Self-Regulatory Organizations; International Securities Exchange, Inc.; Notice of Filing of Proposed Rule Change and Amendments No. 1 and 2 Relating to Trading Options on Full and Reduced Values of the ISE 250 Index, the ISE 100 Index and the ISE 50 Index, Including Long-Term Options, 17484-17489 [05-6743]
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17484
Federal Register / Vol. 70, No. 65 / Wednesday, April 6, 2005 / Notices
I. Self-Regulatory Organizaiton’s
Statement of the Terms of Substance of
the Proposed Rule Change
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–1447; File No. SR–ISE–
2004–28]
Self-Regulatory Organizations;
International Securities Exchange, Inc.;
Notice of Filing of Proposed Rule
Change and Amendments No. 1 and 2
Relating to Trading Options on Full
and Reduced Values of the ISE 250
Index, the ISE 100 Index and the ISE 50
Index, Including Long-Term Options
March 30, 2005.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder, 2
notice is hereby given that on
September 10, 2004, the International
Securities Exchange, Inc. (‘‘Exchange’’
or ‘‘ISE’’) filed with the Securities and
Exchange Commission (‘‘Commission’’)
the proposed rule change as described
in Items I, II and III below, which Items
have been prepared by the ISE. The ISE
submitted Amendments No. 1 and No.
2 to the proposal on January 5, 2005,3
and on March 7, 2005, respectively.4
The Commission is publishing this
notice to solicit comments on the
proposed rule change, as amended, from
interested persons.
The ISE is proposing to amend its
rules to trade options on full and
reduced values of three broad-based
indexes, the ISE 250 Index, the ISE 100
Index and the ISE 50 Index. Options on
these indexes would be cash-settled and
would have European-style exercise
provisions. The text of the proposed
rule change is available on the ISE’s
Web site (https://www.iseoptions.com) at
the ISE’s Office of the Secretary, and at
the Commission. The text of the
proposed rule change appears below.
Additions are italicized; deletions are
bracketed.
*
*
*
*
*
Rule 2001. Definitions
Supplementary Material to Rule 2001
01. The reporting authorities
designated by the Exchange in respect of
each index underlying an index options
contract traded on the Exchange are as
provided in the chart below.
Underlying index
S&P SmallCap 600
Index.
Reporting authority
Standard & Poor’s
Broad-based
underlying index
100,000 contracts ............................................
45,000 contracts ..............................................
50,000 contracts ..............................................
500,000 contracts ............................................
75,000 contracts ..............................................
750,000 contracts ............................................
50,000 contracts ..............................................
500, contracts ..................................................
50, contracts ....................................................
500,000 contracts ............................................
50,000 contracts ..............................................
500,000 contracts ............................................
Morgan Stanley Technology Index.
S&P MidCap 400
Index.
S&P 1000 Index ........
Nasdaq 100 Index .....
ISE 250 Index ...........
ISE 100 Index ...........
ISE 50 Index .............
*
*
*
*
*
*
*
(a) General.
(4) ‘‘European-Style Exercise.’’ The
following European-style index options,
some of which may be A.M.-settled as
provided in paragraph (a)(5), are
approved for trading on the Exchange:
(i) S&P SmallCap 600 Index
(ii) Morgan Stanley Technology Index
(iii) S&P MidCap 400 Index
(iv) Reduced Value S&P 1000 Index
2 17
U.S.C. 78s(b)(1).
CFR 240.19b–4.
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American Stock Exchange
Standard & Poor’s
Standard & Poor’s
The Nasdaq Stock
Market
International Securities Exchange and
Standard & Poor’s
International Securities Exchange and
Standard & Poor’s
International Securities Exchange and
Standard & Poor’s
*
(a) Rule 412 generally shall govern
position limits for broad-based index
options, as modified by this Rule 2004.
There may be no position limit for
certain Specified (as provided in Rule
2000) broad-based index options
contracts. All other broad-based index
options contracts shall be subject to a
contract limitation fixed by the
Exchange, which shall not be larger than
the limits provided in the chart below.
Restrictions
No more
No more
No more
No more
None.
None.
No more
No more
No more
No more
No more
No more
than
than
than
than
60,000 near term.
25,000 near-term.
30,000 near-term.
300,000 near-term.
than
than
than
than
than
than
30,000 near-term.
300,000 near-term.
30,000 near-term.
300,000 near-term.
30,000 near-term.
300,000 near-term.
Jkt 205001
(v) Micro S&P 1000 Index
(vi) Full-size Nasdaq 100 Index
(vii) Mini Nasdaq 100 Index
(viii) ISE 250 Index
(ix) Mini ISE 250 Index
(x) ISE 100 Index
(xi) Mini ISE 100 Index
(xii) ISE 50 Index
(xiii) Mini ISE 50 Index
(5) A.M.-Settled Index Options. The
last day of trading for A.M.-settled index
options shall be the business day
preceding the last day of trading in the
underlying securities prior to
expiration. The current index value at
the expiration of an A.M.-settled index
option shall be determined, for all
purposes under these Rules and the
Rules of the Clearing Corporation, on
the last day of trading in the underlying
securities prior to expiration, by
reference to the reported level of such
index as derived from first reported sale
(opening) prices of the underlying
securities on such day, except that:
(i) In the event that the primary
market for an underlying security does
not open for trading on that day, the
3 Amendment No. 1 set forth a list of the
underlying components of the ISE Indexes.
4 Amendment No. 2 replaced the original filing in
its entirely, proposed a reduced number of contracts
*
Rule 2009. Terms of Index Options
Contracts
1 15
*
Reporting authority
Rule 2004. Position Limites for BroadBased Index Options
Standard limit
(on the same side of the market)
S&P SmallCap 600 Index ..................................
S&P MidCap 400 Index ......................................
Reduced Value S&P 1000 Index .......................
Micro S&P 1000 Index .......................................
Nasdaq 100 Index ..............................................
Mini Nasdaq 100 Index ......................................
ISE 250 Index .....................................................
Mini ISE 250 Index .............................................
ISE 100 Index .....................................................
Mini ISE 100 Index .............................................
ISE 50 Index .......................................................
Mini ISE 50 Index ...............................................
Underlying index
for position and exercise limits, addressed one of
the events that the Exchange will monitor on an
annual basis, and made other technical corrections
to the filing.
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Federal Register / Vol. 70, No. 65 / Wednesday, April 6, 2005 / Notices
price of that security shall be
determined, for the purposes of
calculating the current index value at
expiration, as set forth in Rule 2008(g),
unless the current index value at
expiration is fixed in accordance with
the Rules and By-Laws of the Clearing
Corporation; and
(ii) In the event that the primary
market for an underlying security is
open for trading on that day, but that
particular security does not open for
trading on that day, the price of that
security, for the purposes of calculating
the current index value at expiration,
shall be the last reported sale price of
the security.
The following A.M.-settled index
options are approved for trading on the
Exchange:
(i) S&P SmallCap 600 Index
(ii) Morgan Stanley Technology Index
(iii) S&P MidCap 400 Index
(iv) Reduced Value S&P 1000 Index
(v) Micro S&P 1000 Index
(vi) Full-size Nasdaq 100 Index
(vii) Mini Nasdaq 100 Index
(viii) ISE 250 Index
(ix) Mini ISE 250 Index
(x) ISE 100 Index
(xi) Mini ISE 100 Index
(xii) ISE 50 Index
(xiii) Mini ISE 50 Index
(c) Procedures for Adding and
Deleting Strike Prices. The procedures
for adding and deleting strike prices for
index options are provided in Rule 504,
as amended by the following:
(1) The interval between strike prices
will be no less than $5.00; provided,
that in the case of the following classes
of index options, the interval between
strike prices will be no less than $2.50:
(i) S&P SmallCap 600, if the strike
price is less than $200.00
(ii) Morgan Stanley Technology Index,
if the strike price is less than $200.00
(iii) S&P MidCap 400 Index, if the
strike price is less than $200.00
(iv) Reduced Value S&P 1000 Index,
if the strike price is less than $200.00
(v) Micro S&P 1000 Index, if the strike
price is less than $200.00
(vi) Full-size Nasdaq 100 Index, if the
strike price is less than $200.00
(vii) Mini Nasdaq 100 Index, if the
strike price is less than $200.00
(viii) ISE 250 Index, if the strike price
is less than $200.00
(ix) Mini ISE 250 Index, if the strike
price is less than $200.00
(x) ISE 100 Index, if the strike price
is less than $200.00
(xi) Mini ISE 100 Index, if the strike
price is less than $200.00
(xii) ISE 50 Index, if the strike price
is less than $200.00
(xiii) Mini ISE 50 Index, if the strike
price is less than $200.00
*
*
*
*
*
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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
ISE included statements concerning the
purpose of, and basis for, the proposed
rule change and discussed any
comments it received on the proposed
rule change, as amended. The text of
these statements may be examined at
the places specified in Item IV below.
The ISE has prepared summaries, set
forth in sections A, B and C below, of
the most significant aspects of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
I. Purpose
The Exchange proposes to amend its
rules to provide for the listing and
trading on the Exchange of cash-settled,
European-style, index options on full
and reduced values of the ISE 250
Index, the ISE 100 Index and the ISE 50
Index (collectively. the ‘‘ISE Indexes’’).5
Specifically, the Exchange proposes to
list options based upon the full value of
the ISE Indexes (‘‘Full-size ISE
Indexes’’) as well as one-tenth of the
value of the ISE Indexes (‘‘Mini ISE
Indexes’’).
