
[Federal Register Volume 81, Number 72 (Thursday, April 14, 2016)]
[Notices]
[Pages 22138-22140]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-08557]


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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-77570; File No. SR-CBOE-2016-028]


Self-Regulatory Organizations; Chicago Board Options Exchange, 
Incorporated; Notice of Filing and Immediate Effectiveness of a 
Proposed Rule Change Relating to Rule 6.1A

April 8, 2016.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on April 4, 2016, 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 and II 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 proposed to amend Rule 6.1A related to Extended 
Trading Hours. The text of the proposed rule change is provided below.

(additions are italicized; deletions are [bracketed])
* * * * *

Chicago Board Options Exchange, Incorporated Rules

* * * * *

Rule 6.1A. Extended Trading Hours

    (a)-(j) No change.
    (k) Index Values. While it may not be calculated and disseminated 
at all times during Extended Trading Hours, current values of VIX will 
be widely disseminated at least once every fifteen

[[Page 22139]]

(15) seconds by the Options Price Reporting Authority or one or more 
major market vendors during that trading session. [The Exchange will 
not report a]No current index value [of an index ]underlying any other 
index option trading during Extended Trading Hours[, because the value 
of the underlying index] will [not be recalculated]be disseminated 
during or at the close of [Extended Trading Hours]that trading session.
* * * * *
    The text of the proposed rule change is also available on the 
Exchange's Web site (http://www.cboe.com/AboutCBOE/CBOELegalRegulatoryHome.aspx), at the Exchange's Office of the 
Secretary, and at the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The Exchange has prepared summaries, set forth in 
sections A, B, and C below, of the most significant aspects of such 
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to amend Rule 6.1A regarding Extended Trading 
Hours.\3\ Current Rule 6.1A(k) states the Exchange will not report a 
value of an index underlying an index option trading during Extended 
Trading Hours, because the value of the underlying index will not be 
recalculated during or at the close of Extended Trading Hours. 
Currently, there are two indexes underlying options approved for 
trading during Extended Trading Hours: the Standard & Poor's 500 (``S&P 
500'') (underlying options on the S&P 500 (SPX), p.m.-settled options 
on the S&P 500 (SPXPM) and options on the mini-SPX index (XSP)), and 
the CBOE Volatility Index (``VIX'') (underlying options on the VIX).\4\ 
The reporting authorities for these indexes currently do not calculate 
index values during Extended Trading Hours, and thus the Exchange 
determined it would not be useful or efficient to disseminate to 
Trading Permit Holders the same value repeatedly at frequent intervals. 
However, it is possible that one or more reporting authorities may 
begin to calculate and disseminate index values during these hours.
---------------------------------------------------------------------------

    \3\ Currently, Extended Trading Hours are 2:00 a.m. to 8:15 a.m. 
Central time.
    \4\ Currently, SPX, SPXPM and VIX options are listed for trading 
during Extended Trading Hours (no XSP series are currently listed).
---------------------------------------------------------------------------

    CBOE, in its capacity as reporting authority for VIX, recently 
announced plans to calculate and make available current values of VIX 
every 15 seconds during Extended Trading Hours in March 2016. In order 
to contemplate this Extended Trading Hours index calculation, the 
proposed rule change amends Rule 6.1A(k) to provide while it may not be 
calculated and disseminated at all times during Extended Trading 
Hours,\5\ current values of VIX will be widely disseminated at least 
once every fifteen (15) seconds by the Options Price Reporting 
Authority (``OPRA'') \6\ or one or more major market vendors during 
that trading session.\7\ To the extent the reporting authority for an 
index underlying an index option trading during Extended Trading Hours 
does not calculate or make available current values of that index 
during that trading session (or part thereof), no current index value 
will be disseminated during Extended Trading Hours (which is the case 
today).
---------------------------------------------------------------------------

    \5\ There may be times when a current value is not available, 
such as if CBOE (as reporting authority) does not begin making 
current index values available until after a certain amount of time 
has passed following the open of the Extended Trading Hours trading 
session (for example, to ensure sufficient quotes in series used to 
calculate the index values) or if there are technical issues 
preventing CBOE (as reporting authority) from calculating index 
values. During the times the current value of VIX is not available 
(and thus not disseminated) during Extended Trading Hours, VIX 
options may continue to be listed for trading during that trading 
session (as they are today).
    \6\ CBOE does not expect to disseminate current VIX values 
during Extended Trading Hours through OPRA; however, this proposed 
reference is included to accommodate the possibility that changes in 
the future.
    \7\ Similarly, during Regular Trading Hours, Rule 24.2(f)(11), 
which describes listing standards for broad-based indexes (including 
VIX), states the current index value for an index must be widely 
disseminated at least once every 15 seconds by OPRA, CTA/CQ, NIDS, 
or one or more major market data vendors during the time options on 
the index are traded on the Exchange. CBOE understands that one or 
more major market data vendors (e.g. Bloomberg and Reuters) will 
widely disseminate current VIX values during Extended Trading Hours, 
as is the case during Regular Trading Hours.
---------------------------------------------------------------------------

