65542 Federal Register / Vol. 75, No. 205 / Monday, October 25, 2010 / Notices 

5See Exchange Rule 1012, Commentary 

.05(a)(i)(B) referring to the $1 Strike Program. 

6 In approving this proposed rule change, the 

Commission has considered the proposed rule’s 

impact on efficiency, competition, and capital 

formation. 15 U.S.C. 78c(f). 

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

8 15 U.S.C. 78s(b)(2). 

9 17 CFR 200.30–3(a)(12). 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

regarding the $.50 Strike Program to: (i) 

Expand the permitted price range of the 

$.50 Strike Program from $1.00–$3.50 to 

$0.50–$5.50; (ii) raise the threshold of 

the previous day’s closing price of the 

underlying security from $3.00 to $5.00; 

and (iii) expand the number of options 

classes permitted under the Program 

from 5 to 20. 

Currently, Commentary .05 to 

Exchange Rule 1012 permits strike price 

intervals of $.50 or greater beginning at 

$1.00 where the strike price is $3.50 or 

less, but only for option classes whose 

underlying security closed at or below 

$3.00 in its primary market on the 

previous trading day and which have 

national average daily volume that 

equals or exceeds 1000 contracts per 

day as determined by The Options 

Clearing Corporation during the 

preceding three calendar months. 

Further, the listing of $.50 strike prices 

is limited to options classes overlying 

no more than 5 individual stocks as 

specifically designated by the Exchange. 

The Exchange is currently restricted 

from listing series with $1 intervals 

within $0.50 of an existing strike price 

in the same series, except that strike 

prices of $2, $3, and $4 shall be 

permitted within $0.50 of an existing 

strike price for classes also selected to 

participate in both the $0.50 Strike 

Program and the $1 Strike Program.5

The Exchange also proposes a 

corresponding amendment to 

Commentary .05(a)(i)(B) of Exchange 

Rule 1012 to add $5 to the list of strike 

prices permitted within $0.50 of an 

existing strike price in the same series 

for classes selected for both programs. 

In its filing with the Commission, the 

Exchange stated that the number of $.50 

strike options traded on the Exchange 

has continued to increase since the 

inception of the Program. The Exchange 

stated that the proposal would expand 

$.50 strike offerings to market 

participants and thereby should 

enhance their ability to tailor investing 

and hedging strategies and 

opportunities in a volatile marketplace. 

The Exchange further stated that it 

believes an expansion of the $.50 Strike 

Program would allow investors to better 

enhance returns and manage risk by 

providing them with significantly 

greater flexibility in the trading of 

equity options that overlie lower price 

stocks by allowing them to establish 

equity options positions that are better 

tailored to meet their investment, 

trading and risk. In addition, the 

Exchange represented that $0.50 strikes 

have had no impact on capacity. 

After careful review, the Commission 

finds that the proposed rule change is 

consistent with the Act and the rules 

and regulations thereunder applicable to 

a national securities exchange.6 In 

particular, the Commission believes that 

the proposed rule change is consistent 

with Section 6(b)(5) of the Act,7 which 

requires, among other things, that the 

rules of a national securities exchange 

be designed to promote just and 

equitable principles of trade, to remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system, and, in 

general, to protect investors and the 

public interest. 

Specifically, the Commission believes 

that the proposal to expand the $.50 

Strike Program should provide investors 

with added flexibility in the trading of 

equity options and further the public 

interest by allowing investors to 

establish equity options positions that 

are better tailored to meet their 

investment objectives. The Commission 

also believes that the proposal strikes a 

reasonable balance between the 

Exchange’s desire to accommodate 

market participants by offering a wider 

array of investment opportunities and 

the need to avoid unnecessary 

proliferation of options series and the 

corresponding increase in quotes. The 

Commission expects that the Exchange 

will monitor the trading volume 

associated with the additional options 

series listed as a result of this proposal 

and the effect of these additional series 

on market fragmentation and on the 

capacity of the Exchange’s, OPRA’s and 

vendors’ automated systems. 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,8 that the 

proposed rule change (SR–Phlx–2010– 

118) be, and it hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.9

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. 2010–26827 Filed 10–22–10; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–63130; File No. SR– 

NYSEAmex–2010–52] 

Self-Regulatory Organizations; NYSE 

Amex LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change Amending Commentary 

.02 of Rule 903G To Permit Certain 

FLEX Options To Trade Under the 

FLEX Trading Procedures for a Limited 

Time 

October 19, 2010. 

