[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