81_FR_91137 81 FR 90896 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of Amendment No. 1 and Order Granting Accelerated Approval of a Proposed Rule Change, as Modified by Amendment No. 1, Relating To Opening and Closing Rotations Under the HOSS System

81 FR 90896 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of Amendment No. 1 and Order Granting Accelerated Approval of a Proposed Rule Change, as Modified by Amendment No. 1, Relating To Opening and Closing Rotations Under the HOSS System

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 81, Issue 241 (December 15, 2016)

Page Range90896-90903
FR Document2016-30082

Federal Register, Volume 81 Issue 241 (Thursday, December 15, 2016)
[Federal Register Volume 81, Number 241 (Thursday, December 15, 2016)]
[Notices]
[Pages 90896-90903]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2016-30082]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-79520; File No. SR-CBOE-2016-071]


Self-Regulatory Organizations; Chicago Board Options Exchange, 
Incorporated; Notice of Filing of Amendment No. 1 and Order Granting 
Accelerated Approval of a Proposed Rule Change, as Modified by 
Amendment No. 1, Relating To Opening and Closing Rotations Under the 
HOSS System

December 9, 2016.

I. Introduction

    On October 7, 2016, Chicago Board Options Exchange, Incorporated 
(``CBOE'' or ``Exchange'') filed with the Securities and Exchange 
Commission (``Commission''), pursuant to Section 19(b)(1) of the 
Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 
thereunder,\2\ a proposed rule change to amend its rules relating to 
the opening of series for trading on the Exchange. The Commission 
published the proposed rule change for comment in the Federal Register 
on October 27, 2016.\3\ On November 18, 2016, the Exchange filed 
Amendment No. 1 to the proposed rule change.\4\ The Commission received 
no comments on the proposal. This order provides notice of filing of 
Amendment No. 1 and approves the proposed rule change, as modified by 
Amendment No. 1, on an accelerated basis.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 79133 (October 21, 
2016), 81 FR 74828 (October 27, 2016) (``Notice'').
    \4\ In Amendment No. 1, the Exchange updated a cross-reference 
to Rule 6.2B in Rule 6.13. To promote transparency of its proposed 
amendment, when CBOE filed Amendment No. 1 with the Commission, it 
also submitted Amendment No. 1 as a comment letter to the file, 
which the Commission posted on its Web site and placed in the public 
comment file for SR-CBOE-2016-071 (available at https://www.sec.gov/comments/sr-cboe-2016-071/cboe2016071.shtml). The Exchange also 
posted a copy of its Amendment No. 1 on its Web site (http://www.cboe.com/aboutcboe/legal/submittedsecfilings.aspx), when it 
filed it with the Commission.
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II. Description of the Proposed Rule Change

    CBOE proposes to amend its rules relating to the opening of series 
for trading on the Exchange. Rule 6.2B describes the process (referred 
to as ``HOSS'') that the Exchange's Hybrid Trading System (the 
``System'') uses to open series on the Exchange each trading day. The 
Exchange may also use HOSS for closing series or opening

[[Page 90897]]

series after a trading halt. The Exchange is proposing various changes 
to reorganize and simplify the rule and to more accurately reflect 
current System functionality.\5\
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    \5\ See Notice, supra note 3, at 74829.
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    According to the Exchange, HOSS generally processes the opening of 
each series in four stages: \6\
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    \6\ See id.
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    (1) Pre-Opening Period: During the pre-opening period, the System 
accepts orders and quotes and disseminates messages that contain 
information based on resting orders and quotes in the book, which may 
include the expected opening price (``EOP''), expected opening size 
(``EOS''), any reason why a series may not open, and imbalance 
information, including the size and side of an imbalance (collectively, 
``expected opening information'' or ``EOIs'').
    (2) Initiation of the Opening Rotation: The System then initiates 
the opening rotation procedure and distributes a ``Rotation Notice'' to 
market participants.
    (3) Opening Rotation Period: During the opening rotation period, 
the System matches and executes orders and quotes against each other to 
establish an opening Exchange best bid and offer (``BBO'') and trade 
price for each series while continuing to disseminate EOIs.
    (4) Opening of Trading: The System then opens series for trading, 
subject to the satisfaction of certain conditions.
    According to CBOE, the proposed rule change is designed to more 
clearly organize Rule 6.2B in this sequential order and makes the 
additional specific changes discussed in more detail below.

Pre-Opening Period

    Rule 6.2B(a) currently provides that the System accepts orders and 
quotes, for regular trading hours, for a period of time before the 
opening of trading in the underlying security or, in the case of index 
options, prior to 8:30 a.m.,\7\ and for extended trading hours, for a 
period of time prior to 2:00 a.m.\8\ The Exchange proposes to amend 
Rule 6.2B(a) to provide that, for each trading session, the pre-opening 
period will begin no later than 15 minutes prior to the expected 
initiation of an opening rotation and no earlier than 2:00 a.m. for 
regular trading hours and no earlier than 4:00 p.m. on the previous day 
for extended trading hours.\9\
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    \7\ All times set forth in Rule 6.2B are central time. See id. 
at 74829, n.3.
    \8\ The precise time periods are determined by the Exchange on a 
class-by-class basis. See id. at 74829. In addition, since the 
System begins the pre-opening period at the same time for each class 
within each type of option (equity, index and exchange-traded 
products (``ETPs'')), the proposed rule change deletes the provision 
of the current rule that says the Exchange will determine the time 
on a class-by-class basis. See id.
    \9\ The Exchange notes that the pre-opening period currently 
begins at approximately 6:30 a.m. for regular trading hours and 
approximately 4:00 p.m. on the previous day for extended trading 
hours. See id. at 74829, n.4.
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    Under the proposal, the Exchange generally will not restrict the 
size or origin code of orders that may be submitted during the pre-
opening period. Therefore, the proposed rule change amends Rule 
6.2B(a)(i) to add certainty to the rule by deleting the provision that 
requires the Exchange to designate--on a class-by-class basis--the 
eligible order size, eligible order type, and eligible order origin 
code (i.e., public customer orders, non-Market Maker broker-dealer 
orders, and Market Maker broker-dealer orders) which the System will 
accept.\10\ Additionally, the proposed rule change clarifies that the 
System will accept all quotes and all order types during the pre-
opening period except for immediate-or-cancel, fill-or-kill, 
intermarket sweep orders, and Market-Maker trade prevention orders.\11\ 
The proposed rule change also adds that if an order entered during the 
pre-opening period for regular trading hours is not eligible for book 
entry (e.g., minimum volume, not held, and market-if-touched orders), 
the System will route the order via CBOE's order handling system 
pursuant to Rule 6.12.\12\
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    \10\ See Notice, supra note 3, at 74829.
    \11\ See id. at 74829-30 for a discussion of these order types, 
which are defined in Rule 6.53.
    \12\ See id. at 74830. The Exchange notes that orders not 
eligible for book entry may only be traded open outcry on the 
Exchange floor. According to the Exchange, because only electronic 
trading is permitted during extended trading hours, the System will 
not accept these orders during the extended hours trading session 
and therefore, this proposed provision is not applicable during that 
trading session. See id. at 74830, n.6.
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    The proposed rule change amends Rule 6.2B(a)(ii) in several ways. 
First, it defines EOIs and specifies the timing of their dissemination. 
EOIs contain information based on resting orders and quotes in the 
Book, including the EOP, the EOS, any reason why a series may not open 
pursuant to paragraph (d) of Rule 6.2B,\13\ and any imbalance 
information, including the size and side of the imbalance. EOIs will be 
disseminated to all market participants that have elected to receive 
them beginning at a time determined by the Exchange, which will be no 
earlier than three hours prior to the expected initiation of an opening 
rotation for a series. The System will then disseminate EOI at regular 
intervals of time, or less frequently if there are no updates since the 
previously disseminated EOI.\14\
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    \13\ Proposed paragraph (d) of Rule 6.2B sets forth certain 
Opening Conditions, which are discussed in greater detail below.
    \14\ See Notice, supra note 3, at 74830.
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    The proposed rule change further modifies Rule 6.2B(a)(ii) to 
redefine the terms EOP and EOS and address when that information will 
be disseminated. Currently, Rule 6.2B(a)(ii) states that the EOP is the 
price at which the greatest number of orders and quotes in the book are 
expected to trade and provides that an EOP will only be calculated if 
(a) there are market orders in the book, or the book is crossed or 
locked and (b) at least one quote is present. The proposed rule change 
revises this language to state that the EOP is the price at which any 
opening trade is expected to execute and adds that the EOS is the size 
of any expected opening trade. The proposed rule change further states 
the System will only disseminate EOP and EOS messages: (a) If the width 
between the highest quote bid and lowest quote offer on the Exchange is 
no wider than the OEPW range (as defined below), in classes in which 
the Hybrid Agency Liaison (``HAL'') \15\ is not activated for openings; 
or (b) if the width between the highest quote bid and lowest quote 
offer on the Exchange or disseminated by other exchanges is no wider 
than the OEPW range, in classes in which HAL is activated for openings 
(``HALO'').\16\
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    \15\ HAL provides automated order handling in designated Hybrid 
classes for electronic orders that are not automatically executed by 
the System. HAL exposes these orders at the national best bid or 
offer, and Trading Permit Holders may submit responses to trade with 
the orders. See Rule 6.14A.
    \16\ See Notice, supra note 3, at 74830, for more detailed 
discussion of these changes to the pre-opening period.
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Opening Rotation Initiation and Notice

    Rule 6.2B(b) currently provides that, unless unusual circumstances 
exist, at a randomly selected time within a number of seconds after the 
opening trade and/or the opening quote is disseminated in the market 
for the underlying security \17\ (or after 8:30 a.m. for index options) 
with respect to regular trading hours, or after 2:00 a.m. with respect 
to extended trading hours, the System initiates the opening rotation

[[Page 90898]]

procedure and sends a notice (``Rotation Notice'') to market 
participants.\18\
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    \17\ The ``market for the underlying security'' is currently the 
primary listing market, the primary volume market (defined as the 
market with the most liquidity in that underlying security for the 
previous two calendar months), or the first market to open the 
underlying security. Since the Exchange does not designate the 
primary volume market as the market for the underlying security for 
any class, the proposed rule change deletes that option. The 
proposed rule change also changes the term ``market'' to 
``exchange'' and clarifies that the Exchange determines on a class-
by-class basis which market is the market for the underlying 
security. See Notice, supra note 3, at 74830, n.10.
    \18\ See id. at 74830-31.
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    The Exchange proposes to amend Rule 6.2B(b) to provide that the 
System will initiate the opening rotation procedure and send out a 
Rotation Notice on a class-by-class basis as follows:
     For regular trading hours:
    [cir] With respect to equity and ETP options, after the opening 
trade or the opening quote is disseminated in the market for the 
underlying security, or at 8:30 for classes determined by the Exchange 
(including over-the-counter equity classes); or
    [cir] with respect to index options, at 8:30 a.m., or at the later 
of 8:30 a.m. and the time the Exchange receives a disseminated index 
value for classes determined by the Exchange; and
     For extended trading hours, at 2:00 a.m.\19\
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    \19\ See id. at 74831 (providing detailed description of the 
Exchange's changes to initiating the opening rotation).
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Opening Rotation Period

    Rule 6.2B(c) provides that after the Rotation Notice is sent, the 
System enters into a rotation period, during which the opening price is 
established for each series. The proposed rule change reorganizes 
paragraph (c) to more clearly demarcate and further describe (1) when 
the opening rotation period begins, (2) what happens during the period, 
(3) the handling of EOIs during the period, and (4) when the period 
ends.\20\
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    \20\ See proposed Rule 6.2B(c). See also Notice, supra note 3, 
at 74831.
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    During the opening rotation period, the System establishes the 
opening trade price and the opening BBO by matching and executing 
resting orders and quotes against each other. The proposed rule change 
modifies the definition of the opening trade price of a series to be 
the ``market-clearing'' price, which is the single price at which the 
largest number of contracts in the book can execute, leaving bids and 
offers that cannot trade with each other.\21\ The proposed rule change 
also states that all orders (except complex orders and, in classes in 
which the Exchange has not activated HALO, all-or-none orders and 
orders with a stop contingency) and quotes in a series in the book 
prior to the opening rotation period participate in the opening 
rotation for a series. The Exchange notes that Contingency Orders that 
participate in the opening rotation may execute during the opening 
rotation period only if their contingencies are triggered.\22\
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    \21\ See Notice, supra note 3, at 74831. If there are multiple 
prices at which the same number of contracts would clear, the System 
will use (a) the price at or nearest to the midpoint of the opening 
BBO, or the widest offer (bid) point of the OEPW range if the 
midpoint is higher (lower) than that price point, in classes in 
which the Exchange has not activated HALO; or (b) the price at or 
nearest to the midpoint of the range consisting of the higher of the 
opening NBB and widest bid point of the OEPW range, and the lower of 
the opening NBO and widest offer point of the OEPW range, in classes 
in which the Exchange has activated HALO. See id.
    \22\ See id. at 74831-32. Further, the Exchange notes that the 
proposed rule change moves the rule provision regarding the priority 
order of orders and quotes during this matching process from current 
subparagraph (c)(iv) to proposed subparagraph (c)(i)(C). The System 
prioritizes orders in the following order: (1) Market orders, (2) 
limit orders and quotes whose prices are better than the opening 
price, and (3) resting orders and quotes at the opening price. The 
proposed rule change also notes contingency orders are prioritized 
as set forth in Rules 6.45A and 6.45B. See id. at 74832, n.13.
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    The proposed rule change clarifies that the System will continue to 
disseminate EOIs (not just the EOP and EOS) during the opening rotation 
period, which may be disseminated at more frequent intervals closer to 
the opening.\23\ In addition, the proposed rule change updates the 
description of the length of the opening rotation period and adds 
detail to the description of how the System processes series to open 
following the opening rotation period. Specifically, current 
subparagraph (c)(ii) states that the System will process the series of 
a class in a random order and the series will begin opening after a 
period following the Rotation Notice, which period may not exceed sixty 
seconds and will be established on a class-by-class basis by the 
Exchange.\24\ Proposed subparagraph (c)(iii) retains that process, but 
clarifies that CBOE will determine the length and number of these 
intervals for all classes.\25\
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    \23\ See id. at 74832.
    \24\ See id. at 74832.
    \25\ According to the Exchange, currently, the Exchange has set 
the period of time that must pass before the System begins 
processing series to open at two seconds, and the Exchange has set 
the number of intervals to two and the length of the intervals to 
one second. As a result, the opening rotation period currently lasts 
two to four seconds. See Regulatory Circular RG11-072; see also 
Notice, supra note 3, at 74832 n.14.
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Opening Quote and Trade Price

