TechPowerUp reports the third x16 slot on high-end Z77 motherboards only works with an Ivy Bridge processor installed. Users with a Sandy Bridge processor will be unable to use three graphics cards.
This can be explained by taking a close look at the block diagram of Intel Z77 Express system. Z77, in combination with "Ivy Bridge" processors, allows the CPU root complex to drive three devices. Its single PCI-Express x16 link can be arranged in three ways: x16/NC/NC; x8/x8/NC; and x8/x4/x4. As you can see, the third long slot is taken into the configuration. Intel figured out that since PCI-Express 3.0 x4 offers bandwidth comparable to PCI-Express 1.0 x16 to gen 3-compliant graphics cards, it's wise if the third electrical x4 slot is also wired to the CPU's PCIe root complex. This renders most high-end LGA1155 motherboards with such CPU-driven third x16 (x4) slots 3-way SLI/CrossFireX-capable. Sweet.