
[Federal Register Volume 80, Number 217 (Tuesday, November 10, 2015)]
[Notices]
[Pages 69751-69755]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-28516]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-76353; File No. SR-CBOE-2015-100]


Self-Regulatory Organizations; Chicago Board Options Exchange, 
Incorporated; Notice of Filing of a Proposed Rule Change To List and 
Trade Options That Overlie a Reduced Value of the FTSE 100 Index

November 4, 2015.
    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 October 30, 2015, 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, II, and III below, which Items have been prepared by the 
Exchange. 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.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange is proposing to amend its rules to list and trade 
options that overlie a reduced value of the FTSE 100 Index.
    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'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 purpose of this proposed rule change is to permit the Exchange 
to list and trade options that overlie the FTSE 100 Index (``FTSE 100 
options''). FTSE 100 options would be A.M., cash-settled contracts with 
European-style exercise.
FTSE 100 Index Design, Methodology and Dissemination
    The FTSE 100 Index is a free float-adjusted market capitalization 
index that is designed to measure the performance of the 100 largest 
companies traded on the London Stock Exchange and valued in the British 
pound (``GBP'').\3\ The Exchange notes that the Commission previously 
approved for the Exchange, International Securities Exchange (``ISE''), 
and NYSE Arca, Inc. (``NYSE

[[Page 69752]]

Arca'') to list reduced value index options on the FTSE 100 Index.\4\ 
Although the Exchange previously received approval to list FTSE 100 
Index options, the Exchange is taking the opportunity to amend its 
rules to, among other things, specifically identify the listing 
criteria applicable to FTSE 100 options.
---------------------------------------------------------------------------

    \3\ The FTSE 100 Index is a market-capitalization weighted index 
of UK-listed blue chip companies which is valued on the British 
pound. The index is part of the FTSE UK Series and is designed to 
measure the performance of the 100 largest companies traded on the 
London Stock Exchange that pass screening for size and liquidity. 
FTSE 100 constituents are all traded on the London Stock Exchange's 
SETS trading system. See FTSE 100 Index fact sheet (dated August 31, 
2015) located at: http://www.ftse.com/Analytics/FactSheets/Home/DownloadSingleIssue?issueName=UKX.
    \4\ See Securities Exchange Act Release No. 29722 (September 23, 
1991), 56 FR 49807 (October 1, 1991) (order approving SR-CBOE-91-
07); Securities Exchange Act Release No. 53484 (March 14, 2006) 71 
FR 14268 (March 21, 2006) (order approving SR-ISE-2005-25); and 
Securities Exchange Act Release No. 58008 (June 24, 2008) 73 FR 
36945 (June 30, 2008) (order approving SR-NYSEArca-2008-61).
---------------------------------------------------------------------------

    The FTSE 100 Index was launched on January 3, 1984, and is 
calculated by FTSE International Limited (``FTSE''), which is a 
provider of investment support tools. The FTSE 100 Index is calculated 
and published on a real-time basis in British pounds during U.K. and 
U.S. trading hours: from 2:00-10:30 a.m. (Chicago time) the real-time 
index is calculated using real time prices of the securities. At 10:30 
a.m. (Chicago time) the real time index closes using the closing prices 
from the London Stock Exchange. Thus, between 10:30 a.m. and 3:15 p.m. 
(Chicago time) the FTSE 100 Index level is a static value that market 
participants can access via data vendors.
    The methodology used to calculate the FTSE 100 Index is similar to 
the methodology used to calculate the value of other benchmark market-
capitalization weighted indexes. Specifically, the FTSE 100 Index is 
governed by the Ground Rules for the FTSE UK Index Series.\5\ The level 
of the FTSE 100 Index reflects the free float-adjusted market value of 
the component stocks relative to a particular base date and is computed 
by dividing the total market value of the companies in the FTSE 100 
Index by the index divisor.
---------------------------------------------------------------------------

