Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change Proposing To Amend NYSE Arca Equities Rule 5.2(j)(6)(v) in Order To Add the CBOE Volatility Index® (VIX®) Futures (“VIX Futures”) to the Definition of Futures Reference Asset, 64647-64649 [E8-25923]
Download as PDF
<![CDATA[
Federal Register / Vol. 73, No. 211 / Thursday, October 30, 2008 / Notices
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 proposed rule
change also supports the principles of
Section 11A(a)(1) 18 of the Act in that it
seeks to ensure economically efficient
execution of securities transactions and
fair competition among brokers and
dealers and among exchange markets.
The Exchange believes that the
proposed adoption of NYSE Alternext
Rule 86 and other rule amendments will
enhance the efficient execution of
transactions and fair competition among
broker-dealers and markets and provide
increased bond market activity for the
benefit of all market participants
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 that is 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
No written comments were solicited
or received with respect to the proposed
rule change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
The Exchange believes that this
proposal qualifies for immediate
effectiveness upon filing as a noncontroversial rule change pursuant to
Section 19(b)(3)(A) of the Act 19 and
Rule 19b–4(f)(6) 20 thereunder. The
Exchange asserts that the proposed rule
change (i) will not significantly affect
the protection of investors or the public
interest, (ii) will not impose any
significant burden on competition, and
(iii) by its terms, will not become
operative for 30 days after the date of
this filing.21
The Exchange believes that this filing
is non-controversial because it raises no
novel issues and is consistent with the
Commission’s prior approvals of the
NYSE Bonds platform, the relocation of
18 15
U.S.C. 78k–1(a)(1).
U.S.C. 78s(b)(3)(A).
20 17 CFR 240.19b–4(f)(6).
21 17 CFR 240.19b–4(f)(6). In addition, Rule 19b–
4(f)(6)(iii) requires a self-regulatory organization to
give 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. NYSE Alternext
complied with this requirement.
sroberts on PROD1PC70 with NOTICES
19 15
VerDate Aug<31>2005
16:45 Oct 29, 2008
Jkt 211001
equities trading on NYSE Alternext, and
recent amendments to NYSE Rule 86,
upon which this filing is modeled.22 As
described above, this proposal seeks
only to implement NYSE Alternext
Bonds, which is based on the existing
NYSE Bonds platform, and to adopt the
related rules (subject to minor
modifications to apply them to the
Exchange), to govern the trading of debt
securities on NYSE Alternext.
The operative date of the proposed
rule changes is the date of the Equities
and Bonds Relocations.
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 Number SR–NYSEALTR–2008–03
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–NYSEALTR–2008–03. 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, on official business days between
the hours of 10 a.m. and 3 p.m. Copies
22 See Securities Exchange Act Release No. 55496
(March 20, 2007), 72 FR 14631 (March 28, 2007)
(SR–NYSE–2006–37); Securities Exchange Act
Release No. 58705 (October 1, 2008), 73 FR 58995
(October 8, 2008) (SR–Amex 2008–63); SR–NYSE–
2008–106.
PO 00000
Frm 00054
Fmt 4703
Sfmt 4703
64647
of the 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–
NYSEALTR–2008–03 and should be
submitted on or before November 20,
2008.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.23
Florence E. Harmon,
Acting Secretary.
[FR Doc. E8–25914 Filed 10–29–08; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–58855; File No. SR–
NYSEArca–2008–111]
Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing of Proposed
Rule Change Proposing To Amend
NYSE Arca Equities Rule 5.2(j)(6)(v) in
Order To Add the CBOE Volatility
Index (VIX) Futures (‘‘VIX Futures’’)
to the Definition of Futures Reference
Asset
October 24, 2008.
Pursuant to Section 19(b)(1) 1 of the
Securities Exchange Act of 1934
(‘‘Act’’) 2 and Rule 19b–4 thereunder,3
notice is hereby given that on October
17, 2008, NYSE Arca, Inc. (‘‘NYSE
Arca’’ or the ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I and II
below, which Items have been prepared
by the self-regulatory organization. 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
NYSE Arca, Inc. (‘‘NYSE Arca’’ or the
‘‘Exchange’’), through its wholly-owned
subsidiary, NYSE Arca Equities, Inc.
