Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Trade Options on S&P 500 Annual Dividend Index With an Applied Scaling Factor of 1, 25899-25901 [2010-10956]
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Federal Register / Vol. 75, No. 89 / Monday, May 10, 2010 / Notices
Traders (‘‘RSQTs’’); 7 (ii) customers; 8 (iii)
specialists, SQTs and RSQTs that
receive Directed Orders (‘‘Directed
Participants’’ 9 or ‘‘Directed Specialists,
RSQTs, or SQTs’’ 10); (iv) Firms; (v)
broker-dealers; and (vi) Professionals.11
The current per-contract transaction
charge depends on the category of
market participant submitting an order
or quote to the Exchange that removes
liquidity.
The Exchange also currently assesses
a per-contract rebate of transaction
charges for orders or quotations that add
liquidity in the select Symbols. The
amount of the rebate depends on the
category of participant whose order or
quote was executed as part of the Phlx
Best Bid and Offer.
The Exchange proposes to add the
five additional options to the list of
select Symbols and apply the applicable
fees and rebates to these options.
While changes to the Fee Schedule
pursuant to this proposal are effective
upon filing, the Exchange has
designated these changes to be operative
for transactions settling on or after May
3, 2010.
2. Statutory Basis
jlentini on DSKJ8SOYB1PROD with NOTICES
The Exchange believes that its
proposal to amend its Fee Schedule is
consistent with Section 6(b) of the Act 12
in general, and furthers the objectives of
Section 6(b)(4) of the Act 13 in
particular, in that it is an equitable
allocation of reasonable fees and other
charges among Exchange members. The
Exchange believes that the addition of
the options to the rebates for adding and
7 An RSQT is an ROT that is a member or member
organization with no physical trading floor
presence who has received permission from the
Exchange to generate and submit option quotations
electronically through AUTOM in eligible options
to which such RSQT has been assigned. An RSQT
may only submit such quotations electronically
from off the floor of the Exchange. See Exchange
Rule 1014(b)(ii)(B).
8 This applies to all customer orders, directed and
non-directed.
9 For purposes of the fees and rebates related to
adding and removing liquidity, a Directed
Participant is a Specialist, SQT, or RSQT that
executes a customer order that is directed to them
by an Order Flow Provider and is executed
electronically on PHLX XL II.
10 See Exchange Rule 1080(l), ‘‘* * * The term
‘Directed Specialist, RSQT, or SQT’ means a
specialist, RSQT, or SQT that receives a Directed
Order.’’ A Directed Participant has a higher quoting
requirement as compared with a specialist, SQT or
RSQT who is not acting as a Directed Participant.
See Exchange Rule 1014.
11 The Exchange defines a ‘‘professional’’ as any
person or entity that (i) is not a broker or dealer in
securities, and (ii) places more than 390 orders in
listed options per day on average during a calendar
month for its own beneficial account(s) (hereinafter
‘‘Professional’’).
12 15 U.S.C. 78f(b).
13 15 U.S.C. 78f(b)(4).
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17:18 May 07, 2010
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fees for removing liquidity is reasonable
and equitable in that it will apply to all
categories of participants in the same
manner.
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 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 either
solicited or received.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
The foregoing rule change has become
effective pursuant to Section
19(b)(3)(A)(ii) of the Act 14 and
paragraph (f)(2) of Rule 19b–4 15
thereunder. 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:
25899
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 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
publicly available. All submissions
should refer to File Number SR–Phlx–
2010–64 and should be submitted on or
before June 1, 2010.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.16
Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010–10961 Filed 5–7–10; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
Electronic Comments
[Release No. 34–62023; File No. SR–CBOE–
2010–039]
• 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–Phlx–2010–64 on the
subject line.
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change To Trade Options on S&P
500 Annual Dividend Index With an
Applied Scaling Factor of 1
Paper Comments
May 3, 2010.
• Send paper comments in triplicate
to Secretary, Securities and Exchange
Commission, Station Place, 100 F Street,
NE., Washington, DC 20549–1090.
All submissions should refer to File
Number SR–Phlx–2010–64. 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
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 April 28,
2010, the Chicago Board Options
Exchange, Incorporated (‘‘Exchange’’ or
‘‘CBOE’’) filed with the Securities and
Exchange Commission (‘‘Commission’’)
the proposed rule change as described
16 17
14 15
U.S.C. 78s(b)(3)(A)(ii).
15 17 CFR 240.19b–4(f)(2).
