Federal Register / Vol. 74, No. 136 / Friday, July 17, 2009 / Notices 34809 

15 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b-4. 

3See Securities Exchange Act Release No. 54113 

(July 7, 2006); 71 FR 39694 (July 13, 2006) (SR–ISE– 

2006–24) (the ‘‘Quarterly Options Series Pilot 

Program Approval Order’’). The Quarterly Options 

Series Program has since been extended and is 

currently scheduled to expire on July 10, 2009. See 

Securities Exchange Act Release Nos. 56031 (July 9, 

2007), 72 FR 38637 (July 13, 2007) (SR–ISE–2007– 

53); 58019 (June 25, 2008), 73 FR 38014 (July 2, 

2008) (SR–ISE–2008–49). 

4See Securities Exchange Act Release No. 57425 

(March 4, 2008), 73 FR 12783 (March 10, 2008) (SR– 

ISE–2008–19). 

5 Id. 

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–BX–2009–037 and should 

be submitted on or before August 7, 

2009. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.15

Elizabeth M. Murphy, 

Secretary. 

[FR Doc. E9–17002 Filed 7–16–09; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–60275; File No. SR–ISE– 

2009–50] 

Self-Regulatory Organizations; 

International Securities Exchange, 

LLC; Notice of Filing and Immediate 

Effectiveness of Proposed Rule 

Change To Permanently Establish the 

Quarterly Options Series Pilot Program 

July 9, 2009. 

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 July 8, 

2009, the International Securities 

Exchange, LLC (the ‘‘Exchange’’ or the 

‘‘ISE’’) filed with the Securities and 

Exchange 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 Substance of 

the Proposed Rule Change 

The ISE is proposing to make 

permanent its quarterly options series 

pilot program and make minor changes 

to conform the program to that of other 

exchanges. The text of the proposed rule 

change is available on the Exchange’s 

Web site http://www.ise.com, at the 

Exchange’s Office of the Secretary, and 

at the Commission. 

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 is proposing to make 

permanent an ISE pilot program to list 

options series that would expire at the 

close of business on the last business 

day of a calendar quarter (‘‘Quarterly 

Options Series Program’’). On May 2, 

2006, the Exchange filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) SR–ISE–2006–24 to 

establish the Quarterly Options Series 

Program that was subsequently 

approved by the Commission on July 7, 

2006.3 Under the Quarterly Options 

Series Pilot Program, the Exchange is 

allowed to open up to five (5) currently 

listed options classes that are either 

index options or options on exchange 

traded funds (‘‘ETFs’’). The Exchange is 

also allowed to list Quarterly Options 

Series on any options class that is 

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 next 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. 

Quarterly Option Series in ETF Options 

If an ETF option is selected for 

participation in the Quarterly Options 

Series Program, the strike price of each 

Quarterly Option Series is fixed at a 

price per share, with at least two strike 

prices above and two strike prices below 

the approximate value of the underlying 

security at about the time the Quarterly 

Options Series is opened for trading on 

the Exchange. ISE shall list strikes 

prices for a Quarterly Option series that 

are within $5 from the closing price of 

the underlying on the preceding day. 

The Exchange may open for trading 

additional Quarterly Options Series of 

the same class when the Exchange 

deems is necessary to maintain an 

orderly market, to meet customer 

demand or when the market price of the 

underlying security moves substantially 

from the initial exercise price or prices. 

To the extent that any additional strike 

prices are listed by the Exchange, such 

additional strike prices shall be within 

thirty percent (30%) above or below the 

closing price of the underlying ETF (or 

‘‘Exchange-Traded Fund Shares’’) as 

defined in Rule 502(h) on the preceding 

day.4 The Exchange may also open 

additional strike prices of Quarterly 

Option Series in ETF options that are 

more than 30% above or below the 

current price of the underlying ETF 

provided that demonstrated customer 

interest exists for such series, as 

expressed by institutional, corporate or 

individual customers or their brokers. 

Market-Makers trading for their own 

account shall not be considered when 

determining customer interest under 

this provision. The opening of the new 

Quarterly Options Series shall not affect 

the series of options of the same class 

previously opened. In addition to the 

initial listed series, the Exchange may 

list up to sixty (60) additional series per 

expiration month for each Quarterly 

Options Series in ETF options. 

The interval between strike prices on 

Quarterly Options Series shall be the 

same as the interval for strike prices for 

series in that same options class that 

expire in accordance with the normal 

monthly expiration cycle. 