    In its filing, the Exchange represented that, pursuant to the 
Options Price Reporting Authority (``OPRA'') Plan, once a series opens, 
the System disseminates all quote and trade price information to OPRA, 
including opening quote and trade price information.\26\ Accordingly, 
the Exchange proposes to delete text in current paragraph (d) of Rule 
6.2B stating that the opening price is determined by series and that 
CBOE disseminates opening quote and trade information through OPRA 
because the Exchange already disseminates such information pursuant to 
the OPRA Plan, and therefore believes that this provision is 
unnecessarily repetitive.\27\ Despite the deletion of that language 
from the rule concerning reporting data through OPRA, the Exchange is 
not proposing a substantive change to reporting this information 
through OPRA.
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    \26\ See Notice, supra note 3, at 74832.
    \27\ See id. at 74832.
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Opening Conditions

    Current Rule 6.2B(e) provides that the System will not open a 
series if one of a number of specified conditions is met, including the 
absence of a quote that complies with the bid/ask differential 
requirements or if the opening price would not be within an acceptable 
range or would leave a market order imbalance.\28\ The proposed rule 
change amends these conditions to provide that, in classes in which the 
Exchange has not activated HALO:
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    \28\ See id. at 74832. The final provision of current paragraph 
(e) provides the following: If the first or second condition is 
present, the senior official in the Control Room may authorize the 
opening of the affected series where necessary to ensure a fair and 
orderly market; if the second condition is present, the System will 
not open the series but will send a notification to market 
participants indicating the reason; if the third condition is 
present, a notification will be sent to market participants 
indicating the size and direction of the market order imbalance. In 
this case, the System will not open the series until the condition 
causing the delay is satisfied, and the System will repeat this 
process until the series is open. The proposed rule change combines 
the exceptions in current paragraph (e) with the applicable opening 
conditions in current subparagraphs (e)(i) through (iii) into 
proposed paragraph (d)(i). See id. at n.16.
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    (1) If there are no quotes in the series on the Exchange, the 
System will not open the series;
    (2) if the width between the Exchange's best quote bid and best 
quote offer is wider than an acceptable opening price range (as 
determined by the Exchange on a class-by-class and premium basis) (the 
``Opening Exchange Prescribed Width range'' or ``OEPW range'') \29\ and 
there are orders or quotes marketable against each other, the System 
will not open the series. However, if the opening quote width is no 
wider than the intraday acceptable price range for the series (``IEPW 
range'') \30\ and there are no orders or quotes marketable against each 
other, the System will open the series. If the opening quote width is 
wider than the IEPW range, the System will not open the series. 
Additionally, according to

[[Page 90899]]

the Exchange, because all quotes entered by Market-Makers (including 
quotes entered during the pre-opening period and opening rotation 
period) must satisfy bid/ask differentials,\31\ the Exchange proposes 
to delete the reference to bid/ask differential requirements in this 
provision;
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    \29\ Current OEPW settings are set forth in Regulatory Circular 
RG 13-025. See Notice, supra note 3, at 74832, n.18.
    \30\ See Rule 6.13(b)(v).
    \31\ See Rule 8.7(d). The Exchange may set different bid/ask 
differential requirements for a Market-Maker's opening quotes than 
for its intraday quotes (which it currently does). The proposed rule 
change specifies this in Interpretation and Policy .02 regarding 
Market-Maker quotes, which currently provides that the Exchange may 
also set a different minimum number of contracts for a Market-
Maker's opening quotes. See Notice, supra note 3, at 74833, n.20.
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    (3) if the opening trade price would be outside of the OEPW range, 
the System will not open the series. The Exchange states that the 
proposed rule change also deletes the language from the current 
provision regarding sending a notification when this condition is 
present because notifications are sent when a series does not open for 
any reason; or
    (4) if the opening trade would leave a market order imbalance, the 
System will not open the series. However, if a sell market order 
imbalance exists, there is no bid in the series, and the best offer is 
$0.50 or less, the System will open the series; if there is no bid in 
the series and the best offer is greater than $0.50, the System will 
not open the series. The proposed rule change deletes the language 
regarding the exception for series that will open at a minimum 
increment.\32\ The proposed rule change also deletes the language from 
the current provision regarding sending a notification when this 
condition is present, because, as stated above, notifications go out 
when a series does not open for any reason.\33\
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    \32\ Pursuant to Rule 6.13(b)(vi), in the situation in which 
there is no bid in the series and the best offer is $0.50 or less, 
the System considers these market orders to be limit orders for the 
minimum increment applicable to the series and enter these orders in 
the book (behind limit orders to sell at the minimum increment 
already resting in the book). Essentially, this creates a situation 
in which a series opens at a minimum price increment (i.e. $0.00-
$0.05). In the situation in which there is no bid in the series and 
the best offer is greater than $0.50, if the no-bid series were to 
open while the best offer is greater than $0.50, under the rules, a 
market order to sell will be handled via the order handling system 
pursuant to Rule 6.12 rather than route to the book. See Notice, 
supra note 3, at 74833.
    \33\ See Notice, supra note 3, at 74832-33 (describing in 
greater detail opening conditions set forth in proposed Rule 
6.2B(d)(i)).
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    Separately, current Interpretation and Policy .03 to Rule 6.2B 
describes opening conditions that apply to classes in which the 
Exchange has activated HALO.\34\ Among other things, the current 
conditions take into consideration whether the opening trade would be 
at a price that is not the national best bid or offer.\35\ Current 
Interpretation and Policy .03(b) further describes what happens when 
each of these conditions is present, including exposure of marketable 
orders at the NBBO under certain conditions. The proposed rule change 
would amend the opening conditions applicable to classes in which the 
Exchange has activated HALO to provide as follows:
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    \34\ See id. at 74833-34 (providing a detailed description of 
the current opening conditions that apply to classes in which HALO 
is activated). The Exchange proposes to reorganize Rule 6.2B to keep 
the description of the applicable opening conditions for all classes 
in a single location within the rules. Therefore, the proposed rule 
change moves these opening conditions to proposed subparagraph 
(d)(ii) of Rule 6.2B. See id. at 74834, n.23.
    \35\ See id. at 74833.
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    (1) If there are no quotes on the Exchange or disseminated from at 
least one away exchange present in the series, the System will not open 
the series;
    (2) if the width between the best quote bid and best quote offer, 
which may consist of Market-Makers quotes or bids and offers 
disseminated from an away exchange, is wider than the OEPW range and 
there are orders or quotes marketable against each other or that lock 
or cross the OEPW range, the System will not open the series. However, 
if the opening quote width is no wider than the IEPW range and there 
are no orders or quotes marketable against each other or that lock or 
cross the OEPW range, the System will open the series. If the opening 
quote width is wider than the IEPW range, the System will not open the 
series. If the opening quote for a series consists solely of bids and 
offers disseminated from an away exchange(s), the System will open the 
series by matching orders and quotes to the extent they can trade and 
will report the opening trade, if any, at the opening trade price. The 
System will then exposes any remaining marketable buy (sell) orders at 
the widest offer (bid) point of the OEPW range or NBO (NBB), whichever 
is lower (higher).\36\
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    \36\ Additionally, according to the Exchange, because all quotes 
entered by Market-Makers (including quotes entered during the pre-
opening period and opening rotation period) must satisfy bid/ask 
differentials, the Exchange proposes to delete the reference to bid/
ask differential requirements from Rule 6.2B. See id. at 74834, n.24 
and accompanying text.
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    (3) if the opening trade price would be outside the OEPW range or 
the NBBO, the System will open the series by matching orders and quotes 
to the extent they can trade and will report the opening trade, if any, 
at an opening trade price not outside either the OEPW range or NBBO. 
The System will then expose any remaining marketable buy (sell) orders 
at the widest offer (bid) point of the OEPW range or NBO (NBB), 
whichever is lower (higher);
    (4) if the opening trade would leave a market order imbalance, the 
System will open the series by matching orders and quotes to the extent 
they can trade and will report the opening trade, if any, at the 
opening trade price. The System will then expose any remaining 
marketable buy (sell) orders at the widest offer (bid) point of the 
OEPW range or NBO (NBB), whichever is lower (higher); or
    (5) if the opening quote bid (offer) or the NBB (NBO) crosses the 
opening quote offer (bid) or the NBO (NBB) by more than an amount 
determined by the Exchange on a class-by-class and premium basis, the 
System will not open the series.\37\ If the opening quote bid (offer) 
or NBO (NBO) crosses the opening quote offer (bid) or NBO (NBB) by no 
more than the specified amount, the System will open the series by 
matching orders and quotes to the extent they can trade and will report 
the opening trade, if any, at the opening trade price. The System then 
exposes any remaining marketable buy (sell) orders at the widest offer 
(bid) point of the OEPW range or NBO (NBB), whichever is lower 
(higher). If the best away market bid and offer are inverted by no more 
than the specified amount, there is a marketable order on each side of 
the series, and the System opens the series, the System will expose the 
order on the side with the larger size and route for execution the 
order on the side with the smaller size to an away exchange that is at 
the NBBO.\38\
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    \37\ Currently, this amount is $0.25 for options with prices 
less than $3.00 and $0.50 for options with prices of $3.00 or more. 
See id. at 74835, n.26.
    \38\ See id. at 74834-35.
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    In addition, the proposed rule change makes other changes to 
current Interpretation and Policy .03, while retaining and moving 
around certain other provisions.\39\ Among other things, for example, 
because the Exchange no longer uses an allocation period, it proposes 
to delete the provision regarding the allocation period of the HAL 
openings.\40\ In addition, the proposed rule change deletes 
Interpretation and Policy .03(c)(i) regarding the priority of orders 
and quotes during the open for classes in which the Exchange has 
activated HAL

[[Page 90900]]

for openings, as it is the same as the priority in proposed 
subparagraph (c)(i)(C).\41\
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    \39\ The proposed rule change stipulates that any remaining 
balances of orders not executed after the exposure period will enter 
the book at their limit prices (to the extent consistent with Rule 
6.53) or route via the order handling system pursuant to Rule 6.12 
in accordance with their routing instructions. See Notice, supra 
note 3, at 74835, n.27.
    \40\ See id. at 74835.
    \41\ See id.
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    The Exchange also proposes to add subparagraph (d)(iii), which 
provides that if the System does not open a series pursuant 
subparagraphs (i) or (ii), notwithstanding proposed paragraph (c) 
(which states the opening rotation period may not last more than 60 
seconds), the opening rotation period continues (including the 
dissemination of EOIs) until the condition causing the delay is 
satisfied or the Exchange otherwise determines it is necessary to open 
a series in accordance with proposed paragraph (e).\42\
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    \42\ Current Rule 6.2B(h) and proposed Rule 6.2B(g) provide that 
the opening procedures described in the rule may also be used after 
the close of a trading session for series that open pursuant to 
HOSS. The proposed rule change makes non-substantive changes to 
proposed paragraph (g) to more clearly and simply state the 
potential applicability of the opening procedures to a closing 
rotation for series that open pursuant to HOSS and to include 
additional detail regarding the notification to Trading Permit 
Holders regarding the decision to conduct a closing rotation. The 
proposed rule change also amends the name of Rule 6.2B to indicate 
that the procedures may also be used for closing rotations. See id. 
at 74835, n.28.
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Hybrid 3.0 Classes

    The proposed rule change moves Rule 6.2B, Interpretation and Policy 
.01(a), which establishes a modified opening procedure for classes that 
trade on the Hybrid 3.0 platform, into the body of the rule in proposed 
paragraph (h). Interpretation and Policy .01 generally describes the 
modified opening procedures for Hybrid 3.0 series that are used to 
calculate volatility indexes.\43\ The Exchange noted in its filing that 
current paragraph (a), however, applies to Hybrid 3.0 classes on all 
trading days, not just the days on which the Exchange uses the modified 
opening procedures.\44\ The proposed rule change therefore moves this 
provision to proposed paragraph (h) within the body of the rule, rather 
than the Interpretation and Policy.
---------------------------------------------------------------------------

    \43\ The only series trading on Hybrid 3.0 are SPX index 
options. See, e.g., CBOE FAQs, available at: https://www.cboe.org/publish/mmfaq/mmfaq.pdf (``All option classes on CBOE are Hybrid 
classes, except SPX, which contains both Hybrid series (SPX Weeklys 
under trading symbol SPXW) and Hybrid 3.0 series (all other SPX 
series under trading symbol SPX).'').
    \44\ See Notice, supra note 3, at 74835-36.
---------------------------------------------------------------------------

