Trading Permit Information for 8/8/2013 through 8/14/2013
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1 August 16, 2013 Volume 41, Number 33 The Bylaws and Rules of Chicago Board Options Exchange, Incorporated ( Exchange ), in certain specific instances, require the Exchange to provide notice to Exchange Trading Permit Holders. To satisfy this requirement, a copy of the Exchange Bulletin, including the Regulatory Bulletin, is delivered by or by hard copy free of charge to all effective Trading Permit Holders on a weekly basis. Trading Permit Holders are encouraged to receive the Exchange and Regulatory Bulletin and Information Circulars via . subscriptions may be obtained by Trading Permit Holders by submitting your name, firm if applicable, address, and phone number, to registration@cboe.com. If you do sign up for delivery, please remember to inform the Registration Services Department of address changes. Subscriptions by Trading Permit Holders for hard copy delivery may be obtained by submitting your name, firm if any, mailing address and telephone number to: Chicago Board Options Exchange, Registration Services Department, 400 South LaSalle, Chicago, Illinois 60605, Attention: Bulletin Subscriptions. Copyright 2013 Chicago Board Options Exchange, Incorporated TERMINATIONS Individuals Trading Permit Information for 8/8/2013 through 8/14/2013 Nominee: William D Baedke (BXC) Allston Trading LLC Termination Date 8/9/13 John H. Weber 8/13/13 ICM Securities LLC TPH Organizations ICM Securities LLC 8/13/13 EFFECTIVE TRADING PERMIT HOLDERS Individuals Nominee: Effective Date Steven D Galanis (SDG) 8/8/13 Belvedere Trading LLC Market Maker Eric J. Pepping Allston Trading LLC Market Maker Paul R Demmel Allston Trading LLC Market Maker 8/9/13 8/9/13 August 16, 2013 Volume 41, Number 33 1
2 EFFECTIVE TRADING PERMIT HOLDERS Individuals Nominee: Ryan R Paulsen (RPX) Wolverine Trading LLC Market Maker Matthew J Tym (TYM) Sanford C. Bernstein & Co., LLC Proprietary Trading Permit Holder TPH Organizations Sanford C. Bernstein & Co., LLC Proprietary Trading Permit Holder/ Clearing Trading Permit Holder Approved to Transact Business with the Public Effective Date 8/12/13 8/13/13 8/13/13 August 16, 2013 Volume 41, Number 33 2
3 Research Circulars The following Research Circulars were distributed between August 06, 2013 and August 08, If you wish to read the entire document, please refer to the CBOE website at and click on the Trading Tools Tab. New listings and series information is also available in the Trading Tools section of the website. For questions regarding information discussed in a Research Circular, please call The Options Clearing Corporation at OPTIONS. Research Circular #RS Direxion Daily Developed Markets Bear 3X Shares ("DPK") 1-for-4 Reverse ETF Split Research Circular #RS Direxion Daily India Bull 3X Shares ("INDL") 1-for-4 Reverse ETF Split Research Circular #RS Direxion Daily Natural Gas Related Bear 3X Shares ("GASX") 1-for-4 Reverse ETF Split Research Circular #RS Direxion Daily Real Estate Bear 3X Shares ("DRV") 1-for-4 Reverse ETF Split Research Circular #RS Direxion Daily S&P 500 Bear 3X Shares ("SPXS") 1-for-5 Reverse ETF Split Research Circular #RS Direxion Daily Gold Miners Bull 3X Shares ("NUGT & adj. NUGT1") 1-for-10 Reverse ETF Split Research Circular #RS Columbia Laboratories, Inc. ("CBRX") 1-for-8 Reverse Stock Split Ex-Distribution Date: August 9, 2013 Research Circular #RS American Greetings Corporation ("AM") Merger COMPLETED with Century Intermediate Holding Company Research Circular #RS August 9, 2013 HollyFrontier Corporation ("HFC") CONTRACT ADJUSTMENT FOR SPECIAL CASH DIVIDEND Ex-Date: August 22, 2013 Research Circular #RS August 9, 2013 American Greetings Corporation ("AM") Merger COMPLETED with Century Intermediate Holding Company Cash Settlement Research Circular #RS August 12, 2013 Vanguard Health Systems, Inc. ("VHS") Proposed Merger with Tenet Healthcare Corporation ("THC") Research Circular #RS August 12, 2013 Tata Communications Limited ("TTCMY") Termination of TTCMY ADS Program Research Circular #RS August 12, 2013 Old National Bancorp ("ONB") To Move and Begin Trading on the NASDAQ Effective Date: August 14, 2013 Research Circular #RS August 13, 2013 Ameristar Casinos, Inc. ("ASCA") Merger COMPLETED with Pinnacle Entertainment, Inc. Research Circular #RS August 16, 2013 United States Brent Oil Fund, LP ("BNO") 2-for-1 Fund Share Split Ex-Distribution Date: August 29, 2013 Research Circular #RS August 16, 2013 DaVita Healthcare Partners Inc. ("DVA") 2-for-1 Stock Split Ex-Distribution Date: September 23, 2013 August 16, 2013 Volume 41, Number 33 3
