82 FR 17929 - Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Extend the Pilot Program for the Listing and Trading of Options Settling to the RealVolTM
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 82, Issue 70 (April 13, 2017)
Federal Register Volume 82, Issue 70 (April 13, 2017)
| Page Range | 17929-17930 | |
| FR Document | 2017-07457 |
[Federal Register Volume 82, Number 70 (Thursday, April 13, 2017)] [Notices] [Pages 17929-17930] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2017-07457] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-80400; File No. SR- BOX-2017-11] Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Extend the Pilot Program for the Listing and Trading of Options Settling to the RealVol\TM\ SPY Index (``Index'') April 7, 2017. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that on April 4, 2017, BOX Options Exchange LLC (the ``Exchange'') filed with the Securities and Exchange Commission (``Commission'') the proposed rule change as described in Items I and II below, which Items have been prepared by the self-regulatory organization. The Commission is publishing this notice to solicit comments on the proposed rule from interested persons. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. --------------------------------------------------------------------------- I. Self-Regulatory Organization's Statement of the Terms of the Substance of the Proposed Rule Change The Exchange proposes to extend the pilot program for the listing and trading of options settling to the RealVolTM SPY Index (``Index''). The text of the proposed rule change is available from the principal office of the Exchange, at the Commission's Public Reference Room and also on the Exchange's Internet Web site at http://boxexchange.com. II. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the self-regulatory organization included statements concerning the purpose of, and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The self-regulatory organization has prepared summaries, set forth in Sections A, B, and C below, of the most significant aspects of such statements. A. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The purpose of the proposed rule change is to extend the pilot period for the listing and trading of options settling to the RealVolTM SPY Index (``Index''), which is currently scheduled to expire on May 6, 2017.\3\ The Exchange is proposing to extend the pilot period for an additional twelve (12) month period, until May 6, 2018. This filing does not propose any substantive changes to the listing and trading of options settling to the RealVolTM SPY (``the RealVolTM SPY Pilot Program'' or ``Pilot Program''). --------------------------------------------------------------------------- \3\ See Securities Exchange Act Release No. 77660 (April 20, 2016), 81 FR 24676 (April 26, 2016) (Notice of Filing and Immediate Effectiveness SR-BOX-2016-19). --------------------------------------------------------------------------- In the initial proposal to list and trade this product, the Exchange stated that if it were to propose an extension, permanent approval or termination of the Pilot Program, the Exchange would submit a filing proposing such amendments to the program.\4\ Accordingly, the Exchange is submitting this filing to extend the program, as the Exchange has not yet begun to list or trade options settling to the RealVolTM SPY Index, but plans to do so in the future. --------------------------------------------------------------------------- \4\ See Securities Exchange Act Release No. 74876 (May 5, 2015), 80 FR 26966 (May 11, 2015) (Order Approving SR-BOX-2015-06). --------------------------------------------------------------------------- As proposed in the initial filing, the Exchange proposes to submit a Pilot Program Report to the Securities and Exchange Commission (the ``Commission'') two months prior to the expiration date of the Pilot Program (the ``annual report'').\5\ The annual report would contain an analysis of volume, open interest, and trading patterns. The analysis would examine trading in the proposed option product as well as trading in SPY. In addition, for series that exceed certain minimum open interest parameters, the annual report would provide analysis of index price volatility and SPY trading activity. In addition to the annual report, the Exchange would provide the Commission with periodic interim reports while the pilot is in effect that would contain some, but not all, of the information contained in the annual report. The annual report would be provided to the Commission on a confidential basis. --------------------------------------------------------------------------- \5\ Id. The Exchange did not submit an annual report because the Index was never listed for trading. --------------------------------------------------------------------------- The annual report would contain the following volume and open interest data: (1) Monthly volume aggregated for all trades; (2) monthly volume aggregated by expiration date; (3) monthly volume for each individual series; (4) month-end open interest aggregated for all series; (5) month-end open interest for all series aggregated by expiration date; and (6) month-end open interest for each individual series. In addition to the annual report, the Exchange would provide the Commission with interim reports of the information listed in Items (1) through (6) above periodically as required by the Commission while the pilot is in effect. These interim reports would also be provided on a confidential basis. In addition, the annual report would contain the following analysis of trading patterns in VOLS series in the pilot: (1) A time series analysis of open interest; and (2) an analysis of the distribution