    The introduction to proposed paragraph (h) states that all the 
provisions set forth in Rule 6.2B apply to the opening of Hybrid 3.0 
series except as follows in subparagraphs (i) and (ii). Proposed 
paragraph (h)(i) provides that only the LMM or DPM with an appointment 
or allocation, respectively, to the class or series may enter quotes 
prior to the opening of trading, subject to the obligation set forth in 
Rule 8.15 or 8.85, respectively. Proposed paragraph (h)(ii) states that 
during the pre-opening period, the System will accept all order types 
eligible for entry from public customers (consistent with current 
paragraph (a) in Interpretation and Policy .01), but adds that the 
System only accepts opening rotation orders from non-public 
customers.\45\
---------------------------------------------------------------------------

    \45\ See id. at 74836. Pursuant to Rule 7.4(a), public customer 
orders are eligible for entry into the electronic book. While non-
public customers may submit orders in Hybrid classes for entry into 
the book, the Exchange may determine on a class-by-class basis that 
non-public customers may also submit orders in Hybrid 3.0 classes 
for entry into the book; currently, the Exchange has determined not 
to permit this. See id. at 74836, n.31.
---------------------------------------------------------------------------

Modified Opening Procedures on Volatility Index Settlement Dates

    The proposed rule change amends the modified opening procedures for 
classes and series used to calculate volatility indexes on the exercise 
and final settlement dates. Current Interpretation and Policy .01(b) 
requires the DPM or LMM to enter opening quotes in all series in a 
Hybrid 3.0 class during a modified opening procedure. The proposed rule 
change deletes this obligation. As a result, the opening quoting 
obligations in Rules 8.15 and 8.85, as applicable, would apply to LMMs 
and DPMs, respectively, in Hybrid 3.0 classes on volatility settlement 
days.\46\
---------------------------------------------------------------------------

    \46\ See id. at 74836.
---------------------------------------------------------------------------

    Current Rule 6.2B, Interpretation and Policy .01(c) describes a 
modified opening procedure that applies to series in Hybrid 3.0 classes 
that are used to calculate a volatility index on expiration and final 
settlement dates for those indexes.\47\ The introductory paragraph of 
current paragraph (c) states that to facilitate the calculation of 
exercise or final settlement values for options or futures contracts on 
volatility indexes, the Exchange will utilize a modified HOSS opening 
procedure for any Hybrid 3.0 series with respect to which a volatility 
index is calculated. This modified opening procedure will be utilized 
only on the expiration and final settlement dates of the options or 
futures contracts on the applicable volatility index for each 
expiration. The Exchange states that the proposed introductory 
paragraph to Interpretation and Policy .01 simplifies these two 
sentences, which CBOE believes are redundant, and states that on the 
dates on which the exercise and final settlement values are calculated 
for options \48\ or (security) futures contracts on a volatility index 
(i.e., expiration and final settlement dates), the Exchange will 
utilize the modified opening procedure described in that Interpretation 
and Policy for all series used to calculate the exercise/final 
settlement value of the volatility index for expiring options and 
(security) futures contracts (i.e., constituent options).\49\
---------------------------------------------------------------------------

    \47\ Interpretation and Policy .08 has a substantially similar 
procedure for series in Hybrid classes that are used to calculate 
volatility indexes on settlement dates. As discussed below, the 
proposed rule change deletes Interpretation and Policy .08 and 
applies Interpretation and Policy .01 to all classes. All proposed 
changes to Interpretation and Policy .01 described in this section 
of the rule filing will thus apply to the modified opening procedure 
for both Hybrid and Hybrid 3.0 classes. See id. at 74836, n.34.
    \48\ The proposed rule references Rules 24.9(a)(5) and (6) 
(which references are also included in current Rule 6.2B, 
Interpretation and Policy .08), which describe the method of 
determining the day on which the exercise settlement value will be 
calculated for volatility indexes with a 30-day volatility period 
and VXST, respectively. See id. at 74836, n.35.
    \49\ See id. at 74836.
---------------------------------------------------------------------------

    Current Interpretation and Policy .01(c)(i) states that all orders, 
other than spread or non-OPG contingency orders, will be eligible to be 
placed on the electronic book for those option contract expirations 
whose prices are used to derive the volatility indexes on which options 
and futures are traded, for the purpose of permitting those orders to 
participate in the opening price calculation for the applicable series. 
Since the Exchange permits the same order types during the modified 
opening procedure as it does during the standard procedure, the 
proposed rule change deletes this paragraph.\50\
---------------------------------------------------------------------------

    \50\ See Notice, supra note 3, at 74836-37. The Exchange 
requires, and will continue to require, LMMs (or DPMs) in Hybrid 3.0 
classes to enter opening quotes in series that may be used to 
calculate the exercise and final settlement values of options or 
futures on the volatility index on expiration and final settlement 
dates. Additionally, LMMs and DPMs must enter quotes within a 
certain timeframe on all trading days. See id. at 74832.
---------------------------------------------------------------------------

Exchange Determinations

    Current Rule 6.2B provides in various places, including paragraphs 
(b)(ii), (e) and (f) and Interpretations and Policies .01 and .08, that 
Exchange Floor Officials may determine whether to modify the opening 
procedures when they deem necessary. The Exchange proposes to delete 
these references and combine them into current paragraph (f) and 
proposed paragraph (e). Additionally, the Exchange proposes to amend 
proposed paragraph (e) to state that senior Help Desk personnel make 
these determinations.\51\ The proposed

[[Page 90901]]

rule change lists examples of actions Senior Help Desk personnel may 
take in the interests of commencing or maintaining a fair and orderly 
market, in the event of unusual market conditions, or in the public 
interest, including delaying or compelling the opening of any series in 
any options class, modifying timers or settings described in Rule 6.2B, 
and not using the modified opening procedure set forth in proposed 
Interpretation and Policy .01. The proposed rule change adds that the 
Exchange will make and maintain records to document all determinations 
to deviate from the standard manner of the opening procedure, and 
periodically review these determinations.\52\
---------------------------------------------------------------------------

    \51\ Current paragraph (b)(ii) references the Exchange Control 
Room. The Control Room is now referred to as the Help Desk, so the 
Exchange proposes to delete the references to the Control Room. See 
id. at 74837, n.37.
    \52\ See id. at 74837.
---------------------------------------------------------------------------

    In addition, there are various provisions throughout Rule 6.2B that 
allow the Exchange to make certain determinations on a class-by-class 
basis. However, pursuant to Rule 8.14, Interpretation and Policy 
.01,\53\ the Exchange may authorize groups of series of a class to 
trade on different trading platforms, and thus, the Exchange would make 
determinations for each group rather than the class as a whole. 
Proposed Interpretation and Policy .05 provides that, for these groups, 
the Exchange may make determinations pursuant to Rule 6.2B and the 
Interpretations and Policies thereunder on a group-by-group basis that 
would otherwise be made on a class-by-class basis. The proposed rule 
change also adds to proposed Interpretation and Policy .05 that it will 
announce via Regulatory Circular with appropriate advance notice any 
determinations it makes under Rule 6.2B, to ensure Trading Permit 
Holders are aware of these determinations and have sufficient time to 
make any necessary changes in response to the determinations.\54\
---------------------------------------------------------------------------

    \53\ Rule 8.14, Interpretation and Policy .01, provides that the 
Exchange may determine to authorize a group of series of a Hybrid 
3.0 class to trade on the Hybrid system, in which case the Exchange 
would establish trading parameters on a group basis to the extent 
rules otherwise provide for such parameters to be established on a 
class basis. See id. at 74838, n.39.
    \54\ See id. at 74838.
---------------------------------------------------------------------------

Obsolete and Duplicate Language

    The proposed rule change proposes to delete certain provisions 
because it believes the language is obsolete or duplicative. Those 
changes include the following:
     Current Rule 6.2B(b)(ii) describes how a DPM or LMM, as 
applicable, takes part in determining the cause of a delay in the 
opening of an underlying security, and that the Exchange may consider 
such information when deciding whether to open a series despite the 
delay in the opening of the underlying. According to CBOE, the CBOE 
Help Desk generally is aware of delayed openings in the underlying 
securities and thus this provision is no longer necessary. 
Additionally, the Exchange's Help Desk would have the ability to compel 
the opening of a series pursuant to proposed Rule 6.2B(f) and therefore 
proposes to delete this provision.\55\
---------------------------------------------------------------------------

    \55\ See id. at 74837.
---------------------------------------------------------------------------

     The Exchange also proposes to delete current 
Interpretation and Policy .01(c)(v), which states the HOSS system will 
automatically generate cancels immediately prior to the opening of the 
applicable index option series for broker-dealer, Market-Maker, away 
market-maker, and specialist (i.e., non-public customer) orders that 
remain on the book following the modified HOSS opening procedures. 
Since the System will cancel opening rotation orders that do not 
execute during the opening rotation of a series, the Exchange believes 
this provision is redundant. Further, the Exchange proposes to delete 
current Interpretation and Policy .01(c)(vi) regarding publication of 
an imbalance of contracts, as this is covered by proposed Rule 
6.2B(d)(iii) regarding dissemination of expected opening messages if a 
series does not open.
     The proposed rule change deletes Interpretation and Policy 
.08. The modified opening procedures described in Interpretations and 
Policies .01 and .08 are nearly identical for Hybrid and Hybrid 3.0 
classes. Therefore, the proposed rule change applies Interpretation and 
Policy .01 (as amended by this proposed rule change) to all 
classes.\56\
---------------------------------------------------------------------------

    \56\ See Notice, supra note 3, at 74838. The proposed rule 
change deletes references to VXST, the CBOE Short-Term Volatility 
Index, in Interpretation and Policy .01, as VXST is only one type of 
volatility index and is not unique in its treatment under this rule. 
See id. at n.38.
---------------------------------------------------------------------------

Non-Substantive Changes

    The proposed rule change, as modified by Amendment No. 1, makes 
numerous non-substantive and clerical changes throughout Rule 6.2B and 
in Rules 6.1A(e)(iii)(C), 6.13(b)(v)(B)(V), 6.53(l), 8.15(b)(v), 
8.85(a)(xi), and 17.50(g)(14), including adding or amending headings 
and defined terms, updating cross-references, adding introductory and 
clarifying language, using consistent language and punctuation, and 
replacing terms such as ``option series'' with series.\57\ The proposed 
rule change also amends current Rule 6.2B(g) and proposed Rule 6.2B(f) 
to clarify that the procedure described in Rule 6.2B may be used to 
reopen a series, in addition to a class, after a trading halt to 
address a potential situation in which only certain series are 
subjected to halt. The proposed rule change also adds detail regarding 
notice of use of this opening procedure following a trading halt and 
clarifies that the procedure would be the same, though depending on 
facts and circumstances, there may be no pre-opening period or a 
shorter pre-opening period. Proposed paragraph (f) further states the 
Exchange will announce the reopening of a class or series after a 
trading halt as soon as practicable via verbal message to the trading 
floor and electronic message to Trading Permit Holders that request to 
receive such messages.\58\
---------------------------------------------------------------------------

    \57\ The Exchange notes that all series listed for trading on 
the Exchange are for options, therefore it does not believe that 
including the word ``option'' is necessary. See id. at 74838.
    \58\ See id. at 74838. CBOE also notes that the Exchange may 
reopen a class after a trading halt as otherwise set forth in the 
Rules, including Rules 6.3, 6.3B, and 6.3C. See id. at n.40.
---------------------------------------------------------------------------

    The Exchange also proposes to amend Interpretation and Policy .04, 
which states the Exchange may determine on a class-by-class basis which 
electronic algorithm from Rule 6.45A or 6.45B, as applicable, applies 
to the class during rotations. The proposed rule change makes the 
electronic algorithm that applies to a class intraday the default 
algorithm during rotations, but leaves the Exchange flexibility to 
apply a different algorithm to a class during rotations if it deems 
necessary or appropriate.\59\
---------------------------------------------------------------------------

    \59\ See id. at 74838.
---------------------------------------------------------------------------

III. Discussion and Commission Findings

    After careful review, the Commission finds that the proposed rule 
change is consistent with the requirements of Section 6 of the Act,\60\ 
and the rules and regulations thereunder applicable to a national 
securities exchange.\61\ In particular, the Commission finds that the 
proposed rule change is consistent with Section 6(b)(5) of the Act,\62\ 
which requires, among other things, that a national securities exchange 
have rules designed to prevent fraudulent and manipulative acts and 
practices, to promote just and equitable principles of

[[Page 90902]]

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.
---------------------------------------------------------------------------

    \60\ 15 U.S.C. 78f.
    \61\ In approving this proposed rule change, the Commission has 
considered the proposed rule's impact on efficiency, competition, 
and capital formation. See 15 U.S.C. 78c(f).
    \62\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    In particular, the proposed rule change reorganizes and attempts to 
clarify the description of the opening (and sometimes closing) 
procedures, deletes text that the Exchange believes is either obsolete 
or unnecessary, removes certain discretion for the Exchange to make 
determinations under the rule on a class-by-class basis where CBOE no 
longer needs that discretion, and is intended to promote greater 
consistency across Rule 6.2B. The Commission notes that these changes 
may offer market participants a better understanding of how the 
Exchange's opening (and sometimes closing) procedures operate. To the 
extent the changes achieve that goal, they may promote transparency, 
reduce the potential for investor confusion, and assist market 
participants in deciding whether to participate in CBOE's trading 
rotations and, if they do participate, have confidence and certainty as 
to how their orders will be processed by the CBOE System.
    The Commission believes that the proposed rule change is designed 
to promote just and equitable principles of trade by seeking to ensure 
that series open in a fair and orderly manner with sufficient liquidity 
and opportunities for execution at prices that are determined by market 
forces. In particular, the Exchange notes that the proposed rule change 
is designed to ensure that market participants are aware of the 
circumstances under which the System may not open a series.\63\ 
Further, although the proposed rule change deletes the obligation for 
LMMs in Hybrid 3.0 classes to enter opening orders and quotes on 
volatility settlement dates, the Exchange has represented that it does 
not believe that this change will impact the balance of LMM obligations 
and benefits, as this obligation has been applied only to a brief 
period of time on a limited number of days.\64\ In addition, LMMs in 
Hybrid 3.0 must enter opening quotes in accordance with the obligation 
in Rule 8.15, including in series of classes that may be used to 
calculate the exercise and final settlement values of options or 
futures on the volatility index on settlement dates.\65\ The Exchange 
believes that the standard opening quoting obligation, in addition to 
other general obligations applicable to LMMs, provides sufficient 
liquidity in these series on the volatility settlement days.\66\ Thus, 
CBOE does not believe it is necessary to impose additional opening 
quoting obligations on LMMs on those days.
---------------------------------------------------------------------------

