83 FR 30787 - Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Relating to Exchange Rule 6.2., Hybrid Opening (and Sometimes Closing) System (“HOSS”)
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 83, Issue 126 (June 29, 2018)
Federal Register Volume 83, Issue 126 (June 29, 2018)
| Page Range | 30787-30791 | |
| FR Document | 2018-13978 |
[Federal Register Volume 83, Number 126 (Friday, June 29, 2018)] [Notices] [Pages 30787-30791] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2018-13978] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-83505; File No. SR-CBOE-2018-046] Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Relating to Exchange Rule 6.2., Hybrid Opening (and Sometimes Closing) System (``HOSS'') June 25, 2018. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that on June 15, 2018, Cboe Exchange, Inc. (the ``Exchange'' or ``Cboe Options'') filed with the Securities and Exchange Commission (the ``Commission'') the proposed rule change as described in Items I and II below, which Items have been prepared by the Exchange. The Exchange filed the proposal pursuant to Section 19(b)(3)(A)(iii) of the Act \3\ and Rule 19b-4(f)(6) thereunder.\4\ The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. \3\ 15 U.S.C. 78s(b)(3)(A)(iii). \4\ 17 CFR 240.19b-4(f)(6). --------------------------------------------------------------------------- [[Page 30788]] I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to amend Rule 6.2., Hybrid Opening (and Sometimes Closing) System (``HOSS''). (additions are italicized; deletions are [bracketed]) * * * * * Cboe Exchange, Inc. Rules * * * * * Rule 6.2. Hybrid Opening (and Sometimes Closing) System (``HOSS'') (a)-(b) (No change). (c) Opening Rotation Period. After the System initiates the opening rotation procedure and sends the Rotation Notice, the System begins the opening rotation period. During the opening rotation period for a series: (i)-(ii) (No change). (iii) After a period of time determined by the Exchange for all classes (which period of time may be no longer than five seconds), the System opens series of a class in [a random]the following order[, staggered over regular intervals of time (the Exchange determines the length and number of these intervals for all classes).]: (A) ATM and OTM Series with Expirations of 29 to 31 Days. During the initial interval (the Exchange determines the length of this interval for all classes, the length of which may be no longer than three seconds), the System opens: (I) at-the-money (``ATM'') puts and a group of out-of-the-money (``OTM'') puts with strike prices closest to the ATM strike price, in a random order; (II) ATM calls and a group of OTM calls with strike prices closest to the ATM strike price, in a random order; and (III) alternating groups of further OTM puts and further OTM calls, each in a random order. During this interval, the System attempts to open any ATM or OTM series that could not open on its first attempt. (B) All Other Series. After the initial interval, the System opens all other series, and any series that did not open pursuant to subparagraph (A), in a random order, staggered over regular intervals of time (the Exchange determines the length and number of these intervals for all classes, the length of which intervals may be no longer than two seconds). (C) Definition of ATM. For purposes of subparagraph (A), a put (call) is ATM if its strike price equals or is the first strike above (below) the last disseminated transaction price in the underlying security or index value on the same trading day. If the System begins an opening rotation for a class prior to receiving a disseminated transaction price in the underlying security or index value, the System will open all series in the class pursuant to subparagraph (B). Subject to paragraph (d) below, the opening rotation period (including these intervals) may not exceed [60]30 seconds. (d)-(h) (No change). . . . Interpretations and Policies: .01-.07 (No change). * * * * * The text of the proposed rule change is also available on the Exchange's website (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 proposed rule change amends the order in which the System opens series for trading. Current Rule 6.2(c)(iii) states, after a period of time after the initiation of the opening rotation (which time is determined by the Exchange for all classes, and may be no longer than five seconds),\5\ the System opens series of a class in a random order, staggered over regular intervals of time (the Exchange determines the length and number of these intervals for all classes).\6\ The opening rotation period (including these intervals) may not exceed 60 seconds, except as otherwise set forth in the Rule. --------------------------------------------------------------------------- \5\ Currently, this time is set to two seconds. The Exchange intends to reduce this time period to one second in June 2018. \6\ Currently, there are two one-second intervals. --------------------------------------------------------------------------- Pursuant to the proposed rule change, during an initial interval (the Exchange determines the length of this interval for all classes, which may be no longer than three seconds),\7\ the System will first open at-the-money (``ATM'') and out-of-the-money (``OTM'') series with expirations of 29 to 31 days, and then open all remaining series. Specifically, during the first interval, the System will open: --------------------------------------------------------------------------- \7\ The Exchange