Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Proposed Rule Change, as Modified by Amendment No. 1, To List Series With Up to 12 Expiration Months for Broad-Based Security Index Options Upon Which the Exchange Calculates a Volatility Index, 55383-55385 [2010-22599]

Download as PDF Federal Register / Vol. 75, No. 175 / Friday, September 10, 2010 / Notices cooperation and coordination with persons engaged in facilitating transactions in securities, and to remove impediments to and perfect the mechanism of a free and open market and a national market system. Specifically, the proposed rule change will allow the Exchange to continue receiving inbound routes of equities orders from Arca Securities acting in its capacity as a facility of the NYSE and NYSE Amex, in a manner consistent with prior approvals and established protections. The Exchange believes that extending the previously approved pilot period for six months will permit both the Exchange and the Commission to further assess the impact of the Exchange’s authority to receive direct inbound routes of equities orders via Arca Securities (including the attendant obligations and conditions).9 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. srobinson on DSKHWCL6B1PROD with NOTICES III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Because the foregoing rule change does not: (1) Significantly affect the protection of investors or the public interest; (2) impose any significant burden on competition; and (3) become operative for 30 days after the date of this filing, or such shorter time as the Commission may designate, it has become effective pursuant to Section 19(b)(3)(A) of the Act 10 and Rule 19b– 4(f)(6) thereunder.11 At any time within 60 days of the filing of such proposed rule change the Commission summarily may 9 The Exchange is currently analyzing the condition regarding non-public information and system changes in order to better reflect the operation of Arca Securities. 10 15 U.S.C. 78s(b)(3)(A). 11 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 4(f)(6)(iii) requires that a self-regulatory organization 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. VerDate Mar<15>2010 16:29 Sep 09, 2010 Jkt 220001 55383 temporarily suspend 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. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.12 Florence E. Harmon, Deputy Secretary. 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: BILLING CODE 8010–01–P 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–NYSEArca–2010–82 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–NYSEArca–2010–82. 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 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–NYSEArca-2010–82 and should be submitted on or before October 1, 2010. PO 00000 Frm 00083 Fmt 4703 Sfmt 4703 [FR Doc. 2010–22562 Filed 9–9–10; 8:45 am] SECURITIES AND EXCHANGE COMMISSION [Release No. 34–62847; File No. SR–CBOE– 2010–077] Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Proposed Rule Change, as Modified by Amendment No. 1, To List Series With Up to 12 Expiration Months for Broad-Based Security Index Options Upon Which the Exchange Calculates a Volatility Index September 3, 2010. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the ‘‘Act’’) 1 and Rule 19b–4 thereunder,2 notice is hereby given that on August 24, 2010, the Chicago Board Options Exchange, Incorporated (the ‘‘Exchange’’ or ‘‘CBOE’’) filed with the Securities and Exchange Commission (the ‘‘Commission’’) the proposed rule change as described in Items I and II below, which Items have been prepared by the Exchange. On September 2, 2010, the Exchange filed Amendment No. 1, which replaced the original filing in its entirety. The Commission is publishing this notice to solicit comments on the proposed rule change, as amended, from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change CBOE proposes to amend Rule 24.9(a)(2), Terms of Index Option Contracts, to allow the Exchange to list up to twelve expiration months for options that overlie broad-based security indexes for which options are used by the Exchange to calculate a volatility index. The text of the rule proposal is available on the Exchange’s Web site (https://www.cboe.org/legal), at the Exchange’s principal office, and at the Commission’s Public Reference Room. 12 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 1 15 E:\FR\FM\10SEN1.SGM 10SEN1 55384 Federal Register / Vol. 75, No. 175 / Friday, September 10, 2010 / Notices recently announced plans to issue an exchange-traded fund (‘‘ETF’’) 4 that holds VIX futures or an economically equivalent position and Bank of America Merrill Lynch recently In its filing with the Commission, the announced plans to issue an ETN based self-regulatory organization included on forward implied volatility of S&P 500 statements concerning the purpose of Index options. Additionally, the and basis for the proposed rule change and discussed any comments it received Exchange is aware of other issuers that are engaged in similar volatility product on the proposed rule change. The text of those statements may be examined at initiatives. The