Federal Register / Vol. 74, No. 124 / Tuesday, June 30, 2009 / Notices 31333 

8The amount of assets under management in 

individual money market funds ranges from 

approximately $300,000 to approximately $162 

billion. 

9For purpose of this PRA submission, 

Commission staff used the following categories for 

fund sizes: (i) Small—money market funds with $50 

million or less in assets under management, (ii) 

medium—money market funds with more than $50 

million up to and including $1 billion in assets 

under management; and (iii) large—money market 

funds with more than $1 billion in assets under 

management. 

10The staff estimated the annual cost of 

preserving the required books and records by 

identifying the annual costs incurred by several 

funds and then relating this total cost to the average 

net assets of these funds during the year. With a 

total of $1 billion under management in small 

funds, $126.8 billion under management in medium 

funds and $3.7 trillion under management in large 

funds, the costs of preservation were estimated as 

follows: ((0.0051295 × $1 billion) + (0.0005041 × 

$126.8 billion) + (0.0000009 × $3.7 trillion) = 

$72.38 million. 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 59601 

(March 19, 2009), 74 FR 13281. 

4See Securities Exchange Act Release No. 54123 

(July 11, 2006), 71 FR 40558, (July 17, 2006) (SR– 

CBOE–2006–65). The QOS Program has since been 

extended and is currently scheduled to expire on 

July 10, 2009. See Securities Exchange Act Release 

Nos. 56035 (July 10, 2007), 72 FR 38851, (July 16, 

2007) (SR–CBOE–2007–70) (immediately effective 

rule change extending the QOS Program through 

July 10, 2008) and 58018 (June 25, 2008), 73 FR 

38010 (July 2, 2008) (SR–CBOE–2008–62) 

(immediately effective rule change extending the 

QOS Program through July 10, 2009). 

estimates are not derived from a 

comprehensive or even a representative 

survey or study of Commission rules. 

In addition to the burden hours, 

Commission staff estimates that money 

market funds will incur costs to 

preserve records required under rule 

2a–7. These costs will vary significantly 

for individual funds, depending on the 

amount of assets under fund 

management and whether the fund 

preserves its records in a storage facility 

in hard copy or has developed and 

maintains a computer system to create 

and preserve compliance records.8

Commission staff estimates that the 

amount an individual fund may spend 

ranges from $100 per year to $300,000. 

Based on a cost of $0.0051295 per dollar 

of assets under management for small 

funds, $0.0005041 per dollar assets 

under management for medium funds, 

and $0.0000009 per dollar of assets 

under management for large funds,9 the 

staff estimates compliance with rule 2a– 

7 costs the fund industry approximately 

$72.4 million per year.10 Based on 

responses from individuals in the 

money market fund industry, the staff 

estimates that some of the largest fund 

complexes have created computer 

programs for maintaining and 

preserving compliance records for rule 

2a–7. Based on a cost of $0.0000132 per 

dollar of assets under management for 

large funds, the staff estimates that total 

annualized capital/startup costs range 

from $0 for small funds to $48.8 million 

for all large funds. Commission staff 

further estimates that, even absent the 

requirements of rule 2a–7, money 

market funds would spend at least half 

of the amount for capital costs ($24.4 

million) and for record preservation 

($36.2 million) to establish and 

maintain these records and the systems 

for preserving them as a part of sound 

business practices to ensure 

diversification and minimal credit risk 

in a portfolio for a fund that seeks to 

maintain a stable price per share. 

The collections of information 

required by rule 2a–7 are necessary to 

obtain the benefits described above. 

Notices to the Commission will not be 

kept confidential. An agency may not 

conduct or sponsor, and a person is not 

required to respond to, a collection of 

information unless it displays a 

currently valid control number. 

The Commission requests written 

comments are requested on: (a) Whether 

the collections of information are 

necessary for the proper performance of 

the functions of the Commission, 

including whether the information has 

practical utility; (b) the accuracy of the 

Commission’s estimate of the burdens of 

the collection of information; (c) ways to 

enhance the quality, utility and clarity 

of the information collected; and (d) 

ways to minimize the burden of the 

collection of information on 

respondents, including through the use 

of automated collection techniques or 

other forms of information technology. 

Consideration will be given to 

comments and suggestions submitted in 

writing within 60 days of this 

publication. 

