Federal Register / Vol. 76, No. 71 / Wednesday, April 13, 2011 / Notices 20775 

15 15 U.S.C. 78k–1(a)(1)(C). 

16 15 U.S.C. 78s(b)(3)(A)(iii). 

17 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

4(f)(6)(iii) requires the self-regulatory organization 

to submit to 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 

Exchange has satisfied this requirement. 

18 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

and a national market system, and, in 

general to protect investors and the 

public interest and the rules of an 

exchange do not impose any burden on 

competition not necessary or 

appropriate in furtherance of the 

purposes of the Act. In addition, the 

proposed rule change is consistent with 

Section 11A(a)(1)(C) of the Act,15 in 

which Congress found that it is in the 

public interest and appropriate for the 

protection of investors and the 

maintenance of fair and orderly markets 

to assure, among other things, the 

economically efficient execution of 

securities transactions. 

The statutory basis for PHLX’s 

proposed QCC Order is identical to the 

Commission’s basis for finding that the 

ISE’s QCC Proposal is consistent with 

the Act ‘‘in that it would facilitate the 

execution of qualified contingent trades, 

for which the Commission found in the 

Original QCT Exemption to be of benefit 

to the market as a whole, contributing 

to the efficient functioning of the 

securities markets and the price 

discovery process. The QCC Order 

would provide assurance to parties to 

stock-option qualified contingent trades 

that their hedge would be maintained by 

allowing the options component to be 

executed as a clean cross.’’ In addition, 

like the ISE’s QCC Order, the 

Exchange’s Modified QCC Order ‘‘is 

narrowly drawn to provide a limited 

exception to the general principle of 

exposure, and retains the general 

principle of customer priority.’’ 

PHLX’s proposed QCC Order 

promotes the same Commission goals as 

or more effectively, and it is as or more 

narrowly drawn than ISE’s QCC Order. 

Accordingly, the Exchange believes that 

the proposed rule change must also be 

consistent with the Act. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will result in 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act, as amended. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

Written comments were neither 

solicited nor received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Because the proposed rule change 

does not (i) significantly affect the 

protection of investors or the public 

interest; (ii) impose any significant 

burden on competition; and (iii) become 

operative prior to 30 days from the date 

on which it was filed, or such shorter 

time as the Commission may designate, 

if consistent 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 16 and Rule 19b–4(f)(6)(iii) 

thereunder.17

At any time within 60 days of the 

filing of such 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 rulecomments@sec.gov. Please include File 

Number SR–Phlx–2011–47 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–Phlx–2011–47. 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 such 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 No. SR–Phlx–2011– 

47 and should be submitted on or before 

May 4, 2011. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.18

Cathy H. Ahn, 

Deputy Secretary. 

[FR Doc. 2011–8803 Filed 4–12–11; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–64244; File No. SR–Phlx2011–46] 

Self-Regulatory Organizations; Notice 

of Filing of Proposed Rule Change by 

NASDAQ OMX PHLX LLC To Expand 

the Number of Components in the 

PHLX Gold/Silver SectorSM Known as 

XAUSM, on Which Options Are Listed 

and Traded 

April 7, 2011. 

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

Securities Exchange Act of 1934 

(‘‘Act’’) 1, and Rule 19b–4 2 thereunder, 

notice is hereby given that on March 31, 

2011, NASDAQ OMX PHLX LLC (‘‘Phlx’’ 

or ‘‘Exchange’’) filed with the Securities 

and Exchange Commission (‘‘SEC’’ or 

‘‘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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20776 Federal Register / Vol. 76, No. 71 / Wednesday, April 13, 2011 / Notices 

3PHLX Gold/Silver SectorSM may also be known 

as Gold/Silver Index. 

4The Exchange notes that changing the weighting 

of the Index from capitalization-weighting to 

modified capitalization-weighting does not by itself 

require a rule filing proposal because both 

weighting methodologies are acceptable per the 

current generic index listing standards found in 

Rule 1009A(b)(2). The weighting change is included 

in this proposal only in conjunction with increasing 

the number of Index components by more than the 

amount indicated in Rule 1009A(c)(2), which 

requires a rule filing proposal. 

