20784 Federal Register / Vol. 76, No. 71 / Wednesday, April 13, 2011 / Notices 

4The SHORT subscription service became 

effective September 30, 2010. See Securities 

Exchange Act Release No. 34–62993, September 24, 

2010 (File No. SR–MSRB–2010–06). 

5See Securities Exchange Act Release No. 62755, 

August 20, 2010 (File No. SR–MSRB–2010–02). 

6 In approving this proposed rule change, the 

Commission notes that it has considered the 

proposed rule’s impact on efficiency, competition 

and capital formation. 15 U.S.C. 78c(f). 

7 15 U.S.C. 78o–4(b)(2)(C). 

8 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

facility of the MSRB for the collection 

and dissemination of information about 

securities bearing interest at short-term 

rates. Rule G–34(c), on variable rate 

security market information, currently 

requires certain dealers to report to the 

SHORT System interest rates and 

descriptive information about Auction 

Rate Securities (‘‘ARS’’) and Variable 

Rate Demand Obligations (‘‘VRDOs’’). 

All reported information is 

disseminated from the SHORT System 

to subscribers pursuant to the MSRB 

SHORT subscription service 4 and is 

posted to the MSRB’s Electronic 

Municipal Market Access (‘‘EMMA’’) 

Web portal pursuant to the EMMA 

short-term obligation rate transparency 

service. 

On August 20, 2010, the Commission 

approved changes to Rule G–34(c) that 

will increase the information dealers are 

required to report to the SHORT System. 

This rule change will add to the SHORT 

System documents that define auction 

procedures and interest rate setting 

mechanisms for ARS and liquidity 

facilities for VDROs, information about 

orders submitted for an ARS auction, 

and additional information about 

VRDOs.5 To provide subscribers with 

access to these additional items of 

information and documents, the 

proposed rule change would amend the 

SHORT subscription service to include 

the additional information and 

documents as well as an ARS ‘‘bid to 

cover’’ ratio that would be computed by 

the SHORT System. A more complete 

description of the proposal is contained 

in the Commission’s Notice. 

The MSRB has requested an effective 

date for the proposed rule change of 

May 16, 2011. 

III. Discussion and Commission 

Findings 

The Commission has carefully 

considered the proposed rule change 

and finds that the proposed rule change 

is consistent with the requirements of 

the Exchange Act and the rules and 

regulations thereunder applicable to the 

MSRB 6 and, in particular, the 

requirements of Section 15B(b)(2)(C) of 

the Exchange Act 7 and the rules and 

regulations thereunder. Section 

15B(b)(2)(C) of the Exchange Act 

requires, among other things, that the 

MSRB’s rules shall 

be 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 regulating, clearing, 

settling, processing information with respect 

to, and facilitating transactions in municipal 

securities and municipal financial products, 

to remove impediments to and perfect the 

mechanism of a free and open market in 

municipal securities and municipal financial 

products, and, in general, to protect 

investors, municipal entities, obligated 

persons, and the public interest. 

The Commission believes that the 

proposed rule change is consistent with 

the Exchange Act in that the 

amendments to the SHORT subscription 

service would serve as an additional 

mechanism by which the MSRB works 

toward removing impediments to and 

helping to perfect the mechanisms of a 

free and open market in municipal 

securities. The subscription service 

would make the additional information 

and documents collected by the SHORT 

System available to market participants 

for re-dissemination and for use in 

creating value-added products and 

services. Such re-dissemination and 

third-party use would provide market 

participants, including investors and the 

general public, additional avenues for 

obtaining the information collected by 

the SHORT System and would make 

additional tools available for making 

well-informed investment decisions. 

Broad access to the information and 

documents collected by the SHORT 

System, in addition to the public access 

through the EMMA Web portal, should 

further assist in preventing fraudulent 

and manipulative acts and practices by 

improving the opportunity for public 

investors to access material information 

about Auction Rate Securities and 

Variable Rate Demand Obligations. 

