55890 Federal Register / Vol. 73, No. 188 / Friday, September 26, 2008 / Notices 

1 17 CFR 240.9b–1. 

2 In the proposed September 2008 supplement to 

the ODD and this Order, the term ‘‘variability 

indexes’’ refers to implied volatility, realized 

variance, and realized volatility indexes. See infra 

notes 5 and 7. 

3See letter from Jean M. Cawley, Senior Vice 

President and Deputy General Counsel, OCC, to 

Sharon Lawson, Senior Special Counsel, Division of 

Trading and Markets (‘‘Division’’), Commission, 

dated August 13, 2008. 

4See letter from Jean M. Cawley, Senior Vice 

President and Deputy General Counsel, OCC, to 

Sharon Lawson, Senior Special Counsel, Division, 

Commission, dated September 19, 2008. 

5See Securities Exchange Act Release No. 58171 

(July 16, 2008), 73 FR 42841 (July 23, 2008) (SR– 

CBOE–2008–31). 

6See Securities Exchange Act Release No. 58207 

(July 22, 2008), 73 FR 43963 (July 29, 2008) (SR– 

CBOE–2008–26). 

7The proposed September supplement is divided 

into two parts. Part I supersedes and replaces the 

March 2005 supplement to the ODD to 

accommodate the approval of trading of certain 

realized variance index options, realized volatility 

index options, and BXM options. See notes 4 and 

5, supra. The March 2005 supplement contained 

disclosure on implied volatility options previously 

approved for trading by the Commission, and the 

September 2008 supplement includes disclosure on 

these products. See note 2 supra and Securities 

Exchange Act Release No. 49563 (April 14, 2004) 

69 FR 21589 (April 21, 2004) (order approving SR– 

CBOE–2003–40 to list and trade implied volatility 

options on the CBOE Volatility Index (VIX); the 

CBOE Nasdaq 100 Volatility Index (VXN); and 

CBOE Dow Jones Industrial Average Volatility 

Index, (VXD)). See also Securities Exchange Act 

Release No. 55425 (March 8, 2007), 72 FR 12238 

(March 15, 2007) (order approving SR–CBOE–2006– 

73 to list and trade implied volatility options on the 

CBOE Russell 2000 Volatility Index (RVX)). 

8The Commission notes that the options markets 

must continue to ensure that the ODD is in 

compliance with the requirements of Rule 9b– 

1(b)(2)(i) under the Act, 17 CFR 240.9b–1(b)(2)(i), 

including when future changes regarding variability 

index options and/or strategy-based index options 

are made. Any future changes to the rules of the 

options markets concerning variability index 

options and/or strategy-based index options would 

need to be submitted to the Commission under 

Section 19(b) of the Act. 15 U.S.C. 78s(b). 

9This proposed change amends the May 2007 

supplement to the ODD. See OCC–2008–16. 

10This proposed new language amends the June 

2008 supplement to the ODD. 

11The language being deleted relates to the 

opening and closing price for securities trading on 

Nasdaq, but is no longer accurate because Nasdaq 

has since changed its opening and closing 

procedures. 

12 17 CFR 240.9b–1(b)(2)(i). 

13This provision permits the Commission to 

shorten or lengthen the period of time which must 

elapse before definitive copies may be furnished to 

customers. 

14 17 CFR 240.9b–1. 

15 17 CFR 200.30–3(a)(39). 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–58604; File No. SR–ODD– 

2008–04] 

Self-Regulatory Organizations; the 

Options Clearing Corporation; Order 

Granting Approval of Accelerated 

Delivery of Supplement to the Options 

Disclosure Document Reflecting 

Changes to Disclosure Regarding 

Certain Variability Index Options, 

Strategy-Based Index Options, and 

Adjustments of Stock Option 

Contracts 

September 19, 2008. 

