Federal Register / Vol. 79, No. 232 / Wednesday, December 3, 2014 / Notices 71811 

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

2 17 CFR 240.19b–4. 

3The CME originally instituted this practice for 

the December 31, 1999 year-end, but has adopted 

the practice for each month-end closing date since 

January 2001. See generally CME Group, MonthEnd Fair Value Procedures, available at http://

www.cmegroup.com/trading/equity-index/

fairvaluefaq.html. 

4See generally CME Group, Calculating Fair 

Value, available at http://www.cmegroup.com/

trading/equity-index/fairvalue.html. 

5See generally CME Group, End of Month 

Settlement Procedures, available at http://

www.cmegroup.com/trading/equity-index/

fairvaluefaq.html. 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73697; File No. SR–CBOE– 

2014–088] 

Self-Regulatory Organizations; 

Chicago Board Options Exchange, 

Incorporated; Notice of Filing and 

Immediate Effectiveness of a Proposed 

Rule Change Relating to SPX End-ofMonth Closing Procedures 

November 26, 2014. 

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 November 

24, 2014, Chicago Board Options 

Exchange, Incorporated (the ‘‘Exchange’’ 

or ‘‘CBOE’’) filed with the Securities 

and Exchange Commission (the 

‘‘Commission’’) a proposed rule change 

as described in Items I and II below, 

which Items have been prepared by the 

Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to make 

minor changes to Interpretation and 

Policy .06 to Rule 6.2B (Hybrid Opening 

System (‘‘HOSS’’)) relating to monthend pricing procedures for non-expiring 

S&P 500 Index (‘‘SPX’’) options. 

(additions are italicized; deletions are 

[bracketed]) 

* * * * * 

Chicago Board Options Exchange, 

Incorporated Rules 

* * * * * 

Rule 6.2B. Hybrid Opening System 

(‘‘HOSS’’) 

(a)–(h) No change. 

. . . Interpretations and Policies: 

.01–.05 No change. 

.06 Following the [3:15 p.m. Chicago 

time] close of trading on the last 

business day of each calendar month, 

the Exchange will conduct special nontrading closing rotations for each series 

of S&P 500 Index (‘‘SPX’’) options in 

order to determine the theoretical ‘‘fair 

value’’ of such series as of [3:00 p.m. 

Chicago time] time of the close of 

trading in the underlying cash market. 

During such special non-trading closing 

rotations, an LMM in the SPX options 

designated by the Exchange in each 

series of SPX options, will provide bid 

and offer quotations, the midpoint of 

which will reflect the theoretical fair 

value of the series of SPX options, as 

determined by the LMM pursuant to the 

LMM’s algorithmic analysis of relevant 

and available data. Notwithstanding that 

trading in SPX options on the Exchange 

continues until [3:15 p.m.] fifteen 

minutes after the close of trading in the 

underlying cash market, on the last 

business day of each month, after [3:15 

p.m.] the close of trading, the Exchange 

shall disseminate the [3:00 p.m.] fair 

value quotations as of the close of 

trading in the underlying cash market 

provided by the designated LMM as the 

quotations used to calculate the 

theoretical fair value for each series of 

SPX options, provided, however, that 

the Exchange may determine, in the 

interest of fair and orderly markets, not 

to disseminate such quotations. 

* * * * * 

The text of the proposed rule change 

is also 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 

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 proposes to make 

minor changes to its SPX end-of-month 

pricing procedures in Interpretation and 

Policy .06 to Rule 6.2B (‘‘Interpretation 

and Policy .06’’) to account for the fact 

that the SPX cash market may close at 

a time other than 3:00 p.m. Chicago time 

on the last business day of each 

calendar month. The Exchange believes 

that the proposed rule will help ensure 

consistency in the S&P 500 Indexrelated markets and make it easier for 

investors to trade SPX options. 

