Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Make Permanent the Quarterly Options Series Pilot Program on the Boston Options Exchange Facility, 34806-34809 [E9-17002]

Download as PDF 34806 Federal Register / Vol. 74, No. 136 / Friday, July 17, 2009 / Notices Room 10230, New Executive Office Building, Washington, DC 20503. SMALL BUSINESS ADMINISTRATION Charles Mierzwa, Clearance Officer. [FR Doc. E9–16968 Filed 7–16–09; 8:45 am] Arkansas Disaster Number AR–00032 [Disaster Declaration #11787 and #11788] BILLING CODE 7905–01–P SMALL BUSINESS ADMINISTRATION [Disaster Declaration # 11785 and # 11786] South Dakota Disaster Number SD– 00023 AGENCY: U.S. Small Business Administration. ACTION: Amendment 1. SUMMARY: This is an amendment of the Presidential declaration of a major disaster for Public Assistance Only for the State of South Dakota (FEMA–1844– DR), dated 06/16/2009. Incident: Severe Storms and Flooding. Incident Period: 03/11/2009 through 07/06/2009. Effective Date: 07/06/2009. Physical Loan Application Deadline Date: 08/17/2009. Economic Injury (EIDL) Loan Application Deadline Date: 03/16/2010. Submit completed loan applications to: U.S. Small Business Administration, Processing and Disbursement Center, 14925 Kingsport Road, Fort Worth, TX 76155. ADDRESSES: FOR FURTHER INFORMATION CONTACT: A. Escobar, Office of Disaster Assistance, U.S. Small Business Administration, 409 3rd Street, SW., Suite 6050, Washington, DC 20416. The notice of the President’s major disaster declaration for Private Non-Profit organizations in the State of South Dakota, dated 06/16/2009, is hereby amended to establish the incident period for this disaster as beginning 03/ 11/2009 and continuing through 07/06/ 2009. All other information in the original declaration remains unchanged. mstockstill on DSKH9S0YB1PROD with NOTICES SUPPLEMENTARY INFORMATION: (Catalog of Federal Domestic Assistance Numbers 59002 and 59008) James E. Rivera, Acting Associate Administrator for Disaster Assistance. [FR Doc. E9–17120 Filed 7–16–09; 8:45 am] BILLING CODE 8025–01–P VerDate Nov<24>2008 19:20 Jul 16, 2009 Jkt 217001 AGENCY: U.S. Small Business Administration. ACTION: Amendment 1. SUMMARY: This is an amendment of the Presidential declaration of a major disaster for Public Assistance Only for the State of Arkansas (FEMA–1845–DR), dated 06/16/2009. Incident: Severe Storms, Tornadoes, and Flooding. Incident Period: 04/27/2009 through 05/23/2009. Effective Date: 05/23/2009. Physical Loan Application Deadline Date: 08/17/2009. Economic Injury (EIDL) Loan Application Deadline Date: 03/16/2010. ADDRESSES: Submit completed loan applications to: U.S. Small Business Administration, Processing and Disbursement Center, 14925 Kingsport Road, Fort Worth, TX 76155. FOR FURTHER INFORMATION CONTACT: A. Escobar, Office of Disaster Assistance, U.S. Small Business Administration, 409 3rd Street, SW., Suite 6050, Washington, DC 20416. SUPPLEMENTARY INFORMATION: The notice of the President’s major disaster declaration for Private Non-Profit organizations in the State of Arkansas, dated 06/16/2009, is hereby amended to establish the incident period for this disaster as beginning 04/27/2009 and continuing through 05/23/2009. All other information in the original declaration remains unchanged. (Catalog of Federal Domestic Assistance Numbers 59002 and 59008) Roger B. Garland, Acting Associate Administrator for Disaster Assistance. [FR Doc. E9–17115 Filed 7–16–09; 8:45 am] BILLING CODE 8025–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–60270; File No. SR–BX– 2009–037] Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Make Permanent the Quarterly Options Series Pilot Program on the Boston Options Exchange Facility July 9, 2009. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 PO 00000 Frm 00097 Fmt 4703 Sfmt 4703 (‘‘Act’’) 1, and Rule 19b–4 2 thereunder, notice is hereby given that on July 9, 2009, NASDAQ OMX BX, Inc. (the ‘‘Exchange’’) filed with the Securities and Exchange Commission (‘‘SEC’’ or ‘‘Commission’’) the proposed rule change as described in Items I and II below, which Items have been prepared by the Exchange. The Exchange filed the proposed rule change pursuant to Section 19(b)(3)(A) of the Act,3 and Rule 19b–4(f)(6) thereunder,4 which renders the proposal effective upon filing with the Commission. 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 amend the Rules of the Boston Options Exchange Group, LLC (‘‘BOX’’) to make permanent its Quarterly Option Series pilot program (‘‘QOS Program’’). The text of the proposed rule change is available from the principal office of the Exchange, at the Commission’s Public Reference Room and also on the Exchange’s Internet Web site at https:// nasdaqomxbx.cchwallstreet.com/ NASDAQOMXBX/Filings/. II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, Phlx 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. Phlx has prepared summaries, set forth in sections A, B, and C below, of the most significant aspects of such statements. A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The Exchange is proposing to make the QOS Program permanent. On July 17, 2007, the Exchange filed with the Securities and Exchange Commission (‘‘Commission’’) SR–BSE–2007–36, which was effective on filing and established the QOS Program.5 The QOS 1 15 U.S.C. 78s(b)(1). CFR 240.19b–4. 3 15 U.S.C. 78s(b)(3)(A). 4 17 CFR 240.19b–4(f)(6). 