46230 Federal Register / Vol. 83, No. 177 / Wednesday, September 12, 2018 / Notices 

16See supra note 12 and accompanying text. 

17 15 U.S.C. 78s(b)(2). 

18 15 U.S.C. 78f(b)(2). 

19 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

Rule 5.2–E(j)(3).16 The Commission 

notes that the Exchange proposes no 

other changes to the Funds. 

Accordingly, the Commission believes 

that the proposed continued listing 

requirements are adequately designed to 

help deter manipulation of the Shares. 

For the foregoing reasons, the 

Commission finds that the proposed 

rule change, as modified by Amendment 

No. 1, is consistent with Sections 6(b)(5) 

and 11A of the Act and the rules and 

regulations thereunder applicable to a 

national securities exchange. 

IV. Solicitation of Comments on 

Amendment No. 1 

Interested persons are invited to 

submit written data, views, and 

arguments concerning Amendment No. 

1. 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 rule-comments@

sec.gov. Please include File Number SR– 

NYSEArca–2018–38 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–NYSEArca–2018–38. 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 website (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 website 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 this 

filing will also be available for 

inspection and copying at the principal 

office of the Exchange. All comments 

received will be posted without change. 

Persons submitting comments are 

cautioned that we do not redact or edit 

personal identifying information from 

comment submissions. You should 

submit only information that you wish 

to make available publicly. All 

submissions should refer to File 

Number SR–NYSEArca–2018–38 and 

should be submitted on or before 

October 3, 2018. 

V. Accelerated Approval of Proposed 

Rule Change, as Modified by 

Amendment No. 1 

The Commission finds good cause to 

approve the proposed rule change, as 

modified by Amendment No. 1, prior to 

the 30th day after the date of 

publication of notice of Amendment No. 

1 in the Federal Register. Amendment 

No. 1 supplements the proposal by, 

among other things, eliminating an 

issuer concentration requirement from 

the proposed continued listing criteria 

applicable to the Shares and deleting 

the condition that would require a 

change to the index methodology before 

the proposed continued listing criteria 

would apply. The changes and 

additional information in Amendment 

No. 1 raise no novel issues and assist 

the Commission in finding that the 

proposal is consistent with the Act. 

Accordingly, the Commission finds 

good cause, pursuant to Section 19(b)(2) 

of the Exchange Act,17 to approve the 

proposed rule change, as modified by 

Amendment No. 1, on an accelerated 

basis. 

VI. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,18 that the 

proposed rule change (SR–NYSEArca– 

2018–38), as modified by Amendment 

No. 1 thereto, be, and hereby is, 

approved on an accelerated basis. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.19

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2018–19772 Filed 9–11–18; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–84045; File No. SR–CBOE– 

2018–062] 

Self-Regulatory Organizations; Cboe 

Exchange, Inc.; Notice of Filing of a 

Proposed Rule Change To Amend Rule 

6.2, Interpretation and Policy .01 

Concerning Strategy Orders 

September 6, 2018. 

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 August 

24, 2018, Cboe Exchange, Inc. 

(‘‘Exchange’’ or ‘‘Cboe Options’’) 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. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

Cboe Options proposes a rule change 

to amend and clarify the definition of a 

strategy order, clarify other definitions 

related to the modified HOSS 

procedure, and permit the entry of 

orders that offset imbalances after the 

strategy order cut-off time. 

(additions are italicized; deletions are 

[bracketed]) 

* * * * * 

Rules of Cboe Exchange, Inc. 

* * * * * 

Rule 6.2. Hybrid Opening (and 

Sometimes Closing) System (‘‘HOSS’’) 

(a)–(h) No change. 

. . . Interpretations and Policies: 

.01 Modified Opening Procedure 

for Series Used to Calculate the 

Exercise[/] or Final Settlement Value[s] 

of Expiring Volatility Index[es] 

Derivatives. 

(a) Definitions. For purposes of this 

Interpretation and Policy .01, the 

following terms have the meanings 

below: 

Volatility Index Derivatives 

The term ‘‘volatility index 

derivatives’’ means volatility index 

options listed for trading on the 

Exchange (as determined under Rule 

24.9(a)(5) and (6)), (security) futures 


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listed for trading on an affiliated 

designated contract market, or over-thecounter derivatives overlying a volatility 

index whose exercise or final settlement 

values, as applicable, are calculated 

pursuant to, or by reference to, as 

applicable, the modified opening 

procedure described in this 

Interpretation and Policy .01. 

Exercise Settlement Value 

Determination Day 

The term ‘‘exercise settlement value 

determination day’’ means a day on 

which the Exchange determines the 

exercise or final settlement value, as 

applicable, of expiring volatility index 

derivatives. 

Constituent Option Series 

The term ‘‘constituent option series’’ 

means all option series listed on the 

Exchange that are used to calculate the 

exercise or final settlement value, as 

applicable, of expiring volatility index 

derivatives. 

Strategy Order 

The Exchange deems individual 

orders (considered collectively) a market 

participant submits for participation in 

the modified opening procedure to be a 

‘‘strategy order,’’ based on related facts 

and circumstances considered by the 

Exchange, only if the orders: 

(1) Relate to the market participant’s 

positions in expiring volatility index 

derivatives; 

(2) are for option series with the 

expiration that the Exchange will use to 

calculate the exercise or final settlement 

value, as applicable, of the applicable 

volatility index derivative; 

(3) are for option series with strike 

prices approximating the range of series 

that are later determined to constitute 

the constituent option series for the 

applicable expiration; 

(4) are for put (call) options with 

strike prices equal to or less (greater) 

than the ‘‘at-the-money’’ strike price; 

and 

(5) have quantities approximating the 

weighting formula used to determine the 

exercise or final settlement value, as 

applicable, in accordance with the 

applicable volatility index methodology. 

Non-Strategy Order 

The term ‘‘non-strategy order’’ means 

any order (including an order in a 

constituent option series) a market 

participant submits for participation in 

the modified opening procedure that is 

not a strategy order (or a change to or 

cancellation of a strategy order). 

