Classified National Security Information, 4386 [E6-969]
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Federal Register / Vol. 71, No. 17 / Thursday, January 26, 2006 / Notices
AGENCY:
SUMMARY: Pursuant to the Information
Security Oversight Office’s Classified
National Security Information Directive
No. 1, this notice provides the address
to which mandatory declassification
review requests may be sent. Requests
should be addressed to the Securities
and Exchange Commission, Office of the
Executive Director, 100 F Street, NE.,
Washington, DC 20549.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Amex proposes to amend
Exchange Rule 958—ANTE to codify a
change to the Exchange’s ANTE System
to allow specialists and registered
options traders (‘‘ROTs’’) to establish an
options ‘‘Quote Risk Manager.’’ The text
of the proposed rule change, as
amended, is below. Proposed new
language is in italics.
Rule 958—ANTE Options Transactions
of Registered Options Traders
(a)–(h) No Change.
SECURITIES AND EXCHANGE
COMMISSION
Classified National Security
Information
Securities and Exchange
Commission.
ACTION: Notice.
Dated: January 20, 2006.
Nancy M. Morris,
Secretary.
[FR Doc. E6–969 Filed 1–25–06; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–53148; File No. SR–Amex–
2005–131]
Self-Regulatory Organizations;
American Stock Exchange LLC; Notice
of Filing and Order Granting
Accelerated Approval to a Proposed
Rule Change and Amendment No. 1
Thereto Relating to the Implementation
of a Quote Risk Manager
January 19, 2006.
rwilkins on PROD1PC63 with NOTICES
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 December
27, 2005, the American Stock Exchange
LLC (‘‘Amex’’ or ‘‘Exchange’’) filed with
the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change as described in
Items I and II below, which Items have
been prepared by the Exchange. On
January 13, 2006, the Amex filed
Amendment No. 1 to the proposed rule
change.3 The Commission is publishing
this notice to solicit comments on the
proposed rule change, as amended, from
interested persons. In addition, the
Commission is granting accelerated
approval of the proposed rule change, as
amended.
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 Amendment No. 1, which replaced and
superseded the original filing in its entirety, made
certain additions to the purpose section and minor
changes to the text of the proposed rule change.
2 17
VerDate Aug<31>2005
16:10 Jan 25, 2006
Jkt 205001
. . . Commentary
.01–.09 No Change.
.10 ANTE Participant Quotations
Automated Quotation Adjustments—
An ANTE Participant may establish
parameters by which ANTE will
automatically restate the prices of
ANTE Participant quotations in all
series of an options class, at prices
specified by the ANTE Participant, if
within an Exchange-specified time
period such ANTE Participant, in the
aggregate, executes a number of trades,
specified by the ANTE Participant, for
that options class. The threshold
number of trades shall be preestablished by the ANTE Participant for
each options class.
*
*
*
*
*
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 had received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item III below. The
Amex 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
1. Purpose
Exchange rules require option
specialists to continuously provide and
maintain a two-sided market of at least
ten contracts for every series of every
option class they are allocated.4
Although not required, ROTs often
4 See
PO 00000
Exchange Rule 950—ANTE (1).
Frm 00041
Fmt 4703
Sfmt 4703
continuously provide and maintain twosided markets in every series of every
option class they are assigned.5 This
continuous quoting obligation can, at
times, subject specialists and ROTs to
unintended and often unacceptable
levels of risk. Each option class has at
least twelve (12) series and many option
classes have significantly more series.6
The Exchange’s ANTE System, which
provides for the nearly simultaneous
execution of orders in these numerous
series, subjects specialists and ROTs to
executions at their quoted market with
little or no ability to adjust the quote in
response to the number of contracts
traded at a given price, particularly if
orders arrive in quick succession from
multiple sources in various related
option series. Accordingly, specialists
and ROTs are vulnerable to the risk that,
through an error in their pricing
decisions or because of market
developments, they will receive
multiple executions at disadvantageous
prices across all of the related option
series in an option class—all before they
are able to react and adjust their quotes.
As a result, the quality of the markets
available to customers may suffer
because, under such circumstances,
specialists and ROTs are likely to quote
less aggressively and limit the size of
their quotes to avoid the attendant risks
and costs.
In order to protect specialists and
ROTs from this unreasonable level of
risk of multiple and nearly
simultaneous executions in related
options series, the Exchange has
developed an enhancement to the ANTE
System which is referred to as the
‘‘Quote Risk Manager.’’ The ‘‘Quote Risk
Manager’’ would provide the ability for
specialists and ROTs to automatically
restate their quote to an inferior price
(i.e., the widening of quotes).7 The
result of this ‘‘widened quote’’ would be
to prevent further executions, since in
the ANTE System trades are subject to
execution at a price no worse than the
national best bid or offer.8
5 See
Exchange Rule 958—ANTE (h)(iii)(A).
a typical equity option class, the Exchange
lists both puts and calls in four expiration months
with three strike prices within each expiration
month. Many option classes also have puts and
calls with numerous strike prices in two long-term
expiration series. As the underlying stock price
moves, additional strike prices are added for each
expiration. Options on volatile stocks can have well
over 100 different series trading at any given time.
For example, there are over 400 different series
traded in Google (GOOG).
7 Specialists and ROTs may not exceed the legal
width requirements as set forth in Exchange Rule
958—ANTE(c).
8 The Exchange established time period shall
initially be five (5) seconds. If the Exchange were
to change this time period it would provide notice
to the specialists and ROTs.
6 For
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[Federal Register Volume 71, Number 17 (Thursday, January 26, 2006)]
[Notices]
[Page 4386]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E6-969]
[[Page 4386]]
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SECURITIES AND EXCHANGE COMMISSION
Classified National Security Information
AGENCY: Securities and Exchange Commission.
ACTION: Notice.
-----------------------------------------------------------------------
SUMMARY: Pursuant to the Information Security Oversight Office's
Classified National Security Information Directive No. 1, this notice
provides the address to which mandatory declassification review
requests may be sent. Requests should be addressed to the Securities
and Exchange Commission, Office of the Executive Director, 100 F
Street, NE., Washington, DC 20549.
Dated: January 20, 2006.
Nancy M. Morris,
Secretary.
[FR Doc. E6-969 Filed 1-25-06; 8:45 am]
BILLING CODE 8010-01-P
