[Federal Register Volume 76, Number 81 (Wednesday, April 27, 2011)]
[Notices]
[Pages 23632-23634]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2011-10195]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-64325; File No. SR-NYSEAmex-2011-26]
Self-Regulatory Organizations; NYSE Amex LLC; Notice of Filing
and Immediate Effectiveness of Proposed Rule Change To Permit the
Listing of Series with $0.50 and $1 Strike Price Increments on Certain
Options Used To Calculate Volatility Indexes
April 22, 2011.
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 April 19, 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\ 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 adopt Commentary .13 to NYSE Amex Rule 903
to permit the listing of strike prices
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in $0.50 intervals where the strike price is less than $75, and strike
prices in $1.00 intervals where the strike price is between $75 and
$150 for option series used to calculate volatility indexes. The text
of the proposed rule change is available at the Exchange, the
Commission's Public Reference Room, and http://www.nyse.com.
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
The purpose of this proposed rule change is to permit the Exchange
to list strike prices in $0.50 intervals where the strike price is less
than $75, and strike prices in $1.00 intervals where the strike price
is between $75 and $150 for option series used to calculate volatility
indexes. The proposal is based on a recently approved rule change by
the Chicago Board Options Exchange (``CBOE'').\3\
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\3\ See Exchange Act Release No. 64189 (April 5, 2011), 76 FR
20066 (April 11, 2011).
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To effect this change, the Exchange is proposing to add new
Commentary .13 to Rule 903, Series of Options Open for Trading. The new
provisions will permit the listing of strike prices in $0.50 intervals
where the strike price is less than $75, and strike prices in $1.00
intervals where the strike price is between $75 and $150 for option
series used to calculate volatility indexes.\4\
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\4\ For example, CBOE calculates the CBOE Gold ETF Volatility
Index (``GVZ''), which is based on the VIX methodology applied to
options on the SPDR Gold Trust (``GLD''). The current filing would
permit $0.50 strike price intervals for GLD options where the strike
price is $75 or less. NYSE Amex is currently permitted to list
strike prices in $1 intervals for GLD options (where the strike
price is $200 or less), as well as for other exchange-traded fund
(``ETF'') options. See Rule 903, Commentary .05
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Volatility indexes are calculated and disseminated by the CBOE,
which also list options on the resulting index. At this time, NYSE Amex
has no intention of listing volatility options, and will not be
selecting options on any equity securities, Exchange-Traded Fund
Shares, Trust Issued Receipts, Exchange Traded Notes, Index-Linked
Securities, or indexes to be the basis of a volatility index.
To the extent that the CBOE or another exchange selects a multiply
listed product as the basis of a volatility index, proposed Commentary
.13 would permit NYSE Amex to list and compete in all series listed by
the CBOE for purposes of calculating a volatility index.
NYSE Amex has analyzed its capacity and represents that it believes
the Exchange and the Options Price Reporting Authority have the
necessary systems capacity to handle the additional traffic associated
with the listing of strike prices in $0.50 intervals where the strike
price is less than $75, and strike prices in $1.00 intervals where the
strike price is between $75 and $150 for option series used to
calculate volatility indexes in securities selected by the CBOE.
2. Statutory Basis
The Exchange believes that its proposal is consistent with Section
6(b) of the Securities Exchange Act of 1934 \5\ (the ``Act'') in
general, and furthers the objectives of Section 6(b)(5) of the Act \6\
in particular, in that it is designed to promote just and equitable
principles of trade, 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, by allowing the Exchange
to offer a full range of all available option series in a given class,
including those selected by other exchanges to be the basis of a
volatility index. While this proposal will generate additional quote
traffic, the Exchange does not believe that this increased traffic will
become unmanageable since the proposal is restricted to a limited
number of classes. Further, the Exchange does not believe that the
proposal will result in a material proliferation of additional series
because it is restricted to a limited number of classes.
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\5\ 15 U.S.C. 78f(b).
\6\ 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
No written comments were solicited or received with respect to the
proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Because the foregoing proposed rule change does not significantly
affect the protection of investors or the public interest, does not
impose any significant burden on competition, and, by its terms, does
not become operative for 30 days from the date on which it was filed,
or such shorter time as the Commission may designate, it has become
effective pursuant to Section 19(b)(3)(A) of the Act \7\ and Rule 19b-
4(f)(6) thereunder.\8\
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\7\ 15 U.S.C. 78s(b)(3)(A).
\8\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii)
requires the Exchange to give the Commission written notice of the
Exchange's intent to file the proposed rule change, along with a
brief description and text of the proposed rule change, at least
five business days prior to the date of filing of the proposed rule
change, or such shorter time as designated by the Commission. The
Exchange has satisfied the five-day prefiling requirement.
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The Exchange has requested that the Commission waive the 30-day
operative delay. The Commission believes that waiver of the operative
delay is consistent with the protection of investors and the public
interest because the proposal is substantially similar to that of
another exchange that has been approved by the Commission.\9\
Therefore, the Commission designates the proposal operative upon
filing.\10\
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\9\ See supra note 3.
\10\ 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 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:
[[Page 23634]]
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-NYSEAmex-2011-26 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-2011-26. 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 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-
NYSEAmex-2011-26 and should be submitted on or before May 18, 2011.
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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Cathy H. Ahn,
Deputy Secretary.
[FR Doc. 2011-10195 Filed 4-26-11; 8:45 am]
BILLING CODE 8011-01-P