Index Design and Composition
The ISE Indexes are designed to track
the performance of the most highly
capitalized publicly traded companies
in the United States. Each index is a
float-adjusted capitalization-weighted
index,6 whose components are all
headquartered in the United States and
listed on either the New York Stock
Exchange, Inc. (‘‘NYSE’’), the National
Association of Securities Dealers, Inc.
(‘‘NASD’’), Automated Quotation
System (‘‘NASDAQ’’), or the American
Stock Exchange LLC (‘‘Amex’’). All
companies in the ISE Indexes will either
be operating companies or Real Estate
Investments Trusts. All other
companies, such as Closed-end Funds,
Exchange Traded Funds, Holding
Companies, Investment Vehicles and
5 A description of each of the ISE Indexes will be
available on the Exchange’s publicly available Web
site at https://www.iseoptions.com.
6 The calculation of a float-adjusted, marketweighted index involves taking the summation of
the product of the price of each stock in the index
and the number of shares available to the public for
trading, rather than the total shares outstanding for
each issue. In contrast, a price-weighted index
involves taking the summation or the prices of the
stocks in the index.
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17485
Royalty Trusts are not eligible for
inclusion.
Companies are selected for inclusion
in the ISE Indexes by the Exchange
based on the Exchange’s methodology.7
Companies may not apply, and may not
be nominated, for inclusion. Companies
may be added or removed by the
Exchange based on the methodology
described below. In order for a company
to be eligible for inclusion in the ISE
Indexes, it must satisfy certain
minimum criteria. One of the
requirements for inclusion is that a
company’s ratio of cumulative shares
traded to adjusted shares outstanding
must be greater than 0.30 over the past
12 months. Another requirement that
must be met by each company is the
number of shares in its public float must
constitute at least 50% of its total
number of outstanding shares. To be
eligible for inclusion in the ISE 100
Index, companies must meet one
additional requirement: options on the
component company’s stock must be
listed on the Exchange.
The ISE indexes are calculated and
maintained by Standard & Poor’s
(‘‘S&P’’) pursuant to the Exchange’s
rules-based methodology and
instructions.
ISE 250 Index
The ISE 250 Index is designed to track
the combined performance of the most
highly capitalized stocks in the U.S.
equity markets and specifically includes
the top 250 stocks as ranked by market
capitalization.
Components of the ISE 250 Index are
selected using a rules-based
methodology that is fully transparent.
Its original selection pool includes all
common stocks listed on the NYSE,
Amex and NASDAQ. The entire index
universe is ranked in descending order
by unadjusted market capitalization.
Companies that do not meet component
eligibility requirements are removed. If
a component has multiple share classes,
the most liquid issue for that company
is included. The top 250 companies,
ranked by market capitalization, are
then selected from the remaining
universe.
Each component’s eligibility and
ranking is reviewed twice annually, in
June and December of each calendar
year. Any necessary component changes
are made after the close on the third
Friday of June and December, and
become effective at the opening on the
next trading day. Changes to the ISE 250
7 Rules governing component selection of the ISE
Indexes will be available on the Exchange’s
publicly available Web site at https://
www.iseoptions.com.
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Index will be announced on ISE’s
publicly available Web site five trading
days prior to the effective date.
In addition to the scheduled reviews,
the ISE 250 Index is reviewed on an
ongoing basis to accommodate
extraordinary events and corporate
actions, such as delisting, bankruptcies,
mergers or acquisitions involving index
components.
As set forth in Exhibit 3 to the
proposal, as of June 11, 2004, following
are the characteristics of the ISE 250
Index: (i) The total capitalization of all
of the components in the Index is $8.63
trillion; (ii) regarding component
capitalization, (a) the highest
capitalization of a component is $328.14
billion (General Electric Co.), (b) the
lowest capitalization of a component is
$5.47 billion (The Estee Lauder Co.,
Class A), (c) the mean capitalization of
the components is $34.51 billion, and
(d) the median capitalization of the
components is $16.85 billion; (iii)
regarding component price per share, (a)
the highest price per share of a
component is $113.71 (Wellpoint Health
Networks, Inc.), (b) the lowest price per
share of a component is $3.40 (Lucent
Technologies, Inc.), (c) the mean price
per share of the components is $45.73,
and (d) the median price per share of
the components is $42.67; (iv) regarding
component weightings, (a) the highest
weighting of a component is 3.8%
(General Electric Co.), (b) the lowest
weighting of a component is 0.1% (Estee
Lauder Co., Class A), (c) the mean
weighting of the component is 0.4%, (d)
the median weighting of the
components is 0.2%, and (e) the total
weighting of the top five highest
weighted components is 15.9% (General
Electric Co., Exxon Mobil Corp., Pfizer,
Inc., Citigroup, Inc., Microsoft Corp.);
(v) regarding component available
shares, (a) the most available shares of
a component is 10.77 billion shares
(Microsoft Corp.), (b) the least available
shares of a component is 118.91 million
shares (M&T Bank Corp.), (c) the mean
available shares of the components is
1.01 billion shares, and (d) the median
available shares of the components is
455.63 million shares; (vi) regarding the
six month average daily volumes of the
components, (a) the highest six month
average daily volume of a component is
64.6 million shares (Lucent
Technologies, Inc.), (b) the lowest six
month average daily volume of a
component is 514,230 shares (William
Wrigley Jr., Co.), (c) the mean six month
average daily volume of the components
is 5.292 million shares, (d) the median
six month average daily volume of the
components is 2.81 million shares, (e)
the average of six month average daily
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volumes of the five most heavily traded
components is 57.56 million shares
(Lucent Technologies, Inc., Microsoft
Corp., Intel Corp., Cicso Systems, Inc. &
Sun Microsystems, Inc.), and (f) 100%
of the components had a six month
average daily volume of at least 50,000;
and (vii) regarding option eligibility, (a)
99.2% of the components are options
eligible, as measured by weighting, and
(b) 97.2% of the components are options
eligible, as measured by number.
ISE 100 Index
The ISE 100 Index tracks the 100 most
actively traded listed options classes on
the Exchange. Components of the ISE
100 Index are selected based on the
average daily volume of each options
class over a six-month period on the
Exchange. Its original selection pool
includes all equity options listed on the
Exchange, ranked by average daily
volume over the previous six month
period. Companies that do not meet
component eligibility requirements are
removed. The top 100 companies,
ranked by average daily volume, are
then selected, and the index is weighted
by float-adjusted market capitalization.
Similar to the ISE 250 Index, each
component’s eligibility and ranking in
the ISE 100 Index is reviewed twice
annually, in June and December of each
calendar year. Any necessary
component changes are made after the
close on the third Friday of June and
December, and become effective at the
opening on the next trading day.
Changes to the ISE 100 Index will be
announced on ISE’s publicly available
website five trading days prior to the
effective date.
In addition to the scheduled reviews,
the ISE 100 Index is reviewed on an
ongoing basis to accommodate
extraordinary events and corporate
actions, such as delistings,
bankruptcies, mergers or acquisitions
involving index components.
As set forth in Exhibit 3 to the
proposal, as of June 11, 2004, following
are the characteristics of the ISE 100
Index: (i) The total capitalization of all
of the components in the Index is $5.36
trillion; (ii) regarding component
capitalization, (a) the highest
capitalization of a component is 328.14
billion (General Electric Co.), (b) the
lowest capitalization of a component is
$104.44 million (Genta, Inc.), (c) the
mean capitalization of the components
is $53.65 billion, and (d) the median
capitalization of the components is
$26.09 billion; (iii) regarding component
price per share, (a) the highest price per
share of a component is $93.01
(Goldman, Sachs Group, Inc.), (b) the
lowest price per share of component is
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$2.27 (Genta, Inc.), (c) the mean price
per share of the components is $36.94,
and (d) the median price per share of
the components is $31.59; (iv) regarding
component weightings, (a) the highest
weighting of a component is 6.1%
(General Electric Co), (b) the lowest
weighting of a component is 0.002%
(Genta, Inc.), (c) the mean weighting of
the components is 1.0%, (d) the median
weighting of the components is 0.5%,
and (e) the total weighting of the top
five highest weighted components is
25.6% (General Electric Co., Exxon
Mobil Corp., Pfizer, Inc., Citigroup, Inc.,
Microsoft Corp.); (v) regarding
component available shares, (a) the most
available shares of a component is 10.77
billion shares (Microsoft Corp.), (b) the
least available shares of a component is
39.05 million shares (Osi
Pharmaceuticals, Inc.), (c) the mean
available shares of the components is
1.67 billion shares, and (d) the median
available shares of the components is
924.04 million shares; (vi) regarding the
six month average daily volumes of the
components, (a) the highest six month
average daily volume of a component is
64.6 million shares (Lucent
Technologies, Inc.), (b) the lowest six
month average daily volume of a
component is 981,490 shares (Reynolds
American, Inc.), (c) the mean six month
average daily volume of the components
is 11.58 million shares, (d) the median
six month average daily volume of the
components is 6.84 million shares, (e)
the average of six month average daily
volumes of the five most heavily traded
components is 60.08 million shares
(Lucent Technologies, Inc., Microsoft
Corp., Intel Corp., Sirius Satellite Radio,
Inc. & Cisco Systems, Inc.), and (f) 100%
of the components had a six month
average daily volume of at least 50,000;
(vii) regarding option eligibility, (a)
100% of the components are options
eligible, as measured by weighting, and
(b) 100% of the components are options
eligible, as measured by number.
