Facility Tour, 13871 [06-2619]
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Federal Register / Vol. 71, No. 52 / Friday, March 17, 2006 / Notices
POSTAL RATE COMMISSION
Facility Tour
AGENCY:
ACTION:
Postal Rate Commission.
Notice of Commission tour.
SUMMARY: Postal Rate Commissioners
and advisory staff members will tour
Bank of America Corporation mailing
operations facilities in New Castle,
Delaware on March 22, 2006.
DATES:
March 22, 2006.
FOR FURTHER INFORMATION CONTACT:
Stephen L. Sharfman, general counsel,
Postal Rate Commission, 202–789–6820.
Steven W. Williams,
Secretary.
[FR Doc. 06–2619 Filed 3–16–06; 8:45 am]
BILLING CODE 7710–FW–M
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–53470; File No. SR–CBOE–
2006–26]
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change To Revise Position Limits
for VIX Options
March 10, 2006.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (the
‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on March 3,
2006, the Chicago Board Options
Exchange, Incorporated (‘‘Exchange’’ or
‘‘CBOE’’) filed with the Securities and
Exchange Commission (the
‘‘Commission’’) the proposed rule
change as described in Items I and II
below, which Items have been prepared
by the Exchange. The Exchange filed
this proposal as a ‘‘non-controversial’’
proposed rule change pursuant to
Section 19(b)(3)(A)(iii) of the Act 3 and
Rule 19b–4(f)(6) thereunder,4 which
renders the proposed rule change
effective upon filing with the
commission.5 The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
sroberts on PROD1PC70 with NOTICES
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 15 U.S.C. 78s(b)(3)(A)(iii).
4 17 CFR 240.19b–4(f)(6).
5 The Exchange requested the Commission to
waive the five-day pre-filing notice requirement and
the 30-day operative delay, as specified in Rule
19b–4(f)(6)(iii). 17 CFR 240.19b–4(f)(6)(iii).
2 17
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16:52 Mar 16, 2006
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I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange is filing this rule
change to clarify the position limits for
the regular-size options on the CBOE
Volatility Index (‘‘VIX’’); the CBOE
Nasdaq 100 Volatility Index (‘‘VXN’’);
and the CBOE Dow Jones Industrial
Average Volatility Index (‘‘VXD’’) to
put them on a more equivalent level
with the position limits for options on
the underlying indexes, the SPX, NDX,
and DJX.6 The proposed position limits
would also be proportional to the
position limits for the increased-value of
VIX, VXN, and VXD. The text of the
proposed rule change is available on the
Exchange’s Web site (https://
www.cboe.com), at the Exchange’s
Office of the Secretary, and at the
Commission.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
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 those
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in sections A, B, and C below, of
the most significant parts of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The Exchange received approval from
the Commission to list and trade cashsettled, European-style options on (1)
the regular-size VIX, VXN, and VXD 7
(together, ‘‘Regular-Size Volatility Index
Options’’) and (2) the increased-value
versions of VIX, VXN, and VXD
(together ‘‘Increased-Value Volatility
Index Options’’).8 VIX, VXN, and VXD
6 Telephone Conference between Dave Doherty,
Attorney, CBOE, and Florence E. Harmon, Senior
Special Counsel, Division, Commission, on March
10, 2006.
7 See Securities Exchange Act Release No. 49563
(April 14, 2004), 69 FR 21589 (April 21, 2004)
(‘‘Order Granting Approval to Proposed Rule
Change and Notice of Filing and Order Granting
Accelerated Approval to Amendment No. 2 Relating
to Options on Certain CBOE Volatility Indexes’’). As
of the date of filing, the Exchange lists for trading
VIX options (options on the regular size CBOE
Volatility Index).
8 See Securities Exchange Act Release No. 49698
(May 13, 2004), 69 FR 29152 (May 20, 2004)
(‘‘Notice of Filing and Order Granting Accelerated
PO 00000
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13871
are calculated using real-time quotes of
at-the-money and out-of-the-money
nearby and second nearby index puts
and calls of the S&P 500 Index (SPX),
the Nasdaq 100 Index (NDX), and the
Dow Jones Industrial Average Index
(DJX), respectively. Generally, volatility
indexes provide investors with up-tothe-minute market estimates of expected
volatility of the corresponding securities
index that each particular volatility
index tracks.
The Exchange originally sought and
received approval for position and
exercise limits of Regular-Size Volatility
Index Options in the amount of 25,000
contracts on either side of the market,
with no more than 15,000 of such
contracts in series in the nearest
expiration month. Given that there are
no position limits for broad-based index
option contracts on the DJX, NDX, OEX
and SPX, the Exchange believes it is
appropriate to increase the position
limits for the Regular-Size VIX, VXN,
and VXD to 250,000 position and
exercise limits on either side of the
market for each of those contracts, with
no more than 150,000 of such contracts
in series in the nearest expiration
month. This is also consistent with
limits applicable to the Increased-Value
Volatility Index Options (which are
25,000 contracts on either side of the
market, with no more than 15,000 of
such contracts in series in the nearest
expiration month).
The Exchange states that increasing
the Regular-Size Volatility Index
Options position limit from 25,000
contracts to 250,000 contracts would
have no effect on the monetary value of
the portfolio that could be controlled by
a particular person or firm as compared
to the Increased Value Volatility Index
Options. The Exchange also stated that
this also is consistent with previous
filings in which the Exchange
introduced reduced-value versions of
other broad-based indexes.9 The
Approval of a Proposed Rule change by [CBOE]
Relating to Options on Certain CBOE Volatility
Indexes’’). The increased-value version of VIX,
VXN, and VXD will be calculated by simply
multiplying the corresponding value of the VIX,
VXN, and VXD, respectively, by ten. To illustrate,
where the index level of the VIX would be 12.10,
the increased-value VIX will have an index value
of 121.00 (ten times 12.10). Similarly, the index
level of the increased-value versions of the VXN
and the VXD always will be ten times the index
level of the VXN and the VXD, respectively. As of
the date of filing, the Exchange has not listed for
trading Increased-Value Volatility Index Options.
9 See SR–CBOE–2000–15 (Securities Exchange
Act Release No. 43000 (June 30, 2000), 65 FR 42409
(July 10, 2000) (‘‘Notice of Filing and Immediate
Effectiveness of Proposed Rule Change and
Amendment No. 1 by [CBOE] Relating to a
Reduction in the Value of the Nasdaq 100 Stock
Index’’)) and SR–CBOE–2004–89 (Securities
E:\FR\FM\17MRN1.SGM
Continued
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]]>Agencies
[Federal Register Volume 71, Number 52 (Friday, March 17, 2006)]
[Notices]
[Page 13871]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 06-2619]
[[Page 13871]]
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POSTAL RATE COMMISSION
Facility Tour
AGENCY: Postal Rate Commission.
ACTION: Notice of Commission tour.
-----------------------------------------------------------------------
SUMMARY: Postal Rate Commissioners and advisory staff members will tour
Bank of America Corporation mailing operations facilities in New
Castle, Delaware on March 22, 2006.
DATES: March 22, 2006.
FOR FURTHER INFORMATION CONTACT: Stephen L. Sharfman, general counsel,
Postal Rate Commission, 202-789-6820.
Steven W. Williams,
Secretary.
[FR Doc. 06-2619 Filed 3-16-06; 8:45 am]
BILLING CODE 7710-FW-M