5 See Securities Exchange Act Release No. 56086 (July 17, 2007), 72 FR 40182 (July 23, 2007) (SR– 2 17 E:\FR\FM\17JYN1.SGM 17JYN1 Federal Register / Vol. 74, No. 136 / Friday, July 17, 2009 / Notices Program allows BOX to list and trade Quarterly Option Series, which expire at the close of business on the last business day or a calendar quarter. Under the QOS Program, BOX may select up to five (5) currently listed exchange traded fund (‘‘ETF’’) or index option classes on which Quarterly Option Series may be opened. In addition, BOX 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 next 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. Quarterly Option Series are P.M. settled. Quarterly Option Series in ETF Options mstockstill on DSKH9S0YB1PROD with NOTICES If an ETF option is selected for participation in the QOS Program, the strike price of each Quarterly Option Series is fixed at a price per share, with at least two strike prices above and two strike prices below the approximate value of the underlying security at about the time the Quarterly Options Series is opened for trading on the Exchange. BOX shall list strikes prices for a Quarterly Option series that are within $5 from the closing price of the underlying on the preceding day. The Exchange may open for trading additional Quarterly Options Series of the same class when the Exchange deems is necessary to maintain an orderly market, to meet customer demand or when the market price of the underlying security 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 price of the underlying ETF on the preceding day.6 The Exchange may BSE–2007–36). The QOS Program has since been extended and is currently scheduled to expire on July 10, 2009. See Securities Exchange Act Release No. 58131 (July 9, 2008), 73 FR 41138 (July 17, 2008) (SR–BSE–2008–37) (Immediately effective rule change extending the QOS Program through July 10, 2009). 6 See Securities Exchange Act Release No. 57594 (April 1, 2008), 73 FR 18828 (April 7, 2008) (SR– BSE–2008–17) (Amended QOS Program to permit VerDate Nov<24>2008 19:20 Jul 16, 2009 Jkt 217001 also open additional strike prices of Quarterly Option Series in ETF options that are more than 30% above or below the current price of the underlying ETF 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 shall not be considered when determining customer interest under this provision. The opening of the new Quarterly Options Series shall not affect the series of options of the same class previously opened. In addition to the initial listed series, the Exchange may list up to sixty (60) additional series per expiration month for each Quarterly Options Series in ETF options. The interval between strike prices on Quarterly Options Series shall be the same as the interval for strike prices for series in that same options class that expire in accordance with the normal monthly expiration cycle. The Exchange has adopted a delisting policy with respect to QOS in ETF options.7 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 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 delisting policy, customer requests to add strikes and/or maintain strikes in QOS in ETF options in series eligible for delisting shall be granted. Further, in connection with the 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 QOS in ETF options. During the last quarter of 2008 (and for the new expiration month added after December Quarterly Option Series expiration), the Exchange was permitted to list up to one hundred (100) additional series per expiration month for each Quarterly Options Series in ETF options.8 the listing of additional Quarterly Option Series in ETF options). 7 Id. 8 See Securities Exchange Act Release No. 58996 (November 21, 2008), 73 FR 72878 (December 1, PO 00000 Frm 00098 Fmt 4703 Sfmt 4703 34807 Quarterly Option Series in Index Options If an index option is selected for participation in the QOS Program, the strike price of each Quarterly Option Series will be fixed at a price per share, with at least two, but no more than five, strike prices above and at least two, but no more than five, strike prices below the value of the underlying index at about the time that a Quarterly Options Series is opened for trading on the Exchange. The Exchange shall list strike prices for Quarterly Options Series that are reasonably related to the current index value of the underlying index to which such series relates at about the time such series of options is first opened for trading on the Exchange. The term ‘‘reasonably related to the current index value of the underlying index’’ means that the exercise price is within thirty percent (30%) of the current index value. The Exchange may open for trading additional Quarterly Options Series of the same class when the Exchange deems it necessary to maintain an orderly market, to meet customer demand or when the market price of the underlying security moves substantially from the initial exercise price or prices. The Exchange may also open for trading additional Quarterly Options Series that are more than thirty percent (30%) of the current index 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 shall not be considered when determining customer interest under this provision. The Exchange may open additional strike prices of a Quarterly Option Series that are above the value of the underlying index provided that the total number of strike prices above the value of the underlying index is no greater than five. The Exchange may open additional strike prices of a