    \5\ Summary and comprehensive information about the FTSE 100 
Index methodology may be reviewed at: http://www.ftse.com/products/downloads/FTSE_UK_Index_Series.pdf?78.
---------------------------------------------------------------------------

    The FTSE 100 Index is monitored and maintained by FTSE. Adjustments 
to the FTSE 100 Index could be made on a daily basis with respect to 
corporate events and dividends. FTSE reviews the FTSE 100 Index 
quarterly (March, June, September and December) according to rules for 
inserting and deleting companies that ``are designed to provide 
stability in the selection of constituents of the FTSE UK Index Series 
while ensuring that the Indexes continue to be representative of the 
market by including or excluding those companies which have risen or 
fallen significantly.'' \6\
---------------------------------------------------------------------------

    \6\ See id.
---------------------------------------------------------------------------

    Real-time data is distributed at least every 15 seconds while the 
index is being calculated using FTSE's real-time calculation engine to 
Bloomberg L.P. (``Bloomberg''), Thomson Reuters (``Reuters'') and other 
major vendors. End of day data is distributed daily to clients through 
FTSE as well as through major quotation vendors, including Bloomberg 
and Reuters.
    The Exchange proposes to base trading in options on a fraction of 
the full size of the FTSE 100 Index. In particular, the Exchange 
proposes to list FTSE 100 options that are based on one one-tenth of 
the value of the FTSE 100 Index. The Exchange believes that listing 
options on the reduced value of the index will attract a greater source 
of customer business than if options were based on the full value of 
the FTSE 100 Index. The Exchange further believes that listing options 
on a reduced value of the index will provide an opportunity for 
investors to hedge, or speculate on, the market risk associated with 
the stocks comprising the FTSE 100 Index. Additionally, by reducing the 
value of the FTSE 100 Index, investors will be able to use this trading 
vehicle while extending a smaller outlay of capital. The Exchange 
believes this should attract additional investors, and, in turn, create 
a more active and liquid trading environment.
Initial and Maintenance Listing Criteria
    The FTSE 100 Index meets the definition of a broad-based index as 
set forth in Rule 24.1(i)(1).\7\ In addition, the Exchange proposes to 
create specific initial and maintenance listing criteria for options on 
the FTSE 100 Index. Specifically, the Exchange proposes to add new 
Interpretation and Policy .02(a) to Rule 24.2, Designation of the 
Index, to provide that the Exchange may trade FTSE 100 options if each 
of the following conditions is satisfied: (1) The index is broad-based, 
as defined in Rule 24.1(i)(1); (2) Options on the index are designated 
as A.M.-settled index options; (3) The index is capitalization-
weighted, price-weighted, modified capitalization-weighted or equal 
dollar-weighted; (4) The index consists of 90 or more component 
securities; (5) Each of the component securities of the index will have 
a market capitalization of greater than $100 million; (6) No single 
component security accounts for more than fifteen percent (15%) of the 
weight of the index, and the five highest weighted component securities 
in the index do not, in the aggregate, account for more than fifty 
percent (50%) of the weight of the index; (7) Non-U.S. component 
securities (stocks or ADRs) that are not subject to comprehensive 
surveillance agreements do not, in the aggregate, represent more than 
twenty percent (20%) of the weight of the FTSE 100 Index; (8) During 
the time options on the index are traded on the Exchange, the current 
index value is widely disseminated at least once every fifteen (15) 
seconds by one or more major market data vendors. However, the Exchange 
may continue to trade FTSE 100 options after trading in all component 
securities has closed for the day and the index level is no longer 
widely disseminated at least once every fifteen (15) seconds by one or 
more major market data vendors, provided that FTSE 100 futures 
contracts are trading and prices for those contracts may be used as a 
proxy for the current index value; (9) The Exchange reasonably believes 
it has adequate system capacity to support the trading of options on 
the index, based on a calculation of the Exchange's current Independent 
System Capacity Advisor (ISCA) allocation and the number of new 
messages per second expected to be generated by options on such index; 
and (10) The Exchange has written surveillance procedures in place with 
respect to surveillance of trading of options on the index.
---------------------------------------------------------------------------

