Self-Regulatory Organizations; The Options Clearing Corporation; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Relating to the Cross-Margining Agreement Between OCC and CME, 28738-28739 [E9-14143]

Download as PDF 28738 Federal Register / Vol. 74, No. 115 / Wednesday, June 17, 2009 / Notices calendar put spread, or vice versa. This option strategy aims to profit from a time value spread through the purchase and sale of two call and two put options, each with different expiration dates. A Jelly Roll is created by entering into two separate positions simultaneously. One position involves buying a put and selling a call with the same strike price and expiration. The second position involves selling a put and buying a call, with the same strike price, but a different expiration from the first position. Below is an example of a Jelly Roll strategy execution. XYZ Jun/Oct 25 Jelly Roll: —Buy XYZ Jun 25 put and sell XYZ Jun 25 call —Sell XYZ Oct 25 put and buy XYZ Oct 25 call Market BBO: Jun 25 call .51 at .53 Jun 25 put .72 at .74 Oct 25 call 1.52 at 1.55 Oct 25 put 2.35 at 2.39 .74(long Jun put) + 1.52 (long Oct call) ¥.51 (short Jun call) ¥2.35 (short Oct put) = .60 credit received for the Jelly roll. Because the referenced Jelly Rolls are commonly executed in large volumes with profit margins that are generally narrow, the Exchange proposes to cap the transaction fees associated with such executions at $750 per strategy execution on the same trading day in the same option class. In addition, Jelly Rolls will be included in the monthly cap of $25,000 per initiating firm for all strategy executions. NYSE Amex believes that by keeping fees low, the Exchange is able to attract liquidity by accommodating these transactions. 2. Statutory Basis dwashington3 on PROD1PC60 with NOTICES The Exchange believes that the proposal is consistent with Section 6(b) of the Act, in general, and Section 6(b)(4), in particular, in that it provides for the equitable allocation of dues, fees and other charges among its members and other market participants that use the trading facilities of NYSE Amex Options. Under this proposal, all similarly situated Exchange participants will be charged the same reasonable dues, fees and other charges. 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. VerDate Nov<24>2008 15:33 Jun 16, 2009 Jkt 217001 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 foregoing rule change is effective upon filing pursuant to Section 19(b)(3)(A) 5 of the Act and subparagraph (f)(2) of Rule 19b–4 6 thereunder, because it establishes a due, fee, or other charge imposed by NYSE Amex. 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–NYSEAmex–2009–22 on the subject line. Paper Comments • Send paper comments in triplicate to Elizabeth M. Murphy, Secretary, Securities and Exchange Commission, 100 F Street, NE., Washington, DC 20549–1090. All submissions should refer to File Number SR–NYSEAmex–2009–22. 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 will also be available for inspection and copying at the principal office of the self-regulatory organization. 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– NYSEAmex-2009–22 and should be submitted on or before July 8, 2009. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.7 Florence E. Harmon, Deputy Secretary. [FR Doc. E9–14145 Filed 6–16–09; 8:45 am] BILLING CODE 8010–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–60063; File No. SR–OCC– 2009–10] Self-Regulatory Organizations; The Options Clearing Corporation; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Relating to the Cross-Margining Agreement Between OCC and CME June 8, 2009. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934,1 notice is hereby given that on May 22, 2009, The Options Clearing Corporation (‘‘OCC’’) filed with the Securities and Exchange Commission the proposed rule change as described in Items I, II, and III below, which Items have been prepared primarily by OCC. OCC filed the proposed rule change pursuant to Section 19(b)(3)(A)(i) of the Act 2 and Rule 19b–4(f)(1) thereunder 3 so that the proposal was effective upon filing with the Commission. The Commission is publishing this notice to solicit 7 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 15 U.S.C. 78s(b)(3)(A)(i). 3 17 CFR 240.19b–4(f)(1). 