
[Federal Register Volume 79, Number 25 (Thursday, February 6, 2014)]
[Notices]
[Pages 7239-7243]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2014-02504]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-71458; File No. SR-CBOE-2014-003]


Self-Regulatory Organizations; Chicago Board Options Exchange, 
Incorporated; Notice of Filing of Proposed Rule Change To List and 
Trade CBOE Short-Term Volatility Index Options

January 31, 2014.
    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 January 27, 2014, the Chicago Board Options Exchange, Incorporated 
(``Exchange'' or ``CBOE'') filed with the Securities and Exchange 
Commission (``Commission'') the proposed rule change as described in 
Items I, II, and III below, which Items have been prepared by the self-
regulatory organization. The Commission is publishing this notice to 
solicit comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    CBOE proposes to amend certain of its rules to provide for the 
listing and trading of options that overlie the CBOE Short-Term 
Volatility Index (``VXST''). VXST options would be cash-settled 
contracts with European-style exercise that expire every week. The text 
of the proposed rule change is 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.

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 those 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 parts 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 this proposed rule change is to permit the Exchange 
to list and trade options that overlie the CBOE Short-Term Volatility 
Index (``VXST''). VXST options would be cash-settled contracts with 
European-style exercise that expire every week.
    The Exchange created the VXST index in response to market demand 
for an option contract on a short-term volatility index that expires 
each week. The VXST index is designed to measure investors' consensus 
view of future (nine day) expected stock market volatility. The 
proposed new VXST options would trade alongside existing CBOE 
Volatility Index (``VIX'') options (which expire on a monthly basis and 
measure a 30 day period of implied volatility) and on one Wednesday 
each month, the Exchange plans to calculate two exercise settlement 
values based on different S&P 500 index options (one

[[Page 7240]]

expiring in 30 days and one expiring in nine days) to settle expiring 
VIX and VXST options.\3\
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    \3\ CBOE Futures Exchange, LLC (``CFE'') plans to launch trading 
VXST futures during the first quarter in 2014 and prior to launching 
VXST options on CBOE.
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Index Design and Calculation
    The calculation of VXST is based on the VIX methodology applied to 
option series on the S&P 500 index that expire on every Friday, 
including standard S&P 500 index option series (i.e., third Friday 
expirations).\4\ Similar to VIX and VIX options, the cash (spot) VXST 
value is calculated using premium quotations and the exercise 
settlement value for VXST options will be calculated using the actual 
opening premium prices of the constituent S&P 500 index options on the 
expiration day of the respective VXST option. The VXST index was 
introduced by CBOE on October 1, 2013 and has been disseminated at 
least once a day on every trading day since that time.
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    \4\ The VXST index is calculated in the same manner as other 
volatility indexes, e.g., VIX, upon which options have been based 
and previously approved by the SEC. A more detailed explanation of 
the method used to calculate VIX may be found on the CBOE's Web site 
at: http://www.cboe.com/micro/vix/vixwhite.pdf.
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    The VXST index measures a nine day period of expected (implied) 
volatility and is calculated based on real-time prices of options on 
the S&P 500 index that expire in nine days. Specifically, the 
constituent S&P 500 index options that expire on a Friday (i.e., nine 
days from the VXST expiration date, which is typically a Wednesday in 
the preceding week) may include the following types of options on the 
S&P 500 index: Standard monthly options, End-of-Week (``EOW'') 
expirations \5\ and Quarterly Index (``QIX'') expirations.\6\ The chart 
below illustrates the different types of S&P 500 index options that 
would be used to calculate the VXST index:
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    \5\ Listed under Rule 24.9(e).
    \6\ Listed under Rule 24.9(c).
    [GRAPHIC] [TIFF OMITTED] TN06FE14.000
    