Please direct your written comments 

to Charles Boucher, Director/CIO, 

Securities and Exchange Commission, 

C/O Shirley Martinson, 6432 General 

Green Way, Alexandria, VA 22312; or 

send an e-mail to: 

PRA_Mailbox@sec.gov. 

Dated: June 24, 2009. 

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E9–15399 Filed 6–29–09; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–60164; File No. SR–CBOE– 

2009–029] 

Self-Regulatory Organizations; 

Chicago Board Options Exchange, 

Incorporated; Order Approving a 

Proposed Rule Change To 

Permanently Establish the Quarterly 

Option Series Program 

June 23, 2009. 

On May 7, 2009, the Chicago Board 

Options Exchange, Incorporated 

(‘‘Exchange’’ or ‘‘CBOE’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’), pursuant to Section 

19(b)(1) of the Securities Exchange Act 

of 1934 (‘‘Act’’),1 and Rule 19b–4 

thereunder,2 a proposed rule change to 

permanently establish its Quarterly 

Option Series pilot program (the ‘‘QOS 

Program’’). The proposed rule change 

was published for comment in the 

Federal Register on May 21, 2009.3 The 

Commission received no comment 

letters on the proposed rule change. 

This order approves the proposed rule 

change. 

The Exchange established the QOS 

Program on a pilot basis on July 7, 

2006.4 The QOS Program allows CBOE 

to list and trade Quarterly Option 

Series, which expire at the close of 

business on the last business day of a 

calendar quarter. Under the QOS 

Program, CBOE may select up to five (5) 

currently listed exchange traded fund 

(‘‘ETF’’) or index option classes on 

which Quarterly Option Series may be 

opened. The Exchange has selected the 

following five ETF option classes to 

participate in the QOS Program: 

DIAMONDS Trust (DIA) options; 

Standard and Poor’s Depositary 

Receipts/SPDRs (SPY) options; iShares 

Russell 2000 Index Fund (IWM) options; 

PowerShares QQQ Trust (QQQQ) 

options; and Energy Select SPDR (XLE) 

options. In addition, CBOE may also list 

Quarterly Option Series on any options 

classes that are selected by other 

securities exchanges that employ a 

similar pilot program under their 

respective rules. 

The Exchange may list series that 

expire at the end of the next consecutive 

four (4) calendar quarters, as well as the 

fourth quarter of the following calendar 

year. For example, if the Exchange is 

trading Quarterly Options Series in the 

month of May 2009, it may list series 

that expire at the end of the second, 

third, and fourth quarters of 2009, as 

well as the first and fourth quarters of 

2010. Following the second quarter 

2009 expiration, the Exchange could 

add series that expire at the end of the 

second quarter of 2010. 

For each class of ETF options selected 

for the QOS Program, the Exchange may 

list strike prices within $5 from the 


sroberts on PROD1PC70 with NOTICES6
31334 Federal Register / Vol. 74, No. 124 / Tuesday, June 30, 2009 / Notices 

5 ‘‘Demonstrated customer interest’’ includes 

interest expressed by institutional, corporate or 

individual customers or their brokers. MarketMakers trading for their own account may not be 

considered when determining customer interest 

under this provision. 

6See Securities Exchange Act Release No. 57410 

(March 3, 2008), 73 FR 12483 (March 7, 2008) (SR– 

CBOE–2007–96). 

7See Securities Exchange Act Release No. 54123, 

supra note 4. 

8The Report was submitted under separate cover 

and seeks confidential treatment under the Freedom 

of Information Act. 

9 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). 

10 15 U.S.C. 78f(b)(5). 

11 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3 17 CFR 240.19b–4(f)(6). 

previous day’s closing price of the 

underlying security at the time of initial 

listing. Subsequently, the Exchange may 

list up to 60 additional strike prices that 

are within thirty percent (30%) of the 

previous day’s close, or more than 30% 

away from the previous day’s close 

provided demonstrated customer 

interest exists for such series.5

The Exchange has also adopted a 

delisting policy with respect to QOS in 

ETF options.6 On a monthly basis, the 

Exchange reviews series that are outside 

a range of five (5) strikes above and five 

(5) strikes below the current price of the 

underlying ETF, and delists series with 

no open interest in both the put and the 

call series having either: (i) A strike 

price higher than the highest strike price 

with open interest in the put and/or call 

series for a given expiration month; or 

(ii) a strike price lower than the lowest 

strike price with open interest in the put 

and/or call series for a given expiration 

month. Notwithstanding the foregoing, 

the delisting policy also provides that 

customer requests to add strikes and/or 

maintain strikes in QOS in ETF options 

in series eligible for delisting shall be 

granted by the Exchange. 

