[Federal Register Volume 75, Number 183 (Wednesday, September 22, 2010)]
[Notices]
[Pages 57823-57825]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2010-23603]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-62909; File No. SR-BX-2010-063]
Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of
Filing and Immediate Effectiveness of Proposed Rule Change Adding the
CBOE Volatility Index Futures to the Definition of a Futures Reference
Asset in Chapter IV, Section 3(k)(i)(5)
September 14, 2010.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on September 8, 2010, NASDAQ OMX BX, Inc. (the ``Exchange'') filed with
the Securities and Exchange Commission (``Commission'') the proposed
rule change as described in Items I and II below, which Items have been
prepared by the self-regulatory organization. The Commission is
publishing this notice to solicit comments on the proposed rule 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 Exchange proposes to amend Chapter IV, Section 3 (Criteria for
Underlying Securities) of the Rules of the Boston Options Exchange
Group, LLC (``BOX'') to permit options on
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Futures-Linked Securities to be based on products linked to CBOE
Volatility Index Futures (``VIX Futures''). The text of the proposed
rule change is available from the principal office of the Exchange, at
the Commission's Public Reference Room and also on the Exchange's
Internet Web site at http://nasdaqomxbx.cchwallstreet.com/NASDAQOMXBX/Filings/.
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 the
Statutory Basis for, the Proposed Rule Change
1. Purpose
Chapter IV, Section 3(k) of the BOX Rules designates the listing
and trading of options on equity index-linked securities (``Equity
Index-Linked Securities'', ``Commodity-Linked Securities'', ``Currency-
Linked Securities'', ``Fixed Income Index-Linked Securities'',
``Futures-Linked Securities'' and ``Multifactor Index-Linked
Securities'', collectively known as ``Index-Linked Securities'') that
are principally traded on a national securities exchange and are
defined as an ``NMS Stock'' (as defined in Rule 600 of Regulation NMS
under the Securities and [sic] Exchange Act of 1934). BOX proposes to
amend the definition of Futures-Linked Securities for the trading of
options on Index-Linked Securities to include products linked to CBOE
Volatility Index (VIX) Futures.
Specifically, the Exchange proposes to add the CBOE Volatility
Index (VIX) Futures to the definition of a Futures Reference Asset in
Chapter IV, Section 3(k)(i)(5) of the BOX Rules.
Index-Linked Securities are designed for investors who desire to
participate in a specific market segment by providing exposure to one
or more identifiable underlying securities, commodities, currencies,
derivative instruments or market indexes of the foregoing (``Underlying
Index'' or ``Underlying Indexes''). Index-Linked Securities are the
non-convertible debt of an issuer that have a term of at least one (1)
year but not greater than thirty (30) years. Despite the fact that
Index-Linked Securities are linked to an underlying index, each trades
as a single, exchange-listed security. Accordingly, rules pertaining to
the listing and trading of standard equity options apply to Index-
Linked Securities.
Currently, the Exchange will consider listing and trading options
on Index-Linked Securities provided the Index-Linked Securities meet
the criteria for underlying securities set forth in Chapter IV, Section
3(a)-(b) of the BOX Rules.
Index-Linked Securities must meet the criteria and guidelines for
underlying securities set forth in Chapter IV, Section 3(b) of the BOX
Rules; or the Index-Linked Securities must be redeemable at the option
of the holder at least on a weekly basis through the issuer at a price
related to the applicable underlying Reference Asset.\3\ In addition,
the issuing company is obligated to issue or repurchase the securities
in aggregation units for cash or cash equivalents satisfactory to the
issuer of Index-Linked Securities which underlie the option as
described in the Index-Linked Securities prospectus.
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\3\ For the purposes of Chapter IV, Section 3(k) of the BOX
Rules, Equity Reference Assets, Commodity Reference Assets, Currency
Reference Assets, Fixed Income Reference Assets, Futures Reference
Assets together with Multifactor Reference Assets, collectively will
be referred to as ``Reference Assets'', as defined in Chapter IV,
Section 3(k)(ii) of the BOX Rules.
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Options on Index-Linked Securities will continue to be subject to
all BOX rules governing the trading of equity options. The current
continuing or maintenance listing standards for options traded on BOX
will continue to apply.
The VIX
The information in this filing relating to the VIX was taken from
the Web site of the Chicago Board Options Exchange (the ``CBOE'').