    \7\ Rule 24.1(i)(1) defines a broad-based index to mean an index 
designed to be representative of a stock market as a whole or of a 
range of companies in unrelated industries.
---------------------------------------------------------------------------

    Additionally, the Exchange proposes to add new Interpretation and 
Policy .02(b) to Rule 24.2, Designation of the Index, to set forth the 
following maintenance listing standards for options on the FTSE 100 
Index: (1) The conditions set forth in subparagraphs .02(a) (1), (2), 
(3), (4), (7), (8), (9) and (10) must continue to be satisfied. The 
conditions set forth in subparagraphs .02(a)(5) and (6) must be 
satisfied only as of the first day of January and July in each year; 
and (2) The total number of component securities in the index may not 
increase or decrease by more than ten percent (10%) from the number of 
component securities in the index at the time of its initial listing. 
In the event a class of index options listed on the Exchange fails to 
satisfy the maintenance listing standards set forth herein, the 
Exchange shall not open for trading any additional series of options of 
that class unless the continued listing of that class of index options 
has been approved by the Commission under Section 19(b)(2) of the 
Exchange Act.
    The Exchange believes that A.M. settlement is appropriate for FTSE 
100 options due to the nature of the index that encompasses the U.K. 
market. The components of the FTSE 100 Index open

[[Page 69753]]

with the start of trading on the London Stock Exchange at approximately 
2:00 a.m. (Chicago time) and close with the end of trading on the 
London Stock Exchange at approximately 10:30 a.m. (Chicago time). As 
noted above, from 2:00-10:30 a.m. (Chicago time) the FTSE 100 Index 
level is calculated using real time prices of the securities. At 10:30 
a.m. (Chicago time) the real time index closes using the closing prices 
from the London Stock Exchange. Thus, between 10:30 a.m. and 3:15 p.m. 
(Chicago time) the FTSE 100 Index level is a static value that market 
participants can access via data vendors.
    As a result, the FTSE 100 Index level will not be calculated using 
real time prices of the constituent securities during a portion of the 
day when options are trading, specifically between 10:30 a.m. and 3:15 
p.m. (Chicago time).\8\ However, the futures contracts based on the 
FTSE 100 Index that trade on CME will be trading during this time 
period.\9\ The Exchange believes that the FTSE 100 futures prices would 
be a proxy for the current FTSE 100 Index level. Therefore, the 
Exchange believes that FTSE 100 options should be permitted to trade 
after trading in all component securities has closed for the day and 
the index level is no longer widely disseminated at least once every 
fifteen (15) seconds by one or more major market data vendors, provided 
that FTSE 100 futures contracts are trading and prices for those 
contracts may be used as a proxy for the current index value.
---------------------------------------------------------------------------

    \8\ The trading hours for FTSE 100 options are from 8:30 a.m. 
(Chicago time) to 3:15 p.m. (Chicago time).
    \9\ The trading hours for E-Mini FTSE 100 Index futures are from 
5:00 p.m. (Chicago time) to 4:00 p.m. (Chicago time) the following 
day, Sunday through Friday. See E-Mini FTSE 100 Index Future 
Contract specifications located at: http://www.cmegroup.com/education/files/e-mini-ftse-100-index-futures.pdf. CME lists E-mini 
FTSE 100 Index futures denominated in GBP and USD. The Exchange 
believes that either futures contract--GBP or USD--would be a 
sufficient proxy for FTSE 100 options.
---------------------------------------------------------------------------

