Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and Order Granting Accelerated Approval of Proposed Rule Change as Modified by Amendment No. 1 Thereto To Allow CBOE to List Up to Seven Expiration Months for Reduced-Value and Jumbo Options That Overlie Broad-Based Security Indexes for Which Full-Value Options are Used by CBOE To Calculate a Constant Three-Month Volatility Index, 7619-7621 [E8-2330]

Download as PDF Federal Register / Vol. 73, No. 27 / Friday, February 8, 2008 / Notices issues that have not been anticipated and addressed by the BOX LLC Agreement. B. Self-Regulatory Organization’s Statement on Burden on Competition The Exchange does not believe that the proposed rule change will impose any burden on competition not necessary or appropriate in furtherance of the purposes of the Act. C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others The Exchange has neither solicited nor received comments on the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Because the foregoing proposed rule change does not: (i) Significantly affect the protection of investors or the public interest; (ii) impose any significant burden on competition; and (iii) become operative for 30 days from the date on which it was filed, or such shorter time as the Commission may designate, if consistent with the protection of investors and the public interest, it has become effective pursuant to Section 19(b)(3)(A) of the Act 19 and Rule 19b– 4(f)(6) thereunder.20 Normally, a proposed rule change filed under Rule 19b–4(f)(6) 21 may not become operative prior to 30 days after the date of filing. However, Rule 19b– 4(f)(6)(iii) 22 permits the Commission to designate a shorter time if such action is consistent with the protection of investors and the public interest. The Exchange has requested that the Commission waive the 30-day operative delay. In its filing, the Exchange requested waiver of the 30-day operative delay because the MX shareholders are expected to approve the Combination on February 13, 2008 and subsequent thereto the Combination is expected to close in late February of 2008. Furthermore, BSE believes the Combination does not present any novel issues that have not been anticipated 19 15 U.S.C. 78s(b)(3)(A). CFR 240.19b–4(f)(6). In addition, Rule 19b– 4(f)(6)(iii) requires that a self-regulatory organization submit to the Commission written notice of its intent to file the proposed rule change, along with a brief description and text of the proposed rule change, at least five business days prior to the date of filing of the proposed rule change, or such shorter time as designated by the Commission. The Commission notes that BSE has satisfied the five-day pre-filing notice requirement. 21 17 CFR 240.19b–4(f)(6). 22 17 CFR 240.19b–4(f)(6)(iii). pwalker on PROD1PC71 with NOTICES 20 17 VerDate Aug<31>2005 17:11 Feb 07, 2008 Jkt 214001 and addressed by the BOX LLC Agreement. The Commission believes that waiving the 30-day operative delay is consistent with the protection of investors and the public interest because the proposed rule change will allow the Exchange to proceed with the Combination, without undue delay, in a manner consistent with the provisions of the BOX LLC Operating Agreement. Accordingly, consistent with the protection of investors and the public interest, the Commission designates the proposed rule change to be operative upon consummation of the Combination.23 At any time within 60 days of the filing of the proposed rule change, the Commission may summarily abrogate such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act. IV. Solicitation of Comments Interested persons are invited to submit written data, views and arguments concerning the foregoing, including whether the proposed rule change 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 Number SR–BSE–2008–06 on the subject line. Paper Comments • Send paper comments in triplicate to Nancy M. Morris, Secretary, Securities and Exchange Commission, 100 F Street, NE., Washington, DC 20549–1090. All submissions should refer to File Number SR–BSE–2008–06. 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 23 For the purposes only of waiving the 30-day operative delay, the Commission has considered the proposed rule’s impact on efficiency, competition, and capital formation. See 15 U.S.C. 78c(f). PO 00000 Frm 00114 Fmt 4703 Sfmt 4703 7619 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, 100 F Street, NE, Washington, DC 20549, on official business days between the hours of 10 a.m. and 3 p.m. Copies of such filing also will be available for inspection and copying at the principal office of BSE. 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–BSE–2008–06 and should be submitted on or before February 29, 2008. