Federal Register / Vol. 75, No. 175 / Friday, September 10, 2010 / Notices 55383 

9The Exchange is currently analyzing the 

condition regarding non-public information and 

system changes in order to better reflect the 

operation of Arca Securities. 

10 15 U.S.C. 78s(b)(3)(A). 

11 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

4(f)(6)(iii) requires that a self-regulatory 

organization submit to the Commission written 

notice of its intent to file the proposed rule change, 

along with a brief description and text of the 

proposed rule change, at least five business days 

prior to the date of filing of the proposed rule 

change, or such shorter time as designated by the 

Commission. The Exchange has satisfied this 

requirement. 

12 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

cooperation and coordination with 

persons engaged in facilitating 

transactions in securities, and to remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system. 

Specifically, the proposed rule change 

will allow the Exchange to continue 

receiving inbound routes of equities 

orders from Arca Securities acting in its 

capacity as a facility of the NYSE and 

NYSE Amex, in a manner consistent 

with prior approvals and established 

protections. The Exchange believes that 

extending the previously approved pilot 

period for six months will permit both 

the Exchange and the Commission to 

further assess the impact of the 

Exchange’s authority to receive direct 

inbound routes of equities orders via 

Arca Securities (including the attendant 

obligations and conditions).9

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 that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. 

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 

does not: (1) Significantly affect the 

protection of investors or the public 

interest; (2) impose any significant 

burden on competition; and (3) become 

operative for 30 days after the date of 

this filing, or such shorter time as the 

Commission may designate, it has 

become effective pursuant to Section 

19(b)(3)(A) of the Act 10 and Rule 19b– 

4(f)(6) thereunder.11

At any time within 60 days of the 

filing of such proposed rule change the 

Commission summarily may 

temporarily suspend 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–NYSEArca–2010–82 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–NYSEArca–2010–82. 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 office 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–NYSEArca-2010–82 and 

should be submitted on or before 

October 1, 2010. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.12

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. 2010–22562 Filed 9–9–10; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–62847; File No. SR–CBOE– 

2010–077] 

Self-Regulatory Organizations; 

Chicago Board Options Exchange, 

Incorporated; Notice of Proposed Rule 

Change, as Modified by Amendment 

No. 1, To List Series With Up to 12 

Expiration Months for Broad-Based 

Security Index Options Upon Which 

the Exchange Calculates a Volatility 

Index 

September 3, 2010. 

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

Securities Exchange Act of 1934 (the 

‘‘Act’’) 1 and Rule 19b–4 thereunder,2

notice is hereby given that on August 

24, 2010, the Chicago Board Options 

Exchange, Incorporated (the ‘‘Exchange’’ 

or ‘‘CBOE’’) filed with the Securities and 

Exchange Commission (the 

‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the Exchange. On September 2, 2010, 

the Exchange filed Amendment No. 1, 

which replaced the original filing in its 

entirety. The Commission is publishing 

this notice to solicit comments on the 

proposed rule change, as amended, from 

interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

CBOE proposes to amend Rule 

24.9(a)(2), Terms of Index Option 

Contracts, to allow the Exchange to list 

up to twelve expiration months for 

options that overlie broad-based 

security indexes for which options are 

used by the Exchange to calculate a 

volatility index. The text of the rule 

proposal is available on the Exchange’s 

Web site (http://www.cboe.org/legal), at 

the Exchange’s principal office, and at 

the Commission’s Public Reference 

Room. 


srobinson on DSKHWCL6B1PROD with NOTICES
55384 Federal Register / Vol. 75, No. 175 / Friday, September 10, 2010 / Notices 

3ETNs are referred to ‘‘Index-Linked Securities’’ 

in CBOE’s Rules. See Interpretation and Policy .13 

to Rule 5.3. The ETNs linked to the performance of 

VIX futures are the (1) iPath S&P 500 VIX ShortTerm Futures ETN (‘‘VXX’’), (2) iPath S&P 500 VIX 

Mid-Term Futures ETN (‘‘VXZ’’), and (3) Barclays 

ETN+ Inverse S&P 500 VIX Short-Term Futures 

ETN (‘‘XXV’’). 

4ETFs are referred to as ‘‘Units’’ in CBOE’s Rules. 

See Interpretation and Policy .06 to Rule 5.3. 

