[Federal Register Volume 81, Number 80 (Tuesday, April 26, 2016)]
[Notices]
[Pages 24676-24678]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-09596]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-77660; File No. SR-BOX-2016-19]


Self-Regulatory Organizations; BOX Options Exchange LLC; Notice 
of Filing and Immediate Effectiveness of a Proposed Rule Change To 
Extend the Pilot Program for the Listing and Trading of Options 
Settling to the RealVolTM SPY Index (``Index'')

April 20, 2016.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ and Rule 19b-4 thereunder,\2\

[[Page 24677]]

notice is hereby given that on April 18, 2016, BOX Options Exchange LLC 
(the ``Exchange'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I and 
II below, which Items have been prepared by the self-regulatory 
organization. The Commission is publishing this notice to solicit 
comments on the proposed rule 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 the 
Substance of the Proposed Rule Change

    The Exchange proposes to extend the pilot program for the listing 
and trading of options settling to the RealVolTM SPY Index 
(``Index''). The text of the proposed rule change is available from the 
principal office of the Exchange, at the Commission's Public Reference 
Room and also on the Exchange's Internet Web site at http://boxexchange.com.

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 these statements may be examined at 
the places specified in Item IV below. The self-regulatory organization 
has prepared summaries, set 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 
Statutory Basis for, the Proposed Rule Change

1. Purpose

    The purpose of the proposed rule change is to extend the pilot 
period for the listing and trading of options settling to the 
RealVolTM SPY Index (``Index''), which is currently 
scheduled to expire on May 6, 2016.\3\ The Exchange is proposing to 
extend the pilot period for an additional twelve (12) month period, 
until May 6, 2017. This filing does not propose any substantive changes 
to the listing and trading of options settling to the 
RealVolTM SPY (``the RealVolTM SPY Pilot 
Program'' or ``Pilot Program'').
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    \3\ See Securities Exchange Act Release No. 74876 (May 5, 2015), 
80 FR 26966 (May 11, 2015) (Order Approving SR-BOX-2015-06).
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    In the initial proposal to list and trade this product, the 
Exchange stated that if it were to propose an extension, permanent 
approval or termination of the Pilot Program, the Exchange would submit 
a filing proposing such amendments to the program.\4\ Accordingly, the 
Exchange is submitting this filing to extend the program, as the 
Exchange has not yet begun to list or trade options settling to the 
RealVolTM SPY Index, but plans to do so in the future.
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    \4\ Id.
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    As proposed in the initial filing, the Exchange proposes to submit 
a Pilot Program Report to the Securities and Exchange Commission (the 
``Commission'') two months prior to the expiration date of the Pilot 
Program (the ``annual report'').\5\ The annual report would contain an 
analysis of volume, open interest, and trading patterns. The analysis 
would examine trading in the proposed option product as well as trading 
in SPY. In addition, for series that exceed certain minimum open 
interest parameters, the annual report would provide analysis of index 
price volatility and SPY trading activity. In addition to the annual 
report, the Exchange would provide the Commission with periodic interim 
reports while the pilot is in effect that would contain some, but not 
all, of the information contained in the annual report. The annual 
report would be provided to the Commission on a confidential basis.
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    \5\ Id. The Exchange did not submit an annual report because the 
Index was never listed for trading.
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    The annual report would contain the following volume and open 
interest data:
    (1) Monthly volume aggregated for all trades;
    (2) monthly volume aggregated by expiration date;
    (3) monthly volume for each individual series;
    (4) month-end open interest aggregated for all series;
    (5) month-end open interest for all series aggregated by expiration 
date; and
    (6) month-end open interest for each individual series.
    In addition to the annual report, the Exchange would provide the 
Commission with interim reports of the information listed in Items (1) 
through (6) above periodically as required by the Commission while the 
pilot is in effect. These interim reports would also be provided on a 
confidential basis.
    In addition, the annual report would contain the following analysis 
of trading patterns in VOLS series in the pilot:
    (1) A time series analysis of open interest; and
    (2) an analysis of the distribution of trade sizes.
    Also, for series that exceed certain minimum parameters, the annual 
report would contain the following analysis related to index price 
changes and SPY trading volume at the close on expiration Fridays:
    (1) A comparison of index price changes at the close of trading on 
a given expiration Friday with comparable price changes from a control 
sample. The data would include a calculation of percentage price 
changes for various time intervals and compare that information to the 
respective control sample. Raw percentage price change data as well as 
percentage price change data normalized for prevailing market 
volatility, as measured by the Chicago Board Options Exchange, 
Incorporated (``CBOE'') Volatility Index (VIX), would be provided; and
    (2) a calculation of trading volume for a sample set of SPY 
representing an upper limit on trading that could be attributable to 
expiring in-the-money series. The data would include a comparison of 
the calculated volume for SPY in the sample set to the average daily 
trading volumes of SPY over a sample period.
    The minimum open interest parameters, control sample, time 
intervals, and sample periods would be determined by the Exchange and 
the Commission.