ISE 50 Index
The ISE 50 Index is a subset of the ISE
250 Index, such that the components of
the ISE 50 Index consist of the top 50
components that make up the ISE 250
Index, as ranked by market
capitalization. Thus, the criteria for
inclusion into the ISE 50 Index, as well
as the maintenance of the Index, are
identical to those of the ISE 250 Index.
As set forth in Exhibit 3 to the
proposed as of June 11, 2004, following
are the characteristics of the ISE 50
Index: (i) The total capitalization of all
of the components in the Index is $5.18
trillion; (ii) regarding component
capitalization, (a) the highest
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capitalization of a component is $328.14
billion (General Electric, Co.), (b) the
lowest capitalization of a component is
$24.86 billion (Motorola, Inc.), (c) the
mean capitalization of the components
is $103.5 billion, and (d) the median
capitalization of the components is
$73.7 billion; (iii) regarding component
price per share, (a) the highest price per
share of a component is $93.01
(Goldman, Sachs Group, Inc.), (b) the
lowest price per share of a components
is $11.71 (Oracle Corp.) (c) the mean
price per share of the components is
$47.57, and (d) the median price per
share of the components is $45.67; (iv)
regarding components weightings, (a)
the highest weighting of a component is
6.3% (General Electric Co.), (b) the
lowest weighting of a component is
0.5% (Goldman, Sachs Group, Inc.), (c)
the mean weighting of the components
is 2.0%, (d) the median weighting of the
components is 1.4% and (e) the total
weighting of the top five highest
weighted components is 26.5% (General
Electric Co., Exxon Mobil Corp., Pfizer,
Inc., Citigroup Inc., Microsoft Corp.); (v)
regarding component available shares,
(a) the most available shares of a
components is 10.77 billion shares
(Microsoft Corp.), (b) the least available
shares of a components is 480.65
million shares (Goldman, Sachs Group,
Inc.), (c) the mean available shares of
the components is 2.74 billion shares,
and (d) the median available shares of
the components is 1.97 billion shares;
(vi) regarding the six month average
daily volumes of the components, (a)
the highest six month average daily
volume of a component is 62.59 million
shares (Microsoft Corp.), (b) the lowest
six month average daily volume of a
component is 2.38 million shares
(ConocoPhillips), (c) the mean six
month average daily volume of the
components is 11.63 million shares, (d)
the median six month average daily
volume of the components is 6.64
million shares, (e) the average of six
month average daily volumes of the five
most heavily traded components is
49.40 million shares (Microsoft Corp.,
Intel Corp., Cisco Systems, Inc., Oracle
Corp. & General Electric, Co.), and (f)
100% of the components had a six
month average daily volume of at least
50,000; (vii) regarding option eligibility,
(a) 100% of the components are options
eligible, as measured by weighting, and
(b) 100% of the components are options
eligible as measured by number.
Index Calculation and Index
Maintenance
The base index level of the ISE 250
Index, the ISE 100 Index, and the ISE 50
Index, as of December 31, 1998, was
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250, 100 and 200, respectively. On
January 3, 2005, the index level of the
ISE 250 Index, the ISE 100 Index and
the ISE 50 Index was 227.48, 86.32, and
156.98, respectively. the Exchange
proposes to base trading in options on
both full-size ISE Indexes and on
fractions of Full-size ISE Indexes. In
particular, the Exchange proposes to list
options on Mini ISE Indexes that are
based on one tenth of the value of fullsize ISE Indexes. The Exchange believes
that listing options on reduced values
will attract a greater source of customer
business than if options were based only
on the full value of the ISE Indexes. The
Exchange further believes that listing
options on reduced values will provide
an opportunity for investors to hedge, or
speculate on, the market risk associated
with the stocks comprising the ISE
Indexes. Additionally, by reducing the
values of the ISE Indexes, investors will
be able to use this trading vehicle while
extending a smaller outlay of capital.
The Exchange believes that this should
attract additional investors, and, in turn,
create a more active and liquid trading
environment.8
The Full-size ISE Indexes’ and the
Mini ISE Indexes’ level shall each be
calculated continuously, using the last
sale price for each component stock in
the ISE Indexes, and shall be
disseminated every 15 seconds
throughout the trading day.9 To
calculate the value of the Full-size ISE
Indexes, the sum of the market value of
the stocks in this ISE Indexes is divided
by the base period market value
(divisor). To calculate the value of the
Mini ISE Indexes, the full value of the
ISE Indexes is divided by ten. In order
to provide continuity for the ISE
Indexes’ value, the divisor is adjusted
periodically to reflect such events as
changes in the number of common
shares outstanding for component
8 The concept of listing reduced value options on
an index is not a novel one. See, e.g, Securities
Exchange Act Release Nos. 32893 (September 14,
1993), 58 FR 49070 (September 21, 1993) (order
approving File No. SR–CBOE–93–12) (approving
the listing and trading of options based on onetenth the value of the S&P 500 Index); 43000 (June
30, 2000), 65 FR 42409 (July 10, 2000) (notice of
filing and immediate effectiveness of File No. SR–
CBOE–00–15) (listing and trading of options based
on one-tenth of the value of the Nasdaq 100 Index);
and 48681 (October 22, 2003), 68 FR 62337
(November 3, 2003) (order approving File No. SR–
CBOE–2003–4) (approving the listing and trading of
options based on one-tenth of the value of the NYSE
Composite Index).
9 The ISE Index levels shall be calculated by S&P,
on behalf of the Exchange, and disseminated to the
Options Price Reporting Authority (‘‘OPRA’’) by the
Exchange. The Exchange shall also disseminate
these values to its members. The ISE Indexes will
be published daily on the Exchange’s publicly
available website and through major quotation
vendors, such as Reuters.
PO 00000
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17487
stocks, company additions or deletions,
corporate restructurings and other
capitalization changes.
The settlement values for purposes of
settling both Full-size ISE Indexes
(‘‘Full-size Settlement Value’’) and Mini
ISE Indexes (‘‘Mini Settlement Value’’)
shall be calculated on the basis of
opening market prices on the business
day prior to the expiration date of such
options (‘‘Settlement Day’’).10 The
Settlement Day is normally the Friday
preceding ‘‘Expiration Saturday.’’ 11 In
the event a component security in the
ISE Indexes does not trade on
Settlement Day, the closing price from
the previous trading day will be used to
calculate both Full-size Settlement
Value and Mini Settlement Value.
Accordingly, trading in the ISE Indexes
will normally cease on the Thursday
preceding an Expiration Saturday. S&P
shall calculate and the Exchange shall
disseminate, both Full-size Settlement
Value and Mini Settlement Value in the
same manner as S&P shall calculate, and
the Exchange shall disseminate, both
Full-Size ISE Indexes’ and Mini ISE
Indexes’ level.
S&P will monitor and maintain the
ISE Indexes pursuant to ISE’s
methodology and instructions. S&P is
responsible for making all necessary
adjustments to the ISE Indexes to reflect
component deletions, share changes,
stock splits, stock dividends (other than
an ordinary cash dividend), and stock
price adjustments due to restructuring,
mergers, or spin-offs involving the
underlying components. Some corporate
actions, such as stock splits and stock
dividends, require simple changes to the
available shares outstanding and the
stock prices of the underlying
components. The number of common
shares outstanding for each component
stock will be reviewed every Friday.
Share changes of less than 5% will be
updated on a quarterly basis, becoming
effective after the close on the third
Friday of March, June, September and
December of each calendar year. The
index divisor is adjusted at that time to
compensate for the share changes. Share
changes greater than 5% will be
adjusted after the close on the
Wednesday of the following week. The
index divisor change also becomes
effective after the close on that day.
Changes will be announced on the
Exchange’s publicly available website
prior to the effective date. Unscheduled
share changes due to corporate actions
10 The aggregate exercise value of the option
contract is calculated by multiplying the Index
value by the Index multiplier, which is 100.
11 For any given expiration month, options on the
ISE Indexes will expire on the third Saturday of the
month.
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may be processed the same day they are
announced, depending on the time the
details are received by S&P. In such
cases, the index divisor changes may
become effective that same day and
immediately announced on the
Exchange’s publicly available website.
The eligibility of each component of
the ISE Indexes will be reviewed in June
and December of each calendar year.
Components that fail to meet the
eligibility requirements are replaced
with new component companies.
Component changes may also occur
between review periods if a specific
corporate action makes an existing
component ineligible. The Exchange
maintains a Component Replacement
Pool (‘‘CRP’’) for the ISE Indexes at all
times for contingency purposes. The
CRP contains at least ten companies that
meet the eligibility requirements for the
ISE Indexes, ranked by market
capitalization for the ISE 250 Index and
the ISE 50 Index, and six-month average
trading volume for the ISE 100 Index.
Components removed from the ISE
Indexes are replaced with those from
the CRP. Component changes are made
after the close on the third Friday of
June and December of each calendar
year, and become effective at the
opening on the next trading day. All
such changes will be announced on the
Exchange’s publicly available website at
least five trading days prior to the
effective date.
