Federal Register / Vol. 75, No. 228 / Monday, November 29, 2010 / Notices 73145 

5See Securities Exchange Act Release No. 60956 

(November 6, 2009), 74 FR 58674 (November 13, 

2009) (Notice of Filing and Immediate Effectiveness 

of SR–ISE–2009–93). 

6The ISE anticipated that extension of the pilot 

might be necessary and included this in the filing 

for the initial pilot. See supra note 3, at footnote 

5. 

7 15 U.S.C. 78s(b)(3)(A). 

8 17 CFR 240.19b–4(f)(5). 

9 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

November 30, 2010,5 but the 

Commission has not yet taken action 

with respect to the Permanent Rule 

Change. Accordingly, the Exchange 

proposes to extend the pilot for an 

additional six months, until May 31, 

2011, so that the system change will 

remain in effect while the Commission 

continues to evaluate the Permanent 

Rule Change.6

2. Basis 

The basis under the Exchange Act for 

this proposed rule change is found in 

Section 6(b)(5), in that the proposed rule 

change is designed to promote just and 

equitable principles of trade, remove 

impediments to and perfect the 

mechanisms of a free and open market 

and a national market system and, in 

general, to protect investors and the 

public interest. Extension of the pilot 

program will allow the Exchange to 

continue operating under the pilot 

while the Commission considers the 

Permanent Rule Change. 

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 

Exchange 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 written 

comments from members or other 

interested parties. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The proposed rule change has become 

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

of the Exchange Act 7 and Rule 19b– 

4(f)(5) 8 thereunder. 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 is consistent with the Exchange 

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 

No. SR–ISE–2010–110 in 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–2010–110. 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 Commissions 

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 

ISE. 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–2010–110 and should 

be submitted by December 20, 2010. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.9

Elizabeth M. Murphy, 

Secretary. 

[FR Doc. 2010–29894 Filed 11–26–10; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–63349; File No. SR– 

NYSEArca–2010–103] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing of Proposed 

Rule Change Relating to the Listing 

and Trading of the Jefferies S&P 500®

VIX Short-Term Futures ETF 

November 19, 2010. 

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 

November 9, 2010, NYSE Arca, Inc. 

(‘‘Exchange’’ or ‘‘NYSE Arca’’) 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 

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 list and 

trade shares of the Jefferies S&P 500®

VIX Short-Term Futures ETF under 

NYSE Arca Equities Rule 8.200. The text 

of the proposed rule change is available 

at the Exchange, the Commission’s 

Public Reference Room, and http:// 

www.nyse.com. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant parts of such 

statements. 

mstockstill on DSKH9S0YB1PROD with NOTICES

73146 Federal Register / Vol. 75, No. 228 / Monday, November 29, 2010 / Notices 

3Commentary .02 to NYSE Arca Equities Rule 

8.200 applies to TIRs that invest in ‘‘Financial 

Instruments.’’ The term ‘‘Financial Instruments,’’ as 

defined in Commentary .02(b)(4) to NYSE Arca 

Equities Rule 8.200, means any combination of 

investments, including cash; securities; options on 

securities and indices; futures contracts; options on 

futures contracts; forward contracts; equity caps, 

collars and floors; and swap agreements. 

4The Commission previously has approved 

listing on the Exchange under Commentary .02 to 

NYSE Arca Equities Rule 8.200 of certain securities 

issuers. See, e.g., Securities Exchange Act Release 

Nos. 58457 (September 3, 2008), 73 FR 52711 

(September 10, 2008) (SR–NYSEArca–2008–91) 

(order granting accelerated approval to list on NYSE 

Arca of 14 ProShares funds); and 58983 (November 

20, 2008), 73 FR 73368 (December 2, 2008) (SR– 

NYSEArca–2008–126) (order granting accelerated 

approval to list on NYSE Arca the GreenHaven 

Continuous Commodity Index Fund). See also 

Securities Exchange Act Release No. 58968 

(November 17, 2008), 73 FR 71082 (November 24, 

2008) (SR–NYSEArca–2008–111) (order granting 

accelerated approval of proposed rule change to 

amend NYSE Arca Equities Rule 5.2(j)(6)(v) to add 

CBOE Volatility Index Futures to the definition of 

Futures Reference Asset). 