of trade sizes. Also, for series that exceed certain minimum parameters, the annual report would contain the following analysis related to index price changes and SPY trading volume at the close on expiration Fridays: [[Page 17930]] (1) A comparison of index price changes at the close of trading on a given expiration Friday with comparable price changes from a control sample. The data would include a calculation of percentage price changes for various time intervals and compare that information to the respective control sample. Raw percentage price change data as well as percentage price change data normalized for prevailing market volatility, as measured by the Chicago Board Options Exchange, Incorporated (``CBOE'') Volatility Index (VIX), would be provided; and (2) a calculation of trading volume for a sample set of SPY representing an upper limit on trading that could be attributable to expiring in-the-money series. The data would include a comparison of the calculated volume for SPY in the sample set to the average daily trading volumes of SPY over a sample period. The minimum open interest parameters, control sample, time intervals, and sample periods would be determined by the Exchange and the Commission. 2. Statutory Basis The Exchange believes that the proposal is consistent with the requirements of Section 6(b) of the Act,\6\ in general, and Section 6(b)(5) of the Act,\7\ in particular, in that it is designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, 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. The Exchange believes the proposed extension will further the Exchange's goal of introducing new and innovative products to the marketplace. The Exchange believes that listing the RealVolTM SPY Index will provide an opportunity for investors to hedge, or speculate on, the market risk associated with changes in realized volatility. --------------------------------------------------------------------------- \6\ 15 U.S.C. 78f(b). \7\ 15 U.S.C. 78f(b)(5). --------------------------------------------------------------------------- The Exchange believes that extending the RealVolTM SPY Index Pilot Program promotes just and equitable principles of trade by permitting market participants, including market makers, institutional investors and retail investors, the potential to establish greater positions when pursuing their investment goals and needs. B. Self-Regulatory Organization's Statement on Burden on Competition The Exchange does not believe that the proposed rule change will impose any burden on competition not necessary or appropriate in furtherance of the purposes of the Act. The Exchange notes that the proposed extension will allow for the listing and trading of a novel index option product that will enhance competition among market participants, to the benefit of investors and the marketplace. C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others The Exchange has neither solicited nor received comments on the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Because the foregoing proposed rule change does not: (i) Significantly affect the protection of investors or the public interest; (ii) impose any significant burden on competition; and (iii) become operative for 30 days from the date on which it was filed, or such shorter time as the Commission may designate, it has become effective pursuant to Section 19(b)(3)(A) of the Act and Rule 19b- 4(f)(6) thereunder.\8\ --------------------------------------------------------------------------- \8\ 17 CFR 240.19b-4(f)(6). As required under Rule 19b- 4(f)(6)(iii), the Exchange provided the Commission with written notice of its intent to file the proposed rule change, along with a brief description and the text of the proposed rule change, at least five business days prior to the date of filing of the proposed rule change, or such shorter time as designated by the Commission. --------------------------------------------------------------------------- The Exchange believes the proposed change is ``non-controversial'' because it will allow for the listing and trading of a previously approved novel index option product that will enhance competition among market participants, to the benefit of investors and the marketplace. At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act. If the Commission takes such action, the Commission shall institute proceedings to determine whether the proposed rule should be approved or disapproved. IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods: Electronic CommentsUse 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-BOX-2017-11 on the subject line. Paper Comments Send paper comments in triplicate to Brent J. Fields, Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090. All submissions should refer to File Number SR-BOX-2017-11. 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 such filing also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR-BOX-2017-11, and should be submitted on or before May 4, 2017. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\9\ --------------------------------------------------------------------------- \9\ 17 CFR 200.30-3(a)(12). --------------------------------------------------------------------------- Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017-07457 Filed 4-12-17; 8:45 am] BILLING CODE 8011-01-P
![Federal Register / Vol. 82, No. 70 / Thursday, April 13, 2017 / Notices 17929
amendments, all written statements solicit comments on the proposed rule Exchange has not yet begun to list or
with respect to the proposed rule from interested persons. trade options settling to the RealVolTM
change that are filed with the SPY Index, but plans to do so in the
I. Self-Regulatory Organization’s
Commission, and all written future.