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.24 Florence E. Harmon, Deputy Secretary. [FR Doc. E8–2329 Filed 2–7–08; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–57261; File No. SR–CBOE– 2008–05] Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and Order Granting Accelerated Approval of Proposed Rule Change as Modified by Amendment No. 1 Thereto To Allow CBOE to List Up to Seven Expiration Months for Reduced-Value and Jumbo Options That Overlie Broad-Based Security Indexes for Which Full-Value Options are Used by CBOE To Calculate a Constant Three-Month Volatility Index February 1, 2008. 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 January 14, 2008, the Chicago Board Options Exchange, Incorporated ( ‘‘Exchange’’ or ‘‘CBOE’’) filed with the Securities and Exchange Commission (the ‘‘Commission’’) the proposed rule change as described in Items I and II below, which Items have been 24 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 1 15 E:\FR\FM\08FEN1.SGM 08FEN1 7620 Federal Register / Vol. 73, No. 27 / Friday, February 8, 2008 / Notices substantially prepared by the Exchange. On January 31, 2008, CBOE filed Amendment No. 1 to the proposed rule change. The Commission is publishing this notice and order to solicit comments on the proposal, as amended, from interested persons and to approve the proposed rule change, as modified by Amendment No. 1, on an accelerated basis. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change CBOE proposes to amend Rule 24.9(a)(2), Terms of Index Option Contracts, to allow the Exchange to list up to seven expiration months for reduced-value and jumbo options that overlie broad-based security indexes for which full-value options are used by the Exchange to calculate a constant threemonth volatility index. The text of the proposed rule change is available on the Exchange’s Web site (https:// www.cboe.org/Legal), at the Exchange’s Office of the Secretary and at the Commission’s Public Reference Room. II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, CBOE 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 III below. CBOE 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 pwalker on PROD1PC71 with NOTICES 1. Purpose The Commission recently approved a rule change that allows the Exchange to list up to seven expiration months for broad-based security index options upon which the Exchange calculates a constant three-month volatility index.3 This current proposal seeks to extend that provision to reduced-value and jumbo option contracts which overlie the same broad-based security index (e.g., Jumbo DJX Index Options (‘‘DXL’’), CBOE Mini-NDX Index (‘‘MNX’’), MiniRussell 2000 Index (‘‘RMN’’), and Mini3 See Securities Exchange Act Release No. 56821 (November 20, 2007), 72 FR 66210 (November 27, 2007) (SR–CBOE–2007–82) (‘‘Seven Month Approval Order’’). VerDate Aug<31>2005 17:11 Feb 07, 2008 Jkt 214001 SPX Index Options (‘‘XSP’’)) as fullvalue option contracts. In the prior proposal, the Exchange requested the ability to list up to seven expiration months in order to maintain four consecutive near term contract months and three quarterly cycle contract months. In order to maintain this structure, the Exchange noted that it would need to add a seventh contract month eight times a year. Since the Commission issued the Seven Month Approval Order, the Exchange has had one occasion to utilize the new provision for S&P 500 Index (‘‘SPX’’) options.4 Specifically after December 2007 expiration, the remaining SPX option series were: January 2008, February 2008, March 2008, June 2008, September 2008 and December 2008. In order to maintain four consecutive near term contract months, the Exchange added the April 2008 SPX option series on December 24, 2007. In response to the addition of the seventh SPX option contract month after December 2007 expiration, the Exchange received inquiries from market participants who expressed interest about whether a seventh contract month would be added for XSP options. Under CBOE’s current Rule 24.9, this is not permitted. In order to provide consistent treatment across all like products and in response to customer demand, the Exchange is proposing to permit the addition of a seventh contract month for reduced-value and jumbo option contracts (e.g., XSP and DLX options) that overlie broad-based security indexes for which full-value options are used by the Exchange to calculate a constant three-month volatility index. To effect this change, the Exchange is proposing to add the phrase ‘‘including reduced-value and jumbo option contracts’’ to Rule 24.9(a)(2). In support of this proposal, the Exchange states it has always been the intention of the Exchange to list the same contract months for reduced-value options as for full-value options that overlie the same broad-based security index.5 Because the Exchange currently 4 Currently, CBOE calculates only one threemonth volatility index, the CBOE S&P 500 ThreeMonth Volatility Index (‘‘VXV’’), based on SPX options. Therefore, only SPX options are eligible for the addition of a seventh contract month in order to maintain four consecutive near term contract months and three quarterly cycle contract months. 