Self-Regulatory Organizations; NYSE Amex LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Amending Commentary .07 to NYSE Amex Rule 904 To Increase Position Limits for Options on the SPDR® S&P 500® Exchange-Traded Fund, Which List and Trade Under the Option Symbol SPY, and To Update the Names and One Trading Symbol for the Options Reflected Therein, Including SPY, 45899-45902 [2011-19328]
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Federal Register / Vol. 76, No. 147 / Monday, August 1, 2011 / Notices
constituents as the fees will be uniform
in application to all Members and nonmembers. Finally, the Exchange believes
that the fees obtained will enable it to
cover its infrastructure costs associated
with allowing Members and nonmembers to establish logical ports to
connect to the Exchange’s systems and
continue to maintain and improve its
infrastructure, market technology, and
services.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The proposed rule change does not
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
The Exchange has not solicited, and
does not intend to solicit, comments on
this proposed rule change. The
Exchange has not received any
unsolicited written comments from
members or other interested parties.
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) of
the Act 8 and Rule 19b–4(f)(2) 9
thereunder. At any time within 60 days
of the filing of such proposed rule
change, the Commission summarily may
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.
srobinson on DSK4SPTVN1PROD with NOTICES
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:
Securities and Exchange Commission,
100 F Street, NE., Washington, DC
20549–1090.
All submissions should refer to File
Number SR–EDGA–2011–22. 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–EDGA–
2011–22 and should be submitted on or
before August 22, 2011.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.10
Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011–19327 Filed 7–29–11; 8:45 am]
BILLING CODE 8011–01–P
U.S.C. 78s(b)(3)(A).
CFR 19b–4(f)(2).
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20:19 Jul 29, 2011
PO 00000
Self-Regulatory Organizations; NYSE
Amex LLC; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change Amending Commentary
.07 to NYSE Amex Rule 904 To
Increase Position Limits for Options on
the SPDR® S&P 500® ExchangeTraded Fund, Which List and Trade
Under the Option Symbol SPY, and To
Update the Names and One Trading
Symbol for the Options Reflected
Therein, Including SPY
July 26, 2011.
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 July 11,
2011, NYSE Amex LLC (the ‘‘Exchange’’
or ‘‘NYSE Amex’’) 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. 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
Commentary .07 to NYSE Amex Rule
904 to increase position limits for
options on the SPDR® S&P 500®
exchange-traded fund (‘‘SPY ETF’’),4
which list and trade under the option
symbol SPY, and to update the names
and one trading symbol for the options
reflected therein, including SPY. The
text of the proposed rule change is
available at the Exchange’s Web site at
https://www.nyse.com, on the
Commission’s Web site at https://www.
sec.gov, at the Exchange’s principal
office, and at the Commission’s Public
Reference Room.
U.S.C.78s(b)(1).
U.S.C. 78a.
3 17 CFR 240.19b–4.
4 ‘‘SPDR®,’’ ‘‘Standard & Poor’s®,’’ ‘‘S&P®,’’ ‘‘S&P
500®,’’ and ‘‘Standard & Poor’s 500’’ are registered
trademarks of Standard & Poor’s Financial Services
LLC. The SPDR S&P 500 ETF represents ownership
in the SPDR S&P 500 Trust, a unit investment trust
that generally corresponds to the price and yield
performance of the SPDR S&P 500 Index.
2 15
10 17
Jkt 223001
[Release No. 34–64966; File No. SR–
NYSEAmex–2011–50]
1 15
Paper comments
• Send paper comments in triplicate
to Elizabeth M. Murphy, Secretary,
9 17
SECURITIES AND EXCHANGE
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
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–EDGA–2011–22 on the
subject line.
8 15
45899
CFR 200.30–3(a)(12).
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Federal Register / Vol. 76, No. 147 / Monday, August 1, 2011 / Notices
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
The purpose of the proposal is to
amend Commentary .07 to NYSE Amex
Rule 904 to increase position limits for
SPY options from 300,000 to 900,000
contracts on the same side of the market
and to update the names, and one
trading symbol, for the options reflected
therein, including SPY.5 The Exchange
is basing this proposal on a recently
approved rule change by NASDAQ
OMX PHLX (‘‘PHLX’’).6
Background
Institutional and retail traders have
greatly increased their demand for SPY
options for hedging and trading
purposes, such that these options have
experienced an explosive gain in
popularity and have been the most
actively traded options in the U.S. in
terms of volume for the last two years.
For example, SPY options traded a total
of 33,341,698 contracts across all
exchanges from March 1, 2011 through
March 16, 2011. In contrast, over the
same time period options on the
PowerShares QQQ TrustSM, Series 1
(‘‘QQQ’’SM),7 the third [sic] most
actively traded option, traded a total of
8,730,718 contracts (less than 26.2% of
the volume of SPY options).