    \63\ See Notice, supra note 3, at 74839.
    \64\ See id.
    \65\ See id.
    \66\ See id.
---------------------------------------------------------------------------

    Further, the proposed change more clearly specifies the situations 
in which the modified opening procedures replace the opening procedures 
on settlement dates for certain series. The proposed rule change also 
sets out the circumstances when the Exchange may exercise discretion 
and strives to narrow that discretion within certain established 
parameters.\67\ The proposed rule change further requires the Exchange 
to document and periodically review Exchange decisions made under the 
rule, including any deviations from the standard opening procedures, 
and specifies that only senior Exchange officials can make those 
determinations and must do so in limited specified circumstances with 
specific regard to the public interest.\68\ In this manner, Exchange 
determinations made under the rule should be transparent and made with 
due regard to the Exchange's obligations under the Act.
---------------------------------------------------------------------------

    \67\ Exchange determinations, including the establishment of 
parameters governing the opening process, will be set forth in 
Regulatory Circulars (or as otherwise specified by the Exchange 
under the proposed rule). On account of the critical importance of 
this information to investors' understanding of how the Exchange's 
System operates, CBOE should ensure that such information is 
prominently displayed, readily searchable and retrievable, up-to-
date, and comprehensive.
    \68\ See proposed Rule 6.2B(e). See also Notice, supra note 3, 
at 74837.
---------------------------------------------------------------------------

    For the foregoing reasons, the Commission finds that the proposed 
rule change, as modified by Amendment No. 1, is consistent with Section 
6(b)(5) of the Act and the rules and regulations thereunder applicable 
to a national securities exchange.

IV. Solicitation of Comments on Amendment No. 1 to the Proposed Rule 
Change

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether Amendment No. 1 
to the proposed rule change is consistent with the Act. Comments may be 
submitted by any of the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-CBOE-2016-071 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-2016-071. 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 (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549, on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of the filing also will be available 
for inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-CBOE-2016-071, and should be 
submitted on or before January 5, 2017.

V. Accelerated Approval of Proposed Rule Change, as Modified by 
Amendment No. 1

    The Commission finds good cause to approve the proposed rule 
change, as modified by Amendment No. 1, prior to the thirtieth day 
after the date of publication of notice of the amended proposal in the 
Federal Register. In Amendment No. 1,\69\ CBOE updated a cross-
reference to Rule 6.2B in Rule 6.13. This change is consistent with the 
proposal as initially filed, and corrects

[[Page 90903]]

a now-obsolete rule reference. The change does not introduce material, 
new, or novel concepts. Accordingly, the Commission finds good cause, 
pursuant to Section 19(b)(2) of the Act,\70\ to approve the proposed 
rule change, as modified by Amendment No. 1, on an accelerated basis.
---------------------------------------------------------------------------

    \69\ See Amendment No. 1, supra note 4.
    \70\ 15 U.S.C. 78s(b)(2).
---------------------------------------------------------------------------

VI. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\71\ that the proposed rule change (SR-CBOE-2016-071), as modified 
by Amendment No. 1, be, and hereby is, approved on an accelerated 
basis.
---------------------------------------------------------------------------

    \71\ 15 U.S.C. 78s(b)(2).
    \72\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\72\
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2016-30082 Filed 12-14-16; 8:45 am]
 BILLING CODE 8011-01-P



                                               90896                           Federal Register / Vol. 81, No. 241 / Thursday, December 15, 2016 / Notices

                                               competitive response to analogous                          Electronic Comments                                    SECURITIES AND EXCHANGE
                                               programs offered by other options                                                                                 COMMISSION
                                               exchanges. The Exchange believes this                        • Use the Commission’s Internet
                                                                                                          comment form (http://www.sec.gov/                      [Release No. 34–79520; File No. SR–CBOE–
                                               proposed rule change is necessary to                                                                              2016–071]
                                               permit fair competition among the                          rules/sro.shtml); or
                                               options exchanges.                                           • Send an email to rule-comments@                    Self-Regulatory Organizations;
                                               C. Self-Regulatory Organization’s                          sec.gov. Please include File No. SR–                   Chicago Board Options Exchange,
                                               Statement on Comments on the                               BatsBZX–2016–84 on the subject line.                   Incorporated; Notice of Filing of
                                               Proposed Rule Change Received From                                                                                Amendment No. 1 and Order Granting
                                                                                                          Paper Comments
                                               Members, Participants or Others                                                                                   Accelerated Approval of a Proposed
                                                                                                            • Send paper comments in triplicate                  Rule Change, as Modified by
                                                 The Exchange has not solicited, and                                                                             Amendment No. 1, Relating To
                                                                                                          to Secretary, Securities and Exchange
                                               does not intend to solicit, comments on                                                                           Opening and Closing Rotations Under
                                                                                                          Commission, 100 F Street NE.,
                                               this proposed rule change. The                                                                                    the HOSS System
                                               Exchange has not received any written                      Washington, DC 20549–1090.
                                               comments from members or other                             All submissions should refer to File No.               December 9, 2016.
                                               interested parties.                                        SR–BatsBZX–2016–84. This file number                   I. Introduction
                                               III. Date of Effectiveness of the                          should be included on the subject line
                                                                                                                                                                    On October 7, 2016, Chicago Board
                                               Proposed Rule Change and Timing for                        if email is used. To help the                          Options Exchange, Incorporated
                                               Commission Action                                          Commission process and review your                     (‘‘CBOE’’ or ‘‘Exchange’’) filed with the
                                                                                                          comments more efficiently, please use                  Securities and Exchange Commission
                                                  Because the foregoing proposed rule                     only one method. The Commission will
                                               change does not: (A) Significantly affect                                                                         (‘‘Commission’’), pursuant to Section
                                                                                                          post all comments on the Commission’s                  19(b)(1) of the Securities Exchange Act
                                               the protection of investors or the public                  Internet Web site (http://www.sec.gov/
                                               interest; (B) impose any significant                                                                              of 1934 (‘‘Act’’) 1 and Rule 19b–4
                                                                                                          rules/sro.shtml). Copies of the                        thereunder,2 a proposed rule change to
                                               burden on competition; and (C) by its
                                                                                                          submission, all subsequent                             amend its rules relating to the opening
                                               terms, become operative for 30 days
                                                                                                          amendments, all written statements                     of series for trading on the Exchange.
                                               from the date on which it was filed or
                                               such shorter time as the Commission                        with respect to the proposed rule                      The Commission published the
                                               may designate it has become effective                      change that are filed with the                         proposed rule change for comment in
                                               pursuant to Section 19(b)(3)(A) of the                     Commission, and all written                            the Federal Register on October 27,
                                               Act 8 and paragraph (f)(6) of Rule 19b–                    communications relating to the                         2016.3 On November 18, 2016, the
                                               4 thereunder,9 the Exchange has                            proposed rule change between the                       Exchange filed Amendment No. 1 to the
                                               designated this rule filing as non-                        Commission and any person, other than                  proposed rule change.4 The Commission
                                               controversial. The Exchange has given                      those that may be withheld from the                    received no comments on the proposal.
                                               the Commission written notice of its                       public in accordance with the                          This order provides notice of filing of
                                               intent to file the proposed rule change,                   provisions of 5 U.S.C. 552, will be                    Amendment No. 1 and approves the
                                               along with a brief description and text                    available for Web site viewing and                     proposed rule change, as modified by
                                               of the proposed rule change at least five                  printing in the Commission’s Public                    Amendment No. 1, on an accelerated
                                               business days prior to the date of filing                  Reference Room, 100 F Street NE.,                      basis.
                                               of the proposed rule change, or such                       Washington, DC 20549, on official                      II. Description of the Proposed Rule
                                               shorter time as designated by the                          business days between the hours of                     Change
                                               Commission.                                                10:00 a.m. and 3:00 p.m. Copies of such                   CBOE proposes to amend its rules
                                                  At any time within 60 days of the                       filing will also be available for                      relating to the opening of series for
                                               filing of the proposed rule change, the                    inspection and copying at the principal                trading on the Exchange. Rule 6.2B
                                               Commission summarily may                                   office of the Exchange. All comments                   describes the process (referred to as
                                               temporarily suspend such rule change if                    received will be posted without change;                ‘‘HOSS’’) that the Exchange’s Hybrid
                                               it appears to the Commission that such                     the Commission does not edit personal                  Trading System (the ‘‘System’’) uses to
                                               action is: (1) Necessary or appropriate in                 identifying information from                           open series on the Exchange each
                                               the public interest; (2) for the protection                submissions. You should submit only                    trading day. The Exchange may also use
                                               of investors; or (3) otherwise in                          information that you wish to make                      HOSS for closing series or opening
                                               furtherance of the purposes of the Act.                    available publicly. All submissions
                                               If the Commission takes such action, the                   should refer to File No. SR–BatsBZX–                     1 15  U.S.C. 78s(b)(1).
                                               Commission shall institute proceedings                                                                              2 17  CFR 240.19b–4.
                                                                                                          2016–84 and should be submitted on or
                                               to determine whether the proposed rule                                                                               3 See Securities Exchange Act Release No. 79133
                                                                                                          before January 5, 2017.
                                               should be approved or disapproved.                                                                                (October 21, 2016), 81 FR 74828 (October 27, 2016)
                                                                                                            For the Commission, by the Division of               (‘‘Notice’’).
                                               IV. Solicitation of Comments                               Trading and Markets, pursuant to delegated
                                                                                                                                                                    4 In Amendment No. 1, the Exchange updated a

                                                                                                                                                                 cross-reference to Rule 6.2B in Rule 6.13. To
                                                 Interested persons are invited to                        authority.10                                           promote transparency of its proposed amendment,
                                               submit written data, views and                             Eduardo A. Aleman,                                     when CBOE filed Amendment No. 1 with the
                                               arguments concerning the foregoing,                                                                               Commission, it also submitted Amendment No. 1 as
                                                                                                          Assistant Secretary.
rmajette on DSK2TPTVN1PROD with NOTICES




                                                                                                                                                                 a comment letter to the file, which the Commission
                                               including whether the proposal is                          [FR Doc. 2016–30095 Filed 12–14–16; 8:45 am]           posted on its Web site and placed in the public
                                               consistent with the Act. Comments may                      BILLING CODE 8011–01–P                                 comment file for SR–CBOE–2016–071 (available at
                                               be submitted by any of the following                                                                              https://www.sec.gov/comments/sr-cboe-2016-071/
                                               methods:                                                                                                          cboe2016071.shtml). The Exchange also posted a
                                                                                                                                                                 copy of its Amendment No. 1 on its Web site
                                                                                                                                                                 (http://www.cboe.com/aboutcboe/legal/
                                                 8 15   U.S.C. 78s(b)(3)(A).                                                                                     submittedsecfilings.aspx), when it filed it with the
                                                 9 17   CFR 240.19b–4.                                      10 17   CFR 200.30–3(a)(12).                         Commission.



