Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Granting Approval of Proposed Rule Change, as Modified by Amendment Nos. 1 and 2 Thereto, Relating to a Delta Hedging Exemption From Equity Options Position Limits, 72428-72429 [E7-24723]
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72428
Federal Register / Vol. 72, No. 244 / Thursday, December 20, 2007 / Notices
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.10
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7–24724 Filed 12–19–07; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–56970; File No. SR–CBOE–
2007–99]
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Order Granting Approval
of Proposed Rule Change, as Modified
by Amendment Nos. 1 and 2 Thereto,
Relating to a Delta Hedging Exemption
From Equity Options Position Limits
December 14, 2007.
On August 21, 2007, the Chicago
Board Options Exchange, Incorporated
(‘‘CBOE’’ or ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’), pursuant to section
19(b)(1) of the Securities Exchange Act
of 1934 (‘‘Act’’) 1 and Rule 19b–4
thereunder,2 a proposed rule change to
create a delta hedging exemption from
equity options position limits. On
October 4, 2007, the Exchange filed
Amendment No. 1 to the proposed rule
change. The Commission published the
proposed rule change, as amended by
Amendment No. 1, for comment in the
Federal Register on October 15, 2007.3
On October 24, 2007, the Exchange filed
Amendment No. 2 to the proposed rule
change.4 The Commission received no
comments on the proposed rule change.
This order approves the proposed rule
change as modified by Amendment Nos.
1 and 2.
Under the proposal, the Exchange
would provide an exemption from
equity options 5 position and exercise
limits 6 for positions held by CBOE
10 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 See Securities Exchange Act Release No. 56631
(October 9, 2007), 72 FR 58341.
4 In Amendment No. 2, CBOE made a technical
revision to the proposal. This is a technical
amendment and is not subject to notice and
comment. In Amendment No. 2, CBOE noted that
the effective date of the proposal will be February
1, 2008, or such later date as may be necessary to
ensure completion of the required technology
changes by the Options Clearing Corporation and
the Securities Industry Automation Corporation.
5 Equity options for purposes of this proposed
rule change includes stock options and options on
exchange-traded funds.
6 CBOE Rule 4.12 establishes exercise limits for
an option at the same level as the option’s position
limit under Rule 4.11. Therefore, no changes are
proposed to Rule 4.12.
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1 15
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members and certain non-member
affiliates 7 that are ‘‘delta neutral’’ 8
under a ‘‘permitted pricing model.’’ 9
The options contract equivalent of the
net delta 10 of a hedged options position
still would be subject to the position
limits in Rule 4.11 (subject to the
availability of any other position limit
exemptions).11 A member that intends
to employ, or whose non-member
affiliate intends to employ, this
exemption would be required to provide
a written certification to CBOE stating
that the member and/or its affiliate will
use a permitted pricing model.12 In
addition, members that carry an account
that includes an equity option position
for a non-member affiliate would be
required to obtain a written statement
from the non-member affiliate
confirming that the affiliate: (1) Is
relying on this exemption; (2) will use
only a permitted pricing model for
purposes of calculating the net delta of
its option positions for purposes of this
exemption; (3) will promptly notify the
member if it ceases to rely on this
7 The Commission notes that only those nonmember affiliates identified in the definition of
‘‘permitted pricing model’’ would be eligible to rely
on the delta hedging exemption. See infra note 9.
8 The term ‘‘delta neutral’’ would be defined in
proposed Rule 4.11.04(c)(A) as referring to an
equity option position that is hedged, in accordance
with a permitted pricing model, by a position in the
underlying security or one or more instruments
relating to the underlying security, for the purpose
of offsetting the risk that the value of the option
position will change with incremental changes in
the price of the security underlying the option
position.