5The contract specifications for XAUSM options 

are available at https://www.nasdaqtrader.com/

micro.aspx?id=phlxsectorscontractspecs. 

6While the settlement value of a P.M. settled 

index such as XAUSM is based on closing prices of 

the component securities, the settlement value of 

A.M. settled securities is based on opening prices. 

7See Securities Exchange Act Release No. 20437 

(December 2, 1983), 48 FR 55229 (December 9, 

1983) (order approving listing and trading options 

overlying the Gold/Silver Index and the Gaming/ 

Hotel Index). 

8A narrow-based index or industry index is 

defined as: An index designed to be representative 

of a particular industry or a group of related 

industries. The term ‘‘narrow-based index’’ includes 

indices the constituents of which are all 

headquartered within a single country. Rule 

1000A(b)(12). 

Currently, in addition to Gold/Silver Index, other 

narrow-based sector indexes on which options are 

listed and traded on the Exchange include: KBW 

Bank IndexSM (BKXSM); PHLX Housing SectorSM

(HGXSM); PHLX Utility SectorSM (UTYSM); SIG 

Energy MLP IndexSM (SVOTM); SIG Oil Exploration 

& Production IndexTM (EPXSM); PHLX 

Semiconductor SectorSM (SOXSM); PHLX Oil 

Service SectorSM (OSXSM); and NASDAQ Internet 

IndexSM (QNETSM). 

9A broad-based index or market index is defined 

as: An index designed to be representative of a 

stock market as a whole or of a range of companies 

in unrelated industries. Rule 1000A(b)(11). 

10See Securities Exchange Act Release No. 34157 

(June 3, 1994), 59 FR 30062–01 (June 10, 1994) 

(order approving File Nos. SR–Amex-92–35; SR– 

CBOE–93–59; SR–NYSE–94–17; SR–PSE–94–07; 

and SR–Phlx-94–10) (the ‘‘generic index options 

filing’’). 

11The generic listing standards in Rule 1009A 

pursuant to Rule 19b–4(e) of the Act, see Securities 

Exchange Act Release No. 40761 (December 8, 

1998), 63 FR 70952 (December 22, 1998), are similar 

to those of other options exchanges such as, for 

example, Chicago Board Options Exchange, 

Incorporated; International Stock Exchange LLC; 

and The NASDAQ Stock Market LLC. 

12Rule 1009A(b)(1) requires A.M. settlement. 

13See Securities Exchange Act Release No. 37334 

(June 19, 1996), 61 FR 33162 (June 26, 1996) (SR– 

Phlx–96–03) (order approving use of modified Rule 

1009A(c) generic maintenance standards in respect 

of options on the Index). 

The maintenance provisions in subsection (c) of 

Rule 1009A state, in part, as applicable to XAUSM: 

(1) The conditions stated in subparagraphs (b)(1), 

(3), (6), (7), (8), (9), (10), (11) and (12), must 

continue to be satisfied, provided that the 

conditions stated in subparagraph (b)(6) must be 

satisfied only as to the first day of January and July 

in each year; (2) The total number of component 

securities in the index may not increase or decrease 

by more than 33 1⁄3% from the number of 

component securities in the index at the time of its 

initial listing, and in no event may be less than nine 

component securities; (3) Trading volume of each 

component security in the index must be at least 

500,000 shares for each of the last six months, 

except that for each of the lowest weighted 

component securities in the index that in the 

aggregate account for no more than 10% of the 

weight of the index, trading volume must be at least 

400,000 shares for each of the last six months; (4) 

In a capitalization-weighted index, the lesser of the 

five highest weighted component securities in the 

index or the highest weighted component securities 

in the index that in the aggregate represent at least 

30% of the total number of stocks in the index each 

have had an average monthly trading volume of at 

least 1,000,000 shares over the past six months. 

14 Id. Regarding concentration requirements, 

subsection (b)(6)(i) states that with respect to the 

Gold/Silver Index, no single component shall 

account for more than 35% of the weight of the 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange is filing with the 

Commission a proposal to expand the 

number of components in the PHLX 

Gold/Silver SectorSM (the ‘‘Index’’ or 

‘‘XAUSM’’), on which options are listed 

and traded, and the Index weighting 

methodology.3 No other changes are 

made to the Index or the options 

thereon. 

