[Federal Register Volume 80, Number 46 (Tuesday, March 10, 2015)]
[Notices]
[Pages 12680-12687]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-05476]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-74422; File No SR-CBOE-2015-020]


Self-Regulatory Organizations; Chicago Board Options Exchange, 
Incorporated; Notice of Filing and Immediate Effectiveness of a 
Proposed Rule Change To Amend Its Fees Schedule To Adopt Fees for 
Extended Trading Hours

March 4, 2015.
    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 18, 2015, Chicago Board Options Exchange, Incorporated 
(the ``Exchange'' or ``CBOE'') filed with the Securities and Exchange 
Commission (the ``Commission'') the proposed rule change as described 
in Items I, II, and III below, which Items have been prepared by the 
Exchange. The Commission is publishing this notice to solicit comments 
on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to adopt fees for its Extended Trading Hours 
session. The text of the proposed rule change is available on the 
Exchange's Web site (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

[[Page 12681]]

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

1. Purpose
    The Exchange recently amended its rules to offer trading in two 
exclusively listed options (SPX, including SPXW, and VIX) during 
extended trading hours from 2:00 a.m. to 8:15 a.m. Chicago time Monday 
through Friday (``Extended Trading Hours'' or ``ETH''). The Exchange 
intends to commence trading in the ETH session on Monday, March 2, 2015 
for VIX and Monday, March 9, 2015 for SPX/SPXW. As such, the Exchange 
proposes to establish fees for the trading of SPX, SPXW and VIX options 
during ETH (all fees referenced herein are per-contract unless 
otherwise stated). First, the Exchange proposes to adopt Footnote 37, 
which provides general information regarding the two trading sessions 
and indicates which products will be available in ETH.
Transaction Fees
    The Exchange proposes to assess the same fees regarding SPX, SPXW 
and VIX in the ETH session as are assessed regarding SPX, SPXW and VIX 
in the Regular Trading Hours session (``RTH'') \3\ (with a few 
exceptions, which shall be explained herein). As in RTH, the 
Proprietary Index Options Rate Table will apply during ETH. Transaction 
fees for SPX (including SPXW) options will be as follows (all listed 
rates are per contract):
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    \3\ Rule 1.1(qqq) defines ``Regular Trading Hours'' as the hours 
during which transactions in options may be made on the Exchange as 
set forth in Rule 6.1 (which hours are from 8:30 a.m. to either. 
3:00 p.m. or 3:15 p.m. Chicago time).

------------------------------------------------------------------------
 
------------------------------------------------------------------------
Customer (Premium > or = $1)...................................    $0.44
Customer (Premium <$1).........................................     0.35
Clearing Trading Permit Holder Proprietary.....................     0.25
CBOE Market-Maker/LMM..........................................     0.20
Joint Back-Office, Broker-Dealer, Non-Trading Permit Holder         0.40
 Market-Maker..................................................
Professional/Voluntary Professional (Premium > or = $1)........     0.40
Professional/Voluntary Professional (Premium <$1)..............     0.40
------------------------------------------------------------------------

    Transaction fees for VIX options will be as follows (all listed 
rates are per contract):

------------------------------------------------------------------------
 
------------------------------------------------------------------------
Customer (Premium > or = $1)...................................    $0.48
Customer (Premium $0.11-$.99)..................................     0.27
Customer (Premium <$0.11)......................................     0.10
Clearing Trading Permit Holder Proprietary.....................     0.25
CBOE Market-Maker/LMM (Premium > or = $0.11)...................     0.23
CBOE Market-Maker/LMM (Premium <$0.11).........................     0.05
Joint Back-Office, Broker-Dealer, Non-Trading Permit Holder         0.40
 Market-Maker..................................................
Professional/Voluntary Professional............................     0.40
------------------------------------------------------------------------