Quarterly Option Series that are below the value of the underlying index provided that the total number of strike prices below the value of the underlying index is no greater than five. The opening of any new Quarterly Option Series shall not affect the series of options of the same class previously 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 2008) (SR–BSE–2008–55) (temporary increase to the number of additional Quarterly Options Series in ETF options). E:\FR\FM\17JYN1.SGM 17JYN1 34808 Federal Register / Vol. 74, No. 136 / Friday, July 17, 2009 / Notices mstockstill on DSKH9S0YB1PROD with NOTICES Receipts/SPDRs (SPY) options, iShares Russell 2000 Index Fund (IWM) options, PowerShares QQQ Trust (QQQQ) options and Energy Select SPDR (XLE) options. The Exchange believes the QOS Program has been successful and well received by BOX Participants and the investing public for the nearly two years that it has been in operation as a pilot on BOX. The Exchange is now proposing to make the QOS Program permanent. In support of approving the QOS Program on a permanent basis, BOX has submitted to the Commission Pilot Program Reports (‘‘Reports’’) detailing the Exchange’s experience with the QOS Program. Specifically, the Reports contain data and written analysis regarding the five ETF option classes included in the QOS Program. The Reports have been submitted under separate cover with confidential treatment requested under the Freedom of Information Act. The Exchange believes there is sufficient investor interest and demand in the QOS Program to warrant its permanent approval. The Exchange believes that, for the nearly three [sic] years that it has been in operation in the options markets, the QOS Program has provided investors with additional means of managing their risk exposures and carrying out their investment objectives. Furthermore, the Exchange has not experienced any capacityrelated problems with respect to Quarterly Option Series. The Exchange also represents that BOX has the necessary system capacity to continue to support the option series listed under the QOS Program. In seeking permanent approval, the Exchange is taking this opportunity to update the expiration examples provided in Supplementary Material .04 to Chapter IV, Section 6 and Supplementary Material .01 to Chapter XIV, Section 10. The revisions do not change the substance of the QOS Program. 2. Statutory Basis The Exchange believes that the proposal is consistent with the requirements of Section 6(b) of the Act,9 in general, and Section 6(b)(5) of the Act,10 in particular, in that it is designed to foster cooperation and coordination with persons engaged in regulating, clearing, settling, processing information with respect to, and facilitating transactions in securities, to remove impediments to and perfect the mechanism for a free and open market 9 15 U.S.C. 78f(b). U.S.C. 78f(b)(5). 10 15 VerDate Nov<24>2008 19:20 Jul 16, 2009 Jkt 217001 and a national market system and, in general, to protect investors and the public interest. The Exchange believes that permanent approval of the QOS Program will result in an ongoing benefit to investors, and will continue to allow them additional means to manage their risk exposures and carry out their investment objectives. B. Self-Regulatory Organization’s Statement on Burden on Competition The Exchange does not believe that the proposed rule change will result in 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 The Exchange has neither solicited nor received comments on the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Because the foregoing proposed rule change does not: (i) Significantly affect the protection of investors or the public interest; (ii) impose any significant burden on competition; and (iii) become operative for 30 days after the date of the filing, or such shorter time as the Commission may designate, if consistent with the protection of investors and the public interest, it has become effective pursuant to Section 19(b)(3)(A) of the Act 11 and Rule 19b– 4(f)(6) thereunder.12 The Exchange has requested that the Commission waive the 30-day operative delay so that the Exchange can permanently establish a Quarterly Options Series Program that is consistent with those of other options exchanges.13 In addition, the Commission notes that the Exchange’s QOS Program currently is scheduled to expire on July 10, 2009. The Commission therefore has determined that waiving the 30-day operative delay of the Exchange’s proposal is consistent with the protection of investors and the public interest because such waiver will U.S.C. 78s(b)(3)(A). CFR 240.19b–4(f)(6). In addition, Rule 19b– 4(f)(6) requires a self-regulatory organization to give the Commission written notice of its intent to file the proposed rule change at least five business days prior to the date of filing of the proposed rule change, or such shorter time as designated by the Commission. The Exchange has satisfied this requirement. 13 See Securities Exchange Act Release No. 60164 (June 23, 2009), 74 FR 31333 (June 30, 2009) (SR– CBOE–2009–029) (approving the quarterly options series program on a permanent basis). PO 00000 11 15 12 17 Frm 00099 Fmt 4703 Sfmt 4703 enable the Exchange to permanently establish the QOS program without disruption.14 Therefore, the Commission designates the proposal operative upon filing. 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–BX–2009–037 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–BX–2009–037. 