Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and Immediate Effectiveness of Proposal To Permit $1 Strikes for RMN Options, 59592-59594 [E9-27606]
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Federal Register / Vol. 74, No. 221 / Wednesday, November 18, 2009 / Notices
investors purchasing newly issued
Shares prior to or concurrently with the
confirmation of a transaction; and (f)
trading information.
(4) The Fund will be in compliance
with Rule 10A–3 under the Act.18 This
approval order is based on the
Exchange’s representations.
For the foregoing reasons, the
Commission finds that the proposed
rule change is consistent with Section
6(b)(5) of the Act 19 and the rules and
regulations thereunder applicable to a
national securities exchange.
III. Conclusion
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act,20 that the
proposed rule change (SR–NYSEArca–
2009–83) be, and it hereby is, approved.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.21
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9–27604 Filed 11–17–09; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–60977; File No. SR–CBOE–
2009–086]
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Notice of Filing and
Immediate Effectiveness of Proposal
To Permit $1 Strikes for RMN Options
November 10, 2009.
mstockstill on DSKH9S0YB1PROD with NOTICES
Pursuant to Section 19(b)(1)1 of the
Securities Exchange Act of 1934 (the
‘‘Act’’) 2 and Rule 19b–4 thereunder,3
notice is hereby given that, on
November 6, 2009, the Chicago Board
Options Exchange, Incorporated
(‘‘Exchange’’ or ‘‘CBOE’’) 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 proposal as a ‘‘noncontroversial’’ proposed rule change
pursuant to Section 19(b)(3)(A)(iii) of
the Act 4 and Rule 19b–4(f)(6)
thereunder.5 The Commission is
publishing this notice to solicit
18 See
supra note 7.
U.S.C. 78f(b)(5).
20 15 U.S.C. 78s(b)(2).
21 17 CFR 200.30–3(a)(12).
1 15 U.S.C.78s(b)(1).
2 15 U.S.C. 78a.
3 17 CFR 240.19b–4.
4 15 U.S.C. 78s(b)(3)(A)(iii).
5 17 CFR 240.19b–4(f)(6).
19 15
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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
CBOE proposes to amend certain of its
rules to allow the Exchange to list
options on the Mini-Russell 2000 Index
(‘‘RMN’’ or ‘‘Mini-RUT’’), which is
based on 1/10th the value of the Russell
2000 Index, at $1 strike intervals. The
text of the rule proposal is available on
the Exchange’s Web site (https://
www.cboe.org/legal), at the Exchange’s
Office of the Secretary and at the
Commission.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
self-regulatory organization included
statements concerning the purpose of,
and basis for, the proposed rule change
and discussed any comments it received
on the proposed rule change. The text
of those statements may be examined at
the places specified in Item IV below.
The Exchange has prepared summaries,
set forth in sections A, B, and C below,
of the most significant parts of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
This proposed rule change is based on
a filing previously submitted by
NASDAQ OMX PHLX, Inc. (‘‘Phlx’’) that
was recently approved by the
Commission.6
The purpose of the proposed rule
change is to amend Rule 24.9, Terms of
Index Option Contracts, by adding a
new interpretation that would allow the
Exchange to list options on the RMN,
which is based on 1/10th the value of
the Russell 2000 Index, at $1 or greater
strike price intervals, if the strike price
is less than $200.7
Strike price intervals for index
options are set forth in Rules 5.5 and
24.9 at three levels: (1) Not less than
6 See Exchange Act Release No. 60840 (October
20, 2009), 74 FR 55593 (October 28, 2009) (SR–
Phlx–2009–77) (order approving proposal to permit
the listing of certain option series at $1 and $2.50
strike price intervals for strike prices below $200).
CBOE’s current filing is solely concerned with $1
strike intervals for Mini-RUT options, which was
the only multiply-listed option class addressed in
SR–Phlx–2009–77.
7 Currently, under Interpretation and Policy
.01(a)(xlix) to Rule 24.9, the Exchange has authority
to list Mini-RUT options at $2.50 strike price
intervals, if the strike price is less than $200.
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$5.00 generally, (2) not less than $2.50
for index classes specifically listed in
Rule 24.9.01(a), and (3) not less than $1
for certain other index classes set forth
in Rule 24.9.01 (e.g., 24.9.01(b) provides
for $0.50 strike price intervals for
options based on one-one hundredth the
value of the DJIA, 24.9.01(h) provides
for $1 strike price intervals for MiniNasdaq 100 Index (‘‘MNX’’ or ‘‘MiniNDX’’) options).