Surcharges
    The Exchange also proposes to apply in ETH, like RTH, an Index 
License Surcharge Fee of $0.13 per contract for SPX options, including 
SPXW, and $0.10 per contract for VIX options for all non-customer 
orders. The surcharges are assessed to help the Exchange recoup license 
fees the Exchange pays to index licensors for the right to list S&P 500 
Index-based products and volatility index options for trading. 
Additionally, in order to have consistency and to avoid a cost 
differential between the ETH and RTH sessions, the Exchange proposes to 
apply the Customer Priority Surcharges for VIX and SPXW in ETH. 
Specifically, as in RTH, all customer (C) contracts in VIX that have a 
premium of $0.11 or greater, are executed electronically and that are 
Maker non-Turner will be assessed a $0.10 surcharge.\4\ As in RTH, all 
customer (C) contracts in SPXW executed electronically will be assessed 
a $0.05 surcharge. The Exchange notes that as ETH opening trades will 
not affect the Index Settlement price for VXST, the exception from the 
SPXW Customer Priority Surcharge in RTH for SPXW options in the SPXW 
electronic book that are executed during opening rotation on the final 
settlement day of VXST options and futures and which have the 
expiration that contribute to the VXST settlement calculation will not 
exist in ETH.
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    \4\ As of the date of this filing, the Customer Priority 
Surcharge for VIX is waived for complex orders. This waiver will 
also apply during ETH and will remain in effect until and unless a 
rule filing is submitted reinstating the surcharge for VIX complex 
orders. See Exchange Fees Schedule, Customer Priority Surcharge.
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Exceptions
    All of the proposed transaction fees and surcharges listed above 
are the same amounts as those currently assessed for SPX, SPXW and VIX 
during RTH, with certain exceptions. The first exception relates to 
Professional/Voluntary Professional (``W'' origin code) fees.\5\ 
Particularly, the Exchange notes that SPX is traded on the Exchange's 
Hybrid 3.0 system (``Hybrid 3.0'') during RTH, and the Professional and 
Voluntary Professional designation is not available in Hybrid 3.0 
classes. As such, Professionals and Voluntary Professionals trading SPX 
are currently assessed the same fee amounts as customers during RTH. 
During ETH however, SPX will be traded on the Hybrid Trading System 
(``Hybrid''), which recognizes the difference between Professionals/
Voluntary Professionals and Customers. Accordingly, the Exchange 
proposes to assess to Professionals/Voluntary Professionals the same 
fee amount for SPX transactions during ETH as apply to the majority of 
other proprietary index options trading on Hybrid (i.e., $0.40 per 
contract). The Exchange also proposes to assess the Index License 
Surcharge to SPX orders with the ``W'' origin code during ETH.
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    \5\ See Exchange Fees Schedule, Proprietary Index Options Rate 
Table--Underlying Symbol List A.
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    In order to have consistency between the two trading sessions, the 
Exchange also proposes to provide that SPX orders that have a 
Professional/Voluntary Professional designation (``W'' origin code) 
during RTH will be assessed the same transaction fees as apply to the 
other Underlying Symbol List A \6\ Products (i.e., $0.40 per contract). 
The Exchange also proposes to apply the Index License Surcharge to SPX 
orders that have a Professional/Voluntary Professional designation 
during RTH (i.e., $0.13 per contract). The purpose of these proposed 
rule changes is to minimize cost differentials between the two trading 
sessions, as well as provide consistent fees for similar products. 
Specifically, similarly situated Trading Permit Holders (``TPHs'') 
(i.e., Professional/Voluntary Professionals) will be assessed the same 
transaction fees and Index License Surcharges regardless of session.
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    \6\ As of the date of this filing, ``Underlying Symbol List A'' 
consists of OEX, XEO, SPX (including SPXW), SPXpm, SRO, VIX, VXST, 
Volatility Indexes and binary options.
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    Next, the Exchange notes that during RTH, the Automated Improvement 
Mechanism (``AIM'') is activated for VIX options, but not SPX (or SPXW) 
options. During ETH however, AIM will be activated for both VIX and SPX 
(including SPXW) options. As such, SPX and SPXW transactions executed 
via AIM during ETH will be assessed AIM Agency/Primary and AIM Contra 
fees based on an order's origin code. As in RTH, the current AIM 
Agency/Primary and AIM Contra fees for VIX options will apply during 
ETH. The Exchange also proposes to make a minor, non-substantive change 
to the title of the AIM fees column.

[[Page 12682]]

