20066 Federal Register / Vol. 76, No. 69 / Monday, April 11, 2011 / Notices 

Act, an exchange is required to give the 

Commission 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 Commission 

notes that the Exchange has satisfied this 

requirement. 

8 17 CFR 240.19b–4(f)(6)(iii). 

9 Id. 

10For the purposes only of waiving the operative 

delay of this proposal, the Commission has 

considered the proposed rule’s impact on 

efficiency, competition, and capital formation. See 

15 U.S.C. 78c(f). 11 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3Securities Exchange Act Release No. 63927 

(February 17, 2011), 76 FR 10412 (‘‘Notice’’). 

4The VIX methodology is derived from a body of 

research showing that it is possible to create pure 

exposure to volatility by assembling a special 

portfolio of options. While the price of a single 

option depends on both the underlying price and 

volatility, this special portfolio is constructed, in 

the aggregate, to eliminate the stock price 

dependence. In theory, this option portfolio would 

be comprised of an infinite number of options with 

continuous strike prices. In practice, however, the 

options that are used to calculate VIX—as well as 

other volatility indexes—are finite in number and 

are subject to a minimum interval between strike 

prices. The narrower this minimum interval, the 

more accurate the expression of volatility should 

be. 

A proposed rule change filed under 

Rule 19b–4(f)(6) normally may not 

become operative prior to 30 days after 

the date of filing.8 However, Rule 19b– 

4(f)(6) 9 permits the Commission to 

designate a shorter time if such action 

is consistent with the protection of 

investors and the public interest. The 

Exchange has requested that the 

Commission waive the 30-day operative 

delay. 

The Commission has considered the 

Exchange’s request to waive the 30-day 

operative delay. The Commission 

believes that waiving the 30-day 

operative delay is consistent with the 

protection of investors and the public 

interest, as it will allow the pilot 

program to continue uninterrupted, 

thereby avoiding the investor confusion 

that could result from a temporary 

interruption in the pilot program.10 For 

this reason, the Commission designates 

the proposed rule change to be operative 

upon filing. 

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. If the 

Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

change should be approved or 

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, as amended, 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 rulecomments@sec.gov. Please include File 

Number SR–FINRA–2011–015 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–FINRA–2011–015. 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 such filing 

also will be available for inspection and 

copying at the principal offices 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–FINRA–2011–015, and 

should be submitted on or before May 

2, 2011. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.11

Cathy H. Ahn, 

Deputy Secretary. 

[FR Doc. 2011–8504 Filed 4–8–11; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–64189; File No. SR–CBOE– 

2011–008] 

Self-Regulatory Organizations; 

Chicago Board Options Exchange, 

Incorporated; Order Granting Approval 

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 5, 2011. 

I. Introduction 

On February 4, 2011, the Chicago 

Board Options Exchange, Incorporated 

(‘‘CBOE’’ or ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’), pursuant to Section 

19(b)(1) of the Securities Exchange Act 

of 1934 (‘‘Act’’) 1 and Rule 19b–4 

thereunder,2 a proposed rule change to 

expand the $2.50 Strike Price Program. 

The proposed rule change was 

published for comment in the Federal 

Register on February 24, 2011.3 The 

Commission received no comment 

letters on the proposal. This order 

approves the proposed rule change. 

II. Description of the Proposal 

CBOE has proposed to amend Rules 

5.5 and 24.9 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 classes used to calculate 

volatility indexes. The Exchange also 

proposed to amend Interpretation and 

Policy .08 to Rule 5.5 to permit $0.50 

strike price intervals where the strike 

price is less than $75 for options on 

exchange-traded funds (‘‘ETFs’’) that are 

used to calculate a volatility index. 

In its proposal, CBOE seeks to apply 

its VIX methodology 4 to options on 

certain ETFs and individual equity 


srobinson on DSKHWCL6B1PROD with NOTICES
Federal Register / Vol. 76, No. 69 / Monday, April 11, 2011 / Notices 20067 

5 In approving this proposed rule change, the 

Commission has considered the proposed rule’s 

impact on efficiency, competition, and capital 

formation. See 15 U.S.C. 78c(f). 6 15 U.S.C. 78f(b)(5). 

7 15 U.S.C. 78s(b)(2). 

8 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 3 15 U.S.C. 78f(b). 

securities, and believes that it is 

appropriate to designate strike price 

intervals and ranges for series in such 

options that are comparable to those 

strike price intervals and ranges in effect 

for the SPX option series. The Exchange 

hopes that this will permit calculation 

of volatility index values that are 

recognized to be as accurate and reliable 

as the VIX values. The Exchange stated 

that allowing smaller strike price 

intervals for options overlying single 

stocks, ETFs, and indexes with prices of 

$150 or less will allow the Exchange to 

calculate volatility indexes that are 

better estimates of the expected 

volatility of option classes with 

underlying prices that are low relative 

to the level of the S&P 500. 

