82 FR 45650 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Permit the Exchange To Publish End-of-Day Indicative Values in SPX After the Close of Regular Trading Hours in SPX
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 82, Issue 188 (September 29, 2017)
Federal Register Volume 82, Issue 188 (September 29, 2017)
| Page Range | 45650-45653 | |
| FR Document | 2017-20889 |
[Federal Register Volume 82, Number 188 (Friday, September 29, 2017)] [Notices] [Pages 45650-45653] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2017-20889] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-81714; File No. SR-CBOE-2017-062] Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Permit the Exchange To Publish End-of-Day Indicative Values in SPX After the Close of Regular Trading Hours in SPX September 25, 2017. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that on September 18, 2017, Chicago Board Options Exchange, Incorporated (the ``Exchange'' or ``CBOE'') filed with the Securities and Exchange Commission (the ``Commission'') the proposed rule change as described in Items I and II below, which Items have been prepared by the Exchange. The Exchange filed the proposal as a ``non- controversial'' proposed rule change pursuant to Section 19(b)(3)(A)(iii) of the Act \3\ and Rule 19b-4(f)(6) thereunder.\4\ The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. \3\ 15 U.S.C. 78s(b)(3)(A)(iii). \4\ 17 CFR 240.19b-4(f)(6). --------------------------------------------------------------------------- I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to adopt a process for disseminating two- sided indicative values in non-expiring series of S&P 500 Index (``SPX'') options, when necessary, in the interests of fair and orderly markets (``End-of-Day Indicative Values''). The text of the proposed rule change is also available on the Exchange's Web site (http://www.cboe.com/AboutCBOE/CBOELegalRegulatoryHome.aspx), at the Exchange's Office of the Secretary, and at the Commission's Public Reference Room. II. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the Exchange included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant aspects of such statements. A. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The Exchange proposes to amend Interpretation and Policy .06 to Rule 6.2B (Hybrid Opening (and Sometimes Closing) System (``HOSS'')) to establish its aftermarket procedure for generating two-sided indicative values in certain series of SPX options (including series of SPX and SPXW). Specifically, proposed paragraph (a) would contain the current text of Interpretation and Policy .06 to Rule 6.2B, which the Exchange is not proposing to change, regarding the Exchange's end-of-month process for disseminating after the close of trading bid and offer quotations that reflect a designated Lead Market-Maker's (``LMM's'') calculated theoretical fair value of non-expiring series of SPX options as of time of the close of trading in the underlying cash market on the last business day of each calendar month. Proposed paragraph (b) of Interpretation and Policy .06 to Rule 6.2B would establish the Exchange's process for generating two-sided indicative values for non- expiring series of SPX options when the Exchange determines that it is necessary to publish such values in the interests of fair and orderly markets on trading days other than the final business day of a calendar month. The specific provisions of proposed paragraph (b) to Interpretation and Policy .06 to Rule 6.2B are discussed in detail below. Background The Exchange's opening and closing procedures are codified in Rules 6.2 (Trading Rotations), 6.2B (Hybrid Opening System (``HOSS'')), and 24.13 (Trading Rotations).\5\ In addition to describing the Exchange's normal opening and closing procedures, the Rules also provide for deviations from the Exchange's regular opening and closing procedures, which, from time-to-time, the Exchange employs in the interests of fair and orderly markets under certain circumstances.\6\ Pursuant to Rules 6.2, 6.2A, 6.2B and 24.13, the Exchange may, in the interests of a fair and orderly market, decide to employ special closing procedures after the normal close of a trading session.\7\ For example, Interpretation and Policy .02 to Rule 6.2 provides that a closing trading rotation may be conducted in non-expiring options whenever two Floor Officials conclude, in their judgment, that such action is [[Page 45651]] appropriate. Among the factors that may be considered in determining whether to conduct a closing rotation are whether there has been a recent opening or reopening of trading in the underlying security, a declaration of a ``fast market'' pursuant to Rule 6.6,\8\ a need for a rotation in connection with expiring individual security options, an end of the year rotation, or the restart of a rotation which is already in progress.