    Because some of the constituent options used to calculate the VXST 
index are A.M.-settled and some are P.M.-settled, the amount of time 
covered by a specific contract will vary slightly depending on the type 
of series used for any given A.M.-settled VXST option. For a VXST 
option contract calculated using A.M.-settled standard S&P 500 index 
options, the period of implied volatility covered by the contract will 
be exactly nine days. For a VXST option contract calculated using P.M.-
settled EOW or QIX on the S&P 500 index, the period of implied 
volatility covered by the contract will be nine days, plus 390 
minutes.\7\
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    \7\ P.M.-settled, expiring EOWs and QIX stop trading at 3:00 
p.m. (Chicago time) on their last day of trading. See Rules 
24.9(e)(4) and 24.6.01. The additional 390 minutes reflects that the 
constituent options trade for six and a half hours on their 
expiration date until 3:00 p.m. (Chicago time).
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    The VXST calculation generally uses nearby and second nearby option 
expirations with at least 1 day left to expiration and then weights 
them to yield a constant, nine-day measure of the expected volatility 
of the S&P 500 index. The quantity of S&P 500 index option series used 
to calculate the VXST at any given time will range from an average of 
60 series at settlement to 120 or more series at other times.
    For each VXST contract expiration, CBOE will determine the at-the-
money strike price. The Exchange will then select the at-the-money and 
out-of-the money series with non-zero bid prices and determine the 
midpoint of the bid-ask quote for each of these series. The midpoint 
quote of each series is then weighted so that the further away that 
series is from the at-the-money strike, the less weight that is 
accorded to the quote. Then, to compute the index level, CBOE will 
calculate a volatility measure for the nearby options and then for the 
second nearby options. This is done using the weighted mid-point of the 
prevailing bid-ask quotes for all included option series with the same 
expiration date. These volatility measures are then interpolated to 
arrive at a single, constant nine-day measure of volatility.
    CBOE will compute values for VXST underlying option series on a 
real-time basis throughout each trading day, from approximately 8:30 
a.m. (Chicago time) until approximately 3:15 p.m. (Chicago time). VXST 
levels will be calculated by CBOE and generally disseminated at 15-
second intervals to major market data vendors.\8\
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    \8\ When VIX options and VXST options expire on the same day, as 
the calculator of volatility indexes, CBOE would not begin 
disseminating the spot (cash) values for any volatility index that 
CBOE calculates until the S&P 500 index option (SPX) series that 
CBOE will use to calculate the exercise settlement value for VIX 
options have opened. On all other VXST option expiration days, as 
the calculator of volatility indexes, CBOE would not begin 
disseminating the spot (cash) values for any volatility index that 
CBOE calculates until the S&P 500 index option series that CBOE will 
use to calculate the exercise settlement value for VXST options have 
opened. See CBOE Information Circular IC13-068, which CBOE will 
revise prior to the launch of trading VXST futures and VXST options.
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Options Trading
    VXST options would be quoted in index points and fractions and one 
point will equal $100. The minimum tick size for series trading below 
$3 would be 0.05 ($5.00) and above $3 will

[[Page 7241]]