The Exchange represents that the ISE
Indexes currently satisfy the
maintenance criteria and further states
that it will monitor and maintain the
ISE Indexes on a quarterly basis, at
which point the Exchange will notify
the Market Regulation Division of the
Commission if: (i) The number of
securities in the ISE Indexes drops by 1⁄3
or more; (ii) 10% or more of the weight
of 262 the ISE Indexes is represented by
component securities having a market
value of less than $75 million; (iii) less
than 80% of the weight of the ISE
Indexes is represented by component
securities that are eligible for options
trading pursuant to ISE Rule 502; (iv)
10% or more of the weight of the ISE
Indexes is represented by component
securities trading less than 20,000
shares per day; or (v) the largest
component security accounts for more
than 15% of the weight of the ISE
Indexes or the largest five components
in the aggregate account for more than
40% of the weight of the ISE Indexes: 12
12 The timeframe for monitoring the ISE Indexes
was changed from an annual to a quarterly basis.
Telephone conversation between Samir Patel,
Assistant General Counsel, ISE, and Mia Zur,
Attorney, Division of Market Regulation
(‘‘Division’’), Commission (March 22, 2005).
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18:17 Apr 05, 2005
Jkt 205001
and a minimum of the option proceeds
plus 10% of the aggregate exercise price
amount for put options.
The Exchange proposes to set strike
price intervals at 21⁄2 points for certain
near-the-money series in near-term
expiration months when each of the ISE
Indexes is at a level below 200, and 5
point strike price intervals for other
options series with expirations up to
one year, and 10 point strike price
intervals for longer-term options. The
minimum tick size for series trading
Contract Specifications
below $3 shall be 0.05, and for series
The contract specifications for options trading at or above $3 shall be 0.10.
on the ISE Indexes are set forth in
The Exchange proposes to list options
Exhibit 3 to the proposal. The ISE
on the ISE Indexes in the three
Indexes are each broad-based indexes,
consecutive near-term expiration
as defined in ISE Rule 2001(j).14 Options months plus up to three successive
on the ISE indexes as European-style
expiration months in the March cycle.
and A.M. cash-settled. The Exchange’s
For example, consecutive expirations of
standard trading hours for index options January, February, March, plus June,
(9:30 a.m. to 4:15 p.m., New York time), September, and December expirations
as set forth in ISE Rule 2008(a), will
would be listed.16 In addition, longerapply to the ISE Indexes. Exchange rules term option series (‘‘LEAPS’’) having up
that are applicable to the trading of
to thirty-six (36) months to expiration
options on broad-based indexes will
may be traded.17 The interval between
apply to both Full-size ISE Indexes and
expiration months on the ISE Indexes
Mini ISE indexes.15 Specifically, the
shall not be less than six months. The
trading of Full-size ISE Indexes and
trading of any long-term ISE Indexes
Mini ISE Indexes will be subject to,
shall be subject to the same rules that
among others, Exchange rules governing govern the trading of all the Exchange’s
margin requirements and trading halt
index options, including sales practice
procedures for index options.
rules, margin requirements, trading
For each of the Full-size ISE Indexes,
rules and position and exercise limits.
the Exchange proposes to establish
aggregate position and exercise limits at Surveillance and Capacity
50,000 contracts on the same side of the
The Exchange represents that it has an
market, provided no more than 30,000
adequate surveillance program in place
of such contracts are in the nearest
for options traded on the ISE Indexes,
expiration month series. For position
and intends to apply those same
and exercise limit purposes, Full-size
program procedures that it applies to
ISE Indexes contracts shall be
the Exchange’s other index options.
aggregated with Mini ISE Indexes
Additionally, the Exchange is a member
contracts, where ten (10) Mini ISE
of the Intermarket Surveillance Group
Indexes contracts equal one (1) Full-size (‘‘ISG’’) under the Intermarket
ISE Index contract.
Surveillance Group Agreement, dated
The Exchange proposes to apply
June 20, 1994. The members of the ISG
index margin requirements for the
include all of the U.S. registered stock
purchase and sale of options on the ISE
and options markets; the Amex, the
Indexes. Accordingly, purchases of put
Boston Stock Exchange, Inc. (‘‘BSE’’),
or call options with 9 months or less
the Chicago Board Options Exchange
until expiration must be paid for in full. (‘‘CBOE’’), the Chicago Stock Exchange,
Writers of uncovered put or call options Inc. (‘‘CSE’’), the National Stock
must deposit/maintain 100% of the
Exchange, Inc. (‘‘NSE’’), the NASD, the
option proceeds, plus 15% of the
NYSE, the Pacific Stock Exchange, Inc.
aggregate contract value (current index
(‘‘PSE’’) and the Philadelphia Stock
level × $100), less any out-of-the-money Exchange, Inc. (‘‘PHLX’’). The ISG
amount, subject to a minimum of the
members work together to coordinate
option proceeds plus 10% of the
surveillance and investigative
aggregate contract value for call options
In the event the Indexes fail at any time
to satisfy the maintenance criteria, the
ISE will not open for trading any
additional series of options on the
Indexes unless such failure is
determined by the Exchange not to he
significant and the Commission concurs
in that determination, or unless the
continued listing of options on each
respective Index has been approved by
the Commission under Section 19(b)(2)
of the Exchange Act.13
16 See
conversation between Samir Patel,
Assistant General Counsel, ISE, and MIA Zur,
Attorney, Division, Commission (March 22, 2005).
14 ISE Rule 2001(j) defines a ‘‘market index’’ or a
‘‘broad-based index’’ to mean an index designed to
be representative of a stock market as a whole or
of a range of companies in unrelated industries.
15 See ISE Rules 2000 through 2012.
PO 00000
13 Telephone
Frm 00087
Fmt 4703
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ISE Rule 2009(a)(3).
ISE Rule 2009(b)(1). LEAPS will be
available on the Full and Reduced Value ISE
Indexes. However, the Exchange is not listing
reduced value LEAPS on the Reduced Value ISE
Indexes pursuant to ISE Rule 2009(b)(2). Telephone
conversation between Samir Patel, Assistant
General Counsel, ISE, and Mia Zur, Attorney,
Division, Commission (March 11, 2005).
17 See
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Federal Register / Vol. 70, No. 65 / Wednesday, April 6, 2005 / Notices
information sharing in the stock and
options markets. In addition, the major
futures exchanges are affiliated
members of the ISG, which allows for
the sharing of surveillance information
for potential intermarket trading abuses.
The Exchange represents that it has
the system capacity to adequately
handle all series that would be
permitted to be added by this proposal
(including LEAPS). The Exchange
provided to the Commission
information in a confidential
submission that supports its system
capacity representations that will result
from the introduction of both Full-size
ISE Index and Mini ISE Indexes.
2. Statutory Basis
The Exchange believes that the
proposed rule change is consistent with
Section 6(b) of the Act,18 in general, and
furthers the objectives of Section
6(b)(5),19 in particular, in that it will
permit options trading in Full-size ISE
Indexes and Mini ISE Indexes pursuant
to rules designed to prevent fraudulent
and manipulative acts and practices and
promote just and equitable principals of
trade.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The ISE believes that the proposed
rule change does not impose any burden
on competition.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants or Others
The Exchange has not solicited, and
does not intend to solicit, comments on
this proposed rule change. The
Exchange has not received any
unsolicited written comments from
member or other interested parties.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Within 35 days of the date of
publication of this notice in the Federal
Register or within such longer period (i)
as the Commission may designate up to
90 days of such date if it finds such
longer period to be appropriate and
publishes its reasons for so finding or
(ii) as to which the self-regulatory
organizations consents, the Commission
will:
A. By order approve such proposed
rule change; or
B. Institute proceedings to determine
whether the proposed rule change
should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change, as amended, is consistent with
the Act. Comments may be submitted by
any of the following methods:
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an E-mail to rulecomments@sec.gov. Please include File
No. SR–ISE–2004–28 on the subject
line.
For the Commission, by the Division of
Market Regulation, pursuant to delegated
authority.20
Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 05–6743 Filed 4–5–05; 8:45 am]
BILLING CODE 8010–01–M
U.S.C. 78f(b).
19 15 U.S.C. 78f(b)(5).
18:17 Apr 05, 2005
20 17
Jkt 205001
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–51457; File No. SR–NASD–
2004–135]
Self-Regulatory Organizations; Notice
of Filing of Proposed Rule Change by
the National Association of Securities
Dealers, Inc. Relating to Disclosure
and Consent Requirements When
Trading on a Net Basis With
Customers
March 31, 2005.