intends to initially set the length of this interval to 500 milliseconds. ---------------------------------------------------------------------------ATM puts and a group of OTM puts with strike prices closest to the ATM strike price, in a random order; ATM calls and a group of OTM calls with strike prices closest to the ATM strike price, in a random order; and alternating groups of further OTM puts and further OTM calls, each in a random order. During this interval, the System attempts to open any ATM or OTM series that could not open on its first attempt. After the first interval, the System opens all other series, and any OTM and ATM series with expirations of 29 to 31 days that did not open during the first interval, in a random order, staggered over regular intervals of time (the Exchange determines the length and number of these intervals for all classes, the length of which may be no longer than two seconds).\8\ --------------------------------------------------------------------------- \8\ The Exchange intends to initially have 10 intervals of 100 milliseconds each. --------------------------------------------------------------------------- For purposes of this proposed rule change, a put (call) is ATM if its strike price equals or is the first strike above (below) the last disseminated transaction price in the underlying security or index value on the same trading day. If the System begins an opening rotation for a class prior to receiving a disseminated transaction price in the underlying security or index value, the System will open all series in the class pursuant to proposed subparagraph (B) (i.e., all in a random order, staggered over regular intervals of time). Pursuant to Rule 6.2, the opening rotation for most equity and exchange-traded product options will begin after the System receives a disseminated opening trade or quote in the market for the underlying security. Additionally, the opening rotation for certain index options will begin at the later of 8:30 a.m. and the time the System receives a disseminated index value for classes determined by the Exchange. However, for certain classes, the opening rotation will begin at 8:30 a.m. As a result, it is possible the System may not have a value to determine which series are ATM. To avoid delaying the opening of series in these classes, the Exchange believes it is appropriate to open all series in a random order rather than wait for such a value. Below are examples demonstrating the new opening sequence. For purposes of these examples, assume the ATM strike price is 50. Additionally, assume June expiration series are 30 days away and all other series are more than 31 days away. There will be a one second opening timer delay, an initial [[Page 30789]] interval of 500 milliseconds, and then 10 intervals of 100 milliseconds. Puts will be opened in groups of 4, and calls will be opened in groups of 3 (the first put and call group will also include the ATM strike). Class ABC consists of the following series: Jun ABC 62 put Jun ABC 61 put Jun ABC 60 put Jun ABC 59 put Jun ABC 58 put Jun ABC 57 put Jun ABC 56 put Jun ABC 55 put Jun ABC 54 put Jun ABC 53 put Jun ABC 52 put Jun ABC 51 put Jun ABC 50 put Jun ABC 49 put Jun ABC 48 put Jun ABC 47 put Jun ABC 46 put Jun ABC 45 put Jun ABC 44 put Jun ABC 43 put Jun ABC 42 put Jun ABC 41 put Jun ABC 40 put Jun ABC 39 put Jun ABC 38 put Jun ABC 59 call Jun ABC 58 call Jun ABC 57 call Jun ABC 56 call Jun ABC 55 call Jun ABC 54 call Jun ABC 53 call Jun ABC 52 call Jun ABC 51 call Jun ABC 50 call Jun ABC 49 call Jun ABC 48 call Jun ABC 47 call Jun ABC 46 call Jun ABC 45 call Jun ABC 44 call Jun ABC 43 call Jun ABC 42 call Jun ABC 41 call July ABC 60 put July ABC 60 call July ABC 59 put July ABC 59 call July ABC 58 put July ABC 58 call July ABC 57 put July ABC 57 call July ABC 56 put July ABC 56 call July ABC 55 put July ABC 55 call Aug ABC 60 put Aug ABC 60 call Aug ABC 59 put Aug ABC 59 call Aug ABC 58 put Aug ABC 58 call Aug ABC 57 put Aug ABC 57 call Aug ABC 56 put Aug ABC 56 call Aug ABC 55 put Aug ABC 55 call Example #1--All Series Satisfy Opening Conditions on First Attempt After the one-second delay, the 500-millisecond interval starts. During that interval, the System opens in a random order the Jun ABC 50, 49, 48, 47, and 46 puts. The System then opens in a random order the Jun ABC 50, 51, 52, and 53 calls. Then, the System opens in a random order the Jun ABC 45, 44, 43, and 42 puts. Then, the System opens in a random order the Jun ABC 54, 55, and 56 calls. Next, the System opens in a random order the Jun ABC 41, 40, 39, and 38 puts. The System then opens in a random order the Jun ABC 57, 58, and 59 calls. After 500 milliseconds, the System opens in a random order over 10 100- millisecond intervals the remaining Jun puts and calls and all Jul and Aug puts and calls. Example #2--Assume One Series Does Not Open on First Attempt but Does Open on Second Attempt During the Initial Interval After the one-second delay, the 500-millisecond interval starts. During that interval, the System opens in a random order the Jun ABC 50, 49, 48, 47, and 46 puts. The System then opens in a random order the Jun ABC 50, 51, 52, and 53 calls. Then, the System opens in a random order the Jun ABC 45, 44, and 43, and attempts to but cannot open the Jun ABC 42 put. Then, the System opens in a random order the Jun ABC 54, 55, and 56 calls. Next, the System opens in a random order the Jun ABC 41, 40, 39, and 38 puts. The System then opens in a random order the Jun ABC 57, 58, and 59 calls. The