                                          VerDate Sep<11>2014      15:19 Dec 14, 2016   Jkt 241001   PO 00000   Frm 00125    Fmt 4703   Sfmt 4703   E:\FR\FM\15DEN1.SGM   15DEN1


                                                                          Federal Register / Vol. 81, No. 241 / Thursday, December 15, 2016 / Notices                                                     90897

                                               series after a trading halt. The Exchange                4:00 p.m. on the previous day for                      time, or less frequently if there are no
                                               is proposing various changes to                          extended trading hours.9                               updates since the previously
                                               reorganize and simplify the rule and to                     Under the proposal, the Exchange                    disseminated EOI.14
                                               more accurately reflect current System                   generally will not restrict the size or                   The proposed rule change further
                                               functionality.5                                          origin code of orders that may be                      modifies Rule 6.2B(a)(ii) to redefine the
                                                  According to the Exchange, HOSS                       submitted during the pre-opening                       terms EOP and EOS and address when
                                               generally processes the opening of each                  period. Therefore, the proposed rule                   that information will be disseminated.
                                               series in four stages: 6                                 change amends Rule 6.2B(a)(i) to add                   Currently, Rule 6.2B(a)(ii) states that the
                                                  (1) Pre-Opening Period: During the                    certainty to the rule by deleting the                  EOP is the price at which the greatest
                                               pre-opening period, the System accepts                   provision that requires the Exchange to                number of orders and quotes in the book
                                               orders and quotes and disseminates                       designate—on a class-by-class basis—                   are expected to trade and provides that
                                               messages that contain information based                  the eligible order size, eligible order                an EOP will only be calculated if (a)
                                               on resting orders and quotes in the                      type, and eligible order origin code (i.e.,            there are market orders in the book, or
                                               book, which may include the expected                     public customer orders, non-Market                     the book is crossed or locked and (b) at
                                               opening price (‘‘EOP’’), expected                        Maker broker-dealer orders, and Market
                                                                                                                                                               least one quote is present. The proposed
                                               opening size (‘‘EOS’’), any reason why                   Maker broker-dealer orders) which the
                                                                                                                                                               rule change revises this language to state
                                               a series may not open, and imbalance                     System will accept.10 Additionally, the
                                                                                                                                                               that the EOP is the price at which any
                                               information, including the size and side                 proposed rule change clarifies that the
                                                                                                                                                               opening trade is expected to execute
                                               of an imbalance (collectively, ‘‘expected                System will accept all quotes and all
                                                                                                                                                               and adds that the EOS is the size of any
                                               opening information’’ or ‘‘EOIs’’).                      order types during the pre-opening
                                                                                                                                                               expected opening trade. The proposed
                                                  (2) Initiation of the Opening Rotation:               period except for immediate-or-cancel,
                                                                                                                                                               rule change further states the System
                                               The System then initiates the opening                    fill-or-kill, intermarket sweep orders,
                                                                                                                                                               will only disseminate EOP and EOS
                                               rotation procedure and distributes a                     and Market-Maker trade prevention
                                                                                                                                                               messages: (a) If the width between the
                                               ‘‘Rotation Notice’’ to market                            orders.11 The proposed rule change also
                                                                                                                                                               highest quote bid and lowest quote offer
                                               participants.                                            adds that if an order entered during the
                                                  (3) Opening Rotation Period: During                                                                          on the Exchange is no wider than the
                                                                                                        pre-opening period for regular trading
                                               the opening rotation period, the System                                                                         OEPW range (as defined below), in
                                                                                                        hours is not eligible for book entry (e.g.,
                                               matches and executes orders and quotes                                                                          classes in which the Hybrid Agency
                                                                                                        minimum volume, not held, and
                                               against each other to establish an                                                                              Liaison (‘‘HAL’’) 15 is not activated for
                                                                                                        market-if-touched orders), the System
                                               opening Exchange best bid and offer                                                                             openings; or (b) if the width between the
                                                                                                        will route the order via CBOE’s order
                                               (‘‘BBO’’) and trade price for each series                                                                       highest quote bid and lowest quote offer
                                                                                                        handling system pursuant to Rule
                                               while continuing to disseminate EOIs.                                                                           on the Exchange or disseminated by
                                                                                                        6.12.12
                                                  (4) Opening of Trading: The System                       The proposed rule change amends                     other exchanges is no wider than the
                                               then opens series for trading, subject to                Rule 6.2B(a)(ii) in several ways. First, it            OEPW range, in classes in which HAL
                                               the satisfaction of certain conditions.                  defines EOIs and specifies the timing of               is activated for openings (‘‘HALO’’).16
                                                  According to CBOE, the proposed rule                  their dissemination. EOIs contain                      Opening Rotation Initiation and Notice
                                               change is designed to more clearly                       information based on resting orders and
                                               organize Rule 6.2B in this sequential                    quotes in the Book, including the EOP,                    Rule 6.2B(b) currently provides that,
                                               order and makes the additional specific                  the EOS, any reason why a series may                   unless unusual circumstances exist, at a
                                               changes discussed in more detail below.                  not open pursuant to paragraph (d) of                  randomly selected time within a
                                                                                                        Rule 6.2B,13 and any imbalance                         number of seconds after the opening
                                               Pre-Opening Period                                                                                              trade and/or the opening quote is
                                                                                                        information, including the size and side
                                                  Rule 6.2B(a) currently provides that                  of the imbalance. EOIs will be                         disseminated in the market for the
                                               the System accepts orders and quotes,                    disseminated to all market participants                underlying security 17 (or after 8:30 a.m.
                                               for regular trading hours, for a period of               that have elected to receive them                      for index options) with respect to
                                               time before the opening of trading in the                beginning at a time determined by the                  regular trading hours, or after 2:00 a.m.
                                               underlying security or, in the case of                   Exchange, which will be no earlier than                with respect to extended trading hours,
                                               index options, prior to 8:30 a.m.,7 and                  three hours prior to the expected                      the System initiates the opening rotation
                                               for extended trading hours, for a period                 initiation of an opening rotation for a
                                               of time prior to 2:00 a.m.8 The Exchange                 series. The System will then                             14 See  Notice, supra note 3, at 74830.
                                               proposes to amend Rule 6.2B(a) to                        disseminate EOI at regular intervals of                  15 HAL   provides automated order handling in
                                               provide that, for each trading session,                                                                         designated Hybrid classes for electronic orders that
                                                                                                                                                               are not automatically executed by the System. HAL
                                               the pre-opening period will begin no                        9 The Exchange notes that the pre-opening period
                                                                                                                                                               exposes these orders at the national best bid or
                                               later than 15 minutes prior to the                       currently begins at approximately 6:30 a.m. for        offer, and Trading Permit Holders may submit
                                               expected initiation of an opening                        regular trading hours and approximately 4:00 p.m.      responses to trade with the orders. See Rule 6.14A.
                                                                                                        on the previous day for extended trading hours. See
                                               rotation and no earlier than 2:00 a.m. for               id. at 74829, n.4.
                                                                                                                                                                  16 See Notice, supra note 3, at 74830, for more

                                               regular trading hours and no earlier than                                                                       detailed discussion of these changes to the pre-
                                                                                                           10 See Notice, supra note 3, at 74829.
                                                                                                                                                               opening period.
                                                                                                           11 See id. at 74829–30 for a discussion of these       17 The ‘‘market for the underlying security’’ is
                                                 5 See  Notice, supra note 3, at 74829.                 order types, which are defined in Rule 6.53.           currently the primary listing market, the primary
                                                 6 See  id.                                                12 See id. at 74830. The Exchange notes that
                                                                                                                                                               volume market (defined as the market with the most
                                                 7 All times set forth in Rule 6.2B are central time.   orders not eligible for book entry may only be         liquidity in that underlying security for the
                                               See id. at 74829, n.3.                                   traded open outcry on the Exchange floor.              previous two calendar months), or the first market
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                                                 8 The precise time periods are determined by the       According to the Exchange, because only electronic     to open the underlying security. Since the Exchange
                                               Exchange on a class-by-class basis. See id. at 74829.    trading is permitted during extended trading hours,    does not designate the primary volume market as
                                               In addition, since the System begins the pre-            the System will not accept these orders during the     the market for the underlying security for any class,
                                               opening period at the same time for each class           extended hours trading session and therefore, this     the proposed rule change deletes that option. The
                                               within each type of option (equity, index and            proposed provision is not applicable during that       proposed rule change also changes the term
                                               exchange-traded products (‘‘ETPs’’)), the proposed       trading session. See id. at 74830, n.6.                ‘‘market’’ to ‘‘exchange’’ and clarifies that the
                                               rule change deletes the provision of the current rule       13 Proposed paragraph (d) of Rule 6.2B sets forth   Exchange determines on a class-by-class basis
                                               that says the Exchange will determine the time on        certain Opening Conditions, which are discussed in     which market is the market for the underlying
                                               a class-by-class basis. See id.                          greater detail below.                                  security. See Notice, supra note 3, at 74830, n.10.



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                                               90898                      Federal Register / Vol. 81, No. 241 / Thursday, December 15, 2016 / Notices

                                               procedure and sends a notice (‘‘Rotation                 the Exchange has not activated HALO,                   disseminates opening quote and trade
                                               Notice’’) to market participants.18                      all-or-none orders and orders with a                   information through OPRA because the
                                                 The Exchange proposes to amend                         stop contingency) and quotes in a series               Exchange already disseminates such
                                               Rule 6.2B(b) to provide that the System                  in the book prior to the opening rotation              information pursuant to the OPRA Plan,
                                               will initiate the opening rotation                       period participate in the opening                      and therefore believes that this
                                               procedure and send out a Rotation                        rotation for a series. The Exchange notes              provision is unnecessarily repetitive.27
                                               Notice on a class-by-class basis as                      that Contingency Orders that participate               Despite the deletion of that language
                                               follows:                                                 in the opening rotation may execute                    from the rule concerning reporting data
                                                 • For regular trading hours:                           during the opening rotation period only                through OPRA, the Exchange is not
                                                 Æ With respect to equity and ETP                       if their contingencies are triggered.22                proposing a substantive change to
                                               options, after the opening trade or the                     The proposed rule change clarifies                  reporting this information through
                                               opening quote is disseminated in the                     that the System will continue to                       OPRA.
                                               market for the underlying security, or at                disseminate EOIs (not just the EOP and
                                                                                                        EOS) during the opening rotation                       Opening Conditions
                                               8:30 for classes determined by the
                                               Exchange (including over-the-counter                     period, which may be disseminated at                     Current Rule 6.2B(e) provides that the
                                               equity classes); or                                      more frequent intervals closer to the                  System will not open a series if one of
                                                 Æ with respect to index options, at                    opening.23 In addition, the proposed                   a number of specified conditions is met,
                                               8:30 a.m., or at the later of 8:30 a.m. and              rule change updates the description of                 including the absence of a quote that
                                               the time the Exchange receives a                         the length of the opening rotation period              complies with the bid/ask differential
                                               disseminated index value for classes                     and adds detail to the description of                  requirements or if the opening price
                                               determined by the Exchange; and                          how the System processes series to open                would not be within an acceptable range
                                                 • For extended trading hours, at 2:00                  following the opening rotation period.                 or would leave a market order
                                               a.m.19                                                   Specifically, current subparagraph (c)(ii)             imbalance.28 The proposed rule change
                                                                                                        states that the System will process the                amends these conditions to provide
                                               Opening Rotation Period                                  series of a class in a random order and                that, in classes in which the Exchange
                                                 Rule 6.2B(c) provides that after the                   the series will begin opening after a                  has not activated HALO:
                                               Rotation Notice is sent, the System                      period following the Rotation Notice,                    (1) If there are no quotes in the series
                                               enters into a rotation period, during                    which period may not exceed sixty                      on the Exchange, the System will not
                                               which the opening price is established                   seconds and will be established on a                   open the series;
                                               for each series. The proposed rule                       class-by-class basis by the Exchange.24                  (2) if the width between the
                                               change reorganizes paragraph (c) to                      Proposed subparagraph (c)(iii) retains                 Exchange’s best quote bid and best
                                               more clearly demarcate and further                       that process, but clarifies that CBOE will             quote offer is wider than an acceptable
                                               describe (1) when the opening rotation                   determine the length and number of                     opening price range (as determined by
                                               period begins, (2) what happens during                   these intervals for all classes.25                     the Exchange on a class-by-class and
                                               the period, (3) the handling of EOIs                                                                            premium basis) (the ‘‘Opening Exchange
                                                                                                        Opening Quote and Trade Price                          Prescribed Width range’’ or ‘‘OEPW
                                               during the period, and (4) when the
                                               period ends.20                                             In its filing, the Exchange represented              range’’) 29 and there are orders or quotes
                                                 During the opening rotation period,                    that, pursuant to the Options Price                    marketable against each other, the
                                               the System establishes the opening trade                 Reporting Authority (‘‘OPRA’’) Plan,                   System will not open the series.
                                               price and the opening BBO by matching                    once a series opens, the System                        However, if the opening quote width is
                                               and executing resting orders and quotes                  disseminates all quote and trade price                 no wider than the intraday acceptable
                                               against each other. The proposed rule                    information to OPRA, including                         price range for the series (‘‘IEPW
                                               change modifies the definition of the                    opening quote and trade price                          range’’) 30 and there are no orders or
                                               opening trade price of a series to be the                information.26 Accordingly, the                        quotes marketable against each other,
                                               ‘‘market-clearing’’ price, which is the                  Exchange proposes to delete text in                    the System will open the series. If the
                                               single price at which the largest number                 current paragraph (d) of Rule 6.2B                     opening quote width is wider than the
                                               of contracts in the book can execute,                    stating that the opening price is                      IEPW range, the System will not open
                                               leaving bids and offers that cannot trade                determined by series and that CBOE                     the series. Additionally, according to
                                               with each other.21 The proposed rule
                                                                                                           22 See id. at 74831–32. Further, the Exchange         27 See
                                               change also states that all orders (except                                                                                id. at 74832.
                                                                                                        notes that the proposed rule change moves the rule       28 See  id. at 74832. The final provision of current
                                               complex orders and, in classes in which                  provision regarding the priority order of orders and   paragraph (e) provides the following: If the first or
                                                                                                        quotes during this matching process from current       second condition is present, the senior official in
                                                 18 See  id. at 74830–31.                               subparagraph (c)(iv) to proposed subparagraph          the Control Room may authorize the opening of the
                                                 19 See  id. at 74831 (providing detailed description   (c)(i)(C). The System prioritizes orders in the        affected series where necessary to ensure a fair and
                                               of the Exchange’s changes to initiating the opening      following order: (1) Market orders, (2) limit orders   orderly market; if the second condition is present,
                                               rotation).                                               and quotes whose prices are better than the opening    the System will not open the series but will send
                                                 20 See proposed Rule 6.2B(c). See also Notice,         price, and (3) resting orders and quotes at the        a notification to market participants indicating the
                                               supra note 3, at 74831.                                  opening price. The proposed rule change also notes     reason; if the third condition is present, a
                                                 21 See Notice, supra note 3, at 74831. If there are    contingency orders are prioritized as set forth in     notification will be sent to market participants
                                                                                                        Rules 6.45A and 6.45B. See id. at 74832, n.13.         indicating the size and direction of the market order
                                               multiple prices at which the same number of                 23 See id. at 74832.
                                               contracts would clear, the System will use (a) the                                                              imbalance. In this case, the System will not open
                                                                                                           24 See id. at 74832.                                the series until the condition causing the delay is
                                               price at or nearest to the midpoint of the opening
                                               BBO, or the widest offer (bid) point of the OEPW            25 According to the Exchange, currently, the        satisfied, and the System will repeat this process
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                                               range if the midpoint is higher (lower) than that        Exchange has set the period of time that must pass     until the series is open. The proposed rule change
                                               price point, in classes in which the Exchange has        before the System begins processing series to open     combines the exceptions in current paragraph (e)
                                               not activated HALO; or (b) the price at or nearest       at two seconds, and the Exchange has set the           with the applicable opening conditions in current
                                               to the midpoint of the range consisting of the higher    number of intervals to two and the length of the       subparagraphs (e)(i) through (iii) into proposed
                                               of the opening NBB and widest bid point of the           intervals to one second. As a result, the opening      paragraph (d)(i). See id. at n.16.
                                               OEPW range, and the lower of the opening NBO             rotation period currently lasts two to four seconds.      29 Current OEPW settings are set forth in

                                               and widest offer point of the OEPW range, in             See Regulatory Circular RG11–072; see also Notice,     Regulatory Circular RG 13–025. See Notice, supra
                                               classes in which the Exchange has activated HALO.        supra note 3, at 74832 n.14.                           note 3, at 74832, n.18.
                                               See id.                                                     26 See Notice, supra note 3, at 74832.                 30 See Rule 6.13(b)(v).




