[Federal Register Volume 61, Number 97 (Friday, May 17, 1996)]
[Notices]
[Pages 24982-24986]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 96-12385]



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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-37189; International Series Release No. 977; File No. 
SR-CBOE-96-09]


Self-Regulatory Organizations; Chicago Board Options Exchange, 
Inc.; Order Approving Proposed Rule Change and Notice of Filing and 
Order Granting Accelerated Approval of Amendments Thereto Relating to 
the Listing and Trading of Options on the Mexican Indice de Precios y 
Cotizaciones

May 9, 1996.
    On February 27, 1996, the Chicago Board Options Exchange, Inc. 
(``CBOE'' or ``Exchange'') submitted to the Securities and Exchange 
Commission (``SEC'' or ``Commission''), pursuant to Section 19(b) 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 
Indice de Precios y Cotizaciones (``IPC'' or ``Index''), a cash-
settled, broad-based index designed to represent the overall Mexican 
equity market. The IPC was created, and is maintained, by the Mexican 
Stock Exchange (``Bolsa'') and is widely recognized as the benchmark 
equity index for Mexico. Notice of the proposed rule change appeared in 
the Federal Register on March 12, 1996.\3\ No comments were received on 
the proposal.
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    \1\ 15 U.S.C. 78s(b)(1) (1988 & Supp. V 1993).
    \2\ 17 CFR Sec. 240.19b-4 (1994).
    \3\ See Securities Exchange Act Release No. 36902 (March 5, 
1996), 61 FR 10043.
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    On March 29, 1996, CBOE submitted Amendment No. 1 (``Amendment No. 
1'') to the proposal to address issues related to Index maintenance 
criteria.\4\ On April 11, 1996, CBOE submitted Amendment No. 2 
(``Amendment No. 2'') to the proposal to clarify certain Index 
maintenance criteria and to address issues relating to the reduction 
and aggregation of position limits.\5\ On May 7, 1996, CBOE submitted 
Amendment No. 3 (``Amendment No. 3,'' together with Amendments No. 1 
and 2, ``Amendments'') to the proposal to clarify CBOE's procedures for 
reducing position limits if the Index is subsequently reclassified as 
narrow-based.\6\ This order approves the proposal, as amended, and 
solicits comments on the Amendments.
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    \4\ See Letter from Joseph Levin, CBOE, to Howard Kramer, SEC, 
dated March 29, 1996.
    \5\ See Letter from Joseph Levin, CBOE, to Howard Kramer, SEC, 
dated April 8, 1996.
    \6\ See Letter from Eileen Smith, CBOE, to Stephen Youhn, SEC, 
dated May 6, 1996.
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I. Description of the Proposal

    The purpose of the proposed rule change is to permit the Exchange 
to list and trade cash-settled, European-style \7\ stock index options 
on the IPC, a broad-based, capitalization-weighted index comprised of 
35 of the largest and most liquid stocks (issued by 28 issuers) on the 
Bolsa.\8\ The Exchange believes that options on the Index will provide 
investors with a low-cost means of participating in the performance of 
the Mexican economy and hedging against the risk of investing in that 
economy.
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    \7\ A European-style option may only be exercised during a 
specified period before expiration.
    \8\ The Commission notes that Hylsamex SA-BCP is 82% owned by 
Alfa SA-A and that Tolmex SA-B2 is 99% owned by Cemex Sa.
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Index Design

    The Index was designed by and is maintained by the Bolsa. These 
stocks selected for inclusion in the IPC were chosen based upon a 
combination of criteria relating to their trading volume and market 
capitalization. The Bolsa reviews a component's compliance with these 
criteria every two months. There are three criteria which could keep a 
potential replacement component stock from being added to the Index. 
First, suspended issues or those which have a material possibility of 
being suspended will not be included in the Index. Second, if the 
combined weight of two or more series of an index represented company 
were to exceed 15% of the weight of the Index, then only the series 
with the highest trading volume will be allowed to remain in the Index. 
Third, if a company is a subsidiary of another company that is in the 
Index and it represents more than 75% of the assets of the holding 
company it will not be included.
    The IPC is composed of stocks from eighteen (18) industry groups 
including: Telecommunications, Diversified Holding Companies, Banks, 
Broadcasting, Building Materials, Mining, and Financial Services. The

[[Page 24983]]

median capitalization of the firms in the Index on February 2, 1996, 
was 6.581 billion Pesos (US$889.38 million at the exchange rate of 7.4 
pesos per dollar prevailing on February 2, 1996). The average market 
capitalization of these firms was US$1.553 billion on the same date and 
using the same rate for exchange. The individual market capitalization 
of these firms ranged from US$11.956 billion to US$36.29 million on 
February 2, 1996. The largest stock accounted for 21.99% of the Index, 
while the smallest accounted for 0.07%. The top five stocks in the 
Index by weight accounted for 49.71% of the Index.