Background 

In 2001, the Chicago Mercantile 

Exchange (‘‘CME’’) adopted special 

settlement procedures to determine endof-month settlement prices for its 

domestic futures contracts.3

Specifically, CME adopted end-ofmonth valuation procedures to calculate 

the price of S&P 500 futures contracts 

based on the value of the underlying 

S&P 500 Index at the close of trading. 

CME has termed these procedures ‘‘Endof-Month Special Fair Value’’ (‘‘EOM 

FV’’) or ‘‘Fair Value’’ (‘‘FV’’) settlement 

procedures. 

According to CME, ‘‘[f]air value is the 

theoretical assumption of where a 

futures contract should be priced given 

such things as the current index level, 

index dividends, days to expiration and 

interest rates.’’ 4 Pursuant to its EOM FV 

settlement procedures, CME calculates 

the end-of-month final settlement value 

of S&P 500 futures contracts based on 

the value of the underlying S&P 500 

Index cash market, rather than the 

actual final trading prices of S&P 500 

futures contracts. CME uses its end-ofmonth theoretical fair value settlement 

prices for all purposes, including 

account value reporting and end-of-day 

variation margin calls.5 These 

procedures mitigate issues caused by 

the misalignment of valuations in the 

S&P 500 futures market and the 

underlying S&P 500 Index cash market 

due to the extended trading hours for 

S&P 500 futures contracts after the close 

of trading in the cash market. 

The Exchange understands that CME 

adopted its EOM FV procedures at the 

request of institutional investors (active 

in both the S&P 500 futures and S&P 

500 Index cash markets), who wanted 

the end-of-month value of their futures 

positions to align with prices in the 

underlying S&P 500 Index cash market. 

If the month-end settlement price of 

investors’ futures positions were based 

on the actual closing trading prices as of 

the close of futures trading fifteen 

minutes after the close of trading in the 

underlying S&P 500 Index cash market 

while the month-end closing price of 

their cash positions were based on the 

close of trading in the underlying S&P 


tkelley on DSK3SPTVN1PROD with NOTICES
71812 Federal Register / Vol. 79, No. 232 / Wednesday, December 3, 2014 / Notices 

6CME has explained the reason for maintaining 

its fair value procedure as follows: Stock index 

products on the . . . [CME] normally close and 

settle fifteen minutes after the daily close of trading 

in cash equities. The cash/futures basis may be 

affected to the extent that futures may fluctuate— 

sometimes sharply—during those final fifteen 

minutes. As such, this may become a difficulty for 

institutional traders practicing coordinated cash/

futures strategies. Still, the opportunity to lay off 

equity market exposure during those fifteen 

minutes subsequent to the cash close has proven 

quite beneficial. The use of 3:00 p.m. ‘‘Fixing Price’’ 

settlement procedures at month end is intended to 

address this so-called ‘‘tracking error’’ while still 

permitting trade to continue past the 3:00 p.m. cash 

close. Conceptually, the 3:00 p.m. settlement is 

determined at the same time as the cash market 

close at 3:00 p.m., since any new information 

following 3:00 p.m. will not affect the closing price 

of the stocks or the futures 3:00 p.m. Fixing Price. 

However, information or events subsequent to the 

cash market close may still impact futures prices. 

Market participants should be aware of the 

possibility that futures may trade at prices apart 

from the 3:00 p.m. Fixing Price based settlement 

prices between 3:00 p.m. and the close of the 

futures market at 4:15 p.m. on days on which end 

of month settlement procedures are applied. See id. 

