sided
indicative values in non-expiring series
of SPX options in the interests of fair
and orderly markets. Under the
proposed rule, the determination to
disseminate two-sided end-of-day
indicative values would be made by the
Exchange based on various sets of
objective criteria such as the absence of
any bid or offer in the series, whether
the bid-ask differential in a series is
unreasonably or extraordinarily wide in
relation to the quote widths that existed
in series during trading, or whether the
midpoint between the quotes in the
series moved by a certain amount
within the final moments of trading.11
The Exchange would algorithmically
derive such two-sided indicative values,
on a series-by-series basis, based on the
last displayed quotations and orders
that meet an objective measure of
reasonability (e.g., quotes and orders
10 Under Rule 24.13 (Trading Rotations), the
Exchange may provide for the opening rotation to
be conducted using the procedures as described in
this Rule 24.13 or in Rule 6.2, or by use of the
Exchange’s Rapid Opening System as set forth in
Rule 6.2A or the Exchange’s Hybrid Opening
System as set forth in Rule 6.2B. The DPM, LMM
or Order Book Official (‘‘OBO’’), with the approval
of two Floor Officials, may deviate from any
rotation policy or procedure issued by the Exchange
when they conclude in their judgment that such
action is appropriate in the interests of a fair and
orderly market.
11 This process would not change the end-ofmonth fair value process, which is described in
current Interpretation and Policy .06 to Rule 6.2B
and which would become paragraph (a) to
Interpretation and Policy .06 to Rule 6.2B under the
Exchange’s proposal. In addition, the rule text
would provide that the Exchange may determine,
on a series-by-series basis, to disseminate two-sided
indicative values in non-expiring series of SPX
options only. This process would not be applicable
to expiring series of SPX options as those series
would be settled at the final cash market closing
value (i.e. intrinsic value at expiration).
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that create a bid-ask differential that is
not wider than a particular amount)
prior to the close of trading. The
Exchange notes that quotes and orders
that meet the reasonability criteria
typically exist within 15 minutes of the
close of trading. In the absence of quotes
and orders in the series that meet the
objective reasonability criteria, twosided indicative values would be
generated using generally accepted
volatility and options pricing models
(e.g., Black Scholes) as determined by
the Exchange. The Exchange would
apply the model to a set of data points
(i.e. displayed quotations and orders)
over a period of time prior to the close
of trading to calculate implied volatility
for all series within the data set and
generate a volatility surface. Outlier data
points (wide quotes or no bid series)
would be removed from the calculation
pursuant to a set of objective criteria.
Using the derived volatility surface and
ensuring that prices do not cross
through closing bid/ask quotes (i.e.,
model-generated price cannot be lower
than the market’s highest bid price or
greater than the lowest offer price), the
Exchange would back out midpoint
prices for all series and then generate
two-sided indicative values around
those midpoints, and the created spread
would vary depending on series. Twosided indicative values would be
disseminated via the Options Price
Reporting Authority (‘‘OPRA’’) and
CBOE Streaming Markets (‘‘CSM’’).
Consistent with the last sentence of
proposed Interpretation and Policy
.06(b) to Rule 6.2B, which provides that
two-sided indicative values would be
clearly identified in an appropriate
manner as determined by the Exchange,
two-sided indicative values would be
sent to OPRA with a specific message
indicator (i.e. message type ‘‘I’’) that has
been adopted by OPRA solely for the
purpose of disseminating after-market
indicative value information. Pursuant
to OPRA message specifications, the
new ‘‘I’’ message type would only be
applicable to and active for messages
sent after the close of trading of regular
trading hours, which would be enforced
to only allow ‘‘I’’ messages to be
disseminated after 4:15 p.m. ET. The ‘‘I’’
indicator will not be disseminated for
quotes generated during an extended
trading hours session. The Exchange has
communicated and worked with other
OPRA reporting entities to ensure that
within the industry, the transmission of
aftermarket messages types marked ‘‘I’’
is defined within the OPRA message
specifications and understood to be
used to delineate informational twosided indicative values. Pursuant to the
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proposed rule text, these OPRA message
specifications and the ‘‘I’’ indicator
would be further described and
communicated to market participants
via Regulatory Circular.