5The Fund has filed a Pre-Effective Amendment 

No. 3 to Form S–1 registration statement under the 

Securities Act of 1933, dated August 17, 2010 (File 

No. 333–166283) (‘‘Registration Statement’’). The 

description of the Fund and the Shares contained 

herein are based on the Registration Statement. 

6The VIX Futures Index was created by Standard 

& Poor’s Financial Services, LLC (‘‘Index Sponsor’’). 

The VIX Futures Index is the excess return version 

of the S&P 500 VIX Short-Term FuturesTM Index. 

The Index Sponsor has implemented procedures 

designed to prevent the use and dissemination of 

material, non-public information regarding the 

Index. 

7As of June 14, 2010, there was VIX Futures 

Contracts open interest of 88,366 contracts with a 

contract price of $25.55 and value of open interest 

of $2,257,751,300. Total CFE trading volume in 

2009 in VIX Futures Contracts was 1,143,612 

contracts, with average daily volume of 4538 

contracts. Total volume year-to-date (through May 

31, 2010) is 1,399,709 contracts, with average daily 

volume of 13,458 contracts. (Source: Bloomberg and 

CBOE). 

8Terms relating to the Fund, the Shares and the 

Index referred to, but not defined, herein are 

defined in the Registration Statement. 

9To the extent practicable, the Fund will invest 

in swaps cleared through the facilities of a 

centralized clearing house. 

10According to the Registration Statement, the 

Managing Owner will also attempt to mitigate the 

Fund’s credit risk by transacting only with large, 

well-capitalized institutions using measures 

designed to determine the creditworthiness of a 

counterparty. The Managing Owner will take 

various steps to limit counterparty credit risk, as 

described in the Registration Statement. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

NYSE Arca Equities Rule 8.200, 

Commentary .02, permits the trading of 

Trust Issued Receipts (‘‘TIRs’’) either by 

listing or pursuant to unlisted trading 

privileges (‘‘UTP’’).3 The Exchange 

proposes to list and trade shares 

(‘‘Shares’’) of the Jefferies S&P 500® VIX 

Short-Term Futures ETF (‘‘Fund’’) 

pursuant to NYSE Arca Equities Rule 

8.200.4 The Fund is a commodity pool 

and a Delaware statutory trust.5

Overview of the Fund 

According to the Registration 

Statement, the Fund seeks to track 

changes, whether positive or negative, 

in the level of the S&P 500 VIX ShortTerm FuturesTM Index ER (‘‘VIX Futures 

Index’’ or ‘‘Index’’) over time.6 The Fund 

will pursue its investment objective 

primarily by maintaining long futures 

positions corresponding to the futures 

contracts underlying the VIX Futures 

Index which trade on the CBOE Futures 

Exchange (‘‘CFE’’) (‘‘VIX Futures 

Contracts’’),7 with an aggregate notional 

amount equal to the Fund’s total capital. 

In certain circumstances, as described 

below, the Fund may invest in one or 

more forward agreements or swaps 

(‘‘Futures-Linked Investments’’). The 

Fund is also intended to reflect the 

excess, if any, of its interest income 

from its investment in U.S. Treasury 

bills, generally with a maturity of less 

than one year, and other high credit 

quality short-term fixed-income 

securities, over its expenses.8

Jefferies Commodity Investment 

Services, LLC, a Delaware limited 

liability company, is the Fund’s 

promoter, and will serve as Managing 

Owner of the Fund. The Managing 

Owner will serve as the commodity pool 

operator and commodity trading advisor 

of the Fund. The Managing Owner is 

registered as a commodity pool operator 

and commodity trading advisor with the 

Commodity Futures Trading 

Commission and is a member of the 

National Futures Association. The Bank 

of New York Mellon (‘‘Administrator’’) 

will be the administrator, custodian and 

transfer agent of the Fund. 

According to the Registration 

Statement, the Index is designed to 

provide an exposure to one or more 

maturities of futures contracts on the 

CBOE Volatility Index (‘‘Volatility 

Index’’), which reflect implied volatility 

in the S&P 500® Index at various points 

along the volatility forward curve. The 

Volatility Index is calculated based on 

the prices of put and call options on the 

S&P 500® Index. The VIX Futures Index 

is intended to reflect the returns that are 

potentially available through an 

unleveraged investment in the relevant 

futures contract or contracts on the 

Volatility Index. 

The Index measures the return from a 

daily rolling long position in the first 

and second month VIX Futures 

Contracts, targeting a constant weighted 

average futures maturity of one month. 

