[Federal Register Volume 76, Number 86 (Wednesday, May 4, 2011)]
[Notices]
[Pages 25390-25392]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2011-10805]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-64359; File No. SR-ISE-2011-27]
Self-Regulatory Organizations; International Securities Exchange,
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 28, 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 26, 2011, the International Securities Exchange, LLC
(the ``Exchange'' or ``ISE'') filed with the Securities and Exchange
Commission (the ``Commission'') the proposed rule change as described
in Items I and II below, which Items have
[[Page 25391]]
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 amend its rules to 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. The text of the proposed rule change is available on the
Exchange's Web site http://www.ise.com, at the principal office of the
Exchange, 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 Exchange 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
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. This proposal is based on a recently filed rule change by NYSE
Arca, Inc. (``NYSE Arca'') and NYSE Amex LLC (``NYSE Amex'').\3\
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\3\ See SR-NYSEArca-2011-19 and SR-NYSEAmex-2011-26. In its
filing, NYSE Arca and NYSE AMEX cite to the Commission's approval of
a recent filing by the Chicago Board Options Exchange (``CBOE'').
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To effect this change, the Exchange is proposing to add new
Supplementary Material .11 to ISE Rule 504. The new provision 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. ISE 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 options.
See ISE Rule 504.
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Volatility indexes are calculated and disseminated by the CBOE,
which also list options on the resulting index. At this time, ISE has
no intention of listing volatility options, and will not be selecting
options in 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
Supplementary Material .11 would permit ISE to list and compete in all
series listed by the CBOE for purposes of calculating a volatility
index.
ISE 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 basis under the Securities Exchange Act of 1934 (``Exchange
Act'') for this proposed rule change is the requirement under Section
6(b)(5) that an exchange have rules that are designed to promote just
and equitable principles of trade, and 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, the proposed rule change will allow 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.
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
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 \5\ and Rule 19b-
4(f)(6) thereunder.\6\
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\5\ 15 U.S.C. 78s(b)(3)(A).
\6\ 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.\7\
Therefore, the Commission designates the proposal operative upon
filing.\8\
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\7\ See Exchange Act Release No. 64189 (April 5, 2011), 76 FR
20066 (April 11, 2011) (SR-CBOE-2011-008).
\8\ 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
[[Page 25392]]
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-ISE-2011-27 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-ISE-2011-27. 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-ISE-2011-27 and should be
submitted on or before May 25, 2011.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\9\
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\9\ 17 CFR 200.30-3(a)(12).
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Cathy H. Ahn,
Deputy Secretary.
[FR Doc. 2011-10805 Filed 5-3-11; 8:45 am]
BILLING CODE 8011-01-P