Pursuant to section 19(b)(1) 1 of the
Securities Exchange Act of 1934
(‘‘Act’’ 2 and Rule 19b–4 thereunder,3
notice is hereby given that on
Paper Comments
September 1, 2004, the National
• Send paper comments in triplicate
Association of Securities Dealers, Inc.
to Jonathan G. Katz, Secretary,
(‘‘NASD’’), filed with the Securities and
Securities and Exchange Commission,
Exchange Commission (‘‘SEC’’ or
450 Fifth Street, NW., Washington, DC
‘‘Commission’’) the proposed rule
20549–0609.
change as described in items I, II, and
All submissions should refer to File
III below, which items have been
Number SR–ISE–2004–28. This file
prepared by NASD. On February 16,
number should be included on the
2005, NASD filed Amendment No. 1 to
subject line if e-mail is used. To help the the proposed rule change.4 On February
Commission process and review your
25, 2005, NASD filed Amendment No.
comments more efficiently, please use
2 to the proposed rule change.5 On
only one method. The Commission will March 21, 2005, NASD filed
post all comments on the Commission’s Amendment No. 3 to the proposed rule
Internet Web site (https://www.sec.gov/
change.6 The Commission is publishing
rules/sro.shtml). Copies of the
this notice to solicit comments on the
submission, all subsequent
proposed rule change from interested
amendments, all written statements
persons.
with respect to the proposed rule
I. Self-Regulatory Organization’s
change that are filed with the
Statement of the Terms of Substance of
Commission, and all written
the Proposed Rule Change
communications relating to the
proposed rule change between the
NASD is filing a proposed rule to
Commission and any person, other than require disclosure and consent when
those that may be withheld from the
trading on a net basis with customers.
public in accordance with the
Proposed new language is in italics.
provisions of 5 U.S.C. 552, will be
*
*
*
*
*
available for inspection and copying in
2441. Net Transactions With Customers
the Commission’s Public Reference
Room. Copies of such filing also will be
(a) Prior to executing a transaction
available for inspection and copying at
with a customer on a ‘‘net’’ basis as
the principal office of the ISE. All
defined in paragraph (d) below, a
comments received will be posted
member must provide disclosure to and
without change; the Commission does
obtain consent from the customer as
not edit personal identifying
provided in this Rule.
information from submissions. You
1 15 U.S.C. 78s(b)(1).
should submit only information that
2 15 U.S.C. 78a et seq.
you wish to make available publicly. All
3 17 CFR 240.19b–4.
submissions should refer to File
4 In Amendment No. 1, among other things,
Number SR–ISE–2004–28 and should be
NASD deleted each instance of the words ‘‘or
submitted by April 27, 2005.
similar’’ in the phrase ‘‘on a ‘net’ or similar basis’’
18 15
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17489
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CFR 200.30–3(a)(12).
Frm 00088
Fmt 4703
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in proposed new Rule 2441.
5 In Amendment No. 2, NASD removed
underlining that inadvertently had been applied to
paragraph (e) of proposed new Rule 2441 as it
appeared in Exhibit 4 to Amendment No. 1.
6 In Amendment No. 3, among other things,
NASD modified proposed new Rule 2441 by
substituting ‘‘adviser’’ for ‘‘advisor’’ in paragraph
(b) and substituting ‘‘customer whose account
qualifies’’ for ‘‘customer that qualifies’’ in
paragraph (d).
E:\FR\FM\06APN1.SGM
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]]>Agencies
[Federal Register Volume 70, Number 65 (Wednesday, April 6, 2005)]
[Notices]
[Pages 17484-17489]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 05-6743]
[[Page 17484]]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-1447; File No. SR-ISE-2004-28]
Self-Regulatory Organizations; International Securities Exchange,
Inc.; Notice of Filing of Proposed Rule Change and Amendments No. 1 and
2 Relating to Trading Options on Full and Reduced Values of the ISE 250
Index, the ISE 100 Index and the ISE 50 Index, Including Long-Term
Options
March 30, 2005.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 thereunder, \2\ notice is hereby given
that on September 10, 2004, the International Securities Exchange, Inc.
(``Exchange'' or ``ISE'') filed with the Securities and Exchange
Commission (``Commission'') the proposed rule change as described in
Items I, II and III below, which Items have been prepared by the ISE.
The ISE submitted Amendments No. 1 and No. 2 to the proposal on January
5, 2005,\3\ and on March 7, 2005, respectively.\4\ The Commission is
publishing this notice to solicit comments on the proposed rule change,
as amended, from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ Amendment No. 1 set forth a list of the underlying
components of the ISE Indexes.
\4\ Amendment No. 2 replaced the original filing in its
entirely, proposed a reduced number of contracts for position and
exercise limits, addressed one of the events that the Exchange will
monitor on an annual basis, and made other technical corrections to
the filing.
---------------------------------------------------------------------------
I. Self-Regulatory Organizaiton's Statement of the Terms of Substance
of the Proposed Rule Change
The ISE is proposing to amend its rules to trade options on full
and reduced values of three broad-based indexes, the ISE 250 Index, the
ISE 100 Index and the ISE 50 Index. Options on these indexes would be
cash-settled and would have European-style exercise provisions. The
text of the proposed rule change is available on the ISE's Web site
(https://www.iseoptions.com) at the ISE's Office of the Secretary, and
at the Commission. The text of the proposed rule change appears below.
Additions are italicized; deletions are bracketed.
* * * * *
Rule 2001. Definitions
Supplementary Material to Rule 2001
01. The reporting authorities designated by the Exchange in respect
of each index underlying an index options contract traded on the
Exchange are as provided in the chart below.
------------------------------------------------------------------------
Underlying index Reporting authority
------------------------------------------------------------------------
S&P SmallCap 600 Index.................... Standard & Poor's
Morgan Stanley Technology Index........... American Stock Exchange
S&P MidCap 400 Index...................... Standard & Poor's
S&P 1000 Index............................ Standard & Poor's
Nasdaq 100 Index.......................... The Nasdaq Stock Market
ISE 250 Index............................. International Securities
Exchange and Standard &
Poor's
ISE 100 Index............................. International Securities
Exchange and Standard &
Poor's
ISE 50 Index.............................. International Securities
Exchange and Standard &
Poor's
------------------------------------------------------------------------
* * * * *
Rule 2004. Position Limites for Broad-Based Index Options
(a) Rule 412 generally shall govern position limits for broad-based
index options, as modified by this Rule 2004. There may be no position
limit for certain Specified (as provided in Rule 2000) broad-based
index options contracts. All other broad-based index options contracts
shall be subject to a contract limitation fixed by the Exchange, which
shall not be larger than the limits provided in the chart below.
------------------------------------------------------------------------
Standard limit (on
Broad-based underlying the same side of the Restrictions
index market)
------------------------------------------------------------------------
S&P SmallCap 600 Index...... 100,000 contracts... No more than 60,000
near term.
S&P MidCap 400 Index........ 45,000 contracts.... No more than 25,000
near-term.
Reduced Value S&P 1000 Index 50,000 contracts.... No more than 30,000
near-term.
Micro S&P 1000 Index........ 500,000 contracts... No more than 300,000
near-term.
Nasdaq 100 Index............ 75,000 contracts.... None.
Mini Nasdaq 100 Index....... 750,000 contracts... None.
ISE 250 Index............... 50,000 contracts.... No more than 30,000
near-term.
Mini ISE 250 Index.......... 500, contracts...... No more than 300,000
near-term.
ISE 100 Index............... 50, contracts....... No more than 30,000
near-term.
Mini ISE 100 Index.......... 500,000 contracts... No more than 300,000
near-term.
ISE 50 Index................ 50,000 contracts.... No more than 30,000
near-term.
Mini ISE 50 Index........... 500,000 contracts... No more than 300,000
near-term.
------------------------------------------------------------------------
* * * * *
Rule 2009. Terms of Index Options Contracts
(a) General.
(4) ``European-Style Exercise.'' The following European-style index
options, some of which may be A.M.-settled as provided in paragraph
(a)(5), are approved for trading on the Exchange:
(i) S&P SmallCap 600 Index
(ii) Morgan Stanley Technology Index
(iii) S&P MidCap 400 Index
(iv) Reduced Value S&P 1000 Index
(v) Micro S&P 1000 Index
(vi) Full-size Nasdaq 100 Index
(vii) Mini Nasdaq 100 Index
(viii) ISE 250 Index
(ix) Mini ISE 250 Index
(x) ISE 100 Index
(xi) Mini ISE 100 Index
(xii) ISE 50 Index
(xiii) Mini ISE 50 Index
(5) A.M.-Settled Index Options. The last day of trading for A.M.-
settled index options shall be the business day preceding the last day
of trading in the underlying securities prior to expiration. The
current index value at the expiration of an A.M.-settled index option
shall be determined, for all purposes under these Rules and the Rules
of the Clearing Corporation, on the last day of trading in the
underlying securities prior to expiration, by reference to the reported
level of such index as derived from first reported sale (opening)
prices of the underlying securities on such day, except that:
(i) In the event that the primary market for an underlying security
does not open for trading on that day, the
[[Page 17485]]
price of that security shall be determined, for the purposes of
calculating the current index value at expiration, as set forth in Rule
2008(g), unless the current index value at expiration is fixed in
accordance with the Rules and By-Laws of the Clearing Corporation; and
(ii) In the event that the primary market for an underlying
security is open for trading on that day, but that particular security
does not open for trading on that day, the price of that security, for
the purposes of calculating the current index value at expiration,
shall be the last reported sale price of the security.