Examples of non-strategy orders 

include, but are not limited to: 

(1) A buy (sell) order in a constituent 

options series if an EOI disseminated no 

more than two minutes prior to the time 

a market participant submitted the 

order included a sell (buy) imbalance 

and the size of the order is no larger 

than the size of the imbalance in the 

EOI, regardless of whether the market 

participant previously submitted a 

strategy order or has positions in 

expiring volatility index derivatives; or 

(2) a Market-Maker bid or offer in a 

constituent option series, as set forth in 

paragraph (e) below. 

(b) Use of Modified Opening 

Procedure. [All provisions set forth in 

Rule 6.2 remain in effect unless 

superseded or modified by this 

Interpretation and Policy .01.] On [the 

dates on which the] exercise [and final] 

settlement value determination days 

[are calculated for options (as 

determined under Rule 24.9(a)(5) or (6)) 

or (security) futures contracts on a 

volatility index (i.e., expiration and 

final settlement dates)], the Exchange 

[utilizes]uses the [modified] opening 

procedure described in Rule 6.2, as 

modified by this Interpretation and 

Policy .01, for constituent option 

series[below for all series used to 

calculate the exercise/final settlement 

value of the volatility index for expiring 

options and (security) futures contracts 

(these option series referred to as 

‘‘constituent options’’)]. 

([a]c) Strategy Order[s] Cut-Off Time. 

[All orders for participation in the 

modified opening procedure that are 

related to positions in, or a trading 

strategy involving, expiring volatility 

index options or (security) futures 

(‘‘strategy orders’’)]Market participants 

must submit strategy orders (which 

orders must be entered into the 

Exchange by a Trading Permit Holder), 

and [any] changes to or cancellations of 

[any such]strategy orders, prior to the 

strategy order cut-off time. Market 

participants[:] 

[(i) must be received prior to the 

applicable strategy order cut-off time for 

the constituent option series (as 

determined by the Exchange on a classby-class basis), which may be no earlier 

than 8:00 a.m. and no later than the 

opening of trading in the series. The 

Exchange will announce all 

determinations regarding changes to the 

applicable strategy order cut-off time at 

least one day prior to implementation. 

(ii)] may not [be cancelled or 

changed]change or cancel strategy 

orders after the strategy order cut-off 

time, unless the market participant 

submits the change or cancellation: 

(1) [after the applicable strategy order 

cut-off time, unless the strategy order is 

not executed in the modified opening 

procedure and the cancellation or 

change is submitted] after the [modified 

opening procedure is concluded]series 

is open for trading; or 

(2) [(provided that any such strategy 

order may be changed or cancelled after 

the applicable strategy order cut-off time 

and] prior to the [applicable] nonstrategy order cut-off time in order to 

correct a legitimate error, in which case 

the [Trading Permit Holder]market 

participant submitting the change or 

cancellation [will]must prepare and 

maintain a memorandum setting forth 

the circumstances that resulted in the 

change or cancellation and [will 

file]submit a copy of the memorandum 

[with]to the Exchange no later than the 

next business day in a form and manner 

prescribed by the Exchange[)]. 

The Exchange determines the strategy 

order cut-off time on a class-by-class 

basis, which may be no earlier than 8:00 

a.m. Chicago time and no later than the 

opening of trading in a series. The 

Exchange will announce any changes to 

the strategy order cut-off time at least 

one day prior to implementation. 

[In general, the Exchange will 

consider orders to be strategy orders for 

purposes of this Rule 6.2.01 if the orders 

possess the following three 

characteristics: 

(A) The orders are for option series 

with the expiration that will be used to 

calculate the exercise or final settlement 

value of the applicable volatility index 

option or futures contract. 

(B) The orders are for option series 

spanning the full range of strike prices 

for the appropriate expiration for option 

series that will be used to calculate the 

exercise or final settlement value of the 

applicable volatility index option or 

futures contract, but not necessarily 

every available strike price. 

(C) The orders are for put options 

with strike prices less than the ‘‘at-themoney’’ strike price and for call options 

with strike prices greater than the ‘‘atthe-money’’ strike price. The orders may 

also be for put and call options with ‘‘atthe-money’’ strike prices. 

Whether orders are strategy orders for 

purposes of this Rule 6.2.01 depends 

upon specific facts and circumstances. 

The Exchange may also deem order 

types other than those provided above 

as strategy orders if the Exchange 

determines that to be the case based 

upon the applicable facts and 

circumstances.] 

([b]d) Non-Strategy Order[s] Cut-Off 

Time. [All other orders for participation 

in the modified opening procedure 

(‘‘non-strategy orders’’), and any change 

to or cancellation of any such order, 

must be received]Market participants 

must submit non-strategy orders (which 


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3These volatility indexes include the Cboe 

Volatility Index (‘‘VIX’’) and the Russell 2000 

Volatility Index (‘‘RVX’’). Options expire on an 

expiration date and settle to an exercise settlement 

value, and futures settle on a final settlement date 

to a final settlement value. For ease of reference, the 

Exchange will use the options terminology 

throughout this filing when referring to the 

‘‘expiration/final settlement date’’ and ‘‘expiration/ 

final settlement value’’ for volatility index 

derivatives. 

4 ‘‘Constituent options’’ are the series used to 

calculate the exercise/final settlement value of the 

volatility index for expiring options and (security) 

futures contracts. 

5See Rule 6.2, Interpretation and Policy .01. 

6Currently, strategy orders are defined as all 

orders (defined in Rule 1.1(ooo) as a firm 

commitment to buy or sell option contracts) for 

participation in the modified opening procedure 

that are related to positions in, or a trading strategy 

involving, volatility index options or (security) 

futures (as discussed below, the proposed rule 

change is adding ‘‘expiring’’ to this definition). In 

general, the Exchange currently considers orders to 

be strategy orders if they are for (a) option series 

with the expiration that will be used to calculate 

the exercise or final settlement value of the 

applicable volatility index option or futures 

contract; (b) option series spanning the full range 

of strike prices for the appropriate expiration for 

option series that will be used to calculate the 

exercise or final settlement value of the applicable 

volatility index option or futures contract (not 

necessarily every available strike price); and (c) put 

options with strike prices at or less than the ‘‘atthe-money’’ strike price and for call options with 

strike prices greater than or at the ‘‘at-the-money’’ 

strike price. Whether orders are strategy orders 

depends upon specific facts and circumstances. The 

Exchange may also deem order types other than 

those provided above as strategy orders if the 

Exchange determines that to be the case based upon 

the applicable facts and circumstances. The strategy 

order cut-off time may be no earlier than 8:00 a.m. 

and no later than the opening of trading in the 

series, and is currently 8:20 a.m. Chicago time. See 

Rule 6.2, Interpretation and Policy .01. 

orders must be entered into the 

Exchange by a Trading Permit Holder) 

prior to the [applicable]non-strategy 

order cut-off time. [(as determined by 

t]The Exchange determines the nonstrategy order cut-off time on a class-byclass basis[) in order to participate at the 

opening price for the applicable series], 

which may be no earlier than 8:25 a.m. 

and no later than the opening of trading 

in [the option]a series. The Exchange 

will announce [all determinations 

regarding]any changes to the 

[applicable] non-strategy order cut-off 

time at least one day prior to 

implementation. 

