51632 Federal Register / Vol. 74, No. 193 / Wednesday, October 7, 2009 / Notices 

14 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3Under CBOE Rule 5.8, LEAPS expire from 12– 

39 months from the time they are listed. 

4On September 15, 2009, CBOE filed SR–CBOE– 

2009–069 for immediate effectiveness, which filing 

establishes a $.50 Strike Program. 

5More information is available on this trading 

strategy at CBOE’s Web site at http:// 

www.cboe.com/Institutional/DOOM.aspx. 

6The delisting policy includes a provision that 

states CBOE may grant member requests to add 

strikes and/or maintain strikes in series of options 

classes traded pursuant to the Program that are 

eligible for delisting. 

7See SEC Release No. 34–58630 (September 24, 

2008), approving Amendment No. 2 to the OLPP. 

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–NYSEAmex–2009–67 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–NYSEAmex–2009–67. 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 inspection and copying in 

the Commission’s Public Reference 

Room 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 Number SR– 

NYSEAmex–2009–67 and should be 

submitted on or before October 28, 

2009. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.14

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E9–24080 Filed 10–6–09; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–60749; File No. SR–CBOE– 

2009–068] 

Self-Regulatory Organizations; 

Chicago Board Options Exchange, 

Incorporated; Notice of Filing of a 

Proposed Rule Change To Amend the 

$1 Strike Program To Allow Low-Strike 

LEAPS 

September 30, 2009. 

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 

September 16, 2009, the Chicago Board 

Options Exchange, Incorporated (the 

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

Securities and Exchange Commission 

(the ‘‘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 the 

$1 Strike Program. The text of the 

proposed rule change is available on the 

Exchange’s Web site (http:// 

www.cboe.org/Legal), at the Office of the 

Secretary, CBOE and at the Commission. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

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 expand the $1 Strike 

Program (‘‘Program’’) in a limited 

fashion to allow CBOE to list new series 

in $1 intervals up to $5 in long-term 

option series (‘‘LEAPS’’) in up to 200 

option classes on individual stocks.3

Currently, under the Program, CBOE 

may not list LEAPS at $1 strike price 

intervals for any class selected for the 

Program. CBOE also is restricted from 

listing any series that would result in 

strike prices being $0.50 apart, unless 

the series are part of the $.50 Strike 

Program.4 (See CBOE Rule 5.5.01.) 

CBOE believes that this proposal is 

appropriate and will allow investors to 

establish option positions that are better 

tailored to meet their investment 

objectives, vis-a`-vis credit risk, using 

deep out-of-the-money put options. 

Deep out-of-the money put options are 

viewed as a viable, liquid alternative to 

OTC-traded credit default swaps 

(‘‘CDS’’). These options do not possess 

the negative characteristics associated 

with CDS, namely, lack of transparency, 

insufficient collateral requirements, and 

inefficient trade processing. Moreover, 

deep out-of-the money put options and 

CDS are functionally similar, as there is 

a high correlation between low-strike 

put prices and CDS spreads.5

CBOE notes that its proposal is 

limited in scope, as $1 strikes in LEAPS 

may only be listed up to $5 and in only 

up to 200 option classes. As is currently 

the case, CBOE would not list series 

with $1.00 intervals within $0.50 of an 

existing $2.50 strike price in the same 

series. As a result, CBOE does not 

believe that this proposal will cause a 

significant increase in quote traffic. 

Moreover, as the SEC is aware, CBOE 

has adopted various quote mitigation 

strategies in an effort to lessen the 

growth rate of quotations. When it 

expanded the Program several months 

ago, CBOE included a delisting policy 

that would be applicable with regard to 

this proposed expansion.6 CBOE and 

the other options exchanges amended 

the Options Listing Procedures Plan 

(‘‘OLPP’’) in 2008 to impose a minimum 

volume threshold of 1,000 contracts 

national average daily volume per 

underlying class to qualify for an 

additional year of LEAP series.7 Most 

recently, CBOE, along with the other 

options exchanges, amended the OLPP 


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Federal Register / Vol. 74, No. 193 / Wednesday, October 7, 2009 / Notices 51633 

8See SEC Release No. 34–60531 (August 19, 

2009), approving Amendment No. 3 to the OLPP. 

CBOE’s proposal to list $1 strikes in LEAPs to $5 

would not be subject to the exercise price range 

limitations contained in new paragraph (3)(g)(ii) of 

the OLPP. 

9See CBOE Information Circular IC09–172. 

10 15 U.S.C. 78f(b). 

11 15 U.S.C. 78f(b)(5). 

12 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). 

4 17 CFR 240.19b–4(f)(2). 

to adopt objective, exercise price range 

limitations applicable to equity option 

classes, options on ETFs and options on 

trust issued receipts.8 CBOE believes 

that these price range limitations will 

have a meaningful quote mitigation 

impact. CBOE also notes that it recently 

delisted 216 option classes as part of its 

mandatory class delisting policy.9

The margin requirements set forth in 

Chapter XII of the Exchange’s rules and 

the position and exercise requirements 

set forth in Rule 4.11 and Rule 4.12 will 

continue to apply to these new series, 

and no changes are being proposed to 

those requirements by this rule change. 

With regard to the impact on system 

capacity, CBOE has analyzed its 

capacity and represents that it and the 

Options Price Reporting Authority have 

the necessary systems capacity to 

handle the additional traffic associated 

with the listing and trading of an 

expanded number of series as proposed 

by this filing. 

2. Statutory Basis 

The Exchange believes the rule 

proposal is consistent with the 

Securities Exchange Act of 1934 (the 

‘‘Act’’) and the rules and regulations 

under the Act applicable to a national 

securities exchange and, in particular, 

the requirements of Section 6(b) of the 

Act.10 Specifically, the Exchange 

believes that the proposed rule change 

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

Act 11 requirements that the rules of an 

exchange be designed to promote just 

and equitable principles of trade, to 

prevent fraudulent and manipulative 

acts and, in general, to protect investors 

and the public interest. The Exchange 

believes that the listing of the $1 strike 

price in LEAPS series will benefit 

investors by giving them more flexibility 

to closely tailor their investment 

decisions. 

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 35 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 self-regulatory 

organization consents, the Commission 

will: 

(A) By order approve 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 

No. SR–CBOE–2009–068 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 No. 

SR–CBOE–2009–068. 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 changes 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 inspection and copying 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 CBOE. 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–CBOE–2009–068 and should be 

submitted on or before October 28, 

2009. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.12

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E9–24079 Filed 10–6–09; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–60753; File No. SR–CHX– 

2009–14] 

Self-Regulatory Organizations; 

Chicago Stock Exchange, Inc.; Notice 

of Filing and Immediate Effectiveness 

of Proposed Rule Change Related to 

the Fees and Rebates in Various 

Trading Sessions 

September 30, 2009. 

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 

September 22, 2009, the Chicago Stock 

Exchange, Inc. (‘‘CHX’’ or ‘‘Exchange’’) 

filed with the Securities and Exchange 

Commission (the ‘‘Commission’’) the 

proposed rule change as described in 

Items I, II and III below, which Items 

have been prepared by the Exchange. 

CHX has filed the proposal pursuant to 

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

19b–4(f)(2) thereunder,4 which renders 

the proposal effective upon filing with 

the Commission. The Commission is 

publishing this notice to solicit 


erowe on DSK5CLS3C1PROD with NOTICES