The Fund will acquire and roll long 

positions in the first and second month 

VIX Futures Contracts with a view to 

tracking the level of the Index over time. 

The Fund will both roll and rebalance 

its holdings of VIX Futures Contracts in 

a manner consistent with the method 

described in the Registration Statement. 

The Index is comprised of, and the 

value of the Shares will be based on, 

VIX Futures Contracts. VIX Futures 

Contracts are measures of the market’s 

expectation of the level of the Volatility 

Index at certain points in the future, and 

may diverge from current, or spot, 

Volatility Index values. The Fund is not 

linked to the Volatility Index, and the 

value of the Index and the Shares may 

diverge significantly from the Volatility 

Index. 

The Fund does not intend to 

outperform the Index. The Managing 

Owner will seek to cause the net asset 

value (‘‘NAV’’) of the Fund to track the 

Index during periods in which the Index 

is flat or declining as well as when the 

Index is rising. 

According to the Registration 

Statement, the Fund seeks to achieve its 

investment objective by investing under 

normal market conditions in VIX 

Futures Contracts. In the event the Fund 

reaches its position accountability rules 

with respect to VIX Futures Contracts, 

the Managing Owner, may, in its 

commercially reasonable judgment, 

cause the Fund to invest in a FuturesLinked Investment referencing the 

particular VIX Futures Contracts, or 

invest in other futures contracts or a 

Futures-Linked Investment not based on 

the particular VIX Futures Contracts if 

such instruments tend to exhibit trading 

prices or returns that correlate with the 

VIX Futures Index or any VIX Futures 

Contract and will further the investment 

objective of the Fund.9 The Fund may 

also invest in Futures-Linked 

Investments if the market for a specific 

futures contract experiences 

emergencies (e.g., natural disaster, 

terrorist attack or an act of God) or 

disruptions (e.g., a trading halt or a flash 

crash) to prevent the Fund from 

obtaining the appropriate amount of 

investment exposure to the affected VIX 

Futures Contract directly or other 

futures contract.10

The Fund will hold a portfolio of VIX 

Futures Contracts as well as cash and 

U.S. Treasury bills, generally with a 

maturity of less than one year, and other 

high credit quality short-term fixedincome securities for deposit with the 

Fund’s Clearing Broker as margin. The 

Fund’s portfolio will be traded with a 

view to tracking the Index, whether the 

Index is rising, falling or flat over any 

particular period. The Fund is not 

mstockstill on DSKH9S0YB1PROD with NOTICES

Federal Register / Vol. 75, No. 228 / Monday, November 29, 2010 / Notices 73147 

11 It is anticipated that, near expiration, the 

performance of a VIX Futures Contract will be close 

to that of the Volatility Index, while longer term 

futures (not close to expiration) reflect the long term 

expectations of the value of the Volatility Index 

plus a risk premium and may not closely track the 

performance of the Volatility Index. The Exchange 

notes that the Fund seeks results that match the 

performance of the VIX Futures Index and should 

not be expected to match the performance of the 

Volatility Index. 

12E-mail from Michael Cavalier, Chief Counsel, 

NYSE Euronext, to Edward Y. Cho, Special 

Counsel, Division of Trading and Markets, 

Commission, dated November 15, 2010 (‘‘Exchange 

Confirmation’’). 

‘‘managed’’ by traditional methods, 

which typically involve effecting 

changes in the composition of the 

Fund’s portfolio on the basis of 

judgments relating to economic, 

financial and market considerations 

with a view to obtaining positive results 

under all market conditions. 

According to the Registration 

Statement, the Shares are designed to 

reflect as closely as possible the 

changes, whether positive or negative, 

in the level of the VIX Futures Index 

over time, through the Fund’s portfolio 

of VIX Futures Contracts, and/or, if 

applicable, Futures-Linked Investments 

that reference the VIX Futures Index. 

The value of the Shares relates directly 

to the changes in market value, whether 

positive or negative, of the Fund’s 

portfolio of VIX Futures Contracts and 

the value of the Fund’s portfolio of U.S. 

Treasury bills, generally with a maturity 

of less than one year, and other high 

credit quality short-term fixed-income 

securities, less the liabilities (including 

estimated accrued but unpaid expenses) 

of the Fund. 