Particularly, the Exchange notes that throughout the Fees Schedule, 
when listing proprietary products, ``VIX'' generally precedes ``VXST.'' 
To remain consistent, the Exchange proposes switching the order of 
these products in the AIM fees column.
    The Exchange next notes that the Hybrid 3.0 Execution Surcharge 
will not apply in ETH. As described above, while SPX is traded on 
Hybrid 3.0 during RTH, SPX will be traded on Hybrid during ETH, and 
thus the Hybrid 3.0 Execution Surcharge would not be applicable. 
Additionally, the Exchange notes that as the ETH session will not 
support trading in FLEX options, all fees relating to FLEX in RTH, 
would not apply in ETH. Finally, unlike RTH, the Exchange does not 
propose to assess a Tier Appointment Fee \7\ to SPX/SPXW or VIX at this 
time, as the Exchange does not want to discourage Market-Makers from 
participating in ETH.
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    \7\ See Exchange Fees Schedule, Trading Permit and Tier 
Appointment Fees Table.
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LMM Rebate
    In the filing that adopted Extended Trading Hours, CBOE stated that 
it would submit a separate rule filing to adopt all fees applicable to 
Extended Trading Hours, including the amount of a rebate to be provided 
to Lead Market-Makers (``LMMs'') that satisfy a heightened quoting 
standard.\8\ Accordingly, the Exchange proposes to provide that LMM's 
that meet a certain heightened quoting standard (which shall be 
explained herein), will receive a pro-rata share of a ``compensation 
pool'' equal to $25,000 times the number of LMMs in that class.
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    \8\ See Securities Exchange Act Release No. 34-73704 (November 
28, 2014), 79 FR 233 (December 4, 2014) (SR-CBOE-2014-062).
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    By way of background, pursuant to subparagraph (e)(iii)(A) of Rule 
6.1A, the Exchange may approve one or more Market-Makers to act as LMMs 
in each class during Extended Trading Hours in accordance with Rule 
8.15A for terms of at least one month.\9\ However, to the extent the 
Exchange approves Market-Makers to act as LMMs during ETH, subparagraph 
(e)(iii)(B) of Rule 6.1A provides that LMMs must comply with the 
continuous quoting obligation and other obligations of Market-Makers 
described in subparagraph (ii) of Rule 6.1A,\10\ but not the 
obligations set forth in Rule 8.15A \11\ during Extended Trading Hours 
for their allocated classes. It further provides that LMMs do not 
receive a participation entitlement as set forth in Rules 6.45B and 
8.15B during ETH. Rather, pursuant to subparagraph (e)(iii)(C) of Rule 
6.1A, if an LMM (1) provides continuous electronic quotes in at least 
the lesser of 99% of the non-adjusted series or 100% of the non-
adjusted series minus one call-put pair in an ETH allocated class 
(excluding intra-day add-on series on the day during which such series 
are added for trading) during ETH in a given month and (2) ensures an 
opening of the same percentage of series by 2:05 a.m. for at least 90% 
of the trading days during ETH in a given month, the LMM will receive a 
rebate for that month in an amount to be set forth in the Fees 
Schedule.\12\ Specifically, the Exchange proposes to provide in the 
Fees Schedule (new Footnotes 38) that if a LMM meets the heightened 
standard described above, the LMM will receive a pro-rata share of an 
LMM compensation pool totaling an amount of $25,000 per month, per LMM, 
per class. To clarify how the rebate will work, the Exchange proposes 
to include in the Fees Schedule the following example: ``if three LMMs 
are appointed in SPX, a compensation pool will be established each 
month totaling $75,000. If each LMM meets the heightened continuous 
quoting standard in SPX during a month, each will receive $25,000. If 
two LMM's meet the heightened continuous quoting standard in SPX during 
a month, those two LMM's would each receive $37,500 and the third LMM 
would receive nothing. If only one LMM meets the heightened continuous 
quoting standard in SPX during a month, that LMM would receive $75,000 
and the other two would receive nothing.''
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    \9\ On September 22, 2014, the Exchange issued Regulatory 
Circular RG14-134 which announced that the Exchange had appointed 3 
LMMs in SPX options and 3 LMMs in VIX options during ETH. The LMM 
appointments will be effective for a one-year period, beginning on 
the launch date for ETH trading of the applicable class.
    \10\ Rule 6.1A(e)(ii) provides that notwithstanding the 20% 
contract volume requirement in Rule 8.7(d)(ii), Market-Makers with 
appointments during Extended Trading Hours must comply with the 
quoting obligations set forth in Rule 8.7(d)(ii) (except during ETH 
the Exchange may determine to have no bid/ask differential 
requirements as set forth in subparagraph (A) and there will be no 
open outcry quoting obligation as set forth in subparagraph (C)) and 
all other obligations set forth in Rule 8.7 during that trading 
session. Additionally, notwithstanding the 90-day and next calendar 
quarter delay requirements in Rule 8.7(d), a Market-Maker with an 
ETH appointment in a class must immediately comply with the quoting 
obligations in Rule 8.7(d)(ii) during ETH.
    \11\ Rule 8.15A (and Rule 1.1(ccc)) requires LMMs to provide 
continuous electronic quotes in at least the lesser of 99% of the 
non-adjusted series or 100% of the non-adjusted series minus one 
call-put pair within their appointed classes, with the term call-put 
pair referring to one call and one put that cover the same 
underlying instrument and have the same expiration date and exercise 
price, for 90% of the time.
    \12\ Notwithstanding Rule 1.1(ccc), for purposes of subparagraph 
(C) of Rule 6.1A, an LMM is deemed to have provided ``continuous 
electronic quotes'' if the LMM provides electronic two-sided quotes 
for 90% of the time during Extended Trading Hours in a given month. 
If a technical failure or limitation of a system of the Exchange 
prevents the LMM from maintaining, or prevents the LMM from 
communicating to the Exchange, timely and accurate electronic quotes 
in a class, the duration of such failure shall not be considered in 
determining whether the LMM has satisfied the 90% quoting standard 
with respect to that option class. The Exchange may consider other 
exceptions to this quoting standard based on demonstrated legal or 
regulatory requirements or other mitigating circumstances.
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    In establishing the rebate, the Exchange believed it was more 
fitting to implement an incentive program with a rebate during ETH, 
rather than the obligation/benefit structure that currently exists 
during RTH. LMMs will not be obligated to satisfy heightened continuous 
quoting and opening quoting standards during ETH. Instead, LMMs must 
satisfy a heightened standard to receive a rebate, which the Exchange 
believes will encourage LMMs to provide significant liquidity during 
ETH. Additionally, the Exchange notes that it expects that TPHs may 
need to undertake significant expenses to be able to quote at a 
significantly heightened standard during ETH, such as performing system 
work and adding personnel. The Exchange believes providing a rebate 
will incent appointed LMMs to increase liquidity during ETH, as the 
rebate could offset the costs that accompany providing quotes during 
ETH.
CBOE Proprietary Products Sliding Scale
    Next, the Exchange proposes to apply the CBOE Proprietary Products 
Sliding Scale in ETH. The CBOE Proprietary Products Sliding Scale table 
provides that Clearing Trading Permit Holder Proprietary transaction 
fees and transaction fees for Non-Clearing Trading Permit Holder 
Affiliates in Underlying Symbol List A \13\ are reduced provided a 
Clearing Trading Permit Holder (``Clearing TPH'') reaches certain 
average daily volume (``ADV'') thresholds in all underlying symbols 
excluding Underlying Symbol List A and mini-options on the Exchange in 
a month. The Exchange proposes to provide that if a TPH reaches these 
thresholds in RTH, that TPH would be entitled to reduced proprietary 
transaction fees during both RTH and ETH. Specifically, if a TPH meets 
the ADV thresholds in all underlying symbols excluding Underlying 
Symbol

[[Page 12683]]

