Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Approving a Proposed Rule Change To Permanently Establish the Quarterly Option Series Program, 31333-31334 [E9-15350]
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Federal Register / Vol. 74, No. 124 / Tuesday, June 30, 2009 / Notices
sroberts on PROD1PC70 with NOTICES6
estimates are not derived from a
comprehensive or even a representative
survey or study of Commission rules.
In addition to the burden hours,
Commission staff estimates that money
market funds will incur costs to
preserve records required under rule
2a–7. These costs will vary significantly
for individual funds, depending on the
amount of assets under fund
management and whether the fund
preserves its records in a storage facility
in hard copy or has developed and
maintains a computer system to create
and preserve compliance records.8
Commission staff estimates that the
amount an individual fund may spend
ranges from $100 per year to $300,000.
Based on a cost of $0.0051295 per dollar
of assets under management for small
funds, $0.0005041 per dollar assets
under management for medium funds,
and $0.0000009 per dollar of assets
under management for large funds,9 the
staff estimates compliance with rule 2a–
7 costs the fund industry approximately
$72.4 million per year.10 Based on
responses from individuals in the
money market fund industry, the staff
estimates that some of the largest fund
complexes have created computer
programs for maintaining and
preserving compliance records for rule
2a–7. Based on a cost of $0.0000132 per
dollar of assets under management for
large funds, the staff estimates that total
annualized capital/startup costs range
from $0 for small funds to $48.8 million
for all large funds. Commission staff
further estimates that, even absent the
requirements of rule 2a–7, money
market funds would spend at least half
of the amount for capital costs ($24.4
million) and for record preservation
($36.2 million) to establish and
maintain these records and the systems
for preserving them as a part of sound
8 The amount of assets under management in
individual money market funds ranges from
approximately $300,000 to approximately $162
billion.
9 For purpose of this PRA submission,
Commission staff used the following categories for
fund sizes: (i) Small—money market funds with $50
million or less in assets under management, (ii)
medium—money market funds with more than $50
million up to and including $1 billion in assets
under management; and (iii) large—money market
funds with more than $1 billion in assets under
management.
10 The staff estimated the annual cost of
preserving the required books and records by
identifying the annual costs incurred by several
funds and then relating this total cost to the average
net assets of these funds during the year. With a
total of $1 billion under management in small
funds, $126.8 billion under management in medium
funds and $3.7 trillion under management in large
funds, the costs of preservation were estimated as
follows: ((0.0051295 × $1 billion) + (0.0005041 ×
$126.8 billion) + (0.0000009 × $3.7 trillion) =
$72.38 million.
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19:55 Jun 29, 2009
Jkt 217001
business practices to ensure
diversification and minimal credit risk
in a portfolio for a fund that seeks to
maintain a stable price per share.
The collections of information
required by rule 2a–7 are necessary to
obtain the benefits described above.
Notices to the Commission will not be
kept confidential. An agency may not
conduct or sponsor, and a person is not
required to respond to, a collection of
information unless it displays a
currently valid control number.
The Commission requests written
comments are requested on: (a) Whether
the collections of information are
necessary for the proper performance of
the functions of the Commission,
including whether the information has
practical utility; (b) the accuracy of the
Commission’s estimate of the burdens of
the collection of information; (c) ways to
enhance the quality, utility and clarity
of the information collected; and (d)
ways to minimize the burden of the
collection of information on
respondents, including through the use
of automated collection techniques or
other forms of information technology.
Consideration will be given to
comments and suggestions submitted in
writing within 60 days of this
publication.
Please direct your written comments
to Charles Boucher, Director/CIO,
Securities and Exchange Commission,
C/O Shirley Martinson, 6432 General
Green Way, Alexandria, VA 22312; or
send an e-mail to:
PRA_Mailbox@sec.gov.
Dated: June 24, 2009.
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9–15399 Filed 6–29–09; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–60164; File No. SR–CBOE–
2009–029]
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Order Approving a
Proposed Rule Change To
Permanently Establish the Quarterly
Option Series Program
June 23, 2009.