The Volatility Index 

According to the Registration 

Statement, the Volatility Index is a 

benchmark index designed to estimate 

expected volatility in large cap U.S. 

stocks over 30 days in the future by 

averaging the weighted prices of certain 

put and call options on the S&P 500®

Index. During periods of market 

instability, the implied level of volatility 

of the S&P 500® Index typically 

increases and, consequently, the prices 

of options linked to the S&P 500® Index 

typically increase (assuming all other 

relevant factors remain constant or have 

negligible changes). This, in turn, causes 

the level of the Volatility Index to 

increase. Because the Volatility Index 

may increase in times of uncertainty, 

the Volatility Index is commonly known 

as the ‘‘fear gauge’’ of the broad U.S. 

equities market. The Volatility Index 

has historically had negative 

correlations to the S&P 500® Index. 

The calculation of the Volatility Index 

involves a formula that uses the prices 

of a weighted series of out-of-the money 

put and call options on the level of the 

S&P 500® Index (‘‘SPX Options’’), with 

two adjacent expiry terms to derive a 

constant 30-day forward measure of 

market volatility. The Volatility Index is 

calculated independent of any 

particular option pricing model and in 

doing so seeks to eliminate any biases 

which may otherwise be included in 

using options pricing methodology 

based on certain assumptions. 

According to the Registration 

Statement, although the Volatility Index 

measures the 30-day forward volatility 

in the S&P 500® Index as implied by the 

SPX Options, 30-day options are only 

available once a month. To arrive at the 

Volatility Index level, a broad range of 

out-of-the money SPX Options expiring 

on the two closest nearby months (‘‘near 

term options’’ and ‘‘next term options,’’ 

respectively) are selected in order to 

bracket a 30-day calendar period. SPX 

Options having a maturity of less than 

eight days are excluded at the outset 

and, when the near term options have 

eight days or less left to expiration, the 

Volatility Index rolls to the second and 

third contract months in order to 

minimize pricing anomalies that occur 

close to expiration. The model-free 

implied volatility using prices of the 

near term options and next term options 

are then calculated on a strike price 

weighted-average basis in order to arrive 

at a single average implied volatility 

value for each month. The results of 

each of the two months are then 

interpolated to arrive at a single value 

with a constant maturity of 30 days to 

expiration. Futures on the Volatility 

Index were first launched for trading by 

the CBOE in 2004. Volatility Index 

futures have expirations ranging from 

the front month consecutively out to the 

tenth month. 

The VIX Futures Index is composed of 

one or more futures contracts on the 

Volatility Index. OTC derivatives and 

various types of electronic trading 

facilities and markets may offer 

investments linked to the Volatility 

Index. At present, all of the contracts 

included in the VIX Futures Index are 

exchange-traded futures contracts. 

The VIX Futures Index is a rolling 

Index, which rolls on a daily basis. One 

of the effects of daily rolling is to 

maintain a constant weighted average 

maturity for the underlying futures 

contracts. The VIX Futures Index is 

composed of rolling first and second 

month futures contracts on the 

Volatility Index. Unlike equities, which 

typically entitle the holder to a 

continuing stake in a corporation, 

futures contracts normally specify a 

certain date for the delivery of the 

underlying asset or financial instrument 

or, in the case of futures contracts 

relating to indices such as the Volatility 

Index, a certain date for payment in 

cash of an amount determined by the 

level of the underlying index. The VIX 

Futures Index operates by selling 

futures contracts on the Volatility Index 

on a daily basis, specifying cash 

settlement on a nearby date and 

purchasing futures contracts on the 

Volatility Index on a daily basis 

specifying cash settlement on a later 

date. The roll for each VIX Futures 

Contract occurs on each index business 

day according to a pre-determined 

schedule that has the effect of keeping 

constant the weighted average maturity 

of the relevant VIX Futures Contract. 

This process is known as ‘‘rolling’’ a 

futures position, and the VIX Futures 

Index is a ‘‘rolling index.’’ The constant 

weighted average maturity for the 

futures contracts underlying the VIX 

Futures Index is one month.11

Because the Index incorporates this 

process of rolling futures positions on a 

daily basis, and the Fund, in general, 

also rolls its positions on a daily basis, 

the daily roll is not anticipated to be a 

significant source of tracking error 

between the Fund and its Index. The 

Index is based on VIX Futures Contracts 

and not the Volatility Index, and as such 

neither the Fund nor the Index are 

expected to track the Volatility Index. 