\9\ Notably, Interpretation and Policy .02 to Rule 6.2 explicitly provides that the list of examples identified as factors that may be considered in determining whether to employ a closing rotation are exemplary, not exhaustive. In addition, Rule 6.2 expressly provides that the DPM or LMM appointed in the class may, with the approval of senior Help Desk personnel, deviate from any rotation policy or procedure issued by the Exchange. Such deviations from normal policies and procedures may include, for example, determinations to employ abbreviated closing rotation procedures pursuant to Interpretation and Policy .04 to Rule 6.2. --------------------------------------------------------------------------- \5\ Additional opening procedures for classes that are not traded on the Hybrid Trading System are also contained in Rule 6.2A (Rapid Opening System). The ``Hybrid Trading System'' refers to the Exchange's trading platform that allows Market-Makers to submit electronic quotes in their appointed classes and any connectivity to the foregoing trading platform that is administered by or on behalf of the Exchange, such as a communications hub. ``Hybrid 3.0 Platform'' is an electronic trading platform on the Hybrid Trading System that allows one or more quoters to submit electronic quotes which represent the aggregate Market-Maker quoting interest in a series for the trading crowd. References to ``Hybrid,'' ``Hybrid System,'' or ``Hybrid Trading System'' in the Exchange's Rules include all platforms unless otherwise provided by rule, including both the Hybrid and Hybrid 3.0 platforms. See Rule 1.1(aaa) (Definitions--Hybrid Trading System). Currently, all classes traded on the Exchange are traded on the Hybrid System as defined under Rule 1.1(aaa), with standard SPX options contracts being the only group of series of any class that is traded on the Hybrid 3.0 Platform. \6\ Although Rule 6.2 pertains to trading rotations, Interpretation and Policy .02 to Rule 6.2 provides that the Designated Primary Market-Maker (``DPM'') or LMM appointed in the class may deviate from any rotation policy or procedure issued by the Exchange with the approval of two Floor Officials. Rule 6.2B(h) is silent as to the type of closing procedure that may be employed in the interests of a fair and orderly market. Rule 24.13 references Rules 6.2 and 6.2B, indicating that the procedures set forth in those rules may be employed with respect to index options. \7\ See Rules 6.2.02, 6.2.03, 6.2.05, 6.2B(h), 6.2B(f), and 24.13.01. \8\ See Rule 6.6(a) (Unusual Market Conditions) (Whenever in the judgment of any two Floor Officials, because of an influx of orders or other unusual conditions or circumstances, the interest of maintaining a fair and orderly market so require, those Floor Officials may declare the market in one or more classes of option contracts to be ``fast.''). \9\ See Rule 6.2.02. --------------------------------------------------------------------------- Similarly, Rule 6.2B(g) permits the Exchange to employ a closing rotation in series traded on the Hybrid Trading System. Under Rule 6.2B(h), the Exchange may decide to employ a closing rotation in a series after the end of the normal close of any trading session whenever the Exchange concludes that such action is appropriate in the interests of a fair and orderly market. Similar to Interpretation and Policy .02 to Rule 6.2, the list of factors that may be considered in determining whether to hold a closing rotation procedure include, but are not limited to, whether there has been a recent opening or reopening of trading in the underlying security, a declaration of a fast market, or a need for a closing procedure in connection with expiring individual security options, an end of the year procedure, or the restart of a procedure which is already in progress. Rule 6.2B(g) provides that senior Help Desk personnel and senior management may deviate from the standard manner of conducting a closing rotation in any option class if necessary in the interests of maintaining a fair and orderly market. Similarly, Rule 24.13 extends the closing rotation procedures in Rules 6.2 and 6.2B to index options products.\10\ --------------------------------------------------------------------------- \10\ Under Rule 24.13 (Trading Rotations), the Exchange may provide for the opening rotation to be conducted using the procedures as described in this Rule 24.13 or in Rule 6.2, or by use of the Exchange's Rapid Opening System as set forth in Rule 6.2A or the Exchange's Hybrid Opening System as set forth in Rule 6.2B. The DPM, LMM or Order Book Official (``OBO''), with the approval of two Floor Officials, may deviate from any rotation policy or procedure issued by the Exchange when they conclude in their judgment that such action is appropriate in the interests of a fair and orderly market. --------------------------------------------------------------------------- In general, the Exchange's end-of-day bid and offer quotations are determined based on actual bids and offers displayed in market as of the close of trading on the Exchange. These final end-of-day bids and offer are used by various market participants, which may include broker-dealers, mutual funds, hedge funds, advisory firms, and clearing houses, for different business and risk-related functions such as portfolio performance analyses, daily profit and loss reports. On certain trading days, however, market conditions may cause Market- Makers to widen or remove their quotes from the market during the final moments of trading in order to mitigate