Federal Register / Vol. 77, No. 32 / Thursday, February 16, 2012 / Notices 9275 

3 In an AIM auction, described here generally, a 

TPH submits into the mechanism an order that it 

represents as agent (‘‘Agency Order’’) along with a 

contra-side order at a specified price (which must 

comply with parameters set forth in Rule 6.74A) 

and for the same size that either represents 

principal interest of the TPH or is a solicited order. 

Certain Exchange participants, as set forth in Rule 

6.74A, then can compete with the contra-side order 

by submitting bids (offers) to execute against the 

Agency Order. After better-priced orders are filled 

and public customers competing at the best price 

receive their allocations, the TPH is granted priority 

ahead of other participants to execute against 40% 

(in some circumstances 50%) of the original size of 

the Agency Order. Under the proposed rule change, 

the initiating TPH will be able to elect to have last 

priority. 

4See Securities Exchange Act Release No. 66038 

(December 22, 2011), 76 FR 82016. 

5 In approving this proposed rule change, the 

Commission has considered the proposed rule’s 

impact on efficiency, competition, and capital 

formation. See 15 U.S.C. 78c(f). 

6 15 U.S.C. 78f(b)(5). 

7The Commission notes that Chapter V, Section 

18(f)(v) of the Rules of the Boston Exchange Group, 

LLC, ‘‘The Price Improvement Period’’ (‘‘PIP’’), 

includes a similar provision that permits an options 

participant initiating a PIP auction to designate a 

lower amount than the 40% to which it is otherwise 

entitled upon the conclusion of the PIP auction. 

8 15 U.S.C. 78s(b)(2). 

9 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3The 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’’) . 

4See Securities Exchange Act Release No. 64551 

(May 26, 2011), 76 FR 32000 (June 2, 2011) 

(approving SR–CBOE–2011–026). 

5This 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. 

6See Footnote 6 of the Fees Schedule. 

7See 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 marketmaker, Clearing Trading Permit Holder and brokerdealer), including voluntary professionals and 

professionals. See Footnote 12 of the Fees Schedule. 

auction, to elect to have last priority in 

the AIM auction’s order allocation.3

The proposed rule change was 

published for comment in the Federal 

Register on December 29, 2011.4 The 

Commission received no comments on 

the proposal. 

After careful review, the Commission 

finds that the proposed rule change is 

consistent with the requirements of the 

Act and the rules and regulations 

thereunder applicable to a national 

securities exchange 5 and, in particular, 

the requirements of Section 6(b)(5) of 

the Act,6 in that it is designed to provide 

additional flexibility for TPHs to obtain 

executions on behalf of their customers 

through AIM because the initiating TPH 

may elect to have last priority. The 

Commission believes that, as a result of 

this flexibility, there may be increased 

usage of AIM auctions and the 

mechanism may attract new 

participants, thereby helping to further 

competition and to enhance the 

possibility of price improvement on 

behalf of customers.7

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,8 that the 

proposed rule change (SR–CBOE–2011– 

117) be, and it hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.9

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–3607 Filed 2–15–12; 8:45 am] 

BILLING CODE 8011–01–P 

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. 

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. 

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

For reference, the existing Volatility 

Index transactions fees that will apply 


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9276 Federal Register / Vol. 77, No. 32 / Thursday, February 16, 2012 / Notices 

8This 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. 

9See Section 3 (Floor Brokerage and Par Official 

Fees) to the Fees Schedule and Footnotes 1, 5 and 

15 of the Fees Schedule. 

10 Id. 

11 Id. 

12 Id. 

13 15 U.S.C. 78f(b). 

14 15 U.S.C. 78f(b)(4). 

15 15 U.S.C. 78s(b)(3)(A). 

16 17 CFR 240.19b–4(f)(2). 

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 MarketMaker/DPM transactions; 

• $0.25 per contract for Clearing 

Trading Permit Holder proprietary 

transactions; 8

• $0.40 per contract for broker-dealer 

transactions; 

• $0.10 per contract CFLEX Surcharge 

Fee; 

$0.03 per contract floor brokerage 

fee; 9

• $0.015 per contract floor brokerage 

fee for crossed orders; 10

• $0.03 per contract par official fee; 11

and 

• $0.015 per contract for par official 

fee for crossed orders.12

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. 

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. 

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 rulecomments@sec.gov. 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– 


srobinson on DSK4SPTVN1PROD with NOTICES
Federal Register / Vol. 77, No. 32 / Thursday, February 16, 2012 / Notices 9277 

17 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3An IOI is a non-displayed indication of symbol, 

size and side, which does not interact with the 

NYSE Arca Book. At their discretion, participating 

ETP Holders and Market Makers may send an IOI 

to the Exchange, which in turn will consider the IOI 

when determining potential destinations for 

outbound routes. See Securities Exchange Act 

Release No. 58397 (August 20, 2008), 73 FR 50389 

(August 26, 2008) (SR–NYSEArca–2008–83). 

4A Tracking Order is an undisplayed, priced 

round lot order that is eligible for execution in the 

Tracking Order Process against orders equal to or 

less than the aggregate size of Tracking Order 

interest available at that price. See NYSE Arca 

Equities Rule 7.31(f). 