The following A.M.-settled index options are approved for trading
on the Exchange:
(i) S&P SmallCap 600 Index
(ii) Morgan Stanley Technology Index
(iii) S&P MidCap 400 Index
(iv) Reduced Value S&P 1000 Index
(v) Micro S&P 1000 Index
(vi) Full-size Nasdaq 100 Index
(vii) Mini Nasdaq 100 Index
(viii) ISE 250 Index
(ix) Mini ISE 250 Index
(x) ISE 100 Index
(xi) Mini ISE 100 Index
(xii) ISE 50 Index
(xiii) Mini ISE 50 Index
(c) Procedures for Adding and Deleting Strike Prices. The
procedures for adding and deleting strike prices for index options are
provided in Rule 504, as amended by the following:
(1) The interval between strike prices will be no less than $5.00;
provided, that in the case of the following classes of index options,
the interval between strike prices will be no less than $2.50:
(i) S&P SmallCap 600, if the strike price is less than $200.00
(ii) Morgan Stanley Technology Index, if the strike price is less
than $200.00
(iii) S&P MidCap 400 Index, if the strike price is less than
$200.00
(iv) Reduced Value S&P 1000 Index, if the strike price is less than
$200.00
(v) Micro S&P 1000 Index, if the strike price is less than $200.00
(vi) Full-size Nasdaq 100 Index, if the strike price is less than
$200.00
(vii) Mini Nasdaq 100 Index, if the strike price is less than
$200.00
(viii) ISE 250 Index, if the strike price is less than $200.00
(ix) Mini ISE 250 Index, if the strike price is less than $200.00
(x) ISE 100 Index, if the strike price is less than $200.00
(xi) Mini ISE 100 Index, if the strike price is less than $200.00
(xii) ISE 50 Index, if the strike price is less than $200.00
(xiii) Mini ISE 50 Index, if the strike price is less than $200.00
* * * * *
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 ISE included statements
concerning the purpose of, and basis for, the proposed rule change and
discussed any comments it received on the proposed rule change, as
amended. The text of these statements may be examined at the places
specified in Item IV below. The ISE has prepared summaries, set forth
in sections A, B and C below, of the most significant aspects of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
I. Purpose
The Exchange proposes to amend its rules to provide for the listing
and trading on the Exchange of cash-settled, European-style, index
options on full and reduced values of the ISE 250 Index, the ISE 100
Index and the ISE 50 Index (collectively. the ``ISE Indexes'').\5\
---------------------------------------------------------------------------
\5\ A description of each of the ISE Indexes will be available
on the Exchange's publicly available Web site at https://
www.iseoptions.com.
---------------------------------------------------------------------------
Specifically, the Exchange proposes to list options based upon the
full value of the ISE Indexes (``Full-size ISE Indexes'') as well as
one-tenth of the value of the ISE Indexes (``Mini ISE Indexes'').
Index Design and Composition
The ISE Indexes are designed to track the performance of the most
highly capitalized publicly traded companies in the United States. Each
index is a float-adjusted capitalization-weighted index,\6\ whose
components are all headquartered in the United States and listed on
either the New York Stock Exchange, Inc. (``NYSE''), the National
Association of Securities Dealers, Inc. (``NASD''), Automated Quotation
System (``NASDAQ''), or the American Stock Exchange LLC (``Amex''). All
companies in the ISE Indexes will either be operating companies or Real
Estate Investments Trusts. All other companies, such as Closed-end
Funds, Exchange Traded Funds, Holding Companies, Investment Vehicles
and Royalty Trusts are not eligible for inclusion.
---------------------------------------------------------------------------
\6\ The calculation of a float-adjusted, market-weighted index
involves taking the summation of the product of the price of each
stock in the index and the number of shares available to the public
for trading, rather than the total shares outstanding for each
issue. In contrast, a price-weighted index involves taking the
summation or the prices of the stocks in the index.
---------------------------------------------------------------------------
Companies are selected for inclusion in the ISE Indexes by the
Exchange based on the Exchange's methodology.\7\ Companies may not
apply, and may not be nominated, for inclusion. Companies may be added
or removed by the Exchange based on the methodology described below. In
order for a company to be eligible for inclusion in the ISE Indexes, it
must satisfy certain minimum criteria. One of the requirements for
inclusion is that a company's ratio of cumulative shares traded to
adjusted shares outstanding must be greater than 0.30 over the past 12
months. Another requirement that must be met by each company is the
number of shares in its public float must constitute at least 50% of
its total number of outstanding shares. To be eligible for inclusion in
the ISE 100 Index, companies must meet one additional requirement:
options on the component company's stock must be listed on the
Exchange.
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\7\ Rules governing component selection of the ISE Indexes will
be available on the Exchange's publicly available Web site at http:/
/www.iseoptions.com.
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The ISE indexes are calculated and maintained by Standard & Poor's
(``S&P'') pursuant to the Exchange's rules-based methodology and
instructions.
ISE 250 Index
The ISE 250 Index is designed to track the combined performance of
the most highly capitalized stocks in the U.S. equity markets and
specifically includes the top 250 stocks as ranked by market
capitalization.
Components of the ISE 250 Index are selected using a rules-based
methodology that is fully transparent. Its original selection pool
includes all common stocks listed on the NYSE, Amex and NASDAQ. The
entire index universe is ranked in descending order by unadjusted
market capitalization. Companies that do not meet component eligibility
requirements are removed. If a component has multiple share classes,
the most liquid issue for that company is included. The top 250
companies, ranked by market capitalization, are then selected from the
remaining universe.
Each component's eligibility and ranking is reviewed twice
annually, in June and December of each calendar year. Any necessary
component changes are made after the close on the third Friday of June
and December, and become effective at the opening on the next trading
day. Changes to the ISE 250
[[Page 17486]]
Index will be announced on ISE's publicly available Web site five
trading days prior to the effective date.
In addition to the scheduled reviews, the ISE 250 Index is reviewed
on an ongoing basis to accommodate extraordinary events and corporate
actions, such as delisting, bankruptcies, mergers or acquisitions
involving index components.
As set forth in Exhibit 3 to the proposal, as of June 11, 2004,
following are the characteristics of the ISE 250 Index: (i) The total
capitalization of all of the components in the Index is $8.63 trillion;
(ii) regarding component capitalization, (a) the highest capitalization
of a component is $328.14 billion (General Electric Co.), (b) the
lowest capitalization of a component is $5.47 billion (The Estee Lauder
Co., Class A), (c) the mean capitalization of the components is $34.51
billion, and (d) the median capitalization of the components is $16.85
billion; (iii) regarding component price per share, (a) the highest
price per share of a component is $113.71 (Wellpoint Health Networks,
Inc.), (b) the lowest price per share of a component is $3.40 (Lucent
Technologies, Inc.), (c) the mean price per share of the components is
$45.73, and (d) the median price per share of the components is $42.67;
(iv) regarding component weightings, (a) the highest weighting of a
component is 3.8% (General Electric Co.), (b) the lowest weighting of a
component is 0.1% (Estee Lauder Co., Class A), (c) the mean weighting
of the component is 0.4%, (d) the median weighting of the components is
0.2%, and (e) the total weighting of the top five highest weighted
components is 15.9% (General Electric Co., Exxon Mobil Corp., Pfizer,
Inc., Citigroup, Inc., Microsoft Corp.); (v) regarding component
available shares, (a) the most available shares of a component is 10.77
billion shares (Microsoft Corp.), (b) the least available shares of a
component is 118.91 million shares (M&T Bank Corp.), (c) the mean
available shares of the components is 1.01 billion shares, and (d) the
median available shares of the components is 455.63 million shares;
(vi) regarding the six month average daily volumes of the components,
(a) the highest six month average daily volume of a component is 64.6
million shares (Lucent Technologies, Inc.), (b) the lowest six month
average daily volume of a component is 514,230 shares (William Wrigley
Jr., Co.), (c) the mean six month average daily volume of the
components is 5.292 million shares, (d) the median six month average
daily volume of the components is 2.81 million shares, (e) the average
of six month average daily volumes of the five most heavily traded
components is 57.56 million shares (Lucent Technologies, Inc.,
Microsoft Corp., Intel Corp., Cicso Systems, Inc. & Sun Microsystems,
Inc.), and (f) 100% of the components had a six month average daily
volume of at least 50,000; and (vii) regarding option eligibility, (a)
99.2% of the components are options eligible, as measured by weighting,
and (b) 97.2% of the components are options eligible, as measured by
number.
ISE 100 Index
The ISE 100 Index tracks the 100 most actively traded listed
options classes on the Exchange. Components of the ISE 100 Index are
selected based on the average daily volume of each options class over a
six-month period on the Exchange. Its original selection pool includes
all equity options listed on the Exchange, ranked by average daily
volume over the previous six month period. Companies that do not meet
component eligibility requirements are removed. The top 100 companies,
ranked by average daily volume, are then selected, and the index is
weighted by float-adjusted market capitalization.
Similar to the ISE 250 Index, each component's eligibility and
ranking in the ISE 100 Index is reviewed twice annually, in June and
December of each calendar year. Any necessary component changes are
made after the close on the third Friday of June and December, and
become effective at the opening on the next trading day. Changes to the
ISE 100 Index will be announced on ISE's publicly available website
five trading days prior to the effective date.
In addition to the scheduled reviews, the ISE 100 Index is reviewed
on an ongoing basis to accommodate extraordinary events and corporate
actions, such as delistings, bankruptcies, mergers or acquisitions
involving index components.