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.12 Specifically,
the Exchange believes the proposed rule
change is consistent with the Section
6(b)(5) 13 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) 14 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
that generating end-of-day indicative
values will serve to protect investors
and the public interest by giving market
participants another value to reference,
if, for example, market participants
believe the end-of-day indicative values
are more accurate than the actual endof-day values. The Exchange believes
that the proposed procedure is a
reasonable procedure permitting the
Exchange to disseminate informational
indicative values more reflective of
actual options values in addition to final
end-of-day displayed quotations when
members’ systems issues or market
conditions result in an absence of final
quotes or extraordinarily wide final
quotes without interfering in the
markets or impeding any market
functionalities that rely on accurate
pricing or end-of-day quotes. The
Exchange believes that such procedures
may be especially appropriate given the
fact that wide or no-bid closing prices
may be a reflection of prudent risk
control measures, which may cause
market participants to widen or pull
quotations from the market prior to the
12 15
13 15
U.S.C. 78f(b).
U.S.C. 78f(b)(5).
14 Id.
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close of trading in order to avoid
carrying overnight positions or taking
on positions while appropriate hedging
instruments are unavailable. The
Exchange also believes that its proposal
is consistent with the Commission’s
recent emphasis on the need for
exchanges to adopt measures to protect
investors by dampening the effects of
unrepresentative market volatility on
market participants.15
Additionally, the Exchange believes
that the proposed rule change, which
simply proposes to make additional
information regarding the indicative
market value(s) of select SPX options
available to market participants after the
close of the markets is consistent with
its trading rules and the Act. The
proposed rule does not seek to modify
any rules relating to or impacting the
way in which options transactions are
handled, represented, executed, or
reported on the Exchange. Rather, the
Exchange is simply proposing to make
additional information available to
market participants under certain
circumstances in which such
information may be informative or
useful. This information would not be
disseminated during trading hours and
would be clearly marked to denote that
it is informational only. The Exchange
also believes that its proposal is
consistent with current Rules 6.2, 6.2A,
6.2B and 24.13, which provide that the
Exchange may, in the interests of a fair
and orderly market, decide to employ
the end-of-day indicative value process
after the normal close of a trading
session.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange 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 merely seeks to
describe procedures that may be
employed at the Exchange. The
proposed procedures will be equally
applied to affect all market participants
15 The Exchange also notes the Commission’s
emphasis on the need for exchanges to adopt
measures to dampen and protect against excessive
risk and market volatility. See, e.g., 15 U.S.C.
240.15c3–5 (Risk Management Controls for Brokers
or Dealers with Market Access); Securities
Exchange Act Release No. 34–67091 (May 31, 2011),
(Order Approving, on a Pilot Basis, the National
Market System Plan to Address Extraordinary
Market Volatility), File No. 4–631. Various
exchanges have also instituted precautionary
systematic controls to assist market participants in
limiting exposure and ensuring against excessive
risk-taking. See, e.g., Nasdaq ISE, LLC Rule 804(g)
(Automated Quotation Adjustments); Nasdaq Stock
Market LLC Rule 6130 (NASDAQ Kill Switch); see
also Rule 8.18 (Quote Risk Monitor Mechanism).
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equally in the options market.
Furthermore, when the Exchange
employs the end-of-day indicative value
process, market participants determine
whether to utilize the indicative value.
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 written 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)(iii) of the Act 16 and
subparagraph (f)(6) of Rule 19b–4
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
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
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• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
CBOE–2017–062 on the subject line.
U.S.C. 78s(b)(3)(A)(iii).