System then opens the Jun ABC 42 put, which did not open on its first attempt. After 500 milliseconds, the System opens in a random order over 10 100- millisecond intervals the remaining Jun puts and calls and all Jul and Aug puts and calls. Example #3--Assume One Series Does Not Satisfy Opening Conditions During the First Interval After the one-second delay, the 500-millisecond interval starts. During that interval, the System opens in a random order the Jun ABC 50, 49, 48, 47, and 46 puts. The System then opens in a random order the Jun ABC 50, 51, 52, and 53 calls. Then, the System opens in a random order the Jun ABC 45, 44, and 43, and attempts to but cannot open the Jun ABC 42 put. Then, the System opens in a random order the Jun ABC 54, 55, and 56 calls. Next, the System opens in a random order the Jun ABC 41, 40, 39, and 38 puts. The System then opens in a random order the Jun ABC 57 and 58 calls, and attempts to but cannot open the Jun ABC 59 call. During the initial 500 milliseconds, the System continues to attempt to but cannot open the Jun ABC 59 call. After 500 milliseconds, the System opens in a random order over 10 100- millisecond intervals the Jun ABC 59 call, the remaining Jun puts and calls, and all Jul and Aug puts and calls. While the System will continue to open series in a random order, during an initial longer interval, the System will open specific groups of series within a random order. The order in which the System opens series for trading is generally immaterial; however, on expiration days for volatility index derivatives, ATM and OTM series with expirations of approximately one month are used to calculate the exercise settlement value of expiring volatility index derivatives as part of the modified opening procedure. The Exchange believes opening these series first will enhance liquidity in those series on expiration days for volatility index derivatives. Specifically, Market-Makers are the primary liquidity providers in the Exchange's market. The Exchange provides Market-Makers with a tool, the Quote Risk Monitor (``QRM'') they use to control risk of multiple, automatic executions. A QRM event in a class will cause a Market- Maker's quotes in all series in the class to be cancelled (certain events may cause a Market-Maker's quotes in all classes to be cancelled).\9\ As a result, a Market-Maker's opening transactions in series not used to calculate an exercise settlement value may cause a QRM event, cancelling the Market-Maker's quotes in all other series in the class, including series used to calculate an exercise settlement value. This reduces liquidity in these series. Similarly, the Exchange has observed larger Market-Maker quote sizes in further OTM puts and calls compared to sizes in less OTM puts and calls and ATM puts and calls, which have higher weightings in the formula used to determine the exercise settlement value of expiring volatility index derivatives in accordance with the applicable volatility index [[Page 30790]] methodology.\10\ If the further OTM puts and calls open prior to the less OTM puts and calls and ATM puts and calls, similar reduced liquidity in those ATM and less OTM puts and calls from QRM events may occur. The Exchange believes the proposed rule change will increase liquidity in all series used to calculate exercise settlement values, which is desirable to ensure these series open at competitive prices on expiration days for volatility index derivatives. While liquidity is important to open all series on the Exchange, given the potential impact on the exercise settlement value determined for expiring volatility index derivatives, the Exchange believes it is appropriate to ensure a fair and orderly opening of the series used to calculate the exercise settlement value. --------------------------------------------------------------------------- \9\ See Rule 8.18. \10\ See, e.g., the VIX methodology at http://www.cboe.com/micro/vix/vix-index-rules-and-methodology.pdf. --------------------------------------------------------------------------- 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.\11\ Specifically, the Exchange believes the proposed rule change is consistent with the Section 6(b)(5) \12\ 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) \13\ requirement that the rules of an exchange not be designed to permit unfair discrimination between customers, issuers, brokers, or dealers. --------------------------------------------------------------------------- \11\ 15 U.S.C. 78f(b). \12\ 15 U.S.C. 78f(b)(5). \13\ Id. --------------------------------------------------------------------------- In particular, the proposed rule change merely modifies the order in which the System opens series for trading on the Exchange. The System will continue to open series in a random order; however, initially, it will open series within specific groups in a random order. The Exchange believes the System can open series pursuant to the proposed maximum interval times, as current interval times are under these maximums, and because they are consistent with the proposed maximum of 30 seconds for the entire opening process. These interval times ensure a fast opening of all series, which will benefit investors. While the order in which the System opens series is generally immaterial (and thus why the Exchange has opened them in a random order), the Exchange believes opening ATM and OTM series with expirations of approximately one month will permit series used to calculate exercise settlement values for expiring volatility