PO 00000
Frm 00071
Fmt 4703
Sfmt 4703
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
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25900
Federal Register / Vol. 75, No. 89 / Monday, May 10, 2010 / Notices
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 3 and Rule
19b–4(f)(6) thereunder.4 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 the Substance
of the Proposed Rule Change
CBOE proposes to trade options on
the S&P 500 Annual Dividend Index
with an applied scaling factor of 1. The
Exchange is not proposing any rule text
changes. 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’s Public Reference Room.
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
Exchange 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
Exchange 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 Securities and Exchange
Commission previously approved
CBOE’s proposed rule change, as
modified Amendment No. 1, to list and
trade cash-settled options that overlie
the S&P 500 Dividend Index.5 In the
3 15
U.S.C. 78s(b)(3)(A)(iii).
CFR 240.19b–4(f)(6).
5 See Securities Exchange Act Release No. 61136
(December 10, 2009), 74 FR 66711 (December 16,
2009) (SR–CBOE–2009–022). The S&P 500
Dividend Index represents the accumulated exdividend amounts of all S&P 500 Index component
securities over a specified accrual period. Each day
Standard & Poor’s calculates the aggregate daily
dividend totals for the S&P 500 Index component
securities, which are summed over any given
calendar quarter and are the basis of the S&P 500
Dividend index. On any given day, the index
dividend is calculated as the total dividend value
for all constituents of the S&P 500 Index divided
by the S&P 500 Index divisor. The total dividend
value is calculated as the sum of dividends per
share multiplied by the shares outstanding for all
jlentini on DSKJ8SOYB1PROD with NOTICES
4 17
VerDate Mar<15>2010
17:18 May 07, 2010
Jkt 220001
filing, the Exchange stated that the S&P
500 Dividend Index is reported in
absolute numbers (e.g., 3, 5, 7) and that
the Exchange would apply a scaling
factor of 10 to the underlying index. The
Exchange proposed the use of the
scaling factor in the original filing
because it was premised on the S&P 500
Dividend Index representing the
accumulated ex-dividend amounts of all
S&P 500 Index components over a
specified quarterly accrual period. The
use of a scaling factor was intended to
increase the size of the underlying index
value because it was expected to be a
relatively low value.
In Amendment No. 1, the Exchange
proposed to permit varying terms for the
accrual period (e.g., quarterly, semiannually, annually). To date, the
Exchange has only designated a
quarterly accrual period for S&P 500
Dividend Index options. Beginning May
25, 2010, the Exchange plans to list
options on the S&P 500 Annual
Dividend Index, an index with a
designated annual accrual period.6 The
Exchange plans to list options with a
single expiration for each year (e.g., Dec.
2010, Dec. 2011).7 In the recent past, the
final index value (at expiration) has
ranged from the low 20s up to the upper
20s. The final value on December 18,
2009 was 22.81. Because the duration of
an annual accrual period results in the
underlying index value being higher
than for lesser duration accrual periods,
the Exchange proposes to apply a
scaling factor of 1 to the underlying
annual index. During each business day,
CBOE will disseminate the underlying
S&P 500 Annual Dividend Index value
with the applied scaling factor of 1
through the Options Price Reporting
Authority (‘‘OPRA’’) and/or one or more
major market data vendors.
The use of a scaling factor of 10 was
described in the purpose section of the
filing and in the contract specifications
that were submitted as Exhibit 3;
therefore, the Exchange is not proposing
any new or revised rule text to affect
this change. Exhibit 3 presents revised
contract specifications for S&P 500
Annual Dividend Index options.
2. Statutory Basis
The Exchange believes this rule
proposal is consistent with the Act and
the rules and regulations under the Act
constituents of the S&P 500 Index that are trading
‘‘ex-dividend’’ on that day.
6 The Exchange will assign separate trading
symbols to options overlying an index with a
designated annual accrual period to distinguish
them from options overlying an index with a
designated quarterly accrual period.
7 Standard & Poor’s has created and now
calculates the S&P 500 Annual Dividend Index.
