Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Amend Exchange Rule 24.6, Days and Hours of Business Concerning Expiring MSCI EAFE Index Options and MSCI Emerging Markets Index Options, 31802-31804 [2018-14548]
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sradovich on DSK3GMQ082PROD with NOTICES
31802
Federal Register / Vol. 83, No. 131 / Monday, July 9, 2018 / Notices
(‘‘Commission’’) is soliciting comments
on the collection of information
summarized below. The Commission
plans to submit this existing collection
of information to the Office of
Management and Budget for extension
and approval.
Rule 239 (17 CFR 230.239) provides
exemptions under the Securities Act of
1933 (15 U.S.C. 77a et seq.), the
Securities Exchange Act of 1934 (15
U.S.C. 78a et seq.) and the Trust
Indenture Act of 1939 (U.S.C. 77aaa et
seq.) for security-based swaps issued by
certain clearing agencies satisfying
certain conditions. The purpose of the
information required by Rule 239 is to
make certain information about
security-based swaps that may be
cleared by the registered or the exempt
clearing agencies available to eligible
contract participants and other market
participants. We estimate that each
registered or exempt clearing agency
issuing security-based swaps in its
function as a central counterparty will
spend approximately 2 hours each time
it provides or update the information in
its agreements relating to security-based
swaps or on its website. We estimate
that each registered or exempt clearing
agency will provide or update the
information approximately 20 times per
year. In addition, we estimate that 75%
of the 2 hours per response (1.5 hours)
is prepared internally by the clearing
agency for a total annual reporting
burden of 180 hours (1.5 hours per
response × 20 times × 6 respondents).
Written comments are invited on: (a)
Whether the proposed collection of
information is necessary for the proper
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 Candace
Kenner, 100 F Street NE, Washington,
VerDate Sep<11>2014
18:00 Jul 06, 2018
Jkt 244001
DC 20549 or send an email to: PRA_
Mailbox@sec.gov.
Dated: July 3, 2018.
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2018–14657 Filed 7–6–18; 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
Extension:
Form TH, SEC File No. 270–377, OMB
Control No. 3235–0425
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
plans to submit this existing collection
of information to the Office of
Management and Budget for extension
and approval.
Form TH (17 CFR 239.65, 249.447,
269.10 and 274.404) under the
Securities Act of 1933 (15 U.S.C. 77a et
seq.), the Securities Exchange Act of
1934 (15 U.S.C. 78a et seq.), the Trust
Indenture Act of 1939 (15 U.S.C. 77aaa
et seq.) and the Investment Company
Act of 1940 (15 U.S.C. 80a–1 et seq.) is
used by registrants to notify the
Commission that an electronic filer is
relying on the temporary hardship
exemption for the filing of a document
in paper form that would otherwise be
required to be filed electronically as
required by Rule 201(a) of Regulation S–
T. Form TH must be filed every time an
electronic filer experiences
unanticipated technical difficulties
preventing the timely preparation and
submission of a required electronic
filing. Approximately 5 registrants file
Form TH and it takes an estimated 0.33
hours per response for a total annual
burden of 2 hours (0.33 hours per
response × 5 responses).
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.
Written comments are invited on: (a)
Whether the proposed collection of
information is necessary for the proper
performance of the functions of the
PO 00000
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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.
Please direct your written comments
to Pamela Dyson, Director/Chief
Information Officer, Securities and
Exchange Commission, c/o Candace
Kenner, 100 F Street NE, Washington,
DC 20549 or send an email to: PRA_
Mailbox@sec.gov.
Dated: July 3, 2018.
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2018–14655 Filed 7–6–18; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–83583; File No. SR–CBOE–
2018–048]
Self-Regulatory Organizations; Cboe
Exchange, Inc.; Notice of Filing and
Immediate Effectiveness of a Proposed
Rule Change To Amend Exchange
Rule 24.6, Days and Hours of Business
Concerning Expiring MSCI EAFE Index
Options and MSCI Emerging Markets
Index Options
July 2, 2018.
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 June 25,
2018, Cboe Exchange, Inc. (the
‘‘Exchange’’ or ‘‘Cboe Options’’) filed
with the Securities and Exchange
Commission (the ‘‘Commission’’) the
proposed rule change as described in
Items I, II, and III below, which Items
have been prepared by the Exchange.