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                                                                          Federal Register / Vol. 81, No. 241 / Thursday, December 15, 2016 / Notices                                                        90899

                                               the Exchange, because all quotes                          current conditions take into                             (sell) orders at the widest offer (bid)
                                               entered by Market-Makers (including                       consideration whether the opening trade                  point of the OEPW range or NBO (NBB),
                                               quotes entered during the pre-opening                     would be at a price that is not the                      whichever is lower (higher);
                                               period and opening rotation period)                       national best bid or offer.35 Current                       (4) if the opening trade would leave
                                               must satisfy bid/ask differentials,31 the                 Interpretation and Policy .03(b) further                 a market order imbalance, the System
                                               Exchange proposes to delete the                           describes what happens when each of                      will open the series by matching orders
                                               reference to bid/ask differential                         these conditions is present, including                   and quotes to the extent they can trade
                                               requirements in this provision;                           exposure of marketable orders at the                     and will report the opening trade, if any,
                                                  (3) if the opening trade price would be                NBBO under certain conditions. The                       at the opening trade price. The System
                                               outside of the OEPW range, the System                     proposed rule change would amend the                     will then expose any remaining
                                               will not open the series. The Exchange                    opening conditions applicable to classes                 marketable buy (sell) orders at the
                                               states that the proposed rule change also                 in which the Exchange has activated                      widest offer (bid) point of the OEPW
                                               deletes the language from the current                     HALO to provide as follows:                              range or NBO (NBB), whichever is lower
                                               provision regarding sending a                                (1) If there are no quotes on the                     (higher); or
                                               notification when this condition is                       Exchange or disseminated from at least                      (5) if the opening quote bid (offer) or
                                               present because notifications are sent                    one away exchange present in the series,                 the NBB (NBO) crosses the opening
                                               when a series does not open for any                       the System will not open the series;                     quote offer (bid) or the NBO (NBB) by
                                               reason; or                                                   (2) if the width between the best quote               more than an amount determined by the
                                                  (4) if the opening trade would leave                   bid and best quote offer, which may                      Exchange on a class-by-class and
                                               a market order imbalance, the System                      consist of Market-Makers quotes or bids                  premium basis, the System will not
                                               will not open the series. However, if a                   and offers disseminated from an away                     open the series.37 If the opening quote
                                               sell market order imbalance exists, there                 exchange, is wider than the OEPW range                   bid (offer) or NBO (NBO) crosses the
                                               is no bid in the series, and the best offer               and there are orders or quotes                           opening quote offer (bid) or NBO (NBB)
                                               is $0.50 or less, the System will open                    marketable against each other or that                    by no more than the specified amount,
                                               the series; if there is no bid in the series              lock or cross the OEPW range, the                        the System will open the series by
                                               and the best offer is greater than $0.50,                 System will not open the series.                         matching orders and quotes to the
                                               the System will not open the series. The                  However, if the opening quote width is                   extent they can trade and will report the
                                               proposed rule change deletes the                          no wider than the IEPW range and there                   opening trade, if any, at the opening
                                               language regarding the exception for                      are no orders or quotes marketable                       trade price. The System then exposes
                                               series that will open at a minimum                        against each other or that lock or cross                 any remaining marketable buy (sell)
                                               increment.32 The proposed rule change                     the OEPW range, the System will open                     orders at the widest offer (bid) point of
                                                                                                         the series. If the opening quote width is                the OEPW range or NBO (NBB),
                                               also deletes the language from the
                                                                                                         wider than the IEPW range, the System                    whichever is lower (higher). If the best
                                               current provision regarding sending a
                                                                                                         will not open the series. If the opening                 away market bid and offer are inverted
                                               notification when this condition is
                                                                                                         quote for a series consists solely of bids               by no more than the specified amount,
                                               present, because, as stated above,
                                                                                                         and offers disseminated from an away                     there is a marketable order on each side
                                               notifications go out when a series does
                                                                                                         exchange(s), the System will open the                    of the series, and the System opens the
                                               not open for any reason.33
                                                                                                         series by matching orders and quotes to                  series, the System will expose the order
                                                  Separately, current Interpretation and
                                                                                                         the extent they can trade and will report                on the side with the larger size and
                                               Policy .03 to Rule 6.2B describes
                                                                                                         the opening trade, if any, at the opening                route for execution the order on the side
                                               opening conditions that apply to classes
                                                                                                         trade price. The System will then                        with the smaller size to an away
                                               in which the Exchange has activated
                                                                                                         exposes any remaining marketable buy                     exchange that is at the NBBO.38
                                               HALO.34 Among other things, the                           (sell) orders at the widest offer (bid)                     In addition, the proposed rule change
                                                  31 See Rule 8.7(d). The Exchange may set different
                                                                                                         point of the OEPW range or NBO (NBB),                    makes other changes to current
                                               bid/ask differential requirements for a Market-           whichever is lower (higher).36                           Interpretation and Policy .03, while
                                               Maker’s opening quotes than for its intraday quotes          (3) if the opening trade price would be               retaining and moving around certain
                                               (which it currently does). The proposed rule change       outside the OEPW range or the NBBO,                      other provisions.39 Among other things,
                                               specifies this in Interpretation and Policy .02           the System will open the series by                       for example, because the Exchange no
                                               regarding Market-Maker quotes, which currently
                                               provides that the Exchange may also set a different
                                                                                                         matching orders and quotes to the                        longer uses an allocation period, it
                                               minimum number of contracts for a Market-Maker’s          extent they can trade and will report the                proposes to delete the provision
                                               opening quotes. See Notice, supra note 3, at 74833,       opening trade, if any, at an opening                     regarding the allocation period of the
                                               n.20.                                                     trade price not outside either the OEPW                  HAL openings.40 In addition, the
                                                  32 Pursuant to Rule 6.13(b)(vi), in the situation in
                                                                                                         range or NBBO. The System will then                      proposed rule change deletes
                                               which there is no bid in the series and the best offer
                                               is $0.50 or less, the System considers these market       expose any remaining marketable buy                      Interpretation and Policy .03(c)(i)
                                               orders to be limit orders for the minimum                                                                          regarding the priority of orders and
                                               increment applicable to the series and enter these        apply to classes in which HALO is activated). The        quotes during the open for classes in
                                               orders in the book (behind limit orders to sell at the    Exchange proposes to reorganize Rule 6.2B to keep
                                               minimum increment already resting in the book).           the description of the applicable opening
                                                                                                                                                                  which the Exchange has activated HAL
                                               Essentially, this creates a situation in which a series   conditions for all classes in a single location within
                                                                                                                                                                    37 Currently, this amount is $0.25 for options with
                                               opens at a minimum price increment (i.e. $0.00–           the rules. Therefore, the proposed rule change
                                               $0.05). In the situation in which there is no bid in      moves these opening conditions to proposed               prices less than $3.00 and $0.50 for options with
                                               the series and the best offer is greater than $0.50,      subparagraph (d)(ii) of Rule 6.2B. See id. at 74834,     prices of $3.00 or more. See id. at 74835, n.26.
                                               if the no-bid series were to open while the best offer    n.23.                                                      38 See id. at 74834–35.
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                                               is greater than $0.50, under the rules, a market             35 See id. at 74833.                                    39 The proposed rule change stipulates that any
                                               order to sell will be handled via the order handling         36 Additionally, according to the Exchange,           remaining balances of orders not executed after the
                                               system pursuant to Rule 6.12 rather than route to         because all quotes entered by Market-Makers              exposure period will enter the book at their limit
                                               the book. See Notice, supra note 3, at 74833.             (including quotes entered during the pre-opening         prices (to the extent consistent with Rule 6.53) or
                                                  33 See Notice, supra note 3, at 74832–33                                                                        route via the order handling system pursuant to
                                                                                                         period and opening rotation period) must satisfy
                                               (describing in greater detail opening conditions set      bid/ask differentials, the Exchange proposes to          Rule 6.12 in accordance with their routing
                                               forth in proposed Rule 6.2B(d)(i)).                       delete the reference to bid/ask differential             instructions. See Notice, supra note 3, at 74835,
                                                  34 See id. at 74833–34 (providing a detailed           requirements from Rule 6.2B. See id. at 74834, n.24      n.27.
                                               description of the current opening conditions that        and accompanying text.                                     40 See id. at 74835.




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                                               90900                      Federal Register / Vol. 81, No. 241 / Thursday, December 15, 2016 / Notices

                                               for openings, as it is the same as the                   respectively, to the class or series may                  volatility index for each expiration. The
                                               priority in proposed subparagraph                        enter quotes prior to the opening of                      Exchange states that the proposed
                                               (c)(i)(C).41                                             trading, subject to the obligation set                    introductory paragraph to Interpretation
                                                  The Exchange also proposes to add                     forth in Rule 8.15 or 8.85, respectively.                 and Policy .01 simplifies these two
                                               subparagraph (d)(iii), which provides                    Proposed paragraph (h)(ii) states that                    sentences, which CBOE believes are
                                               that if the System does not open a series                during the pre-opening period, the                        redundant, and states that on the dates
                                               pursuant subparagraphs (i) or (ii),                      System will accept all order types                        on which the exercise and final
                                               notwithstanding proposed paragraph (c)                   eligible for entry from public customers                  settlement values are calculated for
                                               (which states the opening rotation                       (consistent with current paragraph (a) in                 options 48 or (security) futures contracts
                                               period may not last more than 60                         Interpretation and Policy .01), but adds                  on a volatility index (i.e., expiration and
                                               seconds), the opening rotation period                    that the System only accepts opening                      final settlement dates), the Exchange
                                               continues (including the dissemination                   rotation orders from non-public                           will utilize the modified opening
                                               of EOIs) until the condition causing the                 customers.45                                              procedure described in that
                                               delay is satisfied or the Exchange                       Modified Opening Procedures on                            Interpretation and Policy for all series
                                               otherwise determines it is necessary to                  Volatility Index Settlement Dates                         used to calculate the exercise/final
                                               open a series in accordance with                                                                                   settlement value of the volatility index
                                               proposed paragraph (e).42                                   The proposed rule change amends the                    for expiring options and (security)
                                                                                                        modified opening procedures for classes                   futures contracts (i.e., constituent
                                               Hybrid 3.0 Classes                                       and series used to calculate volatility                   options).49
                                                 The proposed rule change moves Rule                    indexes on the exercise and final                            Current Interpretation and Policy
                                               6.2B, Interpretation and Policy .01(a),                  settlement dates. Current Interpretation                  .01(c)(i) states that all orders, other than
                                               which establishes a modified opening                     and Policy .01(b) requires the DPM or                     spread or non-OPG contingency orders,
                                               procedure for classes that trade on the                  LMM to enter opening quotes in all                        will be eligible to be placed on the
                                               Hybrid 3.0 platform, into the body of the                series in a Hybrid 3.0 class during a                     electronic book for those option contract
                                               rule in proposed paragraph (h).                          modified opening procedure. The                           expirations whose prices are used to
                                               Interpretation and Policy .01 generally                  proposed rule change deletes this                         derive the volatility indexes on which
                                               describes the modified opening                           obligation. As a result, the opening                      options and futures are traded, for the
                                               procedures for Hybrid 3.0 series that are                quoting obligations in Rules 8.15 and                     purpose of permitting those orders to
                                               used to calculate volatility indexes.43                  8.85, as applicable, would apply to                       participate in the opening price
                                               The Exchange noted in its filing that                    LMMs and DPMs, respectively, in                           calculation for the applicable series.
                                               current paragraph (a), however, applies                  Hybrid 3.0 classes on volatility                          Since the Exchange permits the same
                                               to Hybrid 3.0 classes on all trading days,               settlement days.46                                        order types during the modified opening
                                               not just the days on which the Exchange                     Current Rule 6.2B, Interpretation and
                                                                                                                                                                  procedure as it does during the standard
                                               uses the modified opening                                Policy .01(c) describes a modified
                                                                                                                                                                  procedure, the proposed rule change
                                               procedures.44 The proposed rule change                   opening procedure that applies to series
                                                                                                                                                                  deletes this paragraph.50
                                               therefore moves this provision to                        in Hybrid 3.0 classes that are used to
                                               proposed paragraph (h) within the body                   calculate a volatility index on expiration                Exchange Determinations
                                               of the rule, rather than the Interpretation              and final settlement dates for those                        Current Rule 6.2B provides in various
                                               and Policy.                                              indexes.47 The introductory paragraph                     places, including paragraphs (b)(ii), (e)
                                                 The introduction to proposed                           of current paragraph (c) states that to                   and (f) and Interpretations and Policies
                                               paragraph (h) states that all the                        facilitate the calculation of exercise or                 .01 and .08, that Exchange Floor
                                               provisions set forth in Rule 6.2B apply                  final settlement values for options or                    Officials may determine whether to
                                               to the opening of Hybrid 3.0 series                      futures contracts on volatility indexes,
                                                                                                                                                                  modify the opening procedures when
                                               except as follows in subparagraphs (i)                   the Exchange will utilize a modified
                                                                                                                                                                  they deem necessary. The Exchange
                                               and (ii). Proposed paragraph (h)(i)                      HOSS opening procedure for any
                                                                                                                                                                  proposes to delete these references and
                                               provides that only the LMM or DPM                        Hybrid 3.0 series with respect to which
                                                                                                                                                                  combine them into current paragraph (f)
                                               with an appointment or allocation,                       a volatility index is calculated. This
                                                                                                                                                                  and proposed paragraph (e).
                                                                                                        modified opening procedure will be
                                                                                                                                                                  Additionally, the Exchange proposes to
                                                                                                        utilized only on the expiration and final
                                                 41 See   id.                                                                                                     amend proposed paragraph (e) to state
                                                 42 Current  Rule 6.2B(h) and proposed Rule 6.2B(g)     settlement dates of the options or
                                                                                                                                                                  that senior Help Desk personnel make
                                               provide that the opening procedures described in         futures contracts on the applicable
                                               the rule may also be used after the close of a trading
                                                                                                                                                                  these determinations.51 The proposed
                                               session for series that open pursuant to HOSS. The         45 See id. at 74836. Pursuant to Rule 7.4(a), public
                                                                                                                                                                    48 The proposed rule references Rules 24.9(a)(5)
                                               proposed rule change makes non-substantive               customer orders are eligible for entry into the
                                               changes to proposed paragraph (g) to more clearly        electronic book. While non-public customers may           and (6) (which references are also included in
                                               and simply state the potential applicability of the      submit orders in Hybrid classes for entry into the        current Rule 6.2B, Interpretation and Policy .08),
                                               opening procedures to a closing rotation for series      book, the Exchange may determine on a class-by-           which describe the method of determining the day
                                               that open pursuant to HOSS and to include                class basis that non-public customers may also            on which the exercise settlement value will be
                                               additional detail regarding the notification to          submit orders in Hybrid 3.0 classes for entry into        calculated for volatility indexes with a 30-day
                                               Trading Permit Holders regarding the decision to         the book; currently, the Exchange has determined          volatility period and VXST, respectively. See id. at
                                               conduct a closing rotation. The proposed rule            not to permit this. See id. at 74836, n.31.               74836, n.35.
                                               change also amends the name of Rule 6.2B to                46 See id. at 74836.                                      49 See id. at 74836.