The Commission further believes that 

broader re-dissemination and thirdparty use of the information and 

documents collected by the SHORT 

System should promote a more fair and 

efficient municipal securities market in 

which transactions are effected on the 

basis of material information available 

to all parties to such transactions, which 

should allow for fairer pricing of 

transactions based on a more complete 

understanding of the terms of the 

securities (including any changes 

thereto). 

The proposed rule change will 

become effective on May 16, 2011, as 

requested by the MSRB. 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Exchange Act, 

that the proposed rule change (SR– 

MSRB–2011–04), 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. 2011–8798 Filed 4–12–11; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–64245; File No. SR–CBOE– 

2011–026] 

Self-Regulatory Organizations; 

Chicago Board Options Exchange, 

Incorporated; Notice of Filing of a 

Proposed Rule Change To Trade 

Options on Individual Stock Based 

Volatility Indexes and Certain 

Exchange-Traded Fund Based 

Volatility Indexes 

April 7, 2011. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that on March 29, 

2011, the Chicago Board Options 

Exchange, Incorporated (‘‘Exchange’’ or 

‘‘CBOE’’) 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. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

CBOE proposes to amend its rules to 

list and trade options on individual 

stock based volatility indexes and 

certain exchange-traded fund based 

volatility indexes. CBOE will list a total 

of 40 combined individual stock and 

exchange-traded fund based volatility 

indexes. These are in addition to 

options on the CBOE Gold ETF 

Volatility Index (‘‘GVZ’’), which has 

already been approved for trading by the 

Commission. Such volatility index 

options must be based on an individual 

stock option or exchange-traded fund 

option that already trades on CBOE. The 

proposed options will be cash-settled 

and will have European-style exercise. 

The text of the rule proposal is available 

on the Exchange’s Web site (http:// 

www.cboe.org/legal), at the Exchange’s 

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Federal Register / Vol. 76, No. 71 / Wednesday, April 13, 2011 / Notices 20785 

3See Securities Exchange Act Release No. 62139 

(May 19, 2010) 75 FR 29597 (May 26, 2010) (order 

approving proposal to list and trade GVZ options 

on the CBOE). 

4See Rule 24.9(a)(4) which identifies, inter alia, 

CBOE Volatility Index, CBOE Nasdaq 100 Volatility 

Index, CBOE Dow Jones Industrial Average 

Volatility Index and CBOE Russell 2000 Volatility 

Index as A.M.-settled index options eligible for 

options trading on CBOE. 

5See proposed new definitions of ‘‘ExchangeTraded Fund and Individual Stock Based Volatility 

Index’’ set forth in Rule 24.1(bb). 6CBOE will be the reporting authority for any Vol 

Index. 

7See Rule 5.5(c). ‘‘Additional series of options of 

the same class may be opened for trading on the 

Exchange when the Exchange deems it necessary to 

maintain an orderly market, to meet customer 

demand or when the market price of the underlying 

* * * moves substantially from the initial exercise 

price or prices.’’ For purposes of this rule, ‘‘market 

price’’ shall mean the implied forward level based 

on any corresponding futures price or the 

calculated forward value of the respective Vol 

index. 

Office of the Secretary 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 

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 the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The purpose of this proposed rule 

change is to permit the Exchange to list 

and trade cash-settled, European-style 

options on individual stock-based 

volatility indexes and select exchangetraded fund based volatility indexes 

(collectively, ‘‘Vol Indexes’’). CBOE 

proposes to list a total of 40 combined 

Vol Indexes. Initially, CBOE proposes to 

list options on Vol Indexes comprised of 

options on the following individual 

stocks: Apple Computer, Amazon, IBM, 

Google, and Goldman Sachs. In 

addition, CBOE will list Vol Indexes 

comprised of options on the following 

exchange-traded funds (‘‘ETFs’’): The US 

Oil Fund, LP (‘‘USO’’), the iShares MSCI 

Emerging Markets Index Fund (‘‘EEM’’), 

the iShares FTSE China 25 Index Fund 

(‘‘FXI’’), the iShares MSCI Brazil Index 

Fund (‘‘EWZ’’), the Market Vectors Gold 

Miners ETF (‘‘GDX’’), and the Energy 

Select Sector SPDR ETF (‘‘XLE’’). These 

are in addition to options on the CBOE 

Gold ETF Volatility Index (‘‘GVZ’’), 

which has already been approved for 

trading by the Commission.3 From time 

to time, CBOE will announce the 

remaining Vol Indexes options it will 

trade. 