Calculation

    The Index is capitalization weighted and its value is determined by 
multiplying the price of each stock times the number of shares 
outstanding, adding those sums and then dividing by a divisor which 
gave the Index a value of 0.78 on its base date of October 30, 1978. 
The Index can also be characterized as a ``total return'' index since 
it is adjusted for cash distributions. The Index had a closing value of 
2862.59 on February 28, 1996.\9\ This divisor is adjusted for pertinent 
changes as described below in the section titled ``Maintenance.''
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    \2\ As noted below, CBOE intends to trade index options based on 
\1/10\th of the full value of the IPC.
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Maintenance

    The Index will be maintained by the Bolsa. To maintain Index 
continuity, the divisor will be adjusted to reflect certain events 
relating to the component stocks. These events include, but are not 
limited to, ordinary cash dividends, changes in the number of shares 
outstanding, spin-offs, certain rights issuances, and mergers and 
acquisitions. When components are substituted, the Bolsa makes every 
effort to notify the public in advance of the upcoming changes. If it 
becomes necessary to replace a component between reviews, the Bolsa 
maintains a list of stocks for substitution. The balsa will publicly 
commuicate these changes (e.g., news release) with as much notice as 
possible. The main selection criteria utilized by the Bolsa are trading 
volume and market capitalization. Although the IPC is presently 
comprised of 35 stocks, there have been as many as 50 components and 
the Bolsa is not precluded from increasing (or decreasing) this number.
    Because the Index is maintained by the Bolsa, CBOE does not have 
the ability to ensure that the Bolsa maintains the Index in such a 
manner that guarantees its continued classification as a broad-based 
index. Accordingly, CBOE has imposed specific maintenance criteria 
which, if breached, will result in the Index being re-classified as a 
narrow-based stock index for index options trading purposes. Upon the 
occurrence of one of the events listed below, CBOE will immediately re-
classify the index as narrow-based: (a) the total market value of the 
Index falls to less than US$25 billion for the majority of business 
days in the previous six-month period; \10\ (b) the largest component 
stock accounts for more than 35% of the weight of the Index for the 
majority of business days in the previous six-month period; (c) the top 
three component stocks account for more than 60% of the weight of the 
Index for the majority of days in the previous six-month period; or (d) 
the number of Index components falls to less than 20.\11\
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    \10\ See Amendment No. 2. $25 billion represents the approximate 
U.S. dollar equivalent of 200 billion Mexican pesos, which CBOE 
originally proposed.
    \11\ See Amendment No. 1. In this regard, each of an issuer's 
securities which are included in the Index would be counted as 
separate components. For example, Cemex SA-A and SA-B would be 
counted as two components, despite being issued by the same company.
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    If one of the above events occurs and the Index is reclassified as 
narrow-based, CBOE will impose margin requirements consistent with 
those currently applicable to other narrow-based index options. 
Accordingly, CBOE will raise the initial margin level requirements for 
positions carried short in a customer's account from 15% to 20%. CBOE 
will also reduce the position limits from 50,000 contracts on the same 
side of the market to a level consistent with narrow-based index 
options. Specifically, CBOE will require that positions in IPC Index 
options be subject to the highest position limit level then applicable 
to narrow-based index options, as governed by CBOE Rule 24.4A.\12\ CBOE 
will reduce position limits in the same manner as is currently used for 
reducing position limits for existing index options. Thus, all series 
of IPC options \13\ will be scheduled for a position limit decrease 
effective the Monday following the expiration of the farthest out then 
trading, non-LEAP option series. If, however, prior to the scheduled 
decrease or at the time of the subsequent six-month review, the index 
qualifies again for broadbased treatment, the position limit will not 
be reduced.\14\
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    \12\ See Amendment No. 2.
    \13\ Such series include all long-term index option series 
(``LEAPS<Register>'') and reduced-value LEAPS, as discussed below, 
on the Index.
    \14\ See Amendment No. 3.
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Index Option Trading