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 14 For purposes only of waiving the 30-day operative delay, the Commission has considered the proposed rule’s impact on efficiency, competition, and capital formation. See 15 U.S.C. 78c(f). E:\FR\FM\17JYN1.SGM 17JYN1 Federal Register / Vol. 74, No. 136 / Friday, July 17, 2009 / Notices 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–BX–2009–037 and should be submitted on or before August 7, 2009. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.15 Elizabeth M. Murphy, Secretary. [FR Doc. E9–17002 Filed 7–16–09; 8:45 am] BILLING CODE 8010–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–60275; File No. SR–ISE– 2009–50] Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Permanently Establish the Quarterly Options Series Pilot Program July 9, 2009. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the ‘‘Act’’),1 and Rule 19b-4 thereunder,2 notice is hereby given that on July 8, 2009, the International Securities Exchange, LLC (the ‘‘Exchange’’ or the ‘‘ISE’’) filed with the Securities and Exchange 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. mstockstill on DSKH9S0YB1PROD with NOTICES I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The ISE is proposing to make permanent its quarterly options series pilot program and make minor changes to conform the program to that of other exchanges. The text of the proposed rule change is available on the Exchange’s Web site https://www.ise.com, at the Exchange’s Office of the Secretary, and at the Commission. 15 17 CFR 200.30–3(a)(12). 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b-4. VerDate Nov<24>2008 19:20 Jul 16, 2009 Jkt 217001 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 these statements may be examined at the places specified in Item IV below. The self-regulatory organization has prepared summaries, set forth in sections A, B and C below, of the most significant aspects of such statements. A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The Exchange is proposing to make permanent an ISE pilot program to list options series that would expire at the close of business on the last business day of a calendar quarter (‘‘Quarterly Options Series Program’’). On May 2, 2006, the Exchange filed with the Securities and Exchange Commission (‘‘Commission’’) SR–ISE–2006–24 to establish the Quarterly Options Series Program that was subsequently approved by the Commission on July 7, 2006.3 Under the Quarterly Options Series Pilot Program, the Exchange is allowed to open up to five (5) currently listed options classes that are either index options or options on exchange traded funds (‘‘ETFs’’). The Exchange is also allowed to list Quarterly Options Series on any options class that is 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 next 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. 3 See Securities Exchange Act Release No. 54113 (July 7, 2006); 71 FR 39694 (July 13, 2006) (SR–ISE– 2006–24) (the ‘‘Quarterly Options Series Pilot Program Approval Order’’). The Quarterly Options Series Program has since been extended and is currently scheduled to expire on July 10, 2009. See Securities Exchange Act Release Nos. 56031 (July 9, 2007), 72 FR 38637 (July 13, 2007) (SR–ISE–2007– 53); 58019 (June 25, 2008), 73 FR 38014 (July 2, 2008) (SR–ISE–2008–49). PO 00000 Frm 00100 Fmt 4703 Sfmt 4703 34809 Quarterly Option Series in ETF Options If an ETF option is selected for participation in the Quarterly Options Series Program, the strike price of each Quarterly Option Series is fixed at a price per share, with at least two strike prices above and two strike prices below the approximate value of the underlying security at about the time the Quarterly Options Series is opened for trading on the Exchange. ISE shall list strikes prices for a Quarterly Option series that are within $5 from the closing price of the underlying on the preceding day. The Exchange may open for trading additional Quarterly Options Series of the same class when the Exchange deems is necessary to maintain an orderly market, to meet customer demand or when the market price of the underlying security 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 price of the underlying ETF (or ‘‘Exchange-Traded Fund Shares’’) as defined in Rule 502(h) on the preceding day.4 The Exchange may also open additional strike prices of Quarterly Option Series in ETF options that are more than 30% above or below the current price of the underlying ETF 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 shall not be considered when determining customer interest under this provision. The opening of the new Quarterly Options Series shall not affect the series of options of the same class previously opened. In addition to the initial listed series, the Exchange may list up to sixty (60) additional series per expiration month for each Quarterly Options Series in ETF options. The interval between strike prices on Quarterly Options Series shall be the same as the interval for strike prices for series in that same options class that expire in accordance with the normal monthly expiration cycle. The Exchange has adopted a delisting policy with respect to Quarterly Options Series in ETF options.5 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 4 See Securities Exchange Act Release No. 57425 (March 4, 2008), 73 FR 12783 (March 10, 2008) (SR– ISE–2008–19). 5 Id. E:\FR\FM\17JYN1.SGM 17JYN1

