Document ID: SEC-2014-1528-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: CBOE Futures Exchange, LLC
Posted Date: 2014-09-11T04:00Z

[Federal Register Volume 79, Number 176 (Thursday, September 11, 2014)]
[Notices]
[Pages 54313-54315]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2014-21648]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-73009; File No. SR-CFE-2014-004]

Self-Regulatory Organizations; CBOE Futures Exchange, LLC; Notice 
of Filing and Immediate Effectiveness of a Proposed Rule Change 
Relating to Position Limits for Individual Stock Based and Exchange-
Traded Fund Based Volatility Index Security Futures

September 5, 2014.
    Pursuant to Section 19(b)(7) of the Securities Exchange Act of 1934 
(``Act''),\1\ notice is hereby given that on August 26, 2014 CBOE 
Futures Exchange, LLC (``CFE'' or ``Exchange'') filed with the 
Securities and Exchange Commission (``Commission'') the proposed rule 
change described in Items I, II, and III below, which Items have been 
prepared by CFE. The Commission is publishing this notice to solicit 
comments on the proposed rule change

[[Page 54314]]

from interested persons. CFE also has filed this proposed rule change 
with the Commodity Futures Trading Commission (``CFTC''). CFE filed a 
written certification with the CFTC under Section 5c(c) of the 
Commodity Exchange Act (``CEA'') \2\ on August 26, 2014.
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    \1\ 15 U.S.C. 78s(b)(7).
    \2\ 7 U.S.C. 7a-2(c).
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I. Self-Regulatory Organization's Description of the Proposed Rule 
Change

    CFE proposes to amend the position limits for Individual Stock 
Based and Exchange-Traded Fund Based Volatility Index Security Futures 
(``Volatility Index security futures'') set forth in CFE Rule 1602(d).
    The scope of this filing is limited solely to the application of 
the rule changes to security futures traded on CFE. The only security 
futures currently traded on CFE are traded under Chapter 16 of CFE's 
Rulebook which is applicable to Volatility Index security futures.
    The text of the proposed rule change is attached as Exhibit 4 to 
the filing submitted by the Exchange but is not attached to the 
published notice of the filing.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, CFE 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. CFE 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
    CFE is amending the three tiered position limit levels for 
Volatility Index security futures. CFE Rule 1602(d) currently provides 
that a person may not own or control:
    (1) More than 50,000 contracts net long or net short in all 
Volatility Index security futures contracts on the same Volatility 
Index combined;
    (2) more than 30,000 contracts net long or net short in the 
expiring security futures contract month for a Volatility Index 
security future; and
    (3) more than 13,500 security contracts net long or net short in 
the expiring contract for a Volatility Index security future held 
during the last 5 trading days for the expiring Volatility Index 
security futures contract month.\3\
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    \3\ For the purposes of CFE Rule 1602(d), the positions of all 
accounts directly or indirectly owned or controlled by a person or 
persons, and the positions of all accounts of a person or persons 
acting pursuant to an expressed or implied agreement or 
understanding shall be cumulated.
    The first and second tier position limit levels for Volatility 
Index security futures are equivalent to the first and second tier 
position limit levels for security options on these same Volatility 
Indexes. See Chicago Board Options Exchange, Incorporated Rule 
24.4C. (Position Limits for Individual Stock or ETF Based Volatility 
Index Options). CFE adopted the third tier position limit level for 
Volatility Index security futures because it was required by CFTC 
Regulation Sec.  41.25(a)(3)(i). In relevant part, CFTC Regulation 
Sec.  41.25(a)(3)(i) requires a designated contract market to 
``adopt a net position limit no greater than 13,500 (100-share) 
contracts applicable to positions held during the last five trading 
days of an expiring contract month [ ]'' for security futures 
contracts.
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    CFE periodically reviews position limit levels and has determined 
to make the following changes to the position limit levels for 
Volatility Index security futures as follows:
    (1) Reduce the all months position limit from 50,000 contracts to 
30,000 contracts;
    (2) reduce the spot month position limit from 30,000 contracts to 
10,000 contracts; and
    (3) replace the 5 days-to-expiration spot position limit of 13,500 
contracts with a 1 day-to-expiration spot position limit of 1,000 
contracts.\4\
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    \4\ The Exchange is replacing the 5-days-to-expiration limit 
with a 1-day-to-expiration limit because any potential pressures on 
liquidity are most acute on the day before expiration. In addition, 
this change is consistent with CFTC Regulation Sec.  41.25(a)(3)(i) 
described in footnote 3 because the newly reduced spot month 
position limit of 10,000 contracts is applicable sooner than the 
``last five trading days of an expiring contract month'' and is less 
than the statutory maximum of 13,500 contracts during that five-day 
period.
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    The Exchange will continue to periodically review position limit 
levels for Volatility Index security futures in order to determine 
whether the existing position limit levels should remain or be 
adjusted. Accordingly, the Exchange may determine to increase the 
position limit levels that are the subject of this filing in the 
future. Among other things, CFE will review trading volume data and 
liquidity in the applicable Volatility Index security futures contract, 
and may propose alternate position limit levels. Any such change would 
be accomplished by way of a rule filing with the Commission.
2. Statutory Basis
    The Exchange believes that the proposed rule change is consistent 
with Section 6(b) of the Act,\5\ in general, and furthers the 
objectives of Section 6(b)(5) \6\ in particular in that it is designed 
to prevent fraudulent and manipulative acts and practices, promote just 
and equitable principles of trade, foster cooperation and coordination 
with persons engaged in 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.
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    \5\ 15 U.S.C. 78f(b).
    \6\ 15 U.S.C. 78f(b)(5).
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    Specifically, the Exchange believes that the position limit level 
changes being made by this filing will diminish the opportunity to 
manipulate Volatility Index security futures and will protect against 
disruption in the underlying market.

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

    CFE 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. Specifically, the Exchange believes that the 
proposed rule change will not burden competition because the new 
position limit levels will apply to all persons and the revised rule 
provisions do not discriminate between market participants.

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 will become operative on September 11, 
2014.
    At any time within 60 days of the date of effectiveness of the 
proposed rule change, the Commission, after consultation with the CFTC, 
may summarily abrogate the proposed rule change and require that the 
proposed rule change be refiled in accordance with the provisions of 
Section 19(b)(1) of the Act.\7\
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    \7\ 15 U.S.C. 78s(b)(1).
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IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule

[[Page 54315]]

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-CFE-2014-004 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-CFE-2014-004. 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-CFE-2014-004, 
and should be submitted on or before October 2, 2014.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\8\
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    \8\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-21648 Filed 9-10-14; 8:45 am]
BILLING CODE 8011-01-P