PO 00000
Frm 00072
Fmt 4703
Sfmt 4703
applicable to a national securities
exchange and, in particular, the
requirements of Section 6(b) of the Act.8
Specifically, the Exchange believes that
the proposed rule change is consistent
with the Section 6(b)(5) Act 9
requirements that the rules of an
exchange be designed to promote just
and equitable principles of trade, to
prevent fraudulent and manipulative
acts and, in general, to protect investors
and the public interest. In particular, the
proposed rule change seeks to permit
the Exchange to apply a scaling factor of
1 to options on the S&P 500 Annual
Dividend Index, an index with a
designated annual accrual period, since
the duration of an annual accrual period
results in the underlying index value
being higher than for lesser duration
accrual periods.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
CBOE does not believe that the
proposed rule change will impose any
burden on competition 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 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) does not 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, the proposed rule change has
become effective pursuant to Section
19(b)(3)(A) of the Act 10 and Rule 19b–
4(f)(6) thereunder.11
A proposed rule change filed
pursuant to Rule 19b–4(f)(6) under the
8 15
U.S.C. 78f(b).
U.S.C. 78f(b)(5).
10 15 U.S.C. 78s(b)(3)(A).
11 17 CFR 240.19b–4(f)(6). Pursuant to Rule 19b–
4(f)(6)(iii) under the Act, the Exchange is required
to give 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.
9 15
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Federal Register / Vol. 75, No. 89 / Monday, May 10, 2010 / Notices
Act 12 normally does not become
operative for 30 days after the date of its
filing. However, Rule 19b–4(f)(6)(iii) 13
permits the Commission to designate a
shorter time if such action is consistent
with the protection of investors and the
public interest. The Exchange has
requested that the Commission waive
the 30-day operative delay to allow the
Exchange to begin listing options
overlying the S&P 500 Annual Dividend
Index beginning on Tuesday, May 25,
2010.
The Commission believes that
acceleration of the operative date is
consistent with the protection of
investors and the public interest
because the Commission has previously
considered and approved the listing of
options on the S&P 500 Annual
Dividend Index and the current
proposal raises no new regulatory
issues. Acceleration of the operative
date will allow the Exchange to list
options on the S&P 500 Annual
Dividend Index on May 25, 2010,
thereby providing investors with an
additional investment tool and greater
flexibility in meeting their investment
objectives without delay. For these
reasons, the Commission designates that
the proposed rule change become
operative on May 25, 2010.14
At any time within 60 days of the
filing of the proposed rule change, the
Commission may summarily abrogate
the 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
Paper Comments
• Send paper comments in triplicate
to Elizabeth M. Murphy, Secretary,
Securities and Exchange Commission,
100 F Street, NE., Washington, DC
20549–1090.
All submissions should refer to File No.
SR–CBOE–2010–039. 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 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 filing
also will be available for inspection and
copying at the principal office of the
CBOE. All comments received will be
posted without change; the Commission
does not edit personal identifying
information from submissions. You
should submit only information that
you wish to make available publicly. All
submissions should refer to File No.
SR–CBOE–2010–039 and should be
submitted on or before June 1, 2010.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.15
Florence E. Harmon,
Deputy Secretary.
Electronic Comments
jlentini on DSKJ8SOYB1PROD with NOTICES
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:
[FR Doc. 2010–10956 Filed 5–7–10; 8:45 am]
• 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
No. SR–CBOE–2010–039 on the subject
line.
BILLING CODE 8010–01–P
CFR 240.19b–4(f)(6).
CFR 240.19b–4(f)(6)(iii).
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. 15 U.S.C. 78c(f).
17:18 May 07, 2010
Jkt 220001
[Release No. 34–62014; File No. SR–
NYSEAMEX–2010–26]
Self-Regulatory Organizations; NYSE
Amex LLC; Order Approving a
Proposed Rule Change Deleting Rule
446—NYSE Amex Equities and
Adopting New Rule 4370—NYSE Amex
Equities To Correspond With Rule
Changes Filed by the Financial
Industry Regulatory Authority, Inc.
April 30, 2010.
I. Introduction
On March 11, 2010, NYSE Amex LLC
(‘‘NYSE Amex’’ or ‘‘Exchange’’) filed with
the Securities and Exchange
Commission (‘‘Commission’’) pursuant
to Section 19(b)(1) 1 of the Securities
Exchange Act of 1934 (the ‘‘Act’’) 2 and
Rule 19b–4 thereunder,3 a proposed rule
change to delete Rule 446—NYSE Amex
Equities and adopt new Rule 4370—
NYSE Amex Equities to correspond
with rule changes filed by the Financial
Industry Regulatory Authority, Inc.
(‘‘FINRA’’) and approved by the
Commission.4 The proposed rule change
was published for comment in the
Federal Register on March 26, 2009.5
The Commission received no comments
regarding the proposal. This order
approves the proposed rule change.