be 0.10 ($10.00). The Exchange would be permitted to list up to 12 
near-term VXST option expiration weeks and new series would be 
permitted to be added up to and including on the last day of trading 
for an expiring VXST option contract.\9\ The trading hours for VXST 
options would be from 8:30 a.m. to 3:15 p.m. (Chicago time). Exhibit 3 
presents contract specifications for VXST options.
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    \9\ See proposed amendments to Rule 24.9(a)(2) and 24.9.01(c). 
The Exchange is proposing to permit new VXST series to be added up 
to and on the last day of trading for expiring contracts. This is 
similar to the series setting schedule for short-term (weekly) 
options, which may be added up to and including on their expiration 
date. See Rules 5.5(d)(4) and 24.9(a)(2)(A)(iv).
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    The Exchange is proposing to establish a strike price setting 
regime for VXST options similar to what is permitted for VIX options 
and, in part, what is permitted for short term option series (or weekly 
options) on volatility based-exchange traded products.\10\ 
Specifically, the Exchange proposes to permit $0.50 strike price (or 
greater) intervals for VXST options where the strike price is less than 
$75 because the Exchange believes that more granular strike price 
intervals will provide investors with greater flexibility by allowing 
them to establish positions that are better tailored to meet their 
investment objectives. Fifty cent strike price (or greater) intervals 
are currently permitted for VIX (and other volatility index) options 
where the strike price is less than $75.\11\ In addition, $0.50 strike 
price (or greater) intervals are permitted for short term options 
series (or weekly options) on volatility based exchange-traded 
products.\12\ Next, the Exchange proposes to permit $1 strike price (or 
greater) intervals for VXST options where the strike price is $200 or 
less. The Exchange notes that $1 strike price (or greater) intervals 
where the strike price is $200 or less are permitted for VIX options 
pursuant to Rule 24.9.01(l). Finally, the Exchange proposes to permit 
$5 strike price (or greater) intervals for VXST options whether [sic] 
the strike price is greater than $200. The Exchange notes that $5 
strike price (or greater) intervals where the strike price is more than 
$200 are permitted for VIX options pursuant to Rule 24.9.01(l).
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    \10\ See proposed Interpretation and Policy .01(i) to Rule 24.9 
permitting the described strike price interval setting regime.
    \11\ VIX options are used to calculate the CBOE VVIX index (aka 
``VIX of VIX'' index). Because VIX options are used to calculate a 
volatility index, $0.50 strike price intervals are permitted for VIX 
options where the strike price is less than $75. See Rule 24.9.12.
    \12\ The strike price interval for standard options on exchange-
traded products (``ETPs''), such as exchange-traded funds and 
exchange-traded notes, is $1 or greater where the strike price is 
$200 or less. See Rules 5.5.08 and 5.5.09. The strike price interval 
for ETP options that are in the short-term option series program (or 
weeklys program) may be $0.50 or greater where the strike price is 
less than $75. See Rule 5.5(d)(5). For example, $0.50 strike price 
intervals are permitted for weekly options on the iPath S&P 500 VIX 
Short-Term Futures ETN (``VXX''). The Exchange is not proposing to 
harmonize the strike price setting parameters for VXST options with 
weekly options, but instead is proposing to adopt a strike price 
setting regime similar to VIX options. The Exchange believes that 
market participants will expect the strikes price intervals for VXST 
options to be the same as permitted for VIX options. In addition, 
the Exchange believes that [sic] is desirable to have harmonized 
strike price interval rules for all of its volatility index options.
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    The Exchange is proposing to set forth the above described strike 
interval setting regime for VXST options in new Interpretation and 
Policy .01(i) to Rule 24.9. The Exchange is also proposing to add new 
Interpretation and Policy .23 to Rule 5.5, Series of Option Contracts 
Open for Trading, which would be an internal cross reference stating 
that the intervals between strike prices for VXST option series will be 