Creation and Redemption of Shares 

The Fund creates and redeems Shares 

from time-to-time in one or more 

Baskets. A Basket is a block of 20,000 

Shares. Baskets may be created or 

redeemed only by Authorized 

Participants, except that the initial 

Baskets in the Fund will be created by 

the Initial Purchaser. Except when 

aggregated in Baskets, the Shares are not 

redeemable securities. Authorized 

Participants pay a transaction fee in 

connection with each order to create or 

redeem a Basket. 

The total cash payment required to 

create each Basket is the NAV of 20,000 

Shares on the purchase order date.12

Baskets are issued as of noon, E.T., on 

the business day immediately following 

the purchase order date at the 

applicable NAV per Share on the 

purchase order date, but only if the 

required payment has been timely 

received. Purchase and redemption 

orders must be placed by noon, E.T. 

The procedures by which an 

Authorized Participant can redeem one 

or more Baskets mirror the procedures 

for the creation of Baskets. On any 

business day, an Authorized Participant 

may place an order with the Managing 

Owner to redeem one or more Baskets. 

mstockstill on DSKH9S0YB1PROD with NOTICES

73148 Federal Register / Vol. 75, No. 228 / Monday, November 29, 2010 / Notices 

13According to the Registration Statement, net 

asset value means the total assets of the Fund 

including, but not limited to, all cash and cash 

equivalents or other debt securities less total 

liabilities of the Fund, each determined on the basis 

of generally accepted accounting principles in the 

United States, consistently applied under the 

accrual method of accounting. 14See Exchange Confirmation, supra note 12. 

The redemption proceeds from the Fund 

consist of the cash redemption amount. 

The cash redemption amount is equal to 

the NAV of the number of Baskets of the 

Fund requested in the Authorized 

Participant’s redemption order on the 

redemption order date. 

Availability of Information Regarding 

the Shares 

The NAV for the Fund will be 

calculated by the Administrator once a 

day at or after 4:15 p.m., E.T., and will 

be disseminated daily to all market 

participants at the same time.13 The 

Exchange will make available on its 

Web site daily trading volume of each 

of the Shares, closing prices of such 

Shares, and number of Shares 

outstanding. 

The closing prices and settlement 

prices of VIX Futures Contracts are also 

readily available from the Web sites of 

the CFE, automated quotation systems, 

published or other public sources, or 

on-line information services such as 

Bloomberg or Reuters. Complete realtime data for VIX Futures Contracts is 

available by subscription from Reuters 

and Bloomberg. The CFE also provides 

delayed futures information on current 

and past trading sessions and market 

news free of charge on its Web site 

(http://www.cfe.cboe.com). The specific 

contract specifications for VIX Futures 

Contracts are also available on such 

Web sites, as well as other financial 

informational sources. Quotation and 

last-sale information regarding the 

Shares will be disseminated through the 

facilities of the CTA. In addition, the 

Fund’s Web site at http:// 

www.jamfunds.com/jcis will display the 

end of day closing Index levels and 

NAV. The level of the Volatility Index 

as calculated by CBOE, updated every 

15 seconds from 9:30 a.m. to 4:15 p.m., 

E.T., is disseminated on the CBOE Web 

site at http://www.cboe.com and 

through major market data vendors. 

The Fund will provide Web site 

disclosure of portfolio holdings daily 

and will include, as applicable, the 

names and value (in U.S. dollars) of VIX 

Futures Contracts, Futures-Linked 

Investments and other futures contracts, 

if any, and characteristics of such 

investments and cash equivalents, and 

amount of cash held in the portfolio of 

the Fund. This Web site disclosure of 

the portfolio composition of the Fund 

will occur at the same time as the 

disclosure by the Managing Owner of 

the portfolio composition to Authorized 

Participants so that all market 

participants are provided portfolio 

composition information at the same 

time. Therefore, the same portfolio 

information will be provided on the 

public Web site as well as in electronic 

files provided to Authorized 

Participants. Accordingly, each investor 

will have access to the current portfolio 

composition of the Fund through the 

Fund’s Web site. 

Dissemination of Indicative Trust Value 

and Index Value 

In addition, in order to provide 

updated information relating to the 

Fund for use by investors and market 

professionals, an updated Indicative 

Trust Value (‘‘ITV’’) will be calculated. 

