Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of Proposal To Permit $1 Strikes for MNX Options, 58998-58999 [E8-23757]

Download as PDF 58998 Federal Register / Vol. 73, No. 196 / Wednesday, October 8, 2008 / Notices SECURITIES AND EXCHANGE COMMISSION [Release No. 34–58659; File No. SR–CBOE– 2008–96] Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of Proposal To Permit $1 Strikes for MNX Options September 26, 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 September 16, 2008, the Chicago Board Options Exchange, Incorporated (‘‘Exchange’’ or ‘‘CBOE’’) 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 Exchange. 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 The Exchange hereby proposes to amend certain of its rules to allow the Exchange to list options on the MiniNasdaq-100 Index (‘‘MNX), which is based on 1/10th the value of the Nasdaq-100 Index, at $1 strike price intervals. The text of the rule proposal 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. II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change jlentini on PROD1PC65 with NOTICES In its filing with the Commission, the Exchange included statements concerning the purpose of, and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of those statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant parts of such statements. 1 15 2 17 U.S.C. 78s(b)(1). CFR 240.19b–4. VerDate Aug<31>2005 18:10 Oct 07, 2008 Jkt 217001 A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The purpose of the proposed rule change is to amend Rule 24.9, Terms of Index Option Contracts, by adding a new interpretation that would allow the Exchange to list options on the MiniNasdaq-100 Index (‘‘MNX’’ or ‘‘MiniNDX’’), which is based on 1/10th the value of the Nasdaq-100 Index, at $1 or greater strike price intervals.3 Specifically, the Exchange proposes that the minimum strike price interval Mini-NDX options will be 0.01 point ($1.00). The Exchange believes that $1 strike price intervals in Mini-NDX option series will provide investors with greater flexibility by allowing them to establish positions that are better tailored to meet their investment objectives. This is consistent with existing Exchange rules and practices that allow the Exchange to list series at $1 or greater strike price intervals in similar options products. For example, Rule 24.9.01(b) allows the Exchange to list series on options based on one-one hundredth (1/100th) of the value of the Dow Jones Industrial Average Index at no less than $0.50 intervals.4 Similarly, Rule 24.9.01(f) allows the Exchange to list strike price intervals at no less than $1 for options on the CBOE S&P 500 BuyWrite Index (1/10th value).5 In addition, Rule 24.9.11 allows the Exchange to list strike price intervals at no less than $1 for the reduced-value version of the Standard & Poor’s S&P 500 Stock Index option (‘‘Mini-SPX option’’), which is based on 1/10th the value of the S&P 500 Index.6 For initial series, the Exchange would list at least two strike prices above and two strike prices below the current value of the MNX at or about the time a series is opened for trading on the Exchange. As part of this initial listing, the Exchange would list strike prices that are within 5 points from the closing value of the MNX on the preceding day. As for additional series, the Exchange would be permitted to add additional 3 Currently, under Interpretation and Policy.01(a)(xxv) to Rule 24.9, the Exchange has authority to list Mini-NDX options at $2.50 strike price intervals. 4 See Securities Exchange Act Release No. 34– 39011 (September 3, 1997), 62 FR 47840 (September 11, 1997) (SR–CBOE–1997–26). 5 See Securities Exchange Act Release No. 34– 58207 (July 29, 2008), 73 FR 43963 (July 22, 2008) (SR–CBOE–2008–26). 6 See Securities Exchange Act Release Nos. 52625 (October 18, 2005), 70 FR 61479 (October 24, 2005) (SR–CBOE–2005–81) and 57049 (December 27, 2007), 73 FR 528 (January 3, 2008) (SR–CBOE– 2007–125). PO 00000 Frm 00075 Fmt 4703 Sfmt 4703 series when the Exchange deems it necessary to maintain an orderly market, to meet customer demand or when the underlying MNX moves substantially from the initial exercise price or prices. To the extent that any additional strike prices are listed by the Exchange, such additional strike prices shall be within thirty percent (30%) above or below the closing value of the MNX. The Exchange would also be permitted to open additional strike prices that are more than 30% above or below the current MNX value provided that demonstrated customer interest exists for such series, as expressed by institutional, corporate or individual customers or their brokers. MarketMakers trading for their own account would not be considered when determining customer interest. In addition to the initial listed series, the Exchange may list up to sixty (60) additional series per expiration month for each series in Mini-NDX options. In addition, the Exchange proposes that it shall not list LEAPS on Mini-NDX options at intervals less than $5. The Exchange is also proposing to set forth a delisting policy with respect to Mini-NDX options. Specifically, the Exchange would, on a monthly basis, review series that are outside a range of five (5) strikes above and five (5) strikes below the current value of the MNX and delist series with no open interest in both the put and the call series having a: (i) Strike higher than the highest strike price with open interest in the put and/or