Self-Regulatory Organizations; NASDAQ OMX PHLX, Inc.; Order Granting Approval of Proposed Rule Change To Expand the Number of Components in the PHLX Semiconductor SectorSM, 16887-16888 [2010-7464]
Download as PDF
<![CDATA[
Federal Register / Vol. 75, No. 63 / Friday, April 2, 2010 / 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 Web site viewing and
printing in the Commission’s Public
Reference Room, 100 F Street, NE.,
Washington, DC 20549, on official
business days between the hours of 10
a.m. and 3 p.m. Copies of such filings
also will be available for inspection and
copying at the principal office of NSCC
and on NSCC’s Web site at https://
www.dtcc.com/downloads/legal/
rule_filings/2010/nscc/2010-04.pdf. 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–NSCC–2010–04 and should
be submitted on or before April 23,
2010.
For the Commission by the Division of
Trading and Markets, pursuant to delegated
authority.9
Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010–7465 Filed 4–1–10; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
mstockstill on DSKH9S0YB1PROD with NOTICES
[Release No. 34–61796; File No. SR–Phlx–
2010–20]
Self-Regulatory Organizations;
NASDAQ OMX PHLX, Inc.; Order
Granting Approval of Proposed Rule
Change To Expand the Number of
Components in the PHLX
Semiconductor SectorSM Known as
SOXSM, on Which Options are Listed
and Traded
March 29, 2010.
On February 2, 2010, NASDAQ OMX
PHLX, Inc. (‘‘Phlx’’ or ‘‘Exchange’’) filed
9 17
CFR 200.30–3(a)(12).
VerDate Nov<24>2008
16:40 Apr 01, 2010
Jkt 220001
with the Securities and Exchange
Commission (‘‘Commission’’) a proposed
rule change pursuant to Section 19(b)(1)
of the Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 2 thereunder to
expand the number of components in
the PHLX Semiconductor SectorSM
known as SOXSM, on which options are
listed and traded.3 The proposed rule
change was published for comment in
the Federal Register on February 25,
2010 for a 21-day comment period.4 The
Commission received no comment
letters regarding the proposal. This
order approves the proposed rule
change.
SOX is a modified market
capitalization-weighted index composed
of twenty-one companies primarily
involved in the design, distribution,
manufacture, and sale of
semiconductors, and is one of several
narrow-based sector indexes on which
options are listed and traded on the
Exchange. Options on the SOX index
are currently listed pursuant to
‘‘generic’’ initial listing and maintenance
standards in Phlx Rule 1009A for
narrow-based indexes.5 The Exchange
proposes to expand the number of
components in the SOX index to thirty.
The Exchange represents that the
expanded SOX index would continue to
meet all the index maintenance
requirements in subsection (c) of Rule
1009A applicable to options on narrowbased indexes, except subsection (c)(2),
which indicates that the total number of
component securities in the index may
not increase or decrease by more than
331⁄3% from the total number of
securities in the index at the time of its
initial listing.
After careful consideration, the
Commission finds that the proposed
rule change is consistent with the
requirements of the Act and the rules
and regulations thereunder applicable to
a national securities exchange 6 and, in
particular, the requirements of Section 6
of the Act.7 Specifically, the
Commission finds that the proposed
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 PHLX Semiconductor SectorSM may also be
known as PHLX Semiconductor Index or PHLX
Semiconductor SectorSM Index.
4 See Securities Exchange Act Release No. 61539
(February 18, 2010), 75 FR 8765 (‘‘Notice’’).
5 A narrow-based index or industry index is
defined as: An index designed to be representative
of a particular industry or a group of related
industries. The term ‘‘narrow-based index’’ includes
indices the constituents of which are all
headquartered within a single country. See Phlx
Rule 1000A(b)(12).
6 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).
7 15 U.S.C. 78f.
2 17
PO 00000
Frm 00169
Fmt 4703
Sfmt 4703
16887
rule change is consistent with Section
6(b)(5) of the Act,8 which requires,
among other things, that the rules of a
national securities exchange be
designed to prevent fraudulent and
manipulative acts and practices, to
promote just and equitable principles of
trade, to foster cooperation and
coordination with persons engaged in
facilitating transactions in securities,
and to remove impediments to and
perfect the mechanisms of a free and
open market and a national market
system.
