Subject: File No. SR-CBOE-2011-100
From: Ron March

December 16, 2011

Here are the closing prices and times for the SPX on 12/16/2011
2:59 1219.80
3:00 1219.26
3:04 1219.35
3:05 1219.42
3:06 1219.52
3:07 1219.64
3:08 1219.64
3:09 1219.66
3:11 1219.66

This is the third week of data I have provided that PROVES without any doubt that the SPX index does NOT stop moving at 3:00 which leaves EVERYONE at risk. The following was the argument which the CBOE used to support the closing time to be moved from 3:15 (Chicago time) to 3:00:

"On the last day of trading, the closing prices of the component stocks (which are used to derive the exercise settlement value) are known at 3 p.m. (Chicago time) (or soon after) when the equity markets close. Despite the fact that the exercise settlement value is fixed at or soon after 3 p.m. (Chicago time), trading in expiring EOWs and EOMs continues, however, for an additional fifteen minutes until 3:15 p.m. (Chicago time) and are not priced on corresponding futures values, but rather the known cash value. At the same time, the prices of non-expiring EOW and EOM series continue to move and be priced in response to changes in corresponding futures prices."

I would like to point out the OBVIOUS flaws with their argument.

1) They use the ambiguous term 'or soon after' to refer to the final print or price of the SPX. How is 'or soon after' defined? On today's close, the index didn't stop moving until 3:11. Is 11 minutes of movement an acceptable time? I think if you took a survey of professionals, there would not be one person who would agree that it was acceptable. They (CBOE) even admits there is movement by using thier own term of 'or soon after'

2) They mention 'priced in response to changes in corresponding futures prices'. This is the most ridiculous statement they could make. The futures are traded at the CME which is regulated by the CFTC. The SPX is traded at the CBOE which is regulated by the SEC. Why would a rule be implemented by the CBOE and approved by the SEC on a product regulated by the CFTC? Pricing can be based by many factors. The product in question is the SPX CASH INDEX. Not the S+P FUTURE. It is completely different and their argument should be thrown out as baseless. The fact is if their pricing models are incorrect, that is their internal problem and not that of the PUBLIC CUSTOMER who now has the burden of extra risk.

3) Now that we have established the unargumentable fact that there is movement 100% of the expiration days after 3:00 AND there is UNNECESSARY RISK, who is going to be liable when a customer cannot close their position and manage their risk? Is it the CBOE, SEC, or the market makers in the SPX?

PLEASE reconsider expanding this program at the current closing times. The times must be moved back to the original 3:15 which has been in place since the SPX weekly program started. This is also an issue with the SPXPM which is traded on C2 with a PM settlement.

Thank you,

Ron March