9 ‘‘Permitted pricing model’’ for purposes of this
exemption would be a pricing model used by: (1)
A member or its non-member affiliate, using a
pricing model maintained and operated by the
Options Clearing Corporation; (2) a member or its
non-member affiliate subject to consolidated
supervision by the Commission pursuant to
Appendix E of Rule 15c3–1 under the Act (i.e., a
consolidated supervised entity or ‘‘CSE’’); (3) a
financial holding company (‘‘FHC’’) or a company
treated as an FHC under the Bank Holding
Company Act of 1956, or its affiliate subject to
consolidated holding company group supervision;
(4) a Commission registered OTC derivatives dealer;
and (5) a national bank under the National Bank
Act. See proposed Rule 4.11.04(c)(C).
10 ‘‘Net delta’’ would be defined to mean, at any
time, the number of shares (either long or short)
required to offset the risk that the value of an equity
option position will change with incremental
changes in the price of the security underlying the
option position. See proposed Rule 4.11.04(c)(B).
‘‘Options contract equivalent of the net delta’’
would be defined to mean the net delta divided by
the number of shares underlying the options
contract. See proposed Rule 4.11.04(c)(B).
11 See proposed Rule 4.11.04(c)(B). The
Commission notes that Rule 4.11.04 provides for
multiple, independent hedge exemptions. Of
course, to the extent that a position is used to hedge
for the purpose of one exemption from position
limit requirements, such as the delta hedge
exemption, such position cannot be used to take
advantage of another exemption from position limit
requirements.
12 See proposed Rule 4.11.04(c)(E)(1) and (E)(3)(i)
PO 00000
Frm 00088
Fmt 4703
Sfmt 4703
exemption; (4) authorizes the member,
upon request, to provide to the
Exchange or the Options Clearing
Corporation such information regarding
positions of the non-member affiliate as
part of the Exchange’s confirmation or
verification of the accuracy of the net
delta calculation under this exemption;
and (5) if the non-member affiliate is
using the Options Clearing Corporation
model, has duly executed and delivered
to the Exchange such documents as the
Exchange may require as a condition to
reliance on this exemption.13
Furthermore, any member would be
required to report, in accordance with
Rule 4.13, all equity options positions
(including those that are delta neutral)
that are reportable under that rule, and
also would be required to report on its
own behalf or on behalf of a designated
aggregation unit 14 the net delta and
options contract equivalent of the net
delta of such positions for each account
that holds an equity option position
subject to the delta hedging exemption
in excess of the levels specified in Rule
4.11.15 Each member relying on the
exemption would be required to retain,
and undertake reasonable efforts to
ensure that its non-member affiliates
relying on the exemption retain, a list of
the options, securities, and other
instruments underlying each option
position net delta calculation reported
to the Exchange; and to produce such
information to the Exchange upon
request.16 In addition, the options
positions of a non-member relying on
the exemption would be required to be
carried by a member with which it is
affiliated.17
The Commission finds that the
proposed rule change is consistent with
the requirements of the Act and the
rules and regulations thereunder that
are applicable to a national securities
exchange.18 In particular, the
Commission believes that the proposed
rule change is consistent with section
13 See
proposed Rule 4.11.04(c)(E)(3)(ii).
proposed Rule 4.11.04(c)(D), which
provides, under certain conditions, that the net
delta of an options position held by an entity
entitled to rely on the exemption could be
calculated without regard to positions in or relating
to the security underlying the option position held
by an affiliated entity or another trading unit within
the same entity, provided that, among other things,
no control relationship exists between such
affiliates or trading units and the entity has
designated in writing in advance the affiliates or
trading units that are to be considered separate and
distinct from each other.
