[Federal Register Volume 77, Number 192 (Wednesday, October 3, 2012)]
[Notices]
[Pages 60504-60506]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-24290]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-67939; File No. SR-C2-2012-033]
Self-Regulatory Organizations; C2 Options Exchange, Incorporated;
Notice of Filing and Immediate Effectiveness of a Proposed Rule Change
To Extend the P.M.-Settled S&P 500 Index Option Product Pilot Program
September 27, 2012.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that on September 19, 2012, C2 Options Exchange, Incorporated (the
``Exchange'' or ``C2'') 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 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
The Exchange proposes to extend a pilot program. The text of the
proposed rule change is available on the Exchange's Web site (http://www.c2exchange.com/Legal/), at the Commission's Web site (http://www.sec.gov), 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
[[Page 60505]]
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 the
Statutory Basis for, the Proposed Rule Change
1. Purpose
On September 2, 2011, the Commission approved, on a pilot basis,
the Exchange's proposal to list and trade p.m.-settled, cash-settled
S&P 500 index options with third-Friday-of-the-month expiration dates
(``Expiration Friday'') for which the exercise settlement value was to
be based on the index value derived from the closing prices of
component securities, for an initial period of fourteen months (the
``Pilot Program'').\3\ The proposed contract (referred to as ``SPXPM'')
is traded using a $100 multiplier, and the minimum trading increment is
$0.05 for options trading below $3.00 and $0.10 for all other series.
Strike price intervals are set no less than 5 points apart. Consistent
with existing rules for index options, the Exchange has allowed up to
twelve near-term expiration months, as well as LEAPS. Expiration
processing has occurred on the Saturday following Expiration Friday.
The product has European-style exercise and is not subject to position
limits, though there are enhanced reporting requirements. All of these
specifications are in accordance with those described in the Approving
Release.
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\3\ See Securities Exchange Act Release No. 65256 (September 2,
2011), 76 FR 55969 (September 9, 2011) (SR-C2-2011-008) (the
``Approving Release''). See also Securities Exchange Act Release No.
65521 (October 7, 2011), 76 FR 63973 (October 14, 2011) (SR-C2-2011-
029), which inserted ``November 2, 2012'' (fourteen months after
September 2, 2011) as the conclusion date for this initial period of
the Pilot Program.
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As part of the Pilot Program, the Exchange committed to submit a
pilot program report to the Commission at least two months prior to the
expiration date of the Pilot Program (the ``Annual Report''), as well
as periodic interim reports. The Exchange recently submitted this
Annual Report, which contains an analysis of volume, open interest, and
trading patterns. The analysis examines trading in the proposed option
product as well as trading in the securities that comprise the S&P 500
index. In addition to the Annual Report, the Exchange has provided the
Commission with periodic interim reports while the Pilot Program has
been in effect.
In trading SPXPM according to the specifications described above,
and submitting the Annual Report as well as periodic interim reports
regarding the Pilot Program, the Exchange has complied with the
requirements of the Approving Release. During the Pilot Program, the
Exchange experienced no problems with or issues regarding the trading
of SPXPM. Further, SPXPM has been a popular product among investors,
and the Exchange expects it to continue to be a valuable offering for
investors.
The initial period for the Pilot Program is scheduled to conclude
on November 2, 2012.\4\ The Exchange hereby proposes to extend the
duration of this Pilot Program for one year, until November 2, 2013.
Extending the Pilot Program by one year will give the Commission more
time to consider the impact of the Pilot Program. The Exchange will
continue to submit to the Commission annual and interim reports
pursuant to the requirements provided in the Approving Release. In
addition to these requirements, the Exchange will provide an analysis
of the distribution of trade sizes for SPX in the Annual Report, and
will work with the Commission in providing additional data, as needed,
to evaluate the Pilot Program.
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\4\ See Securities Exchange Act Release No. 65521 (October 7,
2011), 76 FR 63973 (October 14, 2011) (SR-C2-2011-029).
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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.\5\ Specifically, the Exchange believes the proposed rule change is
consistent with the Section 6(b)(5) \6\ 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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\5\ 15 U.S.C. 78f(b).
\6\ 15 U.S.C. 78f(b)(5).
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The Exchange believes that the trading of SPXPM in the manner in
which it has been traded, and would continue to be traded, under the
Pilot Program has not and does not raise any meaningful regulatory
concerns. Further, the Exchange believes that such trading has not, and
will not adversely impact fair and orderly markets on Expiration
Fridays for the underlying stocks comprising the S&P 500 index.
Additionally, the trading of SPXPM provides investors with additional
opportunities to trade S&P 500 options with a p.m.-settlement feature
in an exchange environment and subject to transparent exchange-based
rules. The Exchange also believes that investors benefit from the
opportunity to trade in association with this product on Expiration
Fridays, thereby removing impediments to a free and open market
consistent with the Act.
B. Self-Regulatory Organization's Statement on Burden on Competition
C2 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.
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 after the date of the filing, or such
shorter time as the Commission may designate, it has become effective
pursuant to 19(b)(3)(A) of the Act \7\ and Rule 19b-4(f)(6) \8\
thereunder.
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\7\ 15 U.S.C. 78s(b)(3)(A).
\8\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)
requires a self-regulatory organization to give the Commission
written notice of its intent to file the proposed rule change 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.
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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.
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:
[[Page 60506]]
Electronic Comments
Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
Send an email to [email protected]. Please include
File No. SR-C2-2012-033 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 No. SR-C2-2012-033. 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 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 a.m. and 3
p.m. Copies of such filing also will be available for inspection and
copying at the principal office of C2. 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 No. SR-C2-2012-033 and should be submitted on or
before October 24, 2012.
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\9\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\9\
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-24290 Filed 10-2-12; 8:45 am]
BILLING CODE 8011-01-P