Daily Rules, Proposed Rules, and Notices of the Federal Government
The Exchange proposes to extend a pilot program. The text of the proposed rule change is available on the Exchange's Web site (
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
On September 2, 2011, the Commission approved, on a pilot basis, the Exchange's proposal to list and trade p.m.-settled, cash-settled S&P 500 index options with third-Friday-of-the-month expiration dates ("Expiration Friday") for which the exercise settlement value was to be based on the index value derived from the closing prices of component securities, for an initial period of fourteen months (the "Pilot Program").
As part of the Pilot Program, the Exchange committed to submit a pilot program report to the Commission at least two months prior to the expiration date of the Pilot Program (the "Annual Report"), as well as periodic interim reports. The Exchange recently submitted this Annual Report, which contains an analysis of volume, open interest, and trading patterns. The analysis examines trading in the proposed option product as well as trading in the securities that comprise the S&P 500 index. In addition to the Annual Report, the Exchange has provided the Commission with periodic interim reports while the Pilot Program has been in effect.
In trading SPXPM according to the specifications described above, and submitting the Annual Report as well as periodic interim reports regarding the Pilot Program, the Exchange has complied with the requirements of the Approving Release. During the Pilot Program, the Exchange experienced no problems with or issues regarding the trading of SPXPM. Further, SPXPM has been a popular product among investors, and the Exchange expects it to continue to be a valuable offering for investors.
The initial period for the Pilot Program is scheduled to conclude on November 2, 2012.
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.
The Exchange believes that the trading of SPXPM in the manner in which it has been traded, and would continue to be traded, under the Pilot Program has not and does not raise any meaningful regulatory concerns. Further, the Exchange believes that such trading has not, and will not adversely impact fair and orderly markets on Expiration Fridays for the underlying stocks comprising the S&P 500 index. Additionally, the trading of SPXPM provides investors with additional opportunities to trade S&P 500 options with a p.m.-settlement feature in an exchange environment and subject to transparent exchange-based rules. The Exchange also believes that investors benefit from the opportunity to trade in association with this product on Expiration Fridays, thereby removing impediments to a free and open market consistent with the Act.
C2 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 neither solicited nor received comments on the proposed rule change.
Because the foregoing 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 for 30 days after the date of the filing, or such shorter time as the Commission may designate, it has become effective pursuant to 19(b)(3)(A) of the Act
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.
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:
* Use the Commission's Internet comment form (
* Send an email to
* Send paper comments in triplicate to Elizabeth M. Murphy, Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.