[Federal Register Volume 75, Number 159 (Wednesday, August 18, 2010)]
[Notices]
[Pages 51134-51138]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2010-20406]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-62703; File No. SR-ISE-2010-81]
Self-Regulatory Organizations; International Securities Exchange,
LLC; Notice of Filing of Proposed Rule Change Relating to Trading
Options on a Reduced Value of the DAX Index, Including Long-Term
Options
August 12, 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 3, 2010, the International Securities Exchange, Inc.
(the ``Exchange'' or the ``ISE'') filed with the Securities and
Exchange Commission (the ``Commission'') the proposed rule change,
replacing the original filing in its entirety, as described in Items I
and II, which items have been prepared by the self-regulatory
organization. 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\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The ISE is proposing to amend its rules to trade options on a
reduced value DAX Index (``Mini DAX''). The Mini DAX represents 1/10th
of the full value of the DAX Index. The Exchange also proposes to list
and trade long-term options on the Mini DAX. Options on the Mini DAX
will be A.M. cash-settled and will have European-style exercise
provisions. The text of the proposed rule change is available on the
Exchange's Web site at http://www.ise.com, on the Commission's Web site
at http://www.sec.gov, at the Exchange, and at the Commission's Public
Reference Room. A copy of this filing is available on the Exchange's
Web site at http://www.ise.com, at the Exchange's principal office 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, 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
(a) Purpose
The Exchange proposes to amend its Rules 2001, 2004 and 2009 to
provide for the listing and trading of options on the Mini DAX, which
represents 1/10th of the full value of the DAX Index. In addition to
options on the Mini DAX, the Exchange may list long-term options on the
Mini DAX (the ``Mini DAX LEAPS'').\3\ Options on the Mini DAX will A.M.
cash-settled and will have European-style exercise provisions.
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\3\ Under ISE Rule 2009(b), ``Long-Term Index Options Series,''
the Exchange may list long-term options that expire from 12 to 60
months from the date of issuance.
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The DAX Index is an internationally recognized, capitalization-
weighted index based on the prices of the 30 most highly capitalized
German stocks admitted to the Prime Standard Segment of the FWB
Frankfurter Wertpapierb[ouml]rse (Frankfurt Stock Exchange) and traded
on the Xetra trading system operated by Deutsche B[ouml]rse AG
(``DBAG''). DBAG is regulated by the German Federal Financial
Supervisory Authority (``BaFin''). DBAG's Xetra trading system is a
fully electronic order book trading service. Xetra is the central price
formation and trading service for the securities comprising the DAX
Index. DBAG and the SIX Swiss Exchange jointly operate a fully
electronic derivatives exchange called Eurex. Eurex lists futures and
options on, among other things, equities, equity indexes, interest
rates, and commodities.
[[Page 51135]]
Currently, DBAG lists equity options and futures on the components
of the DAX Index and equity index options and futures on the DAX Index
itself. The Exchange notes that the Commission previously provided an
exemption under the Investment Company Act of 1940 for the issuance of
an exchange traded fund by Northern Trust Global Investments called the
NETS DAX Index Fund (``DAX Fund'') that held as its portfolio the
components of the DAX Index.\4\ Further, in 1994, the Chicago Board
Options Exchange (``CBOE'') had filed a proposed rule change to list
options, including long-term options, on a reduced-value of the DAX
Index.\5\
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\4\ See Investment Company Act Release No. 28166 (February 25,
2008), 73 FR 10828 (February 28, 2008).
\5\ See Securities Exchange Act Release No. 35130 (December 20,
1994), 59 FR 66985 (December 28, 1994) (SR-CBOE-94-47) (Notice of
Filing of Proposed Rule Change by the Chicago Board Options
Exchange, Inc. Relating to the Listing of Options and Long-Term
Options on a Reduced-Value of the DAX).
