66402 Federal Register / Vol. 75, No. 208 / Thursday, October 28, 2010 / Notices 

4The OLPP defines an ‘‘Eligible Exchange’’ as a 

national securities exchange registered with the 

Commission pursuant to Section 6(a) of the 

Exchange Act, 15 U.S.C. 78f(a), that (1) has effective 

rules for the trading of options contracts issued and 

cleared by the OCC approved in accordance with 

the provisions of the Exchange Act and the rules 

and regulations thereunder and (2) is a party to the 

Plan for Reporting Consolidated Options Last Sale 

Reports and Quotation Information (the ‘‘OPRA 

Plan’’). C2 has represented that it has met both the 

requirements for being considered an Eligible 

Exchange. 

5 17 CFR 242.608(b)(3)(iii). 

6 17 CFR 242.608(b)(1). 

7 17 CFR 200.30–3(a)(29). 

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

2 17 CFR 240.19b–4. 

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

4 17 CFR 240.19b–4(f)(6). 

add C2 as a Sponsor of the OLPP. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Description and Purpose of the 

Amendment 

The current Sponsors of the OLPP are 

BATS, BOX, CBOE, ISE, NYSE Amex, 

NYSE Arca, OCC, Phlx and Nasdaq. The 

proposed amendment to the OLPP 

would add C2 as a Sponsor of the OLPP. 

A national securities exchange may 

become a Sponsor if it satisfies the 

requirement of Section 7 of the OLPP. 

Specifically an Eligible Exchange 4 may 

become a Sponsor of the OLPP by: (i) 

Executing a copy of the OLPP, as then 

in effect; (ii) providing each current 

Plan Sponsor with a copy of such 

executed Plan; and (iii) effecting an 

amendment to the OLPP, as specified in 

Section 7(ii) of the OLPP. 

Section 7(ii) of the OLPP sets forth the 

process by which an Eligible Exchange 

may effect an amendment to the OLPP. 

Specifically, an Eligible Exchange must: 

(a) Execute a copy of the OLPP with the 

only change being the addition of the 

new sponsor’s name in Section 8 of the 

OLPP; and (b) submit the executed 

OLPP to the Commission. The OLPP 

then provides that such an amendment 

will be effective at the later of either the 

amendment being approved by the 

Commission or otherwise becoming 

effective pursuant to Section 11A of the 

Act. C2 has submitted a signed copy of 

the OLPP to the Commission in 

accordance with the procedures set 

forth in the OLPP regarding new Plan 

Sponsors. 

II. Effectiveness of the Proposed 

Linkage Plan Amendment 

The foregoing proposed OLPP 

amendment has become effective 

pursuant to Rule 608(c)(3)(iii) 5 because 

it involves solely technical or 

ministerial matters. At any time within 

sixty days of the filing of this 

amendment, the Commission may 

summarily abrogate the amendment and 

require that it be refiled pursuant to 

paragraphs (b)(1) of Rule 608,6 if it 

appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors or the maintenance of fair and 

orderly markets, to remove impediments 

to, and perfect the mechanisms of, a 

national market system or otherwise in 

furtherance of the purposes of the Act. 

III. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed 

amendment 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 4–443 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 4–443. 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 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 

C2’s principal office. 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. 4–443 and 

should be submitted on or before 

November 18, 2010. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.7

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. 2010–27241 Filed 10–27–10; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–63155; File No. SR–CBOE– 

2010–096] 

Self-Regulatory Organizations; 

Chicago Board Options Exchange, 

Incorporated; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Expand the Range of 

Strike Price Intervals for VIX Options 

October 21, 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 

19, 2010, the Chicago Board Options 

Exchange, Incorporated (‘‘CBOE’’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 Exchange filed the 

proposal as a ‘‘non-controversial’’ 

proposed rule change pursuant to 

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

Rule 19b–4(f)(6) thereunder.4 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 

CBOE proposes to amend Rule 

24.9.01(e), Terms of Index Option 

Contracts, to expand the range of strike 

price intervals for options on the CBOE 

Volatility Index (‘‘VIX’’). 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. 

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 


emcdonald on DSK2BSOYB1PROD with NOTICES
Federal Register / Vol. 75, No. 208 / Thursday, October 28, 2010 / Notices 66403 

5See Securities Exchange Act Release Nos. 61696 

(March 12, 2010), 75 FR 13174 (March 18, 2010) 

(SR–CBOE–2010–005) (order approving $1 strikes 

for options on index-linked securities) and No. 

