Federal Register / Vol. 75, No. 101 / Wednesday, May 26, 2010 / Notices 29597 

8 15 U.S.C. 78s(b)(3)(a)(ii). [sic] 

9 17 CFR 240.19b–4(f)(2). 10 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3 In Amendment No. 1, CBOE made technical 

corrections to the rule text. 

4See Securities Exchange Act Release No. 61859 

(April 7, 2010), 75 FR 19439. 

apply uniformly to all similarly situated 

members. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

NASDAQ does not believe that the 

proposed rule change will result in any 

burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act, as amended. 

Because the market for order execution 

and routing is extremely competitive, 

members may readily direct orders to 

NASDAQ’s competitors if they object to 

the proposed rule change. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

Written comments were neither 

solicited nor received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective pursuant to Section 

19(b)(3)(A)(ii) of the Act 8 and 

subparagraph (f)(2) of Rule 19b–4 

thereunder.9 At any time within 60 days 

of the filing of the proposed rule change, 

the Commission may summarily 

abrogate such rule change if it appears 

to the Commission that such action is 

necessary or appropriate in the public 

interest, for the protection of investors, 

or otherwise in furtherance of the 

purposes of the Act. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

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

rules/sro.shtml); or 

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

Number SR–NASDAQ–2010–059 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–NASDAQ–2010–059. 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 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 offices 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–NASDAQ–2010–059, and 

should be submitted on or before June 

16, 2010. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.10

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. 2010–12552 Filed 5–25–10; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–62139; File No. SR–CBOE– 

2010–018] 

Self-Regulatory Organizations; 

Chicago Board Options Exchange, 

Incorporated; Order Approving 

Proposed Rule Change, as Modified by 

Amendment No. 1 Thereto, To List and 

Trade CBOE Gold ETF Volatility Index 

Options 

May 19, 2010. 

I. Introduction 

On March 18, 2010, 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 

list and trade options on the CBOE Gold 

ETF Volatility Index (‘‘GVZ’’). On March 

22, 2010, CBOE filed Amendment No. 1 

to the proposed rule change.3 The 

proposed rule change was published for 

comment in the Federal Register on 

April 14, 2010.4 The Commission 

received no comment letters on the 

proposal. This order approves the 

proposed rule change, as modified by 

Amendment No. 1. 

II. Description 

CBOE proposes to amend certain of its 

rules to allow the listing and trading of 

cash-settled, European-style options on 

GVZ. 

Index Design and Calculation 

The calculation of GVZ is based on 

the VIX methodology applied to options 

on the SPDR Gold Trust (‘‘GLD’’). GVZ 

is an up-to-the-minute market estimate 

of the expected volatility of GLD 

calculated by using real-time bid/ask 

quotes of CBOE listed GLD options. 

GVZ 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. 

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. To compute 

the index level, CBOE will calculate a 

volatility measure for the nearby options 

and then for the second nearby options, 

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. 

CBOE will compute values for GVZ 

underlying option series on a real-time 

basis throughout each trading day, from 

8:30 a.m. until 3 p.m. (CT). GVZ levels 

will be calculated by CBOE and 

disseminated at 15-second intervals to 

major market data vendors. 


wwoods2 on DSK1DXX6B1PROD with NOTICES_PART 1
29598 Federal Register / Vol. 75, No. 101 / Wednesday, May 26, 2010 / Notices 

5See Rule 24.5, Exercise Limits, which provides 

that exercise limits are equivalent to position limits. 6See Rule 4.13, Reports Related to Position 

Limits. 

7 In approving this proposed rule change, the 

Commission has considered the proposed rule’s 

impact on efficiency, competition, and capital 

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

8 15 U.S.C. 78f(b)(5). 

Options Trading 

Options on GVZ (‘‘GVZ 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). 

The Exchange is proposing to permit 

1 point or greater strike price intervals 

on GVZ Options. Initially, the Exchange 

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

strike prices and may open for trading 

up to five series above and five series 

below the price of the calculated 

forward value of GVZ, and LEAPS 

series. As for additional series, either in 

response to customer demand or as the 

calculated forward value of GVZ moves 

from the initial exercise prices of option 

series that have been open for trading, 

the Exchange may open for trading up 

to five series above and five series below 

the calculated forward value of GVZ, 

and LEAPS series. The Exchange will 

not open for trading series with 1 point 

strike price intervals within 0.50 point 

of an existing 2.5 point strike price with 

the same expiration month. The 

Exchange will not list LEAPS on GVZ 

Options at strike price intervals less 

than 1 point. 

Exercise and Settlement 

The proposed options will typically 

expire on the Wednesday that is thirty 

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 thirty days prior to the 

CBOE business day immediately 

preceding that Friday. Trading in the 

expiring contract month will normally 

cease at 3 p.m. (CT) on the business day 

immediately preceding the expiration 

date. Exercise will result in delivery of 

cash on the business day following 

expiration. GVZ Options will be A.M.- 

settled. The exercise settlement value 

will be determined by a Special 

Opening Quotation (‘‘SOQ’’) of GVZ 

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 is no trade shall be the 

average of that options’ bid price and 

ask price as determined at the opening 

of trading. 