In addition to GVZ, CBOE currently 

has approval to trade options on other 

volatility indexes that measure the 

volatility of broad-based indexes.4 The 

Exchange now wants to add volatility 

index options based on individual stock 

options that are very actively traded and 

on certain ETF options. This proposal 

would permit the Exchange to trade a 

Vol Index using any ETF option 

currently trading and eligible for 

options trading under Interpretations 

and Policies .06 and .07 to Rule 5.3 

other than those ETFs specifically 

identified in Interpretation and Policy 

.06(iv). CBOE will continue to trade 

GVZ options under the prior approval 

issued by the Commission. The 

calculation of any Vol Index will use the 

same methodology, as described below, 

as is currently used for CBOE Volatility 

Index (‘‘VIX’’) and GVZ options. 

Index Design and Calculation 

The calculation of a Vol Index will be 

based on the VIX and GVZ methodology 

applied to options on the individual 

stock or exchange-traded fund that is 

the subject of the particular Vol Index. 

A Vol Index is an up-to-the-minute 

market estimate of the expected 

volatility of the underlying individual 

stock or exchange-traded fund 

calculated by using real-time bid/ask 

quotes of CBOE listed options on the 

underlying instruments. A Vol 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.5

For each contract month, CBOE will 

determine the at-the-money strike price. 

The Exchange will then select the atthe-money and out-of-the money series 

with non-zero bid prices and determine 

the midpoint of the bid-ask quote for 

each of these series. The midpoint quote 

of each series is then weighted so that 

the further away that series is from the 

at-the-money strike, the less weight that 

is accorded to the quote. Then, to 

compute the index level, CBOE will 

calculate a volatility measure for the 

nearby options and then for the second 

nearby options. This is done using the 

weighted mid-point of the prevailing 

bid-ask quotes for all included option 

series with the same expiration date. 

These volatility measures are then 

interpolated to arrive at a single, 

constant 30-day measure of volatility.6

CBOE will compute values for Vol 

Index underlying option series on a realtime basis throughout each trading day, 

from 8:30 a.m. until 3 p.m. (Chicago 

time) (or until 3:15 p.m. (Chicago time) 

as applicable for certain ExchangeTraded Fund Based Volatility Index 

options). Vol Index levels will be 

calculated by CBOE and disseminated at 

15-second intervals to major market data 

vendors. 

Options Trading 

Vol Index options will be quoted in 

index points and fractions and one 

point will equal $100. The minimum 

tick size for series trading below $3 will 

be 0.05 ($5.00) and above $3 will be 

0.10 ($10).00). Initially, the Exchange 

will list in-, at- and out-of-the-money 

strike prices and the procedures for 

adding additional series are provided in 

Rule 5.5.7 Dollar strikes (or greater) will 

be permitted for Vol Index options 

where the strike price is $200 or less 

and $5 or greater where the strike price 

is greater than $200. 

Transactions in Vol Index options 

may be effected on the Exchange 

between the hours of 8:30 a.m. Chicago 

time and 3:15 p.m. (Chicago time), 

except (for Exchange-Trade Fund Based 

Volatility Index options) if the closing 

time for traditional options on the 

exchange-traded fund is earlier than 

3:15 p.m. (Chicago time), the earlier 

closing time shall apply. The Exchange 

is proposing to permit different closing 

times for Exchange-Traded Fund Based 

Volatility Index options because the 

trading hours for traditional options on 

ETFs vary. 