Currently, SPY options have a
position limit of only 300,000 contracts
on the same side of the market while
QQQ options, which are comparable to
SPY options but exhibit significantly
lower volume, have a position limit of
900,000 contracts on the same side of
the market. The Exchange believes that
SPY options should, like options on
QQQ, have a position limit of 900,000
contracts. Given the increase in volume
and continuous unprecedented demand
for trading SPY options, the Exchange
believes that the current position limit
of 300,000 contracts is entirely too low
and is a deterrent to the optimal use of
the product for hedging and trading
purposes. There are multiple reasons to
increase the position limit for SPY
options.
First, traders have informed the
Exchange that the current SPY option
position limit of 300,000 contracts,
which has remained flat for more than
five years despite the tremendous
trading volume increase, is no longer
sufficient for optimal trading and
hedging purposes. SPY options are, as
noted, used by large institutions and
traders as a means to invest in or hedge
the overall direction of the market.
Second, SPY options are one-tenth the
size of options on the S&P 500 Index,
traded under the symbol SPX.8 Thus, a
position limit of 300,000 contracts in
SPY options is equivalent to a 30,000
contract position limit in options on
SPX. Traders who trade SPY options to
hedge positions in SPX options (and the
SPY ETF) have indicated on several
occasions that the current position limit
for SPY options is simply too restrictive,
which may adversely affect their (and
the Exchange’s) ability to provide
liquidity in this product. Finally, the
products that are perhaps most
comparable to SPY options, namely
options on QQQ, are subject to a
900,000 contract position limit on the
same side of the market.9 This has, in
light of the huge run-up in SPY option
trading making them the number one
nationally-ranked option in terms of
volume, resulted in a skewed and
unacceptable SPY option position limit.
Specifically, the position limit for SPY
options at 300,000 contracts is but 33%
of the position limit for the less active
options on QQQ at 900,000 contracts.10
The Exchange proposes that SPY
options similarly be subject to a position
limit of 900,000 contracts.
The volume and notional value of
SPY options and QQQ options as well
as the volume and market
capitalizations of their underlying ETFs,
are set forth below:
Option national rank
2010
Option symbol
Name of underlying ETF
Option ADV 2010
Option notional value* as of
December 31, 2010
1 .................................
SPY ...........................
3,625,904 contracts
$177,823,76 million ...................
300,000 contracts.
4 .................................
QQQ ..........................
SPDR S&P
500.
Powershares
QQQ Trust.
963,502 contracts ...
$27,141,91 million .....................
900,000 contracts.
ETF Nat’l rank 2010
Name of ETF
ETF ADV 2010
ETF market
capitalization
December 31, 2010
1 .................................
3 .................................
SPDR S&P 500 ..........................
Powershares QQQ Trust ............
210,232,241 shares .....
85,602,200 shares .......
$90,280.71 million .......
$23,564.8 million .........
Current options
position limit
ETF average
dollar volume
$20,794 million
$3,593 million
srobinson on DSK4SPTVN1PROD with NOTICES
* Notional value is calculated as follows: OI × Close × 100; where OI = underlying security’s open interest (in contracts), Close = closing price
of underlying security on 12/31/2010.
5 By virtue of NYSE Amex Rule 905, which is not
amended by this filing, exercise limits on SPY
options would be the same as position limits for
SPY options established in Commentary .07 to
NYSE Amex Rule 904.
6 See Securities Exchange Act Release No. 64695
(June 17, 2011), 76 FR 36942 (June 23, 2011) (SR–
Phlx–2011–58). The Exchange commented
favorably on that PHLX proposal, noting that ‘‘the
continued disparate treatment of SPY options,
which have a position limit and are traded on
multiple exchanges, versus SPX options, which
have no position limit and are traded exclusively
on CBOE [the Chicago Board Options Exchange],
only serves to thwart competition and harm the
marketplace,’’ and that the ‘‘PHLX’s Proposal to
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Jkt 223001
increase the position limits for SPY options is a step
in the right direction.’’ See (https://www.sec.gov/
comments/sr-phlx-2011-58/phlx201158-1.pdf).
7 QQQ options were formerly known as options
on the Nasdaq-100 Tracking StockSM (former option
symbol QQQQSM). NASDAQ, Nasdaq-100 Index,
Nasdaq-100 Index Tracking Stock and QQQ are
trade/service marks of The Nasdaq Stock Market,
Inc. and have been licensed for use by Invesco
PowerShares Capital Management LLC.
8 CBOE, which exclusively lists and trades SPX
options, has established that there are no position
limits on SPX options. See CBOE Rule 24.4 and
Securities Exchange Act Release No. 44994 (October
26, 2001), 66 FR 55722 (November 2, 2001) (SR–
CBOE–2001–22).