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

Securities Exchange Act of 1934 (the 

‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that on October 

5, 2010, NYSE Amex LLC (the 

‘‘Exchange’’ or ‘‘NYSE Amex’’) 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 self-regulatory 

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 

Commentary .02 of Rule 903G, Terms of 

FLEX Options, to permit certain FLEX 

Options to trade under the FLEX 

Trading Procedures for a limited time. 

The text of the proposed rule change is 

available at the Exchange’s Web site at 

http://www.nyse.com, on the 

Commission’s Web site at http:// 

www.sec.gov, at the Exchange’s 

principal office, 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 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. 


emcdonald on DSK2BSOYB1PROD with NOTICES
Federal Register / Vol. 75, No. 205 / Monday, October 25, 2010 / Notices 65543 

4See Exchange Act Release No. 60548, SR– 

NYSEAmex–2009–44 (August 20, 2009), 74 FR 

43191 (August 26, 2009). 

5Trading Officials are Exchange employees 

designated pursuant to Rule 900.2NY(82). 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The purpose of this filing is to allow 

certain FLEX options, which are 

identical in all terms to a Non-FLEX 

option, to trade using FLEX Trading 

Procedures for the balance of the trading 

day on which the Non-FLEX Option is 

added as an intra-day add. 

The Exchange recently adopted rule 

changes to allow FLEX options to expire 

within two business days of a thirdFriday-of-the-month expiration, 

including expiration Friday (‘‘expiration 

FLEX’’).4 Such FLEX Options could 

have either an American Style exercise 

or a European Style exercise. The same 

rule change also allowed for FLEX Index 

Options to expire on or within two 

business days of a third-Friday-of-themonth expiration, provided they only 

have an exercise settlement value on the 

expiration date determined by reference 

to the reported level of the index as 

derived from the opening prices of the 

component securities (‘‘a.m. 

settlement’’). 

The rule change provided that 

expiration FLEX options will be 

permitted before (but not after) NonFLEX Options with identical terms are 

listed. Once and if an option series is 

listed for trading as a Non-FLEX Option 

series, (i) all existing open positions 

established under the FLEX Trading 

procedures shall be fully fungible with 

transactions in the respective Non-FLEX 

Options series, and (ii) any further 

trading in the series would be as NonFLEX Options subject to the Non-FLEX 

trading procedures and rules. 

The Options Clearing Corporation 

(‘‘OCC’’) became concerned that, in 

certain circumstances, in the event a 

Non-FLEX Option is listed with 

identical terms to an existing FLEX 

option, OCC could not net the positions 

in the contracts until the next business 

day. If the Non-FLEX Option were listed 

intra-day, and the holder of a position 

in the FLEX option attempted to close 

the position using the Non-FLEX 

Option, the holder would be technically 

long in one contract and short in the 

other contract. This would expose the 

holder to assignment risk until the next 

day despite having offsetting positions. 

The limited circumstances are: 

• The Non-Flex Option is listed intraday. 

• The FLEX contract is for American 

style exercise. 

• All other terms are identical and the 

contracts are otherwise fungible. 

The risk does not occur in expiration 

Friday FLEX option positions during the 

five days prior to expiration, as no new 

Non-FLEX Option series may be listed 

within five days of expiration. It also 

does not exist for FLEX option positions 

that will be identical to Non-FLEX 

series to be added after expiration, as 

those new series are added ‘‘overnight’’ 

and OCC will convert the FLEX position 

to the Non-FLEX Options series at the 

time the Non-FLEX series is created. 

As an example, suppose underlying 

issue XYZ, trading around $25 per 

share, has options listed on the March 

cycle, and in February an investor 

wishes to buy just-out-of-the-money call 

options that will expire in May. Since 

the Non-FLEX May Options will not be 

listed until after the March expiration, 

the investor enters a FLEX Option order 

in February to buy 250 Call 30 options 

expiring on the third Friday of May. If, 

as expected, the Non-FLEX May 30 call 

options are listed on the Monday after 

March expiration, the investor’s open 

FLEX position will be converted by OCC 

over the weekend following March 

expiration to the Non-FLEX series. 