Listing and Trading of Options on the
SOX Index
As set out more fully in the Notice,
Phlx has represented that options on an
expanded thirty-component SOX index
would continue to meet all of the initial
and maintenance generic index listing
standards contained in Sections (b) and
(c) of Phlx Rule 1009A except
subsection (c)(2) of Phlx Rule 1009A.
Subsection (c)(2) of Phlx Rule 1009A
only permits a maximum increase of
331⁄3% from the total number of
securities in the index at the time of its
initial listing, i.e., an increase to 28
components, whereas Phlx proposes an
increase to 30 components.
Additionally, the Exchange has
represented that no other changes are
being made to the SOX index as it
currently exists. Based on these
representations, the Commission
believes that the proposed expansion to
the SOX index is appropriate and that
Phlx should continue to be able to list
and trade options on the SOX index.
Surveillance
The Commission notes that the
Exchange has represented that it has an
adequate surveillance program in place
for options traded on the proposed
expanded SOX index and intends to
apply those same program procedures
that it applies to the Exchange’s current
SOX options and other index options.
Additionally, the Exchange is a member
of the Intermarket Surveillance Group
(‘‘ISG’’) under the Intermarket
Surveillance Group Agreement, dated
June 20, 1994.9 In addition, the major
futures exchanges are affiliated
members of the ISG, which allows for
the sharing of surveillance information
for potential intermarket trading abuses.
The Exchange also represented that it
has the necessary systems capacity to
continue to support listing and trading
8 15
U.S.C. 78f(b)(5).
list of the current members and affiliate
members of ISG can be found at https://
www.isgportal.com.
9A
E:\FR\FM\02APN1.SGM
02APN1
16888
Federal Register / Vol. 75, No. 63 / Friday, April 2, 2010 / Notices
SOX options. This order is based on
these representations.
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act,10 that the
proposed rule change (SR–Phlx–2010–
20) is hereby approved.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.11
Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010–7464 Filed 4–1–10; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–61785; File No. SR–CBOE–
2010–021]
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Notice of Proposed Rule
Change Relating to Correlated
Instrument Delta Hedge Exemption
March 25, 2010.
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 March 19,
2010, the Chicago Board Options
Exchange, Incorporated (‘‘Exchange’’ or
‘‘CBOE’’) 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 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
CBOE proposes to (i) expand the delta
hedging exemption available for equity
options position limits, (ii) amend the
reporting requirements applicable to
members relying on the delta hedging
exemption, and (iii) adopt a delta
hedging exemption from certain index
options position limits. 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.
10 15
U.S.C. 78s(b)(2).
CFR 200.30–3(a)(12).
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
11 17
VerDate Nov<24>2008
16:40 Apr 01, 2010
Jkt 220001
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
I. Expansion of Delta-Based Equity
Hedge Exemption
On December 14, 2007,3 the
Commission approved a proposed rule
change establishing an exemption from
equity options position and exercise
limits for positions held by CBOE
members, and certain of their affiliates,
that are ‘‘delta neutral’’ 4 under a
‘‘permitted pricing model’’ 5, subject to
certain conditions (‘‘Exemption’’).
The ‘‘options contract equivalent of
the net delta’’ of a hedged equity option
position is subject to the position limits
under Rule 4.11, subject to the
availability of other exemptions.6
Currently, the Exemption only is
available for securities that directly
underlie the applicable option position.
This means that with respect to options
on exchange-traded funds (‘‘ETF
3 See Securities Exchange Act Release No. 56970
(December 14, 2007), 72 FR 72428 (December 20,
2007). The exemption was extended to certain
customers whose accounts are carried by a member.
See Securities Exchange Act Release No. 60555
(August 21, 2009), 74 FR 43741 (August 27, 2009).