index derivatives to open as soon as possible. As discussed above, the Exchange believes this may enhance liquidity in these series on expiration days for volatility index derivatives, which benefits market participants. Additionally, reducing the potential time during which all series in all classes will open benefits all market participants, because market participants will be able to begin trading in all series sooner. B. Self-Regulatory Organization's Statement on Burden on Competition Cboe Options does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. The proposed rule change only modifies the order in which the System will open series for trading. The System will open groups of ATM and OTM series with expirations of approximately one month first, but will continue to open series within those groups in a random order, and then open all in-the- money series in a random order (as is case today with respect to those series). Additionally, pursuant to the proposed rule change, the opening process must be within a shorter time period. The proposed maximum interval times are consistent with current and proposed interval times, and are consistent with the proposed maximum of 30 seconds for the entire opening process (which is shorter than the current maximum). The proposed rule change applies to all classes in the same manner, and only applies to the order in which the System will open series for trading on the Exchange. As discussed above, the Exchange believes this may enhance liquidity in these series on expiration days for volatility index derivatives, which benefits market participants. Additionally, reducing the potential time during which all series in all classes will open benefits all market participants, because market participants will be able to begin trading in all series sooner. C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others The Exchange neither solicited nor received comments on the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Because the foregoing proposed rule change does not: (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 \14\ and subparagraph (f)(6) of Rule 19b-4 thereunder.\15\ --------------------------------------------------------------------------- \14\ 15 U.S.C. 78s(b)(3)(A)(iii). \15\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii) 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 Comments Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or Send an email to rule-comments@sec.gov. Please include File Number SR-CBOE-2018-046 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. [[Page 30791]] All submissions should refer to File Number SR-CBOE-2018-046. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's internet website (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 website viewing and printing in the Commission's Public Reference Room, 100 F Street NE, Washington, DC 20549, on official business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of the filing also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change. Persons submitting comments are cautioned that we do not redact or edit personal identifying information from comment submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR-CBOE-2018-046 and should be submitted on or before July 20, 2018. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\16\ --------------------------------------------------------------------------- \16\ 17 CFR 200.30-3(a)(12). --------------------------------------------------------------------------- Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2018-13978 Filed 6-28-18; 8:45 am] BILLING CODE 8011-01-P
![Federal Register / Vol. 83, No. 126 / Friday, June 29, 2018 / Notices 30787
will be filing similar extensions of the the Pilot Program.13 Accordingly, the those that may be withheld from the
Penny Pilot Program. Commission designates the proposed public in accordance with the
rule change as operative upon filing provisions of 5 U.S.C. 552, will be
C. Self-Regulatory Organization’s with the Commission.14 available for website viewing and
Statement on Comments on the At any time within 60 days of the printing in the Commission’s Public
Proposed Rule Change Received From filing of such proposed rule change, the Reference Room, 100 F Street NE,
Members, Participants, or Others Commission summarily may Washington, DC 20549, on official
Written comments were neither temporarily suspend such rule change if business days between the hours of
solicited nor received. it appears to the Commission that such 10:00 a.m. and 3:00 p.m. Copies of the
action is necessary or appropriate in the filing also will be available for
III. Date of Effectiveness of the public interest, for the protection of inspection and copying at the principal
Proposed Rule Change and Timing for investors, or otherwise in furtherance of office of the Exchange. All comments
Commission Action the purposes of the Act. If the received will be posted without change.
Commission takes such action, the Persons submitting comments are
The Exchange has filed the proposed Commission shall institute proceedings cautioned that we do not redact or edit
rule change pursuant to Section under Section 19(b)(2)(B) 15 of the Act to personal identifying information from
19(b)(3)(A)(iii) of the Act 8 and Rule determine whether the proposed rule comment submissions. You should
19b–4(f)(6) thereunder.9 Because the change should be approved or submit only information that you wish
proposed rule change does not: (i) disapproved. to make available publicly.
