Federal Register / Vol. 61, No. 111 / Friday, June 7, 1996 / Notices 29155

1This same pricing situtation occurs in options

based on U.S. securities, however, since U.S.

interest rates are low relative to Mexico, the effect

is quite small and does not necessitate the need for

pricing off of an implied forward level.

2Full value IPC index options are priced at 1⁄10

the value of the IPC Index.

3The Mexican interest rate generally used in the

calculation would be the Cetes rate with the

appropriate maturity. 4 17 CFR 200.30–3(a)(12) (1994).

1Amendment No. 1 corrects a technical error in

Exhibit A of the CBOE’s filing, and is not

substantive in nature. See Letter from Timothy

Thompson, Senior Attorney, CBOE, to James

McHale, Attorney, Office of Market Supervision,

Division of Market Regulation, Commission, dated

May 16, 1996 (‘‘Amendment No. 1’’).

year) higher than the current value.1

Based on a current index value of

approximately 335,2 7% implies a

forward price of the Index of about 360

at the end of three months. Therefore,

the strike prices for a three month

option would need to bracket 360 rather

than 335.

To address this problem, the

Exchange intends to center the strike

prices around the implied forward price

of the IPC, rather than around the

current index value. The implied

forward price will change for each

expiration month since one component

of determining the implied forward

price is the time to expiration. The

formula for determining the implied

forward price will be the index level

times e∧r*t, where r equals the current

Mexican interest rate,3 and t equals the

time to expiration.

CBOE will adhere to all other rules,

interpretations and policies regarding

strike price introduction, with the

exception that the index level will be

calculated as described above. CBOE

will monitor the implied forward rate

on a continuous basis and CBOE

market-makers will monitor the rate

continuously for purposes of trading the

options. Finally, CBOE will issue a

circular to the membership describing

this policy for centering strike prices

around the implied forward level.

By interpreting the current rules in

such a manner that the Exchange may

list strike prices that more accurately

reflect the expected value of the IPC,

CBOE believes the proposed rule change

is consistent with and furthers the

objectives of Section 6(b)(5) of the Act,

in that it is designed to perfect the

mechanisms of a free and open market

and to protect investors and the public

interest.

(B) Self-Regulatory Organization’s

Statement on Burden on Competition

The Exchange does not believe that

the proposed rule change will impose

any inappropriate burden on

competition.

(C) Self-Regulatory Organization’s

Statement on Comments on the

Proposed Rule Change Received From

Members, Participants, or Others

No 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

Because the foregoing rule change

constitutes a stated policy, practice or

interpretation with respect to the

enforcement of an existing CBOE rule, it

has become effective pursuant to

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

subparagraph (e) of Rule 19b–4

thereunder. 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.

Persons making written submissions

should file six copies thereof with the

Secretary, Securities and Exchange

Commission, 450 Fifth Street, N.W.,

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 in

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 CBOE. All submissions

should refer to the File No. SR–CBOE–

96–33 and should be submitted by June

28, 1996.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.4

Jonathan G. Katz,

Secretary.

[FR Doc. 96–14401 Filed 6–6–96; 8:45 am]

BILLING CODE 8010–01–M

[Release No. 34–37264; File No. SR–CBOE–

96–26]

Self-Regulatory Organizations; Notice

of Filing and Immediate Effectiveness

of Proposed Rule Change and

Amendment No. 1 Thereto by the

Chicago Board Options Exchange,

Incorporated Relating to Continuous

Representation of Orders

May 31, 1996.

Pursuant to Section 19(b)(1) of the

Securities Exchange Act of 1934

(‘‘Act’’), 15 U.S.C. 78s(b)(1), notice is

hereby given that on April 18, 1996, the

Chicago Board Options Exchange,

Incorporated (‘‘CBOE’’ or ‘‘Exchange’’)

filed with the Securities and Exchange

Commission (‘‘Commission’’ or ‘‘SEC’’)

the proposed rule change as described

in Items I, II, and III below, which Items

have been prepared by the CBOE. On

May 30,1996, the CBOE filed

Amendment No. 1 to the proposal.1 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 CBOE is hereby setting forth its

interpretation of the meaning of an

existing Exchange rule which concerns

the obligation of a floor broker to

continuously represent certain orders at

the trading station where the option

class is traded. The text of the proposed

rule change is available 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

CBOE 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 these statements

may be examined at the places specified

in Item IV below. The CBOE has

prepared summaries, set forth in

sections (A), (B), and (C) below, of the

most significant aspects of such

statements.
29156 Federal Register / Vol. 61, No. 111 / Friday, June 7, 1996 / Notices

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

2 17 CFR 240.19b–4.

3See Letter from David T. Rusoff, Attorney, Foley

& Lardner, to Ivette Lopez, Assistant Director,

Division of Market Regulation, SEC, dated May 9,

1996 (‘‘Amendment No. 1’’).