    The Exchange proposes to base trading in options on the Index on 
one-tenth of the value of the Index as expressed in U.S. dollars; these 
are known as full-value options. The Exchange also may provide for the 
listing of full-value LEAPS and reduced-value LEAPS on the Index. For 
reduced-value LEAPS, the underlying value would be computed at one-
tenth of the value of the full-value options. The current and closing 
index value of any such reduced-value LEAP will, after such initial 
computation, be rounded to the nearest one-hundredth. The Exchange will 
list expiration months for Index options and Index LEAPS in accordance 
with CBOE Rule 24.9.
    The trading hours on the Bolsa are the same as those on the New 
York Stock Exchange--8:30 a.m. to 3:00 p.m. Chicago time. The trading 
hours for options on the Index will be from 8:30 a.m. to 3:15 p.m. 
Chicago time.\15\ The Bolsa calculates the value of the IPC based upon 
the prices of the component securities as traded or quoted on the Bolsa 
and disseminates this value to vendors of financial information. CBOE 
or its designee will disseminate the reduced IPC value (i.e., \1/10\th 
of IPC value) through the Options Price Reporting Authority (``OPRA'') 
every 15 seconds throughout the trading day.
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    \15\ IPC options will continue to trade for 15 minutes after the 
Bolsa closes. This is consistent with trading times for other broad-
based index options and also gives market participants the 
opportunity to adjust their positions after the Bolsa closes.
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Exercise and Settlement

    IPC options will be p.m.-settled and expire on the Saturday 
following the third Friday of the expiration month. Thus, trading in 
the expiring contract month will normally cease on Friday at 3:15 p.m. 
(Chicago time) unless a holiday occurs. The exercise settlement value 
of Index options at expiration will be based upon the closing prices of 
component stocks on the regular Friday trading sessions in Mexico, 
ordinarily at 3:00 p.m. Mexico time. If a stock does not trade during 
this period or if it fails to open for trading, the last available 
price of the stock will be used in the calculation of the Index. When 
expirations are moved in accordance with Exchange holidays, such as 
when the CBOE is closed on the Friday before expiration, the last 
trading day for expiring options will be Thursday and the exercise 
settlement value of Index options at expiration will be determined at 
the close of the regular Thursday trading sessions in Mexico even if 
the

[[Page 24984]]

Mexican markets are open on Friday. If the Mexican markets are closed 
on the Friday before expiration and CBOE is open for trading, the last 
trading day for expiring options will be Thursday.

Surveillance Agreements

    The Exchange expects to apply its index option surveillance 
procedures of IPC options. In addition, the Exchange is aware of a 
Memorandum of Understanding (``MOU'') between the Commission and the 
Comision Nacional Bancaria y de Valores (``CNBV''), which has oversight 
responsibility for the Mexican securities and derivatives markets. This 
MOU will enable the Commission to obtain information concerning the 
trading of the component stocks of the IPC. The Exchange also will make 
every effort to enter into an effective surveillance agreement with the 
Bolsa.

Position Limits

    The Exchange is proposing to establish position limits for the 
Index options equal to 50,000 contracts on the same side of the market, 
with no more than 30,000 contracts in the series with the nearest 
expiration date. CBOE represents that these limits are roughly 
equivalent, in dollar terms, to the limits applicable to options on 
other indices. Ten reduced-value options will equal one full-value 
contract for such purposes. Furthermore, the hedge exemption rule 
applicable to broad-based index options, commentary .01 to CBOE Rule 
24.4, will apply to IPC Index options.\16\ As discussed above, if the 
Index is re-classified as narrow-based, CBOE will reduce the position 
limits to the highest position limit tier then in effect for narrow-
based index options.\17\
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    \16\ Telephone conversation between Eileen Smith, CBOE, and 
Steve Youhn, SEC, on February 28, 1996.
    \17\ See Amendments No. 2 and 3.
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Exchange Rules Applicable