Exercise and Settlement 

The proposed options will typically 

expire on the Wednesday that is 30 days 

prior to the third Friday of the calendar 

month immediately following the 

expiration month (the expiration date of 

the options used in the calculation of 

the index). If the third Friday of the 

calendar month immediately following 

the expiring month is a CBOE holiday, 

the expiration date will be 30 days prior 

to the CBOE business day immediately 

preceding that Friday. For example, 

November 2011 Vol Index options 

would expire on Wednesday, November 

16, 2011, exactly 30 days prior to the 

third Friday of the calendar month 

immediately following the expiring 

month. 

Trading in the expiring contract 

month will normally cease at 3:00 pm 

(Chicago time) (or at 3:15 p.m. (Chicago 

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20786 Federal Register / Vol. 76, No. 71 / Wednesday, April 13, 2011 / Notices 

8See proposed amendment to Rule 24.6, Days 

and Hours of Business. 

9See proposed amendment to Rule 24.9(a)(4) 

(adding Exchange-traded fund volatility indexes 

and Individual stock volatility indexes to the list of 

A.M.-settled index options approved for trading on 

the Exchange). 

10See proposed amendment to Rule 24.9(a)(5) 

(revising rule to make ‘‘Volatility Index’’ options 

generic for purposes of this provision, which sets 

forth the method of determining the day that the 

exercise settlement value is calculated and of 

determining the expiration date and the last trading 

day for CBOE Volatility Index Options). The 

Exchange is also proposing to make technical 

changes to this rule provision as well. 

11See proposed amendment to rule 24.5 and 

proposed new Interpretations and Policy .04 to rule 

24.5. 

time) as applicable for Exchange-Traded 

Fund Based Volatility Index options) on 

the business day immediately preceding 

the expiration date.8 Exercise will result 

in delivery of cash on the business day 

following expiration. Vol Index options 

will be A.M.-settled.9 The exercise 

settlement value will be determined by 

a Special Opening Quotations (‘‘SOQ’’) 

of a Vol Index calculated from the 

sequence of opening prices of a single 

strip of options expiring 30 days after 

the settlement date. The opening price 

for any series in which there are is no 

trade shall be the average of that 

options’ bid price and ask price as 

determined at the opening of trading.10

The exercise-settlement amount will 

be equal to the difference between the 

exercise-settlement value and the 

exercise price of the option, multiplied 

by $100. When the last trading day is 

moved because of a CBOE holiday, the 

last trading day for expiring options will 

be the day immediately preceding the 

last regularly-scheduled trading day. 

Position and Exercise Limits 

For regular options trading, the 

Exchange is proposing to establish 

position limits for Vol Index options at 

50,000 contracts on either side of the 

market and no more than 30,000 

contracts in the nearest expiration 

month. CBOE believes that a 50,000 

contract position limit is appropriate 

due to the fact that the options which 

are the underlying components for a Vol 

Index are among the most actively 

traded option classes currently listed. In 

determining compliance with these 

proposed position limits, Vol Index 

options will not be aggregated with the 

underlying exchange-traded fund or 

individual stock options. Exercise limits 

will be the equivalent to the proposed 

position limits.11 Vol Index options will 

be subject to the same reporting 

requirements triggered for other options 

dealt in on the Exchange. 

For FLEX options trading, the 

Exchange is proposing that the position 

limits for FLEX Vol Index Options will 

be equal to the position limits for NonFLEX Options on the same Vol Index. 

Similarly, the Exchange is proposing 

that the exercise limits for FLEX Vol 

Index Options will be equivalent to the 

position limits established pursuant to 

Rule 24.4. The proposed position and 

exercise limits for FLEX Vol Index 

Options are consistent with the 

treatment of position and exercise limits 

for Flex GVZ and other Flex Index 

Options. The Exchange is also 

proposing to amend subparagraph (4) to 

Rules 24A.7(d) and 24B.7(d) to provide 

that as long as the options positions 

remain open, positions in FLEX Vol 

Index Options that expire on the same 

day as Non-FLEX Vol Index Options, as 

determined pursuant to Rule 24.9(a)(5), 

shall be aggregated with positions in 

Non-FLEX Vol Index Options and shall 

be subject to the position limits set forth 

in Rules 4.11, 24.4, 24.4A and 24.4B, 

and the exercise limits set forth in Rules 

4.12 and 24.5. 

