[Federal Register Volume 75, Number 63 (Friday, April 2, 2010)]
[Notices]
[Pages 16888-16891]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2010-7462]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-61785; File No. SR-CBOE-2010-021]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Notice of Proposed Rule Change Relating to Correlated
Instrument Delta Hedge Exemption
March 25, 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 March 19, 2010, the Chicago Board Options Exchange, Incorporated
(``Exchange'' or ``CBOE'') filed with the Securities and Exchange
Commission (``Commission'') the proposed rule change as described in
Items I, II, and III below, which Items have been prepared by the
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\ 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
CBOE proposes to (i) expand the delta hedging exemption available
for equity options position limits, (ii) amend the reporting
requirements applicable to members relying on the delta hedging
exemption, and (iii) adopt a delta hedging exemption from certain index
options position limits. The text of the rule proposal is available on
the Exchange's Web site (http://www.cboe.org/legal), at the Exchange's
Office of the Secretary and at the 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 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
I. Expansion of Delta-Based Equity Hedge Exemption
On December 14, 2007,\3\ the Commission approved a proposed rule
change establishing an exemption from equity options position and
exercise limits for positions held by CBOE members, and certain of
their affiliates, that are ``delta neutral'' \4\ under a ``permitted
pricing model'' \5\, subject to certain conditions (``Exemption'').
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\3\ See Securities Exchange Act Release No. 56970 (December 14,
2007), 72 FR 72428 (December 20, 2007). The exemption was extended
to certain customers whose accounts are carried by a member. See
Securities Exchange Act Release No. 60555 (August 21, 2009), 74 FR
43741 (August 27, 2009).
\4\ The term ``delta neutral'' is defined in Rule 4.11.04(c)(A)
as referring to an equity option position that is hedged, in
accordance with a permitted pricing model, by a position in the
underlying security or one or more instruments relating to the
underlying security, for the purpose of offsetting the risk that the
value of the option position will change with incremental changes in
the price of the security underlying the option position.
\5\ Permitted pricing model is defined in Rule 4.11.04(c)(C).
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The ``options contract equivalent of the net delta'' of a hedged
equity option position is subject to the position limits under Rule
4.11, subject to the availability of other exemptions.\6\ Currently,
the Exemption only is available for securities that directly underlie
the applicable option position. This means that with respect to options
on exchange-traded funds (``ETF options''), index options overlying the
same index on which the ETF is based currently cannot be combined with
the ETF options to calculate a net delta for purposes of the Exemption.
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\6\ The term ``options contract equivalent of the net delta'' is
defined in Rule 4.11.04(c)(B) as the net delta divided by the number
of shares underlying the option contract. The term ``net delta'' is
defined in the same rule to mean, at any time, the number of shares
(either long or short) required to offset the risk that the value of
an equity option position will change with incremental changes in
the price of the security underlying the option position, as
determined in accordance with a permitted pricing model.
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Many ETF options overlie exchange-traded funds that track the
performance of an index. For example, options on Standard & Poor's
Depositary Receipts (``SPY'') track the performance of the S&P 500
index. Market participants often hedge SPY options with options on the
S&P 500 Index (``SPX options'') or with other financial instruments
based on the S&P 500 Index for risk management purposes. The Exchange
believes that in order for eligible market participants to more fully
benefit from the Exemption as it relates to ETF options, securities and
other instruments that are based on the same underlying ETF or the same
index on which the ETF is based should also be included in any
determination of an ETF option position's net delta or whether the
options position is hedged delta neutral.\7\
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\7\ However, this would not include baskets of securities for
purposes of the Exemption.
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Accordingly, the Exchange proposes to expand the Exemption by
amending Rule 4.11.04(c)(A) to permit equity option positions for which
the underlying security is an ETF that is based on the same index as an
index option to be combined with an index option position for
calculation of the delta-based equity hedge exemption. The proposed
rule would allow financial products such as securities index options,
index futures, and options on index futures to be included along with
the ETF in an equity option's net delta calculation. So for example,
the proposed rule would allow SPY options to be hedged not only with
SPY shares, but with S&P 500 options, S&P 500 futures, options on S&P
500 futures or any other instrument that tracks the performance of or
is based on the S&P 500 index. This would be accomplished by including
such positions with a related index option position in accordance with
the Delta-Based Index Hedge Exemption rule proposed below.
Index options and equity options (i.e., ETF options) that are
eligible to be combined for computing a delta-based hedge exemption,
along with all securities and/or other instruments that are based on or
track the performance of the same underlying security or index, will be
grouped and the net delta and options contract equivalent of the net
delta will be calculated for each respective option class based on
offsets realized from the grouping as a whole.