([c]e) Market-Makers. A Market-Maker 

with an appointment in a class with 

constituent option series may submit 

bids and offers in those series for bona 

fide market-making purposes in 

accordance with Rule 8.7 and the 

Exchange Act for its market-maker 

account prior to the open of trading for 

participation in the modified opening 

procedure. The Exchange will deem 

these bids and offers to be non-strategy 

orders, and will not deem them to be 

changes to or cancellations of 

previously submitted strategy orders, if: 

(i) the Trading Permit Holder with 

which the Market-Maker is affiliated has 

established, maintains, and enforces 

reasonably designed written policies 

and procedures (including information 

barriers, as applicable), taking into 

consideration the nature of the Trading 

Permit Holder’s business and other facts 

and circumstances, to prevent the 

misuse of material nonpublic 

information (including the submission 

of strategy orders); and 

(ii) when submitting these bids and 

offers, the Market-Maker has no actual 

knowledge of any previously submitted 

strategy orders. 

* * * * * 

(b) Not applicable. 

(c) Not applicable. 

* * * * * 

The text of the proposed rule change 

is also available on the Exchange’s 

website (http://www.cboe.com/ 

AboutCBOE/ 

CBOELegalRegulatoryHome.aspx), 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 

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 

(a) Purpose 

Cboe Options and Cboe Futures 

Exchange, LLC (‘‘CFE’’) list options and 

futures, respectively, on different 

volatility indexes that are calculated 

using prices of options traded on Cboe 

Options.3 The exercise settlement value 

for these volatility index derivatives is 

determined on the morning of their 

expiration date through a special 

opening quotation (‘‘SOQ’’) of the 

volatility index using the opening prices 

of a portfolio of options (for example, 

the exercise settlement value of VIX 

options and futures uses the opening 

prices of a portfolio of S&P 500 Index 

options (‘‘SPX options’’) that expire 

approximately 30 days later). On the 

days when the exercise settlement 

values for these volatility index 

derivatives are determined, Cboe 

Options opens the constituent options 4

for these volatility indexes using the 

modified Hybrid Opening System 

(‘‘HOSS’’) procedure.5 The main feature 

of the modified HOSS procedure used to 

calculate the exercise settlement value 

for expiring volatility index options and 

(security) futures that distinguishes it 

from the normal opening procedure 

used on all other days is a cutoff time 

for the entry of strategy orders.6 By 

providing market participants with a 

mechanism to buy and sell constituent 

options at prices used to calculate the 

exercise settlement value of the 

volatility index derivatives, the 

volatility index settlement process is 

‘‘tradable.’’ 

The volatility index settlement 

process is patterned after the process 

used to calculate the exercise settlement 

value of SPX options. On the days SPX 

options expire, S&P calculates an SOQ 

of the S&P 500 Index using the opening 

prices of the component stocks in their 

primary markets. Market participants 

can replicate the exposure of their 

expiring SPX options by entering orders 

to buy and sell the component stocks of 

the S&P 500 Index at their opening 

prices. If they are successful, market 

participants can effectively construct a 

portfolio that matches the value of the 

SOQ. At this point, the derivatives and 

cash markets converge. 

In a very similar way, the exercise 

settlement value for volatility index 

derivatives is an SOQ of the volatility 

index using opening prices of the 

constituent options used to determine 

the value of the index. With respect to 

VIX, the VIX exercise settlement value 

is calculated using the opening prices of 

SPX options that expire approximately 

30 days later. Analogous to the 

settlement process for SPX options, 

market participants can replicate the 

exposure of their expiring VIX 

derivatives by entering buy and sell 

orders in constituent SPX options. If 

they are successful, market participants 

can effectively construct a portfolio of 

SPX options whose value matches the 

value of the VIX SOQ. By doing so, 

market participants may make or take 

delivery of the SPX options that will be 

used to calculate the exercise settlement 

value of their VIX derivatives. 

A tradable settlement creates the 

opportunity to convert the exposure of 

an expiring VIX derivative into the 

portfolio of SPX options that will be 

used to calculate the exercise settlement 


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7 In the absence of a tradeable settlement, 

settlement risk refers to the difference between the 

exercise settlement value of the expiring volatility 

index derivatives and the value of the portfolio of 

the option series used to calculate the exercise 

settlement value. The potential disparity between 

the exercise settlement value for expiring volatility 

index derivatives and the value of the replicating 

portfolio of constituent options series is referred to 

as ‘‘slippage.’’ A tradeable settlement provides 

convergence between the value of the exercise 

settlement value and the value of the portfolio of 

option series used to calculate the exercise 

settlement value (i.e., eliminates slippage). With 

respect to expiring VIX derivatives, for example, 

while it is possible to construct a replicating 

portfolio of SPX options, it is highly unlikely that 

traders would be able to trade constituent SPX 

options at prices that would match the final 

settlement price. 

8See Securities Exchange Act Release Nos. 52367 

(August 31, 2005), 70 FR 53401 (September 8, 2005) 

(SR–CBOE–2004–86) (established initially for rapid 

opening system procedure, which is no longer 

used). The Commission stated it believed that the 

proposed rule change may serve the intended 

benefits of the strategy order cut-off time without 

imposing an undue burden on market participants. 

Id. at 53402. 

9Pursuant to Rule 6.2, Interpretation and Policy 

.01(b), the Exchange may determine a non-strategy 

order cut-off time, which may be no earlier than 

8:25 a.m. and no later than the opening of trading. 