Significantly affect the protection of All submissions should refer to File
investors or the public interest; (ii) IV. Solicitation of Comments
Number SR–MIAX–2018–12 and should
impose any significant burden on Interested persons are invited to be submitted on or before July 20, 2018.
competition; and (iii) become operative submit written data, views, and For the Commission, by the Division of
prior to 30 days from the date on which arguments concerning the foregoing, Trading and Markets, pursuant to
it was filed, or such shorter time as the including whether the proposed rule delegated authority.16
Commission may designate, if change is consistent with the Act.
consistent with the protection of Comments may be submitted by any of Eduardo A. Aleman,
investors and the public interest, the the following methods: Assistant Secretary.
proposed rule change has become [FR Doc. 2018–13981 Filed 6–28–18; 8:45 am]
Electronic Comments
effective pursuant to Section 19(b)(3)(A) BILLING CODE 8011–01–P
of the Act and Rule 19b–4(f)(6)(iii) • Use the Commission’s internet
thereunder. comment form (http://www.sec.gov/
A proposed rule change filed under rules/sro.shtml); or SECURITIES AND EXCHANGE
• Send an email to rule-comments@ COMMISSION
Rule 19b–4(f)(6) 10 normally does not
sec.gov. Please include File Number SR–
become operative prior to 30 days after
MIAX–2018–12 on the subject line. [Release No. 34–83505; File No. SR–CBOE–
the date of the filing.11 However,
pursuant to Rule 19b–4(f)(6)(iii),12 the Paper Comments 2018–046]
Commission may designate a shorter • Send paper comments in triplicate
time if such action is consistent with the Self-Regulatory Organizations; Cboe
to Secretary, Securities and Exchange Exchange, Inc.; Notice of Filing and
protection of investors and the public Commission, 100 F Street NE,
interest. The Exchange has asked the Immediate Effectiveness of a Proposed
Washington, DC 20549–1090. Rule Change Relating to Exchange
Commission to waive the 30-day
operative delay so that the proposal may All submissions should refer to File Rule 6.2., Hybrid Opening (and
become operative immediately upon Number SR–MIAX–2018–12. This file Sometimes Closing) System (‘‘HOSS’’)
filing. The Commission believes that number should be included on the
subject line if email is used. To help the June 25, 2018.
waiving the 30-day operative delay is Pursuant to Section 19(b)(1) of the
Commission process and review your
consistent with the protection of Securities Exchange Act of 1934 (the
comments more efficiently, please use
investors and the public interest ‘‘Act’’),1 and Rule 19b–4 thereunder,2
because doing so will allow the Pilot only one method. The Commission will
post all comments on the Commission’s notice is hereby given that on June 15,
Program to continue without 2018, Cboe Exchange, Inc. (the
internet website (http://www.sec.gov/
interruption in a manner that is ‘‘Exchange’’ or ‘‘Cboe Options’’) filed
rules/sro.shtml). Copies of the
consistent with the Commission’s prior with the Securities and Exchange
submission, all subsequent
approval of the extension and expansion Commission (the ‘‘Commission’’) the
amendments, all written statements
of the Pilot Program and will allow the proposed rule change as described in
with respect to the proposed rule
Exchange and the Commission Items I and II below, which Items have
change that are filed with the
additional time to analyze the impact of been prepared by the Exchange. The
Commission, and all written
communications relating to the Exchange filed the proposal pursuant to
8 15 U.S.C. 78s(b)(3)(A)(iii).
9 17
proposed rule change between the Section 19(b)(3)(A)(iii) of the Act 3 and
CFR 240.19b–4(f)(6).
10 17 CFR 240.19b–4(f)(6). Commission and any person, other than Rule 19b–4(f)(6) thereunder.4 The
11 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– Commission is publishing this notice to
sradovich on DSK3GMQ082PROD with NOTICES
4(f)(6)(iii) requires the Exchange to give the 13 See Securities Exchange Act Release No. 61061 solicit comments on the proposed rule
Commission written notice of the Exchange’s intent (November 24, 2009), 74 FR 62857 (December 1, change from interested persons.
to file the proposed rule change along with a brief 2009) (SR–NYSEArca–2009–44).
description and the text of the proposed rule 14 For purposes only of waiving the operative
16 17
change, at least five business days prior to the date delay for this proposal, the Commission has CFR 200.30–3(a)(12).
1 15 U.S.C. 78s(b)(1).
of filing of the proposed rule change, or such considered the proposed rule’s impact on
2 17 CFR 240.19b–4.
shorter time as designated by the Commission. The efficiency, competition, and capital formation. See
Exchange has satisfied this pre-filing requirement. 15 U.S.C. 78c(f). 3 15 U.S.C. 78s(b)(3)(A)(iii).
12 17 CFR 240.19b–4(f)(6)(iii). 15 15 U.S.C. 78s(b)(2)(B). 4 17 CFR 240.19b–4(f)(6).