List A and mini-options, the Exchange would then calculate the 
proprietary product volume thresholds by aggregating VIX and SPX/SPXW 
volume in ETH with RTH volume in Underlying Symbol List A (i.e., a 
TPH's total volume in Underlying Symbol List A during both RTH and ETH 
in a calendar month would be divided by the total volume in Underlying 
Symbol List A executed with an ``F'' or ``L'' origin code during both 
RTH and ETH in the same calendar month).\14\ The Exchange proposes to 
apply the Proprietary Products Sliding Scale during ETH in order to 
avoid a cost differential between the two sessions. Additionally, the 
Exchange believes applying the CBOE Proprietary Products Sliding Scale 
to the ETH session will encourage Clearing TPHs to provide liquidity 
during ETH.
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    \13\ SROs are currently excluded from the CBOE Proprietary 
Products Sliding Scale. See Exchange Fees Schedule, CBOE Proprietary 
Products Sliding Scale.
    \14\ For example, Clearing Trading Permit Holder A executes ADV 
of 25,000 options contracts on CBOE across all classes excluding 
Underlying Symbol List A and Mini-Options during RTH in March 2015. 
Clearing Trading Permit Holder A also executes a total of 600,000 
Firm (F or L origin code) contracts in Underlying Symbol List A 
during RTH and 200,000 Firm (F or L origin code) contracts in SPX 
and/or VIX during ETH in March 2015. In March 2015, 7,605,000 total 
Firm (F or L origin code) options contracts in Underlying Symbol 
List A are executed on CBOE during RTH and 4,095,000 total Firm (F 
or L origin code) options contracts in SPX and VIX are executed 
during ETH (for a monthly total of 11,700,000 Firm contracts). 
Clearing Trading Permit Holder A's total 800,000 contracts 
represents 6.84% of the total monthly Firm (F or L origin code) 
options contracts volume in Underlying Symbol List A. Trading Permit 
Holder A's transaction fees for classes in Underlying Symbol List A 
for January 2015 are $0.20 per contract on the first 760,500 
contracts (6.50% x 11,700,000), or $152,100, and $0.10 per contract 
on the remaining 39,500 contracts, or $3,950, for a total of 
$156,050, or $0.195/contract.
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Customer Large Trade Discount
    The Customer Large Trade Discount program (the ``Discount'') 
provides a discount in the form of a cap on the quantity of customer 
(``C'' origin code'') contracts that are assessed transactions fees in 
certain options classes. The Discount table currently in the Fees 
Schedule sets forth the quantity of contracts necessary for a large 
customer trade to qualify for the Discount, which varies by product. 
Currently, under the ``Products'' section in the Discount table, the 
following S&P products for which the Discount is in effect are listed: 
``SPX, SPXw, SPXpm, SRO.'' Customer transaction fees for each of these 
products are currently charged up to the first 15,000 contracts in a 
qualifying customer transaction. Additionally, the Fees Schedule 
currently provides that regular customer transaction fees will only be 
assessed for the first 10,000 VIX options contracts in a qualifying 
customer transaction. The Exchange proposes to apply the Discount in 
ETH, the same as RTH. The Exchange notes however, that as the trading 
sessions will have separate order books and require separate logins for 
access, and as there will be no ``rolling'' of orders by the Exchange 
between the two sessions, in order to be eligible to qualify for the 
Discount, an order must be executed in its entirety in either RTH or 
ETH, but not partly in both. As in many cases there will be separate 
personnel staffing the ETH and RTH sessions, with different logins, 
different systems and different customer relationships, and as orders 
entered into each session will have different Order Routing System 
(ORS) IDs, and as there will be no Floor Broker participants in ETH 
who, during a normal RTH session may need to execute a large and/or 
complex order using different means and mechanisms, the Exchange does 
not wish to offer a cross-session Discount program at this time.
Trading Permits
    The Exchange next seeks to set forth the access fees for ETH 
Trading Permit types as well as a description of each Trading Permit 
type. Specifically, the Exchange proposes to charge $1,000 per month 
for each ETH Market-Maker Trading Permit and $500 per month for each 
ETH Electronic Access Trading Permit. The ETH Market-Maker Trading 
Permit will entitle the holder to act as a Market-Maker in ETH and will 
provide an appointment credit of 1.0, a quoting and order entry 
bandwidth allowance, and up to three logins. The ETH Electronic Access 
Permit will entitle the holder to electronic access to the Exchange 
during the ETH session. The Exchange notes that as during the RTH 
session, holders of an ETH Electronic Access Permit must be broker-
dealers registered with the Exchange in one or more of the following 
capacities: (a) Clearing Trading Permit Holder; (b) TPH organization 
approved to transact business with the public; and (c) Proprietary 
Trading Permit Holder. Additionally, the Exchange notes that a 
Proprietary Trading Permit Holder is a Trading Permit Holder with 
electronic access to the Exchange to submit proprietary orders that are 
not Market-Maker orders (i.e., that are not M orders for the 
Proprietary Trading Permit Holder's own account or an affiliated 
Market-Maker account). Finally, the ETH Electronic Access Permit 
provides an order entry bandwidth allowance and up to three logins. The 
Exchange notes, that similar to RTH, Trading Permits purchased for the 
ETH session will be renewed automatically for the next month unless the 
Trading Permit Holder submits written notification to the Registration 
Services Department by 4:00 p.m. Central Standard Time on the second-
to-last business day of the prior month to cancel the Trading Permit 
effective at or prior to the end of the applicable month. Additionally, 
if a Trading Permit is issued during a calendar month after the first 
trading day of the month, the access fee for the ETH Trading Permit for 
that calendar month is prorated based on the remaining trading days in 
the calendar month. Finally, the Exchange notes that as in RTH, Market-
Maker Trading Permits in ETH will not be eligible for the the Market-
Maker Trading Permit Sliding Scale, as the scale does not apply to 
Trading Permits used for appointments in SPX/SPXW and VIX.\15\
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    \15\ See Exchange Fees Schedule, Market-Maker Trading Permit 
Sliding Scale.
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Bandwidth Packets
    The Exchange also proposes to establish fees for Bandwidth Packets 
that may be used during ETH. By way of background, each RTH and ETH 
Trading Permit entitles the holder to a maximum number of orders and 
quotes per second(s) as determined by the Exchange. Bandwidth Packets 
provide TPHs with additional bandwidth. As during RTH, Market-Makers in 
ETH will be provided the opportunity to purchase one or more Quoting 
and Order Entry Bandwidth Packets. Each Quoting and Order Entry 
Bandwidth Packet will entitle the TPH up to three additional logins and 
contain the standard Market-Maker quoting and order entry bandwidth 
allowance, which may then be added onto the total bandwidth pool for a 
Market-Maker's acronym(s) and ETH Trading Permit(s) without the Market-
Maker having to obtain additional ETH Trading Permits. Additionally, 
all TPHs will have the opportunity to purchase one or more Order Entry 
Bandwidth Packets. Each Order Entry Bandwidth Packet will entitle the 
TPH up to three additional logins and an order entry bandwidth 
allowance to use during the ETH session. The Exchange notes that 
Bandwidth Packets purchased for RTH may not be applied during ETH and 
Bandwidth Packets purchased for ETH may not be applied during RTH. 
Similar to RTH, Bandwidth Packets purchased for the ETH session will be 
renewed automatically for the next month unless the Trading Permit 
Holder submits written notification to the Registration Services 
Department by the last business day of the prior month to cancel the 
bandwidth packet effective at or prior to the end of the applicable