1 15 5 15 6 17 PO 00000 U.S.C. 78s(b)(3)(A). CFR 240.19b–4(f)(2). Frm 00076 Fmt 4703 Sfmt 4703 E:\FR\FM\17JNN1.SGM 17JNN1 Federal Register / Vol. 74, No. 115 / Wednesday, June 17, 2009 / Notices comments on the proposed rule change from interested persons. OCC including any other rules proposed to be amended. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change B. Self-Regulatory Organization’s Statement on Burden on Competition The proposed rule change will change the definition of the term ‘‘Eligible Contracts’’ as used in the crossmargining agreement (‘‘XM Agreement’’) between OCC and the Chicago Mercantile Exchange Inc. (‘‘CME’’) and delete Exhibit A to the Agreement. II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, OCC included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. OCC 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 dwashington3 on PROD1PC60 with NOTICES Pursuant to an OCC rule change approved by the Commission in 2008, OCC no longer must notify the Commission when OCC wishes to add new options classes to a cross-margining program.4 With this requirement no longer in effect, OCC and CME have executed Amendment No. 2 to the XM Agreement to accomplish two purposes. First, the term ‘‘Eligible Contracts’’ as used in the XM Agreement will be redefined. Second, Exhibit A of the XM Agreement, which contains the list of Eligible Contracts included in the XM Agreement, will be deleted in its entirety.5 OCC states that it believes that the proposed change is consistent with Section 17A of the Act 6 because it conforms the terms of the XM Agreement to the prior determination of the Commission that notice of the addition of new contracts to crossmargining programs was no longer needed or required. OCC further states that the proposed rule change is not inconsistent with the existing rules of 4 Securities Exchange Act Release No. 57118 (Jan. 9, 2008), 73 FR 2970 (Jan. 16, 2008) [File No. SR– OCC–2007–19]. 5 Amendment No. 2 to the XM Agreement is attached as Exhibit 5A to OCC’s filing with the Commission. 6 15 U.S.C. 78q-1. VerDate Nov<24>2008 15:33 Jun 16, 2009 Jkt 217001 OCC does not believe that the proposed rule change would impose any burden on competition. C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants or Others OCC has not solicited or received written comments with respect to the proposed rule change. OCC will notify the Commission of any written comments it receives. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action The foregoing rule change has become effective pursuant to Section 19(b)(3)(A)(i) of the Act 7 and Rule 19b– 4(f)(1) 8 thereunder because the proposed rule change constitutes a stated policy, practice, or interpretation with respect to the meaning, administration, or enforcement of an existing rule. At any time within 60 days of the filing of the proposed rule change, the Commission may summarily abrogated 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 rulecomment@sec.gov. Please include File No. SR–OCC–2009–10 on the subject line. Paper Comments • Send paper comments in triplicate to Elizabeth M. Murphy, Secretary, Securities and Exchange Commission, 100 F Street, NE., Washington, DC 20549–1090. All submissions should refer to File No. SR–OCC–2009–10. 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. to 3 p.m. Copies of such filing also will be available for inspection and copying at OCC’s principal office and on OCC’s Web site at https://www.theocc.com/ publications/rules/proposed_changes/ proposed_changes.jsp. 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 No. SR–OCC–2009– 10 and should be submitted on or before July 8, 2009. For the Commission by the Division of Trading and Markets, pursuant to delegated authority.9 Florence E. Harmon, Deputy Secretary. [FR Doc. E9–14143 Filed 6–16–09; 8:45 am] BILLING CODE 8010–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–60083; File No. SR–CHX– 2009–02] Self-Regulatory Organizations; Chicago Stock Exchange, Inc.; Notice of Filing of Proposed Rule Change Relating to the Rejection of Undisplayed Odd-Lot Orders From the Exchange’s Matching System June 10, 2009. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (‘‘Act’’) 1 and Rule 19b–4 thereunder,2 9 17 7 15 U.S.C. 78a(b)(3)(A)(i). 8 17 CFR 240.19b–4(f)(1). PO 00000 Frm 00077 Fmt 4703 Sfmt 4703 28739 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 1 15 E:\FR\FM\17JNN1.SGM 17JNN1