Exchange was previously granted the places specified in Item IV below. The Exchange has prepared summaries, approval to list a seventh expiration in broad-based index classes on which the set forth in sections A, B, and C below, Exchange calculates a 3-month volatility of the most significant parts of such index.5 In order to satisfy growing statements. demand for a wider variety of volatility A. Self-Regulatory Organization’s investment strategies, the Exchange is Statement of the Purpose of, and the seeking to increase, from seven to Statutory Basis for, the Proposed Rule twelve, the number of expiration Change months for broad-based security index options upon which the Exchange 1. Purpose calculates a volatility index. Amendment 1 replaces the original Rule 24.9(a)(2) currently permits the filing in its entirety. The purpose of Exchange to list up to seven expiration Amendment 1 is to provide additional months at any one time for any broadreasoning for the proposed rule text based security index option contracts, change and to make a technical change including reduced-value and jumbo to Rule 24.9(a)(2) by deleting an option contracts, (e.g., DJX, NDX, RUT unnecessary word from the text of the and SPX) upon which the Exchange rule. calculates a constant three-month The purpose of this rule filing is to volatility index. When the Exchange amend Rule 24.9(a)(2), Terms of Index proposed the allowance of a seventh Options, to allow the Exchange to list up expiration month for broad-based to twelve expiration months for broadsecurity index option contracts on based security index options upon which CBOE calculates a constant threewhich the Exchange calculates a month volatility index, the Commission volatility index. Currently, Rule noted that the change ‘‘will result in a 24.9(a)(2) permits the Exchange to list more consistent and predictable only seven expiration months in any calculation in which the option series index options upon which the Exchange that bracket three months to expiration calculates a constant three-month will always expire one month apart volatility index. * * *’’ 6 In this current proposal, the Since 2009, volatility trading has Exchange is seeking to create flexibility experienced significant growth in terms that would enable it to create volatility of both trading volume and in the indexes of varying lengths in response variety of products offered. For to demand for a wider variety of example, through the first six months in volatility investment strategies. As a 2010, CBOE Volatility Index (‘‘VIX’’) result, the Exchange is not proposing to options averaged close to 250,000 tie the number of expiration months contracts traded per day, a 150% permitted to a specific volatility increase compared to the same period in calculation period and is proposing to 2009. VIX futures volume increased delete the phrase ‘‘constant three440%, averaging 13,500 contracts per month’’ from the existing text of Rule day compared to 2,500 contracts per day 24.9(a)(2). during the same period in 2009. The Exchange believes that the Similarly, since 2009, three exchange- additional expirations, which will be traded notes (‘‘ETNs’’) linked to the listed in monthly intervals over a oneperformance of VIX futures have been year time frame, will provide the issued, two of which overlie listed Exchange with the flexibility to create options.3 In addition, Jefferies & Co. indexes that represent unique volatility exposures, and enable the Exchange to 3 srobinson on DSKHWCL6B1PROD with NOTICES II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change ETNs are referred to ‘‘Index-Linked Securities’’ in CBOE’s Rules. See Interpretation and Policy .13 to Rule 5.3. The ETNs linked to the performance of VIX futures are the (1) iPath S&P 500 VIX ShortTerm Futures ETN (‘‘VXX’’), (2) iPath S&P 500 VIX Mid-Term Futures ETN (‘‘VXZ’’), and (3) Barclays ETN+ Inverse S&P 500 VIX Short-Term Futures ETN (‘‘XXV’’). VerDate Mar<15>2010 16:29 Sep 09, 2010 Jkt 220001 4 ETFs are referred to as ‘‘Units’’ in CBOE’s Rules. See Interpretation and Policy .06 to Rule 5.3. 5 See Securities Exchange Act Release No. 56821 (November 20, 2007), 72 FR 66210 (November 27, 2007) (SR–CBOE–2007–082). 6 See id. PO 00000 Frm 00084 Fmt 4703 Sfmt 4703 respond quickly to investor demand for new volatility-based products. Capacity CBOE has analyzed its capacity and represents that it believes the Exchange and the Options Price Reporting Authority have the necessary systems capacity to handle the additional traffic associated with the ability to list up to twelve expiration months for broadbased security index options upon which the Exchange calculates a volatility index. 2. Statutory Basis Because the increase in the number of expiration months is limited to options overlying broad based security indexes upon which the Exchange calculates a volatility index and because the series could be added without presenting capacity problems, the Exchange believes the 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.7 Specifically, the Exchange believes that the proposed rule change is consistent with the Section 6(b)(5) Act 8 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. 