Agencies

[Federal Register Volume 74, Number 136 (Friday, July 17, 2009)]
[Notices]
[Pages 34806-34809]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E9-17002]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-60270; File No. SR-BX-2009-037]


Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of 
Filing and Immediate Effectiveness of Proposed Rule Change To Make 
Permanent the Quarterly Options Series Pilot Program on the Boston 
Options Exchange Facility

July 9, 2009.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\, and Rule 19b-4 \2\ thereunder, notice is hereby given 
that on July 9, 2009, NASDAQ OMX BX, Inc. (the ``Exchange'') filed with 
the Securities and Exchange Commission (``SEC'' or ``Commission'') the 
proposed rule change as described in Items I and II below, which Items 
have been prepared by the Exchange. The Exchange filed the proposed 
rule change pursuant to Section 19(b)(3)(A) of the Act,\3\ and Rule 
19b-4(f)(6) thereunder,\4\ which renders the proposal effective upon 
filing with the Commission. The Commission is publishing this notice to 
solicit comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A).
    \4\ 17 CFR 240.19b-4(f)(6).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to amend the Rules of the Boston Options 
Exchange Group, LLC (``BOX'') to make permanent its Quarterly Option 
Series pilot program (``QOS Program''). The text of the proposed rule 
change is available from the principal office of the Exchange, at the 
Commission's Public Reference Room and also on the Exchange's Internet 
Web site at https://nasdaqomxbx.cchwallstreet.com/NASDAQOMXBX/Filings/.

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

    In its filing with the Commission, Phlx 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. Phlx has prepared summaries, set forth in sections A, B, 
and C below, of the most significant aspects of such statements.

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

1. Purpose
    The Exchange is proposing to make the QOS Program permanent. On 
July 17, 2007, the Exchange filed with the Securities and Exchange 
Commission (``Commission'') SR-BSE-2007-36, which was effective on 
filing and established the QOS Program.\5\ The QOS

[[Page 34807]]

Program allows BOX to list and trade Quarterly Option Series, which 
expire at the close of business on the last business day or a calendar 
quarter. Under the QOS Program, BOX may select up to five (5) currently 
listed exchange traded fund (``ETF'') or index option classes on which 
Quarterly Option Series may be opened. In addition, BOX 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 next 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.
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    \5\ See Securities Exchange Act Release No. 56086 (July 17, 
2007), 72 FR 40182 (July 23, 2007) (SR-BSE-2007-36). The QOS Program 
has since been extended and is currently scheduled to expire on July 
10, 2009. See Securities Exchange Act Release No. 58131 (July 9, 
2008), 73 FR 41138 (July 17, 2008) (SR-BSE-2008-37) (Immediately 
effective rule change extending the QOS Program through July 10, 
2009).
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    Quarterly Option Series are P.M. settled.