                                               indicate that the procedures may also be used for          47 Interpretation and Policy .08 has a substantially      50 See Notice, supra note 3, at 74836–37. The
                                               closing rotations. See id. at 74835, n.28.               similar procedure for series in Hybrid classes that       Exchange requires, and will continue to require,
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                                                  43 The only series trading on Hybrid 3.0 are SPX                                                                LMMs (or DPMs) in Hybrid 3.0 classes to enter
                                                                                                        are used to calculate volatility indexes on
                                               index options. See, e.g., CBOE FAQs, available at:       settlement dates. As discussed below, the proposed        opening quotes in series that may be used to
                                               https://www.cboe.org/publish/mmfaq/mmfaq.pdf             rule change deletes Interpretation and Policy .08         calculate the exercise and final settlement values of
                                               (‘‘All option classes on CBOE are Hybrid classes,        and applies Interpretation and Policy .01 to all          options or futures on the volatility index on
                                               except SPX, which contains both Hybrid series            classes. All proposed changes to Interpretation and       expiration and final settlement dates. Additionally,
                                               (SPX Weeklys under trading symbol SPXW) and              Policy .01 described in this section of the rule filing   LMMs and DPMs must enter quotes within a certain
                                               Hybrid 3.0 series (all other SPX series under trading    will thus apply to the modified opening procedure         timeframe on all trading days. See id. at 74832.
                                               symbol SPX).’’).                                         for both Hybrid and Hybrid 3.0 classes. See id. at          51 Current paragraph (b)(ii) references the
                                                  44 See Notice, supra note 3, at 74835–36.             74836, n.34.                                              Exchange Control Room. The Control Room is now



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                                                                         Federal Register / Vol. 81, No. 241 / Thursday, December 15, 2016 / Notices                                                     90901

                                               rule change lists examples of actions                   delay in the opening of an underlying                 as ‘‘option series’’ with series.57 The
                                               Senior Help Desk personnel may take in                  security, and that the Exchange may                   proposed rule change also amends
                                               the interests of commencing or                          consider such information when                        current Rule 6.2B(g) and proposed Rule
                                               maintaining a fair and orderly market,                  deciding whether to open a series                     6.2B(f) to clarify that the procedure
                                               in the event of unusual market                          despite the delay in the opening of the               described in Rule 6.2B may be used to
                                               conditions, or in the public interest,                  underlying. According to CBOE, the                    reopen a series, in addition to a class,
                                               including delaying or compelling the                    CBOE Help Desk generally is aware of                  after a trading halt to address a potential
                                               opening of any series in any options                    delayed openings in the underlying                    situation in which only certain series
                                               class, modifying timers or settings                     securities and thus this provision is no              are subjected to halt. The proposed rule
                                               described in Rule 6.2B, and not using                   longer necessary. Additionally, the                   change also adds detail regarding notice
                                               the modified opening procedure set                      Exchange’s Help Desk would have the                   of use of this opening procedure
                                               forth in proposed Interpretation and                    ability to compel the opening of a series             following a trading halt and clarifies
                                               Policy .01. The proposed rule change                    pursuant to proposed Rule 6.2B(f) and                 that the procedure would be the same,
                                               adds that the Exchange will make and                    therefore proposes to delete this                     though depending on facts and
                                               maintain records to document all                        provision.55                                          circumstances, there may be no pre-
                                               determinations to deviate from the                        • The Exchange also proposes to                     opening period or a shorter pre-opening
                                               standard manner of the opening                          delete current Interpretation and Policy              period. Proposed paragraph (f) further
                                               procedure, and periodically review                      .01(c)(v), which states the HOSS system               states the Exchange will announce the
                                               these determinations.52                                 will automatically generate cancels                   reopening of a class or series after a
                                                  In addition, there are various                       immediately prior to the opening of the               trading halt as soon as practicable via
                                               provisions throughout Rule 6.2B that                    applicable index option series for                    verbal message to the trading floor and
                                               allow the Exchange to make certain                      broker-dealer, Market-Maker, away                     electronic message to Trading Permit
                                               determinations on a class-by-class basis.               market-maker, and specialist (i.e., non-              Holders that request to receive such
                                               However, pursuant to Rule 8.14,                         public customer) orders that remain on                messages.58
                                               Interpretation and Policy .01,53 the                    the book following the modified HOSS                     The Exchange also proposes to amend
                                               Exchange may authorize groups of series                 opening procedures. Since the System                  Interpretation and Policy .04, which
                                               of a class to trade on different trading                will cancel opening rotation orders that              states the Exchange may determine on a
                                               platforms, and thus, the Exchange                       do not execute during the opening                     class-by-class basis which electronic
                                               would make determinations for each                      rotation of a series, the Exchange                    algorithm from Rule 6.45A or 6.45B, as
                                               group rather than the class as a whole.                 believes this provision is redundant.                 applicable, applies to the class during
                                               Proposed Interpretation and Policy .05                  Further, the Exchange proposes to                     rotations. The proposed rule change
                                               provides that, for these groups, the                    delete current Interpretation and Policy              makes the electronic algorithm that
                                               Exchange may make determinations                        .01(c)(vi) regarding publication of an                applies to a class intraday the default
                                               pursuant to Rule 6.2B and the                           imbalance of contracts, as this is                    algorithm during rotations, but leaves
                                               Interpretations and Policies thereunder                 covered by proposed Rule 6.2B(d)(iii)                 the Exchange flexibility to apply a
                                               on a group-by-group basis that would                    regarding dissemination of expected                   different algorithm to a class during
                                               otherwise be made on a class-by-class                   opening messages if a series does not                 rotations if it deems necessary or
                                               basis. The proposed rule change also                    open.                                                 appropriate.59
                                               adds to proposed Interpretation and                       • The proposed rule change deletes
                                               Policy .05 that it will announce via                    Interpretation and Policy .08. The                    III. Discussion and Commission
                                               Regulatory Circular with appropriate                    modified opening procedures described                 Findings
                                               advance notice any determinations it                    in Interpretations and Policies .01 and                  After careful review, the Commission
                                               makes under Rule 6.2B, to ensure                        .08 are nearly identical for Hybrid and               finds that the proposed rule change is
                                               Trading Permit Holders are aware of                     Hybrid 3.0 classes. Therefore, the                    consistent with the requirements of
                                               these determinations and have sufficient                proposed rule change applies                          Section 6 of the Act,60 and the rules and
                                               time to make any necessary changes in                   Interpretation and Policy .01 (as                     regulations thereunder applicable to a
                                               response to the determinations.54                       amended by this proposed rule change)                 national securities exchange.61 In
                                                                                                       to all classes.56                                     particular, the Commission finds that
                                               Obsolete and Duplicate Language                                                                               the proposed rule change is consistent
                                                 The proposed rule change proposes to                  Non-Substantive Changes
                                                                                                                                                             with Section 6(b)(5) of the Act,62 which
                                               delete certain provisions because it                      The proposed rule change, as                        requires, among other things, that a
                                               believes the language is obsolete or                    modified by Amendment No. 1, makes                    national securities exchange have rules
                                               duplicative. Those changes include the                  numerous non-substantive and clerical                 designed to prevent fraudulent and
                                               following:                                              changes throughout Rule 6.2B and in                   manipulative acts and practices, to
                                                 • Current Rule 6.2B(b)(ii) describes                  Rules 6.1A(e)(iii)(C), 6.13(b)(v)(B)(V),              promote just and equitable principles of
                                               how a DPM or LMM, as applicable,                        6.53(l), 8.15(b)(v), 8.85(a)(xi), and
                                               takes part in determining the cause of a                17.50(g)(14), including adding or                        57 The Exchange notes that all series listed for

                                                                                                       amending headings and defined terms,                  trading on the Exchange are for options, therefore
                                               referred to as the Help Desk, so the Exchange           updating cross-references, adding                     it does not believe that including the word ‘‘option’’
                                               proposes to delete the references to the Control                                                              is necessary. See id. at 74838.
                                                                                                       introductory and clarifying language,                    58 See id. at 74838. CBOE also notes that the
                                               Room. See id. at 74837, n.37.
                                                  52 See id. at 74837.
                                                                                                       using consistent language and                         Exchange may reopen a class after a trading halt as
                                                                                                       punctuation, and replacing terms such                 otherwise set forth in the Rules, including Rules
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                                                  53 Rule 8.14, Interpretation and Policy .01,

                                               provides that the Exchange may determine to                                                                   6.3, 6.3B, and 6.3C. See id. at n.40.
                                                                                                                                                                59 See id. at 74838.
                                               authorize a group of series of a Hybrid 3.0 class to      55 See id. at 74837.
                                                                                                                                                                60 15 U.S.C. 78f.
                                               trade on the Hybrid system, in which case the             56 See Notice, supra note 3, at 74838. The
                                               Exchange would establish trading parameters on a        proposed rule change deletes references to VXST,         61 In approving this proposed rule change, the

                                               group basis to the extent rules otherwise provide for   the CBOE Short-Term Volatility Index, in              Commission has considered the proposed rule’s
                                               such parameters to be established on a class basis.     Interpretation and Policy .01, as VXST is only one    impact on efficiency, competition, and capital
                                               See id. at 74838, n.39.                                 type of volatility index and is not unique in its     formation. See 15 U.S.C. 78c(f).
                                                  54 See id. at 74838.                                 treatment under this rule. See id. at n.38.              62 15 U.S.C. 78f(b)(5).