The Exchange also stated its belief 

that the expansion of strike prices 

resulting from the proposal is limited 

because the proposal will apply only to 

options that are used to calculate a 

volatility index. CBOE further stated 

that it has analyzed its capacity and 

represented that it believes that the 

Exchange and the Options Price 

Reporting Authority have the necessary 

systems capacity to handle the 

additional traffic associated with the 

listing series with strike prices in $0.50 

intervals where the strike price is less 

than $75, and series with strike prices 

in $1.00 intervals where the strike price 

is between $75 and $150 for option 

classes used to calculate volatility 

indexes that would result from the 

Exchange’s proposal. 

III. Discussion 

The Commission finds that the 

proposed rule change is consistent with 

the requirements of the Act and the 

rules and regulations thereunder 

applicable to a national securities 

exchange.5 Specifically, the 

Commission finds that the proposal is 

consistent with Section 6(b)(5) of the 

Act,6 which requires, among other 

things, that the rules of a national 

securities exchange be designed to 

promote just and equitable principles of 

trade, to prevent fraudulent and 

manipulative acts, 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. 

The proposal appears to strike a 

reasonable balance between the 

Exchange’s desire to offer a wider array 

of investment opportunities and the 

need to avoid unnecessary proliferation 

of options series and the corresponding 

increase in quotes and market 

fragmentation. The Commission expects 

the Exchange to monitor the trading 

volume associated with the additional 

options series listed as a result of this 

proposal and the effect of these 

additional series on market 

fragmentation and on the capacity of the 

Exchange’s, OPRA’s, and vendors’ 

automated systems. The Commission 

notes that CBOE has represented that it 

believes the Exchange and the Options 

Price Reporting Authority have the 

necessary systems capacity to handle 

the additional traffic associated with the 

newly permitted listings. 

IV. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,7 that the 

proposed rule change (SR–CBOE–2011– 

008) be, and it hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.8

Cathy H. Ahn, 

Deputy Secretary. 

[FR Doc. 2011–8498 Filed 4–8–11; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–64187; File No. SR–EDGA– 

2011–08] 

Self-Regulatory Organizations; EDGA 

Exchange, Inc.; Notice of Filing and 

Order Granting Accelerated Approval 

of Proposed Rule Change To Adopt 

Rule 3.22 (Proxy Voting), in 

Accordance With the Provisions of 

Section 957 of the Dodd-Frank Wall 

Street Reform and Consumer 

Protection Act 

April 5, 2011. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 (the 

‘‘Exchange Act’’ or ‘‘Act’’),1 and Rule 

19b–4 thereunder,2 notice is hereby 

given that on March 24, 2011, EDGA 

Exchange, Inc. (the ‘‘Exchange’’ or 

‘‘EDGA’’) 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, and is 

approving the proposed rule change on 

an accelerated basis. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to adopt Rule 

3.22 (Proxy Voting), in accordance with 

the provisions of Section 957 of the 

Dodd-Frank Wall Street Reform and 

Consumer Protection Act (the ‘‘DoddFrank Act’’). The text of the proposed 

rule change is attached as Exhibit 5 and 

is available on the Exchange’s Web site 

at http://www.directedge.com, at the 

Exchange’s principal office, and at the 

Public Reference Room of 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 

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 III 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 

Purpose 

The Exchange is proposing to adopt 

EDGA Rule 3.22 (Proxy Voting), in 

accordance with the provisions of 

Section 957 of the Dodd-Frank Act, to 

prohibit Members from voting 

uninstructed shares if the matter voted 

on relates to (i) the election of a member 

of the board of directors of an issuer 

(other than an uncontested election of a 

director of an investment company 

registered under the Investment 

Company Act of 1940 (the ‘‘Investment 

Company Act’’)), (ii) executive 

compensation, or (iii) any other 

significant matter, as determined by the 

Securities and Exchange Commission 

(the ‘‘Commission’’), by rule. 

Section 957 of the Dodd-Frank Act 

amends Section 6(b) 3 of the Securities 

Exchange Act of 1934 (the ‘‘Exchange 

Act’’) [sic] to require the rules of each 

national securities exchange to prohibit 

any member organization that is not the 

beneficial owner of a security registered 


srobinson on DSKHWCL6B1PROD with NOTICES