15 See proposed Rule 4.11.04(c)(F).
16 See proposed Rule 4.11.04(c)(G).
17 See proposed Rule 4.11.04(c)(E)(2).
18 In approving this rule, the Commission notes
that it has considered the proposed rule’s impact on
efficiency, competition, and capital formation. See
15 U.S.C. 78c(f).
14 See
E:\FR\FM\20DEN1.SGM
20DEN1
Federal Register / Vol. 72, No. 244 / Thursday, December 20, 2007 / Notices
6(b)(5) of the Act,19 which requires,
among other things, that CBOE rules be
designed to prevent fraudulent and
manipulative acts and practices, to
promote just and equitable principles of
trade, to remove impediments to and
perfect the mechanism of a free and
open market and a national market
system, and, in general, to protect
investors and the public interest. The
Commission has previously stated its
support for recognizing options
positions hedged on a delta neutral
basis as properly exempted from
position limits.20
It is therefore ordered, pursuant to
section 19(b)(2) of the Act,21 that the
proposed rule change (SR–CBOE–2007–
99), as modified by Amendment Nos. 1
and 2, be, and it hereby is, approved.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.22
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7–24723 Filed 12–19–07; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–56960; File No. SR–ISE–
2007–118]
Self-Regulatory Organizations;
International Securities Exchange,
LLC; Notice of Filing and Immediate
Effectiveness of a Proposed Rule
Change as Modified by Amendment
No. 1 Thereto Relating to Fee Changes
December 13, 2007.
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
11, 2007, the International Securities
Exchange, LLC (‘‘ISE’’ or ‘‘Exchange’’)
filed with the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change as described in
Items I, II, and III below, which Items
sroberts on PROD1PC70 with NOTICES
19 15
U.S.C. 78f(b)(5).
20 See Securities Exchange Act Release No. 40594
(October 23, 1998), 63 FR 59362, 59380 (November
3, 1998) (File No. S7–30–97) (adopting rules
relating to OTC derivatives dealers). The
Commission notes that it recently approved a
proposal by the National Association of Securities
Dealers, Inc. (n/k/a Financial Industry Regulatory
Authority, Inc.) to expand the class of entities
permitted to use the delta hedging exemption from
equity options position limits. See Securities
Exchange Act Release No. 56916 (December 6,
2007), 72 FR 70627 (December 12, 2007) (SR–
NASD–2007–044).
21 15 U.S.C. 78s(b)(2).
22 17 CFR 200.30–3(a)(12).
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
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20:08 Dec 19, 2007
Jkt 214001
have been substantially prepared by the
Exchange. The Exchange has designated
this proposal as one establishing or
changing a due, fee, or other charge
imposed by ISE under Section
19(b)(3)(A)(ii) of the Act 3 and Rule 19b–
4(f)(2) thereunder, 4 which renders the
proposal effective upon filing with the
Commission. The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
ISE proposes to amend its Schedule of
Fees to reflect the addition of six new
Premium Products. 5 The text of the
proposed rule change is available at the
Commission’s Public Reference Room,
at the Exchange, and on its Web site at
https://www.ise.com.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
Exchange included statements
concerning the purpose of and basis for
the proposed rule change, and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in Sections A, B, and C below, of
the most significant aspects of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The Exchange is proposing to amend
its Schedule of Fees to reflect the
addition of options on the following
new products: the ProShares UltraShort
QQQ Fund (‘‘QID’’), ProShares Ultra
QQQ Fund (‘‘QLD’’),6 ProShares
3 15
U.S.C. 78s(b)(3)(A)(ii).
CFR 240.19b–4(f)(2).
5 ‘‘Premium Products’’ is defined in the Schedule
of Fees as options on the products enumerated
therein.
6 ‘‘NASDAQ–100 Index’’ is a trademark of the
NASDAQ Stock Markets, Inc. (‘‘NASDAQ’’) and has
been licensed for use by ProShares in connection
with the listing and trading of the QLD and the QID
on the American Stock Exchange. QLD and QID are
not sponsored, sold or endorsed by NASDAQ, and
NASDAQ makes no representation regarding the
advisability of investing in QLD and QID. NASDAQ
and ProShares have not licensed or authorized ISE
to: (1) Engage in the creation, listing, provision of
a market for trading, marketing, and promotion of
options on QLD and QID; or (2) to use and refer to
any of their trademarks or service marks in
connection with the listing, provision of a market
4 17
PO 00000
Frm 00089
Fmt 4703
Sfmt 4703
72429
UltraShort S&P500 Fund (‘‘SDS’’),
ProShares Ultra S&P500 Fund
(‘‘SSO’’),7 ProShares UtraShort
Russell2000 Fund (‘‘TWM’’) and
ProShares Ultra Russell2000 Fund
(‘‘UWM’’).8 The Exchange represents
that QID, QLD, SDS, SSO, TWM and
UWM are eligible for options trading
because they constitute ‘‘ExchangeTraded Fund Shares,’’ as defined by ISE
Rule 502(h).