    Because the FTSE 100 Index is comprised of 100 of the largest 
companies traded on the London Stock Exchange, the Exchange believes 
that the initial listing requirements are appropriate to trade options 
on this index. In addition, similar to other broad based indexes, the 
Exchange proposes various maintenance requirements, which require 
continual compliance and periodic compliance.
Options Trading
    Exhibit 3 presents contract specifications for FTSE 100 options.
    The contract multiplier for FTSE 100 options would be $100. FTSE 
100 options would be quoted in index points and one point would equal 
$100. The minimum tick size for series trading below $3 would be 0.05 
($5.00) and at or above $3 will be 0.10 ($10.00).
    Initially, the Exchange would list in-, at- and out-of-the-money 
strike prices. Additional series may be opened for trading as the 
underlying index level moves up or down.\10\ The minimum strike price 
interval for FTSE 100 options series would be 2.5 points if the strike 
price is less than 200. When the strike price is 200 or above, strike 
price intervals would be no less than 5 points.\11\ New series would be 
permitted to be added up to the fifth business day prior to 
expiration.\12\
---------------------------------------------------------------------------

    \10\ See Rules 24.9(d) and 24.9.04. These rules set forth the 
criteria for listing additional series of the same class as the 
current value of the underlying index moves. Generally, additional 
series must be ``reasonably related'' to the current index value, 
which means that strike prices must be within 30% of the current 
index value. Series exceeding the 30% range may be listed based on 
demonstrated customer interest.
    \11\ See proposed amendments to Rule 24.9.01(a) adding FTSE 100 
options as a class eligible for 2.5 point minimum strike intervals 
if the strike price is below 200.
    \12\ See Rule 24.9.01(c).
---------------------------------------------------------------------------

    The Exchange would be permitted to list up to twelve near-term 
expiration months.\13\ The Exchange would also be permitted to list up 
to ten expirations in Long-Term Index Option Series (``LEAPS'') on the 
FTSE 100 Index and the index would be eligible for all other 
expirations permitted for other broad-based index options, e.g., End of 
Week/End of Month Expirations, Short Term Option Series and Quarterly 
Option Series.\14\
---------------------------------------------------------------------------

    \13\ See proposed amendments to Rule 24.9(a)(2). The Exchange is 
proposing to allow the listing of up to twelve expiration months at 
any one time for FTSE 100 options.
    \14\ See e.g., Rules 24.9(b) (LEAPS), 24.9(e) (End of Week/End 
of Month Expirations), 24.9(a)(2)(A) (Short Term Option Series) and 
24.9(a)(2)(B) (Quarterly Option Series).
---------------------------------------------------------------------------

    The trading hours for FTSE 100 options would be from 8:30 a.m. 
(Chicago time) to 3:15 p.m. (Chicago time).\15\
---------------------------------------------------------------------------

    \15\ See Rule 24.6.
---------------------------------------------------------------------------

Exercise and Settlement
    The proposed FTSE 100 options would expire on the third Friday of 
the expiring month.\16\ Trading in expiring FTSE 100 options would 
cease at 3:15 p.m. (Chicago time) one business day prior (usually a 
Thursday) to the day on which the exercise-settlement value is 
calculated (usually a Friday). When the last trading day/expiration 
date is moved because of an Exchange holiday or closure, the last 
trading day/expiration date for expiring options would be the 
immediately preceding business day.
---------------------------------------------------------------------------

    \16\ See proposed Rule 24.9(a)(3)(listing the reduced value FTSE 
100 Index as a European-style index option approved for trading on 
the Exchange).
---------------------------------------------------------------------------

    Exercise would result in delivery of cash on the business day 
following expiration. FTSE 100 options would be A.M.-settled, in that 
the expiring contract would cease trading on the business day (usually 
a Thursday) before the expiration date (generally a Friday).\17\ The 
exercise settlement value would be one-tenth (1/10th) of the FTSE 100 
Index calculated via an intra-day auction on the London Stock Exchange 
that is held on the morning of the expiration date (generally a 
Friday).\18\
---------------------------------------------------------------------------

