Federal Register / Vol. 72, No. 10 / Wednesday, January 17, 2007 / Notices 2047 

13 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 54779 

(November 17, 2006), 71 FR 68655. 

4See letter to Nancy Morris, Secretary, 

Commission, from Christopher Nagy, Chair, SIFMA 

Options Committee (‘‘SIFMA’’), dated December 20, 

2006. SIFMA supports BSE’s quote mitigation 

proposal discussed herein and recommends its 

implementation on an industry-wide basis. 

Specifically, SIFMA believes that the adoption of an 

industry-wide, uniform ‘‘holdback timer’’ proposal, 

like the strategy approved by this order, would 

provide the most effective means of quote 

mitigation. SIFMA expressed concern that a lack of 

uniformity among quote mitigation strategies 

implemented by the various options exchanges may 

impose a burden on member firms and result in 

confusion among market participants. Additional 

concerns raised in SIFMA’s December 20, 2006 

comment letter relating to other proposed rule 

changes filed by the options exchanges will be more 

fully addressed in any subsequent releases issued 

by the Commission. 

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 Exchange 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, as amended, is consistent with 

the Act. Comments may be submitted by 

any of the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an e-mail to rulecomments@sec.gov. Please include File 

Number SR–Amex–2006–17 on the 

subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Nancy M. Morris, Secretary, 

Securities and Exchange Commission, 

100 F Street, NE., Washington, DC 

20549–1090. 

All submissions should refer to File 

Number SR–Amex–2006–17. 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. Copies of the 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–Amex–2006–17 and should 

be submitted on or before February 7, 

2007. 

For the Commission, by the Division of 

Market Regulation, pursuant to delegated 

authority.13

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E7–538 Filed 1–16–07; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–55073 File No. SR–BSE–

2006–48] 

Self-Regulatory Organizations; Boston 

Stock Exchange, Inc.; Order Granting 

Approval to Proposed Rule Change To 

Implement a Quote Mitigation Plan 

January 9, 2007. 

I. Introduction 

On November 15, 2006, the Boston 

Stock Exchange, Inc. (‘‘BSE’’ or 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’), pursuant to Section 

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

of 1934 (‘‘Act’’),1 and Rule 19b–4 

thereunder,2 a proposed rule change to 

amend the Boston Options Exchange 

(‘‘BOX’’) Rules to add a Quote 

Mitigation Plan. The proposed rule 

change was published for comment in 

the Federal Register on November 27, 

2006.3 The Commission received one 

comment letter on the proposed rule 

change.4 This order approves the 

proposed rule change. 

II. Description of the Proposal 

The purpose of the proposed rule 

change is to mitigate quote traffic and 

address quote capacity issues by, under 

certain circumstances, ‘‘bundling’’

quotes so that options data is submitted 

to the Options Price Reporting 

Authority (‘‘OPRA’’) over short intervals 

rather than on a continuous basis. 

Specifically, BOX proposes to mitigate 

quotes in the following manner: 

• BOX proposes to ‘‘let the market 

decide’’ which instruments would be 

considered to be ‘‘less interesting’’ by 

basing this determination on the open 

interest in contracts at the Options 

Clearing Corporation for each 

instrument. Those series with lower 

open interest are likely to be of less 

interest to options traders and investors. 

The precise threshold of open interest 

which will determine whether the 

broadcast of a series is subject to 

mitigation or not will vary according to 

the degree BOX is meeting its stated 

goals of reducing overall traffic. BOX 

anticipates that this threshold could be 

as high as 300 to 400 contracts, but that 

it will be no lower than 50 contracts. 

BOX does not propose to apply 

mitigation to instruments which have 

been listed for fewer than ten trading 

sessions, regardless of the open interest. 

• BOX would ‘‘bundle’’ at intervals of 

up to 1,000 milliseconds (and no less 

than 200 milliseconds) any changes to 

its broadcast for those instruments 

which have fallen below the threshold 

in the previous point. 

• BOX would use variable rates of 

‘‘bundling’’ delays for the three different 

types of broadcast updates: changes in 

price, increases in quantity without a 

change in price, and decreases in 

quantity without a change in price. 

Under this proposal, changes in prices 

may be subject to less delay than 

changes to quantity at same price. For 

example, BOX may apply a ‘‘bundling 

interval’’ of 400 milliseconds to updates 

regarding a price change while using a 

figure of 1,000 milliseconds for updates 

concerning only a change in quantity at 

the same price. The appropriate mix 

will be determined by the relative 

success BOX is meeting in its overall 

goals of traffic reduction. 

The Exchange does not propose to 

apply the above-described bundling to 

message traffic relating to price 

improvement auctions or NBBO 

exposure mechanisms, nor to trade 

reporting messages. Furthermore, no 

bundling of quotes is proposed for 

inbound orders and quotes which are 

sent to BOX by users. Instead, 

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2048 Federal Register / Vol. 72, No. 10 / Wednesday, January 17, 2007 / Notices 

5 In approving this proposed rule change the 

Commission notes that it has considered the 

proposed rule’s impact on efficiency, competition, 

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

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

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

8 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 54771 

(November 16, 2006), 71 FR 68657 (the ‘‘Notice’’). 

4Although the proposed rule change refers to 

Open/Close Data covering all CBOE listed 

securities, the CBOE confirmed that the Open/Close 

Data is available solely for all CBOE listed options. 

Telephone conversation between Jaime Galvan, 

Assistant Secretary, CBOE and David Michehl, 

Special Counsel, Division of Market Regulation, 

Commission on January 8, 2007. 