The 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.
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
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Federal Register / Vol. 83, No. 131 / Monday, July 9, 2018 / Notices
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to amend
Rule 24.6.
(additions are italicized; deletions are
[bracketed])
*
*
*
*
*
Cboe Exchange, Inc. Rules
*
*
*
*
*
Rule 24.6. Days and Hours of Business
(a)–(b) (No change).
. . . Interpretations and Policies:
.01–.04 (No change).
.05 On their last trading day,
[transactions in expiring MSCI EAFE Index
options may be effected on the Exchange
between the hours of 8:30 a.m. (Chicago time)
and 3:00 p.m. (Chicago time), and]
transactions in expiring FTSE Developed
Europe Index options may be effected on the
Exchange between the hours of 8:30 a.m.
(Chicago time) and the close of the London
Stock Exchange (usually 10:30 a.m. Chicago
time). The last day of trading for expiring
MSCI EAFE Index options series and MSCI
Emerging Markets Index options series will
be the business day prior to the expiration
date of the specific series.
.06 (No change).
*
*
*
*
*
The text of the proposed rule change
is 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.
sradovich on DSK3GMQ082PROD with NOTICES
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The proposed rule change modifies
the last trading day for options that
overlie the MSCI EAFE Index and the
MSCI Emerging Markets Index (‘‘EAFE
options’’ and ‘‘EM options,’’
respectively). Pursuant to Rule 24.6(a),
the trading hours for EM options are
VerDate Sep<11>2014
18:00 Jul 06, 2018
Jkt 244001
from 8:30 a.m. to 3:15 p.m. Chicago
time, including on their expiration date.
Pursuant to Rule 24.6(a) and
Interpretation and Policy .05, the
trading hours for EAFE options are from
8:30 a.m. to 3:15 p.m. Chicago time,
except trading in expiring EAFE options
will end at 3:00 p.m. on their expiration
date. The proposed rule change states
the last trading day for expiring EAFE
options series and EM options series
will be the business day prior to the
expiration date of the specific series.
EAFE and EM options are p.m.settled, which means the exercise
settlement value of an expiring option is
derived from the closing prices of the
underlying components on the series
expiration date. The MSCI EAFE Index
consists of components from 21
countries, and the MSCI Emerging
Markets Index consists of components
from 24 countries. Because the
components of each of these indexes
encompass multiple markets around the
world, the components are subject to
varying trading hours. For the MSCI
EAFE Index, the first components open
trading at approximately 5:00 p.m.
Chicago time on the prior trading day,
and the last components end trading at
approximately 11:30 a.m. Chicago time.
Similarly, for the MSCI Emerging
Markets Index, the first components
open trading at approximately 6:00 p.m.
Chicago time (on the prior trading day),
and the last components end trading at
approximately 3:30 p.m. Chicago time.
Expiring EAFE options and EM
options currently trade on their
expiration dates through 3:00 p.m. and
3:15 p.m. Chicago time, respectively.
However, trading in various
components ends prior to the beginning
of EAFE options and EM options regular
trading hours (i.e., 8:30 a.m. Chicago
time).5 As a result, the closing prices of
those components, which are used to
determine the exercise settlement value,
were determined prior to the time when
the expiring options may begin trading
on the expiration date. This increases
the risk of providing liquidity in these
products on that date. Generally, the
prices of futures on the MSCI EAFE and
EM indexes can be a proxy for the
current level of the applicable index
when options on those indexes are
trading on the Exchange while the index
level is not being disseminated.
However, that is not the case on options’
expiration dates, as the prices that will
be used to determine the exercise
settlement value are fixed once trading
in the components ends, and thus
futures trading prices after trading in
those components end have no bearing
on the exercise settlement value.
Therefore, the Exchange believes it is
appropriate to stop trading in expiring
EAFE and EM options on the business
day prior to the expiration date.
Pursuant to Rule 24.6(a), on their last
day of trading (the trading day prior to
the expiration date, as proposed), EAFE
and EM options will trade from 8:30
a.m. through 3:15 p.m. Chicago time.