    \17\ See proposed amendment to Rule 24.1.01 to identify FTSE 
International Limited as the Reporting Authority for the FTSE 100 
Index. As the designated Reporting Authority for the index, the 
disclaimers set forth in Rule 24.14 (Disclaimers) would apply to 
FTSE International Limited.
    \18\ See proposed amendment to Rule 24.9(a)(4) to specify that 
for FTSE 100 options the current index value at expiration is based 
on intra-day auction prices of the underlying securities on the last 
trading day. The last day of trading continues to be the business 
day preceding the last day of trading in the underlying securities 
prior to expiration because the business day preceding the last day 
of trading in the underlying securities is (generally) Thursday 
Chicago time and the last day of trading in the underlying 
securities is (generally) Friday Chicago time.
---------------------------------------------------------------------------

    The exercise settlement amount would be equal to the difference 
between the exercise-settlement value and the exercise price of the 
option, multiplied by the contract multiplier ($100).
    If the exercise settlement value is not available or the normal 
settlement procedure cannot be utilized due to a trading disruption or 
other unusual circumstance, the settlement value would be determined in 
accordance with the rules and bylaws of The Options Clearing 
Corporation (``OCC'').\19\
---------------------------------------------------------------------------

    \19\ See Rule 24.7.
---------------------------------------------------------------------------

Position and Exercise Limits
    The Exchange proposes to apply the default position limits for 
broad-based index options to FTSE 100 options. Specifically, the chart 
set forth in Rule 24.4(a), Position Limits for Broad-Based Index 
Options, provides that the positions limits applicable to ``other 
broad-based indexes'' is 25,000 contracts (standard limit/on the same 
side of the market) and 15,000 contracts (near-term limit). Pursuant to 
Rule 24.5, Exercise Limits, the exercise limits for FTSE 100 options 
would be equivalent to the position limits for FTSE 100 options. All 
position limit hedge exemptions would apply.

[[Page 69754]]

Margin
    The Exchange proposes that FTSE 100 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 15% of the 
``product of the current index group value and the applicable index 
multiplier,'' reduced by any out-of-the-money amount. There would be a 
minimum margin requirement of 100% of the current market value of the 
contract plus: 10% of the aggregate put exercise price amount in the 
case of puts, and 10% of the product of the current index group value 
and the applicable index multiplier in the case of calls. Additional 
margin may be required pursuant to Rules 12.3(h) and 12.10 (Margin 
Required is Minimum).
    The Exchange believes that FTSE 100 options are an eligible product 
for portfolio margining under CBOE Rule 12.4. Accordingly, the Exchange 
proposes that FTSE 100 options be allowed in portfolio margin accounts. 
CBOE proposes that the FTSE 100 Index be treated as a high-
capitalization, broad-based index and that a new Product Group be 
established in which to house a FTSE 100 Index Class Group. This new 
Product Group would be referred to as the ``United Kingdom Indexes 
Product Group. The assumed market moves utilized for the new Product 
Group would be -8%/+6%, with a 100% offset of gains and losses between 
products in the same Class Group. With respect to a percentage offset 
between Class Groups within the United Kingdom Indexes Product Group, 
none would be specified at this time given that the FTSE 100 Index 
would be the only Class Group.\20\
---------------------------------------------------------------------------

    \20\ A table detailing the currently existing portfolio 
margining Product Groups and their component class groups can be 
found at http://www.optionsclearing.com/components/docs/risk-management/cpm/cpm_parameters.pd.
---------------------------------------------------------------------------

Exchange Rules Applicable
    Except as modified herein, the rules in Chapters I through XIX, 
XXIV, XXIVA, and XXIVB would equally apply to FTSE 100 options. FTSE 
100 options would be subject to the same rules that currently govern 
other CBOE index options, including sales practice rules,\21\ margin 
requirements \22\ and trading rules.\23\
---------------------------------------------------------------------------