call series for a given expiration month; and (ii) strike lower than the lowest strike price with open interest in the put and/or call series for a given expiration month. Notwithstanding the proposed delisting policy, customer requests to add strikes and/or maintain strikes in Mini-NDX options in series eligible for delisting shall be granted. Further, in connection with the proposed delisting policy, if the Exchange identifies series for delisting, the Exchange shall notify other options exchanges with similar delisting policies regarding eligible series for listing, and shall work with such other exchanges to develop a uniform list of series to be delisted, so as to ensure uniform series delisting of multiply listed Mini-NDX options. It is expected that the proposed delisting policy for Mini-NDX options will be adopted by other options exchanges that list and trade Mini-NDX options. The Exchange also proposes to add new Interpretation and Policy .13 to Rule 5.5, Series of Option Contracts Open for Trading, which would be an E:\FR\FM\08OCN1.SGM 08OCN1 Federal Register / Vol. 73, No. 196 / Wednesday, October 8, 2008 / Notices internal cross reference stating that the intervals between strike prices for MiniNDX option series would be determined in accordance with proposed new Interpretation and Policy .01(h) to Rule 24.9. 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 and trading of $1 strikes or greater for Mini-NDX options. 2. Statutory Basis The Exchange believes this rule proposal is consistent with the Securities Exchange Act of 1934 (the ‘‘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 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 neither solicited nor received comments on the proposal. jlentini on PROD1PC65 with NOTICES 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 organization consents, the Commission will: A. By order approve such proposed rule change, or 7 15 8 15 U.S.C. 78f(b). U.S.C. 78f(b)(5). VerDate Aug<31>2005 18:10 Oct 07, 2008 Jkt 217001 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 is consistent with the Act. Comments may be submitted by any of the following methods: 58999 For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.9 Florence E. Harmon, Acting Secretary. [FR Doc. E8–23757 Filed 10–7–08; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–58700; File No. SR–CBOE– 2008–100] 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–CBOE–2008–96 on the subject line. Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and Immediate Effectiveness of Proposed Rule Change to Amend its Fees Schedule October 1, 2008. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the ‘‘Act’’),1 and Rule 19b–4 thereunder,2 • Send paper comments in triplicate notice is hereby given that on to Secretary, Securities and Exchange September 22, 2008, Chicago Board Commission, 100 F Street, NE., Options Exchange, Incorporated Washington, DC 20549–1090. (‘‘Exchange’’ or ‘‘CBOE’’) filed with the Securities and Exchange Commission All submissions should refer to File (the ‘‘Commission’’) the proposed rule Number SR–CBOE–2008–96. This file change as described in Items I, II, and number should be included on the III below, which Items have been subject line if e-mail is used. To help the prepared by the Exchange. The Commission process and review your Exchange has designated this proposal comments more efficiently, please use as one establishing or changing a due, only one method. The Commission will fee, or other charge imposed by CBOE post all comments on the Commission’s under Section 19(b)(3)(A)(ii) of the Act 3 Internet Web site (https://www.sec.gov/ and Rule 19b–4(f)(2) thereunder.4 The rules/sro.shtml). Copies of the Commission is publishing this notice to submission, all subsequent solicit comments on the proposed rule amendments, all written statements change from interested 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 The Exchange proposes to amend its Commission and any person, other than Fees Schedule to establish fees for those that may be withheld from the transactions in CBOE S&P 500 BuyWrite public in accordance with the Index (1/10th value) (‘‘BXO’’) options provisions of 5 U.S.C. 552, will be and CBOE S&P 500 Three-Month Realized Volatility (‘‘RUH’’) options. available for inspection and copying in The text of the proposed rule change is the Commission’s Public Reference available on the Exchange’s Web site Room, 100 F Street, NE., Washington, (https://www.cboe.org/Legal), at the DC 20549, on official business days between the hours of 10 a.m. and 3 p.m. Exchange’s Office of the Secretary and at the Commission. Copies of such filing also will be available for inspection and copying at II. Self-Regulatory Organization’s the principal office of the Exchange. All Statement of the Purpose of, and comments received will be posted Statutory Basis for, the Proposed Rule without change; the Commission does Change not edit personal identifying In its filing with the Commission, the information from submissions. You self-regulatory organization included should submit only information that you wish to make available publicly. All 9 17 CFR 200.30–3(a)(12). submissions should refer to File 1 15 U.S.C. 78s(b)(1). Number SR–CBOE–2008–96 and should 2 17 CFR 240.19b–4. be submitted on or before October 29, 3 15 U.S.C. 78s(b)(3)(A)(ii). 2008. 4 17 CFR 240.19b–4(f)(2). Paper Comments PO 00000 Frm 00076 Fmt 4703 Sfmt 4703 E:\FR\FM\08OCN1.SGM 08OCN1