CFR 240.19b–4(f)(6). In addition, Rule 19b–
4(f)(6) requires a self-regulatory organization to give
the Commission written notice of its intent to file
the proposed rule change, along with a brief
description and 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. The Exchange
has satisfied this requirement.
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–2017–062. This file
number should be included on the
subject line if email is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for Web site viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE.,
Washington, DC 20549 on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of such
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–
2017–062, and should be submitted on
or before October 20, 2017.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.18
Eduardo A. Aleman,
Assistant Secretary.
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SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–81716; File No. SR–
NYSEAMER–2017–10]
Self-Regulatory Organizations; NYSE
American LLC; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change To Amend Rule 928NY To
Allow Certain Order Types To Be
Excluded From the Risk Limitation
Mechanism
September 25, 2017.
Pursuant to Section 19(b)(1) 1 of the
Securities Exchange Act of 1934 (the
‘‘Act’’),2 and Rule 19b–4 thereunder,3
notice is hereby given that on
September 11, 2017, NYSE American
LLC (the ‘‘Exchange’’ or ‘‘NYSE
American’’) 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 self-regulatory organization. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of the Substance
of the Proposed Rule Change
The Exchange proposes to amend
Rule 928NY (Risk Limitation
Mechanism) to allow certain order types
to be excluded from the risk limitation
mechanism. The proposed rule change
is available on the Exchange’s Web site
at www.nyse.com, at the principal office
of the Exchange, and at the
Commission’s Public Reference Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
self-regulatory organization 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 those 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 parts of such
statements.
1 15
U.S.C. 78s(b)(1).
U.S.C. 78a.
3 17 CFR 240.19b–4.
2 15
18 17
PO 00000
CFR 200.30–3(a)(12).
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]]>Agencies
[Federal Register Volume 82, Number 188 (Friday, September 29, 2017)]
[Notices]
[Pages 45650-45653]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-20889]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-81714; File No. SR-CBOE-2017-062]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Notice of Filing and Immediate Effectiveness of a
Proposed Rule Change To Permit the Exchange To Publish End-of-Day
Indicative Values in SPX After the Close of Regular Trading Hours in
SPX
September 25, 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 September 18, 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 and II below, which Items have been prepared by
the Exchange. The Exchange filed the proposal as a ``non-
controversial'' proposed rule change 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.
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\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).
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to adopt a process for disseminating two-
sided indicative values in non-expiring series of S&P 500 Index
(``SPX'') options, when necessary, in the interests of fair and orderly
markets (``End-of-Day Indicative Values'').
The text of the proposed rule change is also available on the
Exchange's Web site (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 Interpretation and Policy .06 to
Rule 6.2B (Hybrid Opening (and Sometimes Closing) System (``HOSS'')) to
establish its aftermarket procedure for generating two-sided indicative
values in certain series of SPX options (including series of SPX and
SPXW). Specifically, proposed paragraph (a) would contain the current
text of Interpretation and Policy .06 to Rule 6.2B, which the Exchange
is not proposing to change, regarding the Exchange's end-of-month
process for disseminating after the close of trading bid and offer
quotations that reflect a designated Lead Market-Maker's (``LMM's'')
calculated theoretical fair value of non-expiring series of SPX options
as of time of the close of trading in the underlying cash market on the
last business day of each calendar month. Proposed paragraph (b) of
Interpretation and Policy .06 to Rule 6.2B would establish the
Exchange's process for generating two-sided indicative values for non-
expiring series of SPX options when the Exchange determines that it is
necessary to publish such values in the interests of fair and orderly
markets on trading days other than the final business day of a calendar
month. The specific provisions of proposed paragraph (b) to
Interpretation and Policy .06 to Rule 6.2B are discussed in detail
below.