54192 (July 21, 2006), 71 FR 43251 (July 31, 2006) 

(SR–CBOE–2006–27) (order approving $1 strikes for 

VIX options). 

6See Pricing Supplement to the Barclay’s iPath 

Prospectus, dated August 31, 2010, at PS–1, which 

is available at: http://ipathetn.com/pdf/vixprospectus.pdf. 

7See Rule 24.9.01(k). 

8See Rule 5.5.06. 

9See Rule 24.9.11. 

10See Rule 5.5.06. 

11 15 U.S.C. 78f(b). 

12 15 U.S.C. 78f(b)(5). 

13 15 U.S.C. 78s(b)(3)(A). 

14 17 CFR 240.19b–4(f)(6). In addition, Rule 19b4(f)(6)(iii) requires the Exchange to give the 

Commission written notice of the Exchange’s intent 

to file the proposed rule change, along with a brief 

description and text of the proposed rule change, 

Continued 

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 purpose of this rule filing is to 

amend Rule 24.9.01(e), Terms of Index 

Option Contracts, to expand the range of 

strike price intervals for options on the 

CBOE Volatility Index (‘‘VIX’’). 

Currently, Rule 24.9.01(e) permits the 

Exchange to list series at $1 or greater 

strike price intervals for each VIX 

expiration. Dollar strikes for VIX 

options, however, are centered around a 

limited range based on VIX futures 

prices. Specifically, the Exchange may 

open up to five option series above and 

five option series below the current 

index level, which is based on VIX 

futures prices. As the current index 

level moves, the Exchange may open 

additional series within the same range 

(i.e., five above/below). This filing 

proposes to eliminate the band that 

limits the number of $1 strikes that may 

be listed in VIX options. 

In support of this modification, the 

Commission has already addressed the 

policy issue raised by this filing, i.e., 

broader range of $1 strikes for vehicles 

to trade S&P 500 volatility, and the 

Commission has already approved $1 

strikes for VIX options.5 The Exchange 

notes since the strike setting parameters 

for VIX options were first established, 

other products have been introduced 

that compete with VIX options, but do 

not have similar strike adding 

restrictions. For example, $1 or greater 

strike price intervals (where the strike 

price is less then $200) are permitted for 

options on the iPath S&P 500 VIX ShortTerm Futures Index ETN (‘‘VXX’’) and 

on the iPath S&P 500 VIX Mid-Term 

Futures Index ETN (‘‘VXZ’’). 

VXX and VXZ are exchange traded 

notes that ‘‘are linked to the 

performance of an underlying index that 

is designed to provide investors with 

exposure to one or more maturities of 

futures contracts on the VIX Index, 

which reflect implied volatility of the 

S&P 500 Index at various points along 

the volatility forward curve.’’ 6 The 

futures contracts on the VIX level that 

the VXX and VXZ notes are linked to 

are listed for trading on the CBOE 

Futures Exchange, LLC (‘‘CFE’’). VIX 

options traded on CBOE overlie the 

same index on which CFE lists futures 

contracts. As a result, options on VIX, 

VXX and VXZ are competing listed 

vehicles to trade volatility and market 

participants may use the products 

interchangeably. In addition, CFE 

launched Weekly Options on VIX 

futures on September 28, 2010, and 

$0.50 or greater strike price intervals are 

permitted. 

CBOE notes that the Commission has 

previously permitted similar $1 strike 

setting regimes for other index options 

that compete with physically-settled 

options. Specifically, $1 strikes are 

permitted for options on the MiniRussell 2000 Index (‘‘RMN’’) 7 and for 

options on the iShares Russell 2000 

Index Fund (‘‘IWM’’).8 Similarly, $1 

strikes are permitted for options on the 

Mini S&P 500 Index (‘‘Mini SPX’’) 9 and 

for options on the Standard and Poor’s 

Depositary Receipts Trust (‘‘SPY’’).10

In addition, the Exchange states that 

it has received requests to add strikes so 

that market participants may be able to 

‘‘roll’’ expiring positions; that is, trade 

out of an expiring VIX option with a 

certain strike and re-establish a new 

position in the next month’s VIX option 

with the same strike. Because the strike 

setting regime for volatility index 

options is tied to futures prices, certain 

strikes may not be available for listing, 

thus creating the situation in which 

rolling cannot be accomplished. 