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 The Exchange neither solicited nor received comments on the proposal. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Within 45 days of the date of publication of this notice in the Federal Register or within such longer period (i) as the Commission may designate up to 90 days of such date if it finds such longer period to be appropriate and publishes its reasons for so finding or (ii) as to which the self-regulatory organization consents, the Commission will: 7 15 8 15 E:\FR\FM\10SEN1.SGM U.S.C. 78f(b). U.S.C. 78f(b)(5). 10SEN1 Federal Register / Vol. 75, No. 175 / Friday, September 10, 2010 / Notices For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.9 Florence E. Harmon, Deputy Secretary. 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: [FR Doc. 2010–22599 Filed 9–9–10; 8:45 am] 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–2010–077 on the subject line. srobinson on DSKHWCL6B1PROD with NOTICES (A) By order approve or disapprove such proposed rule change, or (B) Institute proceedings to determine whether the proposed rule change should be disapproved. Self-Regulatory Organizations; EDGX Exchange, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Relating to Amendments to the EDGX Exchange, Inc. Fee Schedule 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–2010–077. 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 the filing also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR–CBOE– 2010–077 and should be submitted on or before October 1, 2010. VerDate Mar<15>2010 16:29 Sep 09, 2010 Jkt 220001 BILLING CODE 8010–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–62846; File No. SR–EDGX– 2010–12] September 3, 2010. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the ‘‘Act’’),1 and Rule 19b–4 thereunder,2 notice is hereby given that on August 31, 2010, the EDGX Exchange, Inc. (the ‘‘Exchange’’ or the ‘‘EDGX’’) 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 selfregulatory organization. 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 The Exchange proposes to amend its fees and rebates applicable to Members 3 of the Exchange pursuant to EDGX Rule 15.1(a) and (c) to (i) add a price guarantee to footnote 1 of its fee schedule; and (ii) make other technical amendments to its fee schedule. All of the changes described herein are applicable to EDGX Members. The text of the proposed rule change is available on the Exchange’s Internet Web site at https://www.directedge.com, on the Commission’s Web site at https://www.sec.gov, 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 self-regulatory organization included statements concerning the purpose of, 9 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 3 A Member is any registered broker or dealer that has been admitted to membership in the Exchange. 1 15 PO 00000 Frm 00085 Fmt 4703 Sfmt 4703 55385 and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The self-regulatory organization has prepared summaries, set forth in sections A, B and C below, of the most significant aspects of such statements. A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The Exchange proposes to make several amendments to its fee schedule. First, it proposes to add a price guarantee to footnote 1 of the schedule. This guarantee would state that ‘‘Any Member meeting the following criteria: (i) Adding 10,000,000 shares or more of liquidity to EDGX, (ii) where such added liquidity on EDGX is at least 5,000,000 shares greater than the previous calendar month; and (iii) but for the liquidity added on EDGX, such Member would have qualified for a better rebate with respect to liquidity added on another exchange or ECN that the Member previously qualified for in the three calendar months prior to meeting the above-described criteria in (i) and (ii), shall be reimbursed the difference between the rebate received and the rebate potentially received, so long as source documentation evidencing the above is provided to the Exchange within fifteen (15) calendar days from the end of the relevant month. A Member can only receive reimbursement with respect to two consecutive calendar months. With respect to the second calendar month’s reimbursement, the relevant period in determining whether criteria (iii) is satisfied is the period three calendar months prior to the first of the two consecutive calendar months the Member meets the above-described criteria in (i) and (ii).’’ The Exchange believes that the price guarantee, as described above, is equitable in that it is available to all Members migrating volumes to the Exchange. Furthermore, the price guarantee limits the increase in a Members’ execution costs associating with failing to meet the volume thresholds of other exchanges and ECNs while a Member is in the process of migrating volumes from one exchange to another. The Exchange believes that the difficulty in transitioning volume has incentivized Members to leave volume on certain exchanges and ECNs rather than incurring the costs of migrating volumes to the Exchange. By facilitating E:\FR\FM\10SEN1.SGM 10SEN1