However, if XYZ stock should decline 

between the time of the FLEX 

transaction and March expiration, the 

May 30 calls may not be added after 

March Expiration. If that were to occur, 

the May 30 calls may be added 

sometime later. Suppose the Exchange 

receives a request to add the May 30 

calls on the morning of the Wednesday 

after expiration, and the Exchange lists 

them immediately. The investor with 

the FLEX position may then decide it is 

an opportune time to close his position. 

Under current rules, the investor 

would be required to close the position 

by entering a sell order in the new NonFLEX Option series. However, when the 

Non-FLEX transaction is reported to 

OCC, the investor is considered short in 

the Non-FLEX Option series, and is still 

long in the FLEX Option. OCC cannot 

aggregate the FLEX positions into the 

Non-FLEX series until after exercise and 

assignment processing. If a buyer in the 

new Non-FLEX series were to exercise 

the options, the original investor who 

had attempted to close the FLEX 

position with an offsetting Non-FLEX 

trade would be at risk of being assigned 

on the technically short Non-FLEX 

position. 

Because of this risk, OCC will not 

clear an American style expiration 

Friday FLEX option. The Exchange has 

spoken to OCC, and OCC has agreed that 

allowing the holder of an open position 

in a FLEX contract to close the position 

using a FLEX option in such 

circumstances will mitigate the risk. 

The assignment risk does not exist if 

the Non-FLEX option is to be added the 

next trading day. In situations where 

OCC is aware that a series will be added 

overnight, they can convert the FLEX 

Position to a Non-FLEX position before 

the next trading day. However, OCC 

cannot guarantee that an identical NonFLEX series will not be added intra-day, 

and thus will not clear such American 

style FLEX options. 

NYSE Amex is proposing a limited 

exception to the requirement that the 

trading in such options be under the 

Non-FLEX Trading Procedures. The 

Exchange proposes that, in the event a 

Non-FLEX Option is listed intra-day, the 

holder of a FLEX Option with identical 

terms could close the FLEX position 

under the FLEX Trading procedures, but 

only for the balance of the trading day 

on which the series is added. Under the 

proposed rule change, both sides of the 

FLEX transaction would have to be 

closing only positions. 

This change will allow the holder of 

a FLEX position to trade in such a 

manner to mitigate the assignment risk. 

A Trading Official 5 has the regulatory 

responsibility for reviewing the 

conformity of FLEX trades to the terms 

and specifications contained in Rule 

903G. In the event a Non-FLEX series, 

having the same terms as an existing 

expiration Friday FLEX option, is listed 

intra-day, the Trading Official will 

review any subsequent FLEX 

transactions in that series and verify 

that the order is being executed for the 

purpose of closing out an existing FLEX 

position. The Trading Official will not 

disseminate a FLEX Request for Quote 

for any order representing a FLEX series 

having the same terms as a Non-FLEX 

series, unless such FLEX order is a 

closing order (and it is the day the NonFLEX series has been added). In 

addition, if the Trading Official were to 

disseminate a FLEX Request for Quotes 

for a closing order representing a FLEX 

series having the same terms as a NonFLEX series, the Trading Official would 

only accept response quotes and orders 

from Amex Trading Permit (‘‘ATP’’) 

Holders that were closing out an 

existing FLEX position. 

The NYSE Regulatory Department 

reviews FLEX trading activity, and, in 

the event a non-FLEX series with the 

same terms as an expiration Friday 

FLEX option is listed intra-day, will 

review any subsequent FLEX 


emcdonald on DSK2BSOYB1PROD with NOTICES
65544 Federal Register / Vol. 75, No. 205 / Monday, October 25, 2010 / Notices 

6Through a Regulatory Services Agreement 

(‘‘RSA’’) between NYSE Regulation, Inc. (‘‘NYSE 

Regulation’’) and NYSE Amex, staff of NYSE 

Regulation conducts, among other things, 

surveillances of the NYSE Amex options trading 

platform for purposes of monitoring compliance 

with the relevant trading rules by NYSE Amex 

participants. NYSE Amex represents that, through 

this RSA, there is appropriate surveillances in place 

to monitor transactions in FLEX options. 

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

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

9 15 U.S.C. 78s(b)(3)(A). 