4 The term ‘‘delta neutral’’ is defined in Rule
4.11.04(c)(A) as referring to an equity option
position that is hedged, in accordance with a
permitted pricing model, by a position in the
underlying security or one or more instruments
relating to the underlying security, for the purpose
of offsetting the risk that the value of the option
position will change with incremental changes in
the price of the security underlying the option
position.
5 Permitted pricing model is defined in Rule
4.11.04(c)(C).
6 The term ‘‘options contract equivalent of the net
delta’’ is defined in Rule 4.11.04(c)(B) as the net
delta divided by the number of shares underlying
the option contract. The term ‘‘net delta’’ is defined
in the same rule to mean, at any time, the number
of shares (either long or short) required to offset the
risk that the value of an equity option position will
change with incremental changes in the price of the
security underlying the option position, as
determined in accordance with a permitted pricing
model.
PO 00000
Frm 00170
Fmt 4703
Sfmt 4703
options’’), index options overlying the
same index on which the ETF is based
currently cannot be combined with the
ETF options to calculate a net delta for
purposes of the Exemption.
Many ETF options overlie exchangetraded funds that track the performance
of an index. For example, options on
Standard & Poor’s Depositary Receipts
(‘‘SPY’’) track the performance of the
S&P 500 index. Market participants
often hedge SPY options with options
on the S&P 500 Index (‘‘SPX options’’) or
with other financial instruments based
on the S&P 500 Index for risk
management purposes. The Exchange
believes that in order for eligible market
participants to more fully benefit from
the Exemption as it relates to ETF
options, securities and other
instruments that are based on the same
underlying ETF or the same index on
which the ETF is based should also be
included in any determination of an
ETF option position’s net delta or
whether the options position is hedged
delta neutral.7
Accordingly, the Exchange proposes
to expand the Exemption by amending
Rule 4.11.04(c)(A) to permit equity
option positions for which the
underlying security is an ETF that is
based on the same index as an index
option to be combined with an index
option position for calculation of the
delta-based equity hedge exemption.
The proposed rule would allow
financial products such as securities
index options, index futures, and
options on index futures to be included
along with the ETF in an equity option’s
net delta calculation. So for example,
the proposed rule would allow SPY
options to be hedged not only with SPY
shares, but with S&P 500 options, S&P
500 futures, options on S&P 500 futures
or any other instrument that tracks the
performance of or is based on the S&P
500 index. This would be accomplished
by including such positions with a
related index option position in
accordance with the Delta-Based Index
Hedge Exemption rule proposed below.
Index options and equity options (i.e.,
ETF options) that are eligible to be
combined for computing a delta-based
hedge exemption, along with all
securities and/or other instruments that
are based on or track the performance of
the same underlying security or index,
will be grouped and the net delta and
options contract equivalent of the net
delta will be calculated for each
respective option class based on offsets
realized from the grouping as a whole.
7 However, this would not include baskets of
securities for purposes of the Exemption.
E:\FR\FM\02APN1.SGM
02APN1
]]>Agencies
[Federal Register Volume 75, Number 63 (Friday, April 2, 2010)]
[Notices]
[Pages 16887-16888]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2010-7464]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-61796; File No. SR-Phlx-2010-20]
Self-Regulatory Organizations; NASDAQ OMX PHLX, Inc.; Order
Granting Approval of Proposed Rule Change To Expand the Number of
Components in the PHLX Semiconductor SectorSM Known as
SOXSM, on Which Options are Listed and Traded
March 29, 2010.
On February 2, 2010, NASDAQ OMX PHLX, Inc. (``Phlx'' or
``Exchange'') filed with the Securities and Exchange Commission
(``Commission'') a proposed rule change pursuant to Section 19(b)(1) of
the Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 \2\
thereunder to expand the number of components in the PHLX Semiconductor
Sector\SM\ known as SOX\SM\, on which options are listed and traded.\3\
The proposed rule change was published for comment in the Federal
Register on February 25, 2010 for a 21-day comment period.\4\ The
Commission received no comment letters regarding the proposal. This
order approves the proposed rule change.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ PHLX Semiconductor Sector\SM\ may also be known as PHLX
Semiconductor Index or PHLX Semiconductor Sector\SM\ Index.