As set forth in Exhibit 3 to the proposal, as of June 11, 2004,
following are the characteristics of the ISE 100 Index: (i) The total
capitalization of all of the components in the Index is $5.36 trillion;
(ii) regarding component capitalization, (a) the highest capitalization
of a component is 328.14 billion (General Electric Co.), (b) the lowest
capitalization of a component is $104.44 million (Genta, Inc.), (c) the
mean capitalization of the components is $53.65 billion, and (d) the
median capitalization of the components is $26.09 billion; (iii)
regarding component price per share, (a) the highest price per share of
a component is $93.01 (Goldman, Sachs Group, Inc.), (b) the lowest
price per share of component is $2.27 (Genta, Inc.), (c) the mean price
per share of the components is $36.94, and (d) the median price per
share of the components is $31.59; (iv) regarding component weightings,
(a) the highest weighting of a component is 6.1% (General Electric Co),
(b) the lowest weighting of a component is 0.002% (Genta, Inc.), (c)
the mean weighting of the components is 1.0%, (d) the median weighting
of the components is 0.5%, and (e) the total weighting of the top five
highest weighted components is 25.6% (General Electric Co., Exxon Mobil
Corp., Pfizer, Inc., Citigroup, Inc., Microsoft Corp.); (v) regarding
component available shares, (a) the most available shares of a
component is 10.77 billion shares (Microsoft Corp.), (b) the least
available shares of a component is 39.05 million shares (Osi
Pharmaceuticals, Inc.), (c) the mean available shares of the components
is 1.67 billion shares, and (d) the median available shares of the
components is 924.04 million shares; (vi) regarding the six month
average daily volumes of the components, (a) the highest six month
average daily volume of a component is 64.6 million shares (Lucent
Technologies, Inc.), (b) the lowest six month average daily volume of a
component is 981,490 shares (Reynolds American, Inc.), (c) the mean six
month average daily volume of the components is 11.58 million shares,
(d) the median six month average daily volume of the components is 6.84
million shares, (e) the average of six month average daily volumes of
the five most heavily traded components is 60.08 million shares (Lucent
Technologies, Inc., Microsoft Corp., Intel Corp., Sirius Satellite
Radio, Inc. & Cisco Systems, Inc.), and (f) 100% of the components had
a six month average daily volume of at least 50,000; (vii) regarding
option eligibility, (a) 100% of the components are options eligible, as
measured by weighting, and (b) 100% of the components are options
eligible, as measured by number.
ISE 50 Index
The ISE 50 Index is a subset of the ISE 250 Index, such that the
components of the ISE 50 Index consist of the top 50 components that
make up the ISE 250 Index, as ranked by market capitalization. Thus,
the criteria for inclusion into the ISE 50 Index, as well as the
maintenance of the Index, are identical to those of the ISE 250 Index.
As set forth in Exhibit 3 to the proposed as of June 11, 2004,
following are the characteristics of the ISE 50 Index: (i) The total
capitalization of all of the components in the Index is $5.18 trillion;
(ii) regarding component capitalization, (a) the highest
[[Page 17487]]
capitalization of a component is $328.14 billion (General Electric,
Co.), (b) the lowest capitalization of a component is $24.86 billion
(Motorola, Inc.), (c) the mean capitalization of the components is
$103.5 billion, and (d) the median capitalization of the components is
$73.7 billion; (iii) regarding component price per share, (a) the
highest price per share of a component is $93.01 (Goldman, Sachs Group,
Inc.), (b) the lowest price per share of a components is $11.71 (Oracle
Corp.) (c) the mean price per share of the components is $47.57, and
(d) the median price per share of the components is $45.67; (iv)
regarding components weightings, (a) the highest weighting of a
component is 6.3% (General Electric Co.), (b) the lowest weighting of a
component is 0.5% (Goldman, Sachs Group, Inc.), (c) the mean weighting
of the components is 2.0%, (d) the median weighting of the components
is 1.4% and (e) the total weighting of the top five highest weighted
components is 26.5% (General Electric Co., Exxon Mobil Corp., Pfizer,
Inc., Citigroup Inc., Microsoft Corp.); (v) regarding component
available shares, (a) the most available shares of a components is
10.77 billion shares (Microsoft Corp.), (b) the least available shares
of a components is 480.65 million shares (Goldman, Sachs Group, Inc.),
(c) the mean available shares of the components is 2.74 billion shares,
and (d) the median available shares of the components is 1.97 billion
shares; (vi) regarding the six month average daily volumes of the
components, (a) the highest six month average daily volume of a
component is 62.59 million shares (Microsoft Corp.), (b) the lowest six
month average daily volume of a component is 2.38 million shares
(ConocoPhillips), (c) the mean six month average daily volume of the
components is 11.63 million shares, (d) the median six month average
daily volume of the components is 6.64 million shares, (e) the average
of six month average daily volumes of the five most heavily traded
components is 49.40 million shares (Microsoft Corp., Intel Corp., Cisco
Systems, Inc., Oracle Corp. & General Electric, Co.), and (f) 100% of
the components had a six month average daily volume of at least 50,000;
(vii) regarding option eligibility, (a) 100% of the components are
options eligible, as measured by weighting, and (b) 100% of the
components are options eligible as measured by number.
Index Calculation and Index Maintenance
The base index level of the ISE 250 Index, the ISE 100 Index, and
the ISE 50 Index, as of December 31, 1998, was 250, 100 and 200,
respectively. On January 3, 2005, the index level of the ISE 250 Index,
the ISE 100 Index and the ISE 50 Index was 227.48, 86.32, and 156.98,
respectively. the Exchange proposes to base trading in options on both
full-size ISE Indexes and on fractions of Full-size ISE Indexes. In
particular, the Exchange proposes to list options on Mini ISE Indexes
that are based on one tenth of the value of full-size ISE Indexes. The
Exchange believes that listing options on reduced values will attract a
greater source of customer business than if options were based only on
the full value of the ISE Indexes. The Exchange further believes that
listing options on reduced values will provide an opportunity for
investors to hedge, or speculate on, the market risk associated with
the stocks comprising the ISE Indexes. Additionally, by reducing the
values of the ISE Indexes, investors will be able to use this trading
vehicle while extending a smaller outlay of capital. The Exchange
believes that this should attract additional investors, and, in turn,
create a more active and liquid trading environment.\8\
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\8\ The concept of listing reduced value options on an index is
not a novel one. See, e.g, Securities Exchange Act Release Nos.
32893 (September 14, 1993), 58 FR 49070 (September 21, 1993) (order
approving File No. SR-CBOE-93-12) (approving the listing and trading
of options based on one-tenth the value of the S&P 500 Index); 43000
(June 30, 2000), 65 FR 42409 (July 10, 2000) (notice of filing and
immediate effectiveness of File No. SR-CBOE-00-15) (listing and
trading of options based on one-tenth of the value of the Nasdaq 100
Index); and 48681 (October 22, 2003), 68 FR 62337 (November 3, 2003)
(order approving File No. SR-CBOE-2003-4) (approving the listing and
trading of options based on one-tenth of the value of the NYSE
Composite Index).
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The Full-size ISE Indexes' and the Mini ISE Indexes' level shall
each be calculated continuously, using the last sale price for each
component stock in the ISE Indexes, and shall be disseminated every 15
seconds throughout the trading day.\9\ To calculate the value of the
Full-size ISE Indexes, the sum of the market value of the stocks in
this ISE Indexes is divided by the base period market value (divisor).
To calculate the value of the Mini ISE Indexes, the full value of the
ISE Indexes is divided by ten. In order to provide continuity for the
ISE Indexes' value, the divisor is adjusted periodically to reflect
such events as changes in the number of common shares outstanding for
component stocks, company additions or deletions, corporate
restructurings and other capitalization changes.
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\9\ The ISE Index levels shall be calculated by S&P, on behalf
of the Exchange, and disseminated to the Options Price Reporting
Authority (``OPRA'') by the Exchange. The Exchange shall also
disseminate these values to its members. The ISE Indexes will be
published daily on the Exchange's publicly available website and
through major quotation vendors, such as Reuters.
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The settlement values for purposes of settling both Full-size ISE
Indexes (``Full-size Settlement Value'') and Mini ISE Indexes (``Mini
Settlement Value'') shall be calculated on the basis of opening market
prices on the business day prior to the expiration date of such options
(``Settlement Day'').\10\ The Settlement Day is normally the Friday
preceding ``Expiration Saturday.'' \11\ In the event a component
security in the ISE Indexes does not trade on Settlement Day, the
closing price from the previous trading day will be used to calculate
both Full-size Settlement Value and Mini Settlement Value. Accordingly,
trading in the ISE Indexes will normally cease on the Thursday
preceding an Expiration Saturday. S&P shall calculate and the Exchange
shall disseminate, both Full-size Settlement Value and Mini Settlement
Value in the same manner as S&P shall calculate, and the Exchange shall
disseminate, both Full-Size ISE Indexes' and Mini ISE Indexes' level.
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\10\ The aggregate exercise value of the option contract is
calculated by multiplying the Index value by the Index multiplier,
which is 100.
\11\ For any given expiration month, options on the ISE Indexes
will expire on the third Saturday of the month.
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S&P will monitor and maintain the ISE Indexes pursuant to ISE's
methodology and instructions. S&P is responsible for making all
necessary adjustments to the ISE Indexes to reflect component
deletions, share changes, stock splits, stock dividends (other than an
ordinary cash dividend), and stock price adjustments due to
restructuring, mergers, or spin-offs involving the underlying
components. Some corporate actions, such as stock splits and stock
dividends, require simple changes to the available shares outstanding
and the stock prices of the underlying components. The number of common
shares outstanding for each component stock will be reviewed every
Friday. Share changes of less than 5% will be updated on a quarterly
basis, becoming effective after the close on the third Friday of March,
June, September and December of each calendar year. The index divisor
is adjusted at that time to compensate for the share changes. Share
changes greater than 5% will be adjusted after the close on the
Wednesday of the following week. The index divisor change also becomes
effective after the close on that day. Changes will be announced on the
Exchange's publicly available website prior to the effective date.
Unscheduled share changes due to corporate actions
[[Page 17488]]
may be processed the same day they are announced, depending on the time
the details are received by S&P. In such cases, the index divisor
changes may become effective that same day and immediately announced on
the Exchange's publicly available website.