The Exchange is proposing to 

establish a Vol Index Hedge Exemption, 

which would be in addition to the 

standard limit and other exemptions 

available under Exchange rules, 

interpretations and policies. The 

Exchange proposes to establish the 

following procedures and criteria which 

must be satisfied to qualify for a Vol 

Index hedge exemption: 

• The account in which the exempt 

option positions are held (‘‘hedge 

exemption account’’) has received prior 

Exchange approval for the hedge 

exemption specifying the maximum 

number of contracts which may be 

exempt under the proposed new 

Interpretation. The hedge exemption 

account has provided all information 

required on Exchange-approved forms 

and has kept such information current. 

Exchange approval may be granted on 

the basis of verbal representations, in 

which event the hedge exemption 

account shall within two (2) business 

days or such other time period 

designated by the Department of Market 

Regulation furnish the Department of 

Market Regulation with appropriate 

forms and documentation substantiating 

the basis for the exemption. The hedge 

exemption account may apply from time 

to time for an increase in the maximum 

number of contracts exempt from the 

position limits. 

• A hedge exemption account that is 

not carried by a CBOE member 

organization must be carried by a 

member of a self-regulatory organization 

participating in the Intermarket 

Surveillance Group. 

• The hedge exemption account 

maintains a qualified portfolio, or will 

effect transactions necessary to obtain a 

qualified portfolio concurrent with or at 

or about the same time as the execution 

of the exempt options positions, of a net 

long or short position in Equity-Based 

Volatility Index futures contracts or in 

options on Vol Index futures contracts, 

or long or short positions in Vol Index 

options, for which the underlying Vol 

Index is included in the same margin or 

cross-margin product group cleared at 

the Clearing Corporation as the Vol 

Index option class to which the hedge 

exemption applies. To remain qualified, 

a portfolio must at all times meet these 

standards notwithstanding trading 

activity. 

• The exemption applies to positions 

in Vol Index options dealt in on the 

Exchange and is applicable to the 

unhedged value of the qualified 

portfolio. The unhedged value will be 

determined as follows: (1) The values of 

the net long or short positions of all 

qualifying products in the portfolio are 

totaled; (2) for positions in excess of the 

standard limit, the underlying market 

value (a) of any economically equivalent 

opposite side of the market calls and 

puts in broad-based index options, and 

(b) of any opposite side of the market 

positions in Vol Index futures, options 

on Vol Index futures, and any 

economically equivalent opposite side 

of the market positions, assuming no 

other hedges for these contracts exist, is 

subtracted from the qualified portfolio; 

and (3) the market value of the resulting 

unhedged portfolio is equated to the 

appropriate number of exempt contracts 

as follows—the unhedged qualified 

portfolio is divided by the 

correspondent closing index value and 

the quotient is then divided by the 

index multiplier or 100. 

• Only the following qualified 

hedging transactions and positions will 

be eligible for purposes of hedging a 

qualified portfolio (i.e. futures and 

options) pursuant to the proposed new 

Interpretation .01: 

Æ Long put(s) used to hedge the 

holdings of a qualified portfolio; 

Æ Long call(s) used to hedge a short 

position in a qualified portfolio; 

Æ Short call(s) used to hedge the 

holdings of a qualified portfolio; and 

Æ Short put(s) used to hedge a short 

position in a qualified portfolio. 

• The following strategies may be 

effected only in conjunction with a 

qualified stock portfolio: 

Æ A short call position accompanied 

by long put(s), where the short call(s) 

expires with the long put(s), and the 

strike price of the short call(s) equals or 

exceeds the strike price of the long 

put(s) (a ‘‘collar’’). Neither side of the 

collar transaction can be in-the-money 

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12 15 U.S.C. 78s(b)(1). 