The current non-strategy order cut-off time is the 

opening of trading. 

value of the expiring contract. 

Specifically, some market participants 

may desire to maintain the vega, or 

volatility, risk exposure of expiring VIX 

derivatives. Since VIX derivatives 

expire 30 days prior to the SPX options 

used to calculate their settlement value, 

a market participant may have a vega 

risk from its portfolio of index positions 

that the participant wants to continue to 

hedge after the participant’s VIX 

derivatives expire. To continue that 

vega coverage following expiration of a 

VIX derivative, a market participant 

may determine to trade the portfolio of 

SPX options used to calculate the 

exercise settlement value of an expiring 

VIX derivative, since those SPX options 

still have 30 more days to expiration. 

This trade essentially replaces the 

uncovered vega exposure ‘‘hole’’ created 

by an expiring VIX derivative. 

Since the VIX settlement value 

converges with the value of the portfolio 

of SPX options used to calculate that 

VIX settlement value, trading this SPX 

option portfolio mitigates settlement 

risk.7 This is because, if done properly, 

the vega exposure obtained in the SPX 

option portfolio will replicate the vega 

exposure of the expiring VIX derivative. 

Because a market participant is 

converting vega exposure from one 

instrument (expiring VIX derivative) to 

another (portfolio of SPX options 

expiring in 30 days), the market 

participant is likely to be indifferent to 

the settlement price received for the 

expiring VIX derivative. Importantly, 

trading the next VIX derivative 

expiration (i.e., rolling) will not 

accomplish the conversion of vega 

exposure since that VIX derivative 

contract would necessarily cover a 

different period of expected volatility 

and would be based on an entirely 

different portfolio of SPX options. 

To replicate expiring volatility index 

derivatives on their expiration dates 

with portfolios of constituent options, 

market participants generally submit 

strategy orders to participate in the 

modified HOSS procedure on exercise 

settlement value determination dates. 

The Exchange understands that the 

entry of strategy orders may lead to 

order imbalances in the option series 

being used to determine the exercise 

settlement value. To the extent (1) 

market participants seeking to replicate 

an expiring VIX derivative position are 

on one side of the market (e.g., strategy 

order to buy SPX options) and (2) those 

market participants’ orders predominate 

over other orders during the modified 

HOSS procedure, those trades may 

contribute to an order imbalance prior 

to the open. 

To provide market participants with 

time to enter additional orders and 

quotes to offset any such imbalances 

prior to the opening of these series, the 

Exchange established a strategy order 

cut-off time.8 The time period after this 

cut-off time also permits market 

participants to, among other things, 

update prices of orders and quotes 

(except, as discussed below, changes to 

or cancellations of non-strategy orders 

may not be submitted after this cut-off 

time) in response to changing market 

conditions until the open of trading.9

Generally, if a series (1) has a market 

order imbalance, or (2) is at a price that 

is outside the Exchange prescribed 

opening width (as described in Rule 

6.2(d)), the series will not open for 

trading. Prior to the open, the Exchange 

disseminates messages to market 

participants indicating the expected 

opening price for a series or imbalance 

information for that series (as 

applicable) to further encourage market 

participants to enter orders and quotes 

to offset any imbalances and to promote 

a fair and orderly opening. 

The proposed rule change first moves 

all defined terms in Interpretation and 

Policy .01 to proposed paragraph (a), 

adds certain defined terms, and revises 

and clarifies existing defined terms as 

each is used in Interpretation and Policy 

.01. Cboe Options proposes to add and 

modify the following defined terms in 

Interpretation and Policy .01 with 

respect to the modified HOSS 

procedure: 

• Volatility Index Derivatives: The 

proposed term ‘‘volatility index 

derivatives’’ means volatility index 

options listed for trading on the 

Exchange (as determined under Rule 

24.9(a)(5) and (6)), (security) futures 

listed for trading on an affiliated 

designated contract market, or over-thecounter (‘‘OTC’’) derivatives overlying a 

volatility index whose exercise or final 

settlement values, as applicable, are 

calculated pursuant to, or by reference 

to, as applicable, the modified opening 

procedure described in Interpretation 

and Policy .01. The current introductory 

paragraph to Interpretation and Policy 

.01 states the modified opening 

procedure is used on the dates on which 

the exercise and final settlement values 

are calculated for options (as 

determined under Rule 24.9(a)(5) or (6)) 

or (security) futures contracts on a 

volatility index (i.e., expiration and 

final settlement dates), which is 

consistent with the proposed definition. 

Additionally, the proposed definition 

includes OTC derivatives overlying a 

volatility index, as these derivatives 

often reference the exercise settlement 

value the Exchange determines using 

the modified HOSS procedure. 

• Exercise Settlement Value 

Determination Day: The proposed term 

‘‘exercise settlement value 

determination day’’ means a day on 

which the Exchange determines the 

exercise or final settlement value, as 

applicable, of expiring volatility index 

derivatives. This proposed definition is 

consistent with the current introductory 

paragraph in Interpretation and Policy 

.01, which refers to the date on which 

the exercise and final settlement values 

are calculated for options (as 

determined under Rule 24.9(a)(5) or (6)) 

or (security) futures contracts on a 

volatility index (i.e., expiration and 

final settlement dates) as the dates on 

which the Exchange uses the modified 

HOSS procedure set forth in 

Interpretation and Policy .01. 

• Constituent Option Series: The 

proposed term ‘‘constituent option 

series’’ means all option series listed on 

the Exchange that are used to calculate 

the exercise or final settlement value, as 

applicable, of expiring volatility index 

derivatives. The current definition of 

‘‘constituent options’’ in the current 

introductory paragraph to Interpretation 

and Policy .01 is all series used to 

calculate the exercise/final settlement 

value of the volatility index for expiring 

options and (security) futures contracts, 

which is consistent with the proposed 

definition. The proposed definition 

makes nonsubstantive changes to the 

definition and incorporates new defined 

terms. 


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10The Exchange will evaluate facts and 

circumstances to determine whether the five criteria 

are satisfied. For example, the Exchange will 

consider whether orders are for option series with 

strike prices approximating the range of series that 

are later determined to constitute the constituent 

option series for the applicable expiration based on 

facts and circumstances. Approximate range 

includes not only the beginning and end points of 

the range, but also the population of strikes within 

the range. 