(‘‘NYSE Arca Equities’’ or the
‘‘Corporation’’), is proposing to amend
NYSE Arca Equities Rule 5.2(j)(6)(v) in
order to add the CBOE Volatility Index
(VIX) Futures (‘‘VIX Futures’’) to the
definition of Futures Reference Asset.
23 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 15 U.S.C. 78A.
3 17 CFR 240.19b–4.
1 15
E:\FR\FM\30OCN1.SGM
30OCN1
64648
Federal Register / Vol. 73, No. 211 / Thursday, October 30, 2008 / Notices
The text of the proposed rule change is
available on the Exchange’s Web site at
https://www.nyse.com, at the Exchange’s
principal office 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, the
self-regulatory organization 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 aspects of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
Rule 19b–4(e) 4 under the Securities
Exchange Act of 1934 (‘‘Act’’) 5 provides
that the listing and trading of a new
derivative securities product by a selfregulatory organization (‘‘SRO’’) shall
not be deemed a proposed rule change,
pursuant to section (c)(1) of Rule 19b–
4,6 if the Commission has approved,
pursuant to Section 19(b) of the Act,7
the SRO’s trading rules, procedures, and
listing standards for the product class
including products linked to VIX
Futures, and the SRO has a surveillance
program for the product class.8
The Commission has approved the
listing pursuant to NYSE Arca Equities
Rule 5.2(j)(6), including listing pursuant
to Rule 19b–4(e), of Index-Linked
Securities, which term currently is
defined in NYSE Arca Equities Rule
5.2(j)(6) to encompass Equity IndexLinked Securities, Commodity-Linked
Securities, Currency-Linked Securities,
Fixed Income Index-Linked Securities,
Futures-Linked Securities and
Multifactor Index-Linked Securities.9
The Exchange is proposing to amend
its generic listing standards under
amended NYSE Arca Equities Rule
5.2(j)(6) for Index-Linked Securities
pursuant to which it will be able to
trade securities linked to VIX Futures
without Commission approval of each
individual product pursuant to Section
19(b)(2) of the Act.10 Specifically, the
Exchange proposes to amend NYSE
Arca Equities Rule 5.2(j)(6)(v) to add the
VIX Futures as an underlying financial
instrument of a Futures-Linked
Securities and included VIX Futures
within the definition of a futures
reference asset. The Exchange
represents that any securities it lists
and/or trades pursuant to NYSE Arca
Equities Rule 5.2(j)(6) will satisfy the
standards set forth therein, and all
applicable Exchange and Federal
Securities rules. The Exchange states
that within five business days after
commencement of trading of an IndexLinked Security in reliance on NYSE
Arca Equities Rule 5.2(j)(6), the
Exchange will file a Form 19b–4(e).11
The Commission has previously
approved the listing and trading of
options on the VIX.12
The VIX
The information in this filing relating
to the VIX was taken from the Web site
of the Chicago Board Options Exchange
(the ‘‘CBOE’’).
The VIX was originally developed by
the CBOE in 1993 and was calculated
using S&P 100 Index options. The
current methodology for the VIX was
introduced by the CBOE in September
2003 and it is now an index that uses
the quotes of certain S&P 500 Index
(‘‘SPX’’) option series to derive a
measure of the volatility of the U.S.
equity market. The VIX measures
market expectations of near term
volatility conveyed by the prices of
options on the SPX. It provides
investors with up-to-the-minute market
estimates of expected stock market
volatility over the next 30 calendar days
by extracting implied volatilities from
real-time index option bid/ask quotes.
The VIX is calculated using put and
call options on the SPX in the two
nearest-term expiration months in order
to bracket a 30-day calendar period.
However, when there is 8 days left to
expiration, the VIX ‘‘rolls’’ to the second
and third contract months in order to
minimize the pricing anomalies that
might occur close to expiration.
For each contract month, CBOE will
determine the at-the-money strike price.
It will then select the at-the-money and
out-of-the money series with non-zero
bid prices and determine the midpoint
of the bid-ask quote for each of these
series. The midpoint quote of each
series is then weighted so that the
further away that series is from the at
the-money strike, the less weight that is
accorded to the quote. Then, to compute
the index level, CBOE will calculate a
volatility measure for the nearest term
options and then for the next term
options. This is done using the weighted
mid-point of the prevailing bid-ask
quotes for all included option series
with the same expiration date. These
volatility measures are then interpolated
to arrive at a single, constant 30-day
measure of volatility.