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.6 Specifically,
the Exchange believes the proposed rule
change is consistent with the Section
6(b)(5) 7 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) 8 requirement that
the rules of an exchange not be designed
to permit unfair discrimination between
customers, issuers, brokers, or dealers.
The Exchange has observed reduced
liquidity on expiration dates of expiring
EAFE and EM series due to the pricing
risk associated with providing liquidity
after the components whose closing
prices will be used to determine the
exercise settlement value of expiring
options have stopped trading. MarketMakers and other liquidity providers
generally price EAFE and EM options
using the disseminated index values
and data from the markets on which the
components trade. As noted above,
when these markets are not trading
during U.S. trading hours, these
liquidity providers price the options
using prices of futures trading on the
MSCI EAFE and EM indexes. While
those futures prices can serve as a proxy
for the index value, they cannot serve as
a proxy for the settlement value on the
expiration date for the options. This is
because the futures pricing is intended
6 15
in the other components ends at various
times throughout the trading day in Chicago.
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5 Trading
Frm 00089
Fmt 4703
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31803
7 15
U.S.C. 78f(b).
U.S.C. 78f(b)(5).
8 Id.
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Federal Register / Vol. 83, No. 131 / Monday, July 9, 2018 / Notices
to represent the then-current index
value, but does not incorporate the
closing prices of the components that
will be used to determine the settlement
value. This creates risk for MarketMakers and other liquidity providers, as
they have no data they can use to price
the expiring options based on the
ultimate settlement value. This may
result in trades at prices inconsistent
with the settlement value of those
options. The proposed rule change
removes impediments to and perfects
the mechanism of a free and open
market by eliminating this pricing risk
for liquidity providers on the last
trading day of expiring series in these
products. The Exchange believes this
may encourage additional liquidity
providers to participate on the last
trading of expiring series, which may
provide more competitive pricing and
additional trading opportunities for
expiring series, and ultimately benefits
investors.
Other options stop trading on the
business day preceding expiration. For
example, the last day of trading for nonvolatility a.m.-settled index options is
the business day preceding the
expiration date.9
sradovich on DSK3GMQ082PROD with NOTICES
B. Self-Regulatory Organization’s
Statement on Burden on Competition
Cboe Options 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
market participants that trade EAFE and
EM options. As discussed above, the
proposed rule change may eliminate a
pricing risk for Market-Makers and other
liquidity providers, which may provide
more competitive pricing and additional
trading opportunities for expiring series
and ultimately benefit investors. The
proposed rule change applies to EAFE
and EM options, which only trade on
Cboe Options. Other options stop
trading on the business day preceding
expiration.
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:
9 Cboe
Options Rule 24.9(a)(4).
VerDate Sep<11>2014
18:00 Jul 06, 2018
Jkt 244001
A. Significantly affect the protection
of investors or the public interest;
B. impose any significant burden on
competition; and
C. 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 10 and Rule 19b–4(f)(6) 11
thereunder.
At any time within 60 days of the
filing of the proposed rule change, the
Commission summarily may
temporarily suspend such rule change if
it appears to the Commission that such
action is necessary or appropriate in the
public interest, for the protection of
investors, or otherwise in furtherance of
the purposes of the Act. 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–
CBOE–2018–048 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–2018–048. 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
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(6). In addition, Rule 19b–
4(f)(6)(iii) requires the Exchange to give the
Commission written notice of the Exchange’s 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. The
Exchange has satisfied this requirement.
PO 00000
10 15
11 17
Frm 00090
Fmt 4703
Sfmt 4703
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.
Persons submitting comments are
cautioned that we do not redact or edit
personal identifying information from
comment submissions. You should
submit only information that you wish
to make available publicly. All
submissions should refer to File
Number SR–CBOE–2018–048 and
should be submitted on or before July
30, 2018.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.12
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2018–14548 Filed 7–6–18; 8:45 am]
BILLING CODE P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–83589; File No. SR–NFA–
2018–03]
Self-Regulatory Organizations;
National Futures Association; Notice
of Filing and Immediate Effectiveness
of Proposed Change to the Interpretive
Notice to NFA Compliance Rule 2–
30(b): Risk Disclosure Statement for
Security Futures Contracts
July 3, 2018.