The text of the proposed rule change 

is available on the Exchange’s Web site 

at http://nasdaqomxphlx.cchwallstreet.

com/NASDAQOMXPHLX/Filings/, 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 

Exchange 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 the proposal is to 

expand to thirty the number of 

components in the PHLX Gold/Silver 

SectorSM or XAUSM, on which options 

are listed and traded, and change the 

Index weighting methodology to 

modified capitalization-weighted.4 No 

other changes are made to the Index or 

the options thereon. 

XAUSM options subsequent to this 

proposal will be identical to XAUSM

options that are currently listed and 

trading except for the number of 

components in the underlying Index; 

and will trade pursuant to similar 

contract specifications (updated 

regarding components and weighting 

methodology).5 The only post-proposal 

difference in XAUSM options is that 

they will overlay an Index with thirty 

components where the current Index 

has sixteen components, and the Index 

will be modified capitalizationweighted where the current Index is 

capitalization-weighted. 

Background 

The Gold/Silver Index is a P.M. 

settled capitalization-weighted index 

composed of the stocks of widely held 

U.S. listed companies involved in the 

gold/silver mining industry. Options on 

the Index have an American style 

expiration and the settlement value is 

based on the closing values of the 

component stocks on the day exercised, 

or on the last trading day prior to 

expiration.6

In 1983 XAUSM options were 

approved for listing and trading on the 

Exchange as the first options on a 

narrow-based index; 7 XAUSM options 

have been listed and have traded 

continuously on the Exchange since 

December 19, 1983. 

In 1994, the Exchange established 

initial listing standards in Rule 

1009A(b) and (d) for options on indexes 

that were designed to allow the 

Exchange to initially list and trade 

options on narrow-based indexes 8 and 

broad based indexes 9 pursuant to 

generic listing standards (the ‘‘Index 

Options Listing Standards’’).10 In the 

1994 generic index options filing, the 

Exchange also established generic 

continued listing standards in Rule 

1009A(c) for narrow-based and broadbased index options, which apply to 

index options once they are listed 

pursuant to generic listing standards 

(the ‘‘Index Options Maintenance 

Standards’’).11 Because the Index is P.M. 

settled, it does not meet the A.M. 

settlement requirement of the Index 

Options Listing Standards.12 However, 

the index meets all of the applicable 

Index Options Maintenance Standards. 

In 1996, the Exchange received 

approval to apply to the Index all the 

Index Options Maintenance Standards 

of Rule 1009A(c) except the requirement 

that an index option be designated as 

A.M. settled per subsection (b)(1).13

Subsection (c) also requires, among 

other things, that the Index comply with 

the concentration requirements 

specifically set forth in 1009A(b)(6) 

regarding the Gold/Silver Index.14 The 

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Federal Register / Vol. 76, No. 71 / Wednesday, April 13, 2011 / Notices 20777 

Index and the three highest weighted components 

shall not account for more than 65% of the weight 

of the Index; and that if the Index fails to meet this 

requirement, the Exchange shall reduce position 

limits to 8000 contracts on the Monday following 

expiration of the farthest-out, then trading, nonLEAP series. 

15Another currently available investment product 

that evaluates the gold sector (only) is the AMEX 

Gold BUGS Index. 

16 During 2010, XAUSM options traded an average 

of 55,432 contracts per month and traded as much 

as 13,581 contracts in a day (January 5, 2010). As 

of December 31, 2010, there were 3,787 contracts 

of open interest in XAUSM options. 

17A listing of the component securities in XAUSM

is available at https://indexes.nasdaqomx.com/ 

weighting.aspx?IndexSymbol=XAU&menuIndex=0. 

Index meets all of the subsection (c) 

Index Options Maintenance Standards 

(the A.M. settlement requirement is not 

applicable to the Index) for continued 

trading of options overlying the Index, 

with one exception as noted below. 