4 August 16, 2013 Volume RB24, Number 33 The Bylaws and Rules of Chicago Board Options Exchange, Incorporated ( Exchange ), in certain specific instances, require the Exchange to provide notice to Trading Permit Holders. The weekly Regulatory Bulletin is delivered to all effective Trading Permit Holders to satisfy this requirement. Copyright 2013 Chicago Board Options Exchange, Incorporated. Regulatory Circulars Regulatory Circular RG Date: August 13, 2013 To: Trading Permit Holders From: Business Development Division RE: Acceptance of Complex Orders with Up to 12 Legs CBOE is now accepting complex (multi-leg) orders with up to 12 legs on a single order ticket, one leg of which may be for an underlying security. Before this enhancement, a complex order ticket could only include up to 4 legs, which means that complex order strategies involving more than 4 legs would need to be split across multiple order tickets. CBOE is planning to submit a rule change filing in the near future that will require, pending effectiveness of the rule change filing, that all legs of a complex order strategy be included on a single order ticket to qualify for representation and execution as a complex order under applicable Exchange rules. The compliance date for this requirement will be the later of December 13, 2013 or the date provided through the rule change filing. Please note that orders for more than 12 legs will need to be entered on multiple tickets, and each ticket will need to be separately represented and executed and each will be individually subject to compliance with applicable Exchange rules, including representation and execution rules. Please also note that orders greater than four legs will not be eligible for electronic processing via the Complex Order Auction (COA) or the Complex Order Book (COB) but will instead be routed for handling in open outcry. The routing of orders greater than four legs to CBOE will not require changes to FIX or CMi formatting. The number of legs is identified in FIX Tag 555 or the CMi2 field that denotes the number of legs. This circular is provided in advance of the anticipated compliance date so that firms will have time to test and implement changes. A forthcoming circular will be issued to announce the specific start date. Additional Information: o Questions regarding the operational topics in this circular may be directed to the CBOE Help Desk at or helpdesk@cboe.com. o Requests for CBOE API specifications and testing may be directed to the CBOE API group at CBOE API Group at api@cboe.com or (312) August 16, 2013 Volume RB24, Number 33 1
5 o Questions regarding the regulatory aspects of this circular may be directed to the Regulatory Interpretations and Guidance team at or (312) CBOE Regulatory Circular RG CFE Regulatory Circular RG Date: August 15, 2013 To: CBOE Trading Permit Holders and CFE Trading Privilege Holders From: Regulatory Services Division RE: Further Follow-Up to Trading Permit Holder and Trading Privilege Holder Educational Session on CFE Exchange of Contract for Related Position Transactions On July 31, 2013, an educational session was held that addressed the requirements for Exchange of Contract for Related Position (ECRP) transactions under CFE Rule 414. ECRP transactions involving CFE and CBOE products are permitted; however, trading on CBOE is subject to CBOE Rules and no special treatment is given under CBOE Rules to the fact that the CBOE leg is part of a CFE ECRP transaction. 