Background
The Exchange's opening and closing procedures are codified in Rules
6.2 (Trading Rotations), 6.2B (Hybrid Opening System (``HOSS'')), and
24.13 (Trading Rotations).\5\ In addition to describing the Exchange's
normal opening and closing procedures, the Rules also provide for
deviations from the Exchange's regular opening and closing procedures,
which, from time-to-time, the Exchange employs in the interests of fair
and orderly markets under certain circumstances.\6\ Pursuant to Rules
6.2, 6.2A, 6.2B and 24.13, the Exchange may, in the interests of a fair
and orderly market, decide to employ special closing procedures after
the normal close of a trading session.\7\ For example, Interpretation
and Policy .02 to Rule 6.2 provides that a closing trading rotation may
be conducted in non-expiring options whenever two Floor Officials
conclude, in their judgment, that such action is
[[Page 45651]]
appropriate. Among the factors that may be considered in determining
whether to conduct a closing rotation are whether there has been a
recent opening or reopening of trading in the underlying security, a
declaration of a ``fast market'' pursuant to Rule 6.6,\8\ a need for a
rotation in connection with expiring individual security options, an
end of the year rotation, or the restart of a rotation which is already
in progress.\9\ Notably, Interpretation and Policy .02 to Rule 6.2
explicitly provides that the list of examples identified as factors
that may be considered in determining whether to employ a closing
rotation are exemplary, not exhaustive. In addition, Rule 6.2 expressly
provides that the DPM or LMM appointed in the class may, with the
approval of senior Help Desk personnel, deviate from any rotation
policy or procedure issued by the Exchange. Such deviations from normal
policies and procedures may include, for example, determinations to
employ abbreviated closing rotation procedures pursuant to
Interpretation and Policy .04 to Rule 6.2.
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\5\ Additional opening procedures for classes that are not
traded on the Hybrid Trading System are also contained in Rule 6.2A
(Rapid Opening System). The ``Hybrid Trading System'' refers to the
Exchange's trading platform that allows Market-Makers to submit
electronic quotes in their appointed classes and any connectivity to
the foregoing trading platform that is administered by or on behalf
of the Exchange, such as a communications hub. ``Hybrid 3.0
Platform'' is an electronic trading platform on the Hybrid Trading
System that allows one or more quoters to submit electronic quotes
which represent the aggregate Market-Maker quoting interest in a
series for the trading crowd. References to ``Hybrid,'' ``Hybrid
System,'' or ``Hybrid Trading System'' in the Exchange's Rules
include all platforms unless otherwise provided by rule, including
both the Hybrid and Hybrid 3.0 platforms. See Rule 1.1(aaa)
(Definitions--Hybrid Trading System). Currently, all classes traded
on the Exchange are traded on the Hybrid System as defined under
Rule 1.1(aaa), with standard SPX options contracts being the only
group of series of any class that is traded on the Hybrid 3.0
Platform.
\6\ Although Rule 6.2 pertains to trading rotations,
Interpretation and Policy .02 to Rule 6.2 provides that the
Designated Primary Market-Maker (``DPM'') or LMM appointed in the
class may deviate from any rotation policy or procedure issued by
the Exchange with the approval of two Floor Officials. Rule 6.2B(h)
is silent as to the type of closing procedure that may be employed
in the interests of a fair and orderly market. Rule 24.13 references
Rules 6.2 and 6.2B, indicating that the procedures set forth in
those rules may be employed with respect to index options.
\7\ See Rules 6.2.02, 6.2.03, 6.2.05, 6.2B(h), 6.2B(f), and
24.13.01.
\8\ See Rule 6.6(a) (Unusual Market Conditions) (Whenever in the
judgment of any two Floor Officials, because of an influx of orders
or other unusual conditions or circumstances, the interest of
maintaining a fair and orderly market so require, those Floor
Officials may declare the market in one or more classes of option
contracts to be ``fast.'').
\9\ See Rule 6.2.02.