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![30788 Federal Register / Vol. 83, No. 126 / Friday, June 29, 2018 / Notices
I. Self-Regulatory Organization’s . . . Interpretations and Policies: • ATM puts and a group of OTM puts
Statement of the Terms of Substance of .01–.07 (No change). with strike prices closest to the ATM
the Proposed Rule Change * * * * * strike price, in a random order;
The Exchange proposes to amend • ATM calls and a group of OTM
The text of the proposed rule change calls with strike prices closest to the
Rule 6.2., Hybrid Opening (and is also available on the Exchange’s
Sometimes Closing) System (‘‘HOSS’’). ATM strike price, in a random order;
website (http://www.cboe.com/About and
(additions are italicized; deletions are CBOE/CBOELegalRegulatory • alternating groups of further OTM
[bracketed]) Home.aspx), at the Exchange’s Office of puts and further OTM calls, each in a
the Secretary, and at the Commission’s random order.
* * * * * Public Reference Room. During this interval, the System
Cboe Exchange, Inc. Rules attempts to open any ATM or OTM
II. Self-Regulatory Organization’s
* * * * * Statement of the Purpose of, and series that could not open on its first
Rule 6.2. Hybrid Opening (and Sometimes Statutory Basis for, the Proposed Rule attempt.
Closing) System (‘‘HOSS’’) Change After the first interval, the System
(a)–(b) (No change). opens all other series, and any OTM and
(c) Opening Rotation Period. After the In its filing with the Commission, the ATM series with expirations of 29 to 31
System initiates the opening rotation Exchange included statements days that did not open during the first
procedure and sends the Rotation Notice, the concerning the purpose of and basis for interval, in a random order, staggered
System begins the opening rotation period. the proposed rule change and discussed over regular intervals of time (the
During the opening rotation period for a any comments it received on the Exchange determines the length and
series: proposed rule change. The text of these number of these intervals for all classes,
(i)–(ii) (No change).
statements may be examined at the the length of which may be no longer
(iii) After a period of time determined by
the Exchange for all classes (which period of places specified in Item IV below. The than two seconds).8
time may be no longer than five seconds), the Exchange has prepared summaries, set For purposes of this proposed rule
System opens series of a class in [a forth in sections A, B, and C below, of change, a put (call) is ATM if its strike
random]the following order[, staggered over the most significant aspects of such price equals or is the first strike above
regular intervals of time (the Exchange statements. (below) the last disseminated
determines the length and number of these transaction price in the underlying
intervals for all classes).]: A. Self-Regulatory Organization’s security or index value on the same
(A) ATM and OTM Series with Expirations Statement of the Purpose of, and trading day. If the System begins an
of 29 to 31 Days. During the initial interval Statutory Basis for, the Proposed Rule opening rotation for a class prior to
(the Exchange determines the length of this Change receiving a disseminated transaction
interval for all classes, the length of which
1. Purpose price in the underlying security or index
may be no longer than three seconds), the
System opens: value, the System will open all series in
(I) at-the-money (‘‘ATM’’) puts and a group The proposed rule change amends the the class pursuant to proposed
of out-of-the-money (‘‘OTM’’) puts with strike order in which the System opens series subparagraph (B) (i.e., all in a random
prices closest to the ATM strike price, in a for trading. Current Rule 6.2(c)(iii) order, staggered over regular intervals of
random order; states, after a period of time after the time). Pursuant to Rule 6.2, the opening
(II) ATM calls and a group of OTM calls initiation of the opening rotation (which rotation for most equity and exchange-
with strike prices closest to the ATM strike time is determined by the Exchange for traded product options will begin after
price, in a random order; and all classes, and may be no longer than the System receives a disseminated
(III) alternating groups of further OTM puts
five seconds),5 the System opens series opening trade or quote in the market for
and further OTM calls, each in a random
order. of a class in a random order, staggered the underlying security. Additionally,
During this interval, the System attempts to over regular intervals of time (the the opening rotation for certain index
open any ATM or OTM series that could not Exchange determines the length and options will begin at the later of 8:30
open on its first attempt. number of these intervals for all a.m. and the time the System receives a
(B) All Other Series. After the initial classes).6 The opening rotation period disseminated index value for classes
interval, the System opens all other series, (including these intervals) may not determined by the Exchange. However,
and any series that did not open pursuant to exceed 60 seconds, except as otherwise for certain classes, the opening rotation
subparagraph (A), in a random order, set forth in the Rule. will begin at 8:30 a.m. As a result, it is
staggered over regular intervals of time (the
Pursuant to the proposed rule change, possible the System may not have a
Exchange determines the length and number
of these intervals for all classes, the length of during an initial interval (the Exchange value to determine which series are
which intervals may be no longer than two determines the length of this interval for ATM. To avoid delaying the opening of
seconds). all classes, which may be no longer than series in these classes, the Exchange
(C) Definition of ATM. For purposes of three seconds),7 the System will first believes it is appropriate to open all
subparagraph (A), a put (call) is ATM if its
open at-the-money (‘‘ATM’’) and out-of- series in a random order rather than
strike price equals or is the first strike above wait for such a value.