the risk and uncertainty associated with carrying overnight positions and the possibility of hedges being unavailable to offset such risk after the close of trading. Additionally, synchronization issues may cause Market-Makers to widen or remove their quotes from the market during the final moments of trading if their feed from the underlying futures markets are not synchronized with the Exchange's close of trading. In these instances, resulting quotations may not reflect true market pricing, which may artificially affect the Net Asset Value (``NAV'') of mutual funds, portfolio managers' performance indicators, and institutional and retail capital requirements. Consistent with the discretion afforded to the Exchange under Rules 6.2A, 6.2B, and 24.13, as discussed above, the Exchange may conduct special closing procedures to ensure that the end-of-day pricing is consistent with actual market conditions as of the close of trading if it concludes that deviation from the Exchange's standard closing procedures is appropriate in the interests of fair and orderly markets. In such cases, in addition to publishing the actual end-of-day bid and offer quotations displayed in market as of the close of trading, the Exchange provides notice to Trading Permit Holders (``TPHs'') that a second set of quotations, determined based on an objectively selected Market-Maker's algorithmically generated bid and offer quotations in affected series, will be disseminated after the close of trading pursuant to special closing procedures. In an effort to enhance and increase transparency around the end-of-day process, the Exchange proposes to change the way that it deals with wide and absent quotations in non-expiring series of SPX on days other than the final business day of each calendar month by adding to the Rules a procedure for disseminating clearly marked two- sided indicative values, derived from previously displayed firm quotations and orders or generally accepted volatility and options pricing models after the close of trading. Proposal The Exchange proposes to adopt paragraph (b) to Interpretation and Policy .06 to Rule 6.2B to describe its end-of-day process for formulating two-sided indicative values for certain series of SPX options when necessary in the interests of fair and orderly markets. Specifically, proposed paragraph (b) of Interpretation and Policy .06 to Rule 6.2B would provide that following the close of trading on any trading day that is not the last business day of a calendar month, in addition to the Exchange's regular end-of-day quotations, the Exchange may determine, on a series-by-series basis, to disseminate two-sided indicative values in non-expiring series of SPX options in the interests of fair and orderly markets. Under the proposed rule, the determination to disseminate two-sided end-of-day indicative values would be made by the Exchange based on various sets of objective criteria such as the absence of any bid or offer in the series, whether the bid-ask differential in a series is unreasonably or extraordinarily wide in relation to the quote widths that existed in series during trading, or whether the midpoint between the quotes in the series moved by a certain amount within the final moments of trading.\11\ --------------------------------------------------------------------------- \11\ This process would not change the end-of-month fair value process, which is described in current Interpretation and Policy .06 to Rule 6.2B and which would become paragraph (a) to Interpretation and Policy .06 to Rule 6.2B under the Exchange's proposal. In addition, the rule text would provide that the Exchange may determine, on a series-by-series basis, to disseminate two-sided indicative values in non-expiring series of SPX options only. This process would not be applicable to expiring series of SPX options as those series would be settled at the final cash market closing value (i.e. intrinsic value at expiration). --------------------------------------------------------------------------- The Exchange would algorithmically derive such two-sided indicative values, on a series-by-series basis, based on the last displayed quotations and orders that meet an objective measure of reasonability (e.g., quotes and orders [[Page 45652]] that create a bid-ask differential that is not wider than a particular amount) prior to the close of trading. The Exchange notes that quotes and orders that meet the reasonability criteria typically exist within 15 minutes of the close of trading. In the absence of quotes and orders in the series that meet the objective reasonability criteria, two-sided indicative values would be generated using generally accepted volatility and options pricing models (e.g., Black Scholes) as determined by the Exchange. The Exchange would apply the model to a set of data points (i.e. displayed quotations and orders) over a period of time prior to the close of trading to calculate implied volatility for all series within the data set and generate a volatility surface. Outlier data points (wide quotes or no bid series) would be removed from the calculation pursuant to a set of objective criteria. Using the derived volatility surface and ensuring that prices do not