Agencies

SECURITIES AND EXCHANGE COMMISSION

[Federal Register Volume 75, Number 175 (Friday, September 10, 2010)]
[Notices]
[Pages 55383-55385]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2010-22599]

-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-62847; File No. SR-CBOE-2010-077]

Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Notice of Proposed Rule Change, as Modified by Amendment
No. 1, To List Series With Up to 12 Expiration Months for Broad-Based
Security Index Options Upon Which the Exchange Calculates a Volatility
Index

September 3, 2010.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that on August 24, 2010, the Chicago Board Options Exchange,
Incorporated (the ``Exchange'' or ``CBOE'') filed with the Securities
and Exchange Commission (the ``Commission'') the proposed rule change
as described in Items I and II below, which Items have been prepared by
the Exchange. On September 2, 2010, the Exchange filed Amendment No. 1,
which replaced the original filing in its entirety. The Commission is
publishing this notice to solicit comments on the proposed rule change,
as amended, from interested persons.
---------------------------------------------------------------------------

\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

CBOE proposes to amend Rule 24.9(a)(2), Terms of Index Option
Contracts, to allow the Exchange to list up to twelve expiration months
for options that overlie broad-based security indexes for which options
are used by the Exchange to calculate a volatility index. The text of
the rule proposal is available on the Exchange's Web site (https://www.cboe.org/legal), at the Exchange's principal office, and at the
Commission's Public Reference Room.

[[Page 55384]]

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 the
Statutory Basis for, the Proposed Rule Change

1. Purpose
Amendment 1 replaces the original filing in its entirety. The
purpose of Amendment 1 is to provide additional reasoning for the
proposed rule text change and to make a technical change to Rule
24.9(a)(2) by deleting an unnecessary word from the text of the rule.
The purpose of this rule filing is to amend Rule 24.9(a)(2), Terms
of Index Options, to allow the Exchange to list up to twelve expiration
months for broad-based security index options upon which the Exchange
calculates a volatility index. Currently, Rule 24.9(a)(2) permits the
Exchange to list only seven expiration months in any index options upon
which the Exchange calculates a constant three-month volatility index.
Since 2009, volatility trading has experienced significant growth
in terms of both trading volume and in the variety of products offered.
For example, through the first six months in 2010, CBOE Volatility
Index (``VIX'') options averaged close to 250,000 contracts traded per
day, a 150% increase compared to the same period in 2009. VIX futures
volume increased 440%, averaging 13,500 contracts per day compared to
2,500 contracts per day during the same period in 2009.
Similarly, since 2009, three exchange-traded notes (``ETNs'')
linked to the performance of VIX futures have been issued, two of which
overlie listed options.\3\ In addition, Jefferies & Co. recently
announced plans to issue an exchange-traded fund (``ETF'') \4\ that
holds VIX futures or an economically equivalent position and Bank of
America Merrill Lynch recently announced plans to issue an ETN based on
forward implied volatility of S&P 500 Index options. Additionally, the
Exchange is aware of other issuers that are engaged in similar
volatility product initiatives.
---------------------------------------------------------------------------