5 See e.g., Securities Exchange Act Release No. 32893 (September 14, 1993), 58 FR 49070 (September 21, 1993) (‘‘Consistent with Exchange Rule 24.9, ’Terms of Option Contracts,’ the CBOE proposes to list reduced-value SPX options expiring in the same quarterly cycle as full-value SPX options and to list expirations in the current and next two succeeding calendar months.’’). PO 00000 Frm 00115 Fmt 4703 Sfmt 4703 only calculates one three-month volatility index, the current proposal would only apply to XSP options. If in the future, however, the Exchange calculates other constant three-month volatility indexes, the current proposal would permit the listing of seven contract months for reduced-value and jumbo contract options that overlie broad-based security indexes for which full-value options are used by the Exchange to calculate a constant threemonth volatility index. Capacity CBOE has analyzed its capacity and represents that it believes the Exchange and the Options Price Reporting Authority have the necessary systems capacity to handle the additional traffic associated with the listing of a seventh contract month for reduced-value and jumbo options that overlie broad-based security indexes for which full-value options are used by the Exchange to calculate a constant three-month volatility index.6 2. Statutory Basis Because the increase in the number of expiration months is limited to options overlying broad based security indexes upon which the Exchange calculates a constant three-month volatility and because the series could be added without presenting capacity problems, the Exchange believes the rule proposal is consistent with Act and the rules and regulations under the Act applicable to a national securities exchange and, in particular, the requirements of section 6(b) of the Act.7 Specifically, the Exchange believes that the proposed rule change is consistent with the section 6(b)(5) Act 8 requirements that the rules of an exchange be designed to promote just and equitable principles of trade, to prevent fraudulent and manipulative acts and, in general, to protect investors and the public interest. B. Self-Regulatory Organization’s Statement on Burden on Competition CBOE does not believe that the proposed rule change will impose any burden on competition not necessary or appropriate in furtherance of purposes of the Act. 6 Because the Exchange currently only calculates one three-month volatility index (the CBOE S&P 500 Three-Month Volatility Index (‘‘VXV’’) based on SPX options) the current proposal would only apply to Mini-SPX Index (‘‘XSP’’) options. 7 15 U.S.C. 78f(b). 8 15 U.S.C. 78f(b)(5). E:\FR\FM\08FEN1.SGM 08FEN1 Federal Register / Vol. 73, No. 27 / Friday, February 8, 2008 / Notices pwalker on PROD1PC71 with NOTICES C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants or Others be submitted on or before February 29, 2008. IV. Commission’s Findings and Order Granting Accelerated Approval of the The Exchange neither solicited nor Proposed Rule Change received comments on the proposal. After careful review, the Commission finds that CBOE’s proposal to amend III. Solicitation of Comments Rule 24.9(a)(2), Terms of Index Option Interested persons are invited to Contracts to allow the Exchange to list submit written data, views, and up to seven expiration months for arguments concerning the foregoing, reduced-value and jumbo options that including whether the proposed rule overlie broad-based security indexes for change is consistent with the Act. which full-value options are used by the Comments may be submitted by any of Exchange to calculate a constant threethe following methods: month volatility index is consistent with the requirements of the Act and the Electronic Comments rules and regulations thereunder • Use the Commission’s Internet applicable to a national securities comment form (https://www.sec.gov/ exchange 9 and, in particular, the rules/sro.shtml); or requirements of section 6 of the Act 10 • Send an e-mail to ruleand the rules and regulations comments@sec.gov. Please include File thereunder. The Commission believes Number SR-CBOE–2008–05 on the that increasing, from six to seven, the subject line. number of expiration months for these options (to accomodate a fourth Paper Comments consecutive near-term month while • Send paper comments in triplicate maintaining the listing of three months to Nancy M. Morris, Secretary, on a