Pursuant to Section 19(b)(7) of the
Securities Exchange Act of 1934
(‘‘Exchange Act’’),1 and Rule 19b–7
under the Exchange Act 2 notice is
hereby given that on June 19, 2018,
National Futures Association (‘‘NFA’’)
filed with the Securities and Exchange
Commission (‘‘SEC’’ or ‘‘Commission’’)
the proposed rule change described in
Items I, II, and III below, which Items
have been prepared by NFA. The
Commission is publishing this notice to
12 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(7).
2 17 CFR 240.19b–7.
1 15
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]]>Agencies
[Federal Register Volume 83, Number 131 (Monday, July 9, 2018)]
[Notices]
[Pages 31802-31804]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2018-14548]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-83583; File No. SR-CBOE-2018-048]
Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of
Filing and Immediate Effectiveness of a Proposed Rule Change To Amend
Exchange Rule 24.6, Days and Hours of Business Concerning Expiring MSCI
EAFE Index Options and MSCI Emerging Markets Index Options
July 2, 2018.
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 June 25, 2018, Cboe Exchange, Inc. (the ``Exchange'' or ``Cboe
Options'') filed with the Securities and Exchange Commission (the
``Commission'') the proposed rule change as described in Items I, II,
and III below, which Items have been prepared by the Exchange. The
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.
---------------------------------------------------------------------------
\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).
---------------------------------------------------------------------------
[[Page 31803]]
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to amend Rule 24.6.
(additions are italicized; deletions are [bracketed])
* * * * *
Cboe Exchange, Inc. Rules
* * * * *
Rule 24.6. Days and Hours of Business
(a)-(b) (No change).
. . . Interpretations and Policies:
.01-.04 (No change).
.05 On their last trading day, [transactions in expiring MSCI
EAFE Index options may be effected on the Exchange between the hours
of 8:30 a.m. (Chicago time) and 3:00 p.m. (Chicago time), and]
transactions in expiring FTSE Developed Europe Index options may be
effected on the Exchange between the hours of 8:30 a.m. (Chicago
time) and the close of the London Stock Exchange (usually 10:30 a.m.
Chicago time). The last day of trading for expiring MSCI EAFE Index
options series and MSCI Emerging Markets Index options series will
be the business day prior to the expiration date of the specific
series.
.06 (No change).
* * * * *
The text of the proposed rule change is 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 proposed rule change modifies the last trading day for options
that overlie the MSCI EAFE Index and the MSCI Emerging Markets Index
(``EAFE options'' and ``EM options,'' respectively). Pursuant to Rule
24.6(a), the trading hours for EM options are from 8:30 a.m. to 3:15
p.m. Chicago time, including on their expiration date. Pursuant to Rule
24.6(a) and Interpretation and Policy .05, the trading hours for EAFE
options are from 8:30 a.m. to 3:15 p.m. Chicago time, except trading in
expiring EAFE options will end at 3:00 p.m. on their expiration date.
The proposed rule change states the last trading day for expiring EAFE
options series and EM options series will be the business day prior to
the expiration date of the specific series.
EAFE and EM options are p.m.-settled, which means the exercise
settlement value of an expiring option is derived from the closing
prices of the underlying components on the series expiration date. The
MSCI EAFE Index consists of components from 21 countries, and the MSCI
Emerging Markets Index consists of components from 24 countries.
Because the components of each of these indexes encompass multiple
markets around the world, the components are subject to varying trading
hours. For the MSCI EAFE Index, the first components open trading at
approximately 5:00 p.m. Chicago time on the prior trading day, and the
last components end trading at approximately 11:30 a.m. Chicago time.
Similarly, for the MSCI Emerging Markets Index, the first components
open trading at approximately 6:00 p.m. Chicago time (on the prior
trading day), and the last components end trading at approximately 3:30
p.m. Chicago time.
Expiring EAFE options and EM options currently trade on their
expiration dates through 3:00 p.m. and 3:15 p.m. Chicago time,
respectively. However, trading in various components ends prior to the
beginning of EAFE options and EM options regular trading hours (i.e.,
8:30 a.m. Chicago time).\5\ As a result, the closing prices of those
components, which are used to determine the exercise settlement value,
were determined prior to the time when the expiring options may begin
trading on the expiration date. This increases the risk of providing
liquidity in these products on that date. Generally, the prices of
futures on the MSCI EAFE and EM indexes can be a proxy for the current
level of the applicable index when options on those indexes are trading
on the Exchange while the index level is not being disseminated.