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Similarly, Rule 6.2B(g) permits the Exchange to employ a closing
rotation in series traded on the Hybrid Trading System. Under Rule
6.2B(h), the Exchange may decide to employ a closing rotation in a
series after the end of the normal close of any trading session
whenever the Exchange concludes that such action is appropriate in the
interests of a fair and orderly market. Similar to Interpretation and
Policy .02 to Rule 6.2, the list of factors that may be considered in
determining whether to hold a closing rotation procedure include, but
are not limited to, whether there has been a recent opening or
reopening of trading in the underlying security, a declaration of a
fast market, or a need for a closing procedure in connection with
expiring individual security options, an end of the year procedure, or
the restart of a procedure which is already in progress. Rule 6.2B(g)
provides that senior Help Desk personnel and senior management may
deviate from the standard manner of conducting a closing rotation in
any option class if necessary in the interests of maintaining a fair
and orderly market. Similarly, Rule 24.13 extends the closing rotation
procedures in Rules 6.2 and 6.2B to index options products.\10\
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\10\ Under Rule 24.13 (Trading Rotations), the Exchange may
provide for the opening rotation to be conducted using the
procedures as described in this Rule 24.13 or in Rule 6.2, or by use
of the Exchange's Rapid Opening System as set forth in Rule 6.2A or
the Exchange's Hybrid Opening System as set forth in Rule 6.2B. The
DPM, LMM or Order Book Official (``OBO''), with the approval of two
Floor Officials, may deviate from any rotation policy or procedure
issued by the Exchange when they conclude in their judgment that
such action is appropriate in the interests of a fair and orderly
market.
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In general, the Exchange's end-of-day bid and offer quotations are
determined based on actual bids and offers displayed in market as of
the close of trading on the Exchange. These final end-of-day bids and
offer are used by various market participants, which may include
broker-dealers, mutual funds, hedge funds, advisory firms, and clearing
houses, for different business and risk-related functions such as
portfolio performance analyses, daily profit and loss reports. On
certain trading days, however, market conditions may cause Market-
Makers to widen or remove their quotes from the market during the final
moments of trading in order to mitigate the risk and uncertainty
associated with carrying overnight positions and the possibility of
hedges being unavailable to offset such risk after the close of
trading. Additionally, synchronization issues may cause Market-Makers
to widen or remove their quotes from the market during the final
moments of trading if their feed from the underlying futures markets
are not synchronized with the Exchange's close of trading. In these
instances, resulting quotations may not reflect true market pricing,
which may artificially affect the Net Asset Value (``NAV'') of mutual
funds, portfolio managers' performance indicators, and institutional
and retail capital requirements. Consistent with the discretion
afforded to the Exchange under Rules 6.2A, 6.2B, and 24.13, as
discussed above, the Exchange may conduct special closing procedures to
ensure that the end-of-day pricing is consistent with actual market
conditions as of the close of trading if it concludes that deviation
from the Exchange's standard closing procedures is appropriate in the
interests of fair and orderly markets. In such cases, in addition to
publishing the actual end-of-day bid and offer quotations displayed in
market as of the close of trading, the Exchange provides notice to
Trading Permit Holders (``TPHs'') that a second set of quotations,
determined based on an objectively selected Market-Maker's
algorithmically generated bid and offer quotations in affected series,
will be disseminated after the close of trading pursuant to special
closing procedures. In an effort to enhance and increase transparency
around the end-of-day process, the Exchange proposes to change the way
that it deals with wide and absent quotations in non-expiring series of
SPX on days other than the final business day of each calendar month by
adding to the Rules a procedure for disseminating clearly marked two-
sided indicative values, derived from previously displayed firm
quotations and orders or generally accepted volatility and options
pricing models after the close of trading.
Proposal
The Exchange proposes to adopt paragraph (b) to Interpretation and
Policy .06 to Rule 6.2B to describe its end-of-day process for
formulating two-sided indicative values for certain series of SPX
options when necessary in the interests of fair and orderly markets.