7See CBOE Interpretation and Policy .06 to Rule 

6.2B; Securities and Exchange Act Release No. 34– 

67992 (October 5, 2012), 77 FR 62277 (October 12, 

2012) (Notice of Filing and Immediate Effectiveness 

of Proposed Rule Change Relating to Closing 

Rotation Procedures for S&P 500 Index Options) 

(SR–CBOE–2012–095). See also CBOE Regulatory 

Circular RG99–233 (Dec. 21, 1999), available at 

https://www.cboe.org/publish/regcir/rg99-233.pdf; 

CBOE Regulatory Circular RG00–049 (Mar. 29, 

2000), available at https://www.cboe.org/publish/

regcir/rg00-049.pdf; CBOE Regulatory Circular 

RG01–014 (Jan. 25, 2001), available at http://

www.cboe.com/publish/RegCir/RG01-014.pdf; 

CBOE Regulatory Circular RG01–040 (Mar. 29, 

2001), available at https://www.cboe.org/publish/

regcir/rg01-040.pdf; CBOE Regulatory Circular 

RG01–058 (Apr. 27, 2001), available at https://

www.cboe.org/publish/regcir/rg01-058.pdf; CBOE 

Regulatory Circular RG02–019 (Apr. 4, 2002), 

available at http://www.cboe.com/publish/RegCir/

RG02-019.pdf; CBOE Regulatory Circular RG02–039 

(June 12, 2002), available at http://www.cboe.com/ 

publish/RegCir/RG02-039.pdf; CBOE Regulatory 

Circular RG02–073 (Sept. 17, 2002), available at 

http://www.cboe.com/publish/RegCir/RG02- 

073.pdf; CBOE Regulatory Circular RG02–118 (Dec. 

19, 2002), available at http://www.cboe.org/publish/ 

regcir/rg02-118.pdf; CBOE Regulatory Circular 

RG03–016 (Mar. 19, 2003), available at http://

www.cboe.com/publish/RegCir/RG03-016.pdf; 

CBOE Regulatory Circular RG03–039 (June 11, 

2003), available at http://www.cboe.com/publish/

RegCir/RG03-039.pdf; CBOE Regulatory Circular 

RG03–075 (Sept. 10, 2003), available at http://

www.cboe.com/publish/RegCir/RG03-075.pdf; 

CBOE Regulatory Circular RG03–082 (Sept. 22, 

2003), available at http://www.cboe.com/publish/

RegCir/RG03-082.pdf; CBOE Regulatory Circular 

RG03–110 (Dec. 17, 2003), available at http://

www.cboe.com/publish/RegCir/RG03-110.pdf; 

CBOE Regulatory Circular RG04–132 (Dec. 30, 

2004), available at http://www.cboe.com/publish/

RegCir/RG04-132.pdf; CBOE Regulatory Circular 

RG05–130 (Dec. 29, 2005), available at http://

www.cboe.com/publish/RegCir/RG05-130.pdf; 

CBOE Regulatory Circular RG06–130 (Dec. 19, 

2006), available at http://www.cboe.org/publish/

regcir/rg06-130.pdf; CBOE Regulatory Circular 

RG08–004 (Jan. 8, 2008), available at http://

www.cboe.com/publish/RegCir/RG08-004.pdf; 

CBOE Regulatory Circular RG09–151 (Dec. 30, 

2009), available at http://www.cboe.org/publish/

regcir/rg09-151.pdf; and CBOE Regulatory Circular 

RG12–023 (Jan. 30, 2012), available at http://

www.cboe.org/publish/regcir/rg12-023.pdf. 

8See CBOE Interpretation and Policy .06 to Rule 

6.2B. 

9See Securities and Exchange Act Release No. 

34–67992 (October 5, 2012), 77 FR 62277 (October 

12, 2012) (Notice of Filing and Immediate 

Effectiveness of Proposed Rule Change Relating to 

Closing Rotation Procedures for S&P 500 Index 

Options) (SR–CBOE–2012–095). 

10Notably, when the Exchange codified 

Interpretation and Policy .06, the Exchange stated 

that it anticipated disseminating end-of-month nontrading closing rotation quotations for each series of 

SPX options so long as doing so remains consistent 

with CME’s end-of-month pricing practices in the 

S&P 500 futures. See id. 