Agencies

SECURITIES AND EXCHANGE COMMISSION

[Federal Register Volume 73, Number 196 (Wednesday, October 8, 2008)]
[Notices]
[Pages 58998-58999]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E8-23757]



[[Page 58998]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-58659; File No. SR-CBOE-2008-96]


Self-Regulatory Organizations; Chicago Board Options Exchange, 
Incorporated; Notice of Filing of Proposal To Permit $1 Strikes for MNX 
Options

September 26, 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 September 16, 2008, the Chicago Board Options Exchange, Incorporated 
(``Exchange'' or ``CBOE'') 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 
Exchange. The Commission is publishing this notice to solicit comments 
on the proposed rule change from interested persons.
---------------------------------------------------------------------------

    \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

    The Exchange hereby proposes to amend certain of its rules to allow 
the Exchange to list options on the Mini-Nasdaq-100 Index (``MNX), 
which is based on 1/10th the value of the Nasdaq-100 Index, at $1 
strike price intervals. The text of the rule proposal 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.

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

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of, and basis for, the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of those statements may be examined at the places specified in 
Item IV below. The Exchange has prepared summaries, set forth in 
sections A, B, and C below, of the most significant parts of such 
statements.

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

1. Purpose
    The purpose of the proposed rule change is to amend Rule 24.9, 
Terms of Index Option Contracts, by adding a new interpretation that 
would allow the Exchange to list options on the Mini-Nasdaq-100 Index 
(``MNX'' or ``Mini-NDX''), which is based on 1/10th the value of the 
Nasdaq-100 Index, at $1 or greater strike price intervals.\3\
---------------------------------------------------------------------------

    \3\ Currently, under Interpretation and Policy.01(a)(xxv) to 
Rule 24.9, the Exchange has authority to list Mini-NDX options at 
$2.50 strike price intervals.
---------------------------------------------------------------------------

    Specifically, the Exchange proposes that the minimum strike price 
interval Mini-NDX options will be 0.01 point ($1.00). The Exchange 
believes that $1 strike price intervals in Mini-NDX option series will 
provide investors with greater flexibility by allowing them to 
establish positions that are better tailored to meet their investment 
objectives. This is consistent with existing Exchange rules and 
practices that allow the Exchange to list series at $1 or greater 
strike price intervals in similar options products. For example, Rule 
24.9.01(b) allows the Exchange to list series on options based on one-
one hundredth (1/100th) of the value of the Dow Jones Industrial 
Average Index at no less than $0.50 intervals.\4\ Similarly, Rule 
24.9.01(f) allows the Exchange to list strike price intervals at no 
less than $1 for options on the CBOE S&P 500 BuyWrite Index (1/10th 
value).\5\ In addition, Rule 24.9.11 allows the Exchange to list strike 
price intervals at no less than $1 for the reduced-value version of the 
Standard & Poor's S&P 500 Stock Index option (``Mini-SPX option''), 
which is based on 1/10th the value of the S&P 500 Index.\6\
---------------------------------------------------------------------------