determined in accordance with proposed new Interpretation and Policy 
.01(i) to Rule 24.9.
    The Exchange is proposing to make a technical change to Rule 
24.9.12, which permits $0.50 and $1 strike price intervals for index 
options used to calculate volatility indexes. Specifically, the 
Exchange is proposing to add ``and $150'' to the rule text as those two 
words were inadvertently omitted from the proposed rule text changes to 
Rule 24.9.12 contained in original rule filing, but were described in 
detail in the purpose section.\13\
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    \13\ See Securities Exchange Act Release 64189 (April 5, 2011), 
76 FR 20066 (April 11, 2011) (order granting approval of proposed 
rule change to permit the listing of series within [sic] $0.50 and 
$1 strike price increments on certain options used to calculate 
volatility indexes) (SR-CBOE-2011-008).
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Exercise Settlement Value, Expiration Date and Last Trading Day
    The Exchange proposes to set forth in new subparagraph (a)(6) to 
Rule 24.9 that the exercise settlement value for the proposed VXST 
options would be calculated on the specific date (usually a Wednesday) 
identified in the option symbol for the series.\14\ If that Wednesday 
or the Friday in the business week following that Wednesday (i.e., nine 
days away) is an Exchange holiday, the exercise settlement value would 
be calculated on the business day immediately preceding the Wednesday.
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    \14\ Options symbols are made up of 17 to 21 characters, 
depending on the length of the symbol representing the underlying 
security. Symbols are constructed as follows: Symbol + Expiration 
Date (Year, Month, Day) + Call or Put + Strike Price (in dollars to 
three decimal places).
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    On the day the exercise settlement value is calculated for VXST 
options, modified Hybrid Opening System (``HOSS'') opening procedures 
would be used to calculate the exercise settlement value for VXST 
options.\15\ The Exchange recently amended Rule 6.2B.08 to establish 
modified HOSS opening procedures for all Hybrid classes and series used 
to calculate volatility indexes.\16\ The Exchange notes that Rule 
6.2B.01 sets forth similar procedures for Hybrid 3.0 classes that are 
used to calculate volatility indexes. As explained in more detail in 
SR-CBOE-2013-102, the different types of options on the S&P 500 index 
that will be used to calculate the VXST trade on different platforms, 
e.g., standard S&P 500 index options are Hybrid 3.0 series and EOW on 
the S&P 500 index are Hybrid series. As a result, Rules 6.2B.01 and 
6.2B.08 would apply to the constituent option series in the VXST, as 
relevant. Accordingly, CBOE is proposing to amend each of those rules 
to reflect this fact.
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    \15\ The main feature of the modified HOSS opening procedures is 
the strategy order cut-off time for the constituent option series 
that will be used to calculate the exercise settlement value of a 
volatility index.
    \16\ Securities Exchange Act Release No. 71073 (December 13, 
2013), 78 FR 76664 (December 18, 2013) (order approving SR-CBOE-
2013-102).
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    The exercise settlement value of a VXST option would be calculated 
by the Exchange as a Special Opening Quotation (``SOQ'') of VXST using 
the sequence of opening prices of the options that comprise the VXST 
index. The opening price for any series in which there is no trade 
would be the average of that option's bid price and ask price as 
determined at the opening of trading. The ``time to expiration'' used 
to calculate the SOQ shall account for the actual number of days and 
minutes until expiration for the constituent option series. For 
example, if the Exchange announces that the opening of trading in the 
constituent option series is delayed, the amount of time until 
expiration for the constituent option series used to calculate the 
exercise settlement value would be reduced to reflect the actual 
opening time of the constituent option series. Another example would be 
when the Exchange is closed on a Wednesday due to an Exchange holiday, 
the amount of time until expiration for the constituent option series 
used to calculate the exercise settlement value would be increased to 
reflect the extra day of trading in the constituent option series.