500 Index cash market fifteen minutes 

prior to the close of trading in the S&P 

500 futures market, investors might 

experience tracking errors and/or 

financial reporting incongruities that do 

not reflect actual portfolio performance. 

Pricing model discrepancies or 

misaligned pricing between the S&P 500 

futures and S&P 500 Index cash market 

could also lead to unnecessary and/or 

unwarranted margin calls and returns as 

well as other hedging and accounting 

problems. The EOM FV settlement 

procedures adopted by CME mitigate 

these issues by aligning the end-ofmonth settlement prices of S&P 500 

futures contracts with closing prices in 

the underlying cash market as of the 

close of trading in the cash market.6

The S&P 500 futures market and SPX 

options market are highly 

interconnected. Many investors use SPX 

options to hedge S&P 500 futures 

positions. Because of the 

interconnectedness between the S&P 

500 futures and SPX options markets, 

the Exchange believed that the use of 

end-of-month pricing procedures that 

diverged significantly from the CME’s 

EOM FV pricing procedures would be 

disruptive to fair and orderly markets. 

Although the Exchange could have 

aligned the end-of-month settlement 

prices of standard non-expiring SPX 

options with the end-of-month prices of 

the related S&P 500 futures contracts 

(and the underlying S&P Index cash 

market) by simply ending trading at the 

close of trading in the cash market on 

the last trading day of each month, the 

Exchange determined that closing 

trading in SPX options market prior to 

the close of trading at the CME would 

also be disruptive to fair and orderly 

markets. In particular, the Exchange 

believed that closing trading for 

standard non-expiring SPX options 

during S&P 500 futures trading hours 

would be disruptive to many market 

participants who hedge S&P 500 futures 

positions with SPX options. 

Accordingly, the Exchange adopted endof-month settlement practices designed 

to align its end-of-month pricing with 

CME’s EOM FV settlement procedures. 

The Exchange’s end-of-month pricing 

procedures were adopted through a 

series of Regulatory Circulars and 

subsequently codified in the Exchange’s 

rules in Interpretation and Policy .06.7

Currently, on the last business day of 

each month, the Exchange conducts 

special end-of-month non-trading 

rotations for series of standard nonexpiring SPX options pursuant to 

Interpretation and Policy .06. These 

special non-trading closing rotations are 

conducted on the same month-end 

business days on which CME calculates 

the EOM FV settlement prices of the 

S&P 500 futures contracts based on the 

theoretical fair value of the underlying 

S&P 500 Index cash market at the close 

of trading.8 On such days, a designated 

Lead Market-Maker (‘‘LMM’’) calculates 

non-trading closing bid and offer 

quotations to reflect the theoretical fair 

value of each SPX option series using 

pricing algorithms with a number of 

relevant inputs, in particular, the EOM 

FV settlement prices of the related S&P 

500 futures contracts at CME.9 The 

theoretical fair value prices are then 

disseminated to the Options Clearing 

Corporation (‘‘OCC’’) via the Options 

Price Reporting Authority (‘‘OPRA’’) 

after the close of trading on the last 

business day of each month (on the 

same day that CME performs its end-ofmonth fair market valuations for the 

S&P 500 futures). Consistent with CME’s 

practices, the Exchange considers the 

end-of-month theoretical fair value 

closing prices of SPX options to be the 

final month-end settlement prices for all 

purposes, including OCC margin 

calculations, even though no actual 

trades occur at these prices.10

Proposed Rule Change 

The Exchange proposes to make 

minor changes to its SPX end-of-month 

pricing procedures in Interpretation and 

Policy .06 to account for the fact that the 

SPX cash market may close at a time 

other than 3:00 p.m. Chicago time on 

the last business day of each calendar 

month. Despite the fact that the close of 

trading on the last business day of each 

month may occur prior to 3:00 p.m. 

Chicago time in the S&P 500 Index cash 

market (and thus, before 3:15 p.m. 

