[Federal Register Volume 76, Number 245 (Wednesday, December 21, 2011)]
[Notices]
[Pages 79243-79244]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2011-32662]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-65967; File No. SR-CBOE-2011-118]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Notice of Filing and Immediate Effectiveness of Proposed
Rule Change Relating to the Penny Pilot Program
December 15, 2011.
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 December 2, 2011, Chicago Board Options Exchange, Incorporated (the
``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
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 amend its rules relating to the Penny
Pilot Program. 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 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 parts of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Penny Pilot Program is scheduled to expire on December 31,
2011. CBOE proposes to extend the Pilot Program until June 30, 2012.
CBOE believes that extending the Pilot Program will allow for further
analysis of the Pilot Program and a determination of how the Pilot
Program should be structured in the future.
During this extension of the Penny Pilot Program, CBOE proposes
that it may replace any option class that is currently included in the
Pilot Program and that has been delisted with the next most actively-
traded, multiple-listed option class that is not yet participating in
the Pilot Program (``replacement class''). Any replacement class would
be determined based on national average daily volume in the preceding
six months,\3\ and would be added on the second trading day following
January 1, 2012. CBOE will employ the same parameters to prospective
replacement classes as approved and applicable in determining the
existing classes in the Pilot Program, including excluding high-priced
underlying securities.\4\ CBOE will announce to its Trading Permit
Holders by circular any replacement classes in the Pilot Program.
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\3\ The month immediately preceding a replacement class's
addition to the Pilot Program (i.e. December) would not be used for
purposes of the six-month analysis. Thus, a replacement class to be
added on the second trading following January 1, 2012 would be
identified based on The Option Clearing Corporation's trading volume
data from June 1, 2011 through November 30, 2011.
\4\ See Securities Exchange Act Release No. 60864 (October 22,
2009) (granting immediate effectiveness to SR-CBOE-2009-76).
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CBOE is specifically authorized to act jointly with the other
options exchanges participating in the Penny Pilot Program in
identifying any replacement class. CBOE will submit to the SEC reports
that will include sample data and analysis of information collected
from October 1, 2011 through March 31, 2012 and April 1 through June
30, 2012 for the ten most active and twenty least active option classes
added to the Pilot Program. This proposed sampling approach provides an
appropriate means by which to monitor and assess the Pilot Program's
impact. CBOE will also identify, for comparison purposes, a control
group consisting of the ten least active option classes from the
initial 58 Pilot Program classes. This report will include, but not be
limited to, the following: (1) Data and analysis of the number of
quotations generated for options included in the report; (2) an
assessment of the quotation spreads for the options included in the
report; (3) an assessment of the impact of the Pilot Program on CBOE's
automated systems; (4) data reflecting the size and depth of markets;
and (5) any capacity problems or other problems that arose related to
the operation of the Pilot Program and how the Exchange addressed them.
2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
Section 6 of the Act \5\ and the rules and regulations thereunder
applicable to a national securities exchange and, in particular, the
requirements of Section 6(b) of the Act.\6\ Specifically, the Exchange
believes that the proposed rule change is consistent with the Section
6(b)(5) Act \7\ requirements that the rules of an exchange be designed
to promote just and equitable principles of trade, to prevent
fraudulent and
[[Page 79244]]
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. In
particular, the proposed rule change allows for an extension of the
Penny Pilot Program for the benefit of market participants.
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\5\ 15 U.S.C. 78f.
\6\ 15 U.S.C. 78f(b).
\7\ 15 U.S.C. 78f(b)(5).
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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.
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
Because the foregoing proposed rule change does not: (i)
Significantly affect the protection of investors or the public
interest; (ii) impose any significant burden on competition; and (iii)
become operative for 30 days from the date on which it was filed, or
such shorter time as the Commission may designate, it has become
effective pursuant to Section 19(b)(3)(A) of the Act \8\ and Rule 19b-
4(f)(6)(iii) thereunder.\9\
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\8\ 15 U.S.C. 78s(b)(3)(A).
\9\ 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 Commission notes that 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:
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-CBOE-2011-118 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-CBOE-2011-118. 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
a.m. and 3 p.m. Copies of such 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 No. SR-CBOE-2011-118 and should be
submitted on or before January 11, 2012.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\10\
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\10\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2011-32662 Filed 12-20-11; 8:45 am]
BILLING CODE 8011-01-P