However, that is not the case on options' expiration dates, as the
prices that will be used to determine the exercise settlement value are
fixed once trading in the components ends, and thus futures trading
prices after trading in those components end have no bearing on the
exercise settlement value. Therefore, the Exchange believes it is
appropriate to stop trading in expiring EAFE and EM options on the
business day prior to the expiration date. Pursuant to Rule 24.6(a), on
their last day of trading (the trading day prior to the expiration
date, as proposed), EAFE and EM options will trade from 8:30 a.m.
through 3:15 p.m. Chicago time.
---------------------------------------------------------------------------
\5\ Trading in the other components ends at various times
throughout the trading day in Chicago.
---------------------------------------------------------------------------
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.\6\ Specifically, the
Exchange believes the proposed rule change is consistent with the
Section 6(b)(5) \7\ 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) \8\ requirement that the rules of an exchange not be
designed to permit unfair discrimination between customers, issuers,
brokers, or dealers.
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\6\ 15 U.S.C. 78f(b).
\7\ 15 U.S.C. 78f(b)(5).
\8\ Id.
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The Exchange has observed reduced liquidity on expiration dates of
expiring EAFE and EM series due to the pricing risk associated with
providing liquidity after the components whose closing prices will be
used to determine the exercise settlement value of expiring options
have stopped trading. Market-Makers and other liquidity providers
generally price EAFE and EM options using the disseminated index values
and data from the markets on which the components trade. As noted
above, when these markets are not trading during U.S. trading hours,
these liquidity providers price the options using prices of futures
trading on the MSCI EAFE and EM indexes. While those futures prices can
serve as a proxy for the index value, they cannot serve as a proxy for
the settlement value on the expiration date for the options. This is
because the futures pricing is intended
[[Page 31804]]
to represent the then-current index value, but does not incorporate the
closing prices of the components that will be used to determine the
settlement value. This creates risk for Market-Makers and other
liquidity providers, as they have no data they can use to price the
expiring options based on the ultimate settlement value. This may
result in trades at prices inconsistent with the settlement value of
those options. The proposed rule change removes impediments to and
perfects the mechanism of a free and open market by eliminating this
pricing risk for liquidity providers on the last trading day of
expiring series in these products. The Exchange believes this may
encourage additional liquidity providers to participate on the last
trading of expiring series, which may provide more competitive pricing
and additional trading opportunities for expiring series, and
ultimately benefits investors.
Other options stop trading on the business day preceding
expiration. For example, the last day of trading for non-volatility
a.m.-settled index options is the business day preceding the expiration
date.\9\
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\9\ Cboe Options Rule 24.9(a)(4).
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B. Self-Regulatory Organization's Statement on Burden on Competition
Cboe Options 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 market participants that trade EAFE and EM options.
As discussed above, the proposed rule change may eliminate a pricing
risk for Market-Makers and other liquidity providers, which may provide
more competitive pricing and additional trading opportunities for
expiring series and ultimately benefit investors. The proposed rule
change applies to EAFE and EM options, which only trade on Cboe
Options. Other options stop trading on the business day preceding
expiration.
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:
A. Significantly affect the protection of investors or the public
interest;
B. impose any significant burden on competition; and
C. 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 \10\ and
Rule 19b-4(f)(6) \11\ thereunder.
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\10\ 15 U.S.C. 78s(b)(3)(A).
\11\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii)
requires the Exchange to give the Commission written notice of the
Exchange's 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. 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 necessary or
appropriate in the public interest, for the protection of investors, or
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 [email protected]. Please include
File Number SR-CBOE-2018-048 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-2018-048. 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. Persons submitting comments are
cautioned that we do not redact or edit personal identifying
information from comment submissions. You should submit only
information that you wish to make available publicly. All submissions
should refer to File Number SR-CBOE-2018-048 and should be submitted on
or before July 30, 2018.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\12\
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\12\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2018-14548 Filed 7-6-18; 8:45 am]
BILLING CODE P