The VIX was originally developed by the CBOE in 1993 and was
calculated using S&P 100[supreg] Index options. The current methodology
for the VIX was introduced by the CBOE in September 2003 and it is now
an index that uses the quotes of certain S&P 500[supreg] Index
(``SPX'') option series to derive a measure of the volatility of the
U.S. equity market. The VIX measures market expectations of near term
volatility conveyed by the prices of options on the SPX. It provides
investors with up-to-the-minute market estimates of expected stock
market volatility over the next 30 calendar days by extracting implied
volatilities from real-time index option bid/ask quotes.
VIX Futures
Information regarding VIX Futures can be found on the Web site of
the CBOE Futures Exchange (the ``CFE''). The CFE began listing and
trading VIX Futures since March 26, 2004 under the ticker symbol VX.
VIX Futures trade between the hours of 8:30 a.m.-3:15 p.m. Central Time
(Chicago Time).
2. Statutory Basis
The Exchange believes that the proposal is consistent with the
requirements of Section 6(b) of the Act,\4\ in general, and Section
6(b)(5) of the Act,\5\ in particular, in that it is designed to foster
cooperation and coordination with persons engaged in regulating,
clearing, settling, processing information with respect to, and
facilitating transactions in securities, to remove impediments to and
perfect the mechanism for a free and open market and a national market
system and, in general, to protect investors and the public interest.
In particular, Exchange believes that the proposed rules applicable to
trading pursuant to generic listing and trading criteria, together with
the Exchange's surveillance procedures applicable to trading in the
securities covered by the proposed rules, serve to foster investor
protection.
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\4\ 15 U.S.C. 78f(b).
\5\ 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 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 comments on the
proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Because the foregoing proposed rule change: (1) Does not
significantly affect the protection of investors or the public
interest; (2) does not impose any significant burden on competition;
and (3) by its terms does not become operative for 30 days after the
date of this filing, or such shorter time as the Commission may
designate if consistent
[[Page 57825]]
with the protection of investors and the public interest, the proposed
rule change has become effective pursuant to Section 19(b)(3)(A) of the
Act \6\ and Rule 19b-4(f)(6) thereunder.\7\
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\6\ 15 U.S.C. 78s(b)(3)(A).
\7\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii)
requires a self-regulatory organization to provide the Commission
with 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 fulfilled this requirement.
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A proposed rule change filed under Rule 19b-4(f)(6) normally does
not become operative for 30 days after the date of filing. However,
Rule 19b-4(f)(6)(iii) permits the Commission to designate a shorter
time if such action is consistent with the protection of investors and
the public interest. The Exchange requests that the Commission waive
the 30-day operative delay so that the Exchange can list and trade
options on Futures-Linked Securities linked to CBOE VIX Futures
immediately. The Commission believes that waiving the 30-day operative
delay to permit the Exchange to list and trade options on Futures-
Linked Securities linked to CBOE VIX Futures without delay is
consistent with the protection of investors and the public interest.\8\
The Commission notes the proposal is substantively identical to
proposals that were recently approved by the Commission, and does not
raise any new regulatory issues.\9\ For these reasons, the Commission
designates the proposed rule change as operative upon filing.
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\8\ For purposes only of waiving the 30-day operative delay, the
Commission has also considered the proposed rule's impact on
efficiency, competition, and capital formation. See 15 U.S.C.
78c(f).
\9\ See Securities Exchange Act Release No. 60857 (Oct. 21,
2009), 74 FR 55611 (Oct. 28, 2009) (SR-CBOE-2009-074); See also
Securities Exchange Act Release No. 60822 (Oct. 14, 2009), 74 FR
54114 (Oct. 21, 2009) (SR-NYSEArca-2009-77); and Securities Exchange
Act Release No. 60823 (Oct. 14, 2009), 74 FR 54112 (Oct. 21, 2009)
(SR-NYSEAmex-2009-59).
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At any time within 60 days of the filing of the 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 (http://www.sec.gov/rules/sro.shtml); or
Send an e-mail to [email protected]. Please include
File Number SR-BX-2010-063 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-BX-2010-063. 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 website (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 website 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.\10\ 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-BX-2010-063 and should be
submitted on or before October 13, 2010.
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\10\ The text of the proposed rule change is available on the
Commission's Web site at http://www.sec.gov.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\11\
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\11\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010-23603 Filed 9-21-10; 8:45 am]
BILLING CODE 8010-01-P