All of the applicable fees covered by
this filing are identical to fees charged
by the Exchange for all other Premium
Products. Specifically, the Exchange
will charge an execution fee and a
comparison fee for all transactions in
options on QID, QLD, SDS, SSO, TWM
and UWM. 9 The amount of the
for trading, marketing, and promotion of options on
QLD and QID or with making disclosures
concerning options on QLD and QID under any
applicable federal or state laws, rules or regulations.
NASDAQ and ProShares do not sponsor, endorse,
or promote such activity by ISE and are not
affiliated in any manner with ISE.
7 ‘‘Standard & Poor’s,’’ ‘‘S&P,’’ ‘‘S&P 500,’’
‘‘Standard & Poor’s 500,’’ ‘‘Standard & Poor’s
Depositary Receipts,’’ and ‘‘SPDR’’ are
trademarks of The McGraw-Hill Companies, Inc.
(‘‘McGraw-Hill’’), and have been licensed for use by
ProShares in connection with the listing and
trading of the SSO and the SDS on the American
Stock Exchange. SSO and SDS are not sponsored,
sold or endorsed by Standard & Poor’s (‘‘S&P’’), a
division of McGraw-Hill, and S&P makes no
representation regarding the advisability of
investing in SSO and SDS. McGraw-Hill, S&P and
ProShares have not licensed or authorized ISE to:
(1) Engage in the creation, listing, provision of a
market for trading, marketing, and promotion of
options on SSO and SDS; or (2) to use and refer to
any of their trademarks or service marks in
connection with the listing, provision of a market
for trading, marketing, and promotion of options on
SSO and SDS or with making disclosures
concerning options on SSO and SDS under any
applicable federal or state laws, rules or regulations.
McGraw-Hill, S&P and ProShares do not sponsor,
endorse, or promote such activity by ISE and are
not affiliated in any manner with ISE.
8 ‘‘Russell 2000 Index’’ is a trademark of Frank
Russell Company (‘‘Russell’’) and has been licensed
for use ProShares in connection with the listing and
trading of the UWM and TWM on the American
Stock Exchange. UWM and TWM are not
sponsored, sold or endorsed by Russell, and Russell
makes no representation regarding the advisability
of investing in UWM and TWM. Russell and
ProShares have not licensed or authorized ISE to:
(1) Engage in the creation, listing, provision of a
market for trading, marketing, and promotion of
options on UWM and TWM; or (2) to use and refer
to any of their trademarks or service marks in
connection with the listing, provision of a market
for trading, marketing, and promotion of options on
UWM and TWM or with making disclosures
concerning options on UWM and TWM under any
applicable federal or state laws, rules or regulations.
Russell and ProShares do not sponsor, endorse, or
promote such activity by ISE and are not affiliated
in any manner with ISE.
9 These fees will be charged only to Exchange
members. Under a pilot program that is set to expire
on July 31, 2008, these fees will also be charged to
Linkage Orders (as defined in ISE Rule 1900). See
Securities Exchange Act Release No. 56128 (July 24,
2007), 72 FR 42161 (August 1, 2007) (SR–ISE–2007–
55).
E:\FR\FM\20DEN1.SGM
20DEN1
]]>Agencies
[Federal Register Volume 72, Number 244 (Thursday, December 20, 2007)]
[Notices]
[Pages 72428-72429]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E7-24723]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-56970; File No. SR-CBOE-2007-99]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Order Granting Approval of Proposed Rule Change, as
Modified by Amendment Nos. 1 and 2 Thereto, Relating to a Delta Hedging
Exemption From Equity Options Position Limits
December 14, 2007.