II. Description of the Proposal
The Exchange proposes to delete Rule
446—NYSE Amex Equities and adopt
new Rule 4370—NYSE Amex Equities
to correspond with rule changes filed by
the Financial Industry Regulatory
Authority, Inc. (‘‘FINRA’’) and approved
by the Commission.6
III. Background
On July 30, 2007, FINRA’s
predecessor, the National Association of
Securities Dealers, Inc. (‘‘NASD’’), and
NYSE Regulation, Inc. (‘‘NYSER’’)
consolidated their member firm
regulation operations into a combined
organization, FINRA. Pursuant to Rule
17d–2 under the Act, the New York
Stock Exchange LLC (‘‘NYSE’’), NYSER
and FINRA entered into an agreement
(‘‘Agreement’’) to reduce regulatory
duplication for their members by
U.S.C.78s(b)(1).
U.S.C. 78a.
3 17 CFR 240.19b–4.
4 See Securities Exchange Act Release No. 60534
(August 19, 2009), 74 FR 44410 (August 28, 2009)
(order approving SR–FINRA–2009–036) (‘‘Release
No. 34–60534’’).
5 See Securities Exchange Act Release No. 61744
(March 19, 2010), 75 FR 14648.
6 See Release No. 34–60534, supra note 4.
2 15
13 17
VerDate Mar<15>2010
SECURITIES AND EXCHANGE
COMMISSION
1 15
12 17
15 17
PO 00000
CFR 200.30–3(a)(12).
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25901
E:\FR\FM\10MYN1.SGM
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]]>Agencies
[Federal Register Volume 75, Number 89 (Monday, May 10, 2010)]
[Notices]
[Pages 25899-25901]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2010-10956]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-62023; File No. SR-CBOE-2010-039]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Notice of Filing and Immediate Effectiveness of Proposed
Rule Change To Trade Options on S&P 500 Annual Dividend Index With an
Applied Scaling Factor of 1
May 3, 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 April 28, 2010, the Chicago Board Options Exchange, Incorporated
(``Exchange'' or ``CBOE'') filed with the Securities and Exchange
Commission (``Commission'') the proposed rule change as described
[[Page 25900]]
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
\3\ and Rule 19b-4(f)(6) thereunder.\4\ 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\ 17 CFR 240.19b-4.
\3\ 15 U.S.C. 78s(b)(3)(A)(iii).
\4\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of the
Substance of the Proposed Rule Change
CBOE proposes to trade options on the S&P 500 Annual Dividend Index
with an applied scaling factor of 1. The Exchange is not proposing any
rule text changes. 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's Public Reference Room.
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 Exchange 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 Exchange 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 Securities and Exchange Commission previously approved CBOE's
proposed rule change, as modified Amendment No. 1, to list and trade
cash-settled options that overlie the S&P 500 Dividend Index.\5\ In the
filing, the Exchange stated that the S&P 500 Dividend Index is reported
in absolute numbers (e.g., 3, 5, 7) and that the Exchange would apply a
scaling factor of 10 to the underlying index. The Exchange proposed the
use of the scaling factor in the original filing because it was
premised on the S&P 500 Dividend Index representing the accumulated ex-
dividend amounts of all S&P 500 Index components over a specified
quarterly accrual period. The use of a scaling factor was intended to
increase the size of the underlying index value because it was expected
to be a relatively low value.
---------------------------------------------------------------------------
\5\ See Securities Exchange Act Release No. 61136 (December 10,
2009), 74 FR 66711 (December 16, 2009) (SR-CBOE-2009-022). The S&P
500 Dividend Index represents the accumulated ex-dividend amounts of
all S&P 500 Index component securities over a specified accrual
period. Each day Standard & Poor's calculates the aggregate daily
dividend totals for the S&P 500 Index component securities, which
are summed over any given calendar quarter and are the basis of the
S&P 500 Dividend index. On any given day, the index dividend is
calculated as the total dividend value for all constituents of the
S&P 500 Index divided by the S&P 500 Index divisor. The total
dividend value is calculated as the sum of dividends per share
multiplied by the shares outstanding for all constituents of the S&P
500 Index that are trading ``ex-dividend'' on that day.
---------------------------------------------------------------------------
In Amendment No. 1, the Exchange proposed to permit varying terms
for the accrual period (e.g., quarterly, semi-annually, annually). To
date, the Exchange has only designated a quarterly accrual period for
S&P 500 Dividend Index options. Beginning May 25, 2010, the Exchange
plans to list options on the S&P 500 Annual Dividend Index, an index
with a designated annual accrual period.\6\ The Exchange plans to list
options with a single expiration for each year (e.g., Dec. 2010, Dec.