The CBOE will compute the index on
a real-time basis throughout each
trading day, from 8:30 AM until 3:15
PM (Chicago Time) CST. The CBOE has
calculated historical index values for
the new VIX back to 1986. VIX levels
will be calculated by CBOE and
disseminated at 15-second intervals to
market information vendors via the
Options Price Reporting Authority
(‘‘OPRA’’).
VIX Futures
Information regarding VIX Futures
can be found on the Web site of the
CBOE Futures Exchange (the ‘‘CFE’’).
The CFE began listing and trading VIX
Futures since March 26, 2004, under the
ticker symbol VX. VIX Futures trade
between the hours of 8:30 a.m.–3:15
p.m. Central Time (Chicago Time). The
CFE is a member of the Intermarket
Surveillance Group (‘‘ISG’’).13
The monthly volume and open
interest, in USD, as of the last day of
each of the last six months for the VIX
Futures was as follows:
Monthly volume
sroberts on PROD1PC70 with NOTICES
Mar—08 ...........................................................................................................................................................
Apr—08 ............................................................................................................................................................
May—08 ...........................................................................................................................................................
4 17
CFR 240.19b–4(e).
U.S.C. 78a.
6 17 CFR 240.19b–4(c)(1).
7 15 U.S.C. 78s(b).
8 See Securities Exchange Act Release No. 40761
(December 8, 1998), 63 FR 70952 (December 22,
1998).
5 17
VerDate Aug<31>2005
16:45 Oct 29, 2008
Jkt 211001
9 See Securities Exchange Act Release Nos. 56637
(October 10, 2007), 72 FR 58704 (October 16, 2007)
(SR–NYSEArca–2007–92) and 57701 [sic] (March
14, 2008), 73 FR 15550 (March 24, 2008) (SR–
NYSRArca–2008–20).
10 15 U.S.C. 78s(b)(2).
11 17 CFR 240.19b–4(e)(2)(ii); 17 CFR 249.820.
PO 00000
Frm 00055
Fmt 4703
Sfmt 4703
$266,990,096
220,242,675
214,255,026
Open interest
$2,621,925,695
2,539,855,183
2,574,362,763
12 See Securities Exchange Release No. 48807
(November 19, 2003), 68 FR 66516 (November 26,
2003) (SR–CBOE–2003–40).
13 For a list of the current members and affiliate
members of ISG, see www.isgportal.org.
E:\FR\FM\30OCN1.SGM
30OCN1
64649
Federal Register / Vol. 73, No. 211 / Thursday, October 30, 2008 / Notices
Monthly volume
Jun—08 ............................................................................................................................................................
Jul—08 .............................................................................................................................................................
Aug—08 ...........................................................................................................................................................
(ii) as to which the Exchange 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.
The Exchange has requested
accelerated approval of this proposed
2. Statutory Basis
rule change prior to the 30th day after
the date of publication of the notice of
The Exchange believes that the
proposed rule change is consistent with the filing thereof. The Commission has
Section 6(b) 14 of the Act, in general, and determined that a 15-day comment
period is appropriate in this case.
furthers the objectives of Section
6(b)(5) 15 in particular in that it is
IV. Solicitation of Comments
designed to prevent fraudulent and
Interested persons are invited to
manipulative acts and practices, to
promote just and equitable principles of submit written data, views, and
arguments concerning the foregoing,
trade, to foster cooperation and
including whether the proposed rule
coordination with persons engaged in
change is consistent with the Act.
facilitating transactions in securities,
Comments may be submitted by any of
and to remove impediments to and
the following methods:
perfect the mechanisms of a free and
open market and a national market
Electronic Comments
system, and, in general, to protect
• Use the Commission’s Internet
investors and the public interest. The
comment form (https://www.sec.gov/
Exchange believes that the proposed
rules/sro.shtml); or
rule change will facilitate the listing and
• Send an e-mail to ruletrading of additional Futures-Linked
comments@sec.gov. Please include File
Security that will enhance competition
Number SR–NYSEArca–2008–111 on
among market participants, to the
the subject line.
benefit of investors and the marketplace.