quarterly expiration cycle) will Securities and Exchange Commission, result in a more consistent and 100 F Street, NE., Washington, DC predictable calculation in which the 20549–1090. option series that bracket three months All submissions should refer to File to expiration will always expire one Number SR-CBOE–2008–05. This file month apart, thereby promoting just and number should be included on the equitable principles of trade while subject line if e-mail is used. To help the protecting investors and the public Commission process and review your interest. comments more efficiently, please use The Commission also notes CBOE’s only one method. The Commission will representations that it possesses the post all comments on the Commission’s necessary systems capacity to handle Internet Web site (https://www.sec.gov/ the additional traffic associated with the rules/sro.shtml). Copies of the additional listing of a seventh contract submission, all subsequent month for reduced-value and jumbo amendments, all written statements options that overlie broad-based with respect to the proposed rule security indexes for which full-value change that are filed with the options are used by the Exchange to Commission, and all written calculate a constant three-month communications relating to the volatility index. proposed rule change between the The Exchange has requested Commission and any person, other than accelerated approval of the proposed rule change. The Commission finds those that may be withheld from the good cause, consistent with Section public in accordance with the 19(b)(2) of the Act,11 for approving this provisions of 5 U.S.C. 552, will be proposed rule change before the available for inspection and copying in thirtieth day after the publication of the Commission’s Public Reference notice thereof in the Federal Register Room, 100 F Street, NE., Washington, because accelerating approval will DC 20549, on official business days between the hours of 10 a.m. and 3 p.m. enable CBOE to harmonize the contract month listings between full-value SPX Copies of such filing also will be options and reduced-value SPX options available for inspection and copying at (i.e., XSP options) by listing a seventh the principal office of CBOE. All expiration month (May 2008) in order to comments received will be posted maintain four consecutive near term without change; the Commission does not edit personal identifying 9 In approving this proposed rule change, the information from submissions. You Commission has considered the proposed rule’s should submit only information that impact on efficiency, competition, and capital you wish to make available publicly. All formation. 15 U.S.C. 78c(f). 10 15 U.S.C. 78f. submissions should refer to File 11 15 U.S.C. 78s(b)(2). Number SR–CBOE–2008–05 and should VerDate Aug<31>2005 17:11 Feb 07, 2008 Jkt 214001 PO 00000 Frm 00116 Fmt 4703 Sfmt 4703 7621 contract months and three quarterly cycle contracts months. The Commission notes that this proposed rule change does not raise any new regulatory issues from those raised in the rule filing which allowed CBOE to list add a seventh expiration month for full-value broad-based security index options.12 V. Conclusion It is therefore ordered, pursuant to section 19(b)(2) of the Act,13 that the proposed rule change (SR–CBOE–2008– 05), as modified by Amendment No. 1, be, and it hereby is approved on an accelerated basis. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.14 Florence E. Harmon, Deputy Secretary. [FR Doc. E8–2330 Filed 2–7–08; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–57264; File No. SR–CHX– 2007–27] Self-Regulatory Organizations; Chicago Stock Exchange, Inc.; Order Approving a Proposed Rule Change To Eliminate a Requirement That a Participant Have a Formal Written Agreement To Use Another Participant’s Give-Up February 4, 2008. On December 12, 2007, the Chicago Stock Exchange, Inc (‘‘CHX’’ 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 amend CHX Article 9, Rule 25 to eliminate the requirement that a participant have a formal written agreement to use another participant’s give-up.3 The proposed rule change was published for comment in the Federal 12 See supra Note 3. U.S.C. 78s(b)(2). 14 17 CFR 200.30–3(a)(12). 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 3 See Securities Exchange Act Release No. 57036 (December 21, 2007), 72 FR 74381 (December 31, 2007) (‘‘Notice’’) at footnote 3 (defining a ‘‘give-up’’ as a multi-character symbol that identifies a CHX participant firm. In the context of this rule, if a participant executes a trade using another participant’s give-up, the firm is identifying the other firm as a party to the trade and allocating the trade to the other firm’s account for clearing). 13 15 E:\FR\FM\08FEN1.SGM 08FEN1