The Exchange now proposes that the
minimum strike price interval for RMN
options will be $1 or greater, if the strike
price is less than $200. The Exchange
believes that $1 strike price intervals in
this option series will provide investors
with greater flexibility by allowing them
to establish positions that are better
tailored to meet their investment
objectives.
For initial series, the Exchange would
list at least two strike prices above and
two strike prices below the current
value of the RMN at or about the time
a series is opened for trading on the
Exchange. As part of this initial listing,
the Exchange would list strike prices
that are within 5 points from the closing
value of the RMN on the preceding day.
As for additional series, the Exchange
would be permitted to add additional
series when the Exchange deems it
necessary to maintain an orderly
market, to meet customer demand or
when the underlying RMN moves
substantially from the initial exercise
price or prices. To the extent that any
additional strike prices are listed by the
Exchange, such additional strike prices
shall be within thirty percent (30%)
above or below the closing value of the
RMN. The Exchange would also be
permitted to open additional strike
prices that are more than 30% above or
below the current RMN value provided
that demonstrated customer interest
exists for such series, as expressed by
institutional, corporate or individual
customers or their brokers. MarketMakers trading for their own account
would not be considered when
determining customer interest. In
addition to the initial listed series, the
Exchange may list up to sixty (60)
additional series per expiration month
for each series in Mini-RUT options.
However, $1 strike price intervals may
be listed on Mini-RUT options only
where the strike price is below $200. In
addition, the Exchange proposes that it
shall not list LEAPS on Mini-RUT
options at intervals less than $2.50.
The Exchange is also proposing to set
forth a delisting policy with respect to
Mini-RUT options. Specifically, the
Exchange would, on a monthly basis,
review series that are outside a range of
five (5) strikes above and five (5) strikes
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Federal Register / Vol. 74, No. 221 / Wednesday, November 18, 2009 / Notices
below the current value of the RMN and
delist series with no open interest in
both the put and the call series having
a: (i) Strike higher than the highest
strike price with open interest in the put
and/or call series for a given expiration
month; and (ii) strike lower than the
lowest strike price with open interest in
the put and/or call series for a given
expiration month.
Notwithstanding the proposed
delisting policy, customer requests to
add strikes and/or maintain strikes in
Mini-RUT options in series eligible for
delisting shall be granted.
Further, in connection with the
proposed delisting policy, if the
Exchange identifies series for delisting,
the Exchange shall notify other options
exchanges with similar delisting
policies regarding eligible series for
listing, and shall work with such other
exchanges to develop a uniform list of
series to be delisted, so as to ensure
uniform series delisting of multiply
listed Mini-RUT options.
It is expected that the proposed
delisting policy for Mini-RUT options
will be adopted by other options
exchanges that list and trade Mini-RUT
options.
The Exchange also proposes to add
new Interpretation and Policy .16 to
Rule 5.5, Series of Option Contracts
Open for Trading, which would be an
internal cross reference stating that the
intervals between strike prices for MiniRUT option series would be determined
in accordance with proposed new
Interpretation and Policy .01(k) to Rule
24.9.
mstockstill on DSKH9S0YB1PROD with NOTICES
Technical Changes
The Exchange is proposing to make
some lettering and numbering changes
to the Interpretations and Policies to
Rules 5.5 and 24.9, which are being
amended substantively by this filing.
Specifically, the Exchange is proposing
to re-number existing Interpretation and
Policy .13 to Rule 5.5 as new
Interpretation and Policy .15. The
Exchange is proposing to make this
change because the Exchange has two
pending filings that have been formally
submitted which overlap with the
existing and proposed numbering to
Rule 5.5.8 Similarly, the Exchange is
proposing to re-letter existing
Interpretation and Policy .01(h) to Rule
8 See SR–CBOE–2009–022 (proposal to list and
trade S&P 500 Dividend Index options and
proposing to add new paragraph .13 to Rule 5.5 and
new paragraph (h) to Rule 24.9.01 for S&P 500
Dividend Index options), and SR–CBOE–2009–080
(proposal to list and trade options on Equity-Based
Volatility Index options and proposing to add new
paragraph .14 to Rule 5.5 and new paragraph (i) to
Rule 24.9.01 for Equity-Based Volatility Index
options).