The Exchange has adopted a delisting 

policy with respect to Quarterly Options 

Series in ETF options.5 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 

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34810 Federal Register / Vol. 74, No. 136 / Friday, July 17, 2009 / Notices 

6See Securities Exchange Act Release No. 58926 

(November 10, 2008), 73 FR 69701 (November 19, 

2008) (SR–ISE–2008–82). 

a: (i) strike higher than the highest strike 

price with open interest in the put and/ 

or call series for a given expiration 

month; and (ii) strike lower than the 

lowest strike price with open interest in 

the put and/or call series for a given 

expiration month. 

Notwithstanding the delisting policy, 

customer requests to add strikes and/or 

maintain strikes in Quarterly Options 

Series in ETF options in series eligible 

for delisting shall be granted. 

Further, in connection with the 

delisting policy, if the Exchange 

identifies series for delisting, the 

Exchange shall notify other options 

exchanges with similar delisting 

policies regarding eligible series for 

listing, and shall work with such other 

exchanges to develop a uniform list of 

series to be delisted, so as to ensure 

uniform series delisting of multiply 

listed options classes. 

During the last quarter of 2008 (and 

for the new expiration month added 

after December Quarterly Option Series 

expiration), the Exchange was permitted 

to list up to one hundred (100) 

additional series per expiration month 

for each Quarterly Options Series in 

ETF options.6

Quarterly Option Series in Index 

Options 

If an index option is selected for 

participation in the Quarterly Options 

Series Program, the strike price of each 

Quarterly Option Series will be fixed at 

a price per share, with at least two, but 

no more than five, strike prices above 

and at least two, but no more than five, 

strike prices below the value of the 

underlying index at about the time that 

a Quarterly Options Series is opened for 

trading on the Exchange. The Exchange 

shall list strike prices for Quarterly 

Options Series that are reasonably 

related to the current index value of the 

underlying index to which such series 

relates at about the time such series of 

options is first opened for trading on the 

Exchange. The term ‘‘reasonably related 

to the current index value of the 

underlying index’’ means that the 

exercise price is within thirty percent 

(30%) of the current index value. 

The Exchange may open for trading 

additional Quarterly Options Series of 

the same class when the Exchange 

deems it necessary to maintain an 

orderly market, to meet customer 

demand or when the market price of the 

underlying security moves substantially 

from the initial exercise price or prices. 

The Exchange may also open for trading 

additional Quarterly Options Series that 

are more than thirty percent (30%) of 

the current index value, provided that 

demonstrated customer interest exists 

for such series, as expressed by 

institutional, corporate, or individual 

customers or their brokers. MarketMakers trading for their own account 

shall not be considered when 

determining customer interest under 

this provision. 

The Exchange may open additional 

strike prices of a Quarterly Option 

Series that are above the value of the 

underlying index provided that the total 

number of strike prices above the value 

of the underlying index is no greater 

than five. The Exchange may open 

additional strike prices of a Quarterly 

Option Series that are below the value 

of the underlying index provided that 

the total number of strike prices below 

the value of the underlying index is no 

greater than five. The opening of any 

new Quarterly Option Series shall not 

affect the series of options of the same 

class previously opened. 

By definition, Quarterly Option Series 

on an option class can never expire in 

the same week in which monthly option 

series on the same class expires. The 

same, however, is not the case with 

regards to Short Term Option Series. 

Quarterly Option Series and Short Term 

Option Series on the same options class 

may expire concurrently. However, to 

avoid any confusion in the market 

place, the Exchange will not list a Short 

Term Option Series on an options class 

whose expiration coincides with that of 

a Quarterly Option Series on the same 

options class. In other words, the 

Exchange will not list a Short Term 

Options Series on an ETF or an index 

if a Quarterly Option Series on that ETF 

or index were to expire on a Friday, the 

only day of the week during which both 

Quarterly Option Series and a P.M.- 

settled Short Term Option Series can 

potentially expire concurrently. 

There being one exception to this 

rule. The Exchange may list a P.M.- 

settled Quarterly Option Series on an 

options class concurrent with an A.M.- 

settled Short Term Options Series on 

that same options class, both of which 

may expire on a Friday. In other words, 

the Exchange may list a P.M.-settled 

Quarterly Option Series on an ETF on 

an index concurrent with an A.M.- 

settled Short Term Option Series on that 

ETF or index and both of which expire 

on a Friday. The Exchange believes that 

the concurrent listing of an A.M.-settled 

Short Term Option Series and a P.M.- 

settled Quarterly Option Series on the 

same underlying ETF or index will 

provide investors with yet another 

hedging mechanism. Finally, the 

interval between strike prices on 

Quarterly Option Series shall be the 

same as the interval for strike prices for 

series in the same options class that 

expires in accordance with the normal 

monthly expiration cycles. 