On August 21, 2007, the Chicago Board Options Exchange,
Incorporated (``CBOE'' or ``Exchange'') filed with the Securities and
Exchange Commission (``Commission''), pursuant to section 19(b)(1) of
the Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4
thereunder,\2\ a proposed rule change to create a delta hedging
exemption from equity options position limits. On October 4, 2007, the
Exchange filed Amendment No. 1 to the proposed rule change. The
Commission published the proposed rule change, as amended by Amendment
No. 1, for comment in the Federal Register on October 15, 2007.\3\ On
October 24, 2007, the Exchange filed Amendment No. 2 to the proposed
rule change.\4\ The Commission received no comments on the proposed
rule change. This order approves the proposed rule change as modified
by Amendment Nos. 1 and 2.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ See Securities Exchange Act Release No. 56631 (October 9,
2007), 72 FR 58341.
\4\ In Amendment No. 2, CBOE made a technical revision to the
proposal. This is a technical amendment and is not subject to notice
and comment. In Amendment No. 2, CBOE noted that the effective date
of the proposal will be February 1, 2008, or such later date as may
be necessary to ensure completion of the required technology changes
by the Options Clearing Corporation and the Securities Industry
Automation Corporation.
---------------------------------------------------------------------------
Under the proposal, the Exchange would provide an exemption from
equity options \5\ position and exercise limits \6\ for positions held
by CBOE members and certain non-member affiliates \7\ that are ``delta
neutral'' \8\ under a ``permitted pricing model.'' \9\ The options
contract equivalent of the net delta \10\ of a hedged options position
still would be subject to the position limits in Rule 4.11 (subject to
the availability of any other position limit exemptions).\11\ A member
that intends to employ, or whose non-member affiliate intends to
employ, this exemption would be required to provide a written
certification to CBOE stating that the member and/or its affiliate will
use a permitted pricing model.\12\ In addition, members that carry an
account that includes an equity option position for a non-member
affiliate would be required to obtain a written statement from the non-
member affiliate confirming that the affiliate: (1) Is relying on this
exemption; (2) will use only a permitted pricing model for purposes of
calculating the net delta of its option positions for purposes of this
exemption; (3) will promptly notify the member if it ceases to rely on
this exemption; (4) authorizes the member, upon request, to provide to
the Exchange or the Options Clearing Corporation such information
regarding positions of the non-member affiliate as part of the
Exchange's confirmation or verification of the accuracy of the net
delta calculation under this exemption; and (5) if the non-member
affiliate is using the Options Clearing Corporation model, has duly
executed and delivered to the Exchange such documents as the Exchange
may require as a condition to reliance on this exemption.\13\
---------------------------------------------------------------------------
\5\ Equity options for purposes of this proposed rule change
includes stock options and options on exchange-traded funds.
\6\ CBOE Rule 4.12 establishes exercise limits for an option at
the same level as the option's position limit under Rule 4.11.
Therefore, no changes are proposed to Rule 4.12.
\7\ The Commission notes that only those non-member affiliates
identified in the definition of ``permitted pricing model'' would be
eligible to rely on the delta hedging exemption. See infra note 9.
\8\ The term ``delta neutral'' would be defined in proposed Rule
4.11.04(c)(A) as referring to an equity option position that is
hedged, in accordance with a permitted pricing model, by a position
in the underlying security or one or more instruments relating to
the underlying security, for the purpose of offsetting the risk that
the value of the option position will change with incremental
changes in the price of the security underlying the option position.
\9\ ``Permitted pricing model'' for purposes of this exemption
would be a pricing model used by: (1) A member or its non-member
affiliate, using a pricing model maintained and operated by the
Options Clearing Corporation; (2) a member or its non-member
affiliate subject to consolidated supervision by the Commission
pursuant to Appendix E of Rule 15c3-1 under the Act (i.e., a
consolidated supervised entity or ``CSE''); (3) a financial holding
company (``FHC'') or a company treated as an FHC under the Bank
Holding Company Act of 1956, or its affiliate subject to
consolidated holding company group supervision; (4) a Commission
registered OTC derivatives dealer; and (5) a national bank under the
National Bank Act. See proposed Rule 4.11.04(c)(C).
\10\ ``Net delta'' would be defined to mean, at any time, the
number of shares (either long or short) required to offset the risk
that the value of an equity option position will change with
incremental changes in the price of the security underlying the
option position. See proposed Rule 4.11.04(c)(B).