Paper Comments
B. Self-Regulatory Organization’s
• Send paper comments in triplicate
Statement on Burden on Competition
to Secretary, Securities and Exchange
The Exchange does not believe that
Commission, 100 F Street, NE.,
the proposed rule change will impose
Washington, DC 20549–1090.
any burden on competition that is not
All submissions should refer to File
necessary or appropriate in furtherance
Number SR–NYSEArca–2008–111. This
of the purposes of the Act.
file number should be included on the
C. Self-Regulatory Organization’s
subject line if e-mail is used. To help the
Statement on Comments on the
Commission process and review your
Proposed Rule Change Received From
comments more efficiently, please use
Members, Participants or Others
only one method. The Commission will
post all comments on the Commission’s
No written comments were solicited
or received with respect to the proposed Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the
rule change.
submission, all subsequent
III. Date of Effectiveness of the
amendments, all written statements
Proposed Rule Change and Timing for
with respect to the proposed rule
Commission Action
change that are filed with the
Commission, and all written
Within 35 days of the date of
publication of this notice in the Federal communications relating to the
Register or within such longer period (i) proposed rule change between the
Commission and any person, other than
as the Commission may designate up to
those that may be withheld from the
90 days of such date if it finds such
public in accordance with the
longer period to be appropriate and
provisions of 5 U.S.C. 552, will be
publishes its reasons for so finding or
available for inspection and copying in
14 15 U.S.C. 78f(b).
the Commission’s Public Reference
15 15 U.S.C. 78f(b)(5).
Room, 100 F Street, NE., Washington,
sroberts on PROD1PC70 with NOTICES
The Exchange believes that the
proposed criteria to add VIX Futures as
an underlying Futures Reference asset
will facilitate the listing and trading of
additional Futures-Linked Security that
will enhance competition among market
participants, to the benefit of investors
and the marketplace.
VerDate Aug<31>2005
16:45 Oct 29, 2008
Jkt 211001
PO 00000
Frm 00056
Fmt 4703
Sfmt 4703
210,130,373
216,902,870
254,239,715
Open interest
2,506,392,108
2,476,056,292
2,113,750,676
DC 20549, on official business days
between the hours of 10 a.m. and 3 p.m.
Copies of the 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–NYSEArca–2008–111 and
should be submitted on or before
November 14, 2008.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.16
Florence E. Harmon,
Acting Secretary.
[FR Doc. E8–25923 Filed 10–29–08; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–58856; File No. SR–
NYSEArca–2008–112]
Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change Relating to the Listing of
the NETS S&P/MIB Index Fund (Italy)
October 24, 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 October
21, 2008, NYSE Arca, Inc. (‘‘NYSE
Arca’’ or ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
change described in Items I and II
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 proposes to list and
trade shares (‘‘Shares’’) of the following
fund of the NETS Trust (‘‘Trust’’): NETS
S&P/MIB Index Fund (Italy). The text of
16 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 C.F.R. 240.19b–4.
1 15
E:\FR\FM\30OCN1.SGM
30OCN1
]]>Agencies
[Federal Register Volume 73, Number 211 (Thursday, October 30, 2008)]
[Notices]
[Pages 64647-64649]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E8-25923]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-58855; File No. SR-NYSEArca-2008-111]
Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of Proposed Rule Change Proposing To Amend NYSE Arca Equities Rule
5.2(j)(6)(v) in Order To Add the CBOE Volatility Index[reg] (VIX[reg])
Futures (``VIX Futures'') to the Definition of Futures Reference Asset
October 24, 2008.
Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of
1934 (``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby given
that on October 17, 2008, NYSE Arca, Inc. (``NYSE Arca'' or the
``Exchange'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I and
II below, which Items have been prepared by the self-regulatory
organization. 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\ 15 U.S.C. 78A.
\3\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
NYSE Arca, Inc. (``NYSE Arca'' or the ``Exchange''), through its
wholly-owned subsidiary, NYSE Arca Equities, Inc. (``NYSE Arca
Equities'' or the ``Corporation''), is proposing to amend NYSE Arca
Equities Rule 5.2(j)(6)(v) in order to add the CBOE Volatility
Index[reg] (VIX[reg]) Futures (``VIX Futures'') to the definition of
Futures Reference Asset.