The Gold/Silver Index composed of 

sixteen companies continues to be a 

prime index that provides exposure to 

the dynamic gold/silver sector. When 

investors want information and 

investment opportunities specific to the 

gold/silver sector they most often turn 

to the Index and the XAUSM options 

traded thereon.15 The Index has served 

as a leading market indicator and 

XAUSM options as a viable trading and 

investing vehicle in respect of the gold/ 

silver sector.16 Recognizing the marketleading aspects of the Index, the 

Exchange is proposing a rule change to 

increase to thirty the number of 

components in XAUSM 17 so that this 

narrow-based index may even more 

effectively represent this market sector. 

The Exchange submits that in the 

proposed expanded form the Index 

would continue to meet the relevant 

Index Options Maintenance Standards 

in subsection (c) of Rule 1009A for 

listing XAUSM options. Specifically, all 

the applicable index maintenance 

requirements in subsection (c) 

applicable to options on narrow-based 

indexes would be met with one 

exception. The singular exception is the 

number of components. In particular, 

subsection (c)(2) of Rule 1009 indicates 

that the total number of component 

securities in the index may not increase 

or decrease by more than 331⁄3% from 

the total number of securities in the 

index at the time of its initial listing; 

adding components to equal thirty is 

outside the (c)(2) parameter, and is the 

reason why the Exchange is making the 

current filing. 

Index Design and Index Composition 

Currently, the Index is calculated 

using a capitalization-weighted index 

methodology. The value of the Index 

equals the aggregate value of the Index 

share weights, also known as the Index 

Shares, of each of the Index Securities 

(components) multiplied by each such 

security’s Last Sale Price, and divided 

by the divisor of the Index. The divisor 

serves the purpose of scaling such 

aggregate index value to a lower order 

of magnitude which is more desirable 

for reporting purposes. If trading in an 

Index Security is halted on its primary 

listing market, the most recent Last Sale 

Price for that security is used for all 

index computations until trading on 

such market resumes. Likewise, the 

most recent Last Sale Price is used if 

trading in a security is halted on its 

primary listing market before the market 

is open. 

The modified capitalization-weighted 

methodology is expected to retain, in 

general, the economic attributes of 

capitalization weighting, while 

providing enhanced diversification. To 

accomplish this, NASDAQ OMX, which 

maintains the Index, rebalances the 

Index quarterly and adjusts the 

weighting of Index components. 

Index eligibility is limited to specific 

security types only. The security types 

eligible for the Index include common 

stocks, ordinary shares, ADRs, shares of 

beneficial interest or limited partnership 

interests and tracking stocks. Security 

types not included in the Index are 

closed-end funds, convertible 

debentures, exchange traded funds, 

preferred stocks, rights, warrants, units 

and other derivative securities. 

As of December 31, 2010, the 

following were characteristics of the 

Index using a modified capitalizationweighting methodology: 

—The total weighted capitalization of 

all components of the Index was 

$354.60 billion; 

—Regarding component capitalization, 

(a) the highest weighted capitalization 

of a component was $56.55 billion 

(Freeport-McMoRan Copper & Gold 

Inc.), (b) the lowest weighted 

capitalization of a component was 

$0.44 billion (Endeavour Silver 

Corp.), (c) the mean capitalization of 

the components was $11.82 billion, 

and 

(d) the median capitalization of the 

components was $5.11 billion; 

—Regarding component price per share, 

(a) the highest price per share of a 

component was $120.09 (FreeportMcMoRan Copper & Gold Inc.), (b) the 

lowest price per share of a component 

was $6.94 (North American Palladium 

Ltd.), (c) the mean price per share of 

the components was $33.39, and (d) 

the median price per share of the 

components was $24.62; 

—Regarding component weightings, (a) 

the highest weighting of a component 

was 8% (Freeport-McMoRan Copper 

& Gold Inc., Barrick Gold Corporation, 

Southern Copper Corporation, 

Goldcorp Inc., Newmont Mining 

Corporation), (b) the lowest weighting 

of a component was 0.27% 

(Endeavour Silver Corp.), (c) the mean 

weighting of the components was 

3.33%, (d) the median weighting of 

the components was 3.06%, and (e) 

the total weighting of the top five 

highest weighted components was 

40% (Freeport-McMoRan Copper & 

Gold Inc., Barrick Gold Corporation, 

Southern Copper Corporation, 

Goldcorp Inc., Newmont Mining 

Corporation); 