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16:30 Nov 17, 2009
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24.9 as new Interpretations and Policy
.01(j). The Exchange is proposing to
make this change because the
previously referenced pending filings
also overlap with the existing and
proposed lettering to Rule 24.9.01.
Finally, the Exchange is proposing to
reduce the minimum strike price
intervals for LEAPS on Mini-NDX
options from $5 to $2.50 in order to
conform CBOE’s listing ability with
Phlx’s.9
2. Statutory Basis
The Exchange believes the proposed
rule change is consistent with the
Securities Exchange Act of 1934 (the
‘‘Act’’)10 and the rules and regulations
thereunder and, in particular, the
requirements of Section 6(b) of the
Act.11 Specifically, the Exchange
believes the proposed rule change is
consistent with the Section 6(b)(5)12
requirements that the rules of an
exchange be designed to promote just
and equitable principles of trade, to
prevent fraudulent and manipulative
acts, to remove impediments to and to
perfect the mechanism for a free and
open market and a national market
system, and, in general, to protect
investors and the public interest by
allowing the Exchange to list Mini-RUT
options at $1 strike price intervals.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will impose
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
No written comments were solicited
or received with respect to the proposed
rule change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Because the foregoing proposed rule
change: (i) Does not significantly affect
the protection of investors or the public
interest; (ii) does not impose any
significant burden on competition; and
(iii) by its terms, does not become
operative for 30 days from the date on
which it was filed, or such shorter time
9 See Commentary .02(c) to Phlx Rule 1101A,
Terms of Option Contracts, providing that LEAPS
on Mini-NDX options shall be listed at intervals not
less then $2.50.
10 15 U.S.C. 78s(b)(1).
11 15 U.S.C. 78f(b).
12 15 U.S.C. 78f(b)(5).
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59593
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 13 and Rule 19b–
4(f)(6) thereunder.14
The Exchange has requested that the
Commission waive the 30-day operative
delay and designate the proposed rule
change immediately operative, so that
the Exchange may, for competitive
reasons, list Mini-RUT options at the
same $1 strike price intervals currently
listed by Phlx. The Commission believes
such waiver is consistent with the
protection of investors and the public
interest.15 Accordingly, the Commission
designates the proposed rule change
operative upon filing with the
Commission.
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–CBOE–2009–086 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–CBOE–2009–086. This file
13 15
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(6). In addition, Rule 19b–
4(f)(6)(iii) requires the self-regulatory organization
to submit to the Commission written notice of its
intent to file the proposed rule change, along with
a brief description and text of the proposed rule
change, at least five business days prior to the date
of filing of the proposed rule change, or such
shorter time as designated by the Commission. The
Exchange has satisfied this requirement.
15 For purposes only of waiving the 30-day
operative delay of this proposal, the Commission
has considered the proposed rule’s impact on
efficiency, competition, and capital formation. See
15 U.S.C. 78c(f).
14 17
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Federal Register / Vol. 74, No. 221 / Wednesday, November 18, 2009 / Notices
number should be included on the
subject line if e-mail is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for inspection and copying in
the Commission’s Public Reference
Room on official business days between
the hours of 10 a.m. and 3 p.m. Copies
of such filing also will be available for
inspection and copying at the principal
office of the Exchange. All comments
received will be posted without change;
the Commission does not edit personal
identifying information from
submissions. You should submit only
information that you wish to make
available publicly. All submissions
should refer to File Number SR–CBOE–
2009–086 and should be submitted on
or before December 9, 2009.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.16
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9–27606 Filed 11–17–09; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–60981; File No. SR–
NYSEArca–2009–79]
Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing of
Amendment No. 1 and Order Granting
Accelerated Approval of a Proposed
Rule Change, as Modified by
Amendment No. 1 Thereto, Relating to
Listing of Five Fixed Income Funds of
the PIMCO ETF Trust
mstockstill on DSKH9S0YB1PROD with NOTICES
November 10, 2009.
On August 27, 2009, NYSE Arca, Inc.
