28738 Federal Register / Vol. 74, No. 115 / Wednesday, June 17, 2009 / Notices 

5 15 U.S.C. 78s(b)(3)(A). 

6 17 CFR 240.19b–4(f)(2). 

7 17 CFR 200.30–3(a)(12). 

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

2 15 U.S.C. 78s(b)(3)(A)(i). 

3 17 CFR 240.19b–4(f)(1). 

calendar put spread, or vice versa. This 

option strategy aims to profit from a 

time value spread through the purchase 

and sale of two call and two put 

options, each with different expiration 

dates. A Jelly Roll is created by entering 

into two separate positions 

simultaneously. One position involves 

buying a put and selling a call with the 

same strike price and expiration. The 

second position involves selling a put 

and buying a call, with the same strike 

price, but a different expiration from the 

first position. Below is an example of a 

Jelly Roll strategy execution. 

XYZ Jun/Oct 25 Jelly Roll: 

—Buy XYZ Jun 25 put and sell XYZ 

Jun 25 call 

—Sell XYZ Oct 25 put and buy XYZ 

Oct 25 call 

Market BBO: 

Jun 25 call .51 at .53 

Jun 25 put .72 at .74 

Oct 25 call 1.52 at 1.55 

Oct 25 put 2.35 at 2.39 

.74(long Jun put) + 1.52 (long Oct call) 

¥.51 (short Jun call) ¥2.35 (short Oct 

put) = .60 credit received for the Jelly 

roll. 

Because the referenced Jelly Rolls are 

commonly executed in large volumes 

with profit margins that are generally 

narrow, the Exchange proposes to cap 

the transaction fees associated with 

such executions at $750 per strategy 

execution on the same trading day in 

the same option class. In addition, Jelly 

Rolls will be included in the monthly 

cap of $25,000 per initiating firm for all 

strategy executions. NYSE Amex 

believes that by keeping fees low, the 

Exchange is able to attract liquidity by 

accommodating these transactions. 

2. Statutory Basis 

The Exchange believes that the 

proposal is consistent with Section 6(b) 

of the Act, in general, and Section 

6(b)(4), in particular, in that it provides 

for the equitable allocation of dues, fees 

and other charges among its members 

and other market participants that use 

the trading facilities of NYSE Amex 

Options. Under this proposal, all 

similarly situated Exchange participants 

will be charged the same reasonable 

dues, fees and other charges. 

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 

The foregoing rule change is effective 

upon filing pursuant to Section 

19(b)(3)(A) 5 of the Act and 

subparagraph (f)(2) of Rule 19b–4 6

thereunder, because it establishes a due, 

fee, or other charge imposed by NYSE 

Amex. 

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, 

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–2009–22 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–2009–22. 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 inspection and copying 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 will also be available 

for inspection and copying at the 

principal office of the self-regulatory 

organization. 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– 

NYSEAmex-2009–22 and should be 

submitted on or before July 8, 2009. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.7

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E9–14145 Filed 6–16–09; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–60063; File No. SR–OCC– 

2009–10] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Filing and Immediate Effectiveness 

of a Proposed Rule Change Relating to 

the Cross-Margining Agreement 

Between OCC and CME 

June 8, 2009. 

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

Securities Exchange Act of 1934,1 notice 

is hereby given that on May 22, 2009, 

The Options Clearing Corporation 

(‘‘OCC’’) filed with the Securities and 

Exchange Commission the proposed 

rule change as described in Items I, II, 

and III below, which Items have been 

prepared primarily by OCC. OCC filed 

the proposed rule change pursuant to 

Section 19(b)(3)(A)(i) of the Act 2 and 

Rule 19b–4(f)(1) thereunder 3 so that the 

proposal was effective upon filing with 

the Commission. The Commission is 

publishing this notice to solicit 


dwashington3 on PROD1PC60 with NOTICES
Federal Register / Vol. 74, No. 115 / Wednesday, June 17, 2009 / Notices 28739 

4Securities Exchange Act Release No. 57118 (Jan. 

9, 2008), 73 FR 2970 (Jan. 16, 2008) [File No. SR– 

OCC–2007–19]. 

5Amendment No. 2 to the XM Agreement is 

attached as Exhibit 5A to OCC’s filing with the 

Commission. 

6 15 U.S.C. 78q-1. 

7 15 U.S.C. 78a(b)(3)(A)(i). 

8 17 CFR 240.19b–4(f)(1). 

9 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

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 proposed rule change will change 

the definition of the term ‘‘Eligible 

Contracts’’ as used in the crossmargining agreement (‘‘XM Agreement’’) 

between OCC and the Chicago 

Mercantile Exchange Inc. (‘‘CME’’) and 

delete Exhibit A to the Agreement. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, 

OCC 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. OCC 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 

Pursuant to an OCC rule change 

approved by the Commission in 2008, 

OCC no longer must notify the 

Commission when OCC wishes to add 

new options classes to a cross-margining 

program.4 With this requirement no 

longer in effect, OCC and CME have 

executed Amendment No. 2 to the XM 

Agreement to accomplish two purposes. 

First, the term ‘‘Eligible Contracts’’ as 

used in the XM Agreement will be 

redefined. Second, Exhibit A of the XM 

Agreement, which contains the list of 

Eligible Contracts included in the XM 

Agreement, will be deleted in its 

entirety.5

OCC states that it believes that the 

proposed change is consistent with 

Section 17A of the Act 6 because it 

conforms the terms of the XM 

Agreement to the prior determination of 

the Commission that notice of the 

addition of new contracts to crossmargining programs was no longer 

needed or required. OCC further states 

that the proposed rule change is not 

inconsistent with the existing rules of 

OCC including any other rules proposed 

to be amended. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

OCC does not believe that the 

proposed rule change would impose any 

burden on competition. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants or Others 

OCC has not solicited or received 

written comments with respect to the 

proposed rule change. OCC will notify 

the Commission of any written 

comments it receives. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective pursuant to Section 

19(b)(3)(A)(i) of the Act 7 and Rule 19b– 

4(f)(1) 8 thereunder because the 

proposed rule change constitutes a 

stated policy, practice, or interpretation 

with respect to the meaning, 

administration, or enforcement of an 

existing rule. At any time within 60 

days of the filing of the proposed rule 

change, the Commission may summarily 

abrogated 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 rulecomment@sec.gov. Please include File 

No. SR–OCC–2009–10 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 No. 

SR–OCC–2009–10. 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 inspection and copying 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. to 3 p.m. 

Copies of such filing also will be 

available for inspection and copying at 

OCC’s principal office and on OCC’s 

Web site at http://www.theocc.com/ 

publications/rules/proposed_changes/

proposed_changes.jsp. 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–OCC–2009– 

10 and should be submitted on or before 

July 8, 2009. 

For the Commission by the Division of 

Trading and Markets, pursuant to delegated 

authority.9

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E9–14143 Filed 6–16–09; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–60083; File No. SR–CHX– 

2009–02] 

Self-Regulatory Organizations; 

Chicago Stock Exchange, Inc.; Notice 

of Filing of Proposed Rule Change 

Relating to the Rejection of 

Undisplayed Odd-Lot Orders From the 

Exchange’s Matching System 

June 10, 2009. 

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

Securities Exchange Act of 1934 

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


dwashington3 on PROD1PC60 with NOTICES