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 GVZ Options at 

50,000 contracts on either side of the 

market and no more than 30,000 

contracts in the nearest expiration 

month. Positions in Short Term Option 

Series, Quarterly Options Series, and 

Delayed Start Option Series would be 

aggregated with positions in options 

contracts in the same GVZ class. 

Exercise limits would be the equivalent 

to the proposed position limits.5 GVZ 

Options would be subject to the same 

reporting requirements triggered for 

other options dealt in on the Exchange.6

For FLEX Options trading, the 

Exchange proposes that the position 

limits for FLEX GVZ Options will be 

equal to the position limits for NonFLEX GVZ Options established 

pursuant to Rule 24.4. Similarly, the 

Exchange is proposing that the exercise 

limits for FLEX GVZ Options will be 

equivalent to the position limits 

established pursuant to Rule 24.4. The 

proposed position and exercise limits 

for FLEX GVZ Options are consistent 

with the treatment of position and 

exercise limits for other FLEX Index 

Options. The Exchange is also 

proposing to provide that as long as the 

options positions remain open, 

positions in FLEX GVZ Options that 

expire on the same day as Non-FLEX 

GVZ Options, as determined pursuant to 

Rule 24.9(a)(5), shall be aggregated with 

positions in Non-FLEX GVZ 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. 

Exchange Rules Applicable 

Except as modified herein, the rules 

in Chapters I through XIX, XXIV, 

XXIVA, and XXIVB will equally apply 

to GVZ Options. 

The Exchange is proposing that the 

margin requirements for GVZ 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. Additional margin may be 

required pursuant to Exchange Rule 

12.10. 

The Exchange proposes to designate 

GVZ Options as eligible for trading as 

flexible exchange options (‘‘GVZ FLEX 

Options’’) as provided for in Chapters 

XXIVA (Flexible Exchange Options) and 

XXIVB (FLEX Hybrid Trading System). 

GVZ FLEX Options will only expire on 

business days that non-FLEX options on 

Volatility Indexes expire. As is 

described earlier, the Exchange is 

proposing to amend Rule 24.9(a)(5) to 

provide that the exercise settlement 

value of GVZ 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 GVZ Options expire. 

Capacity 

CBOE 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 GVZ Options. 

Surveillance 

The Exchange proposes to use the 

same surveillance procedures currently 

utilized for each of the Exchange’s other 

index options to monitor trading in GVZ 

Options. The Exchange represents that 

these surveillance procedures shall be 

adequate to monitor trading in options 

on these volatility indexes. For 

surveillance purposes, the Exchange 

states that it will have complete access 

to information regarding trading activity 

in the pertinent underlying securities. 

III. Discussion 

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.7 Specifically, the 

Commission finds that the proposal is 

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

Act,8 which requires, among other 

things, that the rules of a national 

securities exchange be designed to 

prevent fraudulent and manipulative 

acts and practices, 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. In accordance with the 

Memorandum of Understanding entered 

into between the Commodity Futures 


wwoods2 on DSK1DXX6B1PROD with NOTICES_PART 1
Federal Register / Vol. 75, No. 101 / Wednesday, May 26, 2010 / Notices 29599 

9 15 U.S.C. 78f(b)(1). 

10See NASD Rule 2320. 

11See CBOE Rule 9.15. 

12See FINRA Rule 2360(b) and CBOE Rules 9.7 

and 9.9. 

13See, also, discussion of listing and trading rules 

for GLD options. (Securities Exchange Act Release 

No. 57894 (May 30, 2008), 73 FR 32061 (June 5, 

2008) (SR–Amex–2008–15; SR–CBOE–2005–11; 

SR–ISE–2008–12; SR–NYSEArca–2008–52; and SR– 

Phlx–2008–17) (order approving the listing and 

trading of options on GLD). 

14See Securities Exchange Act Release No. 31910 

(February 23, 1993), 58 FR 12056 (March 2, 1993). 

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

16 17 CFR 200.30–3(a)(12). 

Trading Commission (‘‘CFTC’’) and the 

Commission on March 11, 2008, and in 

particular the addendum thereto 

concerning Principles Governing the 

Review of Novel Derivative Products, 

the Commission believes that novel 

derivative products that implicate areas 

of overlapping regulatory concern 

should be permitted to trade in either or 

both a CFTC- or Commission-regulated 

environment, in a manner consistent 

with laws and regulations (including the 

appropriate use of all available 

exemptive and interpretive authority). 

As a national securities exchange, the 

CBOE is required under Section 6(b)(1) 

of the Act9 to enforce compliance by its 

members, and persons associated with 

its members, with the provisions of the 

Act, Commission rules and regulations 

thereunder, and its own rules. In 

addition, brokers that trade GVZ 

Options will also be subject to best 

execution obligations and FINRA 

rules.10 Applicable exchange rules also 

require that customers receive 

appropriate disclosure before trading 

GVZ Options.11 Further, brokers 

opening accounts and recommending 

options transactions must comply with 

relevant customer suitability 

standards.12

GVZ Options will trade as options 

under the trading rules of the CBOE.13

The Commission believes that the 

listing rules proposed by CBOE for GVZ 

Options are consistent with the Act. 