The ITV is calculated by using the prior 

day’s closing NAV per share of the Fund 

as a base and updating that value 

throughout the NYSE Arca Core Trading 

Session of 9:30 a.m. to 4 p.m. E.T. each 

trading day to reflect current changes in 

the value of VIX Futures Contracts held 

by the Fund, as well as the value of any 

swap or forward contracts and other 

futures contracts held by the Fund. The 

ITV disseminated during the Core 

Trading Session should not be viewed 

as an actual real-time update of the 

NAV, which is calculated only once a 

day. 

The ITV will be disseminated on a 

per-Share basis by one or more major 

market data vendors every 15 seconds 

during the Core Trading Session. In 

addition, the end-of-day NAV of the 

Fund will be disseminated once a day. 

The Exchange believes that 

dissemination of the ITV provides 

additional information regarding the 

Fund that is not otherwise available to 

the public and is useful to professionals 

and investors in connection with the 

related Shares trading on the Exchange 

or the creation or redemption of such 

Shares. 

The Index Sponsor will publish the 

daily closing level of the VIX Futures 

Index as of the close of the NYSE Arca 

Core Trading Session. The Managing 

Owner will publish the NAV of the 

Fund and the NAV per Share daily. The 

Index Sponsor will publish the intraday level of the VIX Futures Index 

updated every 15 seconds during the 

NYSE Arca Core Trading Session on the 

consolidated tape, Reuters and/or 

Bloomberg, and the Managing Owner 

will publish the ITV per Share once 

every 15 seconds during the NYSE Arca 

Core Trading Session on the Managing 

Owner’s Web site at http:// 

www.jamfunds.com/jcis.14

The current trading price per Share 

will be published continuously as trades 

occur during the NYSE Arca Core 

Trading Session on the consolidated 

tape, Reuters and/or Bloomberg and on 

the Managing Owner’s Web site. The 

most recent end-of-day Index closing 

level will be published as of the close 

of the NYSE Arca Core Trading Session 

each trading day on the consolidated 

tape, Reuters and/or Bloomberg and on 

the Managing Owner’s Web site. The 

most recent end-of-day NAV of the 

Fund will be published on Reuters and/ 

or Bloomberg and on the Managing 

Owner’s Web site. In addition, the most 

recent end-of-day NAV of the Fund will 

be published the following morning on 

the consolidated tape. All of the 

foregoing information with respect to 

the VIX Futures Index will also be 

published at http://www.cfe.cboe.com. 

Additional information regarding the 

Fund and the Shares, including 

investment strategies, risks, creation and 

redemption procedures, fees, portfolio 

holdings disclosure policies, 

distributions and taxes is included in 

the Registration Statement. 

Trading Rules 

The Exchange deems the Shares to be 

equity securities, thus rendering trading 

in the Shares subject to the Exchange’s 

existing rules governing the trading of 

equity securities. Shares will trade on 

the NYSE Arca Marketplace from 4 a.m. 

to 8 p.m. E.T. The Exchange has 

appropriate rules to facilitate 

transactions in the Shares during all 

trading sessions. As provided in NYSE 

Arca Equities Rule 7.6, Commentary .03, 

the minimum price variation (‘‘MPV’’) 

for quoting and entry of orders in equity 

securities traded on the NYSE Arca 

Marketplace is $0.01, with the exception 

of securities that are priced less than 

$1.00 for which the MPV for order entry 

is $0.0001. 

The trading of the Shares will be 

subject to NYSE Arca Equities Rule 

8.200, Commentary .02(e), which sets 

forth certain restrictions on ETP Holders 

acting as registered Market Makers in 

Trust Issued Receipts to facilitate 

surveillance. See ‘‘Surveillance’’ below 

for more information. 

With respect to trading halts, the 

Exchange may consider all relevant 

factors in exercising its discretion to 

halt or suspend trading in the Shares. 

Trading may be halted because of 

market conditions or for reasons that, in 

the view of the Exchange, make trading 

in the Shares inadvisable. These may 

mstockstill on DSKH9S0YB1PROD with NOTICES

Federal Register / Vol. 75, No. 228 / Monday, November 29, 2010 / Notices 73149 

15See NYSE Arca Equities Rule 7.12. 

16 17 CFR 240.10A–3. 

17 17 CFR 240.10A–3(c)(7). 

18The Exchange notes that not all investments 

held by the Fund may trade on markets that are 

members of ISG or with which the Exchange has in 

place a comprehensive surveillance sharing 

agreement. 

19 15 U.S.C. 78f(b). 