Specifically, proposed paragraph (b) of Interpretation and Policy .06
to Rule 6.2B would provide that following the close of trading on any
trading day that is not the last business day of a calendar month, in
addition to the Exchange's regular end-of-day quotations, the Exchange
may determine, on a series-by-series basis, to disseminate two-sided
indicative values in non-expiring series of SPX options in the
interests of fair and orderly markets. Under the proposed rule, the
determination to disseminate two-sided end-of-day indicative values
would be made by the Exchange based on various sets of objective
criteria such as the absence of any bid or offer in the series, whether
the bid-ask differential in a series is unreasonably or extraordinarily
wide in relation to the quote widths that existed in series during
trading, or whether the midpoint between the quotes in the series moved
by a certain amount within the final moments of trading.\11\
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\11\ This process would not change the end-of-month fair value
process, which is described in current Interpretation and Policy .06
to Rule 6.2B and which would become paragraph (a) to Interpretation
and Policy .06 to Rule 6.2B under the Exchange's proposal. In
addition, the rule text would provide that the Exchange may
determine, on a series-by-series basis, to disseminate two-sided
indicative values in non-expiring series of SPX options only. This
process would not be applicable to expiring series of SPX options as
those series would be settled at the final cash market closing value
(i.e. intrinsic value at expiration).
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The Exchange would algorithmically derive such two-sided indicative
values, on a series-by-series basis, based on the last displayed
quotations and orders that meet an objective measure of reasonability
(e.g., quotes and orders
[[Page 45652]]
that create a bid-ask differential that is not wider than a particular
amount) prior to the close of trading. The Exchange notes that quotes
and orders that meet the reasonability criteria typically exist within
15 minutes of the close of trading. In the absence of quotes and orders
in the series that meet the objective reasonability criteria, two-sided
indicative values would be generated using generally accepted
volatility and options pricing models (e.g., Black Scholes) as
determined by the Exchange. The Exchange would apply the model to a set
of data points (i.e. displayed quotations and orders) over a period of
time prior to the close of trading to calculate implied volatility for
all series within the data set and generate a volatility surface.
Outlier data points (wide quotes or no bid series) would be removed
from the calculation pursuant to a set of objective criteria. Using the
derived volatility surface and ensuring that prices do not cross
through closing bid/ask quotes (i.e., model-generated price cannot be
lower than the market's highest bid price or greater than the lowest
offer price), the Exchange would back out midpoint prices for all
series and then generate two-sided indicative values around those
midpoints, and the created spread would vary depending on series. Two-
sided indicative values would be disseminated via the Options Price
Reporting Authority (``OPRA'') and CBOE Streaming Markets (``CSM'').
Consistent with the last sentence of proposed Interpretation and Policy
.06(b) to Rule 6.2B, which provides that two-sided indicative values
would be clearly identified in an appropriate manner as determined by
the Exchange, two-sided indicative values would be sent to OPRA with a
specific message indicator (i.e. message type ``I'') that has been
adopted by OPRA solely for the purpose of disseminating after-market
indicative value information. Pursuant to OPRA message specifications,
the new ``I'' message type would only be applicable to and active for
messages sent after the close of trading of regular trading hours,
which would be enforced to only allow ``I'' messages to be disseminated
after 4:15 p.m. ET. The ``I'' indicator will not be disseminated for
quotes generated during an extended trading hours session. The Exchange
has communicated and worked with other OPRA reporting entities to
ensure that within the industry, the transmission of aftermarket
messages types marked ``I'' is defined within the OPRA message
specifications and understood to be used to delineate informational
two-sided indicative values. Pursuant to the proposed rule text, these
OPRA message specifications and the ``I'' indicator would be further
described and communicated to market participants via Regulatory
Circular.
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.\12\ Specifically, the
Exchange believes the proposed rule change is consistent with the
Section 6(b)(5) \13\ 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) \14\ requirement that the rules of an exchange not be
designed to permit unfair discrimination between customers, issuers,
brokers, or dealers.
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\12\ 15 U.S.C. 78f(b).
\13\ 15 U.S.C. 78f(b)(5).
\14\ Id.