``Options contract equivalent of the net delta'' would be
defined to mean the net delta divided by the number of shares
underlying the options contract. See proposed Rule 4.11.04(c)(B).
\11\ See proposed Rule 4.11.04(c)(B). The Commission notes that
Rule 4.11.04 provides for multiple, independent hedge exemptions. Of
course, to the extent that a position is used to hedge for the
purpose of one exemption from position limit requirements, such as
the delta hedge exemption, such position cannot be used to take
advantage of another exemption from position limit requirements.
\12\ See proposed Rule 4.11.04(c)(E)(1) and (E)(3)(i)
\13\ See proposed Rule 4.11.04(c)(E)(3)(ii).
---------------------------------------------------------------------------
Furthermore, any member would be required to report, in accordance
with Rule 4.13, all equity options positions (including those that are
delta neutral) that are reportable under that rule, and also would be
required to report on its own behalf or on behalf of a designated
aggregation unit \14\ the net delta and options contract equivalent of
the net delta of such positions for each account that holds an equity
option position subject to the delta hedging exemption in excess of the
levels specified in Rule 4.11.\15\ Each member relying on the exemption
would be required to retain, and undertake reasonable efforts to ensure
that its non-member affiliates relying on the exemption retain, a list
of the options, securities, and other instruments underlying each
option position net delta calculation reported to the Exchange; and to
produce such information to the Exchange upon request.\16\ In addition,
the options positions of a non-member relying on the exemption would be
required to be carried by a member with which it is affiliated.\17\
---------------------------------------------------------------------------
\14\ See proposed Rule 4.11.04(c)(D), which provides, under
certain conditions, that the net delta of an options position held
by an entity entitled to rely on the exemption could be calculated
without regard to positions in or relating to the security
underlying the option position held by an affiliated entity or
another trading unit within the same entity, provided that, among
other things, no control relationship exists between such affiliates
or trading units and the entity has designated in writing in advance
the affiliates or trading units that are to be considered separate
and distinct from each other.
\15\ See proposed Rule 4.11.04(c)(F).
\16\ See proposed Rule 4.11.04(c)(G).
\17\ See proposed Rule 4.11.04(c)(E)(2).
---------------------------------------------------------------------------
The Commission finds that the proposed rule change is consistent
with the requirements of the Act and the rules and regulations
thereunder that are applicable to a national securities exchange.\18\
In particular, the Commission believes that the proposed rule change is
consistent with section
[[Page 72429]]
6(b)(5) of the Act,\19\ which requires, among other things, that CBOE
rules be designed to prevent fraudulent and manipulative acts and
practices, to promote just and equitable principles of trade, to remove
impediments to and perfect the mechanism of a free and open market and
a national market system, and, in general, to protect investors and the
public interest. The Commission has previously stated its support for
recognizing options positions hedged on a delta neutral basis as
properly exempted from position limits.\20\
It is therefore ordered, pursuant to section 19(b)(2) of the
Act,\21\ that the proposed rule change (SR-CBOE-2007-99), as modified
by Amendment Nos. 1 and 2, be, and it hereby is, approved.
---------------------------------------------------------------------------
\18\ In approving this rule, the Commission notes that it has
considered the proposed rule's impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
\19\ 15 U.S.C. 78f(b)(5).
\20\ See Securities Exchange Act Release No. 40594 (October 23,
1998), 63 FR 59362, 59380 (November 3, 1998) (File No. S7-30-97)
(adopting rules relating to OTC derivatives dealers). The Commission
notes that it recently approved a proposal by the National
Association of Securities Dealers, Inc. (n/k/a Financial Industry
Regulatory Authority, Inc.) to expand the class of entities
permitted to use the delta hedging exemption from equity options
position limits. See Securities Exchange Act Release No. 56916
(December 6, 2007), 72 FR 70627 (December 12, 2007) (SR-NASD-2007-
044).
\21\ 15 U.S.C. 78s(b)(2).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\22\
---------------------------------------------------------------------------
\22\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7-24723 Filed 12-19-07; 8:45 am]
BILLING CODE 8011-01-P