[[Page 12684]]

month. Additionally, as in RTH, if a bandwidth packet is issued during 
a calendar month after the first trading day of the month, the 
bandwidth packet fee for that calendar month is prorated based on the 
remaining trading days in the calendar month. The Exchange notes that a 
TPH will only be able to request Bandwidth Packets during RTH. To 
request an additional Bandwidth Packet, a TPH must submit the ETH 
Trading Permit & Bandwidth Packet Additions/Removals form indicating 
the date on which it intends to begin trading during ETH.
    Additionally, the Exchange notes that the Fees Schedule states that 
the quoting bandwidth allowance for a Market-Maker Trading Permit is 
equivalent to a maximum of 35,640,000 quotes over the course of a 
trading day. The Exchange intends to amend the Fees Schedule to clarify 
that quoting bandwidth allowance for a Market-Maker Trading Permit is 
equivalent to a maximum of 35,640,000 quotes over the course of a 
trading session (i.e., a RTH and ETH Market-Maker Trading Permit each 
have a quoting bandwidth allowance of 35,640,000 quotes over the course 
of the RTH and ETH session, respectively).
Waiver of Trading Permit and Bandwidth Packet Fees
    In order to promote and encourage trading during the ETH session, 
the Exchange proposes to waive ETH Trading Permit and Bandwidth Packet 
fees for one (1) of each initial Trading Permits and one (1) of each 
initial Bandwidth Packet, per affiliated TPH, through the first six (6) 
calendar months immediately following the implementation of ETH, 
including the month ETH is launched (i.e., August 31, 2015). Any 
Trading Permits and Bandwidth Packets purchased in excess of one each, 
will be assessed the fees described above.
Extra CAS Server Fees
    In order to connect to CBOE Command, which will allow a TPH to 
trade on the CBOE System during ETH, a TPH must connect via either a 
CMI or FIX interface (depending on the configuration of the TPH's own 
systems). TPHs that connect via a CMI interface must use CMI CAS 
Servers. The Exchange proposes to provide that each TPH in ETH will 
receive one CAS Server (plus access to a pool of shared backup CAS 
Servers). If a TPH elects to connect via an extra CMI CAS Server (in 
order to segregate TPH users for business or availability purposes) 
beyond the one CAS server, the Exchange proposes to provide that the 
TPH will be assessed a fee of $10,000 per month for each additional CMI 
CAS Server. The purpose of the fee for extra CMI CAS Servers is to 
cover the costs related to the provision, management and upkeep of such 
CMI CAS Servers for the ETH session. Additionally, the proposed change 
prevents the Exchange from being required to expend large amounts of 
resources (the provision and management of the CMI CAS Servers can be 
costly) in order to provide TPHs with an unlimited amount of CMI CAS 
Servers.
CBOE Command Connectivity Charges
    By way of background, CBOE market participants can access the 
Exchange's trading systems via Network Access Ports, and can elect for 
a Network Access Port (or Ports) of either 1 gigabit per second 
(``Gbps'') or 10 Gbps. Currently, the Exchange assesses a fee of $750 
per month for a 1 Gbps Network Access Port and a fee of $3,500 per 
month for a 10 Gbps Network Access Port. The Exchange notes that these 
fees would also be applicable to a TPH that holds an ETH Trading 
Permit. More specifically, if a TPH that holds an ETH Trading Permit, 
also holds an RTH Trading Permit(s) and already is assessed this fee, 
it would not be charged twice. A TPH that holds only an ETH Trading 
Permit (or only an RTH Trading Permit) would be subject to these fees 
(i.e., any Trading Permit Holder that accesses the exchange via Network 
Access Ports would be subject to the fee).
    Additionally, the CMI Login ID and FIX Login ID fees, which are 
currently $500 per Login ID, per month, will also be applicable to ETH. 
However, the Exchange notes that the fees related to waived ETH trading 
permits and/or waived ETH bandwidth packets will also be waived through 
August 31, 2015.\16\
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    \16\ For example, if a TPH has 2 ETH Market-Maker Trading 
Permits and enables 5 logins, the CMI and/or FIX Login IDs for the 
first 3 logins will be waived and the TPH will be assessed $1,000 
per month for the logins associated with the second Trading Permit 
($500 per login).
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PULSe Fees
    The Exchange currently charges a fee of $400 per month per PULSe 
TPH login ID for the first 15 login IDs and $100 per month for all 
subsequent login IDs. The Exchange anticipates making PULSe available 
during ETH. The Exchange notes that these fees would also be applicable 
to a TPH during ETH. Particularly, if a TPH is already being assessed 
the PULSe login ID fees during RTH, the TPH would not be charged again 
for using the same login ID during ETH.
Miscellaneous Fees
    The Exchange notes that a number of fees apply the same in ETH as 
in RTH. For example, the fees set forth in the Trading Permit Holder 
Application Fees table are applicable for the ETH session (i.e., if a 
non-CBOE TPH seeks to become a CBOE TPH and hold an ETH Trading Permit 
only, the applicable application fees would apply). Similarly, Web CRD 
Fees would also apply to TPHs that hold ETH Trading Permits only to the 
extent applicable. The Trading Permit Holder Transaction Fee Policies 
and Rebate Programs table in the Fees Schedule will also apply during 
ETH.\17\
---------------------------------------------------------------------------

    \17\ See Exchange Fees Schedule, Trading Permit Holder 
Transaction Fee Policies and Rebate Programs table.
---------------------------------------------------------------------------