5See Securities Exchange Act Release No. 56821 

(November 20, 2007), 72 FR 66210 (November 27, 

2007) (SR–CBOE–2007–082). 

6See id. 

7 15 U.S.C. 78f(b). 

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

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 

self-regulatory organization 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 those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

Amendment 1 replaces the original 

filing in its entirety. The purpose of 

Amendment 1 is to provide additional 

reasoning for the proposed rule text 

change and to make a technical change 

to Rule 24.9(a)(2) by deleting an 

unnecessary word from the text of the 

rule. 

The purpose of this rule filing is to 

amend Rule 24.9(a)(2), Terms of Index 

Options, to allow the Exchange to list up 

to twelve expiration months for broadbased security index options upon 

which the Exchange calculates a 

volatility index. Currently, Rule 

24.9(a)(2) permits the Exchange to list 

only seven expiration months in any 

index options upon which the Exchange 

calculates a constant three-month 

volatility index. 

Since 2009, volatility trading has 

experienced significant growth in terms 

of both trading volume and in the 

variety of products offered. For 

example, through the first six months in 

2010, CBOE Volatility Index (‘‘VIX’’) 

options averaged close to 250,000 

contracts traded per day, a 150% 

increase compared to the same period in 

2009. VIX futures volume increased 

440%, averaging 13,500 contracts per 

day compared to 2,500 contracts per day 

during the same period in 2009. 

Similarly, since 2009, three exchangetraded notes (‘‘ETNs’’) linked to the 

performance of VIX futures have been 

issued, two of which overlie listed 

options.3 In addition, Jefferies & Co. 

recently announced plans to issue an 

exchange-traded fund (‘‘ETF’’) 4 that 

holds VIX futures or an economically 

equivalent position and Bank of 

America Merrill Lynch recently 

announced plans to issue an ETN based 

on forward implied volatility of S&P 500 

Index options. Additionally, the 

Exchange is aware of other issuers that 

are engaged in similar volatility product 

initiatives. 

The Exchange was previously granted 

approval to list a seventh expiration in 

broad-based index classes on which the 

Exchange calculates a 3-month volatility 

index.5 In order to satisfy growing 

demand for a wider variety of volatility 

investment strategies, the Exchange is 

seeking to increase, from seven to 

twelve, the number of expiration 

months for broad-based security index 

options upon which the Exchange 

calculates a volatility index. 

Rule 24.9(a)(2) currently permits the 

Exchange to list up to seven expiration 

months at any one time for any broadbased security index option contracts, 

including reduced-value and jumbo 

option contracts, (e.g., DJX, NDX, RUT 

and SPX) upon which the Exchange 

calculates a constant three-month 

volatility index. When the Exchange 

proposed the allowance of a seventh 

expiration month for broad-based 

security index option contracts on 

which CBOE calculates a constant threemonth volatility index, the Commission 

noted that the change ‘‘will result in a 

more consistent and predictable 

calculation in which the option series 

that bracket three months to expiration 

will always expire one month apart 

***’’ 6 In this current proposal, the 

Exchange is seeking to create flexibility 

that would enable it to create volatility 

indexes of varying lengths in response 

to demand for a wider variety of 

volatility investment strategies. As a 

result, the Exchange is not proposing to 

tie the number of expiration months 

permitted to a specific volatility 

calculation period and is proposing to 

delete the phrase ‘‘constant threemonth’’ from the existing text of Rule 

24.9(a)(2). 

The Exchange believes that the 

additional expirations, which will be 

listed in monthly intervals over a oneyear time frame, will provide the 

Exchange with the flexibility to create 

indexes that represent unique volatility 

exposures, and enable the Exchange to 

respond quickly to investor demand for 

new volatility-based products. 

Capacity 

CBOE has analyzed its capacity and 

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 ability to list up to 

twelve expiration months for broadbased security index options upon 

which the Exchange calculates a 

volatility index. 