11See note 6. 12See Rule 6.2(d). 13See Securities Exchange act Release No. 52367 

(August 31, 2005), 70 FR 53401 (September 8, 2005) 

(SR–CBOE–2004–86) (order approving modified 

ROS opening procedure). 

14See current Rule 6.2, Interpretation and Policy 

.01(a). The proposed rule change deletes the 

concept of being related to a trading strategy, as that 

is a broad term, and ultimately, as described in this 

rule filing, strategy orders relate specifically to 

positions in expiring volatility index derivatives, 

thus making the term ‘‘trading strategy’’ 

unnecessary. 

15See current Rule 6.2, Interpretation and Policy 

.01(A)–(C). The Exchange notes the proposed rule 

change modifies the characteristic in current .01(B) 

to provide that the orders must approximate the 

range of series that later are determined to 

constitute the constituent option series rather than 

be for the full range. The purpose of this change is 

to account for the fact that, while many market 

participants can determine what the full range and 

population of strike prices will be, they may not be 

exact. Bids and offers of series may change in 

response to market conditions between the strategy 

order cut-off time and the opening of trading, which 

may impact which series ultimately constitute the 

constituent option series. For example, with respect 

to VIX, participants may not have certainty prior to 

the strategy order cut-off time regarding which 

series will have zero-bid prices and thus be 

excluded from the settlement calculation. See VIX 

methodology at http://www.cboe.com/micro/vix/ 

vix-index-rules-and-methodology.pdf. Additionally, 

this will ensure that market participants cannot 

purposefully not enter an order for one strike 

within the range to avoid their orders being subject 

to the strategy order cut-off time. As the current rule 

provides the Exchange with significant flexibility to 

determine what constitutes a strategy order, this 

flexibility is consistent with the current rules. 

• Strategy Orders: Pursuant to the 

proposed rule change, the Exchange will 

deem individual orders (considered 

collectively) a market participant 

submits for participation in the 

modified opening procedure to be a 

‘‘strategy order,’’ based on related facts 

and circumstances 10 considered by the 

Exchange, only if the orders: 

Æ Relate to the market participant’s 

positions in expiring volatility index 

derivatives; 

Æ are for option series with the 

expiration that the Exchange will use to 

calculate the exercise or final settlement 

value, as applicable, of the applicable 

volatility index derivative; 

Æ are for option series with strike 

prices approximating the range of series 

that are later determined to constitute 

the constituent option series for the 

applicable expiration; 

Æ are for put (call) options with strike 

prices equal to or less (greater) than the 

‘‘at-the-money’’ strike price; and 

Æ have quantities approximating the 

weighting formula used to determine 

the exercise or final settlement value, as 

applicable, in accordance with the 

applicable volatility index methodology. 

Current paragraph (a) defines strategy 

orders as all orders for participation in 

the modified opening procedure that are 

related to positions in, or a trading 

strategy involving, expiring volatility 

index options or (security) futures. The 

current rule also says, in general, the 

Exchange will consider orders to be 

strategy orders for purposes of Rule 6.2, 

Interpretation and Policy .01 if the 

orders possess three characteristics: 

• The orders are for option series 

with the expiration that will be used to 

calculate the exercise or final settlement 

value of the applicable volatility index 

option or futures contract; 

• the orders are for option series 

spanning the full range of strike prices 

for the appropriate expiration for option 

series that will be used to calculate the 

exercise or final settlement value of the 

applicable volatility index option or 

futures contract, but not necessarily 

every available strike; and 

• the orders are for put options with 

strike prices less than the ‘‘at-themoney’’ strike price and for call options 

with strike prices greater than the ‘‘atthe-money’’ strike price. The orders may 

also be for put and call options with ‘‘atthe-money’’ strike prices. The current 

rule also states whether orders are 

strategy orders for purposes of Rule 6.2, 

Interpretation and Policy .01 depends 

upon specific facts and circumstances. 

Currently, the Exchange may also deem 

order types other than those provided 

above as strategy orders if the Exchange 

determines that to be the case based 

upon the applicable facts and 

circumstances. 

When the definition of strategy order 

was adopted, volatility index 

derivatives had only just begun trading. 

The Exchange believed some flexibility 

within the rules regarding what 

constituted a strategy order was 

appropriate to permit market 

participants to submit strategy orders in 

a manner consistent with their 

businesses. Additionally, flexibility 

within the rule provided the Exchange 

with the ability to gain experience in 

monitoring trading in these products 

and evaluating the use of strategy 

orders.11 However, the Exchange 

understands this flexibility has created 

some confusion among market 

participants regarding what orders 

constitute a strategy order. As a result of 

this confusion, the Exchange 

understands certain market participants 

may hesitate to submit orders in the 

modified opening procedure out of 

concern that such orders could be 

deemed either a new strategy order or a 

modification to or cancellation of an 

existing strategy order. This perceived 

risk may lead to reduced liquidity and 

may increase the time it takes to open 

a series at a competitive price.12

The proposed definition of strategy 

order limits strategy orders to strips of 

orders in constituent options series 

submitted by a market participant that 

contain the characteristics of orders that 

would replicate the exposure of the 

market participant’s expiring volatility 

index derivatives. This is consistent 

with how market participants use 

strategy orders, as discussed above, and 

is also consistent with the initial 

purpose of the strategy order cut-off 

time.13 The rule specifies that a group 

of orders must contain the five specific 

characteristics to be deemed a strategy 

order. The first characteristic in the 

proposed strategy order definition, 

which requires orders to be related to 

the market participant’s positions in 

expiring volatility index derivatives, is 

a factor under the current rule for orders 

to be deemed a strategy order.14

Similarly, under the current rule, if 

orders possess the second through 

fourth characteristics in the proposed 

definition of strategy order, the 

Exchange will generally consider those 

orders to be strategy orders for purposes 

of Rule 6.2, Interpretation and Policy 

.01.15 The fifth characteristic in the 

proposed definition of strategy orders is 

not listed in the current rule as a 

requirement for orders to be deemed 

strategy orders. However, currently, the 

Exchange generally looks for orders to 

be in quantities that approximate the 

weighting formula used in the volatility 

index methodology when determining 

whether orders are strategy orders. In 

order for groups of orders in constituent 

options series to replicate the vega 

exposure of related expiring volatility 

index derivatives, the orders in 

constituent options series would need to 

possess these quantities. 