[[Page 7242]]

    The expiration date of a VXST option would be on the same day that 
the exercise settlement value of the VXST option is calculated. The 
last trading day for a VXST option would be the business day 
immediately preceding the expiration date of the VXST option (typically 
a Tuesday). For example, the Dec 10 14 VXST option would expire on 
Wednesday, December 10, 2014 and trading in that expiring contract 
would cease at 3:15 p.m. (Chicago time) on Tuesday, December 9, 2014. 
When the last trading day is moved because of an Exchange holiday, the 
last trading day for an expiring VXST option contract would be the day 
immediately preceding the last regularly scheduled trading day.
    Exercise would result in delivery of cash on the business day 
following expiration. VXST options would be A.M.-settled.\17\ The 
exercise-settlement amount would be equal to the difference between the 
exercise-settlement value and the exercise price of the option, 
multiplied by $100.
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    \17\ See proposed amendment to Rule 24.9(a)(4) (adding VXST to 
the list of A.M.-settled index options approved for trading on the 
Exchange). The Exchange is also proposing to make a technical change 
to this rule to distinguish existing 30-day volatility period 
contracts from VXST options.
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Position and Exercise Limits
    The Exchange is not proposing to establish any position and 
exercise limits for VXST options.\18\ Because the VXST is calculated 
using options on the S&P 500 Index (for which there are no position and 
exercise limits) the Exchange believes that VXST options should 
similarly have not [sic] position and exercise limits. In addition, the 
Exchange notes that VIX options also do not have position and exercise 
limits. Exercise limits for VXST options would be the equivalent to the 
proposed position limits. VXST options will be subject to the same 
reporting requirements triggered for other options dealt in on the 
Exchange.\19\
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    \18\ See proposed amendment to Rules 24.4, Position Limits for 
Broad-Based Index Options, and 24.5, Exercise Limits (adding VXST to 
the list of products for which there are no position limits and no 
exercise limits, respectively).
    \19\ See proposed amendments to Interpretations and Policies 
.03, Reporting Requirement, and .04, Margin and Clearing Firm 
Requirements, to Rule 24.4 (adding VXST to each of these 
provisions).
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Margin
    The Exchange proposes that VXST options be margined as ``broad-
based index'' options, and under CBOE rules, especially, Rule 
12.3(c)(5)(A), the margin requirement for a short put or call shall be 
100% of the current market value of the contract plus up to 15% of the 
``product of the current index group value and the applicable index 
multiplier.'' Additional margin may be required pursuant to Rules 
12.3(h) and 12.10, Margin Required is Minimum.
Exchange Rules Applicable
    Except as modified herein, the rules in Chapters I through XIX and 
Chapter XXIV would equally apply to VXST options.
Capacity
    CBOE has analyzed its capacity and represents that it believes the 
Exchange and the Options Price Reporting Authority (``OPRA'') have the 
necessary systems capacity to handle the additional traffic associated 
with the listing of new series that would result from the introduction 
of VXST options. The Exchange notes that VXST options would expire 
weekly and the Exchange is proposing to permit the listing of up to 12 
expirations at one time. In comparison, over 300 classes participate in 
the industry wide weekly option series program and the Exchange and 
OPRA have been able to handle and absorb the traffic associated with 
that program (which continues to expand and increase). Because the 
proposal is limited to a single class and a maximum number of 
expirations that may be listed at one time, the Exchange believes that 
the additional traffic that would be generated from VXST options will 
be manageable.
Surveillance
    The Exchange would use the same surveillance procedures currently 
utilized for each of the Exchange's other index options to monitor 
trading in VXST options. The Exchange would also utilize enhanced 
surveillance procedures at expiration, several of which would be 
automated. The Exchange further represents that these surveillance 
procedures shall be adequate to monitor trading in VXST options. For 
surveillance purposes, the Exchange would have complete access to 
information regarding trading activity in the pertinent underlying 
securities.
2. Statutory Basis
    The Exchange believes the proposed rule change is consistent with 
the Act and the rules and regulations thereunder applicable to the 
Exchange and, in particular, the requirements of Section 6(b) of the 
Act.\20\ Specifically, the Exchange believes the proposed rule change 
is consistent with the Section 6(b)(5) \21\ requirements that the rules 
of an exchange be designed to promote just and equitable principles of 
trade, to prevent fraudulent and manipulative acts, to remove 
impediments to and to perfect the mechanism for a free and open market 
and a national market system, and, in general, to protect investors and 
the public interest.
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    \20\ 15 U.S.C. 78f(b).
    \21\ 15 U.S.C. 78f(b)(5).
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    Specifically, the Exchange believes that there is an unmet market 
demand for options that expire each week that measure a short-term 
volatility period. As described above, VXST options are designed to 
respond to that unmet market demand and CBOE believes that VXST options 
will provide an opportunity for investors to hedge or speculate on the 
market risk associated with change in implied volatility that measure a 
nine day period.
    The success of CBOE's VIX options that measure a 30 day period 
illustrate the prominence that volatility products have taken over the 
past several years. CBOE seeks to enlarge its suite of volatility 
products by introducing a new volatility index option that will provide 
investors with a contract that expires every week that measures a 
shorter volatility duration than existing VIX options. CBOE believes 
that VXST options will provide investors with additional opportunities 
to manage volatility risk that ranges over different time periods.
    CBOE has many years of history and experience in conducting 
surveillance for volatility index options trading to draw from in order 
to detect manipulative trading in the proposed VXST options. 
Additionally, the Exchange represents that it has the necessary systems 
capacity to support the introduction of VXST options.
    The Exchange believes that the proposed strike interval setting 
regime is designed to promote just and equitable principles of trade 
and is consistent with the strike interval setting regimes for other 
volatility index options and, in part, for other weekly products. In 
fact, the Exchange believes that the establishment of the proposed 
ability to list $.50 (or greater) strike price intervals where the 
strike price is less than $75 is needed for competitive reasons because 
it will allow the Exchange to list strike price intervals for VXST 
options at the same level of granularity permitted for competitor 
products, such as weekly VXX options. Additionally, the Exchange 
believes that it [sic] desirable to have strike price setting regimes 
that are harmonized for all volatility index options.

B. Self-Regulatory Organization's Statement on Burden on Competition

    CBOE does not believe that the proposed rule change will impose any

[[Page 7243]]

burden on competition not necessary or appropriate in furtherance of 
the purposes of the Act. Specifically, CBOE believes that the 
introduction of a new volatility index option product will enhance 
competition among market participants and will provide a new type of 
weekly expiration that can compete with products such as VXX weekly 
options 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

    No written comments were solicited or received with respect to the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the Exchange consents, the Commission will:
    A. By order approve or disapprove such proposed rule change, or
    B. institute proceedings to determine whether the proposed rule 
change should be 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-2014-003 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-CBOE-2014-003. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549, on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of the filing also will be available 
for inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-CBOE-2014-003 and should be 
submitted on or before February 27, 2014.
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    \22\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\22\
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-02504 Filed 2-5-14; 8:45 am]
BILLING CODE 8011-01-P