    Except as modified herein, the Rules in Chapter XXIV will be 
applicable to IPC options. CBOE has the necessary systems capacity to 
support new series that would result from the introduction of IPC 
options and has also been informed that OPRA has the capacity to 
support such new series.\18\
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    \18\ See Letter from Joe Corrigan, OPRA, to Eileen Smith, CBOE, 
dated February 21, 1996.
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II. Findings and Conclusions

    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, and, in 
particular, the requirements of Section 6(b)(5).\19\ The commission 
finds that the trading of options based on the IPC, including long-term 
options based on either the full or a reduced value of the Index, will 
serve to protect investors, promote the public interest, and help to 
remove impediments to a free and open securities market by providing 
investors with a means to hedge exposure to market risk associated with 
the Mexican equity market and provide a risk management instrument for 
positions in the Mexican securities market.\20\ The trading of options 
on the Index will permit investors to participate in the price 
movements of the Mexican equity securities underlying the Index. As a 
result, the trading of options on the Index will allow investors 
holding some or all of the underlying components to hedge the risks 
associated with those positions and should reflect accurately the 
overall movement of the Mexican equity market.
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    \19\ 15 U.S.C. 78f(b)(5) (1988 & Supp. V 1993).
    \20\ Pursuant to Section 6(b)(5) of the Act, the Commission must 
predicate approval of rule changes pertaining to any new option 
proposal upon a finding that the introduction of such new derivative 
instrument is in the public interest. Such a finding would be 
difficult for a derivative instrument that served no hedging or 
other economic function, because any benefits that might be derived 
by market participants likely would be outweighed by the potential 
for manipulation, diminished public confidence in the integrity of 
the markets, and other valid regulatory concerns.
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    The trading of Index options and Index LEAPS, however, raises 
several issues related to index design and structure, customer 
protection, and surveillance. The Commission believes, for the reasons 
discussed below, that CBOE has adequately addressed these issues.

A. Index Design and Structure

    The Commission finds that it is appropriate and consistent with the 
Act to apply the Exchange rules applicable to broad-based index options 
to IPC Index options.\21\ First, the Index consists of 35 of the 
largest and most liquid stocks (issued by 28 issuers) on the Bolsa.\22\ 
Second, stocks in the Index are among the most highly capitalized 
stocks on the Bolsa. For example, on February 2, 1996, the market 
capitalization of the individual stocks in the Index ranged from a high 
of US$11.95 billion to a low of US$36 million, with a mean value of 
US$1.55 billion. Third, the total capitalization of the Index on the 
same date was US$54.3 billion.\23\ Although this capitalization amount 
is not large in relation to other broad-based indexes previously 
approved for options trading, it is nonetheless a substantial 
capitalization for a foreign market and represents approximately half 
of the total capitalization of the Bolsa.\24\ Fourth, the Index 
includes stocks of companies from eighteen separate industries. Fifth, 
the Commission recently approved the CBOE Mexico 30 Index (``Mexico 30 
Index''), which is a broad-based, modified capitalization weighted 
index comprised of thirty Mexican stocks. The Commission notes that the 
IPC and Mexico 30 Index are substantially similar. Accordingly, the 
Commission is satisfied that the Index adequately represents the 
Mexican equity market.
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    \21\ The reduced value IPC, which is calculated by dividing the 
full-value Index to be traded on CBOE by ten, is essentially 
identical to the IPC.
    \22\ As CBOE notes, while some of the stocks in the Index have 
relatively low trading volume, they account for only a small 
percentage of the Index weighting.
    \23\ In the event the aggregate capitalization of the Index 
falls below $25 billion, CBOE will re-classify the Index as narrow-
based, as discussed above.
    \24\ A foreign index capitalization that is smaller than that of 
the IPC would raise questions regarding whether that particular 
index warranted broad-based index options treatment.
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    Furthermore, the Commission believes that the general broad 
diversification of the Index component stocks, as well as their high 
capitalizations and trading activity, minimize the potential for 
manipulation of the Index. First, as discussed above, the Index 
represents a broad cross-section of highly-capitalized Mexican stocks, 
with no single industry group or stock dominating the Index. Second, 
the overwhelming majority of stocks that comprise the Index are 
relatively actively traded. Third, the Commission believes that the 
Bolsa's index selection and maintenance criteria should serve to ensure 
that the Index continues to represent stocks with the highest 
capitalizations and trading volumes on the Bolsa. In addition, the 
Exchange has proposed position and exercise limits for the Index 
options that are consistent with other broad-based index options.
    Because CBOE is not responsible for Index maintenance, however, the 
Commission recognizes that certain events beyond CBOE's control may 
result in the Index changing in a manner such that it is no longer 
broad-based. In this regard, CBOE has adopted maintenance criteria 
which, if breached, will result in the re-classification of the Index 
as narrow-based. If this occurs, CBOE will decrease position limits and 
increase margin requirements to levels consistent with other narrow-
based index options. The Commission believes these criteria are 
adequate and should serve to prevent a narrow-based index from trading 
pursuant to more favorable broad-based index option rules.