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9 See Commentary .07 to Rule 904 and Securities
Exchange Act Release No. 57415 (March 3, 2008),
73 FR 12479 (March 7, 2008) (SR–Amex–2008–16).
See also Securities Exchange Act Release No. 51316
(March 3, 2005), 70 FR 12251 (March 11, 2005) (SR–
Amex–2005–029).
10 Similarly to SPY options being one-tenth the
size of options on SPX, QQQ options are also onetenth the size of options on the related index
NASDAQ–100 Index (option symbol NDX). The
position limit for QQQ options and its related index
NDX have a comparable relationship to that of SPY
options and SPX. That is, the position limit for
options on QQQ is 900,000 contracts and there is
no position limit for NDX options.
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Federal Register / Vol. 76, No. 147 / Monday, August 1, 2011 / Notices
The Exchange notes that the Large
Option Position Reporting requirement
in NYSE Amex Rule 906 would
continue to apply. Rule 906 requires
ATP Holders to file a report with the
Exchange with respect to each account
in which the ATP Holder has an
interest; each account of a partner,
officer, director, trustee or employee of
such ATP Holder; and each customer
account that has established an
aggregate position (whether long or
short) that meets certain determined
thresholds (e.g., 200 or more option
contracts if the underlying security is a
stock or Exchange-Traded Fund Share).
Rule 906 also permits the Exchange to
impose a higher margin requirement
upon the account of an ATP Holder
when it determines that the account
maintains an under-hedged position.
Furthermore, large stock holdings must
be disclosed to the Commission by way
of Schedules 13D or 13G.11
Monitoring accounts maintaining
large positions provides the Exchange
with the information necessary to
determine whether to impose additional
margin and/or whether to assess capital
charges upon an ATP Holder carrying
the account. In addition, the
Commission’s net capital rule, Rule
15c3–1 under the Securities Exchange
Act of 1934 (‘‘Act’’),12 imposes a capital
charge on ATP Holders to the extent of
any margin deficiency resulting from
the higher margin requirement, which
should serve as an additional form of
protection.
The Exchange believes that position
and exercise limits, at their current
levels, no longer serve their stated
purpose. There has been a steadfast and
significant increase over the last decade
in the overall volume of exchangetraded options; position limits,
however, have not kept up with the
volume. Part of this volume is
attributable to a corresponding increase
in the number of overall market
participants, which has, in turn, brought
about additional depth and increased
liquidity in exchange-traded options.13
srobinson on DSK4SPTVN1PROD with NOTICES
11 17
CFR 240.13d–1
12 17 CFR 240.15c3–1.
13 The Commission has previously observed that:
‘‘Since the inception of standardized options
trading, the options exchanges have had rules
imposing limits on the aggregate number of options
contracts that a member or customer could hold or
exercise. These rules are intended to prevent the
establishment of options positions that can be used
or might create incentives to manipulate or disrupt
the underlying market so as to benefit the options
position. In particular, position and exercise limits
are designed to minimize the potential for minimanipulations and for corners or squeezes of the
underlying market. In addition such limits serve to
reduce the possibility for disruption of the options
market itself, especially in illiquid options classes.’’
See Securities Exchange Act Release No. 39489
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As the anniversary of listed options
trading approaches its fortieth year, the
Exchange believes that the existing
surveillance procedures and reporting
requirements at the Exchange, other
options exchanges, and at the several
clearing firms are capable of properly
identifying unusual and/or illegal
trading activity. In addition, routine
oversight inspections of the Exchange’s
regulatory programs by the Commission
have not uncovered any material
inconsistencies or shortcomings in the
manner in which the Exchange’s market
surveillance is conducted. These
procedures utilize daily monitoring of
market movements via automated
surveillance techniques to identify
unusual activity in both options and
underlying stocks.14
Finally, the Exchange believes that
while position limits on options on
QQQ, which as noted are similar to SPY
options, has been gradually expanded
from 75,000 contracts to the current
level of 900,000 contracts since 2005,
there have been no adverse effects on
the market as a result of this position
limit increase.15 Likewise, there have
been no adverse effects on the market
from expanding the position limit for
SPY options from 75,000 contracts to
the current level of 300,000 contracts in
2005.16
The Exchange believes that restrictive
option position limits prevent large
customers, such as mutual funds and
pension funds, from using options to
gain meaningful exposure to and
hedging protection through the use of
SPY options. This can result in lost
liquidity in both the options market and
the equity market. The proposed
position limit increase would remedy
this situation to the benefit of large as
well as retail traders, investors, and
public customers. The Exchange
believes that increasing position and
exercise limits for SPY options would
lead to a more liquid and competitive
market environment for SPY options
that would benefit customers interested
in this product.