cross through closing bid/ask quotes (i.e., model-generated price cannot be lower than the market's highest bid price or greater than the lowest offer price), the Exchange would back out midpoint prices for all series and then generate two-sided indicative values around those midpoints, and the created spread would vary depending on series. Two- sided indicative values would be disseminated via the Options Price Reporting Authority (``OPRA'') and CBOE Streaming Markets (``CSM''). Consistent with the last sentence of proposed Interpretation and Policy .06(b) to Rule 6.2B, which provides that two-sided indicative values would be clearly identified in an appropriate manner as determined by the Exchange, two-sided indicative values would be sent to OPRA with a specific message indicator (i.e. message type ``I'') that has been adopted by OPRA solely for the purpose of disseminating after-market indicative value information. Pursuant to OPRA message specifications, the new ``I'' message type would only be applicable to and active for messages sent after the close of trading of regular trading hours, which would be enforced to only allow ``I'' messages to be disseminated after 4:15 p.m. ET. The ``I'' indicator will not be disseminated for quotes generated during an extended trading hours session. The Exchange has communicated and worked with other OPRA reporting entities to ensure that within the industry, the transmission of aftermarket messages types marked ``I'' is defined within the OPRA message specifications and understood to be used to delineate informational two-sided indicative values. Pursuant to the proposed rule text, these OPRA message specifications and the ``I'' indicator would be further described and communicated to market participants via Regulatory Circular. 2. Statutory Basis The Exchange believes the proposed rule change is consistent with the Securities Exchange Act of 1934 (the ``Act'') and the rules and regulations thereunder applicable to the Exchange and, in particular, the requirements of Section 6(b) of the Act.\12\ Specifically, the Exchange believes the proposed rule change is consistent with the Section 6(b)(5) \13\ requirements that the rules of an exchange be designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in regulating, clearing, settling, processing information with respect to, and facilitating transactions in securities, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. Additionally, the Exchange believes the proposed rule change is consistent with the Section 6(b)(5) \14\ requirement that the rules of an exchange not be designed to permit unfair discrimination between customers, issuers, brokers, or dealers. --------------------------------------------------------------------------- \12\ 15 U.S.C. 78f(b). \13\ 15 U.S.C. 78f(b)(5). \14\ Id. --------------------------------------------------------------------------- In particular, the Exchange believes that generating end-of-day indicative values will serve to protect investors and the public interest by giving market participants another value to reference, if, for example, market participants believe the end-of-day indicative values are more accurate than the actual end-of-day values. The Exchange believes that the proposed procedure is a reasonable procedure permitting the Exchange to disseminate informational indicative values more reflective of actual options values in addition to final end-of- day displayed quotations when members' systems issues or market conditions result in an absence of final quotes or extraordinarily wide final quotes without interfering in the markets or impeding any market functionalities that rely on accurate pricing or end-of-day quotes. The Exchange believes that such procedures may be especially appropriate given the fact that wide or no-bid closing prices may be a reflection of prudent risk control measures, which may cause market participants to widen or pull quotations from the market prior to the close of trading in order to avoid carrying overnight positions or taking on positions while appropriate hedging instruments are unavailable. The Exchange also believes that its proposal is consistent with the Commission's recent emphasis on the need for exchanges to adopt measures to protect investors by dampening the effects of unrepresentative market volatility on market participants.\15\ --------------------------------------------------------------------------- \15\ The Exchange also notes the Commission's emphasis on the need for exchanges to adopt measures to dampen and protect against excessive risk and market volatility. See, e.g., 15 U.S.C. 240.15c3- 5 (Risk Management Controls for Brokers or Dealers with Market Access); Securities Exchange Act Release No. 34-67091 (May 31, 2011), (Order Approving, on a Pilot Basis, the National Market System Plan to Address Extraordinary Market Volatility), File No. 4- 631. Various exchanges have also instituted precautionary systematic controls to assist market participants in limiting exposure and ensuring against excessive risk-taking. See, e.g., Nasdaq ISE, LLC Rule 804(g) (Automated Quotation Adjustments); Nasdaq Stock Market LLC Rule 6130 (NASDAQ Kill Switch); see also Rule 8.18 (Quote