    \21\ See Chapter IX (Doing Business with the Public).
    \22\ See Chapter XII (Margins).
    \23\ See e.g., Chapters IV (Business Conduct), VI (Doing 
Business on the Exchange Floor), Chapter VIII (Market-Makers, 
Trading Crowds and Modified Trading Systems) and Chapter XXIV (Index 
Options).
---------------------------------------------------------------------------

    The Exchange hereby designates FTSE 100 options as eligible for 
trading as Flexible Exchange Options as provided for in Chapters XXIVA 
(Flexible Exchange Options) and XXIVB (FLEX Hybrid Trading System).\24\
---------------------------------------------------------------------------

    \24\ See proposed amendments to Rules 24A.7, Position Limits and 
Reporting Requirements, and 24B.7, Position Limits and Reporting 
Requirements, providing that the position limits for FLEX Index 
options on the FTSE 100 Index would be equal to the position limits 
for Non-FLEX options on the index. Per existing Rules 24A.8, 
Exercise Limits, and 24B.8, Exercise Limits, the exercise limits for 
FLEX FTSE 100 options would be equivalent to the position limits for 
FLEX FTSE 100 options.
---------------------------------------------------------------------------

Surveillance and Capacity
    The Exchange represents that is has an adequate surveillance 
program in place for FTSE 100 options and intends to use the same 
surveillance procedures currently utilized for each of the Exchange's 
other index options to monitor trading in FTSE 100 options.
    The Exchange is a member of the Intermarket Surveillance Group 
(``ISG''), which ``is comprised of an international group of exchanges, 
market centers, and market regulators.'' \25\ The purpose of the ISG is 
to provide a framework for the sharing of information and the 
coordination of regulatory efforts among exchanges trading securities 
and related products to address potential intermarket manipulations and 
trading abuses. The ISG plays a crucial role in information sharing 
among markets that trade securities, options on securities, security 
futures products, and futures and options on broad-based security 
indexes. A list identifying the current ISG members is available at: 
https://www.isgportal.org/home.html.
---------------------------------------------------------------------------

    \25\ See Intermarket Surveillance Group Web site, available at 
https://www.isgportal.org/home.html.
---------------------------------------------------------------------------

    The Exchange is also an affiliate member of the International 
Organization of Securities Commissions (``IOSCO''), which has members 
from over 100 different countries. The United Kingdom's Financial 
Conduct Authority, the regulator of the market on which the constituent 
securities trade, is also a member of IOSCO.\26\ A list identifying the 
current ordinary IOSCO members is available at: http://www.iosco.org/about/?subsection=membership&memid=1. Finally, the Exchange has entered 
into various comprehensive surveillance agreements (``CSAs'') and/or 
Memoranda of Understanding with various stock exchanges, including the 
London Stock Exchange. Given the capitalization of the FTSE 100 Index 
and the deep and liquid markets for the securities underlying this 
Index, the concerns for market manipulation and/or disruption in the 
underlying markets are greatly reduced.
---------------------------------------------------------------------------

    \26\ There are three categories of IOSCO members: Ordinary, 
associate and affiliate. In general, the ordinary members (124) are 
the national securities commissions in their respective 
jurisdictions. Associate members (17) are usually agencies or 
branches of government, other than the principal national securities 
regulator in their respective jurisdictions that have some 
regulatory competence over securities markets, or intergovernmental 
international organizations and other international standard-setting 
bodies, such as the IMF and the World Bank, with a mission related 
to either the development or the regulation of securities markets. 
Affiliate members (64) are self-regulatory organizations, stock 
exchanges, financial market infrastructures, investor protection 
funds and compensation funds, and other bodies with an appropriate 
interest in securities regulation. See IOSCO Fact Sheet located at: 
http://www.iosco.org/about/pdf/IOSCO-Fact-Sheet.pdf.
---------------------------------------------------------------------------