Update to Names
The Exchange proposes nonsubstantive technical changes to update
the names and one trading symbol for
(December 24, 1997), 63 FR 276, 278 (January 5,
1998) (SR–CBOE–97–11) (footnote omitted).
14 These procedures have been effective for the
surveillance of SPY options trading and will
continue to be employed.
15 See supra note 9. See e-mail from Joseph
Corcoran, Chief Counsel, NYSE to Arisa Tinaves,
Special Counsel, Division of Trading and Markets,
dated July 19, 2011.
16 See Securities Exchange Act Release No. 51043
(January 14, 2005), 70 FR 3402 (January 24, 2005)
(SR–Amex–2005–06).
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45901
the option products specifically
identified within Commentary .07 to
NYSE Amex Rule 904. This change
would result in Commentary .07
reflecting the current names and
symbols by which these products trade
in the marketplace as follows: Nasdaq100 Tracking Stock (QQQQ) changes to
PowerShares QQQ TrustSM, Series 1
(QQQ); Standard & Poor’s Depositary
Receipts Trust (SPDR) changes to
SPDR® S&P 500® ETF (SPY); and
DIAMONDS Trust changes to SPDR®
Dow Jones Industrial AverageSM ETF
Trust (DIA).
2. Statutory Basis
The proposed rule change is
consistent with Section 6(b) 17 of the
Act, in general, and furthers the
objectives of Section 6(b)(5),18 in
particular, in that it is 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, to remove
impediments to and perfect the
mechanism of a free and open market
and a national market system and, in
general, to protect investors and the
public interest. The Exchange is
proposing to expand the position limits
on SPY options. The Exchange believes
that this proposal would be beneficial to
large market makers (which generally
have the greatest potential and actual
ability to provide liquidity and depth in
the product), as well as retail traders,
investors, and public customers.
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
The Exchange has neither solicited
nor received written comments on the
proposed rule change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Because the proposed rule change
does not (i) Significantly affect the
protection of investors or the public
interest; (ii) impose any significant
burden on competition; and (iii) become
17 15
18 15
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U.S.C. 78f(b).
U.S.C. 78f(b)(5).
01AUN1
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Federal Register / Vol. 76, No. 147 / Monday, August 1, 2011 / Notices
operative prior to 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,
provided that the self-regulatory
organization has given the Commission
written notice of its intent to file the
proposed rule change at least five
business days prior to the date of filing
of the proposed rule change or such
shorter time as designated by the
Commission, the proposed rule change
has become effective pursuant to
Section 19(b)(3)(A) of the Act 19 and
Rule 19b–4(f)(6)(iii) thereunder.20
A proposed rule change filed under
Rule 19b–4(f)(6) 21 normally does not
become operative prior to 30 days after
the date of the filing. However, pursuant
to Rule 19b–4(f)(6)(iii),22 the
Commission may 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 so that the proposal may
become operative immediately upon
filing. The Commission believes that
waiving the 30-day operative delay is
consistent with the protection of
investors and the public interest,
because increasing position and exercise
limits for SPY options would lead to a
more liquid and competitive market
environment that would benefit
customers interested in this product.
Additionally, it will enable the
Exchange’s position and exercise limits
for SPY options to be consistent with
those of other exchanges that have
already adopted the higher position and
exercise limits. Therefore, the
Commission designates the proposal
operative upon filing.23
At any time within 60 days of the
filing of such proposed rule change, the
Commission summarily may
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.
19 15
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(6).
21 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 filing of the proposed rule change, or
such shorter time as designated by the Commission.
The Commission notes that the Exchange has
satisfied this requirement.
22 17 CFR 240.19b–4(f)(6)(iii).
23 For purposes only of waiving the 30-day
operative delay, the Commission has considered the
proposed rule’s impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
srobinson on DSK4SPTVN1PROD with NOTICES
20 17
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17:45 Jul 29, 2011
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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:
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.24
Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011–19328 Filed 7–29–11; 8:45 am]
BILLING CODE 8011–01–P
Electronic Comments
SOCIAL SECURITY ADMINISTRATION
• 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–NYSEAmex–2011–50 on the subject
line.
Agency Information Collection
Activities: Proposed Request and
Comment Request
The Social Security Administration
(SSA) publishes a list of information
collection packages requiring clearance
by the Office of Management and
Budget (OMB) in compliance with
Public Law 104–13, the Paperwork
Paper Comments
Reduction Act of 1995, effective October
• Send paper comments in triplicate
1, 1995. This notice includes revisions
to Elizabeth M. Murphy, Secretary,
and an extension of OMB-approved
Securities and Exchange Commission,
information collections, and one request
100 F Street, NE., Washington DC
for a new information collection.