Risk Monitor Mechanism). --------------------------------------------------------------------------- Additionally, the Exchange believes that the proposed rule change, which simply proposes to make additional information regarding the indicative market value(s) of select SPX options available to market participants after the close of the markets is consistent with its trading rules and the Act. The proposed rule does not seek to modify any rules relating to or impacting the way in which options transactions are handled, represented, executed, or reported on the Exchange. Rather, the Exchange is simply proposing to make additional information available to market participants under certain circumstances in which such information may be informative or useful. This information would not be disseminated during trading hours and would be clearly marked to denote that it is informational only. The Exchange also believes that its proposal is consistent with current Rules 6.2, 6.2A, 6.2B and 24.13, which provide that the Exchange may, in the interests of a fair and orderly market, decide to employ the end-of-day indicative value process after the normal close of a trading session. B. Self-Regulatory Organization's Statement on Burden on Competition The Exchange does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. The proposed rule change merely seeks to describe procedures that may be employed at the Exchange. The proposed procedures will be equally applied to affect all market participants [[Page 45653]] equally in the options market. Furthermore, when the Exchange employs the end-of-day indicative value process, market participants determine whether to utilize the indicative value. C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others The Exchange neither solicited nor received written comments on the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Because the foregoing proposed rule change does not: (i) Significantly affect the protection of investors or the public interest; (ii) impose any significant burden on competition; and (iii) become operative for 30 days from the date on which it was filed, or such shorter time as the Commission may designate, it has become effective pursuant to Section 19(b)(3)(A)(iii) of the Act \16\ and subparagraph (f)(6) of Rule 19b-4 thereunder.\17\ --------------------------------------------------------------------------- \16\ 15 U.S.C. 78s(b)(3)(A)(iii). \17\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6) requires a self-regulatory organization to give the Commission written notice of its intent to file the proposed rule change, along with a brief description and text of the proposed rule change, at least five business days prior to the date of filing of the proposed rule change, or such shorter time as designated by the Commission. The Exchange has satisfied this requirement. --------------------------------------------------------------------------- At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is: (i) Necessary or appropriate in the public interest; (ii) for the protection of investors; or (iii) otherwise in furtherance of the purposes of the Act. If the Commission takes such action, the Commission shall institute proceedings to determine whether the proposed rule should be approved or disapproved. IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods: Electronic 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-CBOE-2017-062 on the subject line. Paper Comments Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090. All submissions should refer to File Number SR-CBOE-2017-062. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site (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-CBOE-2017-062, and should be submitted on or before October 20, 2017. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\18\ --------------------------------------------------------------------------- \18\ 17 CFR 200.30-3(a)(12). --------------------------------------------------------------------------- Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017-20889 Filed 9-28-17; 8:45 am] BILLING CODE 8011-01-P
![45650 Federal Register / Vol. 82, No. 188 / Friday, September 29, 2017 / Notices
provisions of 5 U.S.C. 552, will be solicit comments on the proposed rule indicative values for non-expiring series
available for Web site viewing and change from interested persons. of SPX options when the Exchange
printing in the Commission’s Public determines that it is necessary to
I. Self-Regulatory Organization’s
Reference Room, 100 F Street NE., publish such values in the interests of
Statement of the Terms of Substance of
Washington, DC 20549 on official fair and orderly markets on trading days
the Proposed Rule Change other than the final business day of a
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of the The Exchange proposes to adopt a calendar month. The specific provisions
filing also will be available for process for disseminating two-sided of proposed paragraph (b) to
inspection and copying at the principal indicative values in non-expiring series Interpretation and Policy .06 to Rule
office of the Exchange. All comments of S&P 500 Index (‘‘SPX’’) options, 6.2B are discussed in detail below.