2011).\7\ In the recent past, the final index value (at expiration) has
ranged from the low 20s up to the upper 20s. The final value on
December 18, 2009 was 22.81. Because the duration of an annual accrual
period results in the underlying index value being higher than for
lesser duration accrual periods, the Exchange proposes to apply a
scaling factor of 1 to the underlying annual index. During each
business day, CBOE will disseminate the underlying S&P 500 Annual
Dividend Index value with the applied scaling factor of 1 through the
Options Price Reporting Authority (``OPRA'') and/or one or more major
market data vendors.
---------------------------------------------------------------------------
\6\ The Exchange will assign separate trading symbols to options
overlying an index with a designated annual accrual period to
distinguish them from options overlying an index with a designated
quarterly accrual period.
\7\ Standard & Poor's has created and now calculates the S&P 500
Annual Dividend Index.
---------------------------------------------------------------------------
The use of a scaling factor of 10 was described in the purpose
section of the filing and in the contract specifications that were
submitted as Exhibit 3; therefore, the Exchange is not proposing any
new or revised rule text to affect this change. Exhibit 3 presents
revised contract specifications for S&P 500 Annual Dividend Index
options.
2. Statutory Basis
The Exchange believes this rule proposal is consistent with the Act
and the rules and regulations under the Act applicable to a national
securities exchange and, in particular, the requirements of Section
6(b) of the Act.\8\ Specifically, the Exchange believes that the
proposed rule change is consistent with the Section 6(b)(5) Act \9\
requirements that the rules of an exchange be designed to promote just
and equitable principles of trade, to prevent fraudulent and
manipulative acts and, in general, to protect investors and the public
interest. In particular, the proposed rule change seeks to permit the
Exchange to apply a scaling factor of 1 to options on the S&P 500
Annual Dividend Index, an index with a designated annual accrual
period, since the duration of an annual accrual period results in the
underlying index value being higher than for lesser duration accrual
periods.
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\8\ 15 U.S.C. 78f(b).
\9\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition
CBOE does not believe that the proposed rule change will impose any
burden on competition 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 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) does not 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, the proposed rule change has
become effective pursuant to Section 19(b)(3)(A) of the Act \10\ and
Rule 19b-4(f)(6) thereunder.\11\
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\10\ 15 U.S.C. 78s(b)(3)(A).
\11\ 17 CFR 240.19b-4(f)(6). Pursuant to Rule 19b-4(f)(6)(iii)
under the Act, the Exchange is required to give 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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A proposed rule change filed pursuant to Rule 19b-4(f)(6) under the
[[Page 25901]]
Act \12\ normally does not become operative for 30 days after the date
of its filing. However, Rule 19b-4(f)(6)(iii) \13\ permits the
Commission to designate a shorter time if such action is consistent
with the protection of investors and the public interest. The Exchange
has requested that the Commission waive the 30-day operative delay to
allow the Exchange to begin listing options overlying the S&P 500
Annual Dividend Index beginning on Tuesday, May 25, 2010.
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\12\ 17 CFR 240.19b-4(f)(6).
\13\ 17 CFR 240.19b-4(f)(6)(iii).
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The Commission believes that acceleration of the operative date is
consistent with the protection of investors and the public interest
because the Commission has previously considered and approved the
listing of options on the S&P 500 Annual Dividend Index and the current
proposal raises no new regulatory issues. Acceleration of the operative
date will allow the Exchange to list options on the S&P 500 Annual
Dividend Index on May 25, 2010, thereby providing investors with an
additional investment tool and greater flexibility in meeting their
investment objectives without delay. For these reasons, the Commission
designates that the proposed rule change become operative on May 25,
2010.\14\
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\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. 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 the 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 No. SR-CBOE-2010-039 on the subject line.
Paper Comments
Send paper comments in triplicate to Elizabeth M. Murphy,
Secretary, Securities and Exchange Commission, 100 F Street, NE.,
Washington, DC 20549-1090.
All submissions should refer to File No. SR-CBOE-2010-039. 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 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 filing also will be available for
inspection and copying at the principal office of the CBOE. All
comments received will be posted without change; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File No. SR-CBOE-2010-039 and should be
submitted on or before June 1, 2010.
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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Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010-10956 Filed 5-7-10; 8:45 am]
BILLING CODE 8010-01-P