SSA is soliciting comments on the
20549–1090.
accuracy of the agency’s burden
All submissions should refer to File
estimate; the need for the information;
Number SR–NYSEAmex–2011–50. This its practical utility; ways to enhance its
file number should be included on the
quality, utility, and clarity; and ways to
subject line if e-mail is used. To help the minimize burden on respondents,
Commission process and review your
including the use of automated
comments more efficiently, please use
collection techniques or other forms of
only one method. The Commission will information technology. Mail, email, or
post all comments on the Commission’s fax your comments and
Internet Web site (https://www.sec.gov/
recommendations on the information
rules/sro.shtml). Copies of the
collection(s) to the OMB Desk Officer
submission, all subsequent
and SSA Reports Clearance Officer at
the following addresses or fax numbers.
amendments, all written statements
with respect to the proposed rule
(OMB), Office of Management and
change that are filed with the
Budget, Attn: Desk Officer for SSA,
Fax: 202–395–6974, E-mail address:
Commission, and all written
OIRA_Submission@omb.eop.gov.
communications relating to the
(SSA) Social Security Administration,
proposed rule change between the
DCBFM, Attn: Reports Clearance
Commission and any person, other than
Officer, 1333 Annex Building, 6401
those that may be withheld from the
Security Blvd., Baltimore, MD 21235,
public in accordance with the
Fax: 410–965–6400, E-mail address:
provisions of 5 U.S.C. 552, will be
OPLM.RCO@ssa.gov.
available for Web site viewing and
I. The information collection below is
printing in the Commission’s Public
pending at SSA. SSA will submit it to
Reference Room, 100 F Street, NE.,
OMB within 60 days from the date of
Washington, DC 20549, on official
this notice. To be sure we consider your
business days between the hours of 10
comments, we must receive them no
a.m. and 3 p.m. Copies of such filing
later than September 30, 2011.
also will be available for inspection and
Individuals can obtain copies of the
copying at the principal office of the
collection instrument by calling the SSA
Exchange. All comments received will
Reports Clearance Officer at 410–965–
be posted without change; the
8783 or by writing to the above email
Commission does not edit personal
address.
identifying information from
Report on Individual with Mental
submissions. You should submit only
Impairment—20 CFR 404.1513 &
information that you wish to make
416.913—0960–0058. SSA uses Form
available publicly. All submissions
SSA–824 to obtain medical evidence
should refer to File No. SR–
from medical sources who have treated
a Social Security disability claimant for
NYSEAmex–2011–50 and should be
submitted on or before August 22, 2011.
PO 00000
24 17
Frm 00146
Fmt 4703
Sfmt 4703
E:\FR\FM\01AUN1.SGM
CFR 200.30–3(a)(12).
01AUN1
]]>Agencies
[Federal Register Volume 76, Number 147 (Monday, August 1, 2011)]
[Notices]
[Pages 45899-45902]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2011-19328]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-64966; File No. SR-NYSEAmex-2011-50]
Self-Regulatory Organizations; NYSE Amex LLC; Notice of Filing
and Immediate Effectiveness of Proposed Rule Change Amending Commentary
.07 to NYSE Amex Rule 904 To Increase Position Limits for Options on
the SPDR[supreg] S&P 500[supreg] Exchange-Traded Fund, Which List and
Trade Under the Option Symbol SPY, and To Update the Names and One
Trading Symbol for the Options Reflected Therein, Including SPY
July 26, 2011.
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 July 11, 2011, NYSE Amex LLC (the ``Exchange'' or ``NYSE
Amex'') 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. The Commission
is publishing this notice to solicit comments on the proposed rule
change from interested persons.
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\1\ 15 U.S.C.78s(b)(1).
\2\ 15 U.S.C. 78a.
\3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of the
Substance of the Proposed Rule Change
The Exchange proposes to amend Commentary .07 to NYSE Amex Rule 904
to increase position limits for options on the SPDR[supreg] S&P
500[supreg] exchange-traded fund (``SPY ETF''),\4\ which list and trade
under the option symbol SPY, and to update the names and one trading
symbol for the options reflected therein, including SPY. The text of
the proposed rule change is available at the Exchange's Web site at
https://www.nyse.com, on the Commission's Web site at https://www.sec.gov, at the Exchange's principal office, and at the
Commission's Public Reference Room.
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\4\ ``SPDR[supreg],'' ``Standard & Poor's[supreg],''
``S&P[supreg],'' ``S&P 500[supreg],'' and ``Standard & Poor's 500''
are registered trademarks of Standard & Poor's Financial Services
LLC. The SPDR S&P 500 ETF represents ownership in the SPDR S&P 500
Trust, a unit investment trust that generally corresponds to the
price and yield performance of the SPDR S&P 500 Index.