[[Page 16889]]
The Exchange proposes to amend the definition of ``net delta'' in
Rule 4.11.04(c)(B) to mean, at any time, the number of shares and/or
other units of trade \8\ (either long or short) required to offset the
risk that the value of an equity option position will change with
incremental changes in the price of the security underlying the option
position, as determined in accordance with a permitted pricing model.
The Exchange proposes to amend the definition of the ``option contract
equivalent of the net delta'' to mean the net delta divided by the
number of shares that equate to one option contract on a delta
basis.\9\
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\8\ ``Other units of trade'' would include, for example, options
or futures contracts hedging the relevant option position. When
determining whether an ETF option hedged with other instruments such
as ETF or index options is delta neutral, the relative size of the
ETF option when compared to the other product is taken into
consideration. For example, SPX options are ten (10) times larger
than SPY options thus 1 SPX delta is equivalent to .10 SPY deltas.
\9\ The Exchange also proposes to amend Rule 4.11.04(c)(C)(2) to
clarify that there is no longer a consolidated supervision program
by the SEC pursuant to Appendix E of Rule 15c3-1 of the Act.
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II. Reporting Requirement
Rule 4.11.04(c)(F) sets forth the reporting requirements applicable
to CBOE members who rely on the Exemption. The Exchange proposes to
amend Rule 4.11.04(c)(F) to exempt from the reporting requirements
Exchange Market-Makers and Designated Primary Market-Makers (``DPMs'')
relying on the Exemption who use the Options Clearing Corporation
(``OCC'') pricing model, because Market-Maker and DPM position and
delta information can be accessed through the Exchange's market
surveillance systems. This proposed exemption is consistent with
similar exemptions from the reporting requirements under Rule 4.13 and
those applicable to broad-based index options and FLEX options.\10\
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\10\ See Rules 4.13(b), 24.4.03 and 24A.7(b) and (c).
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III. Delta-Based Index Hedge Exemption
Most index options traded on the Exchange are subject to position
and exercise limits, as provided under CBOE Rules 24.4, 24.4A and
24.4B.\11\ Certain broad-based index options are not subject to
position and exercise limits.\12\ Position limits are imposed,
generally, 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 holder of the options position.
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\11\ Rules 24.4, 24.4A and 24.4B provide position limits for
broad-based index options, industry index options and micro narrow-
based index options, respectively.
\12\ Broad-based index options not subject to position and
exercise limits are DJX, OEX, XEO, NDX, RUT, VIX, VXN, VXD and SPX.
See CBOE Rules 24.4(a) and 24.5.
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Index options are often used by market participants such as
institutional investors to hedge large portfolios. Exchange rules
include hedge exemptions to allow certain positions in index options in
excess of the applicable standard position limit if hedged with an
Exchange-approved qualified portfolio.\13\ Under Rule 24.4.01(c)
(broad-based index hedge exemption), a qualified portfolio may consist
of common stocks or securities readily convertible to common stock,
and/or index futures contracts, options on index futures contracts, or
long or short positions in index options or index warrants that meet
certain standards. Under Rule 24.4A.01(a) (industry index hedge
exemption), a qualified portfolio may consist only of underlying
component stocks or in securities readily convertible to such component
stocks. In the case of both hedge exemptions, the maximum size of the
exempt position is set at a specified maximum number of contracts.
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\13\ See Interpretation and Policy .01 to Rule 24.4 (broad-based
index hedge exemption) and Interpretation and Policy .01 to Rule
24.4A (industry index hedge exemption).
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The Exchange believes that any limit on the ability of market
participants to use index options to hedge their portfolios exposes
market participants to unnecessary risk on the unhedged portion of
their portfolios. The Exchange proposes to adopt a delta-based
exemption from index option position and exercise limits that is
substantially similar to the delta-based equity hedge exemption under
Rule 4.11.04(c). A delta-based index hedge exemption would provide
market participants the ability to accumulate an unlimited number of
index options contracts provided that such contracts are properly delta
hedged in accordance with the requirements of the exemption.
Proposed Exemption. The Exchange proposes to adopt an exemption
from index options position and exercise limits \14\ for positions held
by CBOE members and certain of their affiliates, and customers that are
``delta neutral'' (as defined below) under a ``permitted pricing
model'' (as defined below), subject to certain conditions (``Index
Exemption''). The Index Exemption under proposed Rule 24.4.05 would
also apply to industry index options under proposed Rule 24.4A.03.