    The Trade Processing Services fee will also be assessed during the 
ETH session. Currently, the Exchange assesses a $0.0025 fee per 
contract side for each matched trade. The Exchange notes that the 
Regulatory Fees also are applicable to TPHs who hold ETH Trading 
Permits. Specifically, the Options Regulatory Fee (``ORF'') will 
include options transactions executed or cleared by the TPH that are 
cleared by the Options Clearing Corporation (OCC) in the customer range 
during both RTH and ETH. The ``DPM's and Firm Designated Examining 
Authority Fee'' will also continue to apply to applicable TPHs.
    The Exchange lastly notes that fees, rebates and programs that 
excluded SPX, SPXW and VIX during RTH will also not apply in ETH.\18\
---------------------------------------------------------------------------

    \18\ See e.g., Exchange Fees Schedule, Liquidity Provider 
Sliding Scale, Marketing Fee, Clearing Trading Permit Holder Fee 
Cap, and Volume Incentive Program (``VIP'').
---------------------------------------------------------------------------

    The proposed changes are to take effect on March 2, 2015.
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.\19\ Specifically, the 
Exchange believes the proposed rule change is consistent with the 
Section 6(b)(5) \20\ 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

[[Page 12685]]

in regulating, clearing, settling, processing information with respect 
to, and facilitation 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 Section 6(b)(4) of the Act,\21\ which requires that 
Exchange rules provide for the equitable allocation of reasonable dues, 
fees, and other charges among its Trading Permit Holders and other 
persons using its facilities.
---------------------------------------------------------------------------

    \19\ 15 U.S.C. 78f(b).
    \20\ 15 U.S.C. 78f(b)(5).
    \21\ 15 U.S.C. 78f(b)(4).
---------------------------------------------------------------------------

    The proposed transaction fee amounts for SPX, SPXW and VIX orders 
during the ETH session are reasonable, equitable and not unfairly 
discriminatory because they are the same as the amounts of 
corresponding fees for SPX, SPXW and VIX orders during the RTH session, 
with the exception of the current Professional and Voluntary 
Professional fees and AIM Agency/Primary and Contra fees. The Exchange 
notes that the fee amounts for each separate type of market participant 
will be assessed equally for each product to all such market 
participants (i.e., all Broker-Dealer orders will be assessed the same 
amount, all Joint Back-Office orders will be assessed the same amount, 
etc.). The Exchange believes it's reasonable, equitable and not 
unfairly discriminatory to assess Professional/Voluntary Professionals 
the same fee amounts, including the Index License Surcharge Fee, for 
SPX transactions during ETH as apply to the majority of other 
proprietary index options trading on Hybrid (including SPXW), because 
unlike RTH, SPX will trade on Hybrid and the Professional and Voluntary 
Professional designation exists on Hybrid. The Exchange also believes 
it's reasonable, equitable and not unfairly discriminatory to assess 
the same fee amounts, including the Index License Surcharge Fee, for 
SPX transactions with a Professional/Voluntary Professional designation 
during RTH as apply to the majority of other proprietary index options, 
because it provides for consistent fees for similar products, as well 
as avoids a cost differential between the two trading sessions (i.e., 
orders with a ``W'' origin code will be treated the same during RTH and 
ETH). Applying the AIM Agency/Primary and Contra Fees to SPX and SPXW 
orders in RTH is reasonable, equitable and not unfairly discriminatory 
because the amount of the AIM Agency/Primary and Contra fees will be 
the same for SPX and SPXW orders as it is for non-AIM Agency/Primary 
and Contra orders and because unlike, RTH, AIM will be active in SPX 
and SPXW during ETH. Not applying any RTH fees related to FLEX options 
in ETH is reasonable, equitable and not unfairly discriminatory because 
ETH will not support trading in FLEX options.
    Assessing the Index License Surcharge Fee of $0.13 per contract to 
SPX and SPXW and $0.10 per contract to VIX transactions during ETH is 
reasonable because the amounts are the same as the amounts of the 
corresponding surcharge for SPX, SPXW and VIX orders during RTH. The 
Surcharge fees are equitable and not unfairly discriminatory because 
they will be assessed to all market participants to whom the SPX, SPXW 
and VIX Surcharges apply and will apply in both RTH and ETH. Similarly, 
assessing the Customer Priority Surcharge of $0.05 per contract for 
SPXW and $0.10 per contract for VIX options that are Maker, non-Turner 
during ETH is also reasonable, equitable and not unfairly 
discriminatory because the surcharges are the same as the amounts of 
the Customer Priority Surcharges during RTH and will be assessed to all 
market participants to whom these surcharges apply. Additionally the 
Customer Priority Surcharges for SPXW and VIX will apply in both RTH 
and ETH.
    Not applying the SPX/SPXW and VIX Tier Appointment Fees as well as 
the Hybrid 3.0 Execution Fee is reasonable because market participants 
involved in the trading of SPX, SPXW and VIX will not have to pay such 
fees. Particularly, not applying Tier Appointment Fees during ETH, as 
compared to RTH is equitable and not unfairly discriminatory because 
ETH is a new trading session and the Exchange desires to encourage 
Market-Makers to register for SPX/SPXW and VIX tier appointments, and 
the more Market-Makers that do so, the more SPX/SPXW and VIX quoting 
there will be, which benefits all market participants. Not applying the 
Hybrid 3.0 Execution Fee during ETH is reasonable, equitable and not 
unfairly discriminatory because SPX will be not traded on Hybrid 3.0 
during ETH.
    The Exchange believes it is reasonable, equitable and not unfairly 
discriminatory to offer LMM's that meet a certain heightened quoting 
standard (described above) a pro-rata share of a compensation pool 
equal to $25,000 times the number of LMMs in that class given the 
potential added costs that an LMM may undertake in order to satisfy 
that heightened quoting standard. Additionally, if an LMM does not 
satisfy the heightened quoting standard, then it will not receive the 
proposed rebate. The Exchange believes it is equitable and not unfairly 
discriminatory to only offer the rebate to LMMs because it benefits all 
market participants in ETH to encourage LMMs to satisfy the heightened 
quoting standards, which may increase liquidity during those hours and 
provide more trading opportunities and tighter spreads. The Exchange 
also believes it is more fitting, as well as equitable and not unfairly 
discriminatory to implement an incentive program with a rebate during 
ETH, rather than the obligation/benefit structure that exists during 
RTH. Particularly, the Exchange notes that creating an incentive 
program in which LMMs must satisfy a heightened standard to receive the 
rebate, encourages LMMs to provide significant liquidity during ETH, 
which is important as the Exchange expects lower trading liquidity and 
trading levels during ETH and thus fewer opportunities for an LMM to 
receive a participation entitlement (as they currently do during RTH). 
Without the possibility of receiving a participation entitlement on a 
sufficient volume of trades, there would not be sufficient incentive 
for Trading Permit Holders to undertake an obligation to quote at 
heightened levels, which could result in even lower levels of 
liquidity. Therefore, a rebate is more appropriate than imposing an 
obligation to receive a participation entitlement. The Exchange notes 
that offering a rebate during ETH is merely a different type of 
financial benefit that may be given to LMMs during ETH if it achieves a 
heightened quoting level.
    Applying to SPX, SPXW and VIX the CBOE Proprietary Products Sliding 
Scale and the Customer Large Trade Discount during ETH is reasonable, 
equitable and not unfairly discriminatory because these items apply to 
SPX, SPXW and VIX during RTH. Applying the CBOE Proprietary Products 
Sliding Scale during ETH avoids a cost differential between RTH and 
ETH. Moreover, the Exchange notes that all thresholds in the CBOE 
Proprietary Products Sliding Scale will be the same in ETH as it is in 
RTH. The Exchange believes requiring an order be executed in its 
entirety in either RTH or ETH, but not partly in both to qualify for 
the Customer Large Trade Discount is reasonable, equitable and not 
unfairly discriminatory because the RTH and ETH trading sessions will 
have separate order books and require separate logins