Agencies

[Federal Register Volume 73, Number 27 (Friday, February 8, 2008)]
[Notices]
[Pages 7619-7621]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E8-2330]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-57261; File No. SR-CBOE-2008-05]


Self-Regulatory Organizations; Chicago Board Options Exchange, 
Incorporated; Notice of Filing and Order Granting Accelerated Approval 
of Proposed Rule Change as Modified by Amendment No. 1 Thereto To Allow 
CBOE to List Up to Seven Expiration Months for Reduced-Value and Jumbo 
Options That Overlie Broad-Based Security Indexes for Which Full-Value 
Options are Used by CBOE To Calculate a Constant Three-Month Volatility 
Index

February 1, 2008.
    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 January 14, 2008, the Chicago Board Options Exchange, Incorporated ( 
``Exchange'' or ``CBOE'') filed with the Securities and Exchange 
Commission (the ``Commission'') the proposed rule change as described 
in Items I and II below, which Items have been

[[Page 7620]]

substantially prepared by the Exchange. On January 31, 2008, CBOE filed 
Amendment No. 1 to the proposed rule change. The Commission is 
publishing this notice and order to solicit comments on the proposal, 
as amended, from interested persons and to approve the proposed rule 
change, as modified by Amendment No. 1, on an accelerated basis.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    CBOE proposes to amend Rule 24.9(a)(2), Terms of Index Option 
Contracts, to allow the Exchange to list up to seven expiration months 
for reduced-value and jumbo options that overlie broad-based security 
indexes for which full-value options are used by the Exchange to 
calculate a constant three-month volatility index. The text of the 
proposed rule change is available on the Exchange's Web site (https://
www.cboe.org/Legal), at the Exchange's Office of the Secretary and at 
the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, CBOE 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 III below. CBOE 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 Commission recently approved a rule change that allows the 
Exchange to list up to seven expiration months for broad-based security 
index options upon which the Exchange calculates a constant three-month 
volatility index.\3\ This current proposal seeks to extend that 
provision to reduced-value and jumbo option contracts which overlie the 
same broad-based security index (e.g., Jumbo DJX Index Options 
(``DXL''), CBOE Mini-NDX Index (``MNX''), Mini-Russell 2000 Index 
(``RMN''), and Mini-SPX Index Options (``XSP'')) as full-value option 
contracts.
---------------------------------------------------------------------------

    \3\ See Securities Exchange Act Release No. 56821 (November 20, 
2007), 72 FR 66210 (November 27, 2007) (SR-CBOE-2007-82) (``Seven 
Month Approval Order'').
---------------------------------------------------------------------------

    In the prior proposal, the Exchange requested the ability to list 
up to seven expiration months in order to maintain four consecutive 
near term contract months and three quarterly cycle contract months. In 
order to maintain this structure, the Exchange noted that it would need 
to add a seventh contract month eight times a year.
    Since the Commission issued the Seven Month Approval Order, the 
Exchange has had one occasion to utilize the new provision for S&P 500 
Index (``SPX'') options.\4\ Specifically after December 2007 
expiration, the remaining SPX option series were: January 2008, 
February 2008, March 2008, June 2008, September 2008 and December 2008. 
In order to maintain four consecutive near term contract months, the 
Exchange added the April 2008 SPX option series on December 24, 2007.
---------------------------------------------------------------------------

    \4\ Currently, CBOE calculates only one three-month volatility 
index, the CBOE S&P 500 Three-Month Volatility Index (``VXV''), 
based on SPX options. Therefore, only SPX options are eligible for 
the addition of a seventh contract month in order to maintain four 
consecutive near term contract months and three quarterly cycle 
contract months.
---------------------------------------------------------------------------

    In response to the addition of the seventh SPX option contract 
month after December 2007 expiration, the Exchange received inquiries 
from market participants who expressed interest about whether a seventh 
contract month would be added for XSP options. Under CBOE's current 
Rule 24.9, this is not permitted.
    In order to provide consistent treatment across all like products 
and in response to customer demand, the Exchange is proposing to permit 
the addition of a seventh contract month for reduced-value and jumbo 
option contracts (e.g., XSP and DLX options) that overlie broad-based 
security indexes for which full-value options are used by the Exchange 
to calculate a constant three-month volatility index. To effect this 
change, the Exchange is proposing to add the phrase ``including 
reduced-value and jumbo option contracts'' to Rule 24.9(a)(2).
    In support of this proposal, the Exchange states it has always been 
the intention of the Exchange to list the same contract months for 
reduced-value options as for full-value options that overlie the same 
broad-based security index.\5\ Because the Exchange currently only 
calculates one three-month volatility index, the current proposal would 
only apply to XSP options. If in the future, however, the Exchange 
calculates other constant three-month volatility indexes, the current 
proposal would permit the listing of seven contract months for reduced-
value and jumbo contract options that overlie broad-based security 
indexes for which full-value options are used by the Exchange to 
calculate a constant three-month volatility index.
---------------------------------------------------------------------------

    \5\ See e.g., Securities Exchange Act Release No. 32893 
(September 14, 1993), 58 FR 49070 (September 21, 1993) (``Consistent 
with Exchange Rule 24.9, 'Terms of Option Contracts,' the CBOE 
proposes to list reduced-value SPX options expiring in the same 
quarterly cycle as full-value SPX options and to list expirations in 
the current and next two succeeding calendar months.'').
---------------------------------------------------------------------------

Capacity

    CBOE has analyzed its capacity and represents that it believes the 
Exchange and the Options Price Reporting Authority have the necessary 
systems capacity to handle the additional traffic associated with the 
listing of a seventh contract month for reduced-value and jumbo options 
that overlie broad-based security indexes for which full-value options 
are used by the Exchange to calculate a constant three-month volatility 
index.\6\
---------------------------------------------------------------------------

    \6\ Because the Exchange currently only calculates one three-
month volatility index (the CBOE S&P 500 Three-Month Volatility 
Index (``VXV'') based on SPX options) the current proposal would 
only apply to Mini-SPX Index (``XSP'') options.
---------------------------------------------------------------------------