Chicago time in the options market) on 

certain holidays or other abbreviated 

trading days, the Exchange’s current 

rules do not account for this 

discrepancy. Rather, current 

Interpretation and Policy .06 

specifically provides that ‘‘[f]ollowing 

the 3:15 p.m. Chicago time close of 

trading on the last business day of each 

calendar month, the Exchange will 


tkelley on DSK3SPTVN1PROD with NOTICES
Federal Register / Vol. 79, No. 232 / Wednesday, December 3, 2014 / Notices 71813 

11 In such cases, the Exchange has followed its 

EOM FV procedures in the interest of fair and 

orderly markets. See, e.g., CBOE Regulatory Circular 

RG13–150 available at http://www.cboe.com/

publish/RegCir/RG13-150.pdf. 

12 15 U.S.C. 78f(b). 

13 15 U.S.C. 78f(b)(5). 14 Id. 

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

16 17 CFR 240.19b–4(f)(6). 

17 15 U.S.C. 78s(b)(3)(A). 

18 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

4(f)(6)(iii) requires the Exchange to give the 

Commission written notice of the Exchange’s intent 

to file the proposed rule change, along with a brief 

description and text of the proposed rule change, 

Continued 

conduct special non-trading closing 

rotations for each series of S&P 500 

Index (‘‘SPX’’) options in order to 

determine the theoretical ‘‘fair value’’ of 

such series as of 3:00 p.m. Chicago 

time.’’ Notably, CME will conduct its 

EOM FV procedures prior to 3:15 p.m. 

Chicago time on certain holidays and 

abbreviated trading days that fall on the 

final business day of a calendar 

month.11

In order to resolve this discrepancy, 

the Exchange proposes to amend 

Interpretation and Policy .06 to 

eliminate all references to a 3:15 p.m. 

close of trading and instead provide that 

following the close of trading on the last 

business day of each calendar month, 

the Exchange will conduct special nontrading closing rotations for each series 

of SPX options in order to determine the 

theoretical ‘‘fair value’’ of such series as 

of as of [sic] the time of the close of 

trading in the underlying cash market. 

Similarly, the Exchange proposes to 

amend Interpretation and Policy .06 to 

provide that notwithstanding that 

trading in SPX options on the Exchange 

continues until fifteen minutes after the 

close of trading in the underlying cash 

market, on the last business day of each 

month, after the close of trading, the 

Exchange shall disseminate the fair 

value quotations as of the close of 

trading in the underlying cash market 

provided by the designated LMM as the 

quotations used to calculate the 

theoretical fair value for each series of 

SPX options, provided, however, that 

the Exchange may determine, in the 

interest of fair and orderly markets, not 

to disseminate such quotations. The 

Exchange believes that the proposed 

changes would ensure consistency in 

the S&P 500 Index-related markets and 

further the intended goals served by the 

alignment of the S&P 500 futures and 

SPX options markets as described 

above. 

2. Statutory Basis 

The Exchange believes the proposed 

rule change is consistent with the Act 

and the rules and regulations 

thereunder applicable to the Exchange 

and, in particular, the requirements of 

Section 6(b) of the Act.12 Specifically, 

the Exchange believes the proposed rule 

change is consistent with the Section 

6(b)(5) 13 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) 14 requirement that 

the rules of an exchange not be designed 

to permit unfair discrimination between 

customers, issuers, brokers, or dealers. 

The Exchange is proposing to make 

minor changes to its SPX end-of-month 

pricing procedures in Interpretation and 

Policy .06 to account for the fact that the 

SPX cash market may close at a time 

other than 3:00 p.m. Chicago time on 

the last business day of each calendar 

month. The Exchange believes that its 

end-of-month FV pricing procedures 

remove impediments to perfecting the 

mechanism of a free and open national 

market system by allowing traders and 

investors to realize consistency across 

the different S&P 500 Index-related 

markets at the end of each month. 