Statement of the Terms of the Substance
communications relating to the As proposed in the initial filing, the
of the Proposed Rule Change
proposed rule change between the Exchange proposes to submit a Pilot
Commission and any person, other than The Exchange proposes to extend the Program Report to the Securities and
those that may be withheld from the pilot program for the listing and trading Exchange Commission (the
public in accordance with the of options settling to the RealVolTM SPY ‘‘Commission’’) two months prior to the
provisions of 5 U.S.C. 552, will be Index (‘‘Index’’). The text of the expiration date of the Pilot Program (the
available for Web site viewing and proposed rule change is available from ‘‘annual report’’).5 The annual report
printing in the Commission’s Public the principal office of the Exchange, at would contain an analysis of volume,
Reference Room, 100 F Street NE., the Commission’s Public Reference open interest, and trading patterns. The
Washington, DC 20549 on official Room and also on the Exchange’s analysis would examine trading in the
business days between the hours of Internet Web site at http:// proposed option product as well as
10:00 a.m. and 3:00 p.m. Copies of such boxexchange.com. trading in SPY. In addition, for series
filing also will be available for II. Self-Regulatory Organization’s that exceed certain minimum open
inspection and copying at the principal Statement of the Purpose of, and interest parameters, the annual report
office of the Exchange. All comments Statutory Basis for, the Proposed Rule would provide analysis of index price
received will be posted without change; Change volatility and SPY trading activity. In
the Commission does not edit personal addition to the annual report, the
In its filing with the Commission, the
identifying information from Exchange would provide the
self-regulatory organization included
submissions. You should submit only Commission with periodic interim
statements concerning the purpose of,
information that you wish to make reports while the pilot is in effect that
and basis for, the proposed rule change
available publicly. All submissions and discussed any comments it received would contain some, but not all, of the
should refer to File Number SR– on the proposed rule change. The text information contained in the annual
PEARL–2017–17, and should be of these statements may be examined at report. The annual report would be
submitted on or before May 4, 2017. the places specified in Item IV below. provided to the Commission on a
For the Commission, by the Division of The self-regulatory organization has confidential basis.
Trading and Markets, pursuant to delegated prepared summaries, set forth in The annual report would contain the
authority.14 Sections A, B, and C below, of the most following volume and open interest
Eduardo A. Aleman, significant aspects of such statements. data:
Assistant Secretary.
(1) Monthly volume aggregated for all
A. Self-Regulatory Organization’s trades;
[FR Doc. 2017–07458 Filed 4–12–17; 8:45 am]
Statement of the Purpose of, and (2) monthly volume aggregated by
BILLING CODE 8011–01–P Statutory Basis for, the Proposed Rule expiration date;
Change (3) monthly volume for each
1. Purpose individual series;
SECURITIES AND EXCHANGE
(4) month-end open interest
COMMISSION The purpose of the proposed rule aggregated for all series;
change is to extend the pilot period for (5) month-end open interest for all
[Release No. 34–80400; File No. SR– BOX– the listing and trading of options series aggregated by expiration date; and
2017–11] settling to the RealVolTM SPY Index (6) month-end open interest for each
(‘‘Index’’), which is currently scheduled individual series.
Self-Regulatory Organizations; BOX to expire on May 6, 2017.3 The In addition to the annual report, the
Options Exchange LLC; Notice of Exchange is proposing to extend the Exchange would provide the
Filing and Immediate Effectiveness of pilot period for an additional twelve Commission with interim reports of the
a Proposed Rule Change To Extend (12) month period, until May 6, 2018. information listed in Items (1) through
the Pilot Program for the Listing and This filing does not propose any (6) above periodically as required by the
Trading of Options Settling to the substantive changes to the listing and Commission while the pilot is in effect.