One point or greater strike price 

intervals for GVZ Options should 

provide investors with greater flexibility 

in the trading of GVZ Options and 

further the public interest by allowing 

investors to establish positions that are 

better tailored to meet their investment 

objectives. 

The Commission notes that CBOE will 

compute values for GVZ underlying 

option series on a real-time basis 

throughout each trading day, and that 

GVZ levels will be calculated by CBOE 

and disseminated at 15-second intervals 

to major market data vendors. 

The Commission believes that the 

Exchange’s proposed position limits and 

exercise limits for GVZ Options are 

appropriate and consistent with the Act. 

The Commission notes that GLD options 

comprising the underlying components 

of GVZ rank among the most actively 

traded options classes. Specifically, the 

Exchange has represented that in 2009, 

GLD ranked as the thirteenth most 

actively traded option class industrywide, averaging 136,000 contracts per 

day, and the twelfth most actively 

traded options class on CBOE, averaging 

over 50,000 contracts per day. In 

addition, the Commission notes that the 

position and exercise limits for FLEX 

GVZ Options will be equal to the 

position and exercise limits for nonFLEX GVZ Options. Further, positions 

in FLEX GVZ Options that expire on the 

same day as non-FLEX GVZ Options 

will be aggregated with positions in 

Non-FLEX GVZ Options. 

The Commission also notes that the 

margin requirements for equity options 

will also apply to options on GVZ. The 

Commission finds this to be reasonable 

and consistent with the Act. 

The Commission also believes that the 

Exchange’s proposal to allow GVZ 

Options to be eligible for trading as 

FLEX Options is consistent with the 

Act. The Commission previously 

approved rules relating to the listing 

and trading of FLEX Options on CBOE, 

which give investors and other market 

participants the ability to individually 

tailor, within specified limits, certain 

terms of those options.14 The current 

proposal incorporates GVZ Options that 

trade as FLEX Options into these 

existing rules and regulatory framework. 

The Commission notes that CBOE 

represented that it has an adequate 

surveillance program to monitor trading 

of GVZ Options and intends to apply its 

existing surveillance program to support 

the trading of these options. Finally, the 

proposed rule change, the Commission 

has also relied upon the Exchange’s 

representation that it has the necessary 

systems capacity to support new options 

series that will result from this proposal. 

IV. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,15 that the 

proposed rule change (SR–CBOE–2010– 

018), as modified by Amendment No. 1, 

be, and hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.16

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. 2010–12553 Filed 5–25–10; 8:45 am] 

BILLING CODE 8010–01–P 

SOCIAL SECURITY ADMINISTRATION 

Agency Information Collection 

Activities: Proposed Request 

The Social Security Administration 

(SSA) publishes a list of information 

collection packages requiring clearance 

by the Office of Management and 

Budget (OMB) in compliance with 

Public Law (Pub. L.) 104–13, the 

Paperwork Reduction Act of 1995, 

effective October 1, 1995. This notice 

includes an extension of an OMBapproved information collection. 

SSA is soliciting comments on the 

accuracy of the agency’s burden 

estimate; the need for the information; 

its practical utility; ways to enhance its 

quality, utility, and clarity; and ways to 

minimize burden on respondents, 

including the use of automated 

collection techniques or other forms of 

information technology. Mail, e-mail, or 

fax your comments and 

recommendations on the information 

collection(s) to the OMB Desk Officer 

and SSA Reports Clearance Director to 

the following addresses or fax numbers. 

(OMB) Office of Management and 

Budget, Attn: Desk Officer for SSA, Fax: 

202–395–6974, E-mail address: 

OIRA_Submission@omb.eop.gov. 

(SSA) Social Security Administration, 

DCBFM, Attn: Director, Center for 

Reports Clearance, 1333 Annex 

Building, 6401 Security Blvd., 

Baltimore, MD 21235, Fax: 410–965– 

0454, E-mail address: 

OPLM.RCO@ssa.gov. 

The information collection below is 

pending at SSA. SSA will submit it to 

OMB within 60 days from the date of 

this notice. To be sure we consider your 

comments, we must receive them no 

later than July 26, 2010. Individuals can 

obtain copies of the collection 

instrument by calling the SSA Director 

for Reports Clearance at 410–965–0454 

or by writing to the above e-mail 

address. 

Registration for Appointed 

Representative Services and Direct 

Payment—0960–0732. SSA uses Form 

SSA–1699 to register appointed 

representatives of claimants before SSA 

who: 

• Want to register for direct payment 

of fees; 

• Registered for direct payment of 

fees prior to 10/31/09, but need to 

update their information; 

• Registered as appointed 

representatives on or after 10/31/09, but 

need to update their information; or 

• Received a notice from SSA 

instructing them to complete this form. 

SSA will use the SSA–1699 to: (1) 

Authenticate and authorize appointed 


wwoods2 on DSK1DXX6B1PROD with NOTICES_PART 1