(‘‘NYSE Arca’’ or ‘‘Exchange’’), through
its wholly owned subsidiary, NYSE
Arca Equities, Inc. (‘‘NYSE Arca
Equities’’), filed with the Securities and
Exchange Commission (‘‘Commission’’),
pursuant to Section 19(b)(1) of the
16 17
CFR 200.30–3(a)(12).
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16:30 Nov 17, 2009
Jkt 220001
Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 thereunder,2 a
proposed rule change to list and trade
shares (‘‘Shares’’) of the following funds
of the PIMCO ETF Trust (‘‘Trust’’) under
NYSE Arca Equities Rule 8.600
(Managed Fund Shares): PIMCO
Enhanced Short Maturity Strategy Fund;
PIMCO Government Limited Maturity
Strategy Fund; PIMCO Intermediate
Municipal Bond Strategy Fund; PIMCO
Prime Limited Maturity Strategy Fund;
and PIMCO Short Term Municipal Bond
Strategy Fund (each a ‘‘Fund’’ and,
collectively, the ‘‘Funds’’). The
proposed rule change was published in
the Federal Register on September 11,
2009.3 The Commission received no
comments on the proposal. On
November 10, 2009, the Exchange filed
Amendment No. 1 to the proposed rule
change.4 This order provides notice of
the filing of Amendment No. 1, and
approves the proposed rule change, as
modified by Amendment No. 1 thereto,
on an accelerated basis.
I. Description of the Proposal
The Exchange proposes to list and
trade the Shares pursuant to NYSE Arca
Equities Rule 8.600, which governs the
listing of Managed Fund Shares. Each of
the Funds will be an actively managed
exchange-traded fund. The Shares will
be offered by the Trust.5 Pacific
Investment Management Company LLC
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 See Securities Exchange Act Release No. 60619
(September 3, 2009), 74 FR 46820 (‘‘Notice’’).
4 Amendment No. 1 reflects the following changes
to the proposed rule change: (a) On November 3,
2009, the Trust filed a Registration Statement on
Form N–1A with the Commission (File Nos. 333–
155395 and 811–22250); (b) with respect to the
PIMCO Enhanced Short Maturity Strategy Fund,
such Fund will be restricted from investing in
derivative instruments such as options contracts,
futures contracts, options on futures contracts, and
swap agreements (including, but not limited to,
credit default swaps and swaps on exchange-traded
funds); and (c) the respective creation unit sizes for
the following Funds will be changed:
(i) PIMCO Enhanced Short Maturity Strategy
Fund creation unit size will be reduced to 70,000
shares from 100,000 shares;
(ii) PIMCO Government Limited Maturity
Strategy Fund creation unit size will be reduced to
90,000 shares from 100,000 shares; and
(iii) PIMCO Prime Limited Maturity Strategy
Fund creation unit size will be reduced to 90,000
shares from 100,000 shares.
The creation unit sizes for each of the PIMCO
Intermediate Municipal Bond Strategy Fund and
the PIMCO Short Term Municipal Bond Strategy
Fund will not change and will be 100,000 shares,
respectively.
5 The Trust is a Delaware statutory trust that is
registered under the Investment Company Act of
1940 (15 U.S.C. 80a) (‘‘1940 Act’’). See Registration
Statement on Form N–1A for the Trust filed with
the Commission on November 3, 2009 (File Nos.
333–155395 and 811–22250) (‘‘Registration
Statement’’).