RealVolTM SPY Index (‘‘Index’’) trading of options settling to the These interim reports would also be
April 7, 2017.
RealVolTM SPY (‘‘the RealVolTM SPY provided on a confidential basis.
Pilot Program’’ or ‘‘Pilot Program’’). In addition, the annual report would
Pursuant to Section 19(b)(1) of the In the initial proposal to list and trade contain the following analysis of trading
Securities Exchange Act of 1934 this product, the Exchange stated that if patterns in VOLS series in the pilot:
(‘‘Act’’),1 and Rule 19b–4 thereunder,2 it were to propose an extension, (1) A time series analysis of open
notice is hereby given that on April 4, permanent approval or termination of interest; and
2017, BOX Options Exchange LLC (the the Pilot Program, the Exchange would (2) an analysis of the distribution of
‘‘Exchange’’) filed with the Securities submit a filing proposing such trade sizes.
and Exchange Commission amendments to the program.4 Also, for series that exceed certain
asabaliauskas on DSK3SPTVN1PROD with NOTICES
(‘‘Commission’’) the proposed rule Accordingly, the Exchange is submitting minimum parameters, the annual report
change as described in Items I and II this filing to extend the program, as the would contain the following analysis
below, which Items have been prepared related to index price changes and SPY
by the self-regulatory organization. The 3 See Securities Exchange Act Release No. 77660
trading volume at the close on
Commission is publishing this notice to (April 20, 2016), 81 FR 24676 (April 26, 2016)
(Notice of Filing and Immediate Effectiveness SR– expiration Fridays:
BOX–2016–19).
14 17 CFR 200.30–3(a)(12). 4 See Securities Exchange Act Release No. 74876 5 Id. The Exchange did not submit an annual
1 15 U.S.C. 78s(b)(1). (May 5, 2015), 80 FR 26966 (May 11, 2015) (Order report because the Index was never listed for
2 17 CFR 240.19b–4. Approving SR–BOX–2015–06). trading.
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![17930 Federal Register / Vol. 82, No. 70 / Thursday, April 13, 2017 / Notices
(1) A comparison of index price necessary or appropriate in furtherance Electronic Comments
changes at the close of trading on a of the purposes of the Act. The
given expiration Friday with Exchange notes that the proposed • Use the Commission’s Internet
comparable price changes from a control extension will allow for the listing and comment form (http://www.sec.gov/
sample. The data would include a trading of a novel index option product rules/sro.shtml); or
calculation of percentage price changes that will enhance competition among • Send an email to rule-comments@
for various time intervals and compare market participants, to the benefit of sec.gov. Please include File Number SR–
that information to the respective investors and the marketplace. BOX–2017–11 on the subject line.
control sample. Raw percentage price
C. Self-Regulatory Organization’s Paper Comments
change data as well as percentage price
Statement on Comments on the
change data normalized for prevailing
Proposed Rule Change Received From • Send paper comments in triplicate
market volatility, as measured by the
Members, Participants, or Others to Brent J. Fields, Secretary, Securities
Chicago Board Options Exchange,
Incorporated (‘‘CBOE’’) Volatility Index The Exchange has neither solicited and Exchange Commission, 100 F Street
(VIX), would be provided; and nor received comments on the proposed NE., Washington, DC 20549–1090.
(2) a calculation of trading volume for rule change. All submissions should refer to File
a sample set of SPY representing an Number SR–BOX–2017–11. This file
III. Date of Effectiveness of the
upper limit on trading that could be number should be included on the
Proposed Rule Change and Timing for
attributable to expiring in-the-money subject line if email is used. To help the
Commission Action
series. The data would include a Commission process and review your
comparison of the calculated volume for Because the foregoing proposed rule
comments more efficiently, please use
SPY in the sample set to the average change does not: (i) Significantly affect
the protection of investors or the public only one method. The Commission will
daily trading volumes of SPY over a
interest; (ii) impose any significant post all comments on the Commission’s
sample period.