The proposed rule change deletes the 

provision stating that the Exchange may 

also deem order types other than those 

provided in the rule as strategy orders 

if the Exchange determines it to be the 

cased based upon the applicable facts 

and circumstances. Ultimately, based on 

the Exchange’s experience of monitoring 

trading in volatility index derivatives 

and the modified opening procedure 

used on exercise settlement value 

determination days, orders intending to 

replicate the vega of expiring volatility 

index derivatives (or to liquidate a 

hedge) possess the five specified 


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Federal Register / Vol. 83, No. 177 / Wednesday, September 12, 2018 / Notices 46235 

16For example, the VIX methodology describes 

how a portfolio of options may provide a constant 

exposure to the variance of an asset, which is what 

strategy orders attempt to do. See http://

www.cboe.com/micro/vix/vix-index-rules-andmethodology.pdf. 

17As discussed above, the proposed rule retains 

some flexibility pursuant to which the Exchange 

may consider facts and circumstances to determine 

whether orders possess the five proposed criteria 

for what constitutes a strategy order, and a 

modification of a strategy order. 

18See Rule 6.2(a)(ii). 

19See Securities Exchange Act Release Nos. 

52367 (August 31, 2005), 70 FR 53401 (September 

8, 2005) (SR–CBOE–2004–86) (established initially 

for rapid opening system procedure, which his no 

longer used). 

20See Rule 6.2(a)(ii). 

21See Rule 6.2(d). 

22Currently, EOIs are disseminated every five 

seconds. Therefore, for example, if an EOI 

disseminated at 8:27:00 indicated a sell order 

imbalance of 500 contracts, a market participant’s 

submission of a buy order of 100 contracts at 8:28 

would not be a strategy order or modification of a 

previously submitted strategy order. The twominute time period is intended to provide market 

participants with sufficient time to manually enter 

an order in response to an EOI message. 

characteristics,16 and thus orders 

intended to be strategy orders would 

possess the proposed characteristics.17

The Exchange believes the proposed 

definition provides market participants 

with more clarity with respect to what 

constitutes strategy orders. The 

Exchange believes this added clarity 

may increase liquidity on volatility 

settlement dates, as it provides more 

certainty with respect to which orders 

they need to submit prior to the strategy 

order cut-off time and which orders they 

may submit after that time. 

• Non-Strategy Orders: The proposed 

term ‘‘non-strategy order’’ means any 

order (including an order in a 

constituent option series) a market 

participant submits for participation in 

the modified opening procedure that is 

not a strategy order (or a change to or 

cancellation of a strategy order). 

Examples of non-strategy orders 

include, but are not limited to: 

Æ A buy (sell) order in a constituent 

options series if an expected opening 

information message (‘‘EOI’’) 18 is 

disseminated no more than two minutes 

prior to the time a market participant 

submitted the order included a sell 

(buy) imbalance and the size of the 

order is no larger than the size of the 

imbalance in the EOI, regardless of 

whether the market participant 

previously submitted a strategy order or 

has positions in expiring volatility 

index derivatives; or 

Æ a Market-Maker bid or offer in a 

constituent option series, as set forth in 

proposed paragraph (e) (current 

paragraph (c)). 

As discussed above, the Exchange 

understands the entry of strategy orders 

may create imbalances in the 

constituent option series. To provide 

market participants with time to enter 

additional orders and quotes to offset 

any such imbalances prior to the 

opening of these series, the Exchange 

established a strategy order cut-off 

time.19 Imbalances may prevent a series 

from opening, such as if it is a market 

order imbalance (as described in Rule 

6.2(d)). Prior to the open, the Exchange 

disseminates EOIs to market 

participants indicating, among other 

things, imbalance information for series 

to further encourage market participants 

to enter orders to offset any imbalances 

and promote a fair and orderly 

opening.20 However, Rule 6.2 currently 

does not permit market participants that 

submitted strategy orders prior to the 

cut-off time to submit orders that would 

address order imbalances after the 

strategy order cut-off time in series used 

to calculate the exercise settlement 

value. 

However, if a market participant 

enters a strategy order prior to the 

strategy order cut-off time, the Exchange 

understands such market participant 

may refrain from entering orders to 

offset imbalances because of the 

perceived risk that such an order may be 

deemed to be a new strategy order or a 

change to the existing strategy order, 

which is activity the current rule does 

not permit. This perceived risk may 

reduce liquidity at the opening on 

exercise settlement value determination 

days and may increase the risk that 

some series do not open because of an 

imbalance.21

In order to promote a fair and orderly 

opening process, the Exchange seeks to 

encourage all market participants to 

enter orders following the strategy order 

cut-off time for the purpose of offsetting 

imbalances in constituent option series 

until the opening of trading., [sic] 

Accordingly, the Exchange proposes to 

add to the definition of non-strategy 

orders a buy (sell) order in a constituent 

options series if an EOI disseminated no 

more than two minutes prior to the time 

a market participant submitted the order 

included a sell (buy) imbalance and the 

size of the order is no larger than the 

size of the imbalance in the EOI,22

regardless of whether the market 

participant previously submitted a 

strategy order or has positions in 

expiring volatility derivatives. 

The purpose of permitting market 

participants to enter orders to offset 

order imbalances is not to permit them 

to modify strategy orders, but rather to 

encourage them to respond to EOIs that 

indicate an imbalance in a series exists. 

The Exchange believes explicitly 

permitting market participants to offset 

order imbalances in response to EOIs, as 

set forth in the proposed definition of 

non-strategy orders, may increase 

liquidity in series, including in 

constituent option series, which would 

contribute to a fair and orderly opening 

in those series. The Exchange 

disseminates these messages for the 

purpose of encouraging submission of 

orders to address order imbalances. 

Therefore, the Exchange does not 

believe such orders are ‘‘related to’’ 

expiring volatility index derivatives, 

and thus would not constitute a strategy 

order under the current or proposed 

definition, as discussed above. The 

Exchange believes the proposed rule 

change is consistent with the definition 

of strategy order because the proposed 

rule explicitly excludes orders 

submitted for this imbalance offsetting 

purpose from falling within the strategy 

order definition. 