2 17
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(‘‘PIMCO’’ or ‘‘Adviser’’) is the
investment adviser to each Fund.6 State
Street Bank & Trust Co. is the custodian
and transfer agent for the Funds. The
Trust’s Distributor is Allianz Global
Investors Distributors LLC
(‘‘Distributor’’), an indirect subsidiary of
Allianz Global Investors of America
L.P., PIMCO’s parent company. The
Distributor is a registered brokerdealer.7
The Exchange states that the Shares
will be subject to the initial and
continued listing criteria under NYSE
Arca Equities Rule 8.600 applicable to
Managed Fund Shares 8 and that the
Shares will comply with Rule 10A–3
6 The Exchange represents that the Adviser, as the
investment adviser of the Funds, and its related
personnel, are subject to Investment Advisers Act
Rule 204A–1. This Rule specifically requires the
adoption of a code of ethics by an investment
adviser to include, at a minimum: (i) Standards of
business conduct that reflect the firm’s/personnel
fiduciary obligations; (ii) provisions requiring
supervised persons to comply with applicable
federal securities laws; (iii) provisions that require
all access persons to report, and the firm to review,
their personal securities transactions and holdings
periodically as specifically set forth in Rule 204A–
1; (iv) provisions requiring supervised persons to
report any violations of the code of ethics promptly
to the chief compliance officer (‘‘CCO’’) or,
provided the CCO also receives reports of all
violations, to other persons designated in the code
of ethics; and (v) provisions requiring the
investment adviser to provide each of the
supervised persons with a copy of the code of ethics
with an acknowledgement by said supervised
persons. In addition, Rule 206(4)–7 under the
Advisers Act makes it unlawful for an investment
adviser to provide investment advice to clients
unless such investment adviser has (i) adopted and
implemented written policies and procedures
reasonably designed to prevent violation, by the
investment adviser and its supervised persons, of
the Advisers Act and the Commission rules adopted
thereunder; (ii) implemented, at a minimum, an
annual review regarding the adequacy of the
policies and procedures established pursuant to
subparagraph (i) above and the effectiveness of their
implementation; and (iii) designated an individual
(who is a supervised person) responsible for
administering the policies and procedures adopted
under subparagraph (i) above.
7 The Funds have made application for an order
granting certain exemptive relief to the Trust under
the 1940 Act. In compliance with Commentary .05
to NYSE Arca Equities Rule 8.600, which applies
to Managed Fund Shares based on an international
or global portfolio, the Trust’s application for
exemptive relief under the 1940 Act states that the
Funds will comply with the federal securities laws
in accepting securities for deposits and satisfying
redemptions with redemption securities, including
that the securities accepted for deposits and the
securities used to satisfy redemption requests are
sold in transactions that would be exempt from
registration under the Securities Act of 1933 (15
U.S.C. 77a).
8 The Exchange states that a minimum of 100,000
Shares will be outstanding at the commencement of
trading on the Exchange, and the Exchange will
obtain a representation from the issuer of the Shares
that the net asset value (‘‘NAV’’) per Share will be
calculated daily and that the NAV and the
Disclosed Portfolio will be made available to all
market participants at the same time. See Notice,
supra note 3.
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]]>Agencies
[Federal Register Volume 74, Number 221 (Wednesday, November 18, 2009)]
[Notices]
[Pages 59592-59594]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E9-27606]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-60977; File No. SR-CBOE-2009-086]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Notice of Filing and Immediate Effectiveness of Proposal
To Permit $1 Strikes for RMN Options
November 10, 2009.
Pursuant to Section 19(b)(1)\1\ of the Securities Exchange Act of
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby
given that, on November 6, 2009, the Chicago Board Options Exchange,
Incorporated (``Exchange'' or ``CBOE'') 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 proposal as a ``non-
controversial'' proposed rule change pursuant to Section
19(b)(3)(A)(iii) of the Act \4\ and Rule 19b-4(f)(6) thereunder.\5\ The
Commission is publishing this notice to solicit comments on the
proposed rule change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C.78s(b)(1).
\2\ 15 U.S.C. 78a.
\3\ 17 CFR 240.19b-4.
\4\ 15 U.S.C. 78s(b)(3)(A)(iii).
\5\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
CBOE proposes to amend certain of its rules to allow the Exchange
to list options on the Mini-Russell 2000 Index (``RMN'' or ``Mini-
RUT''), which is based on 1/10th the value of the Russell 2000 Index,
at $1 strike intervals. The text of the rule proposal is available on
the Exchange's Web site (https://www.cboe.org/legal), at the Exchange's
Office of the Secretary and at the Commission.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the self-regulatory organization
included statements concerning the purpose of, and basis for, the
proposed rule change and discussed any comments it received on the
proposed rule change. The text of those statements may be examined at
the places specified in Item IV below. The Exchange has prepared
summaries, set forth in sections A, B, and C below, of the most
significant parts of such statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
This proposed rule change is based on a filing previously submitted
by NASDAQ OMX PHLX, Inc. (``Phlx'') that was recently approved by the
Commission.\6\
---------------------------------------------------------------------------
\6\ See Exchange Act Release No. 60840 (October 20, 2009), 74 FR
55593 (October 28, 2009) (SR-Phlx-2009-77) (order approving proposal
to permit the listing of certain option series at $1 and $2.50
strike price intervals for strike prices below $200). CBOE's current
filing is solely concerned with $1 strike intervals for Mini-RUT
options, which was the only multiply-listed option class addressed
in SR-Phlx-2009-77.