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\14\ Exchange Rule 24.5 establishes exercise limits for an index
option at the same level as the index option's position limit under
index options position limit rules, therefore no changes are
proposed to Rule 24.5.
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The term ``delta neutral'' is defined in proposed Rule 24.4.05(A)
as referring to an index option position that is hedged, in accordance
with a permitted pricing model, by a position in one or more correlated
instruments for the purpose of offsetting the risk that the value of
the option position will change with incremental changes in the value
of the underlying index. Correlated instruments would be defined to
mean securities and/or other instruments that track the performance of
or are based on the same underlying index as the index underlying the
option position. These definitions would allow financial products such
as ETF options, index futures, options on index futures and ETFs that
track the performance of or are based on the same underlying index to
be included in an index option's net delta calculation.\15\
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\15\ See Supra footnote 5 (sic).
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Any index option position that is not delta neutral would be
subject to position and exercise limits, subject to the availability of
other exemptions. Only the ``options contract equivalent of the net
delta'' of such position would be subject to the appropriate position
limit.\16\
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\16\ Under proposed Rule 24.4.05(B), the term ``options contract
equivalent of the net delta'' is defined as the net delta divided by
units of trade that equate to one option contract on a delta basis,
and the term ``net delta'' is defined as, at any time, the number of
shares and/or other units of trade (either long or short) required
to offset the risk that the value of an index option position will
change with incremental changes in the value of the underlying
index, as determined in accordance with a permitted pricing model.
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In addition, members could not use the same positions in correlated
instruments in connection with more than one hedge exemption.
Therefore, a position in correlated instruments used as part of a delta
hedging strategy could not also serve as the basis for any other index
hedge exemption.
Permitted Pricing Model. Under the proposed rule, the calculation
of the delta for any index option position, and the determination of
whether a particular index option position is hedged delta neutral,
must be made using a permitted pricing model. A ``permitted pricing
model'' is defined in proposed Rule 24.4.05(C) to have the same meaning
as defined in Rule 4.11.04(c)(C), namely, the pricing model maintained
and operated by OCC and the pricing models used by (i) a member or its
affiliate subject to consolidated supervision by the SEC or pursuant to
Appendix E of SEC Rule 15c3-1; (ii) a financial holding company
(``FHC'') or a company treated as an FHC under the
[[Page 16890]]
Bank Holding Company Act of 1956, or its affiliate subject to
consolidated holding company group supervision; \17\ (iii) an SEC
registered OTC derivatives dealer; \18\ and (iv) a national bank.\19\
Customers seeking to use the delta-based index hedge exemption could
only hedge their position in accordance with the OCC model.
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\17\ The pricing model of an FHC or of an affiliate of an FHC
would have to be consistent with: (i) The requirements of the Board
of Governors of the Federal Reserve System (``Fed''), as amended
from time to time, in connection with the calculation of risk-based
adjustments to capital for market risk under capital requirements of
the Fed, provided that the member or affiliate of a member relying
on this exemption in connection with the use of such model is an
entity that is part of such company's consolidated supervised
holding company group; or (ii) the standards published by the Basel
Committee on Banking Supervision, as amended from time to time and
as implemented by such company's principal regulator, in connection
with the calculation of risk-based deductions or adjustments to or
allowances for the market risk capital requirements of such
principal regulator applicable to such company--where ``principal
regulator'' means a member of the Basel Committee on Banking
Supervision that is the home country consolidated supervisor of such
company--provided that the member or affiliate of a member relying
on this exemption in connection with the use of such model is an
entity that is part of such company's consolidated supervised
holding company group. See subparagraph (C) of proposed Rule
24.4.05, which incorporates Rule 4.11.04(c)(C).
\18\ The pricing model of an SEC registered OTC derivatives
dealer would have to be consistent with the requirements of Appendix
F to SEC Rule 15c3-1 and SEC Rule 15c3-4 under the Act, as amended
from time to time, in connection with the calculation of risk-based
deductions from capital for market risk thereunder. Only an OTC
derivatives dealer and no other affiliated entity (including a
member) would be able to rely on this part of the Exemption. See
subparagraph (C) of proposed Rule 24.4.05, which incorporates Rule
4.11.04(c)(C).
\19\ The pricing model of a national bank would have to be
consistent with the requirements of the Office of the Comptroller of
the Currency, as amended from time to time, in connection with the
calculation of risk-based adjustments to capital for market risk
under capital requirements of the Office of the Comptroller of the
Currency. Only a national bank and no other affiliated entity
(including a member) would be able to rely on this part of the
Exemption. See subparagraph (C) of proposed Rule 24.4.05, which
incorporates Rule 4.11.04(c)(C).