    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 FTSE 100 options. Because the proposal is limited to one new class, 
the Exchange believes that the additional traffic that would be 
generated from the introduction of FTSE 100 options would be 
manageable.
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.\27\ Specifically, the 
Exchange believes the proposed rule change is consistent with the 
Section 6(b)(5) \28\ 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.
---------------------------------------------------------------------------

    \27\ 15 U.S.C. 78f(b).
    \28\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes that the proposed rule change will further 
the Exchange's goal of introducing new and innovative products to the 
marketplace. Currently, the Exchange believes that there is unmet 
market demand for exchange-listed security options listed on this 
popular cash index. As described above, E-Mini FTSE 100 Index futures 
are listed for trading on CME. In addition, other derivatives contracts 
on the FTSE 100 Index are listed for trading in Europe (e.g., Borsa 
Italiana).\29\ As a result, CBOE believes

[[Page 69755]]

that FTSE 100 options are designed to provide different and additional 
opportunities for investors to hedge or speculate on the market risk on 
the FTSE 100 Index by listing an option directly on the FTSE 100 Index.
---------------------------------------------------------------------------

    \29\ See Fact Sheet for FTSE 100 Mini-Futures traded on the 
Borsa Italiana, available at https://www.lseg.com/sites/default/files/content/documents/%E2%80%A2LSEG_ITA_Products_Factsheet_v10.pdf.
---------------------------------------------------------------------------

    The Exchanges believes that the FTSE 100 Index is not easily 
susceptible to manipulation. The index is a broad-based index and has 
high market capitalizations. The FTSE 100 Index is comprised of 100 of 
the largest companies traded on the London Stock Exchange and no single 
component comprises more than 10% of the index, making it not easily 
subject to market manipulation.
    Additionally, because the index has 100 of the largest and most 
liquid stocks listed on the London Stock Exchange, the Exchange 
believes that the initial listing requirements are appropriate to trade 
options on the index. In addition, similar to other broad-based 
indexes, the Exchange proposes to adopt various maintenance criteria, 
which would require continual compliance and periodic compliance.
    FTSE 100 options would be subject to the same rules that currently 
govern other CBOE index options, including sales practice rules,\30\ 
margin requirements \31\ and trading rules.\32\ The Exchange would 
apply the same default position limits for broad-based index options to 
FTSE 100 options. Specifically, the applicable position limits would be 
25,000 contracts (standard limit/on the same side of the market) and 
15,000 contracts (near-term limit). The exercise limit for FTSE 100 
options would be equivalent to the position limit for FTSE 100 options. 
These same position and exercise limits would apply to FLEX trading. 
All position limit hedge exemptions would apply. The Exchange would 
apply existing index option margin requirements for the purchase and 
sale of FTSE 100 options.
---------------------------------------------------------------------------

    \30\ See Chapter IX (Doing Business with the Public).
    \31\ See Chapter XII (Margins).
    \32\ See e.g., Chapters IV (Business Conduct), VI (Doing 
Business on the Exchange Floor), Chapter VIII (Market-Makers, 
Trading Crowds and Modified Trading Systems) and Chapter XXIV (Index 
Options).
---------------------------------------------------------------------------

    The Exchange represents that it has an adequate surveillance 
program in place for FTSE 100 options. The Exchange also represents 
that it has the necessary systems capacity to support the new option 
series.

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

    CBOE does not believe that the proposed rule change will impose any 
burden on competition not necessary or appropriate in furtherance of 
the purposes of the Act. Specifically, CBOE believes that the 
introduction of new cash index options will enhance competition among 
market participants and will provide a new type of options to compete 
with FTSE 100 futures and European-traded derivatives on the FTSE 100 
Index 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-2015-100 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-2015-100. 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-2015-100 and should be 
submitted on or before December 1, 2015.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\33\
---------------------------------------------------------------------------

    \33\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Brent J. Fields,
Secretary.
[FR Doc. 2015-28516 Filed 11-9-15; 8:45 am]
 BILLING CODE 8011-01-P