received will be posted without change; when necessary, in the interests of fair
Background
the Commission does not edit personal and orderly markets (‘‘End-of-Day
identifying information from Indicative Values’’). The Exchange’s opening and closing
submissions. You should submit only The text of the proposed rule change procedures are codified in Rules 6.2
information that you wish to make is also available on the Exchange’s Web (Trading Rotations), 6.2B (Hybrid
available publicly. All submissions site (http://www.cboe.com/AboutCBOE/ Opening System (‘‘HOSS’’)), and 24.13
should refer to File Number SR– CBOELegalRegulatoryHome.aspx), at (Trading Rotations).5 In addition to
NYSEArca–2017–109 and should be the Exchange’s Office of the Secretary, describing the Exchange’s normal
submitted on or before October 20, and at the Commission’s Public opening and closing procedures, the
2017. Reference Room. Rules also provide for deviations from
the Exchange’s regular opening and
For the Commission, by the Division of II. Self-Regulatory Organization’s closing procedures, which, from time-
Trading and Markets, pursuant to delegated Statement of the Purpose of, and to-time, the Exchange employs in the
authority.27 Statutory Basis for, the Proposed Rule interests of fair and orderly markets
Eduardo A. Aleman, Change under certain circumstances.6 Pursuant
Assistant Secretary. In its filing with the Commission, the to Rules 6.2, 6.2A, 6.2B and 24.13, the
[FR Doc. 2017–20888 Filed 9–28–17; 8:45 am] Exchange included statements Exchange may, in the interests of a fair
BILLING CODE 8011–01–P concerning the purpose of and basis for and orderly market, decide to employ
the proposed rule change and discussed special closing procedures after the
any comments it received on the normal close of a trading session.7 For
SECURITIES AND EXCHANGE proposed rule change. The text of these example, Interpretation and Policy .02
COMMISSION statements may be examined at the to Rule 6.2 provides that a closing
places specified in Item IV below. The trading rotation may be conducted in
[Release No. 34–81714; File No. SR–CBOE– Exchange has prepared summaries, set non-expiring options whenever two
2017–062] forth in sections A, B, and C below, of Floor Officials conclude, in their
the most significant aspects of such judgment, that such action is
Self-Regulatory Organizations; statements.
Chicago Board Options Exchange, 5 Additional opening procedures for classes that
Incorporated; Notice of Filing and A. Self-Regulatory Organization’s are not traded on the Hybrid Trading System are
Immediate Effectiveness of a Proposed Statement of the Purpose of, and also contained in Rule 6.2A (Rapid Opening
Statutory Basis for, the Proposed Rule System). The ‘‘Hybrid Trading System’’ refers to the
Rule Change To Permit the Exchange Exchange’s trading platform that allows Market-
To Publish End-of-Day Indicative Change Makers to submit electronic quotes in their
Values in SPX After the Close of 1. Purpose appointed classes and any connectivity to the
Regular Trading Hours in SPX foregoing trading platform that is administered by
The Exchange proposes to amend or on behalf of the Exchange, such as a
September 25, 2017. communications hub. ‘‘Hybrid 3.0 Platform’’ is an
Interpretation and Policy .06 to Rule electronic trading platform on the Hybrid Trading
Pursuant to Section 19(b)(1) of the 6.2B (Hybrid Opening (and Sometimes System that allows one or more quoters to submit
Securities Exchange Act of 1934 (the Closing) System (‘‘HOSS’’)) to establish electronic quotes which represent the aggregate
its aftermarket procedure for generating Market-Maker quoting interest in a series for the
‘‘Act’’),1 and Rule 19b–4 thereunder,2 trading crowd. References to ‘‘Hybrid,’’ ‘‘Hybrid
notice is hereby given that on two-sided indicative values in certain System,’’ or ‘‘Hybrid Trading System’’ in the
September 18, 2017, Chicago Board series of SPX options (including series Exchange’s Rules include all platforms unless
Options Exchange, Incorporated (the of SPX and SPXW). Specifically, otherwise provided by rule, including both the
proposed paragraph (a) would contain Hybrid and Hybrid 3.0 platforms. See Rule 1.1(aaa)
‘‘Exchange’’ or ‘‘CBOE’’) filed with the (Definitions—Hybrid Trading System). Currently,
Securities and Exchange Commission the current text of Interpretation and all classes traded on the Exchange are traded on the
(the ‘‘Commission’’) the proposed rule Policy .06 to Rule 6.2B, which the Hybrid System as defined under Rule 1.1(aaa), with
change as described in Items I and II Exchange is not proposing to change, standard SPX options contracts being the only
regarding the Exchange’s end-of-month group of series of any class that is traded on the
below, which Items have been prepared Hybrid 3.0 Platform.