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Index Design and Composition
The DAX Index was launched on July 1, 1988 by the Frankfurt Stock
Exchange, Arbeitsgemeinschaft der Deutschen Wertpapierb[ouml]rsen
(Association of German Stock Exchanges) and B[ouml]rsen-Zeitung (a
German stock exchange newspaper). The DAX Index is administered and
maintained by DBAG \6\ on the basis of Xetra prices for the component
stocks and calculated in real-time once per second. The DAX Index is a
capitalization-weighted index where the weight of any individual
component is proportional to its respective share in the total market
capitalization of all the components. To qualify for inclusion in the
DAX Index, a company must, at a minimum, satisfy the following
conditions: (1) It must be admitted to the Prime Standard Segment of
the Frankfurt Stock Exchange; (2) it must be traded continuously on
Xetra; (3) it must have a free float of at least 10%; (4) it must be
headquartered in Germany, or if headquartered elsewhere in the European
Union then 33% of its aggregate volume for each of the past three
months must have been executed on the Frankfurt Stock Exchange; and (5)
it must be sufficiently liquid to be traded.\7\
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\6\ All decisions regarding the composition of and possible
modifications to the DAX Index are exclusively made by the
Management Board of DBAG, and are published in a press release and
on http://www.deutsche-boerse.com in the evening after the Committee
has concluded its meeting.
\7\ See ``Guide to the Equity Indices of Deutsche B[ouml]rse,''
at http://www.deutsche-boerse.com for complete eligibility criteria.
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The DAX Index consists of the 30 most highly liquid and capitalized
German stocks ranked by float-adjusted market capitalization.\8\ The
Management Board of DBAG decides whether changes are to be made to the
composition of the index on an annual basis in September but also
performs quarterly reviews of the components' free float.
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\8\ Float-adjusted market capitalization (as opposed to an
unadjusted methodology) refers to the number of free-float shares
available multiplied by the share price. A ``free-float'' index
methodology usually excludes shares held by strategic investors by
way of cross ownership, government ownership, private ownership and
restricted share ownership.
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As set forth in Exhibit 3-1, as of February 16, 2010, following are
the characteristics of the DAX Index: (i) The total capitalization of
all of the components in the Index is [euro]641.49 billion; (ii)
regarding component capitalization, (a) the highest capitalization of a
component is [euro]58.78 billion (Salzgitter AG), (b) the lowest
capitalization of a component is [euro]3.91 billion (K+S AG), (c) the
mean capitalization of the components is [euro]21.38 billion, and (d)
the median capitalization of the components is [euro]14.31 billion;
(iii) regarding component price per share, (a) the highest price per
share of a component is [euro]109.85 (Muenchener Rueckversicherungs
AG), (b) the lowest price per share of a component is [euro]4.09
(Infineon Technologies AG), (c) the mean price per share of a component
is [euro]43.50, and (d) the median price per share of a component is
[euro]42.29; (iv) regarding component weightings, (a) the highest
weighting of a component is 10.65% (Siemens AG), (b) the lowest
weighting of a component is 0.49% (Salzgitter AG), (c) the mean
weighting of the components is 3.33%, (d) the median weighting of the
components is 1.70%, and (e) the total weighting of the top five
highest weighted components is 43.55% (Siemens AG, E.ON AG, Bayer A,
BASF SE, Allianz SE); (v) regarding component available shares, (a) the
most available shares of a component is 4.36 billion (Deutsche Telekom
AG), (b) the least available shares of a component is 60.01 million
(Salzgitter AG), (c) the mean available shares of the components is
680.74 million, and (d) the median available shares of the components
is 455.92 million; (vi) regarding the six month average daily volumes
of the components, (a) the highest six month average daily volume of a
component is 293.27 million (Deutsche Bank AG), (b) the lowest six
month average daily volume of a component is 20.84 million (Fresenius
SE) (c) the mean six month average daily volume of the components is
105.21 million, (d) the median six month average daily volume of the
components is 78.44 million, (e) the average of six month average daily
volumes of the five most heavily traded components is 1.18 billion
(Deutsche Bank AG, Siemens AG, E.ON AG, Allianz SE, Daimler AG), and
(f) 100% of the components had a six month average daily volume of at
least 50,000.
Index Calculation and Index Maintenance
The base index value of the DAX Index was 1000, as of December 31,
1987. On February 16, 2010, the index value of the DAX Index was
5592.12. The Exchange believes that this level may be too high for
successful options trading because the premium for options on the full
value of the DAX Index are also likely to be high, which may deter
retail investors. As a result, the Exchange proposes to base trading in
options on a reduced value DAX Index. Specifically, the Exchange
proposes to list options on the Mini DAX that are based on one-tenth of
the value of the DAX. The Exchange believes that listing options on
reduced values will attract a greater source of customer business. The
Exchange further believes that listing options on a reduced value will
provide an opportunity for investors to hedge, or speculate on, the
market risk associated with the stocks comprising the DAX Index.