[[Page 24985]]

    Under CBOE's maintenance criteria, no single stock may account for 
more than 35% of the Index weight and no three components may excess 
60% of the total Index weight. In addition, the number of Index 
components may not fall below 20 and the total capitalization of the 
Index may not fall below US$25 billion. If any of these events occur, 
the Index will be re-classified as narrow-based. The Commission 
believes that these standards will ensure that if the Index becomes 
dominated by one or a few components, or if it fails to be broadly 
representative of the Mexican equity market, it will cease to trade 
pursuant to broad-based index option rules.

B. Customer Protection

    The Commission believes that a regulatory system designed to 
protect public customers must be in place before the trading of 
sophisticated financial instruments, such as Index options and Index 
LEAPS, can commence on a national securities exchange. The Commission 
notes that the trading of standardized exchange-traded options occurs 
in an environment that is designed to ensure, among other things, that: 
(1) The special risks of options are disclosed to public customers; (2) 
only investors capable of evaluating and bearing the risks of options 
trading are engaged in such trading; and (3) special compliance 
procedures are applicable to options accounts. Accordingly, because the 
Index options and Index LEAPS will be subject to the same regulatory 
regime as the other standardized options currently traded on the CBOE, 
the Commission believes that adequate safeguards are in place to ensure 
the protection of investors in Index options and Index LEAPS.\25\
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    \25\ As discussed above, CBOE has represented that it and OPRA 
have the necessary systems capacity to support those new series of 
options that would result from the introduction of Index options and 
Index LEAPS. See Memorandum from Joe Corrigan, Executive Director, 
OPRA, to Eileen Smith, CBOE, dated February 21, 1996.
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C. Surveillance