—Regarding component shares, (a) the 

most available shares of a component 

was 1.13 billion shares (Kinross Gold 

Corporation), (b) the least available 

shares of a component was 0.05 

billion shares (Royal Gold, Inc.), (c) 

the mean available shares of the 

components was 0.33 billion shares, 

and (d) the median available shares of 

the components was 0.19 billion 

shares; 

—Regarding the six-month average daily 

volumes (‘‘ADVs’’) of the components, 

(a) the highest six-month ADV of a 

component was 11.00 million shares 

(Freeport-McMoRan Copper & Gold, 

Inc.), (b) the lowest six-month ADV of 

a component was 0.52 million shares 

(Royal Gold, Inc.), (c) the mean sixmonth ADV of the components was 

3.53 million shares, (d) the median 

six-month ADVs of the components 

was 2.20 million shares, (e) the 

average of six-month ADVs of the five 

most heavily traded components was 

8.99 million shares (FreeportMcMoRan Copper & Gold Inc., Hecla 

Mining Company, Barrick Gold 

Corporation, Yamana Gold, Inc., 

Silver Wheaton Corp.), and (f) 100% 

of the components had a six-month 

ADV of at least 200,000; and 

—Regarding option eligibility, (a) 

100% of the components were options 

eligible, as measured by weighting, and 

(b) 100% of the components were 

options eligible, as measured by 

number. 

Index Calculation and Index 

Maintenance 

The Index is maintained by NASDAQ 

OMX and index levels are calculated 

continuously, using the Last Sale Price 

for each component stock in the Index. 

Index values are publicly disseminated 

at least every fifteen seconds throughout 

the trading day through a major market 

data vendor, namely NASDAQ OMX’s 

index dissemination service. The 

Exchange expects that such 

dissemination will continue through 

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18Rule 1009A(b)(12) states that should an 

underlying index be maintained by a broker-dealer, 

however, the index must be calculated by a third 

party who is not a broker-dealer, and the brokerdealer will have to erect a ‘‘Chinese Wall’’ around 

its personnel who have access to information 

concerning changes in and adjustments to the 

index. 

19See Rule 1009A(c), which refers to subsections 

(b)(6) and (b)(9). 

20Moreover, changes in the price and/or Index 

Shares driven by corporate events such as stock 

dividends, stock splits, and certain spin-offs and 

rights issuances will be adjusted on the ex-date. If 

the change in total shares outstanding arising from 

other corporate actions is greater than or equal to 

10.0%, the change will be made as soon as 

practicable. Otherwise, if the change in total shares 

outstanding is less than 10%, then all such changes 

are accumulated and made effective at one time on 

a quarterly basis after the close of trading on the 

third Friday in each of March, June, September, and 

December. 

In the case of a special cash dividend, a 

determination will be made on an individual basis 

whether to make a change to the price of an Index 

Security in accordance with its Index dividend 

policy. If it is determined that a change will be 

made, it will become effective on the ex-date and 

advance notification will be made. 

Ordinarily, whenever there is a change in Index 

Shares, a change in an Index Security, or a change 

to the price of an Index Security due to spin-offs, 

rights issuances, or special cash dividends, the 

divisor is adjusted to ensure that there is no 

discontinuity in the value of the Index, which 

might otherwise be caused by any such change. All 

changes are announced in advance and will be 

reflected in the Index prior to market open on the 

Index effective date. 

21 15 U.S.C. 78s(b)(2). 

22See supra note 5. 

23See Rule 101. 

24For trading rules applicable to trading index 

options, see Rules 1000A et seq. For trading rules 

applicable to trading options generally, see Rules 

1000 et seq. 

25See Rule 1101A(a). Rule 1101A generally 

indicates that strike price intervals for index 

options may be $5.00, $2.50 and $1.00. 

26See Rule 1034(a). However, the rule indicates 

that certain products (e.g. IWM options and Alpha 

Index options) may trade at $0.01 minimum 

increments. 

27See Rule 721 et seq. 

28See Rule 1101A(b). 