On May 7, 2009, the Chicago Board
Options Exchange, Incorporated
(‘‘Exchange’’ or ‘‘CBOE’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’), pursuant to Section
19(b)(1) of the Securities Exchange Act
PO 00000
Frm 00098
Fmt 4703
Sfmt 4703
31333
of 1934 (‘‘Act’’),1 and Rule 19b–4
thereunder,2 a proposed rule change to
permanently establish its Quarterly
Option Series pilot program (the ‘‘QOS
Program’’). The proposed rule change
was published for comment in the
Federal Register on May 21, 2009.3 The
Commission received no comment
letters on the proposed rule change.
This order approves the proposed rule
change.
The Exchange established the QOS
Program on a pilot basis on July 7,
2006.4 The QOS Program allows CBOE
to list and trade Quarterly Option
Series, which expire at the close of
business on the last business day of a
calendar quarter. Under the QOS
Program, CBOE may select up to five (5)
currently listed exchange traded fund
(‘‘ETF’’) or index option classes on
which Quarterly Option Series may be
opened. The Exchange has selected the
following five ETF option classes to
participate in the QOS Program:
DIAMONDS Trust (DIA) options;
Standard and Poor’s Depositary
Receipts/SPDRs (SPY) options; iShares
Russell 2000 Index Fund (IWM) options;
PowerShares QQQ Trust (QQQQ)
options; and Energy Select SPDR (XLE)
options. In addition, CBOE may also list
Quarterly Option Series on any options
classes that are selected by other
securities exchanges that employ a
similar pilot program under their
respective rules.
The Exchange may list series that
expire at the end of the next consecutive
four (4) calendar quarters, as well as the
fourth quarter of the following calendar
year. For example, if the Exchange is
trading Quarterly Options Series in the
month of May 2009, it may list series
that expire at the end of the second,
third, and fourth quarters of 2009, as
well as the first and fourth quarters of
2010. Following the second quarter
2009 expiration, the Exchange could
add series that expire at the end of the
second quarter of 2010.
For each class of ETF options selected
for the QOS Program, the Exchange may
list strike prices within $5 from the
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 See Securities Exchange Act Release No. 59601
(March 19, 2009), 74 FR 13281.
4 See Securities Exchange Act Release No. 54123
(July 11, 2006), 71 FR 40558, (July 17, 2006) (SR–
CBOE–2006–65). The QOS Program has since been
extended and is currently scheduled to expire on
July 10, 2009. See Securities Exchange Act Release
Nos. 56035 (July 10, 2007), 72 FR 38851, (July 16,
2007) (SR–CBOE–2007–70) (immediately effective
rule change extending the QOS Program through
July 10, 2008) and 58018 (June 25, 2008), 73 FR
38010 (July 2, 2008) (SR–CBOE–2008–62)
(immediately effective rule change extending the
QOS Program through July 10, 2009).
2 17
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31334
Federal Register / Vol. 74, No. 124 / Tuesday, June 30, 2009 / Notices
previous day’s closing price of the
underlying security at the time of initial
listing. Subsequently, the Exchange may
list up to 60 additional strike prices that
are within thirty percent (30%) of the
previous day’s close, or more than 30%
away from the previous day’s close
provided demonstrated customer
interest exists for such series.5
The Exchange has also adopted a
delisting policy with respect to QOS in
ETF options.6 On a monthly basis, the
Exchange reviews series that are outside
a range of five (5) strikes above and five
(5) strikes below the current price of the
underlying ETF, and delists series with
no open interest in both the put and the
call series having either: (i) A strike
price higher than the highest strike price
with open interest in the put and/or call
series for a given expiration month; or
(ii) a strike price lower than the lowest
strike price with open interest in the put
and/or call series for a given expiration
month. Notwithstanding the foregoing,
the delisting policy also provides that
customer requests to add strikes and/or
maintain strikes in QOS in ETF options
in series eligible for delisting shall be
granted by the Exchange.