    \4\ See Securities Exchange Act Release No. 34-39011 (September 
3, 1997), 62 FR 47840 (September 11, 1997) (SR-CBOE-1997-26).
    \5\ See Securities Exchange Act Release No. 34-58207 (July 29, 
2008), 73 FR 43963 (July 22, 2008) (SR-CBOE-2008-26).
    \6\ See Securities Exchange Act Release Nos. 52625 (October 18, 
2005), 70 FR 61479 (October 24, 2005) (SR-CBOE-2005-81) and 57049 
(December 27, 2007), 73 FR 528 (January 3, 2008) (SR-CBOE-2007-125).
---------------------------------------------------------------------------

    For initial series, the Exchange would list at least two strike 
prices above and two strike prices below the current value of the MNX 
at or about the time a series is opened for trading on the Exchange. As 
part of this initial listing, the Exchange would list strike prices 
that are within 5 points from the closing value of the MNX on the 
preceding day.
    As for additional series, the Exchange would be permitted to add 
additional series when the Exchange deems it necessary to maintain an 
orderly market, to meet customer demand or when the underlying MNX 
moves substantially from the initial exercise price or prices. To the 
extent that any additional strike prices are listed by the Exchange, 
such additional strike prices shall be within thirty percent (30%) 
above or below the closing value of the MNX. The Exchange would also be 
permitted to open additional strike prices that are more than 30% above 
or below the current MNX value provided that demonstrated customer 
interest exists for such series, as expressed by institutional, 
corporate or individual customers or their brokers. Market-Makers 
trading for their own account would not be considered when determining 
customer interest. In addition to the initial listed series, the 
Exchange may list up to sixty (60) additional series per expiration 
month for each series in Mini-NDX options. In addition, the Exchange 
proposes that it shall not list LEAPS on Mini-NDX options at intervals 
less than $5.
    The Exchange is also proposing to set forth a delisting policy with 
respect to Mini-NDX options. Specifically, the Exchange would, on a 
monthly basis, review series that are outside a range of five (5) 
strikes above and five (5) strikes below the current value of the MNX 
and delist series with no open interest in both the put and the call 
series having a: (i) Strike higher than the highest strike price with 
open interest in the put and/or call series for a given expiration 
month; and (ii) strike lower than the lowest strike price with open 
interest in the put and/or call series for a given expiration month.
    Notwithstanding the proposed delisting policy, customer requests to 
add strikes and/or maintain strikes in Mini-NDX options in series 
eligible for delisting shall be granted.
    Further, in connection with the proposed delisting policy, if the 
Exchange identifies series for delisting, the Exchange shall notify 
other options exchanges with similar delisting policies regarding 
eligible series for listing, and shall work with such other exchanges 
to develop a uniform list of series to be delisted, so as to ensure 
uniform series delisting of multiply listed Mini-NDX options.
    It is expected that the proposed delisting policy for Mini-NDX 
options will be adopted by other options exchanges that list and trade 
Mini-NDX options.
    The Exchange also proposes to add new Interpretation and Policy .13 
to Rule 5.5, Series of Option Contracts Open for Trading, which would 
be an

[[Page 58999]]

internal cross reference stating that the intervals between strike 
prices for Mini-NDX option series would be determined in accordance 
with proposed new Interpretation and Policy .01(h) to Rule 24.9.
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 and trading of $1 strikes or greater for Mini-NDX options.
2. Statutory Basis
    The Exchange believes this rule proposal is consistent with the 
Securities Exchange Act of 1934 (the ``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 
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 neither solicited nor received comments on the 
proposal.

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 organization 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 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-CBOE-2008-96 on the subject line.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street, NE., Washington, DC 20549-1090.

    All submissions should refer to File Number SR-CBOE-2008-96. 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 the Exchange. 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-2008-96 and should be 
submitted on or before October 29, 2008.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\9\
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    \9\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Acting Secretary.
 [FR Doc. E8-23757 Filed 10-7-08; 8:45 am]
BILLING CODE 8011-01-P

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