29A list of the current members and affiliate 

members of ISG can be found at http:// 

www.isgportal.org/isgportal/public/members.htm. 

30 15 U.S.C. 78f(b). 

31 15 U.S.C. 78f(b)(5). 

one or more (NASDAQ OMX-owned or 

unrelated) major market data vendors.18

Appurtenant to review of the Index 

for purposes of rebalancing, component 

securities are evaluated by NASDAQ 

OMX. In the event that an Index 

Security no longer meets the Continued 

Security Eligibility Criteria, it will be 

replaced with a security that is not 

currently in the Index that meets all of 

the Initial Security Eligibility Criteria 

and additional criteria which follows. 

Securities eligible for inclusion will be 

ranked ascending by market value, 

current price and percentage price 

change over the previous six months. 

The security with the highest overall 

ranking will be added to the Index 

provided that the Index then meets the 

following criteria: No single Index 

Security is greater than 25% of the 

weight of the Index and the top 3 Index 

Securities are not greater than 55% of 

the weight of the Index; no more than 

15% of the weight of the Index is 

composed of non-U.S. component 

securities that are not subject to 

comprehensive surveillance 

agreements.19 In the event that the 

highest-ranking security does not permit 

the Index to meet the above criteria, the 

next highest-ranking security will be 

selected and the Index criteria will 

again be applied to determine eligibility. 

The process will continue until a 

qualifying replacement security is 

selected.20 Component changes will be 

publicly announced. 

In the event a class of index options 

listed on the Exchange fails to satisfy 

the maintenance listing standards, the 

Exchange shall not open for trading any 

additional series of options of that class 

unless such failure is determined by the 

Exchange not to be significant and the 

Commission concurs in that 

determination, or unless the continued 

listing of that class of index options has 

been approved by the Commission 

under Section 19(b)(2) of the Act.21

The Exchange represents that, if the 

Index ceases to be maintained or 

calculated, or if the Index values are not 

disseminated at least every fifteen 

seconds by a widely available source, 

the Exchange will promptly notify the 

Division of Trading and Markets of the 

Commission, and the Exchange will not 

list any additional series for trading and 

will limit all transactions in such 

options to closing transactions only for 

the purpose of maintaining a fair and 

orderly market and protecting investors. 

Contract Specifications 

The contract specifications for the 

proposed expanded Index options 

(updated regarding components and 

weighting methodology) are, as 

previously noted, identical to the 

current narrow-based Index options that 

are currently listed and traded on the 

Exchange.22 Options on the Index are 

American style and P.M. cash-settled. 

The Exchange’s trading hours for index 

options (9:30 a.m. to 4 p.m. ET), will 

apply to options on XAUSM.23 Exchange 

rules that are applicable to the trading 

of options on indexes will continue to 

apply to the trading of options on 

XAUSM.24

The strike price intervals for XAUSM

options contracts will remain the same 

as those currently in use: $2.50 or 

greater if the strike price is less than 

$200.25 The minimum increment size 

for series trading below $3 will remain 

$0.05, and for series trading at or above 

$3 will remain $0.10.26 The Exchange’s 

margin rules will be applicable.27 The 

Exchange will continue to list options 

on XAUSM in up to three months from 

the March, June, September, December 

cycle plus two additional near-term 

months (that is, as many as five months 

at all times).28 The trading of XAUSM

options will continue to be subject to 

the same rules that govern the trading of 

all of the Exchange’s index options, 

including sales practice rules, margin 

requirements, and trading rules. 

Surveillance and Capacity 

The Exchange represents that it has an 

adequate surveillance program in place 

for options traded on the Index and 

intends to apply those same program 

procedures that it applies to the 

Exchange’s current XAUSM options and 

other index options. Additionally, the 

Exchange is a member of the 

Intermarket Surveillance Group (‘‘ISG’’) 

under the Intermarket Surveillance 

Group Agreement, dated June 20, 1994. 

ISG members generally work together to 

coordinate surveillance and 

investigative information sharing in the 

stock and options markets. In addition, 

the major futures exchanges are 

affiliated members of the ISG, which 

allows for the sharing of surveillance 

information for potential intermarket 

trading abuses.29

The Exchange represents that it has 

the necessary systems capacity to 

continue to support listing and trading 

XAUSM options. 