    The Exchange notes, pursuant to Rule 6.1A(j)(vi), Trading Permit 
Holders must continue to disclose to customers the risks associated 
with trading during Extended Trading Hours, including among other 
things the possibility of the absence of an updated underlying index 
and lack of regular trading in the securities underlying the index. No 
current index value underlying any other index option trading during 
Extended Trading Hours will be disseminated during or at the close of 
that trading session, as is the case today.
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.\8\ Specifically, the Exchange believes the proposed rule change is 
consistent with the Section 6(b)(5) \9\ 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)\10\ requirement that the rules of 
an exchange not be designed to permit unfair discrimination between 
customers, issuers, brokers, or dealers.
---------------------------------------------------------------------------

    \8\ 15 U.S.C. 78f(b).
    \9\ 15 U.S.C. 78f(b)(5).
    \10\ Id.
---------------------------------------------------------------------------

    In particular, the proposed rule change does not modify trading 
rules applicable to Extended Trading Hours. The proposed rule change 
contemplates the expected calculation of current values of VIX during 
Extended Trading Hours, which additional information regarding options 
trading during that trading session removes impediments to and perfect 
the mechanism of a free and open market and a national market system. 
The proposed rule change states that the current values of indexes 
underlying other options trading during Extended Trading Hours will 
continue to not be disseminated, and thus has no impact on those 
options.

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 that is not necessary or appropriate in 
furtherance of the purposes of the Act. This proposed rule change has 
no impact on the trading rules applicable to Extended Trading Hours; 
there will just be

[[Page 22140]]

additional information available to market participants regarding one 
product that trades during that trading session. The proposed rule 
change merely reflects CBOE's plans (as reporting authority for VIX) to 
calculate and disseminate the current values of VIX during Extended 
Trading Hours. CBOE understands that one or more major market data 
vendors (e.g. Bloomberg and Reuters) will widely disseminate the 
current VIX values during Extended Trading Hours, providing Trading 
Permit Holders and other market participants with access to those 
values through those vendors. As CBOE is currently the only U.S. 
options exchange with Extended Trading Hours, and the only U.S. options 
exchange on which VIX options are listed for trading, the proposed rule 
change has no impact on intermarket competition.

B. 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 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, the proposed rule change has become effective 
pursuant to Section 19(b)(3)(A) of the Act \11\ and Rule 19b-4(f)(6) 
thereunder.\12\
---------------------------------------------------------------------------

    \11\ 15 U.S.C. 78s(b)(3)(A).
    \12\ 17 CFR 240.19b-4(f)(6). As required under Rule 19b-
4(f)(6)(iii), the Exchange provided the Commission with written 
notice of its intent to file the proposed rule change, along with a 
brief description and the text of the proposed rule change, at least 
five business days prior to the date of filing of the proposed rule 
change, or such shorter time as designated by the Commission.
---------------------------------------------------------------------------

    The Exchange has asked the Commission to waive the 30-day operative 
delay so that the proposal may become operative on the date that VIX 
values may become available during Extended Trading Hours, which is 
expected to be April 15, 2016. The Commission believes that waiving the 
30-day operative delay is consistent with the protection of investors 
and the public interest. The Commission notes that the proposed rule 
change merely allows VIX values to be disseminated during Extended 
Trading Hours in the same manner as during Regular Trading Hours and 
therefore, does not raise any unique or novel issues. Accordingly, the 
Commission designates the proposed rule change to be operative as of 
April 15, 2016.\13\
---------------------------------------------------------------------------

    \13\ For purposes only of waiving the 30-day operative delay, 
the Commission has also considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
---------------------------------------------------------------------------

    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act. If the Commission 
takes such action, the Commission shall institute proceedings to 
determine whether the proposed rule should be approved or disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic 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-2016-028 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-2016-028. 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-2016-028 and should be 
submitted on or before May 5, 2016.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\14\
---------------------------------------------------------------------------

    \14\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-08557 Filed 4-13-16; 8:45 am]
 BILLING CODE 8011-01-P