\3\ ETNs are referred to ``Index-Linked Securities'' in CBOE's
Rules. See Interpretation and Policy .13 to Rule 5.3. The ETNs
linked to the performance of VIX futures are the (1) iPath S&P 500
VIX Short-Term Futures ETN (``VXX''), (2) iPath S&P 500 VIX Mid-Term
Futures ETN (``VXZ''), and (3) Barclays ETN+ Inverse S&P 500 VIX
Short-Term Futures ETN (``XXV'').
\4\ ETFs are referred to as ``Units'' in CBOE's Rules. See
Interpretation and Policy .06 to Rule 5.3.
---------------------------------------------------------------------------

The Exchange was previously granted approval to list a seventh
expiration in broad-based index classes on which the Exchange
calculates a 3-month volatility index.\5\ In order to satisfy growing
demand for a wider variety of volatility investment strategies, the
Exchange is seeking to increase, from seven to twelve, the number of
expiration months for broad-based security index options upon which the
Exchange calculates a volatility index.
---------------------------------------------------------------------------

\5\ See Securities Exchange Act Release No. 56821 (November 20,
2007), 72 FR 66210 (November 27, 2007) (SR-CBOE-2007-082).
---------------------------------------------------------------------------

Rule 24.9(a)(2) currently permits the Exchange to list up to seven
expiration months at any one time for any broad-based security index
option contracts, including reduced-value and jumbo option contracts,
(e.g., DJX, NDX, RUT and SPX) upon which the Exchange calculates a
constant three-month volatility index. When the Exchange proposed the
allowance of a seventh expiration month for broad-based security index
option contracts on which CBOE calculates a constant three-month
volatility index, the Commission noted that the change ``will result in
a more consistent and predictable calculation in which the option
series that bracket three months to expiration will always expire one
month apart * * *'' \6\ In this current proposal, the Exchange is
seeking to create flexibility that would enable it to create volatility
indexes of varying lengths in response to demand for a wider variety of
volatility investment strategies. As a result, the Exchange is not
proposing to tie the number of expiration months permitted to a
specific volatility calculation period and is proposing to delete the
phrase ``constant three-month'' from the existing text of Rule
24.9(a)(2).
---------------------------------------------------------------------------

\6\ See id.
---------------------------------------------------------------------------

The Exchange believes that the additional expirations, which will
be listed in monthly intervals over a one-year time frame, will provide
the Exchange with the flexibility to create indexes that represent
unique volatility exposures, and enable the Exchange to respond quickly
to investor demand for new volatility-based products.
Capacity
CBOE has analyzed its capacity and represents that it believes the
Exchange and the Options Price Reporting Authority have the necessary
systems capacity to handle the additional traffic associated with the
ability to list up to twelve expiration months for broad-based security
index options upon which the Exchange calculates a volatility index.
2. Statutory Basis
Because the increase in the number of expiration months is limited
to options overlying broad based security indexes upon which the
Exchange calculates a volatility index and because the series could be
added without presenting capacity problems, the Exchange believes the
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.\7\
Specifically, the Exchange believes that the proposed rule change is
consistent with the Section 6(b)(5) Act \8\ 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.
---------------------------------------------------------------------------

\7\ 15 U.S.C. 78f(b).
\8\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

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

The Exchange neither solicited nor received comments on the
proposal.

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

Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period (i) as the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:

[[Page 55385]]

(A) By order approve or disapprove such proposed rule change, or
(B) Institute proceedings to determine whether the proposed rule
change should be disapproved.

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-2010-077 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-2010-077. 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 the filing also will be available for
inspection and copying at the principal office of the Exchange. All
comments received will be posted without change; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-CBOE-2010-077 and should be
submitted on or before October 1, 2010.

For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\9\
---------------------------------------------------------------------------

\9\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010-22599 Filed 9-9-10; 8:45 am]
BILLING CODE 8010-01-P

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.