In order to be able to compete 

effectively and provide market 

participants with products that can be 

used to hedge other products already 

trading in the market, CBOE believes 

that untying the addition of $1 or greater 

strikes to the ‘‘current index level’’ will 

provide investors with greater flexibility 

by allowing them to establish positions 

that are better tailored to meet their 

investment objectives. 

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 expanded range of 

strike price intervals for VIX options. 

2. Statutory Basis 

Because the current proposed is 

limited to VIX options for which $1 

strikes are already permitted and 

because the series could be added 

without presenting capacity problems, 

the Exchange believes the rule proposal 

is consistent with the Securities 

Exchange Act of 1934 (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.11 Specifically, the Exchange 

believes that the proposed rule change 

is consistent with the Section 6(b)(5) 

Act 12 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 

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 proposed 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, the 

proposed rule change has become 

effective pursuant to Section 19(b)(3)(A) 

of the Act 13 and Rule 19b–4(f)(6) 

thereunder.14 At any time within 60 


emcdonald on DSK2BSOYB1PROD with NOTICES
66404 Federal Register / Vol. 75, No. 208 / Thursday, October 28, 2010 / Notices 

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. 

15 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

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

4 17 CFR 240.19b–4(f)(6). 

5See Exchange Act Release No. 61152 (Dec. 10, 

2009), 74 FR 66699 (Dec. 16, 2009). 

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–CBOE–2010–096 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–2010–096. 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– 

2010–096 and should be submitted on 

or before November 18, 2010. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.15

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. 2010–27232 Filed 10–27–10; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–63164; File No. SR–C2– 

2010–005] 

Self-Regulatory Organizations; C2 

Options Exchange, Incorporated; 

Notice of Filing and Immediate 

Effectiveness of Proposed Rule 

Change To Modify Rule 6.12 

October 22, 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 October 

14, 2010, C2 Options Exchange, 

Incorporated (‘‘Exchange’’ or ‘‘C2’’) 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. The 

Exchange filed the proposal as a ‘‘noncontroversial’’ proposed rule change 

pursuant to Section 19(b)(3)(A)(iii) of 

the Act 3 and Rule 19b–4(f)(6) 

thereunder.4 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 modify the 

wording of Rule 6.12 relating to the C2 

matching algorithm. The text of the 

proposed rule change is available on the 

Exchange’s Web site (http:// 

www.cboe.org/Legal), at the Exchange’s 

Office of the Secretary, at the 

Commission’s Public Reference Room, 

and on the Commission’s Web site at 

http://www.sec.gov. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, C2 

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 

In 2009, C2 was registered as a 

national securities exchange under 

Section 6 of the Exchange Act.5 C2 has 

yet to commence trading options, 

however a launch is anticipated in 

October 2010. The central purpose of 

this filing is to streamline Rule 6.12 

relating to order execution and priority. 

Currently Rule 6.12 allows C2 to select 

a base matching algorithm and 

subsequently overlay certain priorities 

over the selected base algorithm. There 

are currently two base algorithms: pricetime (often referred to as first in, first 

out or FIFO) in which trading interest at 

a given price point is ranked based on 

time priority, and pro-rata in which 

trading interest at a given price point is 

ranked based on the size of each order/ 

quote at that price. The priority overlays 

allowed under Rule 6.12 are public 

customer priority (priority to nonbroker-dealer orders), trade 

participation right priority (priority, up 

to a designated percentage, for 

qualifying Preferred Market-Makers), 

and market turner priority (priority, up 

to a designated percentage, for 

participants that are first to improve the 

market price on C2). 

C2 seeks to simplify Rule 6.12 to 

allow for 3 choices of matching 

algorithms: price-time, pro-rata, and 

price-time with first priority going to 

public customers and second priority 

pursuant to the trade participation right. 

The first two of these options are 

unchanged. C2 believes that adding the 

third, which is achievable under 

existing C2 Rule 6.12 and which is the 

intended algorithm of choice for the C2 

launch, makes C2 matching rules clearer 

for C2 users. Thus, the filing is not in 


emcdonald on DSK2BSOYB1PROD with NOTICES