[[Page 12686]]

for access, and as there will be no ``rolling'' of orders by the 
Exchange between the two sessions.
    The Exchange believes the Trading Permit fees for Market-Maker and 
Electronic Access Trading Permits are reasonable as they are lower than 
the Trading Permit fees assessed during RTH. The Exchange believes it 
is equitable and not unfairly discriminatory to charge lower Trading 
Permit fees for ETH than RTH because ETH is a new trading session and 
the Exchange seeks to encourage market participants to participate in 
ETH. The Exchange notes that the more ETH Trading Permit Holders there 
are during ETH, the more liquidity there will be, which benefits all 
market participants. The Exchange also believes it is equitable to 
assess different access fees for trading permits that provide 
differential access as long as the same access fee is assessed to all 
Holders of the same type of Trading Permit. The Exchange notes that 
different types of Trading Permits during RTH are also assessed 
different amounts.\22\
---------------------------------------------------------------------------

    \22\ See e.g., Exchange Fees Schedule, Trading Permit Fees. 
Market-Maker Trading Permits during RTH are assessed $5,500 per 
month per permit while Electronic Access Permits during RTH are 
assessed $1,600 per month per permit.
---------------------------------------------------------------------------

    The Exchange believes the proposed Bandwidth Packet fees are 
reasonable because they are within the range of the cost of Bandwidth 
Packet fees during RTH. The Exchange believes it is equitable and not 
unfairly discriminatory to charge lower fees for Bandwidth Packets 
during ETH than RTH because ETH is a new trading session and the 
Exchange seeks to encourage market participants to participate in ETH. 
The Exchange also believes it is equitable to assess different fees for 
different types of Bandwidth Packets as long as the same access fee is 
assessed to all Holders of the same type of Bandwidth Packet. 
Additionally, the Exchange believes it is equitable to assess higher 
Quoting and Order Bandwidth Packet fees than Order Bandwidth Packet 
fees, because Quoting and Order Bandwidth Packets provide quoting 
bandwidth in addition to order bandwidth. The Exchange notes that 
different types of Bandwidth Packets during RTH are also assessed 
different amounts.\23\ Finally, the Exchange believes amending the Fees 
Schedule to clarify that the maximum quoting bandwidth allowance of 
each Market-Maker Trading Permit is over the course of a trading 
session, instead of a trading day alleviates confusion, thereby 
removing impediments to and perfecting the mechanism of a free open 
market and a national market system, and, in general, protect investors 
and the public interest.
---------------------------------------------------------------------------

    \23\ See e.g., Exchange Fees Schedule, Bandwidth Packet Fees.
---------------------------------------------------------------------------