1 The slides that were presented during that session are available at: On August 1, 2013, the Exchanges issued a joint follow-up circular, a copy of which is available at: and a follow-up session was held in the VIX trading crowd to further discuss questions that had been received. A question that arose during the follow-up session related to delta neutral tied trades involving VIX futures (traded on CFE) and VIX options (traded on CBOE). A delta neutral transaction involving VIX futures and VIX options may qualify as an ECRP if (i) there is high degree of price correlation between the components so that the futures component of the transaction would serve as an appropriate hedge for the options component, (ii) there is quantitative equivalence between the futures and options components and (iii) all other requirements of an ECRP are met. Parties are expected to be able to reasonably demonstrate that the transaction was delta neutral and satisfies the ECRP requirements. As a general rule, parties should be able to demonstrate (or replicate) whatever calculation was made with regard to correlation at the time of the ECRP transaction, including maintaining and producing any records regarding the delta or vega utilized. 1 Slides 15 and 16 that were presented during the session set forth the CBOE Rules that are applicable to execution of a Related Position of an ECRP in a CBOE product. August 16, 2013 Volume RB24, Number 33 2
6 Examples of Transactions that Would Qualify as an ECRP Under CFE Rule 414: 2 Example #1: Long 1,000 VIX September 15 $1.45 tied delta-neutral to VX September At the time of the trade, the Unit Delta 3 of the call option is 54. Buy 1,000 VIX September 15 Calls 54 54,000 Sell 54 VX September Futures 1,000-54,000 NET DELTA 0 In this example, the long option delta offsets delta of the short futures position, and would be considered delta-neutral. As such, this trade would qualify as an ECRP. Example #2: Long 3,000 VIX October 25 $0.65 and long 3,000 VIX October 30 $0.25 (i.e., call stupid ), tied to 100 VX October At the time of the transaction, the Unit Deltas of the call options are 20 and 13, respectively. Buy 3,000 VIX October 25 Calls 20 60,000 Buy 3,000 VIX October 30 Calls 13 39,000 Sell 100 VX October Futures 1, ,000 NET DELTA -1,000 In this example, the aggregate delta of the 2 call options is closely offset by the delta of the short futures position. As such, this trade would be considered delta-neutral and would qualify as an ECRP. Example #3: Short 1,500 VIX October 25 $0.65and short 1,500 VIX October 13 $0.25 (i.e., strangle ), tied to VX October At the time of the transaction, the Unit Deltas of the call and put options are 20 and -14, respectively. Sell 1,500 VIX October 25 Calls 20-30,000 Sell 1,500 VIX October 13 Puts ,000 Buy 9 VX October Futures 1,000 9,000 NET DELTA 0 In this example, the aggregate delta of the option strangle is offset by the delta of the long futures position. As such, this trade would be considered delta-neutral and would qualify as an ECRP. 2 The examples set forth in this section of the circular assume that all of the other required elements of an ECRP have been satisfied. CFE Trading Privilege Holders should refer to CFE Rule 414 for additional detail. Also, these examples illustrate one party to the ECRP transaction. The opposing side of these examples would be taken by the other party or parties to the ECRP. 3 Unit Delta refers to the delta of 1 contract. The delta of a VIX option can range from 0 to 100. For the purposes of this circular, the delta of a VIX option is determined relative to the price of the corresponding VX futures contract (e.g., the delta for September VIX options would be determined relative to September VX futures prices). Since VX futures are 10 times the notional size of VIX options, VX futures have a delta of 1,000. August 16, 2013 Volume RB24, Number 33 3