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                                               90902                        Federal Register / Vol. 81, No. 241 / Thursday, December 15, 2016 / Notices

                                               trade, to foster cooperation and                          settlement dates.65 The Exchange                         Electronic Comments
                                               coordination with persons engaged in                      believes that the standard opening                         • Use the Commission’s Internet
                                               regulating, clearing, settling, processing                quoting obligation, in addition to other                 comment form (http://www.sec.gov/
                                               information with respect to, and                          general obligations applicable to LMMs,                  rules/sro.shtml); or
                                               facilitating transactions in securities, to               provides sufficient liquidity in these                     • Send an email to rule-comments@
                                               remove impediments to and perfect the                     series on the volatility settlement                      sec.gov. Please include File Number SR–
                                               mechanism of a free and open market                       days.66 Thus, CBOE does not believe it                   CBOE–2016–071 on the subject line.
                                               and a national market system, and, in                     is necessary to impose additional
                                               general, to protect investors and the                     opening quoting obligations on LMMs                      Paper Comments
                                               public interest.                                          on those days.                                              • Send paper comments in triplicate
                                                  In particular, the proposed rule                                                                                to Secretary, Securities and Exchange
                                               change reorganizes and attempts to                           Further, the proposed change more
                                                                                                         clearly specifies the situations in which                Commission, 100 F Street NE.,
                                               clarify the description of the opening                                                                             Washington, DC 20549–1090.
                                               (and sometimes closing) procedures,                       the modified opening procedures
                                               deletes text that the Exchange believes                   replace the opening procedures on                        All submissions should refer to File
                                               is either obsolete or unnecessary,                        settlement dates for certain series. The                 Number SR–CBOE–2016–071. This file
                                               removes certain discretion for the                        proposed rule change also sets out the                   number should be included on the
                                               Exchange to make determinations under                     circumstances when the Exchange may                      subject line if email is used. To help the
                                               the rule on a class-by-class basis where                  exercise discretion and strives to narrow                Commission process and review your
                                               CBOE no longer needs that discretion,                     that discretion within certain                           comments more efficiently, please use
                                               and is intended to promote greater                        established parameters.67 The proposed                   only one method. The Commission will
                                               consistency across Rule 6.2B. The                         rule change further requires the                         post all comments on the Commission’s
                                               Commission notes that these changes                       Exchange to document and periodically                    Internet Web site (http://www.sec.gov/
                                               may offer market participants a better                    review Exchange decisions made under                     rules/sro.shtml). Copies of the
                                               understanding of how the Exchange’s                       the rule, including any deviations from                  submission, all subsequent
                                               opening (and sometimes closing)                           the standard opening procedures, and                     amendments, all written statements
                                               procedures operate. To the extent the                     specifies that only senior Exchange                      with respect to the proposed rule
                                               changes achieve that goal, they may                       officials can make those determinations                  change that are filed with the
                                               promote transparency, reduce the                          and must do so in limited specified                      Commission, and all written
                                               potential for investor confusion, and                     circumstances with specific regard to                    communications relating to the
                                               assist market participants in deciding                    the public interest.68 In this manner,                   proposed rule change between the
                                               whether to participate in CBOE’s trading                  Exchange determinations made under                       Commission and any person, other than
                                               rotations and, if they do participate,                    the rule should be transparent and made                  those that may be withheld from the
                                               have confidence and certainty as to how                   with due regard to the Exchange’s                        public in accordance with the
                                               their orders will be processed by the                                                                              provisions of 5 U.S.C. 552, will be
                                                                                                         obligations under the Act.
                                               CBOE System.                                                                                                       available for Web site viewing and
                                                  The Commission believes that the                          For the foregoing reasons, the                        printing in the Commission’s Public
                                               proposed rule change is designed to                       Commission finds that the proposed                       Reference Room, 100 F Street NE.,
                                               promote just and equitable principles of                  rule change, as modified by Amendment                    Washington, DC 20549, on official
                                               trade by seeking to ensure that series                    No. 1, is consistent with Section 6(b)(5)                business days between the hours of
                                               open in a fair and orderly manner with                    of the Act and the rules and regulations                 10:00 a.m. and 3:00 p.m. Copies of the
                                               sufficient liquidity and opportunities for                thereunder applicable to a national                      filing also will be available for
                                               execution at prices that are determined                   securities exchange.                                     inspection and copying at the principal
                                               by market forces. In particular, the                      IV. Solicitation of Comments on                          office of the Exchange. All comments
                                               Exchange notes that the proposed rule                     Amendment No. 1 to the Proposed Rule                     received will be posted without change;
                                               change is designed to ensure that market                  Change                                                   the Commission does not edit personal
                                               participants are aware of the                                                                                      identifying information from
                                               circumstances under which the System                        Interested persons are invited to                      submissions. You should submit only
                                               may not open a series.63 Further,                         submit written data, views, and                          information that you wish to make
                                               although the proposed rule change                         arguments concerning the foregoing,                      available publicly. All submissions
                                               deletes the obligation for LMMs in                        including whether Amendment No. 1 to                     should refer to File Number SR–CBOE–
                                               Hybrid 3.0 classes to enter opening                       the proposed rule change is consistent                   2016–071, and should be submitted on
                                               orders and quotes on volatility                           with the Act. Comments may be                            or before January 5, 2017.
                                               settlement dates, the Exchange has                        submitted by any of the following                        V. Accelerated Approval of Proposed
                                               represented that it does not believe that                 methods:                                                 Rule Change, as Modified by
                                               this change will impact the balance of
                                                                                                                                                                  Amendment No. 1
                                               LMM obligations and benefits, as this                       65 See id.
                                               obligation has been applied only to a                       66 See id.                                               The Commission finds good cause to
                                               brief period of time on a limited number                    67 Exchange determinations, including the              approve the proposed rule change, as
                                               of days.64 In addition, LMMs in Hybrid                    establishment of parameters governing the opening        modified by Amendment No. 1, prior to
                                               3.0 must enter opening quotes in                          process, will be set forth in Regulatory Circulars (or   the thirtieth day after the date of
                                                                                                         as otherwise specified by the Exchange under the
                                               accordance with the obligation in Rule                                                                             publication of notice of the amended
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                                                                                                         proposed rule). On account of the critical
                                               8.15, including in series of classes that                 importance of this information to investors’             proposal in the Federal Register. In
                                               may be used to calculate the exercise                     understanding of how the Exchange’s System               Amendment No. 1,69 CBOE updated a
                                               and final settlement values of options or                 operates, CBOE should ensure that such                   cross-reference to Rule 6.2B in Rule
                                                                                                         information is prominently displayed, readily
                                               futures on the volatility index on                        searchable and retrievable, up-to-date, and
                                                                                                                                                                  6.13. This change is consistent with the
                                                                                                         comprehensive.                                           proposal as initially filed, and corrects
                                                 63 See   Notice, supra note 3, at 74839.                  68 See proposed Rule 6.2B(e). See also Notice,
                                                 64 See   id.                                            supra note 3, at 74837.                                   69 See   Amendment No. 1, supra note 4.



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                                                                         Federal Register / Vol. 81, No. 241 / Thursday, December 15, 2016 / Notices                                           90903

                                               a now-obsolete rule reference. The                      Notice 9329; and 80 FR 73865, Public                  49 CFR part 236. FRA assigned the
                                               change does not introduce material,                     Notice 9358).                                         petition Docket Number FRA–2016–
                                               new, or novel concepts. Accordingly,                      On July 5, 2016, the United States                  0118. BRC seeks relief from the
                                               the Commission finds good cause,                        Government published a notice                         requirements of 49 CFR 236.109 Time
                                               pursuant to Section 19(b)(2) of the                     announcing the imposition of measures                 releases, timing relays and timing
                                               Act,70 to approve the proposed rule                     including the following against                       devices. BRC requests relief from
                                               change, as modified by Amendment No.                    Rosoboronexport (ROE) (Russia) and                    § 236.109 as it applies to variable timers
                                               1, on an accelerated basis.                             any successor, sub-unit, or subsidiary                within the program logic of the
                                                                                                       thereof: ‘‘No department or agency of                 operating software of microprocessor-
                                               VI. Conclusion                                                                                                based equipment.
                                                                                                       the United States Government may
                                                 It is therefore ordered, pursuant to                  procure or enter into any contract for                   BRC states that timing devices
                                               Section 19(b)(2) of the Act,71 that the                 the procurement of any goods,                         contained within microprocessor-based
                                               proposed rule change (SR–CBOE–2016–                     technology, or services from                          equipment are typically non-variable
                                               071), as modified by Amendment No. 1,                   Rosoboronexport (ROE) (Russia) and                    and are within the program logic of the
                                               be, and hereby is, approved on an                       any successor, sub-unit, or subsidiary                operating software. BRC notes, however,
                                               accelerated basis.                                      thereof, except to the extent that the                that some microprocessor-based
                                                 For the Commission, by the Division of                Secretary of State otherwise may                      equipment have variable timers. BRC is
                                               Trading and Markets, pursuant to delegated              determine. . . .’’ (See 81 FR 43696,                  requesting relief from the requirement of
                                               authority.72                                            Public Notice 9624).                                  checking the actual time interval of
                                               Eduardo A. Aleman,                                        The United States Government has                    microprocessor-based variable timers.
                                               Assistant Secretary.                                    decided to modify the measures                        Such variable timers will use
                                                                                                       described above against ROE and any                   verification of the CRC/Check Sum/UCN
                                               [FR Doc. 2016–30082 Filed 12–14–16; 8:45 am]
                                                                                                       successor, sub-unit, or subsidiary                    of the existing location specific
                                               BILLING CODE 8011–01–P
                                                                                                       thereof as follows: The measures                      application logic to the previously
                                                                                                       described above shall not apply to                    tested version. A copy of the petition, as
                                                                                                       United States Government procurement                  well as any written communications
                                               DEPARTMENT OF STATE                                     of goods, technology, and services for                concerning the petition, is available for
                                                                                                       the purchase, maintenance or                          review online at www.regulations.gov
                                               [Public Notice: 9818]
                                                                                                       sustainment of the Digital Electro                    and in person at the Department of
                                               Modification of Iran, North Korea, and                  Optical Sensor OSDCAM4060, to                         Transportation’s (DOT) Docket
                                               Syria Nonproliferation Act Measures                     improve the U.S. ability to monitor and               Operations Facility, 1200 New Jersey
                                               Against a Russian Entity                                verify Russia’s Open Skies Treaty                     Avenue SE., W12–140, Washington, DC
                                                                                                       compliance.                                           20590. The Docket Operations Facility
                                               SUMMARY:  A decision has been made,                       Such subcontracts include the                       is open from 9 a.m. to 5 p.m., Monday
                                               pursuant to the Iran, North Korea, and                  purchase of spare parts, supplies, and                through Friday, except Federal
                                               Syria Nonproliferation Act, to modify                   related services.                                     Holidays.
                                               nonproliferation measures pursuant to                     This modification does not apply to                    Interested parties are invited to
                                               this Act on a Russian foreign person.                   any other measures imposed pursuant to                participate in these proceedings by
                                               DATES: Effective Date: December 15,                     the INKSNA and announced in Public                    submitting written views, data, or
                                               2016.                                                   Notice 9251 published on September 2,                 comments. FRA does not anticipate
                                                                                                       2015 (80 FR 53222) or Public Notice                   scheduling a public hearing in
                                               FOR FURTHER INFORMATION CONTACT:
                                                                                                       9624 published on July 5, 2016 (81 FR                 connection with these proceedings since
                                               Jeffrey G. McCoy, Office of Euro-                                                                             the facts do not appear to warrant a
                                               Atlantic Security Affairs, Bureau of                    43696).
                                                                                                                                                             hearing. If any interested party desires
                                               Arms Control, Verification and                          Frank Rose,                                           an opportunity for oral comment, they
                                               Compliance, Department of State,                        Assistant Secretary, Bureau of Arms Control,          should notify FRA, in writing, before
                                               Telephone (202) 647–4940.                               Verification and Compliance, Department of            the end of the comment period and
                                               SUPPLEMENTARY INFORMATION: On                           State.                                                specify the basis for their request.
                                               September 2, 2015, the United States                    [FR Doc. 2016–30158 Filed 12–14–16; 8:45 am]             All communications concerning these
                                               Government published a notice                           BILLING CODE 4710–35–P                                proceedings should identify the
                                               announcing the imposition of measures                                                                         appropriate docket number and may be
                                               including the following against                                                                               submitted by any of the following
                                               Rosoboronexport (ROE) (Russia) and                      DEPARTMENT OF TRANSPORTATION                          methods:
                                               any successor, sub-unit, or subsidiary                                                                           • Web site: http://
                                               thereof: ‘‘No department or agency of                   Federal Railroad Administration                       www.regulations.gov. Follow the online
                                               the United States Government may                        [Docket Number FRA–2016–0118]                         instructions for submitting comments.
                                               procure or enter into any contract for                                                                           • Fax: 202–493–2251.
                                               the procurement of any goods,                           Petition for Waiver of Compliance                        • Mail: Docket Operations Facility,
                                               technology, or services from                                                                                  US Department of Transportation, 1200
                                               Rosoboronexport (ROE) (Russia) and                        In accordance with part 211 of Title                New Jersey Avenue SE., W12–140,
                                               any successor, sub-unit, or subsidiary                  49 Code of Federal Regulations (CFR),                 Washington, DC 20590.
                                               thereof, except to the extent that the                  this document provides the public                        • Hand Delivery: 1200 New Jersey
rmajette on DSK2TPTVN1PROD with NOTICES




                                               Secretary of State otherwise may                        notice that by a document dated                       Avenue SE., Room W12–140,
                                               determine. . . .’’ (See 80 FR 53222,                    November 14, 2016, The Beltway                        Washington, DC 20590, between 9 a.m.
                                               Public Notice 9251; 80 FR 65844, Public                 Railway of Chicago (BRC) has petitioned               and 5 p.m., Monday through Friday,
                                                                                                       the Federal Railroad Administration                   except Federal Holidays.
                                                 70 15 U.S.C. 78s(b)(2).                               (FRA) for a waiver of compliance from                    Communications received by January
                                                 71 15 U.S.C. 78s(b)(2).                               certain provisions of the Federal                     30, 2017 will be considered by FRA
                                                 72 17 CFR 200.30–3(a)(12).                            railroad safety regulations contained at              before final action is taken. Comments


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Document Created: 2016-12-15 01:10:32
Document Modified: 2016-12-15 01:10:32
CategoryRegulatory Information
CollectionFederal Register
sudoc ClassAE 2.7:
GS 4.107:
AE 2.106:
PublisherOffice of the Federal Register, National Archives and Records Administration
SectionNotices
FR Citation81 FR 90896 

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