---------------------------------------------------------------------------
The purpose of the proposed rule change is to amend Rule 24.9,
Terms of Index Option Contracts, by adding a new interpretation that
would allow the Exchange to list options on the RMN, which is based on
1/10th the value of the Russell 2000 Index, at $1 or greater strike
price intervals, if the strike price is less than $200.\7\
---------------------------------------------------------------------------
\7\ Currently, under Interpretation and Policy .01(a)(xlix) to
Rule 24.9, the Exchange has authority to list Mini-RUT options at
$2.50 strike price intervals, if the strike price is less than $200.
---------------------------------------------------------------------------
Strike price intervals for index options are set forth in Rules 5.5
and 24.9 at three levels: (1) Not less than $5.00 generally, (2) not
less than $2.50 for index classes specifically listed in Rule
24.9.01(a), and (3) not less than $1 for certain other index classes
set forth in Rule 24.9.01 (e.g., 24.9.01(b) provides for $0.50 strike
price intervals for options based on one-one hundredth the value of the
DJIA, 24.9.01(h) provides for $1 strike price intervals for Mini-Nasdaq
100 Index (``MNX'' or ``Mini-NDX'') options).
The Exchange now proposes that the minimum strike price interval
for RMN options will be $1 or greater, if the strike price is less than
$200. The Exchange believes that $1 strike price intervals in this
option series will provide investors with greater flexibility by
allowing them to establish positions that are better tailored to meet
their investment objectives.
For initial series, the Exchange would list at least two strike
prices above and two strike prices below the current value of the RMN
at or about the time a series is opened for trading on the Exchange. As
part of this initial listing, the Exchange would list strike prices
that are within 5 points from the closing value of the RMN on the
preceding day.
As for additional series, the Exchange would be permitted to add
additional series when the Exchange deems it necessary to maintain an
orderly market, to meet customer demand or when the underlying RMN
moves substantially from the initial exercise price or prices. To the
extent that any additional strike prices are listed by the Exchange,
such additional strike prices shall be within thirty percent (30%)
above or below the closing value of the RMN. The Exchange would also be
permitted to open additional strike prices that are more than 30% above
or below the current RMN value provided that demonstrated customer
interest exists for such series, as expressed by institutional,
corporate or individual customers or their brokers. Market-Makers
trading for their own account would not be considered when determining
customer interest. In addition to the initial listed series, the
Exchange may list up to sixty (60) additional series per expiration
month for each series in Mini-RUT options. However, $1 strike price
intervals may be listed on Mini-RUT options only where the strike price
is below $200. In addition, the Exchange proposes that it shall not
list LEAPS on Mini-RUT options at intervals less than $2.50.
The Exchange is also proposing to set forth a delisting policy with
respect to Mini-RUT options. Specifically, the Exchange would, on a
monthly basis, review series that are outside a range of five (5)
strikes above and five (5) strikes
[[Page 59593]]
below the current value of the RMN and delist series with no open
interest in both the put and the call series having a: (i) Strike
higher than the highest strike price with open interest in the put and/
or call series for a given expiration month; and (ii) strike lower than
the lowest strike price with open interest in the put and/or call
series for a given expiration month.
Notwithstanding the proposed delisting policy, customer requests to
add strikes and/or maintain strikes in Mini-RUT options in series
eligible for delisting shall be granted.
Further, in connection with the proposed delisting policy, if the
Exchange identifies series for delisting, the Exchange shall notify
other options exchanges with similar delisting policies regarding
eligible series for listing, and shall work with such other exchanges
to develop a uniform list of series to be delisted, so as to ensure
uniform series delisting of multiply listed Mini-RUT options.
It is expected that the proposed delisting policy for Mini-RUT
options will be adopted by other options exchanges that list and trade
Mini-RUT options.
The Exchange also proposes to add new Interpretation and Policy .16
to Rule 5.5, Series of Option Contracts Open for Trading, which would
be an internal cross reference stating that the intervals between
strike prices for Mini-RUT option series would be determined in
accordance with proposed new Interpretation and Policy .01(k) to Rule
24.9.