2. Statutory Basis 

The Exchange believes that its 

proposal is consistent with Section 6(b) 

of the Act 30 in general, and furthers the 

objectives of Section 6(b)(5) of the Act 31

in particular, in that it is designed to 

prevent fraudulent and manipulative 

acts and practices, to promote just and 

equitable principles of trade, to foster 

cooperation and coordination with 

persons engaged in facilitating 

transactions in securities, and to remove 

impediments to and perfect the 

mechanisms of a free and open market 

and a national market system. The 

Exchange believes that the proposal to 

expand the XAUSM index will allow the 

Exchange to seamlessly continue listing 

this premiere index and options thereon 

in a manner that even more effectively 

reflects the gold/silver sector. 

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Federal Register / Vol. 76, No. 71 / Wednesday, April 13, 2011 / Notices 20779 

32 17 CFR 200.30–3(a)(12). 

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

2 15 U.S.C. 78s(b)(3)(A)(i). 

3 17 CFR 240.19b–4(f)(1). 

4The Commission has modified the text of the 

summaries prepared by OCC. 

5Securities Exchange Act Release No. 34–64152 

(March 30, 2011). 

6 15 U.S.C. 78q–1. 

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 

No written comments were either 

solicited or received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 45 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 Exchange consents, 

the Commission shall: (a) By order 

approve or disapprove 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 rulecomments@sec.gov. Please include File 

Number SR–Phlx–2011–46 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–Phlx–2011–46. 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 such 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 

publicly available. All submissions 

should refer to File Number SR–Phlx– 

2011–46 and should be submitted on or 

before May 4, 2011. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.32

Cathy H. Ahn, 

Deputy Secretary. 

[FR Doc. 2011–8802 Filed 4–12–11; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–64247; File No. SR–OCC– 

2011–04] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Filing and Immediate Effectiveness 

of Proposed Rule Change To Provide 

Legal Certainty for the Trading of 

Futures on the CBOE Gold ETF 

Volatility Index 

April 7, 2011. 

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

Securities Exchange Act of 1934 

(‘‘Act’’),1 notice is hereby given that on 

March 25, 2011, The Options Clearing 

Corporation (‘‘OCC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change described in Items I, II, and III 

below, which Items have been prepared 

primarily by OCC. OCC filed the 

proposal pursuant to Section 

19(b)(3)(A)(i) of the Act 2 and Rule 19b– 

4(f)(1) 3 thereunder so that the proposal 

was effective upon filing with the 

Commission. The Commission is 

publishing this notice to solicit 

comments on the rule change from 

interested parties. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The proposed rule change will 

provide legal certainty for the trading of 

futures on the CBOE Gold ETF Volatility 

Index (‘‘GVZ Index’’). 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, 

OCC 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. OCC has prepared 

summaries, set forth in sections (A), (B), 

and (C) below, of the most significant 

aspects of these statements.4

(A) Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

The purpose of this proposed rule 

change is to make clear that OCC will 

clear futures on the GVZ Index as 

security futures. OCC is proposing to 

add an interpretation to Article XII, 

Section 1 of OCC’s By-Laws. 

The GVZ Index is described by the 

CBOE Futures Exchange, LLC (‘‘CFE’’) as 

an up-to-the-minute market estimate of 

the expected volatility of SPDR Gold 

Shares (‘‘GLD’’) calculated by using realtime bid/ask quotes of Chicago Board 

Options Exchange, Incorporated listed 

GLD options.5 CFE states that the GVZ 

Index uses nearby and second nearby 

options with at least 8 days left to 

expiration and then weights them to 

yield a constant, 30-day measure of the 

expected (implied) volatility. 

In its capacity as a ‘‘derivatives 

clearing organization’’ registered as such 

with the Commodity Futures Trading 

Commission (‘‘CFTC’’), OCC is 

concurrently submitting this rule filing 

to the CFTC pursuant to the selfcertification procedures of CFTC 

Regulation 40.6. 

OCC believes that the proposed rule 

change and interpretation of OCC’s ByLaws is consistent with the 

requirements of Section 17A of the Act 6

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