13 15 U.S.C. 78f(b). 

14 15 U.S.C. 78f(b)(5). 

at the time the position is established. 

For purposes of determining compliance 

with Rules 4.11 and proposed Rule 

24.4C, a collar position will be treated 

as one (1) contract; 

Æ A long put position coupled with a 

short put position overlying the same 

Vol Index and having an equivalent 

underlying aggregate index value, where 

the short put(s) expires with the long 

put(s), and the strike price of the long 

put(s) exceeds the strike price of the 

short put(s) (a ‘‘debit put spread 

position’’); and 

Æ A short call position accompanied 

by a debit put spread position, where 

the short call(s) expires with the puts 

and the strike price of the short call(s) 

equals or exceeds the strike price of the 

long put(s). Neither side of the short 

call, long put transaction can be in-themoney at the time the position is 

established. For purposes of 

determining compliance with Rules 4.11 

and proposed Rule 24.4C, the short call 

and long put positions will be treated as 

one (1) contract. 

• The hedge exemption account shall: 

Æ Liquidate and establish options, 

their equivalent or other qualified 

portfolio products in an orderly fashion; 

not initiate or liquidate positions in a 

manner calculated to cause 

unreasonable price fluctuations or 

unwarranted price changes. 

Æ Liquidate any options prior to or 

contemporaneously with a decrease in 

the hedged value of the qualified 

portfolio which options would thereby 

be rendered excessive. 

Æ Promptly notify the Exchange of 

any material change in the qualified 

portfolio which materially affects the 

unhedged value of the qualified 

portfolio. 

• If an exemption is granted, it will be 

effective at the time the decision is 

communicated. Retroactive exemptions 

will not be granted. 

Exchange Rules Applicable 

Except as modified herein, the rules 

in Chapters I through XIX, XXIV, 

XXIVA, and XXIVB will equally apply 

to Vol Index options. 

The Exchange is proposing that the 

margin requirements for Vol Index 

options be set at the same levels that 

apply to equity options under Exchange 

Rule 12.3. Margin of up to 100% of the 

current market value of the option, plus 

20% of the underlying volatility index 

value must be deposited and 

maintained. The pertinent provisions of 

Rule 12.3, Margin Requirements, have 

been amended to reflect these proposed 

revisions. Additional margin may be 

required pursuant to Exchange Rule 

12.10. 

The Exchange hereby designates Vol 

Index options as eligible for trading as 

Flexible Exchange Options as provided 

for in Chapters XXIVA (Flexible 

Exchange Options) and XXIVB (FLEX 

Hybrid Trading System). The Exchange 

notes that Vol Index FLEX Options will 

only expire on business days that nonFLEX options on Vol Indexes expire. 

This is because the term ‘‘exercise 

settlement value’’ in Rules 24A.4(b)(3) 

and 24B.4(b)(3), Special Terms for FLEX 

Index Options, has the same meaning 

set forth in Rule 24.9(5). As is described 

earlier, the Exchange is proposing to 

amend Rule 24.9(a)(5) to provide that 

the exercise settlement value of Vol 

Index options for all purposes under 

CBOE Rules will be calculated as the 

Wednesday that is thirty days prior to 

the third Friday of the calendar month 

immediately following the month in 

which a Vol Index options expire. 

Capacity 

CBOE 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 new series 

that would result from the introduction 

of Vol Index options. 

Surveillance 

The Exchange will use the same 

surveillance procedures currently 

utilized for each of the Exchange’s other 

index options to monitor trading in Vol 

Index options. The Exchange further 

represents that these surveillance 

procedures shall be adequate to monitor 

trading in options on these volatility 

indexes. For surveillance purposes, the 

Exchange will have complete access to 

information regarding trading activity in 

the pertinent underlying securities. 