The Exchange also may list Quarterly
Option Series based on an underlying
index pursuant to similar provisions in
Rule 24.9. There are two noteworthy
distinctions between the rules for listing
QOS based on an ETF versus QOS based
on an index. First, whereas the initial
listing of QOS based on an underlying
ETF is restricted to strike prices within
$5 from the previous day’s closing price
of the underlying security, the initial
listing of strikes for QOS based on an
underlying index is restricted to: (i) A
price that is within thirty percent (30%)
of the previous day’s close, and (ii) no
more than five strikes above and five
strikes below the value of the
underlying index. Second, whereas the
Exchange may list up to 60 additional
strike prices for each QOS based on an
ETF, there is no firm cap on the
additional listing of strikes for QOS
based on an underlying index; rather,
additional strike prices may be listed
provided the new listings do not result
in more than five strike prices on the
same side of the underlying index value
as the new listings. To date, the
Exchange has not listed any Quarterly
sroberts on PROD1PC70 with NOTICES6
5 ‘‘Demonstrated
customer interest’’ includes
interest expressed by institutional, corporate or
individual customers or their brokers. MarketMakers trading for their own account may not be
considered when determining customer interest
under this provision.
6 See Securities Exchange Act Release No. 57410
(March 3, 2008), 73 FR 12483 (March 7, 2008) (SR–
CBOE–2007–96).
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19:55 Jun 29, 2009
Jkt 217001
Option Series based on an underlying
index.
In support of its proposal to
permanently establish the QOS
Program, and as required by the terms
of the Pilot Program,7 the Exchange
submitted to the Commission a report
detailing the Exchange’s experience
with the QOS Program (the ‘‘Report’’).8
In addition to the Report, the Exchange
represented that it has not experienced
any capacity-related problems with
respect to Quarterly Option Series, and
that it has the necessary systems
capacity to continue to support the
option series listed under the QOS
Program. Finally, the Exchange stated
its belief that there is sufficient investor
interest in, and demand for, the QOS
Program to warrant its permanent
approval.
After careful review, the Commission
finds that the proposal is consistent
with the Act and the rules and
regulations thereunder applicable to a
national securities exchange,9 and, in
particular, the requirements of Section
6(b)(5) of the Act,10 which requires,
among other things, that the rules of a
national securities exchange be
designed to remove impediments to and
perfect the mechanism of a free and
open market and a national market
system and, in general, to protect
investors and the public interest.
The Commission finds that the QOS
Program, as evidenced by the Report,
has furthered the public interest by
offering investors an alternative means
of managing their risk exposures and
carrying out their investment objectives.
The Commission notes CBOE’s
representation that there is sufficient
investor interest in the QOS Program to
warrant its permanent approval. The
Commission further notes CBOE’s
representations that it has not
experienced any capacity-related
problems with respect to Quarterly
Option Series, and that the Exchange
has the necessary system capacity to
continue to support the option series
listed under the QOS Program.
Accordingly, the Commission finds that
the proposed QOS Program strikes a
reasonable balance between the
Exchange’s desire to offer a wider array
of investment opportunities and the
need to avoid the unnecessary
7 See Securities Exchange Act Release No. 54123,
supra note 4.
8 The Report was submitted under separate cover
and seeks confidential treatment under the Freedom
of Information Act.
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(b)(5).
PO 00000
Frm 00099
Fmt 4703
Sfmt 4703
proliferation of option series that could
compromise systems capacity. The
Commission expects CBOE to continue
to monitor the trading and quotation
volume associated with the QOS
Program, and the effect the QOS
Program has on the capacity of the
Exchange’s, OPRA’s, and vendors’
systems. In addition, the Commission
expects the Exchange, consistent with
its QOS delisting policy, to continue to
monitor for option series with little or
no open interest and trading activity
and to act promptly to delist such
options in order to mitigate the number
of options series with no open interest.
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act, that the
proposed rule change (SR–CBOE–2009–
029) be, and it hereby is, approved.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.11
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9–15350 Filed 6–29–09; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–60165; File No. SR–BX–
2009–029]
Self-Regulatory Organizations;
NASDAQ OMX BX, Inc.; Notice of Filing
and Immediate Effectiveness of
Proposed Rule Change To Establish a
Flash and Cancel Order
June 23, 2009.
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 June 17,
2009, NASDAQ OMX BX, Inc. (the
‘‘Exchange’’) 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
Exchange has designated the proposed
rule change, as amended, as constituting
a rule change under Rule 19b–4(f)(6)
under the Act,3 which renders the
proposal effective upon filing with the
Commission. The Commission is
publishing this notice to solicit
comments on the proposed rule change,
as amended, from interested persons.