Additionally, by reducing the value of the DAX Index, investors will be
able to use this trading vehicle while extending a smaller outlay of
capital. The Exchange believes that this should attract additional
investors, and, in turn, create a more active and liquid trading
environment.\9\
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\9\ The concept of listing reduced value options on an index is
not a novel one. For example, the Commission has previously approved
the listing of reduced value options on the S&P 500 Index [See
Exchange Act Release No. 34-32893 (September 14, 1993)], the Nasdaq
100 Index [See Exchange Act Release No. 34-43000 (July 10, 2000)],
and the NYSE Composite Index [See Exchange Act Release No. 34-48681
(November 3, 2003)].
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Index levels for options on the Mini DAX shall be calculated by
DBAG or its agent, and shall be disseminated by ISE every 15 seconds
during the Exchange's regular trading hours to market information
vendors via the Options Price Reporting Authority (``OPRA'').\10\ The
methodology used to calculate the value of the DAX Index is similar to
the methodology used to calculate the value of other well-known market-
capitalization weighted indexes. The
[[Page 51136]]
level of the DAX Index reflects the float-adjusted market value of the
component stocks relative to a particular base period and is computed
by dividing the total market value of the companies in each index by
its respective index divisor.\11\
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\10\ The Exchange shall also disseminate these values to its
members. The DAX Index will be published daily through major
quotation vendors, such as ThomsonReuters.
\11\ A divisor is an arbitrary number chosen at the starting
date of an index to fix the index starting value. The divisor is
adjusted periodically when capitalization amendments are made to the
constituents of the index in order to allow the index value to
remain comparable over time. Without a divisor the index value would
change when corporate actions took place and would not reflect the
true value of an underlying portfolio based upon the index.
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The DAX Index is currently updated on a real-time basis from 9 a.m.
to 5:45 p.m. (Frankfurt time), which generally corresponds to 3 a.m. to
11:45 a.m. (New York time). The Exchange, or its agent, shall
disseminate Mini DAX Index values via OPRA or major market data vendors
between 3 a.m. and 11:45 a.m. (New York time). After 11:45 a.m. (New
York time), the Exchange, or its agent, shall disseminate a static
value of the Mini DAX until the close of trading each day. The DAX
Index is calculated using the last traded price of the component
securities. If a component security does not open for trading, the
price of that security at the close or the index on the previous day is
used in the calculation.\12\
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\12\ The DAX Index is published daily and is available real-time
on ThomsonReuters, Bloomberg, and other market information systems
which disseminate information on a real-time basis.
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The DAX Index will be monitored and maintained by DBAG. DBAG will
be responsible for making all necessary adjustments to the indexes to
reflect component deletions, share changes, stock splits, stock
dividends (other than an ordinary cash dividend), and stock price
adjustments due to restructuring, mergers, or spin-offs involving the
underlying components. Some corporate actions, such as stock splits and
stock dividends, require simple changes to the available shares
outstanding and the stock prices of the underlying components. Other
corporate actions, such as share issuances, change the market value and
would require changing the index divisor to effect adjustments.
The DAX Index is subject to a full review and, if necessary,
ordinary adjustments are made once a year in September, where all
components are screened for eligibility and ranked based on liquidity
and market capitalization. Quarterly reviews are also performed in
March, June, September and December, where components' free float
levels are reviewed and extraordinary adjustments may be made.
Specifically, any component with a weight greater than 10% will have
its free float share count adjusted such that its weight will be
reduced back down to 10%. Further, a component is generally replaced if
its ranking among all eligible companies is lower than (worse than) 45.
Similarly, an eligible candidate company is generally added if it's
ranking among all eligible stocks is higher than (better than) or equal
to 25. If a component company is deleted from the DAX Index between
reviews as a result of a merger, takeover or other corporate action,
the highest ranking company will replace it in the index.
Although the Exchange is not involved in the maintenance of the DAX
Index, the Exchange represents that it will monitor the DAX Index on a
quarterly basis, at which point the Exchange will notify the staff of
the Division of Trading and Markets of the Commission by filing a
proposed rule change pursuant to Rule 19b-4 and cease to list any
additional series for trading, if, with respect to the DAX Index: (i)
The number of securities in the DAX Index drops by 1/3rd or more; (ii)
10% or more of the weight of the DAX Index is represented by component
securities having a market value of less than [euro]50 million; (iii)
10% or more of the weight of the DAX Index is represented by component
securities trading less than 20,000 shares per day; or (iv) the largest
component security accounts for more than 15% of the weight of the DAX
Index or the largest five components in the aggregate account for more
than 50% of the weight of the DAX Index.