10 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 filing of the proposed rule change, or 

such shorter time as designated by the Commission. 

The Commission notes that the Exchange has 

satisfied this requirement. 

11 17 CFR 240.19b–4(f)(6)(iii). 

12See Securities Exchange Act Release No. 62321 

(June 17, 2010), 75 FR 36130 (June 24, 2010) (SR– 

NYSEArca–2010–46). 

13For purposes only of waiving the 30-day 

operative delay, the Commission has considered the 

proposed rule’s impact on efficiency, competition, 

and capital formation. See 15 U.S.C. 78c(f). 

transactions in the series to verify that 

they are closing a position.6

2. Statutory Basis 

The Exchange believes the proposed 

rule change is consistent with Section 

6(b) 7 of the Securities Exchange Act of 

1934 (the ‘‘Act’’), in general, and furthers 

the objectives of Section 6(b)(5) 8 in 

particular in that it is designed to 

promote just and equitable principles of 

trade, to prevent fraudulent and 

manipulative acts, to remove 

impediments to and to perfect the 

mechanism for a free and open market 

and a national market system and, in 

general, to protect investors and the 

public interest, by giving ATP Holders 

and investors with additional tools to 

trade customized options in an 

exchange environment while allowing 

the holder of a FLEX position to trade 

in such a manner as to mitigate 

inadvertent assignment risk. 

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 does not (i) 

Significantly affect the protection of 

investors or the public interest; (ii) 

impose any significant burden on 

competition; and (iii) become operative 

for 30 days from the date on which it 

was filed, or such shorter time as the 

Commission may designate if consistent 

with the protection of investors and the 

public interest, provided that the selfregulatory organization has given the 

Commission written notice of its intent 

to file 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 proposed rule change 

has become effective pursuant to 

Section 19(b)(3)(A) of the Act 9 and Rule 

19b–4(f)(6) thereunder.10

A proposed rule change filed under 

Rule 19b–4(f)(6) normally does not 

become operative prior to 30 days after 

the date of the filing. However, pursuant 

to Rule 19b–4(f)(6)(iii),11 the 

Commission may designate a shorter 

time if such action is consistent with the 

protection of investors and the public 

interest. The Exchange has asked the 

Commission to waive the 30-day 

operative delay so that the proposal may 

become operative immediately upon 

filing. 

The Commission notes that the 

proposed rule change is substantially 

similar to a proposed rule change 

previously submitted by NYSE Arca 

which was published for notice and 

comment in the Federal Register.12 The 

Commission notes that it did not receive 

any comments on the NYSE Arca 

proposal, and does not believe the 

Exchange’s proposal raises any new or 

novel issues. Further, as noted above, 

because of the inadvertent assignment 

risk, market participants could not trade 

previously approved American style 

FLEX Options expiring on Expiration 

Friday. The proposal seeks to mitigate 

such assignment risks by limiting 

certain FLEX transactions to closing 

only, thereby allowing the trading of 

previously approved FLEX Options. For 

these reasons, the Commission believes 

that waiver of the 30-day operative 

delay is consistent with the protection 

of investors and the public interest and 

therefore, designates the proposed rule 

change operative upon filing.13

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–NYSEAmex–2010–52 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–NYSEAmex–2010–52. 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 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 No. SR– 

NYSEAmex–2010–52 and should be 

submitted on or before November 15, 

2010. 


emcdonald on DSK2BSOYB1PROD with NOTICES
Federal Register / Vol. 75, No. 205 / Monday, October 25, 2010 / Notices 65545 

14 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Exchange Act Release No. 63104 (October 

14, 2010) approving SR–ISE–2010–91. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.14

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. 2010–26826 Filed 10–22–10; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–63133; File No. SR– 

NYSEArca–2010–93] 

Self-Regulatory Organizations; Notice 

of Filing and Immediate Effectiveness 

of Proposed Rule Change by NYSE 

Arca, Inc. To Establish a Pilot Program 

To List Series With Additional 

Expiration Months for Each Class of 

Options Opened for Trading on the 

Exchange 

October 19, 2010. 