[[Page 64648]]
The text of the proposed rule change is available on the Exchange's Web
site at https://www.nyse.com, at the Exchange's principal office 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, the self-regulatory organization
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 aspects of such statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
Rule 19b-4(e) \4\ under the Securities Exchange Act of 1934
(``Act'') \5\ provides that the listing and trading of a new derivative
securities product by a self-regulatory organization (``SRO'') shall
not be deemed a proposed rule change, pursuant to section (c)(1) of
Rule 19b-4,\6\ if the Commission has approved, pursuant to Section
19(b) of the Act,\7\ the SRO's trading rules, procedures, and listing
standards for the product class including products linked to VIX
Futures, and the SRO has a surveillance program for the product
class.\8\
---------------------------------------------------------------------------
\4\ 17 CFR 240.19b-4(e).
\5\ 17 U.S.C. 78a.
\6\ 17 CFR 240.19b-4(c)(1).
\7\ 15 U.S.C. 78s(b).
\8\ See Securities Exchange Act Release No. 40761 (December 8,
1998), 63 FR 70952 (December 22, 1998).
---------------------------------------------------------------------------
The Commission has approved the listing pursuant to NYSE Arca
Equities Rule 5.2(j)(6), including listing pursuant to Rule 19b-4(e),
of Index-Linked Securities, which term currently is defined in NYSE
Arca Equities Rule 5.2(j)(6) to encompass Equity Index-Linked
Securities, Commodity-Linked Securities, Currency-Linked Securities,
Fixed Income Index-Linked Securities, Futures-Linked Securities and
Multifactor Index-Linked Securities.\9\
---------------------------------------------------------------------------
\9\ See Securities Exchange Act Release Nos. 56637 (October 10,
2007), 72 FR 58704 (October 16, 2007) (SR-NYSEArca-2007-92) and
57701 [sic] (March 14, 2008), 73 FR 15550 (March 24, 2008) (SR-
NYSRArca-2008-20).
---------------------------------------------------------------------------
The Exchange is proposing to amend its generic listing standards
under amended NYSE Arca Equities Rule 5.2(j)(6) for Index-Linked
Securities pursuant to which it will be able to trade securities linked
to VIX Futures without Commission approval of each individual product
pursuant to Section 19(b)(2) of the Act.\10\ Specifically, the Exchange
proposes to amend NYSE Arca Equities Rule 5.2(j)(6)(v) to add the VIX
Futures as an underlying financial instrument of a Futures-Linked
Securities and included VIX Futures within the definition of a futures
reference asset. The Exchange represents that any securities it lists
and/or trades pursuant to NYSE Arca Equities Rule 5.2(j)(6) will
satisfy the standards set forth therein, and all applicable Exchange
and Federal Securities rules. The Exchange states that within five
business days after commencement of trading of an Index-Linked Security
in reliance on NYSE Arca Equities Rule 5.2(j)(6), the Exchange will
file a Form 19b-4(e).\11\
---------------------------------------------------------------------------
\10\ 15 U.S.C. 78s(b)(2).
\11\ 17 CFR 240.19b-4(e)(2)(ii); 17 CFR 249.820.
---------------------------------------------------------------------------
The Commission has previously approved the listing and trading of
options on the VIX.\12\
---------------------------------------------------------------------------
\12\ See Securities Exchange Release No. 48807 (November 19,
2003), 68 FR 66516 (November 26, 2003) (SR-CBOE-2003-40).
---------------------------------------------------------------------------
The VIX
The information in this filing relating to the VIX was taken from
the Web site of the Chicago Board Options Exchange (the ``CBOE'').
The VIX was originally developed by the CBOE in 1993 and was
calculated using S&P 100[reg] Index options. The current methodology
for the VIX was introduced by the CBOE in September 2003 and it is now
an index that uses the quotes of certain S&P[reg] 500 Index (``SPX'')
option series to derive a measure of the volatility of the U.S. equity
market. The VIX measures market expectations of near term volatility
conveyed by the prices of options on the SPX. It provides investors
with up-to-the-minute market estimates of expected stock market
volatility over the next 30 calendar days by extracting implied
volatilities from real-time index option bid/ask quotes.