Technical Changes
The Exchange is proposing to make some lettering and numbering
changes to the Interpretations and Policies to Rules 5.5 and 24.9,
which are being amended substantively by this filing. Specifically, the
Exchange is proposing to re-number existing Interpretation and Policy
.13 to Rule 5.5 as new Interpretation and Policy .15. The Exchange is
proposing to make this change because the Exchange has two pending
filings that have been formally submitted which overlap with the
existing and proposed numbering to Rule 5.5.\8\ Similarly, the Exchange
is proposing to re-letter existing Interpretation and Policy .01(h) to
Rule 24.9 as new Interpretations and Policy .01(j). The Exchange is
proposing to make this change because the previously referenced pending
filings also overlap with the existing and proposed lettering to Rule
24.9.01.
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\8\ See SR-CBOE-2009-022 (proposal to list and trade S&P 500
Dividend Index options and proposing to add new paragraph .13 to
Rule 5.5 and new paragraph (h) to Rule 24.9.01 for S&P 500 Dividend
Index options), and SR-CBOE-2009-080 (proposal to list and trade
options on Equity-Based Volatility Index options and proposing to
add new paragraph .14 to Rule 5.5 and new paragraph (i) to Rule
24.9.01 for Equity-Based Volatility Index options).
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Finally, the Exchange is proposing to reduce the minimum strike
price intervals for LEAPS on Mini-NDX options from $5 to $2.50 in order
to conform CBOE's listing ability with Phlx's.\9\
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\9\ See Commentary .02(c) to Phlx Rule 1101A, Terms of Option
Contracts, providing that LEAPS on Mini-NDX options shall be listed
at intervals not less then $2.50.
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2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
the Securities Exchange Act of 1934 (the ``Act'')\10\ and the rules and
regulations thereunder and, in particular, the requirements of Section
6(b) of the Act.\11\ Specifically, the Exchange believes the proposed
rule change is consistent with the Section 6(b)(5)\12\ requirements
that the rules of an exchange be designed to promote just and equitable
principles of trade, to prevent fraudulent and manipulative acts, to
remove impediments to and to perfect the mechanism for a free and open
market and a national market system, and, in general, to protect
investors and the public interest by allowing the Exchange to list
Mini-RUT options at $1 strike price intervals.
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\10\ 15 U.S.C. 78s(b)(1).
\11\ 15 U.S.C. 78f(b).
\12\ 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
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
No written comments were solicited or received with respect to the
proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Because the foregoing proposed rule change: (i) Does not
significantly affect the protection of investors or the public
interest; (ii) does not impose any significant burden on competition;
and (iii) by its terms, does not become operative for 30 days from the
date on which it was filed, 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 \13\ and Rule 19b-4(f)(6) thereunder.\14\
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\13\ 15 U.S.C. 78s(b)(3)(A).
\14\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii)
requires the self-regulatory organization to submit to the
Commission written notice of its intent to file the proposed rule
change, along with a brief description and text of the proposed rule
change, at least five business days prior to the date of filing of
the proposed rule change, or such shorter time as designated by the
Commission. The Exchange has satisfied this requirement.
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The Exchange has requested that the Commission waive the 30-day
operative delay and designate the proposed rule change immediately
operative, so that the Exchange may, for competitive reasons, list
Mini-RUT options at the same $1 strike price intervals currently listed
by Phlx. The Commission believes such waiver is consistent with the
protection of investors and the public interest.\15\ Accordingly, the
Commission designates the proposed rule change operative upon filing
with the Commission.
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\15\ For purposes only of waiving the 30-day operative delay of
this proposal, 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-CBOE-2009-086 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-CBOE-2009-086. This file
[[Page 59594]]
number should be included on the subject line if e-mail is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet Web site (https://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all
written statements with respect to the proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for inspection and
copying in the Commission's Public Reference Room on official business
days between the hours of 10 a.m. and 3 p.m. Copies of such filing also
will be available for inspection and copying at the principal office of
the Exchange. All comments received will be posted without change; the
Commission does not edit personal identifying information from
submissions. You should submit only information that you wish to make
available publicly. All submissions should refer to File Number SR-
CBOE-2009-086 and should be submitted on or before December 9, 2009.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\16\
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\16\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9-27606 Filed 11-17-09; 8:45 am]
BILLING CODE 8011-01-P