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 October 

18, 2010, NYSE Arca, Inc. (‘‘NYSE Arca’’ 

or the ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(‘‘SEC’’ or ‘‘Commission’’) the proposed 

rule change as described in Items I and 

II 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. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to adopt 

Commentary .09 to NYSE Arca Options 

Rule 6.4 to establish a Pilot Program to 

list additional expiration months for 

each class of options opened for trading 

on the Exchange. The text of the 

proposed rule change is available at the 

Exchange, on the Commission’s Web 

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

Commission’s Public Reference Room, 

and http://www.nyse.com. 

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 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to adopt a 

Pilot Program to list additional 

expiration months for each class of 

options opened for trading on the 

Exchange, similar to a Pilot Program 

recently approved for use by the 

International Securities Exchange, Inc. 

(‘‘ISE’’),3 by adding proposed 

Commentary .09 to NYSE Arca Options 

Rule 6.4, Series of Options Open for 

Trading. 

Pursuant to NYSE Arca Rule 6.4(a), 

the Exchange currently opens four 

expiration months for each class of 

options open for trading on the 

Exchange, the first two being the two 

nearest months, regardless of the 

quarterly cycle on which that class 

trades; the third and fourth being the 

next two months of the quarterly cycle 

previously designated for that specific 

class. For example, if the Exchange 

listed in late May a new equity option 

on a January-April-July-October 

quarterly cycle, the Exchange would list 

the two nearest term months (June and 

July) and the next two months of the 

cycle (October and January). When the 

June series expires, the Exchange would 

add the August series as the next nearest 

month. And when the July series 

expires, the Exchange would add the 

September series. 

The Exchange believes that there is 

market demand for a greater number of 

expiration months. The Exchange 

therefore proposes to adopt a Pilot 

Program pursuant to which it will list 

up to an additional two expiration 

months, for a total of six expiration 

months for each class of options open 

for trading on the Exchange. The 

proposal will become effective on a 

pilot basis for a period of twelve months 

to commence on the next full month 

after approval is received to establish 

the pilot program. Under the proposal, 

the additional months listed pursuant to 

the pilot program will result in four 

consecutive expiration months plus two 

months from the quarterly cycle. For 

example, for option classes in the 

January cycle that have expiration 

months of June, July, October, and 

January, the Exchange would 

additionally list the August and 

September series. For options classes in 

the February quarterly cycle that have 

expiration months of October, 

November, February, and May, the 

Exchange would additionally list the 

December and January series. Under the 

proposal, no additional LEAP Series 

will be created. 

The Exchange seeks to limit the 

proposed rule change to 20 actively 

traded options classes. By limiting the 

pilot to a small number of classes, the 

Exchange will be able to gauge interest 

in the pilot while limiting any 

additional demands on system 

resources. It has been estimated that this 

pilot could add up to six or seven 

percent to current quote traffic, although 

changes in market maker quoting 

behavior may reduce that increase by up 

to half. The Exchange believes that a 

limited pilot is a prudent step to 

determine actual market demand for 

additional expiration months. 

If the Exchange were to propose an 

extension or an expansion of the pilot 

program, or should the Exchange 

propose to make the pilot program 

permanent, NYSE Arca will submit, 

along with any filing proposing such 

amendments to the pilot program, a 

pilot program report (‘‘Report’’) that will 

provide an analysis of the Pilot Program 

covering the first nine months of the 

pilot program and shall submit the 

Report to the Commission at least sixty 

(60) days prior to the expiration date of 

the pilot program. The Report will 

include, at a minimum: (1) Data and 

written analysis on the open interest 

and trading volume in the classes for 

which additional expiration months 

were opened; (2) an assessment of the 

appropriateness of the options classes 

selected for the pilot program; (3) an 

assessment of the impact of the pilot 

program on the capacity on NYSE Arca, 

OPRA, and on market data vendors (to 

the extent data from market data 

vendors is available); (4) any capacity 

problems or other problems that arose 

during the operation of the pilot 

program and how NYSE Arca addressed 

such problems; (5) any complaints that 

NYSE Arca received during the 

operation of the pilot program and how 

NYSE Arca addressed them; and (6) any 

additional information that would assist 

the Commission in assessing the 

operation of the Pilot Program. 

Finally, the Exchange represents that 

it has the necessary systems capacity to 

support new options series that will 

result from the introduction of 

additional expiration months listed 

pursuant to this proposed rule change. 


emcdonald on DSK2BSOYB1PROD with NOTICES