The VIX is calculated using put and call options on the SPX in the
two nearest-term expiration months in order to bracket a 30-day
calendar period. However, when there is 8 days left to expiration, the
VIX ``rolls'' to the second and third contract months in order to
minimize the pricing anomalies that might occur close to expiration.
For each contract month, CBOE will determine the at-the-money
strike price. It will then select the at-the-money and out-of-the money
series with non-zero bid prices and determine the midpoint of the bid-
ask quote for each of these series. The midpoint quote of each series
is then weighted so that the further away that series is from the at
the-money strike, the less weight that is accorded to the quote. Then,
to compute the index level, CBOE will calculate a volatility measure
for the nearest term options and then for the next term options. This
is done using the weighted mid-point of the prevailing bid-ask quotes
for all included option series with the same expiration date. These
volatility measures are then interpolated to arrive at a single,
constant 30-day measure of volatility.
The CBOE will compute the index on a real-time basis throughout
each trading day, from 8:30 AM until 3:15 PM (Chicago Time) CST. The
CBOE has calculated historical index values for the new VIX back to
1986. VIX levels will be calculated by CBOE and disseminated at 15-
second intervals to market information vendors via the Options Price
Reporting Authority (``OPRA'').
VIX Futures
Information regarding VIX Futures can be found on the Web site of
the CBOE Futures Exchange (the ``CFE'').
The CFE began listing and trading VIX Futures since March 26, 2004,
under the ticker symbol VX. VIX Futures trade between the hours of 8:30
a.m.-3:15 p.m. Central Time (Chicago Time). The CFE is a member of the
Intermarket Surveillance Group (``ISG'').\13\
---------------------------------------------------------------------------
\13\ For a list of the current members and affiliate members of
ISG, see www.isgportal.org.
---------------------------------------------------------------------------
The monthly volume and open interest, in USD, as of the last day of
each of the last six months for the VIX Futures was as follows:
------------------------------------------------------------------------
Monthly volume Open interest
------------------------------------------------------------------------
Mar--08............................. $266,990,096 $2,621,925,695
Apr--08............................. 220,242,675 2,539,855,183
May--08............................. 214,255,026 2,574,362,763
[[Page 64649]]
Jun--08............................. 210,130,373 2,506,392,108
Jul--08............................. 216,902,870 2,476,056,292
Aug--08............................. 254,239,715 2,113,750,676
------------------------------------------------------------------------
The Exchange believes that the proposed criteria to add VIX Futures
as an underlying Futures Reference asset will facilitate the listing
and trading of additional Futures-Linked Security that will enhance
competition among market participants, to the benefit of investors and
the marketplace.
2. Statutory Basis
The Exchange believes that the proposed rule change is consistent
with Section 6(b) \14\ of the Act, in general, and furthers the
objectives of Section 6(b)(5) \15\ in particular in that it is designed
to prevent fraudulent and manipulative acts and practices, to promote
just and equitable principles of trade, to foster cooperation and
coordination with persons engaged in facilitating transactions in
securities, and to remove impediments to and perfect the mechanisms of
a free and open market and a national market system, and, in general,
to protect investors and the public interest. The Exchange believes
that the proposed rule change will facilitate the listing and trading
of additional Futures-Linked Security that will enhance competition
among market participants, to the benefit of investors and the
marketplace.
---------------------------------------------------------------------------
\14\ 15 U.S.C. 78f(b).
\15\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
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 that is 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
No written comments were solicited or received with respect to the
proposed rule change.
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 Exchange 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.
The Exchange has requested accelerated approval of this proposed
rule change prior to the 30th day after the date of publication of the
notice of the filing thereof. The Commission has determined that a 15-
day comment period is appropriate in this case.
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 Number SR-NYSEArca-2008-111 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-NYSEArca-2008-111. 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 the 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-NYSEArca-2008-111 and should
be submitted on or before November 14, 2008.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\16\
---------------------------------------------------------------------------
\16\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Florence E. Harmon,
Acting Secretary.
[FR Doc. E8-25923 Filed 10-29-08; 8:45 am]
BILLING CODE 8011-01-P