The minimum open interest parameters, burden on competition; and (iii) become Internet Web site (http://www.sec.gov/
control sample, time intervals, and operative for 30 days from the date on rules/sro.shtml). Copies of the
sample periods would be determined by which it was filed, or such shorter time submission, all subsequent
the Exchange and the Commission. as the Commission may designate, it has amendments, all written statements
become effective pursuant to Section with respect to the proposed rule
2. Statutory Basis change that are filed with the
19(b)(3)(A) of the Act and Rule 19b–
The Exchange believes that the 4(f)(6) thereunder.8 Commission, and all written
proposal is consistent with the The Exchange believes the proposed communications relating to the
requirements of Section 6(b) of the Act,6 change is ‘‘non-controversial’’ because it proposed rule change between the
in general, and Section 6(b)(5) of the will allow for the listing and trading of Commission and any person, other than
Act,7 in particular, in that it is designed a previously approved novel index those that may be withheld from the
to prevent fraudulent and manipulative option product that will enhance public in accordance with the
acts and practices, to promote just and competition among market participants, provisions of 5 U.S.C. 552, will be
equitable principles of trade, to remove to the benefit of investors and the available for Web site viewing and
impediments to and perfect the marketplace. printing in the Commission’s Public
mechanism of a free and open market At any time within 60 days of the Reference Room, 100 F Street NE.,
and a national market system, and, in filing of the proposed rule change, the Washington, DC 20549 on official
general, to protect investors and the Commission summarily may business days between the hours of
public interest. The Exchange believes temporarily suspend such rule change if
the proposed extension will further the 10:00 a.m. and 3:00 p.m. Copies of such
it appears to the Commission that such filing also will be available for
Exchange’s goal of introducing new and action is necessary or appropriate in the
innovative products to the marketplace. inspection and copying at the principal
public interest, for the protection of
The Exchange believes that listing the office of the Exchange. All comments
investors, or otherwise in furtherance of
RealVolTM SPY Index will provide an the purposes of the Act. If the received will be posted without change;
opportunity for investors to hedge, or Commission takes such action, the the Commission does not edit personal
speculate on, the market risk associated Commission shall institute proceedings identifying information from
with changes in realized volatility. to determine whether the proposed rule submissions. You should submit only
The Exchange believes that extending should be approved or disapproved. information that you wish to make
the RealVolTM SPY Index Pilot Program available publicly. All submissions
promotes just and equitable principles IV. Solicitation of Comments should refer to File Number SR–BOX–
of trade by permitting market Interested persons are invited to 2017–11, and should be submitted on or
participants, including market makers, submit written data, views, and before May 4, 2017.
institutional investors and retail arguments concerning the foregoing, For the Commission, by the Division of
investors, the potential to establish including whether the proposed rule Trading and Markets, pursuant to delegated
greater positions when pursuing their change is consistent with the Act. authority.9
investment goals and needs. Comments may be submitted by any of
Eduardo A. Aleman,
asabaliauskas on DSK3SPTVN1PROD with NOTICES
B. Self-Regulatory Organization’s the following methods:
Assistant Secretary.
Statement on Burden on Competition 8 17 CFR 240.19b–4(f)(6). As required under Rule [FR Doc. 2017–07457 Filed 4–12–17; 8:45 am]
The Exchange does not believe that 19b–4(f)(6)(iii), the Exchange provided the BILLING CODE 8011–01–P
the proposed rule change will impose Commission with written notice of its intent to file
the proposed rule change, along with a brief
any burden on competition not description and the text of the proposed rule
change, at least five business days prior to the date
6 15 U.S.C. 78f(b). of filing of the proposed rule change, or such
7 15 U.S.C. 78f(b)(5). shorter time as designated by the Commission. 9 17 CFR 200.30–3(a)(12).
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Document Created: 2017-04-13 01:08:58
Document Modified: 2017-04-13 01:08:58
| Category | Regulatory Information | |
| Collection | Federal Register | |
| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
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| Section | Notices | |
| FR Citation | 82 FR 17929 |
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