5 15 U.S.C. 78f(b)(4). 

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. See 15 U.S.C. 78c(f). 

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

8 17 CFR 200.30–3(a)(12). 

messaging will be bundled only for 

outbound updates. 

The Exchange believes this proposal 

is an optimal trade-off between costs 

and benefits and that it is fully 

compliant with its firm quote 

obligations. BOX has indicated that its 

target reduction in outbound peak traffic 

is 15% to 20% of what the traffic would 

have been had no mitigation been 

applied. Box has also represented that 

the reduction in overall traffic, as 

opposed to peaks, will be lower, but still 

significant, with a target of 8% to 10%. 

III. Discussion 

After careful review of the proposal 

and consideration of the comment letter, 

the Commission finds that the proposed 

rule change is consistent with the 

requirements of the Act and the rules 

and regulations thereunder applicable to 

a national securities exchange.5 In 

particular, the Commission finds that 

the proposal is consistent with Section 

6(b)(5) of the Act,6 which requires, 

among other things, that the rules of an 

exchange be 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. 

The Commission believes that the 

Exchange’s proposal to ‘‘bundle’’ quotes 

should reduce the volume of options 

quote traffic disseminated to OPRA and 

help to address capacity concerns on the 

Exchange. Because the contemplated 

delays in data transmission are very 

brief, the Commission does not believe 

that ‘‘bundling’’ quotes will adversely 

affect market transparency or negatively 

affect market participants or investors. 

Furthermore, the Commission believes 

that BOX’s quote mitigation proposal is 

designed to provide the Exchange with 

a mechanism, that should reduce overall 

peak market data traffic with a relatively 

small impact on the quality of 

information available to options market 

users. 

IV. Conclusion 

It is therefore ordered, pursuant to 

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

proposed rule change (SR–BSE–2006–

48), be, and hereby is approved. 

For the Commission, by the Division of 

Market Regulation, pursuant to delegated 

authority.8

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E7–526 Filed 1–16–07; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–55062; File No. SR–CBOE–

2006–88] 

Self-Regulatory Organizations; 

Chicago Board Options Exchange, 

Incorporated; Order Granting Approval 

to Proposed Rule Change To Codify a 

Fee Schedule for the Sale of Open and 

Close Volume Data on CBOE Listed 

Options by Market Data Express, LLC 

January 8, 2007. 

On November 3, 2006, the Chicago 

Board Options Exchange, Incorporated 

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

Securities and Exchange Commission 

(‘‘Commission’’), pursuant to Section 

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

of 1934 (‘‘Act’’) 1 and Rule 19b–4 

thereunder,2 a proposed rule change to 

codify a fee schedule for the sale of 

open and close volume data on CBOE 

listed options by Market Data Express, 

LLC (‘‘MDX’’), a wholly-owned 

subsidiary of CBOE. The proposed rule 

change was published for comment in 

the Federal Register on November 27, 

2006.3 The Commission received no 

comments regarding the proposal. This 

order approves the proposed rule 

change. 

In the Notice, the Exchange 

represented that it creates volume data 

for each CBOE listed option that 

consists of opening buys and opening 

sells and closing buys and closing sells 

(‘‘Open/Close Data’’). CBOE further 

represented that MDX offers this Open/ 

Close Data for sale to CBOE members 

and non-members and that the fees 

assessed by MDX for the Open/Close 

Data are set forth in the Price List on 

MDX’s Web site. CBOE members and 

non-members are charged the same fees 

for the Open/Close Data. 

Under the proposal, customers may 

purchase Open/Close Data on a 

subscription basis or by ad hoc request. 

Daily Open/Close Data covering all 

CBOE listed options 4 would be 

available for purchase by subscribing to 

the Daily Update service at a cost of 

$600 per month. Subscribers to the 

Daily Update service would receive a 

daily data file via download from 

MDX’s Web site. Historical Open/Close 

Data covering all CBOE listed options 

may be purchased on an ad hoc request 

basis and is delivered via DVD. The 

charge for Historical Open/Close Data 

covering all CBOE listed options would 

be $7,200 per year for requests for one 

to four years of data. Requests for five 

or more years of Historical Open/Close 

Data would receive a 50% discount 

beginning with the fifth year of data 

(i.e., MDX charges $7,200 for each of the 

first four years of data and $3,600 for 

year five and for each subsequent year 

of data). Alternatively, a customer may 

purchase Historical Open/Close Data on 

an individual CBOE listed option at a 

cost of $4.50 per listed option per 

month. This data would be available via 

download from MDX’s Web site. A 50% 

discount would be applied for requests 

for ten or more years of data, beginning 

with the tenth year of data. 

The Commission has reviewed 

carefully the proposed rule change and 

finds that the proposedrule change is 

consistent with the requirements of the 

Act and the rules and regulations 

thereunder applicable to a national 

securities exchange and, in particular, 

the requirements of Section 6(b)(4) of 

the Act,5 which requires, among other 

things, CBOE’s rules be designed to 

provide for the equitable allocation of 

reasonable dues, fees, and other charges 

among CBOE members and issuers and 

other persons using its facilities.6

It is therefore ordered, pursuant to 

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

proposed rule change (SR–CBOE–2006–

88) is hereby approved. 

For the Commission, by the Division of 

Market Regulation, pursuant to delegated 

authority.8

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E7–540 Filed 1–16–07; 8:45 am] 

BILLING CODE 8011–01–P 

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