The Exchange will also notify the staff of the Division of Trading
and Markets of the Commission immediately in the event DBAG ceases to
maintain and calculate the DAX Index, or in the event values of the DAX
Index are not disseminated every 15 seconds by a widely available
source. In the event the DAX Index ceases to be maintained or
calculated, or its values are not disseminated every 15 seconds by a
widely available source, the Exchange will not list any additional
series for trading and will limit all transactions in such options to
closing transactions only for the purpose of maintaining a fair and
orderly market and protecting investors.
Exercise and Settlement Value
Options on the Mini DAX will expire on the Saturday following the
third Friday of the expiration month. Trading in options on the Mini
DAX will normally cease at 4:15 p.m. (New York time) on the Thursday
preceding an expiration Saturday. The index value for exercise of the
Mini DAX options will be calculated by DBAG based on the Xetra intra-
day auction prices for each of the component companies. That value is
also used as the basis for settlement of DAX Index futures and options
contracts traded on Eurex. The intra-day auction occurs between 1:00
p.m. and 1:05 p.m. (German time) on the third Friday of the expiration
month, which generally corresponds to 7 a.m. to 7:05 a.m. (New York
time). Therefore, because trading in the expiring contract months will
normally cease on a Thursday at 4:15 p.m. (New York time), the index
value for exercise will be determined the day after trading has ceased,
i.e., during the Friday afternoon Xetra trading session, or generally
by 7:05 a.m. (New York time). If no price is established for a
component company during the Xetra intraday auction, then the next
available price is used. If no price is available by the end of the
Xetra trading session then the last price available is used for
calculation. When the auction is finished, the index values are
disseminated as the settlement values. The settlement values are widely
disseminated through major market data vendors including ThomsonReuters
and Bloomberg.
If the Frankfurt Stock Exchange is closed on the Friday before
expiration, but the ISE remains open, then the last trading day for
expiring Mini DAX options will be moved earlier to Wednesday as if the
ISE had had a Friday holiday. The settlement index value used for
exercise will be calculated during Xetra's intra-day auction on
Thursday morning.
Contract Specifications
The contract specifications for options on the Mini DAX are set
forth in Exhibits 3-2. The Mini DAX is a broad-based index, as defined
in Exchange Rule 2001(j). Options on the Mini DAX are European-style
and A.M. cash-settled. The Exchange's standard trading hours for broad-
based index options (9:30 a.m. to 4:15 p.m., New York time), as set
forth in Rule 2008(a), will apply to the trading of options on the Mini
DAX. Exchange rules that are applicable to the trading of options on
broad-based indexes will also apply to the trading of Mini DAX
options.\13\ Specifically, the trading of Mini DAX options will be
subject to, among others, Exchange rules governing margin requirements
and trading halt procedures for index options. Further, Mini DAX
options shall be quoted and traded in U.S. dollars.
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\13\ See ISE Rules 2000 through 2012.
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[[Page 51137]]
For options on the Mini DAX, the Exchange proposes to establish
aggregate position limits at 250,000 contracts on the same side of the
market, provided no more than 150,000 of such contracts are in the
nearest expiration month series. These limits are identical to the
limits that were approved for options on the FTSE Indexes previously
approved by the Commission.\14\ Additionally, under ISE Rule 2006, an
index option hedge exemption for public customers may be available
which may expand the position limit up to an additional 750,000
contracts.\15\ Furthermore, proprietary accounts of members may receive
an exemption of up to 500,000 contracts for the purpose of facilitating
public customer orders.\16\
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\14\ See Securities Exchange Act Release No. 53484 (March 14,
2006), 71 FR 14268 (March 21, 2006) (Notice of Filing and Order
Granting Accelerated Approval to a Proposed Rule Change and
Amendment No. 1 Thereto Relating to Trading Options on Full and
Reduced Values of the FTSE 100 Index and the FTSE 250 Index,
Including Long-Term Options).
\15\ The same limits that apply to position limits shall apply
to exercise limits for these products.
\16\ See ISE Rule 413(c).
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The Exchange proposes to apply broad-based index margin
requirements for the purchase and sale of options on the Mini DAX.
Accordingly, purchases of put or call options with 9 months or less
until expiration must be paid for in full. Writers of uncovered put or
call options must deposit/maintain 100% of the option proceeds, plus
15% of the aggregate contract value (current index level x $100), less
any out-of-the-money amount, subject to a minimum of the option
proceeds plus 10% of the aggregate contract value for call options and
a minimum of the option proceeds plus 10% of the aggregate exercise
price amount for put options.