20 15 U.S.C. 78f(b)(5). 

include: (1) The extent to which trading 

is not occurring in the underlying 

futures contracts; or (2) whether other 

unusual conditions or circumstances 

detrimental to the maintenance of a fair 

and orderly market are present. In 

addition, trading in Shares will be 

subject to trading halts caused by 

extraordinary market volatility pursuant 

to the Exchange’s ‘‘circuit breaker’’ 

rule 15 or by the halt or suspension of 

trading of the underlying futures 

contracts. 

The Exchange represents that the 

Exchange may halt trading during the 

day in which the interruption to the 

dissemination of the ITV, the VIX 

Futures Index, the Volatility Index or 

the value of the underlying futures 

contracts occurs. If the interruption to 

the dissemination of the ITV, the VIX 

Futures Index, the Volatility Index or 

the value of the underlying futures 

contracts persists past the trading day in 

which it occurred, the Exchange will 

halt trading no later than the beginning 

of the trading day following the 

interruption. In addition, if the 

Exchange becomes aware that the NAV 

with respect to the Shares is not 

disseminated to all market participants 

at the same time, it will halt trading in 

the Shares until such time as the NAV 

is available to all market participants. 

The Fund will meet the initial and 

continued listing requirements 

applicable to Trust Issued Receipts in 

NYSE Arca Equities Rule 8.200 and 

Commentary .02 thereto. With respect to 

application of Rule 10A–3 under the 

Act,16 the Trust relies on the exception 

contained in Rule 10A–3(c)(7).17 A 

minimum of 100,000 Shares of the Fund 

will be outstanding as of the start of 

trading on the Exchange. 

Surveillance 

The Exchange intends to utilize its 

existing surveillance procedures 

applicable to derivative products, 

including Trust Issued Receipts, to 

monitor trading in the Shares. The 

Exchange represents that these 

procedures are adequate to properly 

monitor Exchange trading of the Shares 

in all trading sessions and to deter and 

detect violations of Exchange rules and 

applicable Federal securities laws. 

The Exchange’s current trading 

surveillances focus on detecting 

securities trading outside their normal 

patterns. When such situations are 

detected, surveillance analysis follows 

and investigations are opened, where 

appropriate, to review the behavior of 

all relevant parties for all relevant 

trading violations. The Exchange is able 

to obtain information regarding trading 

in the Shares, or options, futures or 

options on futures on, Shares through 

ETP Holders, in connection with such 

ETP Holders’ proprietary or customer 

trades through ETF Holders which they 

effect on any relevant market. The 

Exchange can obtain market 

surveillance information, including 

customer identity information, with 

respect to transactions occurring on the 

exchanges that are members of the 

Intermarket Surveillance Group (‘‘ISG’’), 

including CBOE and CFE. A list of ISG 

members is available at http:// 

www.isgportal.org.18

In addition, with respect to Fund 

components traded on exchanges, not 

more than 10% of the weight of such 

components in the aggregate shall 

consist of components whose principal 

trading market is not a member of ISG 

or is a market with which the Exchange 

does not have a comprehensive 

surveillance sharing agreement. 

The Exchange also has a general 

policy prohibiting the distribution of 

material, non-public information by its 

employees. 

Information Bulletin 

Prior to the commencement of 

trading, the Exchange will inform its 

ETP Holders in an Information Bulletin 

of the special characteristics and risks 

associated with trading the Shares. 

Specifically, the Information Bulletin 

will discuss the following: (1) The risks 

involved in trading the Shares during 

the Opening and Late Trading Sessions 

when an updated ITV will not be 

calculated or publicly disseminated; (2) 

the procedures for purchases and 

redemptions of Shares in Creation 

Baskets and Redemption Baskets (and 

that Shares are not individually 

redeemable); (3) NYSE Arca Equities 

Rule 9.2(a), which imposes a duty of 

due diligence on its ETP Holders to 

learn the essential facts relating to every 

customer prior to trading the Shares; (4) 

how information regarding the ITV is 

disseminated; (5) the requirement that 

ETP Holders deliver a prospectus to 

investors purchasing newly issued 

Shares prior to or concurrently with the 

confirmation of a transaction; and (6) 

trading information. 

In addition, the Information Bulletin 

will advise ETP Holders, prior to the 

commencement of trading, of the 

prospectus delivery requirements 

applicable to the Fund. The Exchange 

notes that investors purchasing Shares 

directly from the Fund will receive a 

prospectus. ETP Holders purchasing 

Shares from the Fund for resale to 

investors will deliver a prospectus to 

such investors. The Information Bulletin 

will also discuss any exemptive, noaction and interpretive relief granted by 

the Commission from any rules under 

the Act. 