7 Examples of Transactions that Would Not Qualify as an ECRP Under CFE Rule : Example #1: Short 1,000 VIX September 15 $1.45 tied one-to-one to VX September (i.e., covered call or buy write ). At the time of the trade, the Unit Delta of the call option is 54. Sell 1,000 VIX September 15 Calls 54-54,000 Buy 100 VX September Futures 1, ,000 NET DELTA 46,000 In this example, the short option delta does not offset the delta of the long futures position, and would not be considered delta-neutral. As such, this transaction would not qualify as an ECRP. Example #2: Long 3,000 VIX October 16 $1.90 tied one-to-one to VX October (i.e., married put ). At the time of the transaction, the Unit Delta of the put option is -45. Buy 3,000 VIX October 16 Puts ,000 Buy 300 VX October Futures 1, ,000 NET DELTA 165,000 In this example, the short option delta does not offset the delta of the long futures position, and would not be considered delta-neutral. As such, this trade would not qualify as an ECRP. Example #3: Short 2,000 VIX October 19 $1.25 and long 2,000 VIX October 13 $0.25, tied to 200 VX October (often referred to as a risk reversal ). At the time of the trade, the Unit Deltas of the call and put options are 36 and -14 respectively. Sell 2,000 VIX October 19 Calls 36-72,000 Buy 2,000 VIX October 13 Puts ,000 Buy 200 VX October Futures 1, ,000 NET DELTA 100,000 In this example, the aggregate delta of the short call/long put position does not offset the delta of the long futures position. As such, this trade would not be considered delta-neutral and would not qualify as an ECRP. Additional Information: Subsequent questions may be directed to the Regulatory Services Division's Interpretation and Guidance Team by phone at (312) or by to RegInterps@cboe.com. 4 The hypothetical transactions set forth in the examples in this section to the circular would not qualify as an ECRP, even if all of the other required elements of an ECRP have been satisfied, and could be subject to disciplinary action. August 16, 2013 Volume RB24, Number 33 4
8 Rule Changes EFFECTIVE-ON-FILING RULE CHANGE(S) The following rule filings were submitted to the Securities and Exchange Commission ( SEC ) effective on filing, and may have taken effect pursuant to Section 19(b)(3) of the Securities Exchange Act of 1934 (the Act ). They will remain in effect barring further action by the SEC within 60 days after publication in the Federal Register. Below, any additions to rule text are underlined, and any deletions are [bracketed]. Copies are available on the CBOE public website at SR-CBOE Fees Schedule On August 12, 2013, the Exchange filed Rule Change File No. SR-CBOE , which filing proposes to amend the CBOE Fees Schedule to (i) waive CMi and FIX Login ID fees through December 31, 2013 for Login IDs used to access CFLEX, (ii) raise the Hybrid Agency Liaison ( HAL ) Step-Up Rebate qualification threshold to 70%, (iii) raise the Russell 2000 Index ( RUT ) Surcharge Fee to $0.30 per contract and exclude RUT from the Volume Incentive Program ( VIP ), (iv) include Clearing Trading Permit Holder fees towards qualifying for the daily cap on fees for reversals, conversions and jelly roll strategies, (v) lower the daily cap on fees for reversals, conversions and jelly roll strategies to $700 per day, (vi) exclude joint back office ( JBO ) participants from the $1,000 daily cap on merger and shortstock interest strategies and from the $25,000 per month cap on strategy transaction fees, (vii) apply Clearing Trading Permit Holder strategy transaction fees towards the Clearing Trading Permit Holder Proprietary Fee Cap, (viii) apply volume from strategy transactions towards the Liquidity Provider Sliding Scale, (ix) exclude Clearing Trading Permit Holders from the $25,000 per month cap on strategy transaction fees, (x) state that complex orders with more than four legs can qualify for the Customer Large Trade Discount (despite not all legs being tied to the same order ID) by submitting a discount request. 1 Any questions regarding the rule change may be directed to Jeff Dritz, Legal Division, at The rule filing is available at 1 Rule Change File No. SR-CBOE replaces Rule Change File No. SR-CBOE , which was included in the August 2, 2013 Bulletin. August 16, 2013 Volume RB24, Number 33 5
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