The remainder of the proposed 

definition, including subparagraphs (1) 

and (3), is consistent with the current 

definition of non-strategy orders in 

current paragraph (b), and just clarifies 

examples of non-strategy orders that 

exist in the current rule. The proposed 

definition also makes nonsubstantive 

changes and incorporates new defined 

terms. 

Proposed paragraph (b) provides that, 

on exercise settlement value 

determination days, the Exchange uses 

the opening procedure described in 

Rule 6.2, as modified by Interpretation 

and Policy .01, for constituent option 

series. This clarifies that the opening 

procedure the Exchange uses for 

constituent option series on exercise 

settlement value determination days is 

the same as the opening procedure used 

for all option series on all other days, 

except as set forth in Interpretation and 

Policy .01. This proposed provision is 

consistent with the current introductory 

paragraph, and makes nonsubstantive 

changes and incorporates new defined 

terms. 

Proposed paragraph (c) states market 

participants must submit strategy 

orders, and changes to or cancellations 

of strategy orders, prior to the strategy 

order cut-off time (which the Exchange 

has currently set as 8:20 a.m. Chicago 

time). Market participants may not 

change or cancel strategy orders after 

the strategy order cut-off time, unless 

the market participant submits the 

change or cancellation (1) after the 

modified opening procedure is 

concluded; or (2) to correct a legitimate 

error, in which case the market 

participant submitting the change or 

cancellation must prepare and maintain 

a memorandum setting forth the 


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46236 Federal Register / Vol. 83, No. 177 / Wednesday, September 12, 2018 / Notices 

23 15 U.S.C. 78f(b). 

24 15 U.S.C. 78f(b)(5). 

25 Id. 

circumstances that resulted in the 

change or cancellation and submit a 

copy of the memorandum to the 

Exchange no later than the next 

business day in a form and manner 

prescribed by the Exchange. The 

Exchange determines the strategy order 

cut-off time on a class-by-class basis, 

which may be no earlier than 8:00 a.m. 

Chicago time and no later than the 

opening of trading in a series. The 

Exchange has currently set the strategy 

order cut-off time as 8:20 a.m. Chicago 

time. The Exchange will announce any 

changes to the strategy order cut-off 

time at least one day prior to 

implementation. Proposed paragraph (c) 

is substantively the same as information 

in current paragraph (a), and makes 

nonsubstantive changes and 

incorporates defined terms. Proposed 

paragraph (c) also excludes the 

description of what constitutes a 

strategy order, which was included in 

current paragraph (a) and has been 

moved to proposed paragraph (a) as a 

defined term, as discussed above. 

Proposed paragraph (d) states market 

participants must submit non-strategy 

orders prior to the non-strategy order 

cut-off time. The Exchange determines 

the non-strategy order cut-off time on a 

class-by-class basis, and it may be no 

earlier than 8:25 a.m. Chicago time and 

no later than the opening of trading in 

a series. The Exchange has currently set 

the non-strategy order cut-off time to be 

the opening of trading. The Exchange 

will announce any changes to the nonstrategy order cut-off time at least one 

day prior to implementation. Proposed 

paragraph (d) is substantively the same 

as current paragraph (b), and makes 

nonsubstantive changes and 

incorporates defined terms. Proposed 

paragraph (d) also excludes the 

description of what constitutes a nonstrategy order, which is currently 

included in current paragraph (a) and 

has been moved to proposed paragraph 

(a) as a defined term, as discussed 

above. 

The proposed rule change makes 

additional nonsubstantive changes, 

including revising the heading for 

Interpretation and Policy .01 and 

updating the paragraph lettering. 

The Exchange notes the proposed rule 

change would not impact a Trading 

Permit Holder’s requirements to abide 

by Exchange Rules 4.1 (Just and 

Equitable Principles of Trade), 4.7 

(Manipulation), and 4.18 (Prevention of 

the Misuse of Material, Nonpublic 

Information). The Exchange believes the 

proposed rule change may contribute to 

additional liquidity during the modified 

HOSS procedure, and thus a fair and 

orderly opening on exercise settlement 

value determination days. A fair and 

orderly opening in these series benefits 

all market participants who trade in the 

volatility index derivatives and the 

constituent series. The Exchange will 

continue to conduct surveillance 

procedures to monitor trading in the 

constituent option series, including but 

not limited to compliance with the 

strategy order cut-off time (in 

accordance with the proposed rule 

change). 

2. Statutory Basis 

The Exchange believes the proposed 

rule change is consistent with the 

Securities Exchange Act of 1934 (the 

‘‘Act’’) and the rules and regulations 

thereunder applicable to the Exchange 

and, in particular, the requirements of 

Section 6(b) of the Act.23 Specifically, 

the Exchange believes the proposed rule 

change is consistent with the Section 

6(b)(5) 24 requirements that the rules of 

an exchange be designed to prevent 

fraudulent and manipulative acts and 

practices, to promote just and equitable 

principles of trade, to foster cooperation 

and coordination with persons engaged 

in regulating, clearing, settling, 

processing information with respect to, 

and facilitating transactions in 

securities, 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. 

Additionally, the Exchange believes the 

proposed rule change is consistent with 

the Section 6(b)(5) 25 requirement that 

the rules of an exchange not be designed 

to permit unfair discrimination between 

customers, issuers, brokers, or dealers. 

In particular, the proposed definition 

of a strategy order provides market 

participants with additional clarity 

regarding what orders constitute 

strategy orders, and the Exchange 

believes this added clarity benefits 

investors and promotes just and 

equitable principles of trades. The 

proposed rule change with respect to 

the definition of strategy orders is 

consistent with the current definition of 

strategy orders and the Exchange’s view 

of what orders constitute a strategy 

order, as well as the legitimate purposes 

of strategy orders, because orders 

submitted for the purposes of 

constituting a strategy order generally 

possess the five specified characteristics 

(four of which are in current Rule 6.2, 

Interpretation and Policy .01(a)). 