    In evaluating derivative instruments, the Commission, consistent 
with the protection of investors, considers the degree to which the 
derivative instrument is susceptible to manipulation. The ability to 
obtain information necessary to detect and deter market manipulation 
and other trading abuses is a critical factor in the Commission's 
evaluation. It is for this reason that it is important for the SEC to 
determine that there is an adequate mechanism in place to provide for 
the exchange of information between the market trading the derivative 
product and the market on which the securities underlying the 
derivative product are traded. Such mechanisms enable officials to 
surveil trading in both the derivative product and the underlying 
securities.\26\ For foreign stock index derivative products, such 
mechanisms are especially important for the relevant foreign and 
domestic exchanges to facilitate the collection of necessary 
regulatory, surveillance and other information.
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    \26\ The Commission believes that a comprehensive surveillance 
sharing agreement should provide the parties thereto with the 
ability to obtain information necessary to detect and deter market 
manipulation and other trading abuses. Consequently, the Commission 
generally requires that such agreements require that the parties 
provide each other, upon request, with information about market 
trading activity, clearing activity, and the identity of the 
purchasers and sellers of securities underlying the derivative 
product. See, e.g., Securities Exchange Act Release No. 31529 (Nov. 
27, 1992), 57 FR 574248.
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    With respect to the CBOE proposal, CBOE and the Bolsa do not have a 
written surveillance sharing agreement that covers the trading of IPC 
options at the time.\27\ Moreover, it is the Commission's understanding 
that the Bolsa currently is not able to provide the requisite 
information for a comprehensive surveillance sharing instrument. Thus 
it would be impossible for the CBOE to secure a comprehensive 
agreement. In such cases, the Commission has relied in the past on 
surveillance sharing arrangements between the relevant regulators. In 
regard to the IPC, the Commission notes that the Bolsa is under the 
regulatory oversight of the CNBV, which has responsibility for both the 
Mexican securities and derivatives markets. The Commission and the CNBV 
have concluded a Memorandum of Understanding, dated October 18, 1990, 
that provides a framework for mutual assistance in investigatory and 
regulatory issues.\28\ Based on the relationship between the SEC and 
CNBV and the terms of the MOU, the Commission understands that both it 
and the CNBV could acquire information from and provide information to 
the other similar to that which would be required in a comprehensive 
surveillance sharing agreement between exchanges.\29\ Moreover, the 
agencies could make a request for information under the MOU on behalf 
of an SRO that needed the information for regulatory purposes. Thus, 
should the CBOE need information on Mexican trading in the Index 
component securities to investigate incidents involving trading of 
Index options, the SEC could request such information from the CNBV 
under the MOU. While this arrangement certainly would be enhanced by 
the existence of direct exchange to exchange surveillance sharing 
agreements, it is nonetheless consistent with other instances where the 
Commission has explored alternatives when the relevant foreign exchange 
was unwilling or unable to enter into a comprehensive surveillance 
sharing agreement.\30\
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    \27\ The CBOE has committed to make every effort to enter into a 
comprehensive surveillance sharing agreement with the Bolsa.
    \28\ The CNBV is the successor to the Comision Nacional de 
Valores of Mexico, which was merged with the Mexican Banking 
Commission in April 1995 to form the CNBV. See National Banking and 
Securities Commission Act, Mexico, dated April 24, 1995.
    \29\ This information could include transaction, clearing, and 
customer identity information necessary to conduct an investigation.
    \30\ See, e.g., Securities Exchange Act Release No. 36070 (Aug. 
9, 1995), 60 FR 42205 (Aug. 15, 1995) (Order Approving Proposed Rule 
Changes Relating to the Listing and Trading of Warrants on the 
Deutscher Aktienindex).
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    Accordingly, the Commission believes the MOU provides sufficient 
basis for the exchange of necessary surveillance information. The 
Commission continues to believe strongly, however, that the Bolsa and 
the CBOE should continue to work together to consummate a formal 
surveillance sharing agreement to cover IPC Index options as soon as 
practicable.
    The Commission finds good cause for approving the Amendments to the 
proposed rule change prior to the thirtieth day after the date of 
publication of notice thereof in the Federal Register. The Amendments 
outline CBOE's maintenance criteria with respect to the IPC and the 
procedures for reducing position limits, if necessary. As discussed 
above, although CBOE is not responsible for maintenance of the IPC, it 
has adopted criteria which, if breached, will result in the re-
classification of the index to narrow-based. Because CBOE does not have 
the ability to maintain the Index in order to ensure that it remains 
broad-based, the Commission believes the adoption of these standards 
are reasonable to address the trading issues presented by a significant 
change in the character and composition of the Index. In addition, the 
Commission believes that the standards are sufficient to ensure that if 
the IPC does not continue to be representative of the Mexican equity 
market, or if the Index becomes dominated by one or a small number of 
stocks, it will cease to be classified as broad-based for U.S. index 
options

[[Page 24986]]

trading purposes. If reclassified as narrow-based, Amendment No. 3 
establishes procedures for reducing position limits which, the 
Commission notes, are consistent with existing procedures for reducing 
narrow-based index option position limits. Accordingly, the Commission 
believes there is good cause, consistent with Sections 6(b)(5) and 
19(b)(2) of the Act, to approve the Amendments on an accelerated basis.

III. Solicitation of Comments

    Interested persons are invited to submit written data, views and 
arguments concerning the Amendments. Persons making written submissions 
should file six copies thereof with the Secretary, Securities and 
Exchange Commission, 450 Fifth Street, N.W., Washington, D.C. 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 in the 
Commission's Public Reference Section, 450 Fifth Street, N.W., 
Washington, D.C. Copies of such filing will also be available for 
inspection and copying at the principal office of the above-mentioned 
self-regulatory organization. All submissions should refer to the file 
number in the caption above and should be submitted by June 7, 1996.
    It therefore is ordered, pursuant to Section 19(b)(2) of the 
Act,\31\ that the proposed rule change (SR-CBOE-96-09) is approved, as 
amended.

    \31\ 15 U.S.C. 78s(b)(2) (1988).
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    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\32\
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    \32\ 17 CFR Sec. 200.30-3(a)(12) (1994).
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Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 96-12385 Filed 5-16-96; 8:45 am]
BILLING CODE 8010-01-M