The Exchange proposes to set minimum strike price intervals for
Mini DAX options at 1 point intervals. The minimum tick size for series
trading below $3 shall be $0.05, and for series trading at or above $3
shall be $0.10.
The Exchange proposes to list options on the Mini DAX in the three
consecutive near-term expiration months plus up to three successive
expiration months in the March cycle. For example, consecutive
expirations of January, February, March, plus June, September, and
December expirations would be listed.\17\ The trading of options on the
Mini DAX shall be subject to the same rules that presently govern the
trading of Exchange index options, including sales practice rules,
margin requirements, trading rules, and position and exercise limits.
In addition, long-term option series having up to sixty months to
expiration may be traded.\18\ The trading of long-term Mini DAX options
shall also be subject to the same rules that govern the trading of all
the Exchange's index options, including sales practice rules, margin
requirements, and trading rules.
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\17\ See Rule 2009(a)(3).
\18\ See Rule 2009(b)(1). The Exchange is not listing reduced
value LEAPS on the Mini DAX pursuant to Rule 2009(b)(2).
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Chapter 6 of the Exchange's rules is designed to protect public
customer trading and shall apply to the trading of options on the Mini
DAX. Specifically, ISE Rules 608(a) and (b) prohibit Members from
accepting a customer order to purchase or write an option unless such
customer's account has been approved in writing by a designated Options
Principal of the Member.\19\ Additionally, ISE's Rule 610 regarding
suitability is designed to ensure that options are only sold to
customers capable of evaluating and bearing the risks associated with
trading in this instrument. Further, ISE Rule 611 permits members to
exercise discretionary power with respect to trading options in a
customer's account only if the Member has received prior written
authorization from the customer and the account had been accepted in
writing by a designated Options Principal. ISE Rule 611 also requires
designated Options Principals or Representatives of a Member to approve
and initial each discretionary order on the day the discretionary order
is entered. Finally, ISE Rule 609, Supervision of Accounts, Rule 612,
Confirmation to Customers, and Rule 616, Delivery of Current Options
Disclosure Documents and Prospectus, will also apply to trading in of
options on the Mini DAX.
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\19\ Pursuant to ISE Rule 602, Representatives of a Member may
solicit or accept customer orders for FCOs.
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Surveillance and Capacity
The Exchange represents that it has an adequate surveillance
program in place for options traded on the Mini DAX. The ISE Market
Surveillance Department conducts routine surveillance in approximately
30 discrete areas. Index products and their respective symbols are
integrated into the Exchange's existing surveillance system
architecture and are thus subject to the relevant surveillance
processes. This is true for both surveillance system processing and
manual processes that support the ISE's surveillance program. Further,
both ISE and the Frankfurt Stock Exchange, operated by DBAG, are
members of the Intermarket Surveillance Group (``ISG''), created under
the Intermarket Surveillance Group Agreement, dated June 20, 1994.
Through its membership in the ISG, ISE may obtain trading information
via the ISG from other exchanges who are members or affiliates of the
ISG. The members of the ISG include all of the U.S. registered stock
and options markets. The ISG members work together to coordinate
surveillance and investigative information sharing in the stock and
options markets.
Finally, the Exchange has the necessary systems capacity to support
new options series that will result from the introduction of options on
the Mini DAX, including LEAPS.
(b) Statutory Basis
The Exchange believes that the proposed rule change is consistent
with Section 6(b) of the Securities Exchange Act of 1934 (the ``Act'')
in general, and furthers the objectives of Section 6(b)(5) in
particular in that it will permit options trading in the Mini DAX
pursuant to rules designed to prevent fraudulent and manipulative acts
and practices and promote just and equitable principles of trade.
B. Self-Regulatory Organization's Statement on Burden on Competition
The proposed rule change does not impose any burden on competition.
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
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate 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:
(A) By order approve or disapprove the 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,
[[Page 51138]]
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 (http://www.sec.gov/rules/sro.shtml); or
Send an e-mail to [email protected]. Please include File No.
SR-ISE-2010-81 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-ISE-2010-81. 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 (http://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 ISE. 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-ISE-2010-81 and should be
submitted on or before September 8, 2010.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\20\
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\20\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010-20406 Filed 8-17-10; 8:45 am]
BILLING CODE 8010-01-P