[Federal Register Volume 77, Number 32 (Thursday, February 16, 2012)]
[Notices]
[Pages 9275-9277]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-3641]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-66382; File No. SR-CBOE-2012-014]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Notice of Filing and Immediate Effectiveness of a
Proposed Rule Change To Establish Transaction Fees for Options on the
CBOE Emerging Markets ETF Volatility Index, the CBOE Brazil ETF
Volatility Index and CBOE Oil ETF Volatility Index
February 10, 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 February 1, 2012, the 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
CBOE proposes to amend its Fees Schedule to establish fees for
transactions in options on the CBOE Emerging Market ETF Volatility
Index (``VXEEM''), the CBOE Brazil ETF Volatility Index (``VXEWZ'') and
the CBOE Crude Oil ETF Volatility Index (``OVX''). The text of the
proposed rule change is available on the Exchange's Web site (http://www.cboe.org/legal), 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 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 Exchange received approval to list and trade options on the
CBOE Emerging Market ETF Volatility Index (``VXEEM''), the CBOE Brazil
ETF Volatility Index (``VXEWZ'') and the CBOE Crude Oil ETF Volatility
Index (``OVX'') (collectively herein, ``volatility indexes''), which
are up-to-the-minute market estimates of the expected volatility of
their corresponding exchange-traded funds (``ETF'') \3\ calculated by
using real-time bid/ask quotes of CBOE listed options on the respective
ETF.\4\ The volatility indexes use nearby and second nearby options
with at least 8 days left to expiration and then weights them to yield
a constant, 30-day measure of the expected (implied) volatility. The
Exchange will list VXEEM options beginning on January 30, 2012, VXEWZ
options beginning on February 20, 2012 and OVX options beginning on
March 6, 2012.
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\3\ The corresponding ETFs are: the iShares MSCI Emerging
Markets Index ETF (``EEM''), the iShares MSCI Brazil Index ETF
(``EWZ'') and the United States Oil Fund (``USO'') .
\4\ See Securities Exchange Act Release No. 64551 (May 26,
2011), 76 FR 32000 (June 2, 2011) (approving SR-CBOE-2011-026).
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The purpose of this rule change is to clarify that the existing
transaction fees for ``Volatility Indexes'' shall apply for
transactions in VXEEM options, VXEWZ options and OVX options except
that the existing Surcharge Fee (currently $.10 per contract for
Volatility Index options) will not apply to VXEEM options, VXEWZ
options and OVX options.\5\ In addition, the Exchange's marketing fee
\6\ shall not apply to VXEEM options, VXEWZ options and OVX options.
The Product Research & Development fee shall apply to VXEEM options,
VXEWZ options and OVX options at the rate of $0.10 per contract.\7\
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\5\ This fee is assessed to help the Exchange recoup license
fees the Exchange pays to the different index licensors in order to
list options on the respective indexes.
\6\ See Footnote 6 of the Fees Schedule.
\7\ See Section 1 (Index Options), VII.(B) to the Fees Schedule.
The Product Research & Development fee is assessed to help offset
some of the costs and expenses expended for product research and
development and ongoing maintenance of CBOE's products. The Product
Research & Development fee applies to all non-public customer
transactions (i.e., CBOE and non-Trading Permit Holder market-maker,
Clearing Trading Permit Holder and broker-dealer), including
voluntary professionals and professionals. See Footnote 12 of the
Fees Schedule.
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For reference, the existing Volatility Index transactions fees that
will apply
[[Page 9276]]
to VXEEM options, VXEWZ options and OVX options are as follows:
$0.40 per contract for customer transactions;
$0.40 per contract for voluntary professional
transactions;
$0.40 per contract for professional transactions
$0.20 per contract for CBOE Market-Maker/DPM transactions;
$0.25 per contract for Clearing Trading Permit Holder
proprietary transactions; \8\
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\8\ This is the standard rate that is subject to the CBOE
Proprietary Products Sliding Scale for Clearing Trading Permit
Holder Proprietary Orders as set forth in Footnote 11 to the Fees
Schedule.
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$0.40 per contract for broker-dealer transactions;
$0.10 per contract CFLEX Surcharge Fee;
$0.03 per contract floor brokerage fee; \9\
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\9\ See Section 3 (Floor Brokerage and Par Official Fees) to the
Fees Schedule and Footnotes 1, 5 and 15 of the Fees Schedule.
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$0.015 per contract floor brokerage fee for crossed
orders; \10\
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\10\ Id.
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$0.03 per contract par official fee; \11\ and
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\11\ Id.
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$0.015 per contract for par official fee for crossed
orders.\12\
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\12\ Id.
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2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
Section 6(b) of the Act,\13\ in general, and furthers the objectives of
Section 6(b)(4) \14\ of the Act in particular, in that it is designed
to provide for the equitable allocation of reasonable dues, fees, and
other charges among CBOE Trading Permit Holders and other persons using
its facilities.
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\13\ 15 U.S.C. 78f(b).
\14\ 15 U.S.C. 78f(b)(4).
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The Exchange is excluding VXEEM, VXEWZ and OVX options from the
Index License/Surcharge Fee of $0.10 per contract because that fee is
assessed to help the Exchange recoup license fees that the Exchange
pays to different index licensors in order to list options on the
respective indexes. The Exchange does not pay fees to index licensors
to list VXEEM, VXEWZ and OVX options. The Exchange is assessing a
Product Research & Development/Surcharge fee to all non-public customer
transactions (i.e., CBOE and non-Trading Permit Holder market maker,
Clearing Trading Permit Holder and broker-dealer), including voluntary
professionals and professionals. The Product Research & Development/
Surcharge fee is assessed to help the Exchange offset some of the costs
and expenses expended for product research and development and ongoing
maintenance associated with these new volatility index products.
The Exchange believes that the fees are reasonable because they are
comparable to fees that the Exchange currently assesses for another
similar volatility index option, i.e., CBOE Gold ETF Volatility Index
(``GVZ'') options. The Exchange believes the level of the fees furthers
the Exchange's goal of introducing new products to the marketplace that
are competitively priced.
The Exchange believes that the fees are equitable and do not
unfairly discriminate because they provide comparable pricing among
similar categories of market participants. The Exchange believes that a
fee of $0.20 per contract for CBOE Market-Maker/DPM transactions is
equitable since those market participants provide a valuable market
service by adding liquidity to the Exchange and since they are subject
to liquidity provider obligations. This standard rate is not subject to
the Liquidity Provider Sliding Scale as set forth in Footnote 10 to the
Fees Schedule. The Exchange also believes that a fee of $0.25 per
contract for Clearing Trading Permit Holders is equitable since they
contribute capital to facilitate customer orders, which in turn
provides a deeper pool of liquidity that benefits all market
participants.
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
The proposed rule change is designated by the Exchange as
establishing or changing a due, fee, or other charge, thereby
qualifying for effectiveness on filing pursuant to Section 19(b)(3)(A)
of the Act \15\ and subparagraph (f)(2) of Rule 19b-4 \16\ thereunder.
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\15\ 15 U.S.C. 78s(b)(3)(A).
\16\ 17 CFR 240.19b-4(f)(2).
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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 Number SR-CBOE-2012-014 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-2012-014. 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 will also 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-
[[Page 9277]]
2012-014 and should be submitted on or before March 8, 2012.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\17\
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\17\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-3641 Filed 2-15-12; 8:45 am]
BILLING CODE 8011-01-P