2. Statutory Basis

    The Exchange believes that the proposal is consistent with the 
requirements of Section 6(b) of the Act,\6\ in general, and Section 
6(b)(5) of the Act,\7\ in particular, in that it is designed to prevent 
fraudulent and manipulative acts and practices, to promote just and 
equitable principles of trade, to remove impediments to and perfect the 
mechanism of a free and open market and a national market system, and, 
in general, to protect investors and the public interest. The Exchange 
believes the proposed extension will further the Exchange's goal of 
introducing new and innovative products to the marketplace. The 
Exchange believes that listing the RealVolTM SPY Index will 
provide an opportunity for investors to hedge, or speculate on, the 
market risk associated with changes in realized volatility.
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    \6\ 15 U.S.C. 78f(b).
    \7\ 15 U.S.C. 78f(b)(5).
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    The Exchange believes that extending the RealVolTM SPY 
Index Pilot Program promotes just and equitable principles of trade by 
permitting market participants, including market makers, institutional 
investors and retail investors, the potential to establish

[[Page 24678]]

greater positions when pursuing their investment goals and needs.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange 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. The Exchange notes that the 
proposed extension will allow for the listing and trading of a novel 
index option product that will enhance competition among market 
participants, to the benefit of investors and the marketplace.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    The Exchange has 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 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) thereunder.\9\
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    \8\ 15 U.S.C. 78s(b)(3)(A).
    \9\ 17 CFR 240.19b-4(f)(6). As required under Rule 19b-
4(f)(6)(iii), the Exchange provided the Commission with written 
notice of its intent to file the proposed rule change, along with a 
brief description and the text of the proposed rule change, at least 
five business days prior to the date of filing of the proposed rule 
change.
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    A proposed rule change filed pursuant to Rule 19b-4(f)(6) under the 
Act \10\ normally does not become operative for 30 days after the date 
of its filing. However, Rule 19b-4(f)(6)(iii) \11\ permits the 
Commission to designate a shorter time if such action is consistent 
with the protection of investors and the public interest. The Exchange 
requests that the Commission waive the 30-day operative delay period 
and make the proposed rule change effective and operative upon filing 
because it will allow for the listing and trading of a previously 
approved novel index option product that will enhance competition among 
market participants, to the benefit of investors and the marketplace. 
The Exchange believes that the proposal is non-controversial and would 
not affect the protection of investors or the public interest and will 
not impose any burden on competition as it only seeks to extend the 
operation of a previously approved pilot program before it expires on 
May 6, 2016. The Commission believes that waiving the 30-day operative 
delay is consistent with the protection of investors and the public 
interest. Therefore, the Commission hereby waives the operative delay 
and designates the proposal operative upon filing.\12\
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    \10\ 17 CFR 240.19b-4(f)(6).
    \11\ 17 CFR 240.19b-4(f)(6)(iii).
    \12\ For purposes only of waiving the 30-day operative delay, 
the Commission has also considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
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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. If the Commission 
takes such action, the Commission shall institute proceedings to 
determine whether the proposed rule change should be approved or 
disapproved.

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-BOX-2016-19 on the subject line.

Paper Comments

     Send paper comments in triplicate to Brent J. Fields, 
Secretary, Securities and Exchange Commission, 100 F Street NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-BOX-2016-19. 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 
10:00 a.m. and 3:00 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 Number SR-BOX-2016-19, and should be 
submitted on or before May 17, 2016.
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    \13\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\13\
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-09596 Filed 4-25-16; 8:45 am]
 BILLING CODE 8011-01-P