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Aggregation of Accounts. Members, non-member affiliates and
customers relying on the Index Exemption would be required to ensure
that the permitted pricing model is applied to all positions in
correlated instruments hedging the relevant option position that are
owned or controlled by the member, or its affiliates.
However, the net delta of an index option position held by an
entity entitled to rely on the Index Exemption, or by a separate and
distinct trading unit of such entity, may be calculated without regard
to positions in correlated instruments held by an affiliated entity or
by another trading unit within the same entity, provided that: (i) The
entity demonstrates to the Exchange's satisfaction that no control
relationship, as defined in Rule 4.11.03, exists between such
affiliates or trading units, and (ii) the entity has provided the
Exchange written notice in advance that it intends to be considered
separate and distinct from any affiliate, or, as applicable, which
trading units within the entity are to be considered separate and
distinct from each other for purposes of the Index Exemption.\20\ The
Exchange has set forth in Regulatory Circular RG08-12 the conditions
under which it will deem no control relationship to exist between
affiliated broker-dealers and between separate and distinct trading
units within the same broker-dealer.
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\20\ See subparagraph (D) of proposed Rule 24.4.05.
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Any member, non-member affiliate or customer relying on the Index
Exemption must designate, by prior written notice to the Exchange, each
trading unit or entity whose options positions are required by Exchange
rules to be aggregated with the options positions of such member, non-
member affiliate or customer relying on the Index Exemption for
purposes of compliance with Exchange position or exercise limits.\21\
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\21\ See proposed Rule 24.4.05(D)(3).
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Obligations of Members and Affiliates. Any member relying on the
Index Exemption would be required to provide a written certification to
the Exchange that it is using a permitted pricing model as defined in
the rule for purposes of the Index Exemption. In addition, by such
reliance, such member would authorize any other person carrying for
such member an account including, or with whom such member has entered
into, a position in a correlated instrument hedging the relevant option
position to provide to the Exchange or OCC such information regarding
such account or position as the Exchange or OCC may request as part of
the Exchange's confirmation or verification of the accuracy of any net
delta calculation under this exemption.\22\
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\22\ See subparagraph (E) of proposed Rule 24.4.05.
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The index option positions of a non-member affiliate relying on the
Index Exemption must be carried by a member with which it is
affiliated. A member carrying an account that includes an index option
position for a non-member affiliate that intends to rely on the Index
Exemption would be required to obtain from such non-member affiliate a
written certification that it is using a permitted pricing model as
defined in the rule for purposes of the Index Exemption.\23\
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\23\ In addition, the member would be required to obtain from
such non-member affiliate a written statement confirming that such
non-member affiliate: (a) Is relying on the Index Exemption; (b)
will use only a permitted pricing model for purposes of calculating
the net delta of its option positions for purposes of the Index
Exemption; (c) will promptly notify the member if it ceases to rely
on the Index Exemption; (d) authorizes the member to provide to the
Exchange or the OCC such information regarding positions of the non-
member affiliate as the Exchange or OCC may request as part of the
Exchange's confirmation or verification of the accuracy of any net
delta calculation under the Index Exemption; and (e) if the non-
member affiliate is using the OCC Model, has duly executed and
delivered to the Exchange such documents as the Exchange may require
to be executed and delivered to the Exchange as a condition to
reliance on the Exemption. See subparagraph (E)(3) of proposed Rule
24.4.05.
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A member carrying an account that includes an index option position
for a customer that intends to rely on the Index Exemption would be
required to obtain from such customer and provide to the Exchange a
written certification that the customer is using the OCC Model as
defined in the rule for purposes of the Index Exemption.\24\
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\24\ In addition, the member would be required to obtain from
such customer a written statement confirming that such customer: (a)
Is relying on this exemption; (b) will use only the OCC Model for
purposes of calculating the net delta of the customer's option
positions for purposes of this exemption; (c) will promptly notify
the member if the customer ceases to rely on this exemption; (d) in
connection with using the OCC Model, has duly executed and delivered
to the member such documents as the Exchange may require to be
executed and delivered to the Exchange as a condition to reliance on
this exemption.
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Reporting. Under proposed Rule 24.4.05(F), each member (other than
an Exchange Market-Maker, DPM or LMM using the OCC Model) relying on
the Index Exemption would be required to report, in accordance with
Rule 4.13,\25\ (i) all index option positions (including those that are
delta neutral) that are reportable thereunder, and (ii) on its own
behalf or on behalf of a designated aggregation unit pursuant to Rule
24.4.05(D), for each such account that holds an index option position
subject to the Index Exemption in excess of the levels specified in
Rule 24.4 (and Rule 24.4A, in the case of industry index options) the
net delta and the options contract equivalent of the net delta of such
position.