Because Interpretation and Policy .06 

contains specific references to 3:15 p.m. 

Chicago time, it does not allow the 

Exchange to conduct end-of-month FV 

pricing procedures in a manner 

consistent with CME based on the value 

of the cash market if there is an 

abbreviated trading day on the final 

business day of the month. 

The Exchange’s SPX end-of-month FV 

pricing procedures were adopted to 

smooth pricing inconsistencies in the 

S&P 500 Index-related markets due [sic] 

market events during the 15 additional 

minutes of extended trading hours in 

the SPX options and S&P 500 futures 

markets after the close of trading in the 

cash market. The Exchange’s end-ofmonth FV procedures are designed to 

foster consistency in the S&P 500 Indexrelated markets by aligning the price of 

SPX options and S&P 500 futures prices 

at the end of trading at 3:15 p.m. 

Chicago time with the closing price of 

the cash market as of 3:00 p.m. Chicago 

time. When it adopted Interpretation 

and Policy .06, however, the Exchange 

did not contemplate the possibility of 

the final business day the month falling 

on an abbreviated trading day or on a 

day with a close at a time other than 

3:15 p.m. Chicago time. Thus, on days 

such as the day after Thanksgiving, 

Friday, November 28, 2014, 

Interpretation and Policy .06 does not 

afford the Exchange the flexibility 

needed to conduct its SPX end-of-month 

FV pricing procedures at or near the 

close of trading at 12:15 p.m. Chicago 

time. The Exchange believes that the 

proposed amendment will add 

consistency to the markets and help 

promote fair and orderly markets. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. The 

Exchange does not believe that better 

aligning its end-of-month fair value 

settlement procedures with the S&P 500 

futures market will adversely affect 

investors. These procedures will be 

equally applied and will equally affect 

all market participants in the SPX 

options market. Furthermore, the 

Exchange believes that the proposed 

rule will bolster competition and 

contribute to more robust markets by 

making it easier for investors to trade 

SPX options and use SPX options to 

hedge S&P 500 futures positions. 

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 written comments on the 

proposed rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The Exchange has filed the proposed 

rule change pursuant to Section 

19(b)(3)(A)(iii) of the Act 15 and Rule 

19b–4(f)(6) thereunder.16 Because the 

proposed rule change does not: (i) 

Significantly affect the protection of 

investors or the public interest; (ii) 

impose any significant burden on 

competition; and (iii) become operative 

prior to 30 days from the date on which 

it was filed, or such shorter time as the 

Commission may designate, if 

consistent with the protection of 

investors and the public interest, the 

proposed rule change has become 

effective pursuant to Section 19(b)(3)(A) 

of the Act 17 and Rule 19b–4(f)(6)(iii) 

thereunder.18


tkelley on DSK3SPTVN1PROD with NOTICES
71814 Federal Register / Vol. 79, No. 232 / Wednesday, December 3, 2014 / Notices 

at least five business days prior to the date of filing 

of the proposed rule change, or such shorter time 

as designated by the Commission. The Exchange 

has satisfied this requirement. 

19 17 CFR 240.19b–4(f)(6). 

20 17 CFR 240.19b–4(f)(6)(iii). 

21See supra, note 11 and accompanying text. 

22For purposes only of waiving the 30-day 

operative delay, the Commission has considered the 

proposed rule’s impact on efficiency, competition, 

and capital formation. See 15 U.S.C. 78c(f). 23 17 CFR 200.30–3(a)(12). 

A proposed rule change filed under 

Rule 19b–4(f)(6) 19 normally does not 

become operative prior to 30 days after 

the date of the filing. However, pursuant 

to Rule 19b–4(f)(6)(iii),20 the 

Commission may designate a shorter 

time if such action is consistent with the 

protection of investors and the public 

interest. The Exchange has asked the 

Commission to waive the 30-day 

operative delay so that the proposal rule 

change may become operative 

immediately upon filing. In its request 

for a waiver of the 30-day operative 

delay, the Exchange represents that on 

Friday, November 28, 2014, in 

observance of the Thanksgiving holiday, 

trading in the underlying S&P 500 Index 

cash market will close at 12:00 p.m. 