2. Statutory Basis
    Because the increase in the number of expiration months is limited 
to options overlying broad based security indexes upon which the 
Exchange calculates a constant three-month volatility and because the 
series could be added without presenting capacity problems, the 
Exchange believes the rule proposal is consistent with Act and the 
rules and regulations under the Act applicable to a national securities 
exchange and, in particular, the requirements of section 6(b) of the 
Act.\7\ Specifically, the Exchange believes that the proposed rule 
change is consistent with the section 6(b)(5) Act \8\ requirements that 
the rules of an exchange be designed to promote just and equitable 
principles of trade, to prevent fraudulent and manipulative acts and, 
in general, to protect investors and the public interest.
---------------------------------------------------------------------------

    \7\ 15 U.S.C. 78f(b).
    \8\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

B. Self-Regulatory Organization's Statement on Burden on Competition

    CBOE does not believe that the proposed rule change will impose any 
burden on competition not necessary or appropriate in furtherance of 
purposes of the Act.

[[Page 7621]]

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants or Others

    The Exchange neither solicited nor received comments on the 
proposal.

III. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change 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 Number SR-CBOE-2008-05 on the subject line.

Paper Comments

     Send paper comments in triplicate to Nancy M. Morris, 
Secretary, Securities and Exchange Commission, 100 F Street, NE., 
Washington, DC 20549-1090.
All submissions should refer to File Number SR-CBOE-2008-05. 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, 100 F Street, NE., 
Washington, DC 20549, on official business days between the hours of 10 
a.m. and 3 p.m. Copies of such filing also will be available for 
inspection and copying at the principal office of CBOE. 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-CBOE-2008-05 and should be 
submitted on or before February 29, 2008.

IV. Commission's Findings and Order Granting Accelerated Approval of 
the Proposed Rule Change

    After careful review, the Commission finds that CBOE's proposal to 
amend Rule 24.9(a)(2), Terms of Index Option Contracts to allow the 
Exchange to list up to seven expiration months for reduced-value and 
jumbo options that overlie broad-based security indexes for which full-
value options are used by the Exchange to calculate a constant three-
month volatility index is consistent with the requirements of the Act 
and the rules and regulations thereunder applicable to a national 
securities exchange \9\ and, in particular, the requirements of section 
6 of the Act \10\ and the rules and regulations thereunder. The 
Commission believes that increasing, from six to seven, the number of 
expiration months for these options (to accomodate a fourth consecutive 
near-term month while maintaining the listing of three months on a 
quarterly expiration cycle) will result in a more consistent and 
predictable calculation in which the option series that bracket three 
months to expiration will always expire one month apart, thereby 
promoting just and equitable principles of trade while protecting 
investors and the public interest.
---------------------------------------------------------------------------

    \9\ In approving this proposed rule change, the Commission has 
considered the proposed rule's impact on efficiency, competition, 
and capital formation. 15 U.S.C. 78c(f).
    \10\ 15 U.S.C. 78f.
---------------------------------------------------------------------------

    The Commission also notes CBOE's representations that it possesses 
the necessary systems capacity to handle the additional traffic 
associated with the additional listing of a seventh contract month for 
reduced-value and jumbo options that overlie broad-based security 
indexes for which full-value options are used by the Exchange to 
calculate a constant three-month volatility index.
    The Exchange has requested accelerated approval of the proposed 
rule change. The Commission finds good cause, consistent with Section 
19(b)(2) of the Act,\11\ for approving this proposed rule change before 
the thirtieth day after the publication of notice thereof in the 
Federal Register because accelerating approval will enable CBOE to 
harmonize the contract month listings between full-value SPX options 
and reduced-value SPX options (i.e., XSP options) by listing a seventh 
expiration month (May 2008) in order to maintain four consecutive near 
term contract months and three quarterly cycle contracts months. The 
Commission notes that this proposed rule change does not raise any new 
regulatory issues from those raised in the rule filing which allowed 
CBOE to list add a seventh expiration month for full-value broad-based 
security index options.\12\
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    \11\ 15 U.S.C. 78s(b)(2).
    \12\ See supra Note 3.
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V. Conclusion

    It is therefore ordered, pursuant to section 19(b)(2) of the 
Act,\13\ that the proposed rule change (SR-CBOE-2008-05), as modified 
by Amendment No. 1, be, and it hereby is approved on an accelerated 
basis.
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    \13\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\14\
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    \14\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
 [FR Doc. E8-2330 Filed 2-7-08; 8:45 am]
BILLING CODE 8011-01-P
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