The Exchange also may list Quarterly 

Option Series based on an underlying 

index pursuant to similar provisions in 

Rule 24.9. There are two noteworthy 

distinctions between the rules for listing 

QOS based on an ETF versus QOS based 

on an index. First, whereas the initial 

listing of QOS based on an underlying 

ETF is restricted to strike prices within 

$5 from the previous day’s closing price 

of the underlying security, the initial 

listing of strikes for QOS based on an 

underlying index is restricted to: (i) A 

price that is within thirty percent (30%) 

of the previous day’s close, and (ii) no 

more than five strikes above and five 

strikes below the value of the 

underlying index. Second, whereas the 

Exchange may list up to 60 additional 

strike prices for each QOS based on an 

ETF, there is no firm cap on the 

additional listing of strikes for QOS 

based on an underlying index; rather, 

additional strike prices may be listed 

provided the new listings do not result 

in more than five strike prices on the 

same side of the underlying index value 

as the new listings. To date, the 

Exchange has not listed any Quarterly 

Option Series based on an underlying 

index. 

In support of its proposal to 

permanently establish the QOS 

Program, and as required by the terms 

of the Pilot Program,7 the Exchange 

submitted to the Commission a report 

detailing the Exchange’s experience 

with the QOS Program (the ‘‘Report’’).8

In addition to the Report, the Exchange 

represented that it has not experienced 

any capacity-related problems with 

respect to Quarterly Option Series, and 

that it has the necessary systems 

capacity to continue to support the 

option series listed under the QOS 

Program. Finally, the Exchange stated 

its belief that there is sufficient investor 

interest in, and demand for, the QOS 

Program to warrant its permanent 

approval. 

After careful review, the Commission 

finds that the proposal is consistent 

with the Act and the rules and 

regulations thereunder applicable to a 

national securities exchange,9 and, in 

particular, the requirements of Section 

6(b)(5) of the Act,10 which requires, 

among other things, that the rules of a 

national securities exchange be 

designed 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. 

The Commission finds that the QOS 

Program, as evidenced by the Report, 

has furthered the public interest by 

offering investors an alternative means 

of managing their risk exposures and 

carrying out their investment objectives. 

The Commission notes CBOE’s 

representation that there is sufficient 

investor interest in the QOS Program to 

warrant its permanent approval. The 

Commission further notes CBOE’s 

representations that it has not 

experienced any capacity-related 

problems with respect to Quarterly 

Option Series, and that the Exchange 

has the necessary system capacity to 

continue to support the option series 

listed under the QOS Program. 

Accordingly, the Commission finds that 

the proposed QOS Program strikes a 

reasonable balance between the 

Exchange’s desire to offer a wider array 

of investment opportunities and the 

need to avoid the unnecessary 

proliferation of option series that could 

compromise systems capacity. The 

Commission expects CBOE to continue 

to monitor the trading and quotation 

volume associated with the QOS 

Program, and the effect the QOS 

Program has on the capacity of the 

Exchange’s, OPRA’s, and vendors’ 

systems. In addition, the Commission 

expects the Exchange, consistent with 

its QOS delisting policy, to continue to 

monitor for option series with little or 

no open interest and trading activity 

and to act promptly to delist such 

options in order to mitigate the number 

of options series with no open interest. 

It is therefore ordered, pursuant to 

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

proposed rule change (SR–CBOE–2009– 

029) be, and it hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.11

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E9–15350 Filed 6–29–09; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–60165; File No. SR–BX– 

2009–029] 

Self-Regulatory Organizations; 

NASDAQ OMX BX, Inc.; Notice of Filing 

and Immediate Effectiveness of 

Proposed Rule Change To Establish a 

Flash and Cancel Order 

June 23, 2009. 

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 June 17, 

2009, NASDAQ OMX BX, Inc. (the 

‘‘Exchange’’) 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 Exchange. The 

Exchange has designated the proposed 

rule change, as amended, as constituting 

a rule change under Rule 19b–4(f)(6) 

under the Act,3 which renders the 

proposal effective upon filing with the 

Commission. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change, 

as amended, from interested persons. 


sroberts on PROD1PC70 with NOTICES6