Chicago time and trading in the S&P 500 

futures cash market will close at 12:15 

p.m. Chicago time. The Exchange also 

represents that CME will conduct its 

EOM FV settlement procedures prior to 

3:15 p.m. Chicago time on certain 

holidays and abbreviated trading days 

that fall on the final business day of the 

calendar month.21 The Exchange 

believes that consistency with CME’s 

EOM FV settlement procedure is 

necessary to ensure fair and orderly 

markets, and therefore, requests that the 

Commission waive the 30-day operative 

delay to allow the Exchange to conduct 

special non-trading closing rotations for 

each series of SPX options in order to 

determine the theoretical ‘‘fair value’’ of 

such series as of the time of the close 

of trading in the underlying cash 

markets on Friday, November 28, 2014. 

The Commission notes that the 

Exchange failed to file this proposed 

rule change more than 30 days prior to 

the early close of the underlying S&P 

500 Index cash and S&P 500 futures 

cash markets on Friday, November 28, 

2014, and therefore, the Exchange needs 

the operative delay to be waived in 

order for its rules to allow it to conduct 

the non-trading closing rotation earlier 

than usual on November 28, 2014. The 

Commission believes that waiver of the 

operative delay, in this instance, is 

consistent with investor protection and 

the public interest. In particular, waiver 

of the operative delay will enable the 

Exchange to meet investor expectations 

by customizing its rule to account for 

early closure during holiday periods 

like November 28, 2014, when literal 

compliance with the current rule text 

would be illogical and contrary to the 

intent of the original rules as adopted. 

Accordingly, the Commission hereby 

waives the 30-day operative delay and 

designates the proposal operative upon 

filing.22

At any time within 60 days of the 

filing of the proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

should be approved or disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

comment form (http://www.sec.gov/

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

CBOE–2014–088 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–2014–088. 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 

offices 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– 

2014–088, and should be submitted on 

or before December 24, 2014. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.23

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–28426 Filed 12–2–14; 8:45 am] 

BILLING CODE 8011–01–P 

DEPARTMENT OF STATE 

[Public Notice 8962] 

Culturally Significant Objects Imported 

for Exhibition Determinations: ‘‘Man 

Ray—Human Equations: A Journey 

From Mathematics to Shakespeare’’ 

Exhibition 

SUMMARY: Notice is hereby given of the 

following determinations: Pursuant to 

the authority vested in me by the Act of 

October 19, 1965 (79 Stat. 985; 22 U.S.C. 

2459), Executive Order 12047 of March 

27, 1978, the Foreign Affairs Reform and 

Restructuring Act of 1998 (112 Stat. 

2681, et seq.; 22 U.S.C. 6501 note, et 

seq.), Delegation of Authority No. 234 of 

October 1, 1999, Delegation of Authority 

No. 236–3 of August 28, 2000 (and, as 

appropriate, Delegation of Authority No. 

257 of April 15, 2003), I hereby 

determine that the objects to be 

included in the exhibition ‘‘Man Ray— 

Human Equations: A Journey from 

Mathematics to Shakespeare,’’ imported 

from abroad for temporary exhibition 

within the United States, are of cultural 

significance. The objects are imported 

pursuant to loan agreements with the 

foreign owners or custodians. I also 

determine that the exhibition or display 

of the exhibit objects at The Phillips 

Collection, Washington, DC, from on or 

about February 7, 2015, until on or 

about May 10, 2015, and at possible 

additional exhibitions or venues yet to 

be determined, is in the national 

interest. I have ordered that Public 


tkelley on DSK3SPTVN1PROD with NOTICES