    The Exchange believes waiving ETH Trading Permit and Bandwidth 
Packet fees for one of each type of Trading Permit and Bandwidth 
Packet, per affiliated TPH through August 31, 2015 is reasonable, 
equitable and not unfairly discriminatory, because it promotes and 
encourages trading during the ETH session and applies to all ETH TPHs.
    The Exchange believes the proposed monthly fee of $10,000 for each 
extra CMI CAS Server that a TPH requests is reasonable because it is 
necessary to recoup the costs related to the provision, maintenance and 
upkeep of such Servers, and is equitable and not unfairly 
discriminatory because the fee will be applied to all TPHs that request 
an extra CMI CAS Server to be used during ETH. Additionally, TPHs 
during RTH that request an additional CMI CAS Server are assessed the 
same monthly amount.
    The Exchange believes it is reasonable to apply the Network Access 
Port fees to the ETH session because the Exchange has expended 
significant resources setting up, providing and maintaining this 
connectivity and the Exchange seeks to recoup those costs. The Exchange 
believes it's reasonable, equitable and not unfairly discriminatory to 
assess these costs per port regardless of session (i.e., not assess a 
TPH twice if using the same port for RTH and ETH), as the costs 
associated with using the port do not increase if a TPH uses that port 
for both sessions.
    Similarly, the Exchange believes it is reasonable, equitable, and 
not unfairly discriminatory to assess the same PULSe fees to the ETH 
session, but not charge a TPH twice if using the same PULSe login ID 
for both sessions, because the Exchange expended significant resources 
developing PULSe and desires to recoup some of those costs, but does 
not wish to charge TPHs twice if using the same login ID.
    The Exchange believes assessing the CMI Login ID and FIX Login ID 
fees to Login IDs for ETH is reasonable because the fee amounts are the 
same as in RTH. The Exchange believes it's equitable and not unfairly 
discriminatory because all TPHs will be assessed the Login ID fees for 
each Login ID they have for both RTH and ETH. The Exchange believes 
it's reasonable, equitable and not unfairly discriminatory to waive 
fees for Login IDs related to waived Trading Permits and/or Bandwidth 
Packets in order to promote and encourage initial participation in ETH.
    The Exchange believes it's reasonable to assess a $0.0025 fee per 
contract side for each matched trade because the same fee amount is 
assessed during RTH. The Exchange believes it's equitable and not 
unfairly discriminatory to assess such fee because it applies to all 
TPHs and applies in both RTH and ETH.
    The proposed ORF during the ETH session is reasonable, equitable 
and not unfairly discriminatory because it is the same amount assessed 
during the RTH session. The Exchange believes the ORF is equitable and 
not unfairly discriminatory in that it is charged to all TPHs during 
both sessions on all their transactions that clear in the customer 
range at the OCC. Moreover, the Exchange believes the ORF ensures 
fairness by assessing higher fees to those TPHs that require more 
Exchange regulatory services based on the amount of customer options 
business they conduct in each trading session. Regulating customer 
trading activity is much more labor intensive and requires greater 
expenditure of human and technical resources than regulating non-
customer trading activity, which tends to be more automated and less 
labor-intensive. As a result, the costs associated with administering 
the customer component of the Exchange's overall regulatory program are 
materially higher than the costs associated with administering the non-
customer component (e.g., Trading Permit Holder proprietary 
transactions) of its regulatory program.\24\
---------------------------------------------------------------------------

    \24\ If the Exchange changes its method of funding regulation or 
if circumstances otherwise change in the future, the Exchange may 
decide to modify the ORF or assess a separate regulatory fee on 
Trading Permit Holder proprietary transactions if the Exchange deems 
it advisable.
---------------------------------------------------------------------------

    Having Trading Permit Holder Application fees, Web CRD fees Trading 
Permit Holder Transaction Fee Policies and Rebate Programs apply the 
same in ETH as RTH is reasonable, equitable and not unfairly 
discriminatory because the fees, rebates and programs are the same in 
both sessions and are based on a market participant's status as a TPH 
and not based upon which trading session a TPH participates.
    Not applying in ETH fees, rebates and programs that exclude SPX, 
SPXW and VIX during RTH is reasonable because these fees rebates and 
programs will not apply to all TPHs and will be consistent across 
sessions.

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

    The Exchange does not believe that the proposed rule changes will 
impose any burden on competition that are not

[[Page 12687]]

necessary or appropriate in furtherance of the purposes of the Act. The 
Exchange does not believe that the proposed rule change will impose any 
burden on intramarket competition that is not necessary or appropriate 
in furtherance of the purposes of the Act because, while different fees 
and rebates are assessed to different market participants in some 
circumstances, these different market participants have different 
obligations and different circumstances. For example, Clearing TPHs 
have clearing obligations that other market participants do not have. 
Market-Makers have quoting obligations that other market participants 
do not have. There is a history in the options markets of providing 
preferential treatment to Customers, as they often do not have as 
sophisticated trading operations and systems as other market 
participants, which often makes other market participants prefer to 
trade with Customers. Further, the proposed fees, rebates and programs 
for ETH are intended to encourage market participants to bring 
liquidity to the Exchange during ETH (which benefits all market 
participants), while still covering Exchange costs (including those 
associated with the upgrading and maintenance of Exchange systems). The 
Exchange does not believe that the proposed rule changes will impose 
any burden on intermarket competition that is not necessary or 
appropriate in furtherance of the purposes of the Act because the 
products offered during ETH (SPX, SPXW and VIX), are proprietary 
products that will only be traded on CBOE. To the extent that the 
proposed changes make CBOE a more attractive marketplace for market 
participants at other exchanges, such market participants are welcome 
to become CBOE market participants.

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

    The foregoing rule change has become effective pursuant to Section 
19(b)(3)(A) of the Act \25\ and paragraph (f) of Rule 19b-4 \26\ 
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. If the Commission 
takes such action, the Commission will institute proceedings to 
determine whether the proposed rule change should be approved or 
disapproved.
---------------------------------------------------------------------------

    \25\ 15 U.S.C. 78s(b)(3)(A).
    \26\ 17 CFR 240.19b-4(f).
---------------------------------------------------------------------------

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

    <bullet> Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
    <bullet> Send an email to <a href="/cdn-cgi/l/email-protection#f98b8c959cd49a9694949c978d8ab98a9c9ad79e968f"><span class="__cf_email__" data-cfemail="2b595e474e06484446464e455f586b584e48054c445d">[email protected]</span></a>. Please include 
File Number SR-CBOE-2015-020 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-CBOE-2015-020. 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-CBOE-2015-020 and should be 
submitted on or before March 31, 2015.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\27\
---------------------------------------------------------------------------

    \27\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Brent J. Fields,
Secretary.
[FR Doc. 2015-05476 Filed 3-9-15; 8:45 am]
 BILLING CODE 8011-01-P


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