The eligibility of each component of the ISE Indexes will be
reviewed in June and December of each calendar year. Components that
fail to meet the eligibility requirements are replaced with new
component companies. Component changes may also occur between review
periods if a specific corporate action makes an existing component
ineligible. The Exchange maintains a Component Replacement Pool
(``CRP'') for the ISE Indexes at all times for contingency purposes.
The CRP contains at least ten companies that meet the eligibility
requirements for the ISE Indexes, ranked by market capitalization for
the ISE 250 Index and the ISE 50 Index, and six-month average trading
volume for the ISE 100 Index. Components removed from the ISE Indexes
are replaced with those from the CRP. Component changes are made after
the close on the third Friday of June and December of each calendar
year, and become effective at the opening on the next trading day. All
such changes will be announced on the Exchange's publicly available
website at least five trading days prior to the effective date.
The Exchange represents that the ISE Indexes currently satisfy the
maintenance criteria and further states that it will monitor and
maintain the ISE Indexes on a quarterly basis, at which point the
Exchange will notify the Market Regulation Division of the Commission
if: (i) The number of securities in the ISE Indexes drops by \1/3\ or
more; (ii) 10% or more of the weight of 262 the ISE Indexes is
represented by component securities having a market value of less than
$75 million; (iii) less than 80% of the weight of the ISE Indexes is
represented by component securities that are eligible for options
trading pursuant to ISE Rule 502; (iv) 10% or more of the weight of the
ISE Indexes is represented by component securities trading less than
20,000 shares per day; or (v) the largest component security accounts
for more than 15% of the weight of the ISE Indexes or the largest five
components in the aggregate account for more than 40% of the weight of
the ISE Indexes: \12\ In the event the Indexes fail at any time to
satisfy the maintenance criteria, the ISE will not open for trading any
additional series of options on the Indexes unless such failure is
determined by the Exchange not to he significant and the Commission
concurs in that determination, or unless the continued listing of
options on each respective Index has been approved by the Commission
under Section 19(b)(2) of the Exchange Act.\13\
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\12\ The timeframe for monitoring the ISE Indexes was changed
from an annual to a quarterly basis. Telephone conversation between
Samir Patel, Assistant General Counsel, ISE, and Mia Zur, Attorney,
Division of Market Regulation (``Division''), Commission (March 22,
2005).
\13\ Telephone conversation between Samir Patel, Assistant
General Counsel, ISE, and MIA Zur, Attorney, Division, Commission
(March 22, 2005).
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Contract Specifications
The contract specifications for options on the ISE Indexes are set
forth in Exhibit 3 to the proposal. The ISE Indexes are each broad-
based indexes, as defined in ISE Rule 2001(j).\14\ Options on the ISE
indexes as European-style and A.M. cash-settled. The Exchange's
standard trading hours for index options (9:30 a.m. to 4:15 p.m., New
York time), as set forth in ISE Rule 2008(a), will apply to the ISE
Indexes. Exchange rules that are applicable to the trading of options
on broad-based indexes will apply to both Full-size ISE Indexes and
Mini ISE indexes.\15\ Specifically, the trading of Full-size ISE
Indexes and Mini ISE Indexes will be subject to, among others, Exchange
rules governing margin requirements and trading halt procedures for
index options.
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\14\ ISE Rule 2001(j) defines a ``market index'' or a ``broad-
based index'' to mean an index designed to be representative of a
stock market as a whole or of a range of companies in unrelated
industries.
\15\ See ISE Rules 2000 through 2012.
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For each of the Full-size ISE Indexes, the Exchange proposes to
establish aggregate position and exercise limits at 50,000 contracts on
the same side of the market, provided no more than 30,000 of such
contracts are in the nearest expiration month series. For position and
exercise limit purposes, Full-size ISE Indexes contracts shall be
aggregated with Mini ISE Indexes contracts, where ten (10) Mini ISE
Indexes contracts equal one (1) Full-size ISE Index contract.
The Exchange proposes to apply index margin requirements for the
purchase and sale of options on the ISE Indexes. Accordingly, purchases
of put or call options with 9 months or less until expiration must be
paid for in full. Writers of uncovered put or call options must
deposit/maintain 100% of the option proceeds, plus 15% of the aggregate
contract value (current index level x $100), less any out-of-the-money
amount, subject to a minimum of the option proceeds plus 10% of the
aggregate contract value for call options and a minimum of the option
proceeds plus 10% of the aggregate exercise price amount for put
options.
The Exchange proposes to set strike price intervals at 2\1/2\
points for certain near-the-money series in near-term expiration months
when each of the ISE Indexes is at a level below 200, and 5 point
strike price intervals for other options series with expirations up to
one year, and 10 point strike price intervals for longer-term options.
The minimum tick size for series trading below $3 shall be 0.05, and
for series trading at or above $3 shall be 0.10.
The Exchange proposes to list options on the ISE Indexes in the
three consecutive near-term expiration months plus up to three
successive expiration months in the March cycle. For example,
consecutive expirations of January, February, March, plus June,
September, and December expirations would be listed.\16\ In addition,
longer-term option series (``LEAPS'') having up to thirty-six (36)
months to expiration may be traded.\17\ The interval between expiration
months on the ISE Indexes shall not be less than six months. The
trading of any long-term ISE Indexes shall be subject to the same rules
that govern the trading of all the Exchange's index options, including
sales practice rules, margin requirements, trading rules and position
and exercise limits.
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\16\ See ISE Rule 2009(a)(3).
\17\ See ISE Rule 2009(b)(1). LEAPS will be available on the
Full and Reduced Value ISE Indexes. However, the Exchange is not
listing reduced value LEAPS on the Reduced Value ISE Indexes
pursuant to ISE Rule 2009(b)(2). Telephone conversation between
Samir Patel, Assistant General Counsel, ISE, and Mia Zur, Attorney,
Division, Commission (March 11, 2005).
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Surveillance and Capacity
The Exchange represents that it has an adequate surveillance
program in place for options traded on the ISE Indexes, and intends to
apply those same program procedures that it applies to the Exchange's
other index options. Additionally, the Exchange is a member of the
Intermarket Surveillance Group (``ISG'') under the Intermarket
Surveillance Group Agreement, dated June 20, 1994. The members of the
ISG include all of the U.S. registered stock and options markets; the
Amex, the Boston Stock Exchange, Inc. (``BSE''), the Chicago Board
Options Exchange (``CBOE''), the Chicago Stock Exchange, Inc.
(``CSE''), the National Stock Exchange, Inc. (``NSE''), the NASD, the
NYSE, the Pacific Stock Exchange, Inc. (``PSE'') and the Philadelphia
Stock Exchange, Inc. (``PHLX''). The ISG members work together to
coordinate surveillance and investigative
[[Page 17489]]
information sharing in the stock and options markets. In addition, the
major futures exchanges are affiliated members of the ISG, which allows
for the sharing of surveillance information for potential intermarket
trading abuses.
The Exchange represents that it has the system capacity to
adequately handle all series that would be permitted to be added by
this proposal (including LEAPS). The Exchange provided to the
Commission information in a confidential submission that supports its
system capacity representations that will result from the introduction
of both Full-size ISE Index and Mini ISE Indexes.
2. Statutory Basis
The Exchange believes that the proposed rule change is consistent
with Section 6(b) of the Act,\18\ in general, and furthers the
objectives of Section 6(b)(5),\19\ in particular, in that it will
permit options trading in Full-size ISE Indexes and Mini ISE Indexes
pursuant to rules designed to prevent fraudulent and manipulative acts
and practices and promote just and equitable principals of trade.
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\18\ 15 U.S.C. 78f(b).
\19\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
B. Self-Regulatory Organization's Statement on Burden on Competition
The ISE believes that the proposed rule change does not impose any
burden on competition.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants or Others
The Exchange has not solicited, and does not intend to solicit,
comments on this proposed rule change. The Exchange has not received
any unsolicited written comments from member or other interested
parties.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Within 35 days of the date of publication of this notice in the
Federal Register or within such longer period (i) as the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organizations consents, the Commission will:
A. By order approve such proposed rule change; or
B. Institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change, as amended, is consistent with the Act. Comments may be
submitted by any of the following methods:
Electronic Comments
Use the Commission's Internet comment form (https://
www.sec.gov/rules/sro.shtml); or
Send an E-mail to rule-comments@sec.gov. Please include
File No. SR-ISE-2004-28 on the subject line.
Paper Comments
Send paper comments in triplicate to Jonathan G. Katz,
Secretary, Securities and Exchange Commission, 450 Fifth Street, NW.,
Washington, DC 20549-0609.
All submissions should refer to File Number SR-ISE-2004-28. This
file number should be included on the subject line if e-mail is used.
To help the Commission process and review your comments more
efficiently, please use only one method. The Commission will post all
comments on the Commission's Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the submission, all subsequent amendments,
all written statements with respect to the proposed rule change that
are filed with the Commission, and all written communications relating
to the proposed rule change between the Commission and any person,
other than those that may be withheld from the public in accordance
with the provisions of 5 U.S.C. 552, will be available for inspection
and copying in the Commission's Public Reference Room. Copies of such
filing also will be available for inspection and copying at the
principal office of the ISE. All comments received will be posted
without change; the Commission does not edit personal identifying
information from submissions. You should submit only information that
you wish to make available publicly. All submissions should refer to
File Number SR-ISE-2004-28 and should be submitted by April 27, 2005.
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\20\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\20\
Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 05-6743 Filed 4-5-05; 8:45 am]
BILLING CODE 8010-01-M