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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
[[Page 45900]]
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
The purpose of the proposal is to amend Commentary .07 to NYSE Amex
Rule 904 to increase position limits for SPY options from 300,000 to
900,000 contracts on the same side of the market and to update the
names, and one trading symbol, for the options reflected therein,
including SPY.\5\ The Exchange is basing this proposal on a recently
approved rule change by NASDAQ OMX PHLX (``PHLX'').\6\
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\5\ By virtue of NYSE Amex Rule 905, which is not amended by
this filing, exercise limits on SPY options would be the same as
position limits for SPY options established in Commentary .07 to
NYSE Amex Rule 904.
\6\ See Securities Exchange Act Release No. 64695 (June 17,
2011), 76 FR 36942 (June 23, 2011) (SR-Phlx-2011-58). The Exchange
commented favorably on that PHLX proposal, noting that ``the
continued disparate treatment of SPY options, which have a position
limit and are traded on multiple exchanges, versus SPX options,
which have no position limit and are traded exclusively on CBOE [the
Chicago Board Options Exchange], only serves to thwart competition
and harm the marketplace,'' and that the ``PHLX's Proposal to
increase the position limits for SPY options is a step in the right
direction.'' See (https://www.sec.gov/comments/sr-phlx-2011-58/phlx201158-1.pdf).
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Background
Institutional and retail traders have greatly increased their
demand for SPY options for hedging and trading purposes, such that
these options have experienced an explosive gain in popularity and have
been the most actively traded options in the U.S. in terms of volume
for the last two years. For example, SPY options traded a total of
33,341,698 contracts across all exchanges from March 1, 2011 through
March 16, 2011. In contrast, over the same time period options on the
PowerShares QQQ Trust\SM\, Series 1 (``QQQ''\SM\),\7\ the third [sic]
most actively traded option, traded a total of 8,730,718 contracts
(less than 26.2% of the volume of SPY options).
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\7\ QQQ options were formerly known as options on the Nasdaq-100
Tracking Stock\SM\ (former option symbol QQQQ\SM\). NASDAQ, Nasdaq-
100 Index, Nasdaq-100 Index Tracking Stock and QQQ are trade/service
marks of The Nasdaq Stock Market, Inc. and have been licensed for
use by Invesco PowerShares Capital Management LLC.
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Currently, SPY options have a position limit of only 300,000
contracts on the same side of the market while QQQ options, which are
comparable to SPY options but exhibit significantly lower volume, have
a position limit of 900,000 contracts on the same side of the market.
The Exchange believes that SPY options should, like options on QQQ,
have a position limit of 900,000 contracts. Given the increase in
volume and continuous unprecedented demand for trading SPY options, the
Exchange believes that the current position limit of 300,000 contracts
is entirely too low and is a deterrent to the optimal use of the
product for hedging and trading purposes. There are multiple reasons to
increase the position limit for SPY options.
First, traders have informed the Exchange that the current SPY
option position limit of 300,000 contracts, which has remained flat for
more than five years despite the tremendous trading volume increase, is
no longer sufficient for optimal trading and hedging purposes. SPY
options are, as noted, used by large institutions and traders as a
means to invest in or hedge the overall direction of the market.
Second, SPY options are one-tenth the size of options on the S&P 500
Index, traded under the symbol SPX.\8\ Thus, a position limit of
300,000 contracts in SPY options is equivalent to a 30,000 contract
position limit in options on SPX. Traders who trade SPY options to
hedge positions in SPX options (and the SPY ETF) have indicated on
several occasions that the current position limit for SPY options is
simply too restrictive, which may adversely affect their (and the
Exchange's) ability to provide liquidity in this product. Finally, the
products that are perhaps most comparable to SPY options, namely
options on QQQ, are subject to a 900,000 contract position limit on the
same side of the market.\9\ This has, in light of the huge run-up in
SPY option trading making them the number one nationally-ranked option
in terms of volume, resulted in a skewed and unacceptable SPY option
position limit. Specifically, the position limit for SPY options at
300,000 contracts is but 33% of the position limit for the less active
options on QQQ at 900,000 contracts.\10\ The Exchange proposes that SPY
options similarly be subject to a position limit of 900,000 contracts.
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\8\ CBOE, which exclusively lists and trades SPX options, has
established that there are no position limits on SPX options. See
CBOE Rule 24.4 and Securities Exchange Act Release No. 44994
(October 26, 2001), 66 FR 55722 (November 2, 2001) (SR-CBOE-2001-
22).
\9\ See Commentary .07 to Rule 904 and Securities Exchange Act
Release No. 57415 (March 3, 2008), 73 FR 12479 (March 7, 2008) (SR-
Amex-2008-16). See also Securities Exchange Act Release No. 51316
(March 3, 2005), 70 FR 12251 (March 11, 2005) (SR-Amex-2005-029).