by the Exchange. The Exchange filed the process for disseminating after the close 6 Although Rule 6.2 pertains to trading rotations,
proposal as a ‘‘non-controversial’’ of trading bid and offer quotations that Interpretation and Policy .02 to Rule 6.2 provides
proposed rule change pursuant to reflect a designated Lead Market- that the Designated Primary Market-Maker (‘‘DPM’’)
asabaliauskas on DSKBBXCHB2PROD with NOTICES
Section 19(b)(3)(A)(iii) of the Act 3 and Maker’s (‘‘LMM’s’’) calculated or LMM appointed in the class may deviate from
theoretical fair value of non-expiring any rotation policy or procedure issued by the
Rule 19b–4(f)(6) thereunder.4 The Exchange with the approval of two Floor Officials.
Commission is publishing this notice to series of SPX options as of time of the Rule 6.2B(h) is silent as to the type of closing
close of trading in the underlying cash procedure that may be employed in the interests of
27 17 CFR 200.30–3(a)(12).
market on the last business day of each a fair and orderly market. Rule 24.13 references
calendar month. Proposed paragraph (b) Rules 6.2 and 6.2B, indicating that the procedures
1 15 U.S.C. 78s(b)(1). set forth in those rules may be employed with
2 17 CFR 240.19b–4. of Interpretation and Policy .06 to Rule respect to index options.
3 15 U.S.C. 78s(b)(3)(A)(iii). 6.2B would establish the Exchange’s 7 See Rules 6.2.02, 6.2.03, 6.2.05, 6.2B(h), 6.2B(f),
4 17 CFR 240.19b–4(f)(6). process for generating two-sided and 24.13.01.
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![Federal Register / Vol. 82, No. 188 / Friday, September 29, 2017 / Notices 45653
equally in the options market. Paper Comments SECURITIES AND EXCHANGE
Furthermore, when the Exchange COMMISSION
employs the end-of-day indicative value • Send paper comments in triplicate
process, market participants determine to Secretary, Securities and Exchange
[Release No. 34–81716; File No. SR–
whether to utilize the indicative value. Commission, 100 F Street NE.,
NYSEAMER–2017–10]
Washington, DC 20549–1090.
C. Self-Regulatory Organization’s
Statement on Comments on the All submissions should refer to File Self-Regulatory Organizations; NYSE
Proposed Rule Change Received From Number SR–CBOE–2017–062. This file American LLC; Notice of Filing and
Members, Participants, or Others number should be included on the Immediate Effectiveness of Proposed
subject line if email is used. To help the Rule Change To Amend Rule 928NY To
The Exchange neither solicited nor
Commission process and review your Allow Certain Order Types To Be
received written comments on the
comments more efficiently, please use Excluded From the Risk Limitation
proposed rule change.
only one method. The Commission will Mechanism
III. Date of Effectiveness of the post all comments on the Commission’s
Proposed Rule Change and Timing for September 25, 2017.