(below) the last disseminated transaction the-money (‘‘OTM’’) series with
Below are examples demonstrating
price in the underlying security or index expirations of 29 to 31 days, and then
the new opening sequence. For
value on the same trading day. If the System open all remaining series. Specifically,
purposes of these examples, assume the
begins an opening rotation for a class prior during the first interval, the System will
sradovich on DSK3GMQ082PROD with NOTICES
ATM strike price is 50. Additionally,
to receiving a disseminated transaction price open:
in the underlying security or index value, the assume June expiration series are 30
System will open all series in the class 5 Currently, this time is set to two seconds. The
days away and all other series are more
pursuant to subparagraph (B). Exchange intends to reduce this time period to one than 31 days away. There will be a one
Subject to paragraph (d) below, the second in June 2018. second opening timer delay, an initial
opening rotation period (including these 6 Currently, there are two one-second intervals.
intervals) may not exceed [60]30 seconds. 7 The Exchange intends to initially set the length 8 The Exchange intends to initially have 10
(d)–(h) (No change). of this interval to 500 milliseconds. intervals of 100 milliseconds each.
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![Federal Register / Vol. 83, No. 126 / Friday, June 29, 2018 / Notices 30791
All submissions should refer to File SECURITIES AND EXCHANGE designated a longer period within which
Number SR–CBOE–2018–046. This file COMMISSION to approve, disapprove, or institute
number should be included on the [Release No. 34–83510; File Nos. SR–DTC–
proceedings to determine whether to
subject line if email is used. To help the 2017–022; SR–FICC–2017–022; SR–NSCC– approve or disapprove the Proposed
Commission process and review your 2017–018] Rule Changes.4 On March 20, 2018, the
comments more efficiently, please use Commission instituted proceedings
only one method. The Commission will Self-Regulatory Organizations; The pursuant to Section 19(b)(2)(B) of the
post all comments on the Commission’s Depository Trust Company; Fixed Act 5 to determine whether to approve
internet website (http://www.sec.gov/ Income Clearing Corporation; National or disapprove the Proposed Rule
rules/sro.shtml). Copies of the Securities Clearing Corporation; Changes.6 The Commission did not
submission, all subsequent Notice of Designation of Longer Period receive any comments on the Proposed
amendments, all written statements for Commission Action on Rule Changes.
Proceedings To Determine Whether To
with respect to the proposed rule Section 19(b)(2) of the Act 7 provides
Approve or Disapprove Proposed Rule
change that are filed with the that proceedings to determine whether
Changes To Amend the Loss
Commission, and all written Allocation Rules and Make Other to approve or disapprove a proposed
communications relating to the Changes rule change must be concluded within
proposed rule change between the 180 days of the date of publication of
Commission and any person, other than June 25, 2018.
notice of filing of the proposed rule
those that may be withheld from the On December 18, 2017, The change. The time for conclusion of the
public in accordance with the Depository Trust Company (‘‘DTC’’),
proceedings may be extended for up to
provisions of 5 U.S.C. 552, will be Fixed Income Clearing Corporation
60 days if the Commission determines
available for website viewing and (‘‘FICC’’), and National Securities
Clearing Corporation (‘‘NSCC’’) that a longer period is appropriate and
printing in the Commission’s Public publishes the reasons for such
Reference Room, 100 F Street NE, (collectively, ‘‘Clearing Agencies’’), each
filed with the Securities and Exchange determination.8 The 180th day for the
Washington, DC 20549, on official Proposed Rule Changes is July 7, 2018.