\10\ Similarly to SPY options being one-tenth the size of
options on SPX, QQQ options are also one-tenth the size of options
on the related index NASDAQ-100 Index (option symbol NDX). The
position limit for QQQ options and its related index NDX have a
comparable relationship to that of SPY options and SPX. That is, the
position limit for options on QQQ is 900,000 contracts and there is
no position limit for NDX options.
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The volume and notional value of SPY options and QQQ options as
well as the volume and market capitalizations of their underlying ETFs,
are set forth below:
--------------------------------------------------------------------------------------------------------------------------------------------------------
Option notional
Option national rank 2010 Option symbol Name of underlying Option ADV 2010 value* as of Current options
ETF December 31, 2010 position limit
--------------------------------------------------------------------------------------------------------------------------------------------------------
1.............................. SPY............................ SPDR S&P 500........ 3,625,904 contracts. $177,823,76 million. 300,000 contracts.
4.............................. QQQ............................ Powershares QQQ 963,502 contracts... $27,141,91 million.. 900,000 contracts.
Trust.
--------------------------------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
ETF market
ETF Nat'l rank 2010 Name of ETF ETF ADV 2010 capitalization ETF average
December 31, 2010 dollar volume
----------------------------------------------------------------------------------------------------------------
1............................. SPDR S&P 500....... 210,232,241 shares. $90,280.71 million $20,794 million
3............................. Powershares QQQ 85,602,200 shares.. $23,564.8 million. $3,593 million
Trust.
----------------------------------------------------------------------------------------------------------------
* Notional value is calculated as follows: OI x Close x 100; where OI = underlying security's open interest (in
contracts), Close = closing price of underlying security on 12/31/2010.
[[Page 45901]]
The Exchange notes that the Large Option Position Reporting
requirement in NYSE Amex Rule 906 would continue to apply. Rule 906
requires ATP Holders to file a report with the Exchange with respect to
each account in which the ATP Holder has an interest; each account of a
partner, officer, director, trustee or employee of such ATP Holder; and
each customer account that has established an aggregate position
(whether long or short) that meets certain determined thresholds (e.g.,
200 or more option contracts if the underlying security is a stock or
Exchange-Traded Fund Share). Rule 906 also permits the Exchange to
impose a higher margin requirement upon the account of an ATP Holder
when it determines that the account maintains an under-hedged position.
Furthermore, large stock holdings must be disclosed to the Commission
by way of Schedules 13D or 13G.\11\
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\11\ 17 CFR 240.13d-1
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Monitoring accounts maintaining large positions provides the
Exchange with the information necessary to determine whether to impose
additional margin and/or whether to assess capital charges upon an ATP
Holder carrying the account. In addition, the Commission's net capital
rule, Rule 15c3-1 under the Securities Exchange Act of 1934
(``Act''),\12\ imposes a capital charge on ATP Holders to the extent of
any margin deficiency resulting from the higher margin requirement,
which should serve as an additional form of protection.
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\12\ 17 CFR 240.15c3-1.
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The Exchange believes that position and exercise limits, at their
current levels, no longer serve their stated purpose. There has been a
steadfast and significant increase over the last decade in the overall
volume of exchange-traded options; position limits, however, have not
kept up with the volume. Part of this volume is attributable to a
corresponding increase in the number of overall market participants,
which has, in turn, brought about additional depth and increased
liquidity in exchange-traded options.\13\
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\13\ The Commission has previously observed that: ``Since the
inception of standardized options trading, the options exchanges
have had rules imposing limits on the aggregate number of options
contracts that a member or customer could hold or exercise. These
rules are intended to prevent the establishment of options positions
that can be used or might create incentives to manipulate or disrupt
the underlying market so as to benefit the options position. In
particular, position and exercise limits are designed to minimize
the potential for mini-manipulations and for corners or squeezes of
the underlying market. In addition such limits serve to reduce the
possibility for disruption of the options market itself, especially
in illiquid options classes.'' See Securities Exchange Act Release
No. 39489 (December 24, 1997), 63 FR 276, 278 (January 5, 1998) (SR-
CBOE-97-11) (footnote omitted).
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As the anniversary of listed options trading approaches its
fortieth year, the Exchange believes that the existing surveillance
procedures and reporting requirements at the Exchange, other options
exchanges, and at the several clearing firms are capable of properly
identifying unusual and/or illegal trading activity. In addition,
routine oversight inspections of the Exchange's regulatory programs by
the Commission have not uncovered any material inconsistencies or
shortcomings in the manner in which the Exchange's market surveillance
is conducted. These procedures utilize daily monitoring of market
movements via automated surveillance techniques to identify unusual
activity in both options and underlying stocks.\14\
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\14\ These procedures have been effective for the surveillance
of SPY options trading and will continue to be employed.
