[Federal Register Volume 61, Number 16 (Wednesday, January 24, 1996)]
[Notices]
[Pages 1963-1965]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 96-1035]



-----------------------------------------------------------------------

[[Page 1964]]


SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-36729; International Series Release No. 918; File No. 
SR-Phlx-95-80]


Self-Regulatory Organizations; Notice of Filing of Proposed Rule 
Change by the Philadelphia Stock Exchange, Inc. Relating to Strike 
Price Intervals for Australian Dollar Options

January 17, 1996.
    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 January 2, 1996, the Philadelphia Stock Exchange, 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.

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to revise its strike price policy, pursuant 
to Phlx Rule 1012, Series of Options Open for Trading, respecting 
foreign currency options on the Australian dollar by changing from a 
$.01 interval to a $.005 interval in the nearest three expiration 
months. The text of the proposed rule change is available at the Office 
of the Secretary, the Exchange, 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 Exchange included statements 
concerning the purpose of and basis for 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 
section (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

    The Exchange's strike price interval policies are administered 
pursuant to Rule 1012, Series of Options Open for Trading. Currently, 
Australian dollar options are listed at one cent intervals.\3\ Pursuant 
to Phlx Rule 1012, six expiration months are currently listed in 
regular foreign currency options, with one, two, three, six, nine, and 
twelve months until expiration.

    \3\ See Securities Exchange Act Release No. 23945 (December 30, 
1986), 52 FR 633 (January 7, 1987) (SR-Phlx-86-38).
---------------------------------------------------------------------------

    The Exchange proposes to revise its strike price policy respecting 
foreign currency options on the Australian dollar by changing from a 
$.01 interval to a $.005 interval in the nearest three expiration 
months. The mid-term expiration months (listed with six, nine and 
twelve months until expiration) will continue to be listed at one cent 
intervals.
    The Phlx believes that lower volatility respecting the Australian 
dollar (in relation to the U.S. dollar) has created a customer need for 
narrower strike price intervals. Lower volatility signifies less 
movement in the currency such that it currently trades in a more narrow 
range, perhaps without moving to the next (one cent) strike price 
interval. Strike price intervals for a non-volatile foreign currency 
options, including the Australian dollar, have previously been 
decreased.\4\ The Exchange believes that the proposed reduction in the 
strike price internal should provide investors and traders of 
Australian dollar options with new trading strategies in between 
existing strikes, which, should, in turn, promote liquidity in 
Australian dollar options.

    \4\ See e.g., Securities Exchange Act Release Nos. 35361 (April 
20, 1995) 60 FR 20544 (April 26, 1995) (British Pound from $.025 to 
$.01 strike price intervals) (File No. SR-Phlx-95-06), 25685 (May 
10, 1988), 53 FR 17534 (May 17, 1988) (French franc from $.05 to 
$.025 strike price intervals) (File No. SR-Phlx-86-14), and 24103 
(February 13, 1987), 52 FR 5605 (February 25, 1987) (British Pound 
from $.05 to $.025 strike price intervals) (File No. SR-Phlx-86-14).
---------------------------------------------------------------------------

    The Exchange is aware that the Commission seeks to balance an 
exchange's desire to accommodate market participation by offering a 
wide array of investment opportunities and the need to avoid the 
proliferation of illiquid options series. In this regard, the Exchange 
notes that this proposed rule change is limited to a foreign currency 
options with low volatility. Accordingly, the Exchange believes that 
narrower strike prices are necessary to serve the needs of the 
marketplace. The Exchange further represents that it will eliminate 
excessive strike prices where appropriate.
    The Exchange believes that the proposed rule change is consistent 
with section 6 of the Act, in general, and furthers the objectives of 
section 6(b)(5), in particular, in that it is designed to promote just 
and equitable principles of trade by enabling more effective management 
of foreign currency risk respecting the Australian dollar.

(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.

(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. Persons making written submissions 
should file six copies thereof with the Secretary, Securities and 
Exchange Commission, 450 Fifth Street, NW., Washington, DC 20549. 
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 at the 
Commission's Public Reference Section, 450 Fifth Street, NW., 
Washington, DC 20549. Copies of such filing will also be available for 
inspection and copying at the principal office of the PHLX. All 
submissions should refer to File No. SR-Phlx-95-80 and should be 
submitted by February 14, 1996.


[[Page 1965]]

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\5\

    \5\ 17 CFR 200.30-3(a)(12) (1994).
---------------------------------------------------------------------------

Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 96-1035 Filed 1-23-96; 8:45 am]
BILLING CODE 8010-01-M