5See Securities Exchange Act Release No. 60495 

(August 13, 2009), 74 FR 41957 (August 19, 2009) 

(SR–NYSEArca–2009–72). The Exchange proposed 

an incremental credit in an effort to attract and 

enhance participation in the IOI program, by 

offering attractive rebates and volume based 

incentives. 

6See Securities Exchange Act Release No. 60944 

(November 5, 2009), 74 FR 58668 (November 13, 

2009) (SR–NYSEArca–2009–99). The Exchange 

proposed to add new transaction credits stemming 

from the use of Tracking Orders in an effort to 

enhance participation on the Exchange and to offer 

increased liquidity to ETP Holders and Market 

Makers. 

7 15 U.S.C. 78f(b). 

8 15 U.S.C. 78f(b)(4). 

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

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–3641 Filed 2–15–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66379; File No. SR– 

NYSEArca–2012–11] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change Amending the NYSE Arca 

Equities Fee Schedule Increasing the 

Indication of Interest Tier 1 Credit and 

the Tracking Order Tier 1 Credit for 

ETP Holders and Market Makers 

February 10, 2012. 

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 February 

1, 2012, NYSE Arca, Inc. (the 

‘‘Exchange’’ or ‘‘NYSE Arca’’) 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 

The Exchange proposes to amend the 

NYSE Arca Equities Fee Schedule (‘‘Fee 

Schedule’’) to increase the indication of 

interest (‘‘IOI’’) Tier 1 credit and the 

Tracking Order Tier 1 credit for ETP 

Holders and Market Makers. The text of 

the proposed rule change is available at 

the Exchange, the Commission’s Public 

Reference Room, and www.nyse.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 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 the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend the 

Fee Schedule to increase the IOI Tier 1 

credit 3 and the Tracking Order 4 Tier 1 

credit for ETP Holders and Market 

Makers. The credits are designed to 

attract trading interest to and promote 

liquidity on the Exchange. The 

Exchange does not propose to make any 

changes to the other IOI or Tracking 

Order Tiers. 

IOI Tier 1 Credit 

Currently, an IOI Tier 1 credit is 

offered to each ETP Holder and Market 

Maker that send IOIs to the Exchange 

resulting in executions with an average 

daily share volume (‘‘ADV’’) per month 

greater than or equal to 10 million 

shares in Tape A, B, and C securities. 

The credit is $0.0012 per share for each 

share up to and including 15 million 

shares and $0.0015 per share for each 

share in excess of 15 million shares.5

The Exchange proposes to amend the 

IOI Tier 1 credit so that each ETP 

Holder and Market Maker will receive a 

credit of $0.0015 per share for all shares 

if its IOIs result in executions on the 

Exchange with an ADV per month 

greater than 15 million shares. The 

Exchange will continue to provide a 

$0.0012 credit per share for IOIs sent to 

the Exchange resulting in executions 

with an ADV per month up to and 

including 15 million shares (assuming 

the 10 million share threshold is met). 

For example, under the current Fee 

Schedule, if an ETP Holder sends IOIs 

to the Exchange resulting in executions 

with an ADV per month of 17 million 

shares, the ETP Holder receives a 

$0.0012 per share credit for the first 15 

million shares and a $0.0015 per share 

credit for the 2 million shares in excess 

of the 15 million shares. Under the 

proposed Fee Schedule, the ETP Holder 

will receive a $0.0015 per share credit 

for all 17 million shares. 

Tracking Order Tier 1 

Currently, the Tracking Order Tier 1 

credit is offered to each ETP Holder and 

Market Maker that sends Tracking 

Orders to the Exchange resulting in 

executions with an ADV per month 

greater than or equal to 5 million shares 

in Tape A, B, and C securities.6 The 

credit is $0.0012 per share for each 

share up to and including 15 million 

shares and $0.0015 per share for each 

share in excess of 15 million shares. 

The Exchange proposes to amend the 

Tracking Order Tier 1 credit so that each 

ETP Holder and Market Maker will 

receive a credit of $0.0015 per share for 

all shares if its Tracking Orders result in 

executions on the Exchange with an 

ADV per month greater than 15 million 

shares. The Exchange will continue to 

credit ETP Holders $0.0012 per share for 

Tracking Orders that result in 

executions up to and including 15 

million shares (assuming the 5 million 

share threshold is met). 

For example, under the current Fee 

Schedule, if an ETP Holder sends 

Tracking Orders to the Exchange 

resulting in executions with an ADV per 

month of 17 million shares, the ETP 

Holder receives a $0.0012 per share 

credit for the first 15 million shares and 

a $0.0015 per share credit for the 

remaining 2 million shares. Under the 

proposed Fee Schedule, the ETP Holder 

will receive a $0.0015 per share credit 

for all 17 million shares. 

2. Statutory Basis 

The Exchange believes that the 

proposed rule change is consistent with 

Section 6(b) of the Securities Exchange 

Act of 1934 (the ‘‘Act’’),7 in general, and 

Section 6(b)(4) of the Act,8 in particular, 

in that it is designed to provide for the 

equitable allocation of reasonable dues, 

fees, and other charges among its 

members and other persons using its 

facilities. The proposed change is 


srobinson on DSK4SPTVN1PROD with NOTICES