2. Statutory Basis 

Because the increase in the number of 

expiration months is limited to options 

overlying broad based security indexes 

upon which the Exchange calculates a 

volatility index and because the series 

could be added without presenting 

capacity problems, the Exchange 

believes the rule proposal is consistent 

with the Act and the rules and 

regulations under the Act applicable to 

a national securities exchange and, in 

particular, the requirements of Section 

6(b) of the Act.7 Specifically, the 

Exchange believes that the proposed 

rule change is consistent with the 

Section 6(b)(5) Act 8 requirements that 

the rules of an exchange be designed to 

promote just and equitable principles of 

trade, to prevent fraudulent and 

manipulative acts and, in general, to 

protect investors and the public interest. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

CBOE does not believe that the 

proposed rule change will impose any 

burden on competition not necessary or 

appropriate in furtherance of the 

purposes of the Act. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange neither solicited nor 

received comments on the proposal. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 45 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: 


srobinson on DSKHWCL6B1PROD with NOTICES
Federal Register / Vol. 75, No. 175 / Friday, September 10, 2010 / Notices 55385 

9 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3A Member is any registered broker or dealer that 

has been admitted to membership in the Exchange. 

(A) By order approve or disapprove 

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, 

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–CBOE–2010–077 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–CBOE–2010–077. 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, 100 F Street, NE., 

Washington, DC 20549, on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of the filing also 

will be available for inspection and 

copying at the principal office 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–CBOE– 

2010–077 and should be submitted on 

or before October 1, 2010. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.9

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. 2010–22599 Filed 9–9–10; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–62846; File No. SR–EDGX– 

2010–12] 

Self-Regulatory Organizations; EDGX 

Exchange, Inc.; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change Relating to Amendments 

to the EDGX Exchange, Inc. Fee 

Schedule 

September 3, 2010. 

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

Securities Exchange Act of 1934 (the 

‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that on August 

31, 2010, the EDGX Exchange, Inc. (the 

‘‘Exchange’’ or the ‘‘EDGX’’) 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 selfregulatory organization. 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 the Substance 

of the Proposed Rule Change 

The Exchange proposes to amend its 

fees and rebates applicable to Members 3

of the Exchange pursuant to EDGX Rule 

15.1(a) and (c) to (i) add a price 

guarantee to footnote 1 of its fee 

schedule; and (ii) make other technical 

amendments to its fee schedule. 

All of the changes described herein 

are applicable to EDGX Members. The 

text of the proposed rule change is 

available on the Exchange’s Internet 

Web site at http://www.directedge.com, 

on the Commission’s Web site at 

http://www.sec.gov, and at the 

Commission’s Public Reference Room. 

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 

self-regulatory organization 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 self-regulatory organization has 

prepared summaries, set forth in 

sections 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 

1. Purpose 

The Exchange proposes to make 

several amendments to its fee schedule. 

First, it proposes to add a price 

guarantee to footnote 1 of the schedule. 

This guarantee would state that ‘‘Any 

Member meeting the following criteria: 

(i) Adding 10,000,000 shares or more of 

liquidity to EDGX, (ii) where such 

added liquidity on EDGX is at least 

5,000,000 shares greater than the 

previous calendar month; and (iii) but 

for the liquidity added on EDGX, such 

Member would have qualified for a 

better rebate with respect to liquidity 

added on another exchange or ECN that 

the Member previously qualified for in 

the three calendar months prior to 

meeting the above-described criteria in 

(i) and (ii), shall be reimbursed the 

difference between the rebate received 

and the rebate potentially received, so 

long as source documentation 

evidencing the above is provided to the 

Exchange within fifteen (15) calendar 

days from the end of the relevant 

month. A Member can only receive 

reimbursement with respect to two 

consecutive calendar months. With 

respect to the second calendar month’s 

reimbursement, the relevant period in 

determining whether criteria (iii) is 

satisfied is the period three calendar 

months prior to the first of the two 

consecutive calendar months the 

Member meets the above-described 

criteria in (i) and (ii).’’ 

The Exchange believes that the price 

guarantee, as described above, is 

equitable in that it is available to all 

Members migrating volumes to the 

Exchange. Furthermore, the price 

guarantee limits the increase in a 

Members’ execution costs associating 

with failing to meet the volume 

thresholds of other exchanges and ECNs 

while a Member is in the process of 

migrating volumes from one exchange to 

another. The Exchange believes that the 

difficulty in transitioning volume has 

incentivized Members to leave volume 

on certain exchanges and ECNs rather 

than incurring the costs of migrating 

volumes to the Exchange. By facilitating 


srobinson on DSKHWCL6B1PROD with NOTICES