2. Statutory Basis 

The Exchange believes the proposed 

rule change is consistent with the Act 12

and the rules and regulations 

thereunder and, in particular, the 

requirements of Section 6(b) of the 

Act.13 Specifically, the Exchange 

believes the proposed rule change is 

consistent with the Section 6(b)(5) 14

requirements that the rules of an 

exchange be designed to promote just 

and equitable principles of trade, to 

prevent fraudulent and manipulative 

acts, to remove impediments to and to 

perfect the mechanism for a free and 

open market and a national market 

system, and, in general, to protect 

investors and the public interest. The 

Exchange believes that the introduction 

of Vol Index options will attract order 

flow to the Exchange, increase the 

variety of listed options to investors, 

and provide a valuable hedging tool to 

investors. 

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 

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 

Within 45 days of the date of 

publication of this notice in the Federal 

Register or within such longer period 

up to 90 days (i) as the Commission may 

designate 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 or disapprove 

the 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–CBOE–2011–026 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–2011–026. This file 

number should be included on the 

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15 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. 78s(b)(3)(A)(iii). 

4See Securities Exchange Act Release No. 63860 

(February 7, 2011), 76 FR 7888 (February 11, 2011) 

SR–Phlx–2010–176. 

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

6 15 U.S.C. 78s(b)(3)(A). 

7 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, 

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–CBOE– 

2011–026 and should be submitted on 

or before May 4, 2011. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.15

Cathy H. Ahn, 

Deputy Secretary. 

[FR Doc. 2011–8793 Filed 4–12–11; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–64248; File No. SR–Phlx– 

2011–49] 

Self-Regulatory Organizations; Notice 

of Filing and Immediate Effectiveness 

of Proposed Rule Change by NASDAQ 

OMX PHLX LLC To Amend Phlx Rule 

1001A, Position Limits 

April 7, 2011. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that, on April 6, 

2011, NASDAQ OMX PHLX LLC (‘‘Phlx’’ 

or the ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the Exchange. The Exchange filed the 

proposal as a ‘‘non-controversial’’ 

proposed rule change pursuant to 

Section 19(b)(3)(A)(iii) of the Act 3 and 

Rule 19b–4(f)(6) thereunder. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend 

section (d) of Exchange Rule 1001A, 

Position Limits, to make a 

nonsubstantive clarification that that 

section is inapplicable to options on 

Alpha Indexes. The text of the proposed 

rule change is available on the 

Exchange’s Web site at http:// 

www.nasdaqtrader.com/ 

micro.aspx?id=PHLXRulefilings, 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 

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 the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The purpose of the proposed rule 

change is to amend section (d) of Rule 

1001A to make clear that it does not 

apply to options on Alpha Indexes. On 

February 7, 2011, the Commission 

approved the Exchange’s proposed rule 

change to list and trade options on 

certain Alpha Indexes.4 The proposed 

rule change included new section (f) of 

Rule 1001A, which provides in part that 

positions in Alpha Index options will be 

aggregated with positions in equity 

options on the underlying securities for 

purposes of determining compliance 

with position limits. Section (d) of Rule 

1001A, however, predates options on 

Alpha Indexes and was not changed in 

that filing. It provides that index option 

contracts shall not be aggregated with 

option contracts on any stocks whose 

prices are the basis for calculation of the 

index. This proposed rule change will 

add an exception to section (d) so that 

it is clear on the face of that section that 

it is inapplicable to options on Alpha 

Indexes which are separately and 

specifically dealt with in Section (f). 

2. Statutory Basis 

The Exchange believes that its 

proposal is consistent with Section 6(b) 

of the Act in general, and furthers the 

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

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 

conforming section (d) of Rule 1001A to 

section (f) of that rule, clarifying the 

applicability of the rule for investors. 

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 

The foregoing rule change has become 

effective pursuant to Section 19(b)(3)(A) 

of the Act 6 and Rule 19b–4(f)(6) 

thereunder because the proposal does 

not: (i) Significantly affect the 

protection of investors or the public 

interest; (ii) impose any significant 

burden on competition; and (iii) by its 

terms, become operative for 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.7

mstockstill on DSKH9S0YB1PROD with NOTICES