4See Letter from David T. Rusoff, Attorney, Foley

& Lardner, to Ivette Lopez, Assistant Director,

Division of Market Regulation, SEC, dated May 29,

1996 (‘‘Amendment No. 2’’) Amendment No. 2

amends Article XX, Rule 2 to clarify that this rule

also applies to the Post Primary Trading Session

and Interpretation and Policy .01 to this rule to

correct an inaccurate cross-reference. In addition,

Amendment No. 2 revises the proposed changes to

Article IX, Rule 10(b) to clarify that if a security’s

primary market is the Pacific Stock Exchange,

Incorporated (‘‘PSE’’), the Primary Trading Session

for that security shall end no later than 3:00 p.m.

(CT). Amendment No. 2 also revises the proposed

changes to Article IX, Rule 10(b) to remove the

extension of the Primary Trading Session for CHX

exclusive issues from 3:00 p.m. to 3:30 p.m. (CT)

A. Self-Regulatory Organization’s

Statement of the Purpose of, and

Statutory Basis for, the Proposed Rule

Change

The purpose of the proposed rule

change is to make a clarifying

amendment to Interpretation .04 of Rule

6.73, which requires a floor broker to

continuously represent certain orders in

the trading crowd.

Paragraph (a) of Rule 6.73,

Responsibilities of Floor Brokers, states

that a floor broker must use due

diligence in handling an order to

execute the order at the best price or

prices available to the broker, in

accordance with Exchange rules. In

further clarifying a broker’s

responsibility to use due diligence,

Interpretation .04 of Rule 6.73 states that

a floor broker’s use of due diligence

includes the immediate and continuous

representation of ‘‘market or marketable

orders’’ at the trading station where the

option class represented by the order is

traded. The use of the term

‘‘marketable’’ has lead to some

ambiguity in the interpretation of the

Rule, however, because some members

have assumed that the term refers to

marketable limit orders which are limit

orders where the specified price at

which to sell is below or at the current

bid, or if to buy is at or above the

current offer. In fact, however, the

interpretation should read, and has been

interpreted to mean, that a floor broker

must immediately and continuously

represent market orders or limit orders

where the specified price to sell is at or

below the current offer, or if to buy is

at or above the current bid. Because this

interpretation will require floor brokers

to continuously and immediately

represent some orders that are neither

market orders or marketable limit

orders, i.e. those orders whose limit

price is between the bid and offer, the

Exchange thought it was appropriate to

revise the interpretation to clarify the

intent of the term marketable. The

proposed rule change will ensure that

floor brokers will represent an order in

a trading crowd when that order is

likely to be executed soon, even if it is

not immediately executable.

By clarifying an existing rule of the

Exchange in order to clear up any

possible ambiguity, the CBOE believes

that the proposed rule change is

consistent with and furthers the

objectives of Section 6(b)(5) of the Act,

in that it is designed to perfect the

mechanisms of a free and open market

and to protect investors and the public

interest.

B. Self-Regulatory Organization’s

Statement on Burden on Competition

The exchange does not believe that

the proposed rule change will impose

any inappropriate 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

Because the foregoing rule change

constitutes a stated policy with respect

to the meaning, administration, or

enforcement of an existing rule, it has

become effective pursuant to Section

19(b)(3)(A) of the Act and Rule 19b–4

thereunder. 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.

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. 20549. Copies of such

filing will also be available for

inspection and copying at the principal

office of the CBOE. All submissions

should refer to the File No. SR–CBOE–

96–26 and should be submitted by June

28, 1996.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.

Jonathan G. Katz,

Secretary.

[FR Doc. 96–14402 Filed 6–6–96; 8:45 am]

BILLING CODE 8010–01–M

[Release No. 34–37265; File No. SR–CHX–

96–13]

Self-Regulatory Organizations; Order

Granting Accelerated Approval of

Proposed Rule Change and

Amendment No. 1 and Notice of Filing

and Order Granting Accelerated

Approval of Amendment No. 2 by the

Chicago Stock Exchange, Incorporated

Relating to the Modification of the

Hours of the Exchange’s Primary

Trading Session and the

Establishment of a Post Primary

Trading Session

May 31, 1996.

I. Introduction

On April 9, 1996, the Chicago Stock

Exchange, Incorporated (‘‘CHX’’ or

‘‘Exchange’’) submitted to 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

modify the hours of the Exchange’s

Primary Trading Session and to

establish a Post Primary Trading

Session. On May 10, 1996 the Exchange

submitted to the Commission

Amendment No. 1 to the proposed rule

change.3 The proposed rule change, as

amended by Amendment No. 1, was

published for comment in Securities

Exchange Act Release No. 37204 (May

13, 1996), 61 FR 24988 (May 17, 1996).

On May 29, 1996 the Exchange

submitted Amendment No. 2 to the

proposed rule change.4 This order