Quarterly Option Series in ETF Options

    If an ETF option is selected for participation in the QOS Program, 
the strike price of each Quarterly Option Series is fixed at a price 
per share, with at least two strike prices above and two strike prices 
below the approximate value of the underlying security at about the 
time the Quarterly Options Series is opened for trading on the 
Exchange. BOX shall list strikes prices for a Quarterly Option series 
that are within $5 from the closing price of the underlying on the 
preceding day.
    The Exchange may open for trading additional Quarterly Options 
Series of the same class when the Exchange deems is necessary to 
maintain an orderly market, to meet customer demand or when the market 
price of the underlying security 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 price of the 
underlying ETF on the preceding day.\6\ The Exchange may also open 
additional strike prices of Quarterly Option Series in ETF options that 
are more than 30% above or below the current price of the underlying 
ETF 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 
shall not be considered when determining customer interest under this 
provision. The opening of the new Quarterly Options Series shall not 
affect the series of options of the same class previously opened. In 
addition to the initial listed series, the Exchange may list up to 
sixty (60) additional series per expiration month for each Quarterly 
Options Series in ETF options.
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    \6\ See Securities Exchange Act Release No. 57594 (April 1, 
2008), 73 FR 18828 (April 7, 2008) (SR-BSE-2008-17) (Amended QOS 
Program to permit the listing of additional Quarterly Option Series 
in ETF options).
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    The interval between strike prices on Quarterly Options Series 
shall be the same as the interval for strike prices for series in that 
same options class that expire in accordance with the normal monthly 
expiration cycle.
    The Exchange has adopted a delisting policy with respect to QOS in 
ETF options.\7\ 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 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.
---------------------------------------------------------------------------

    \7\ Id.
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    Notwithstanding the delisting policy, customer requests to add 
strikes and/or maintain strikes in QOS in ETF options in series 
eligible for delisting shall be granted.
    Further, in connection with the 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 QOS in ETF options.
    During the last quarter of 2008 (and for the new expiration month 
added after December Quarterly Option Series expiration), the Exchange 
was permitted to list up to one hundred (100) additional series per 
expiration month for each Quarterly Options Series in ETF options.\8\
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    \8\ See Securities Exchange Act Release No. 58996 (November 21, 
2008), 73 FR 72878 (December 1, 2008) (SR-BSE-2008-55) (temporary 
increase to the number of additional Quarterly Options Series in ETF 
options).
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Quarterly Option Series in Index Options

    If an index option is selected for participation in the QOS 
Program, the strike price of each Quarterly Option Series will be fixed 
at a price per share, with at least two, but no more than five, strike 
prices above and at least two, but no more than five, strike prices 
below the value of the underlying index at about the time that a 
Quarterly Options Series is opened for trading on the Exchange. The 
Exchange shall list strike prices for Quarterly Options Series that are 
reasonably related to the current index value of the underlying index 
to which such series relates at about the time such series of options 
is first opened for trading on the Exchange. The term ``reasonably 
related to the current index value of the underlying index'' means that 
the exercise price is within thirty percent (30%) of the current index 
value.
    The Exchange may open for trading additional Quarterly Options 
Series of the same class when the Exchange deems it necessary to 
maintain an orderly market, to meet customer demand or when the market 
price of the underlying security moves substantially from the initial 
exercise price or prices. The Exchange may also open for trading 
additional Quarterly Options Series that are more than thirty percent 
(30%) of the current index 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 shall not be considered when determining 
customer interest under this provision.
    The Exchange may open additional strike prices of a Quarterly 
Option Series that are above the value of the underlying index provided 
that the total number of strike prices above the value of the 
underlying index is no greater than five. The Exchange may open 
additional strike prices of a Quarterly Option Series that are below 
the value of the underlying index provided that the total number of 
strike prices below the value of the underlying index is no greater 
than five. The opening of any new Quarterly Option Series shall not 
affect the series of options of the same class previously 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

[[Page 34808]]