Additionally, the proposed definition 

of non-strategy order provides market 

participants with additional clarity 

regarding orders that do not constitute 

strategy orders (and thus that may be 

submitted after the strategy-order cut-off 

time and prior to the non-strategy order 

cut-off time). The Exchange believes 

explicitly permitting market 

participants to enter orders to offset 

order imbalances in response to EOIs 

that indicate an imbalance in a series 

exists will encourage entry of orders 

when there is an imbalance in a series, 

even if market participants previously 

submitted strategy orders. This 

proposed rule change allows the 

maximum number of participants to 

address order imbalances during the 

opening process for the constituent 

option series while executing their 

investment and hedging strategies. The 

Exchange believes these changes may 

increase liquidity in series, including in 

constituent option series, to offset 

imbalances. This result would 

contribute to a fair and orderly opening 

process and would benefit all market 

participants who trade in the volatility 

index derivatives or the constituent 

option series. The Exchange also 

believes these changes are consistent 

with the original purpose of the strategy 

order cut-off time. The Exchange 

believes this additional clarity with 

respect to what is and is not a strategy 

order will provide market participants 

with more certainty with respect to 

which orders constitute strategy orders, 

and thus which orders need to be 

submitted prior to the strategy order cutoff time. It also clarifies for market 

participants the activity in which they 

may engage after the strategy order cutoff time. The Exchange believes the 

proposed reorganization of 

Interpretation and Policy .01, including 

defining all relevant terms at the 

beginning of Interpretation and Policy 

.01, also benefits market participants by 

providing additional clarity with respect 

to all defined terms for the modified 

HOSS procedure. 

The Exchange notes the proposed rule 

change would not impact a Trading 

Permit Holder’s requirements to abide 

by Exchange Rules 4.1 (Just and 

Equitable Principles of Trade), 4.7 

(Manipulation), and 4.18 (Prevention of 

the Misuse of Material, Nonpublic 

Information). The Exchange believes the 

proposed rule change may contribute to 

additional liquidity during the modified 

HOSS procedure, and thus to a fair and 

orderly opening in constituent option 

series on exercise settlement value 

determination days. A fair and orderly 

opening in these series benefits all 

market participants who trade in the 

volatility index derivatives and the 


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Federal Register / Vol. 83, No. 177 / Wednesday, September 12, 2018 / Notices 46237 

26See supra note 8. 27 17 CFR 200.30–3(a)(12). 

constituent series. The Exchange will 

continue to conduct surveillance 

procedures to monitor trading in the 

constituent option series, including but 

not limited to compliance with the 

strategy order cut-off time (in 

accordance with the proposed rule 

change). 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

Cboe Options 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. The 

proposed rule change applies in the 

same manner to all market participants 

who submit orders to the Exchange in 

constituent option series on exercise 

settlement value determination days. 

The proposed rule change, and the 

proposed definition of strategy order in 

particular, provides market participants 

with clarity for market participants with 

respect to what constitutes a strategy 

order and is generally consistent with 

the current rules and the Exchange’s 

view of what orders constitute a strategy 

order. Additionally, the proposed 

definition of non-strategy order, 

particularly the explicit permission to 

enter orders in response to EOIs that 

indicate an imbalance in a series, is 

consistent with the original intent of the 

strategy order cut-off time.26 The 

proposed rule change has no impact on 

intermarket competition, as it applies to 

orders submitted for participation in the 

Exchange’s modified opening procedure 

used to calculate settlement values for 

expiring volatility index derivatives. 

The Exchange believes the proposed 

rule change provides market 

participants with more certainty with 

respect to which orders they need to 

submit prior to the strategy order cut-off 

time and which orders they may be 

submit after that time, which may 

increase liquidity in constituent option 

series on volatility settlement dates. 

Cboe Options believes that the 

proposed rule change will relieve any 

burden on, or otherwise promote, 

competition. The Exchange believes the 

proposed rule change may contribute to 

liquidity in constituent option series 

during the modified HOSS procedure, 

and thus a fair and orderly opening on 

exercise settlement value determination 

days. A fair and orderly opening in 

these series benefits all market 

participants who trade in the volatility 

index derivatives and the constituent 

option series. 

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 

Within 45 days of the date of 

publication of this notice in the Federal 

Register or within such longer period 

up to 90 days (i) as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 

reasons for so finding or (ii) as to which 

the Exchange consents, the Commission 

will: 

A. By order approve or disapprove 

such proposed rule change, or 

B. institute proceedings to determine 

whether the proposed rule change 

should be 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 rule-comments@

sec.gov. Please include File Number SR– 

CBOE–2018–062 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–CBOE–2018–062. 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 website (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 website 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 the 

filing also will be available for 

inspection and copying at the principal 

office of the Exchange. All comments 

received will be posted without change. 

Persons submitting comments are 

cautioned that we do not redact or edit 

personal identifying information from 

comment submissions. You should 

submit only information that you wish 

to make available publicly. All 

submissions should refer to File 

Number SR–CBOE–2018–062 and 

should be submitted on or before 

October 3, 2018. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.27

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2018–19773 Filed 9–11–18; 8:45 am] 

BILLING CODE 8011–01–P 

SMALL BUSINESS ADMINISTRATION 

[Docket No. SBA–2018–0008] 

Community Advantage Pilot Program 

AGENCY: U.S. Small Business 

Administration. 

ACTION: Notice of extension of and 

changes to Community Advantage Pilot 

Program; and request for comments. 

SUMMARY: The Community Advantage 

(‘‘CA’’) Pilot Program is a pilot program 

to increase SBA-guaranteed loans to 

small businesses in underserved areas. 

The Small Business Administration 

(‘‘SBA’’) continues to refine and 

improve the design of the Community 

Advantage Pilot Program. To support 

SBA’s commitment to expanding access 

to capital for small businesses and 

entrepreneurs in underserved markets, 

SBA is issuing this Notice to extend the 

term of the CA Pilot Program, to 

mitigate risks of the program by placing 

a moratorium on accepting new CA 

Lender applications, to limit fees that 

can be collected from an applicant for 

a CA loan, and to revise other program 

requirements. 

DATES: The moratorium on accepting 

applications from lenders for 

participation in the CA Pilot Program 

and all other changes identified in this 

Notice will be effective on October 1, 


daltland on DSKBBV9HB2PROD with NOTICES