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In particular, the Exchange believes that generating end-of-day
indicative values will serve to protect investors and the public
interest by giving market participants another value to reference, if,
for example, market participants believe the end-of-day indicative
values are more accurate than the actual end-of-day values. The
Exchange believes that the proposed procedure is a reasonable procedure
permitting the Exchange to disseminate informational indicative values
more reflective of actual options values in addition to final end-of-
day displayed quotations when members' systems issues or market
conditions result in an absence of final quotes or extraordinarily wide
final quotes without interfering in the markets or impeding any market
functionalities that rely on accurate pricing or end-of-day quotes. The
Exchange believes that such procedures may be especially appropriate
given the fact that wide or no-bid closing prices may be a reflection
of prudent risk control measures, which may cause market participants
to widen or pull quotations from the market prior to the close of
trading in order to avoid carrying overnight positions or taking on
positions while appropriate hedging instruments are unavailable. The
Exchange also believes that its proposal is consistent with the
Commission's recent emphasis on the need for exchanges to adopt
measures to protect investors by dampening the effects of
unrepresentative market volatility on market participants.\15\
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\15\ The Exchange also notes the Commission's emphasis on the
need for exchanges to adopt measures to dampen and protect against
excessive risk and market volatility. See, e.g., 15 U.S.C. 240.15c3-
5 (Risk Management Controls for Brokers or Dealers with Market
Access); Securities Exchange Act Release No. 34-67091 (May 31,
2011), (Order Approving, on a Pilot Basis, the National Market
System Plan to Address Extraordinary Market Volatility), File No. 4-
631. Various exchanges have also instituted precautionary systematic
controls to assist market participants in limiting exposure and
ensuring against excessive risk-taking. See, e.g., Nasdaq ISE, LLC
Rule 804(g) (Automated Quotation Adjustments); Nasdaq Stock Market
LLC Rule 6130 (NASDAQ Kill Switch); see also Rule 8.18 (Quote Risk
Monitor Mechanism).
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Additionally, the Exchange believes that the proposed rule change,
which simply proposes to make additional information regarding the
indicative market value(s) of select SPX options available to market
participants after the close of the markets is consistent with its
trading rules and the Act. The proposed rule does not seek to modify
any rules relating to or impacting the way in which options
transactions are handled, represented, executed, or reported on the
Exchange. Rather, the Exchange is simply proposing to make additional
information available to market participants under certain
circumstances in which such information may be informative or useful.
This information would not be disseminated during trading hours and
would be clearly marked to denote that it is informational only. The
Exchange also believes that its proposal is consistent with current
Rules 6.2, 6.2A, 6.2B and 24.13, which provide that the Exchange may,
in the interests of a fair and orderly market, decide to employ the
end-of-day indicative value process after the normal close of a trading
session.
B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange 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
merely seeks to describe procedures that may be employed at the
Exchange. The proposed procedures will be equally applied to affect all
market participants
[[Page 45653]]
equally in the options market. Furthermore, when the Exchange employs
the end-of-day indicative value process, market participants determine
whether to utilize the indicative value.
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 written 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)(iii) of the Act \16\ and
subparagraph (f)(6) of Rule 19b-4 thereunder.\17\
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\16\ 15 U.S.C. 78s(b)(3)(A)(iii).
\17\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)
requires a self-regulatory organization to give the Commission
written notice of its intent to file the proposed rule change, along
with a brief description and 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.
The Exchange has satisfied this requirement.
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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 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-CBOE-2017-062 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-2017-062. This file
number should be included on the subject line if email is used. To help
the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet Web site (https://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all
written statements with respect to the proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for Web site viewing and
printing in the Commission's Public Reference Room, 100 F Street NE.,
Washington, DC 20549 on official business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of such 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-2017-062, and should be
submitted on or before October 20, 2017.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\18\
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\18\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-20889 Filed 9-28-17; 8:45 am]
BILLING CODE 8011-01-P