On August 21, 2008, the Options 

Clearing Corporation (‘‘OCC’’) submitted 

to the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

to Rule 9b–1 under the Securities 

Exchange Act of 1934 (‘‘Act’’),1 five 

preliminary copies of a supplement to 

its options disclosure document 

(‘‘ODD’’) reflecting changes to 

disclosure regarding certain options on 

variability indexes 2 and strategy-based 

indexes and adjustments of stock option 

contracts, among other changes.3 On 

September 19, 2008, the OCC submitted 

to the Commission five definitive copies 

of the supplement.4

The ODD currently contains general 

disclosures on the characteristics and 

risks of trading standardized options. 

Recently, the Chicago Board Options 

Exchange, Incorporated (‘‘CBOE’’) 

amended its rules to permit the listing 

and trading of realized variance and 

realized volatility index options.5 The 

CBOE also recently amended its rules to 

permit the listing and trading of certain 

strategy-based index options, 

specifically options that overlie an 

index that is equal to 1⁄10th of the value 

of the CBOE S&P 500 BuyWrite Index 

(‘‘BXM options’’).6 The proposed 

supplement amends the ODD to 

accommodate these changes by 

providing disclosure regarding realized 

variance index options, realized 

volatility index options, and strategybased index options.7

Specifically, the proposed 

supplement to the ODD adds new 

disclosure regarding the characteristics 

of realized variance and realized 

volatility index options as well as the 

special risks of these options. The 

proposed supplement to the ODD also 

adds new disclosure regarding the 

characteristics and special risks of 

strategy-based index options. The 

proposed supplement is intended to be 

read in conjunction with the more 

general ODD, which, as described 

above, discusses the characteristics and 

risks of options generally.8

The proposed supplement also is 

revised to: (1) Accommodate a change in 

the application of the new methodology 

for adjusting equity options for cash 

dividends; 9 (2) add new language to 

describe reduced-value index options; 10

and (3) delete a paragraph regarding the 

NASDAQ Stock Market LLC’s 

(‘‘Nasdaq’’) opening and closing 

procedure, which has become outdated 

and inaccurate.11

Rule 9b–1(b)(2)(i) under the Act 12

provides that an options market must 

file five copies of an amendment or 

supplement to the ODD with the 

Commission at least 30 days prior to the 

date definitive copies are furnished to 

customers, unless the Commission 

determines otherwise, having due 

regard to the adequacy of information 

disclosed and the public interest and 

protection of investors.13 In addition, 

five copies of the definitive ODD, as 

amended or supplemented, must be 

filed with the Commission not later than 

the date the amendment or supplement, 

or the amended options disclosure 

document, is furnished to customers. 

The Commission has reviewed the 

proposed supplement and finds, having 

due regard to the adequacy of 

information disclosed and the public 

interest and protection of investors, that 

the proposed supplement may be 

furnished to customers as of the date of 

this order. 

It is therefore ordered, pursuant to 

Rule 9b–1 under the Act,14 that 

definitive copies of the proposed 

supplement to the ODD (SR–ODD– 

2008–03), reflecting changes to 

disclosure regarding certain options on 

variability indexes and strategy-based 

indexes, as well as the other changes 

noted above, may be furnished to 

customers as of the date of this order. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.15

Florence E. Harmon, 

Acting Secretary. 

[FR Doc. E8–22638 Filed 9–25–08; 8:45 am] 

BILLING CODE 8010–01–P 

SOCIAL SECURITY ADMINISTRATION 

[Docket No. SSA–2008–0044] 

Agreement on Social Security Between 

the United States and Denmark; Entry 

Into Force 

AGENCY: Social Security Administration 

(SSA). 

ACTION: Notice. 

SUMMARY: The Commissioner of Social 

Security gives notice that an agreement 

coordinating the United States (U.S.) 

and Danish social security programs 

will enter into force on October 1, 2008. 

The agreement with Denmark, which 

was signed on June 13, 2007, is similar 

to U.S. social security agreements 

already in force with 21 other 

countries—Australia, Austria, Belgium, 


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