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\25\ Exchange Rule 4.13 requires, among other things, that
members report to the Exchange aggregate long or short positions on
the same side of the market of 200 or more contracts of any single
class of options contracts dealt in on the Exchange.
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Records. Under proposed Rule 24.4.05(G), each member relying on the
Index Exemption would be required to (i) retain, and would be required
to undertake reasonable efforts to ensure that any non-member affiliate
of the
[[Page 16891]]
member or customer relying on the Index Exemption retains, a list of
the options, securities and other instruments underlying each options
position net delta calculation reported to the Exchange hereunder, and
(ii) produce such information to the Exchange upon request.\26\
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\26\ A member would be authorized to report position information
of its non-member affiliate pursuant to the written statement
required under proposed Rule 24.4.05(E)(3)(ii)(d).
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Reliance on Federal Oversight. As provided under proposed Rule
24.4.05(C), a permitted pricing model includes proprietary pricing
models used by members and affiliates that have been approved by the
SEC, the Fed or another Federal financial regulator. In adopting the
proposed Index Exemption the Exchange would be relying upon the
rigorous approval processes and ongoing oversight of a Federal
financial regulator. The Exchange notes that it would not be under any
obligation to verify whether a member's or its affiliate's use of a
proprietary pricing model is appropriate or yielding accurate results.
The Exchange will announce the effective date of the proposed rule
change in a regulatory circular to be published no later than 60 days
after Commission approval. The effective date shall be no later than 30
days after publication of the regulatory circular.
2. Statutory Basis
The Exchange believes that this proposed rule change is consistent
with Section 6(b) of the Securities Exchange Act of 1934 (``Act'')
\27\, in general, and furthers the objectives of Section 6(b)(5) of the
Act \28\ in particular, in that it is designed to prevent fraudulent
and manipulative acts and practices, promote just and equitable
principles of trade, 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 believes
that allowing correlated instruments to be included in the calculation
of an equity option's net delta would enable eligible market
participants to more fully realize the benefit of the delta based
equity hedge exemption. The proposed delta-based index hedge exemption
would be substantially similar to the delta-based equity hedge
exemption under Rule 4.11.04. Also, the Commission has previously
stated its support for recognizing options positions hedged on a delta
neutral basis as properly exempted from position limits.\29\
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\27\ 15 U.S.C. 78f(b).
\28\ 15 U.S.C. 78f(b)(5).
\29\ See Securities Exchange Act Release No. 40594 (October 23,
1998), 63 FR 59362, 59380 (November 3, 1998) (adopting rules
relating to OTC Derivatives Dealers).
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B. Self-Regulatory Organization's Statement on Burden on Competition
CBOE does not believe that the proposed rule change will impose any
burden on competition not necessary or appropriate in furtherance of
the purposes of the Act.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants or Others
The Exchange neither solicited nor received comments on the
proposal.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Within 35 days of the date of publication of this notice in the
Federal Register or within such longer period (i) as the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(a) By order approve such proposed rule change, or
(b) Institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
Send an e-mail to [email protected]. Please include
File Number SR-CBOE-2010-021 on the subject line.
Paper Comments
Send paper comments in triplicate to Elizabeth M. Murphy,
Secretary, Securities and Exchange Commission, 100 F Street, NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-CBOE-2010-021. 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,\30\ all subsequent
amendments, all written statements with respect to the proposed rule
change that are filed with the Commission, and all written
communications relating to the proposed rule change between the
Commission and any person, other than those that may be withheld from
the public in accordance with the provisions of 5 U.S.C. 552, will be
available for Web site viewing and printing in the Commission's Public
Reference Room, on official business days between the hours of 10 a.m.
and 3 p.m. Copies of the filing also will be available for inspection
and copying at the principal office of the Exchange. All comments
received will be posted without change; the Commission does not edit
personal identifying information from submissions. You should submit
only information that you wish to make available publicly. All
submissions should refer to File Number SR-CBOE-2010-021 and should be
submitted on or before April 23, 2010.
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\30\ The text of the proposed rule change is available on the
Commission's Web site at http://www.sec.gov/rules/sro.shtml.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\31\
Florence E. Harmon,
Deputy Secretary.
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\31\ 17 CFR 200.30-3(a)(12).
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[FR Doc. 2010-7462 Filed 4-1-10; 8:45 am]
BILLING CODE 8011-01-P