11 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 17 CFR 240.19b–4(f)(6).
1 15
E:\FR\FM\30JNN1.SGM
30JNN1
]]>Agencies
[Federal Register Volume 74, Number 124 (Tuesday, June 30, 2009)]
[Notices]
[Pages 31333-31334]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E9-15350]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-60164; File No. SR-CBOE-2009-029]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Order Approving a Proposed Rule Change To Permanently
Establish the Quarterly Option Series Program
June 23, 2009.
On May 7, 2009, the Chicago Board Options Exchange, Incorporated
(``Exchange'' or ``CBOE'') 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 permanently establish its
Quarterly Option Series pilot program (the ``QOS Program''). The
proposed rule change was published for comment in the Federal Register
on May 21, 2009.\3\ The Commission received no comment letters on the
proposed rule change. This order approves the proposed rule change.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ See Securities Exchange Act Release No. 59601 (March 19,
2009), 74 FR 13281.
---------------------------------------------------------------------------
The Exchange established the QOS Program on a pilot basis on July
7, 2006.\4\ The QOS Program allows CBOE to list and trade Quarterly
Option Series, which expire at the close of business on the last
business day of a calendar quarter. Under the QOS Program, CBOE may
select up to five (5) currently listed exchange traded fund (``ETF'')
or index option classes on which Quarterly Option Series may be opened.
The Exchange has selected the following five ETF option classes to
participate in the QOS Program: DIAMONDS Trust (DIA) options; Standard
and Poor's Depositary Receipts/SPDRs (SPY) options; iShares Russell
2000 Index Fund (IWM) options; PowerShares QQQ Trust (QQQQ) options;
and Energy Select SPDR (XLE) options. In addition, CBOE may also list
Quarterly Option Series on any options classes that are selected by
other securities exchanges that employ a similar pilot program under
their respective rules.
---------------------------------------------------------------------------
\4\ See Securities Exchange Act Release No. 54123 (July 11,
2006), 71 FR 40558, (July 17, 2006) (SR-CBOE-2006-65). The QOS
Program has since been extended and is currently scheduled to expire
on July 10, 2009. See Securities Exchange Act Release Nos. 56035
(July 10, 2007), 72 FR 38851, (July 16, 2007) (SR-CBOE-2007-70)
(immediately effective rule change extending the QOS Program through
July 10, 2008) and 58018 (June 25, 2008), 73 FR 38010 (July 2, 2008)
(SR-CBOE-2008-62) (immediately effective rule change extending the
QOS Program through July 10, 2009).
---------------------------------------------------------------------------
The Exchange may list series that expire at the end of the next
consecutive four (4) calendar quarters, as well as the fourth quarter
of the following calendar year. For example, if the Exchange is trading
Quarterly Options Series in the month of May 2009, it may list series
that expire at the end of the second, third, and fourth quarters of
2009, as well as the first and fourth quarters of 2010. Following the
second quarter 2009 expiration, the Exchange could add series that
expire at the end of the second quarter of 2010.
For each class of ETF options selected for the QOS Program, the
Exchange may list strike prices within $5 from the
[[Page 31334]]
previous day's closing price of the underlying security at the time of
initial listing. Subsequently, the Exchange may list up to 60
additional strike prices that are within thirty percent (30%) of the
previous day's close, or more than 30% away from the previous day's
close provided demonstrated customer interest exists for such
series.\5\
---------------------------------------------------------------------------
\5\ ``Demonstrated customer interest'' includes interest
expressed by institutional, corporate or individual customers or
their brokers. Market-Makers trading for their own account may not
be considered when determining customer interest under this
provision.
---------------------------------------------------------------------------
The Exchange has also adopted a delisting policy with respect to
QOS in ETF options.\6\ On a monthly basis, the Exchange reviews series
that are outside a range of five (5) strikes above and five (5) strikes
below the current price of the underlying ETF, and delists series with
no open interest in both the put and the call series having either: (i)
A strike price higher than the highest strike price with open interest
in the put and/or call series for a given expiration month; or (ii) a
strike price lower than the lowest strike price with open interest in
the put and/or call series for a given expiration month.