Commission (‘‘Commission’’) a
business days between the hours of
proposed rule change to amend the loss The Commission is extending the
10:00 a.m. and 3:00 p.m. Copies of the allocation rules and make other changes period for Commission action on the
filing also will be available for (SR–DTC–2017–022, SR–FICC–2017– Proposed Rule Changes. The
inspection and copying at the principal 022, and SR–NSCC–2017–018), Commission finds that it is appropriate
office of the Exchange. All comments respectively (‘‘Proposed Rule Changes’’), to designate a longer period within
received will be posted without change. pursuant to Section 19(b)(1) of the which to take action on the Proposed
Persons submitting comments are Securities Exchange Act of 1934 Rule Changes so that the Commission
cautioned that we do not redact or edit (‘‘Act’’) 1 and Rule 19b–4 thereunder.2 has sufficient time to consider the issues
personal identifying information from The Proposed Rule Changes were
raised by the Proposed Rule Changes
comment submissions. You should published for comment in the Federal
and to take action on the Proposed Rule
submit only information that you wish Register on January 8, 2018.3 On
February 8, 2018, the Commission Changes. The proposal shall not take
to make available publicly. All
effect until all regulatory actions
submissions should refer to File
1 15 U.S.C. 78s(b)(1). required with respect to the proposal are
Number SR–CBOE–2018–046 and
2 17 CFR 240.19b–4. On December 18, 2018, the completed.9
should be submitted on or before July Clearing Agencies each filed these proposals as
20, 2018. advance notices (SR–DTC–2017–804, SR–FICC–
Accordingly, pursuant to Section
2017–806, SR–NSCC–2017–806) with the 19(b)(2)(B)(ii)(II) of the Act 10 and for the
For the Commission, by the Division of Commission pursuant to Section 806(e)(1) of the reasons stated above, the Commission
Trading and Markets, pursuant to delegated Payment, Clearing, and Settlement Supervision Act
authority.16 of 2010 (‘‘Clearing Supervision Act’’) and Rule 19b–
designates September 5, 2018, as the
4(n)(1)(i) of the Act (‘‘Advance Notices’’). On date by which the Commission should
Eduardo A. Aleman,
January 30, 2018, the Commission published in the either approve or disapprove proposed
Assistant Secretary. Federal Register notices of filing of the Advance rule changes SR–DTC–2017–022, SR–
[FR Doc. 2018–13978 Filed 6–28–18; 8:45 am] Notices. These notices also extended the review
periods for the Advance Notices pursuant to FICC–2017–022, and SR–NSCC–2017–
BILLING CODE 8011–01–P Section 806(e)(1)(H) of the Clearing Supervision 018.
Act. (12 U.S.C. 5465(e)(1)(H).) See Securities
Exchange Act Release Nos. 82582 (January 24,
2018), 83 FR 4297 (January 30, 2018) (SR–DTC–
2017–804); 82583 (January 24, 2018), 83 FR 4358
(January 30, 2018) (SR–FICC–2017–806); 82584
4 Securities Exchange Act Release No. 82670
(January 24, 2018), 83 FR 4377 (January 30, 2018)
(SR–NSCC–2017–806). On April 10, 2018, the (February 8, 2018), 83 FR 6626 (February 14, 2018)
Commission required further information for (SR–DTC–2017–022; SR–FICC–2017–022; SR–
consideration of the Advance Notices, pursuant to NSCC–2017–018).
Section 806(e)(1)(D) of the Clearing Supervision 5 15 U.S.C. 78s(b)(2)(B).
Act, which provided the Commission with a 6 Securities Exchange Act Release Nos. 82914
renewed 60-day review period beginning on the
date that the information requested is received by (March 20, 2018), 83 FR 12978 (March 26, 2018)
sradovich on DSK3GMQ082PROD with NOTICES
the Commission. (12 U.S.C. 5465(e)(1)(D).) As of the (SR–DTC–2017–022); 82909 (March 20, 2018), 83
date of this release, the Commission has not yet FR 12990 (March 26, 2018) (SR–FICC–2017–022);
received the requested information. 82910 (March 20, 2018), 83 FR 12968 (March 26,
3 Securities Exchange Act Release Nos. 82426
2018) (SR–NSCC–2017–018).
(January 2, 2018), 83 FR 913 (January 8, 2018) (SR– 7 15 U.S.C. 78s(b)(2).
DTC–2017–022); 82427 (January 2, 2018), 83 FR 854 8 15 U.S.C. 78s(b)(2)(B)(ii)(II).
(January 8, 2018) (SR–FICC–2017–022); 82428
9 See supra note 2.
(January 2, 2018), 83 FR 897 (January 8, 2018) (SR–
16 17 CFR 200.30–3(a)(12). NSCC–2017–018). 10 15 U.S.C. 78s(b)(2)(B)(ii)(II).
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Document Created: 2018-06-29 01:12:56
Document Modified: 2018-06-29 01:12:56
| Category | Regulatory Information | |
| Collection | Federal Register | |
| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
| Publisher | Office of the Federal Register, National Archives and Records Administration | |
| Section | Notices | |
| FR Citation | 83 FR 30787 |
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