Internet Web site (http://www.sec.gov/
Commission Action rules/sro.shtml). Copies of the Pursuant to Section 19(b)(1) 1 of the
Because the foregoing proposed rule submission, all subsequent Securities Exchange Act of 1934 (the
change does not: (i) Significantly affect amendments, all written statements ‘‘Act’’),2 and Rule 19b–4 thereunder,3
the protection of investors or the public with respect to the proposed rule notice is hereby given that on
interest; (ii) impose any significant change that are filed with the September 11, 2017, NYSE American
burden on competition; and (iii) become Commission, and all written LLC (the ‘‘Exchange’’ or ‘‘NYSE
operative for 30 days from the date on communications relating to the American’’) filed with the Securities
which it was filed, or such shorter time proposed rule change between the and Exchange Commission (the
as the Commission may designate, it has Commission and any person, other than ‘‘Commission’’) the proposed rule
become effective pursuant to Section those that may be withheld from the change as described in Items I and II
19(b)(3)(A)(iii) of the Act 16 and public in accordance with the below, which Items have been prepared
subparagraph (f)(6) of Rule 19b–4 provisions of 5 U.S.C. 552, will be by the self-regulatory organization. The
thereunder.17 available for Web site viewing and Commission is publishing this notice to
At any time within 60 days of the printing in the Commission’s Public solicit comments on the proposed rule
filing of the proposed rule change, the Reference Room, 100 F Street NE., change from interested persons.
Commission summarily may Washington, DC 20549 on official
temporarily suspend such rule change if I. Self-Regulatory Organization’s
business days between the hours of Statement of the Terms of the Substance
it appears to the Commission that such
10:00 a.m. and 3:00 p.m. Copies of such of the Proposed Rule Change
action is: (i) Necessary or appropriate in
filing also will be available for
the public interest; (ii) for the protection
of investors; or (iii) otherwise in inspection and copying at the principal The Exchange proposes to amend
furtherance of the purposes of the Act. office of the Exchange. All comments Rule 928NY (Risk Limitation
If the Commission takes such action, the received will be posted without change; Mechanism) to allow certain order types
Commission shall institute proceedings the Commission does not edit personal to be excluded from the risk limitation
to determine whether the proposed rule identifying information from mechanism. The proposed rule change
should be approved or disapproved. submissions. You should submit only is available on the Exchange’s Web site
information that you wish to make at www.nyse.com, at the principal office
IV. Solicitation of Comments available publicly. All submissions of the Exchange, and at the
Interested persons are invited to should refer to File Number SR–CBOE– Commission’s Public Reference Room.
submit written data, views, and 2017–062, and should be submitted on
arguments concerning the foregoing, II. Self-Regulatory Organization’s
or before October 20, 2017.
including whether the proposed rule Statement of the Purpose of, and
For the Commission, by the Division of Statutory Basis for, the Proposed Rule
change is consistent with the Act. Trading and Markets, pursuant to delegated
Comments may be submitted by any of Change
authority.18
the following methods: In its filing with the Commission, the
Eduardo A. Aleman,
Electronic Comments Assistant Secretary. self-regulatory organization included
• Use the Commission’s Internet [FR Doc. 2017–20889 Filed 9–28–17; 8:45 am] statements concerning the purpose of,
comment form (http://www.sec.gov/ and basis for, the proposed rule change
BILLING CODE 8011–01–P
rules/sro.shtml); or and discussed any comments it received
• Send an email to rule-comments@ on the proposed rule change. The text
sec.gov. Please include File Number SR– of those statements may be examined at
CBOE–2017–062 on the subject line. the places specified in Item IV below.
The Exchange has prepared summaries,
asabaliauskas on DSKBBXCHB2PROD with NOTICES
16 15 U.S.C. 78s(b)(3)(A)(iii). set forth in sections A, B, and C below,
17 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– of the most significant parts of such
4(f)(6) requires a self-regulatory organization to give statements.
the Commission written notice of its intent to file
the proposed rule change, along with a brief
description and text of the proposed rule change,
at least five business days prior to the date of filing 1 15 U.S.C. 78s(b)(1).
of the proposed rule change, or such shorter time
2 15 U.S.C. 78a.
as designated by the Commission. The Exchange
has satisfied this requirement. 18 17 CFR 200.30–3(a)(12). 3 17 CFR 240.19b–4.
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Document Created: 2017-09-29 03:26:42
Document Modified: 2017-09-29 03:26:42
| Category | Regulatory Information | |
| Collection | Federal Register | |
| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
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| Section | Notices | |
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