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Finally, the Exchange believes that while position limits on
options on QQQ, which as noted are similar to SPY options, has been
gradually expanded from 75,000 contracts to the current level of
900,000 contracts since 2005, there have been no adverse effects on the
market as a result of this position limit increase.\15\ Likewise, there
have been no adverse effects on the market from expanding the position
limit for SPY options from 75,000 contracts to the current level of
300,000 contracts in 2005.\16\
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\15\ See supra note 9. See e-mail from Joseph Corcoran, Chief
Counsel, NYSE to Arisa Tinaves, Special Counsel, Division of Trading
and Markets, dated July 19, 2011.
\16\ See Securities Exchange Act Release No. 51043 (January 14,
2005), 70 FR 3402 (January 24, 2005) (SR-Amex-2005-06).
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The Exchange believes that restrictive option position limits
prevent large customers, such as mutual funds and pension funds, from
using options to gain meaningful exposure to and hedging protection
through the use of SPY options. This can result in lost liquidity in
both the options market and the equity market. The proposed position
limit increase would remedy this situation to the benefit of large as
well as retail traders, investors, and public customers. The Exchange
believes that increasing position and exercise limits for SPY options
would lead to a more liquid and competitive market environment for SPY
options that would benefit customers interested in this product.
Update to Names
The Exchange proposes non-substantive technical changes to update
the names and one trading symbol for the option products specifically
identified within Commentary .07 to NYSE Amex Rule 904. This change
would result in Commentary .07 reflecting the current names and symbols
by which these products trade in the marketplace as follows: Nasdaq-100
Tracking Stock (QQQQ) changes to PowerShares QQQ Trust\SM\, Series 1
(QQQ); Standard & Poor's Depositary Receipts Trust (SPDR) changes to
SPDR[supreg] S&P 500[supreg] ETF (SPY); and DIAMONDS Trust changes to
SPDR[supreg] Dow Jones Industrial Average\SM\ ETF Trust (DIA).
2. Statutory Basis
The proposed rule change is consistent with Section 6(b) \17\ of
the Act, in general, and furthers the objectives of Section
6(b)(5),\18\ in particular, in that it is 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, to
remove impediments to and perfect the mechanism of a free and open
market and a national market system and, in general, to protect
investors and the public interest. The Exchange is proposing to expand
the position limits on SPY options. The Exchange believes that this
proposal would be beneficial to large market makers (which generally
have the greatest potential and actual ability to provide liquidity and
depth in the product), as well as retail traders, investors, and public
customers.
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\17\ 15 U.S.C. 78f(b).
\18\ 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
The Exchange has neither solicited nor received written comments on
the proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Because the proposed rule change does not (i) Significantly affect
the protection of investors or the public interest; (ii) impose any
significant burden on competition; and (iii) become
[[Page 45902]]
operative prior to 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, provided that the
self-regulatory organization has given the Commission written notice of
its intent to file the proposed rule change at least five business days
prior to the date of filing of the proposed rule change or such shorter
time as designated by the Commission, the proposed rule change has
become effective pursuant to Section 19(b)(3)(A) of the Act \19\ and
Rule 19b-4(f)(6)(iii) thereunder.\20\
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\19\ 15 U.S.C. 78s(b)(3)(A).
\20\ 17 CFR 240.19b-4(f)(6).
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A proposed rule change filed under Rule 19b-4(f)(6) \21\ normally
does not become operative prior to 30 days after the date of the
filing. However, pursuant to Rule 19b-4(f)(6)(iii),\22\ the Commission
may 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 so that
the proposal may become operative immediately upon filing. The
Commission believes that waiving the 30-day operative delay is
consistent with the protection of investors and the public interest,
because increasing position and exercise limits for SPY options would
lead to a more liquid and competitive market environment that would
benefit customers interested in this product. Additionally, it will
enable the Exchange's position and exercise limits for SPY options to
be consistent with those of other exchanges that have already adopted
the higher position and exercise limits. Therefore, the Commission
designates the proposal operative upon filing.\23\
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\21\ 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 filing of the
proposed rule change, or such shorter time as designated by the
Commission. The Commission notes that the Exchange has satisfied
this requirement.
\22\ 17 CFR 240.19b-4(f)(6)(iii).
\23\ For purposes only of waiving the 30-day operative delay,
the Commission has considered the proposed rule's impact on
efficiency, competition, and capital formation. See 15 U.S.C.
78c(f).
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At any time within 60 days of the filing of such proposed rule
change, the Commission summarily may 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.
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-NYSEAmex-2011-50 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-NYSEAmex-2011-50. 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
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 No. SR-
NYSEAmex-2011-50 and should be submitted on or before August 22, 2011.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\24\
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\24\ 17 CFR 200.30-3(a)(12).
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Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011-19328 Filed 7-29-11; 8:45 am]
BILLING CODE 8011-01-P