In addition, the Information Bulletin 

will reference that the Fund is subject 

to various fees and expenses described 

in the Registration Statement. The 

Information Bulletin will also reference 

that the CFTC has regulatory 

jurisdiction over futures contracts 

traded on U.S. markets. 

The Information Bulletin will also 

disclose the trading hours of the Shares 

of the Fund and that the NAV for the 

Shares is calculated after 4 p.m. E.T. 

each trading day. The Bulletin will 

disclose that information about the 

Shares of the Fund is publicly available 

on the Fund’s Web site. 

2. Statutory Basis 

The proposed rule change is 

consistent with Section 6(b) of the 

Act,19 in general, and furthers the 

objectives of Section 6(b)(5),20 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 

mechanism of a free and open market 

and a national market system. The 

Exchange believes that the proposed 

rule change will permit the listing of an 

additional issuance of Trust Issued 

Receipts on the Exchange that will 

enhance competition among market 

participants, to the benefit of investors 

and the marketplace. In addition, the 

listing and trading criteria set forth in 

Rule 8.200 are intended to protect 

investors and the public interest. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. 

mstockstill on DSKH9S0YB1PROD with NOTICES

73150 Federal Register / Vol. 75, No. 228 / Monday, November 29, 2010 / Notices 

21 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3This proposal refers to ‘‘PHLX XL’’ as the 

Exchange’s automated options trading system. In 

May 2009 the Exchange enhanced the system and 

adopted corresponding rules referring to the system 

as ‘‘Phlx XL II.’’ See Securities Exchange Act Release 

No. 59995 (May 28, 2009), 74 FR 26750 (June 3, 

2009) (SR–Phlx–2009–32). The Exchange intends to 

submit a separate technical proposed rule change 

that would change all references to the system from 

‘‘Phlx XL II’’ to ‘‘PHLX XL’’ for branding purposes. 

4See Securities Exchange Act Release No. 59995 

(May 28, 2009), 74 FR 26750 (June 3, 2009) (SR– 

Phlx–2009–32). 

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–NYSEArca–2010–103 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–NYSEArca–2010–103. 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 20549–1090 on official 

business days between 10 a.m. and 3 

p.m. Copies of the filing will also be 

available for inspection and copying at 

the Exchange’s principal office. 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–NYSEArca–2010–103 and 

should be submitted on or before 

December 20, 2010. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.21

Elizabeth M. Murphy, 

Secretary. 

[FR Doc. 2010–29906 Filed 11–26–10; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–63350; File No. SR–Phlx– 

2010–156] 

Self-Regulatory Organizations; 

NASDAQ OMX PHLX, Inc.; Notice of 

Filing and Immediate Effectiveness of 

Proposed Rule Change Relating to the 

Extension of a Pilot Program 

Concerning Disseminated Quotations 

November 19, 2010. 

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

Securities Exchange Act of 1934 

(‘‘Act’’)1, and Rule 19b–42 thereunder, 

notice is hereby given that on November 

10, 2010, NASDAQ OMX PHLX, Inc. 

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

Securities and Exchange Commission 

(‘‘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. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend 

Exchange Rules 1017, Openings in 

Options, and 1082, Firm Quotations, to 

extend, through March 31, 2011, a pilot 

program (the ‘‘pilot’’) under which the 

Exchange’s rules describe the manner in 

which the PHLX XL® automated options 

trading system 3 disseminates quotations 

when (i) there is an opening imbalance 

in a particular series, and (ii) there is a 

Quote Exhaust (as described below) or 

a Market Exhaust (as described below) 

quote condition present in a particular 

series. 

The current pilot is scheduled to 

expire November 30, 2010. 

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 

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 proposed rule 

change is to extend the pilot through 

March 31, 2011. 

Background 

In June, 2009, the Exchange added 

several significant enhancements to its 

automated options trading platform 

(now known as PHLX XL), and adopted 

rules to reflect those enhancements.4 As 

part of the system enhancements, the 

Exchange proposed to disseminate a 

‘‘non-firm’’ quote condition on a bid or 

offer whose size is exhausted in certain 

situations. The non-exhausted side of 

mstockstill on DSKH9S0YB1PROD with NOTICES