[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