Agencies

[Federal Register Volume 74, Number 115 (Wednesday, June 17, 2009)]
[Notices]
[Pages 28738-28739]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E9-14143]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-60063; File No. SR-OCC-2009-10]


Self-Regulatory Organizations; The Options Clearing Corporation; 
Notice of Filing and Immediate Effectiveness of a Proposed Rule Change 
Relating to the Cross-Margining Agreement Between OCC and CME

June 8, 2009.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 
1934,\1\ notice is hereby given that on May 22, 2009, The Options 
Clearing Corporation (``OCC'') filed with the Securities and Exchange 
Commission the proposed rule change as described in Items I, II, and 
III below, which Items have been prepared primarily by OCC. OCC filed 
the proposed rule change pursuant to Section 19(b)(3)(A)(i) of the Act 
\2\ and Rule 19b-4(f)(1) thereunder \3\ so that the proposal was 
effective upon filing with the Commission. The Commission is publishing 
this notice to solicit

[[Page 28739]]

comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78s(b)(3)(A)(i).
    \3\ 17 CFR 240.19b-4(f)(1).
---------------------------------------------------------------------------

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

    The proposed rule change will change the definition of the term 
``Eligible Contracts'' as used in the cross-margining agreement (``XM 
Agreement'') between OCC and the Chicago Mercantile Exchange Inc. 
(``CME'') and delete Exhibit A to the Agreement.

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

    In its filing with the Commission, OCC included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. OCC 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

    Pursuant to an OCC rule change approved by the Commission in 2008, 
OCC no longer must notify the Commission when OCC wishes to add new 
options classes to a cross-margining program.\4\ With this requirement 
no longer in effect, OCC and CME have executed Amendment No. 2 to the 
XM Agreement to accomplish two purposes. First, the term ``Eligible 
Contracts'' as used in the XM Agreement will be redefined. Second, 
Exhibit A of the XM Agreement, which contains the list of Eligible 
Contracts included in the XM Agreement, will be deleted in its 
entirety.\5\
---------------------------------------------------------------------------

    \4\ Securities Exchange Act Release No. 57118 (Jan. 9, 2008), 73 
FR 2970 (Jan. 16, 2008) [File No. SR-OCC-2007-19].
    \5\ Amendment No. 2 to the XM Agreement is attached as Exhibit 
5A to OCC's filing with the Commission.
---------------------------------------------------------------------------

    OCC states that it believes that the proposed change is consistent 
with Section 17A of the Act \6\ because it conforms the terms of the XM 
Agreement to the prior determination of the Commission that notice of 
the addition of new contracts to cross-margining programs was no longer 
needed or required. OCC further states that the proposed rule change is 
not inconsistent with the existing rules of OCC including any other 
rules proposed to be amended.
---------------------------------------------------------------------------

    \6\ 15 U.S.C. 78q-1.
---------------------------------------------------------------------------

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

    OCC does not believe that the proposed rule change would impose any 
burden on competition.

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

    OCC has not solicited or received written comments with respect to 
the proposed rule change. OCC will notify the Commission of any written 
comments it receives.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    The foregoing rule change has become effective pursuant to Section 
19(b)(3)(A)(i) of the Act \7\ and Rule 19b-4(f)(1) \8\ thereunder 
because the proposed rule change constitutes a stated policy, practice, 
or interpretation with respect to the meaning, administration, or 
enforcement of an existing rule. At any time within 60 days of the 
filing of the proposed rule change, the Commission may summarily 
abrogated 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.
---------------------------------------------------------------------------

    \7\ 15 U.S.C. 78a(b)(3)(A)(i).
    \8\ 17 CFR 240.19b-4(f)(1).
---------------------------------------------------------------------------

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-comment@sec.gov. Please include 
File No. SR-OCC-2009-10 on the subject line.

Paper Comments

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

All submissions should refer to File No. SR-OCC-2009-10. 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. to 3 p.m. Copies of such filing also will be available for 
inspection and copying at OCC's principal office and on OCC's Web site 
at https://www.theocc.com/publications/rules/proposed_changes/proposed_changes.jsp. 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 No. SR-
OCC-2009-10 and should be submitted on or before July 8, 2009.

    For the Commission by the Division of Trading and Markets, 
pursuant to delegated authority.\9\
---------------------------------------------------------------------------

    \9\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9-14143 Filed 6-16-09; 8:45 am]
BILLING CODE 8010-01-P
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