Receipts/SPDRs (SPY) options, iShares Russell 2000 Index Fund (IWM) 
options, PowerShares QQQ Trust (QQQQ) options and Energy Select SPDR 
(XLE) options. The Exchange believes the QOS Program has been 
successful and well received by BOX Participants and the investing 
public for the nearly two years that it has been in operation as a 
pilot on BOX.
    The Exchange is now proposing to make the QOS Program permanent. In 
support of approving the QOS Program on a permanent basis, BOX has 
submitted to the Commission Pilot Program Reports (``Reports'') 
detailing the Exchange's experience with the QOS Program. Specifically, 
the Reports contain data and written analysis regarding the five ETF 
option classes included in the QOS Program. The Reports have been 
submitted under separate cover with confidential treatment requested 
under the Freedom of Information Act.
    The Exchange believes there is sufficient investor interest and 
demand in the QOS Program to warrant its permanent approval. The 
Exchange believes that, for the nearly three [sic] years that it has 
been in operation in the options markets, the QOS Program has provided 
investors with additional means of managing their risk exposures and 
carrying out their investment objectives. Furthermore, the Exchange has 
not experienced any capacity-related problems with respect to Quarterly 
Option Series. The Exchange also represents that BOX has the necessary 
system capacity to continue to support the option series listed under 
the QOS Program.
    In seeking permanent approval, the Exchange is taking this 
opportunity to update the expiration examples provided in Supplementary 
Material .04 to Chapter IV, Section 6 and Supplementary Material .01 to 
Chapter XIV, Section 10. The revisions do not change the substance of 
the QOS Program.
2. Statutory Basis
    The Exchange believes that the proposal is consistent with the 
requirements of Section 6(b) of the Act,\9\ in general, and Section 
6(b)(5) of the Act,\10\ in particular, in that it is designed to foster 
cooperation and coordination with persons engaged in regulating, 
clearing, settling, processing information with respect to, and 
facilitating transactions in securities, to remove impediments to and 
perfect the mechanism for a free and open market and a national market 
system and, in general, to protect investors and the public interest. 
The Exchange believes that permanent approval of the QOS Program will 
result in an ongoing benefit to investors, and will continue to allow 
them additional means to manage their risk exposures and carry out 
their investment objectives.
---------------------------------------------------------------------------

    \9\ 15 U.S.C. 78f(b).
    \10\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
result in 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

    The Exchange has neither solicited nor received comments on the 
proposed rule change.

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

    Because the foregoing proposed rule change does not: (i) 
Significantly affect the protection of investors or the public 
interest; (ii) impose any significant burden on competition; and (iii) 
become operative for 30 days after the date of the filing, or such 
shorter time as the Commission may designate, if consistent with the 
protection of investors and the public interest, it has become 
effective pursuant to Section 19(b)(3)(A) of the Act \11\ and Rule 19b-
4(f)(6) thereunder.\12\
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    \11\ 15 U.S.C. 78s(b)(3)(A).
    \12\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6) 
requires a self-regulatory organization to give the Commission 
written notice of its intent to file the proposed rule change at 
least five business days prior to the date of filing of the proposed 
rule change, or such shorter time as designated by the Commission. 
The Exchange has satisfied this requirement.
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    The Exchange has requested that the Commission waive the 30-day 
operative delay so that the Exchange can permanently establish a 
Quarterly Options Series Program that is consistent with those of other 
options exchanges.\13\ In addition, the Commission notes that the 
Exchange's QOS Program currently is scheduled to expire on July 10, 
2009. The Commission therefore has determined that waiving the 30-day 
operative delay of the Exchange's proposal is consistent with the 
protection of investors and the public interest because such waiver 
will enable the Exchange to permanently establish the QOS program 
without disruption.\14\ Therefore, the Commission designates the 
proposal operative upon filing.
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    \13\ See Securities Exchange Act Release No. 60164 (June 23, 
2009), 74 FR 31333 (June 30, 2009) (SR-CBOE-2009-029) (approving the 
quarterly options series program on a permanent basis).
    \14\ For purposes only of waiving the 30-day operative delay, 
the Commission has considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
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    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 rule-comments@sec.gov. Please include 
File Number SR-BX-2009-037 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-BX-2009-037. 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

[[Page 34809]]

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-BX-
2009-037 and should be submitted on or before August 7, 2009.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\15\
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    \15\ 17 CFR 200.30-3(a)(12).
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Elizabeth M. Murphy,
Secretary.
[FR Doc. E9-17002 Filed 7-16-09; 8:45 am]
BILLING CODE 8010-01-P
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