Notwithstanding the foregoing, the delisting policy also provides that
customer requests to add strikes and/or maintain strikes in QOS in ETF
options in series eligible for delisting shall be granted by the
Exchange.
---------------------------------------------------------------------------
\6\ See Securities Exchange Act Release No. 57410 (March 3,
2008), 73 FR 12483 (March 7, 2008) (SR-CBOE-2007-96).
---------------------------------------------------------------------------
The Exchange also may list Quarterly Option Series based on an
underlying index pursuant to similar provisions in Rule 24.9. There are
two noteworthy distinctions between the rules for listing QOS based on
an ETF versus QOS based on an index. First, whereas the initial listing
of QOS based on an underlying ETF is restricted to strike prices within
$5 from the previous day's closing price of the underlying security,
the initial listing of strikes for QOS based on an underlying index is
restricted to: (i) A price that is within thirty percent (30%) of the
previous day's close, and (ii) no more than five strikes above and five
strikes below the value of the underlying index. Second, whereas the
Exchange may list up to 60 additional strike prices for each QOS based
on an ETF, there is no firm cap on the additional listing of strikes
for QOS based on an underlying index; rather, additional strike prices
may be listed provided the new listings do not result in more than five
strike prices on the same side of the underlying index value as the new
listings. To date, the Exchange has not listed any Quarterly Option
Series based on an underlying index.
In support of its proposal to permanently establish the QOS
Program, and as required by the terms of the Pilot Program,\7\ the
Exchange submitted to the Commission a report detailing the Exchange's
experience with the QOS Program (the ``Report'').\8\ In addition to the
Report, the Exchange represented that it has not experienced any
capacity-related problems with respect to Quarterly Option Series, and
that it has the necessary systems capacity to continue to support the
option series listed under the QOS Program. Finally, the Exchange
stated its belief that there is sufficient investor interest in, and
demand for, the QOS Program to warrant its permanent approval.
---------------------------------------------------------------------------
\7\ See Securities Exchange Act Release No. 54123, supra note 4.
\8\ The Report was submitted under separate cover and seeks
confidential treatment under the Freedom of Information Act.
---------------------------------------------------------------------------
After careful review, the Commission finds that the proposal is
consistent with the Act and the rules and regulations thereunder
applicable to a national securities exchange,\9\ and, in particular,
the requirements of Section 6(b)(5) of the Act,\10\ which requires,
among other things, that the rules of a national securities exchange be
designed to remove impediments to and perfect the mechanism of a free
and open market and a national market system and, in general, to
protect investors and the public interest.
---------------------------------------------------------------------------
\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(b)(5).
---------------------------------------------------------------------------
The Commission finds that the QOS Program, as evidenced by the
Report, has furthered the public interest by offering investors an
alternative means of managing their risk exposures and carrying out
their investment objectives. The Commission notes CBOE's representation
that there is sufficient investor interest in the QOS Program to
warrant its permanent approval. The Commission further notes CBOE's
representations that it has not experienced any capacity-related
problems with respect to Quarterly Option Series, and that the Exchange
has the necessary system capacity to continue to support the option
series listed under the QOS Program. Accordingly, the Commission finds
that the proposed QOS Program strikes a reasonable balance between the
Exchange's desire to offer a wider array of investment opportunities
and the need to avoid the unnecessary proliferation of option series
that could compromise systems capacity. The Commission expects CBOE to
continue to monitor the trading and quotation volume associated with
the QOS Program, and the effect the QOS Program has on the capacity of
the Exchange's, OPRA's, and vendors' systems. In addition, the
Commission expects the Exchange, consistent with its QOS delisting
policy, to continue to monitor for option series with little or no open
interest and trading activity and to act promptly to delist such
options in order to mitigate the number of options series with no open
interest.
It is therefore ordered, pursuant to Section 19(b)(2) of the Act,
that the proposed rule change (SR-CBOE-2009-029) be, and it hereby is,
approved.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\11\
---------------------------------------------------------------------------
\11\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9-15350 Filed 6-29-09; 8:45 am]
BILLING CODE 8010-01-P