\4\ See Securities Exchange Act Release No. 61539 (February 18,
2010), 75 FR 8765 (``Notice'').
---------------------------------------------------------------------------
SOX is a modified market capitalization-weighted index composed of
twenty-one companies primarily involved in the design, distribution,
manufacture, and sale of semiconductors, and is one of several narrow-
based sector indexes on which options are listed and traded on the
Exchange. Options on the SOX index are currently listed pursuant to
``generic'' initial listing and maintenance standards in Phlx Rule
1009A for narrow-based indexes.\5\ The Exchange proposes to expand the
number of components in the SOX index to thirty. The Exchange
represents that the expanded SOX index would continue to meet all the
index maintenance requirements in subsection (c) of Rule 1009A
applicable to options on narrow-based indexes, except subsection
(c)(2), which indicates that the total number of component securities
in the index may not increase or decrease by more than 33\1/3\% from
the total number of securities in the index at the time of its initial
listing.
---------------------------------------------------------------------------
\5\ A narrow-based index or industry index is defined as: An
index designed to be representative of a particular industry or a
group of related industries. The term ``narrow-based index''
includes indices the constituents of which are all headquartered
within a single country. See Phlx Rule 1000A(b)(12).
---------------------------------------------------------------------------
After careful consideration, the Commission finds that the proposed
rule change is consistent with the requirements of the Act and the
rules and regulations thereunder applicable to a national securities
exchange \6\ and, in particular, the requirements of Section 6 of the
Act.\7\ Specifically, the Commission finds that the proposed rule
change is consistent with Section 6(b)(5) of the Act,\8\ which
requires, among other things, that the rules of a national securities
exchange be designed to prevent fraudulent and manipulative acts and
practices, to promote just and equitable principles of trade, to foster
cooperation and coordination with persons engaged in facilitating
transactions in securities, and to remove impediments to and perfect
the mechanisms of a free and open market and a national market system.
---------------------------------------------------------------------------
\6\ 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).
\7\ 15 U.S.C. 78f.
\8\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
Listing and Trading of Options on the SOX Index
As set out more fully in the Notice, Phlx has represented that
options on an expanded thirty-component SOX index would continue to
meet all of the initial and maintenance generic index listing standards
contained in Sections (b) and (c) of Phlx Rule 1009A except subsection
(c)(2) of Phlx Rule 1009A. Subsection (c)(2) of Phlx Rule 1009A only
permits a maximum increase of 33\1/3\% from the total number of
securities in the index at the time of its initial listing, i.e., an
increase to 28 components, whereas Phlx proposes an increase to 30
components. Additionally, the Exchange has represented that no other
changes are being made to the SOX index as it currently exists. Based
on these representations, the Commission believes that the proposed
expansion to the SOX index is appropriate and that Phlx should continue
to be able to list and trade options on the SOX index.
Surveillance
The Commission notes that the Exchange has represented that it has
an adequate surveillance program in place for options traded on the
proposed expanded SOX index and intends to apply those same program
procedures that it applies to the Exchange's current SOX options and
other index options. Additionally, the Exchange is a member of the
Intermarket Surveillance Group (``ISG'') under the Intermarket
Surveillance Group Agreement, dated June 20, 1994.\9\ In addition, the
major futures exchanges are affiliated members of the ISG, which allows
for the sharing of surveillance information for potential intermarket
trading abuses. The Exchange also represented that it has the necessary
systems capacity to continue to support listing and trading
[[Page 16888]]
SOX options. This order is based on these representations.
---------------------------------------------------------------------------
\9\ A list of the current members and affiliate members of ISG
can be found at https://www.isgportal.com.
---------------------------------------------------------------------------
It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\10\ that the proposed rule change (SR-Phlx-2010-20) is hereby
approved.
---------------------------------------------------------------------------
\10\ 15 U.S.C. 78s(b)(2).
\11\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\11\
Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010-7464 Filed 4-1-10; 8:45 am]
BILLING CODE 8011-01-P