The Exchange has selected the 

following five options classes to 

participate in the Quarterly Options 

Series Pilot Program: The Standard & 

Poor’s Depositary Receipts® (SPY), 

Nasdaq–100® Shares (QQQQ), 

Diamonds® Trust Series 1 (DIA), iShares 

Russell 2000® Index Fund (IWM), and 

Select Sector SPDR®—Energy (XLE). ISE 

believes the Quarterly Options Series 

Program has been successful and well 

received by its members and the 

investing public for the nearly three 

years that it has been in operation as a 

pilot. 

ISE is now proposing to make the 

Quarterly Options Series Program 

permanent. In support of this proposed 

rule change, and as required by the 

Quarterly Options Series Pilot Program 

Approval Order, the Exchange has 

submitted to the Commission a report 

(the ‘‘Quarterly Options Series Program 

Report’’) detailing the Exchange’s 

experience with the Quarterly Options 

Series Program. Specifically, the 

Quarterly Options Series Pilot Program 

Report contains data and written 

analysis regarding the five options 

classes included in the Quarterly 

Options Series Program. The Report was 

submitted under separate cover and 

seeks confidential treatment under the 

Freedom of Information Act. 

The Exchange believes there is 

sufficient investor interest and demand 

in the Quarterly Options Series Program 

to warrant its permanent approval. The 

Exchange further believes that the 

Quarterly Options Series Program has 

provided investors with a flexible and 

valuable tool to manage risk exposure, 

minimize capital outlays, and the ability 

to more closely tailor their investment 

strategies and decisions to the 

movement of the underlying security. 

Furthermore, the Exchange notes that it 

has not detected any material 

proliferation of illiquid options series 

resulting from the introduction of the 

Quarterly Options Series Program nor 

has it experienced any capacity-related 

problems with respect to Quarterly 

Options Series. The Exchange also 

represents that it has the necessary 

systems capacity to continue to support 

the options series listed under Quarterly 

Options Series Program. 

2. Basis 

The Exchange believes the proposed 

rule change is consistent with the 

Securities Exchange Act of 1934 (the 

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Federal Register / Vol. 74, No. 136 / Friday, July 17, 2009 / Notices 34811 

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

8 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

4(f)(6) requires a self-regulatory organization to give 

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. ISE has satisfied this requirement. 

9See Securities Exchange Act Release No. 60164 

(June 23, 2009), 74 FR 31333 (June 30, 2009) (SR– 

CBOE–2009–029) (approving the quarterly options 

series program on a permanent basis). 

10For 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). 

11 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

‘‘Act’’) and the rules and regulations 

thereunder and, in particular, the 

requirements of section 6(b) of the Act. 

Specifically, the Exchange believes the 

proposed rule change is consistent with 

Section 6(b)(5) requirements that the 

rules of an exchange be designed to 

promote just and equitable principles of 

trade, to prevent fraudulent and 

manipulative acts, to remove 

impediments to and perfect the 

mechanism for a free and open market 

and a national market system, and, in 

general, to protect investors and the 

public interest. The Exchange believes 

that permanent approval of the 

Quarterly Options Series Program will 

result in a continuing benefit to 

investors, by allowing them to more 

closely tailor their investment decisions. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The proposed rule change does not 

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 

The Exchange has not solicited, and 

does not intend to solicit, comments on 

this proposed rule change. The 

Exchange has not received any 

unsolicited written comments from 

members or other interested parties. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Because the foregoing proposed rule 

change 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 after the date of 

the filing, or such shorter time as the 

Commission may designate, if 

consistent with the protection of 

investors and the public interest, it has 

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

of the Act 7 and Rule 19b–4(f)(6) 

thereunder.8

The Exchange requests that the 

Commission waive the 30-day operative 

delay so that the Exchange can 

permanently establish a Quarterly 

Options Series Program that is 

consistent with those of other options 

exchanges.9 In addition, the 

Commission notes that the Exchange’s 

QOS Program currently is scheduled to 

expire on July 10, 2009. The 

Commission therefore has determined 

that waiving the 30-day operative delay 

of the Exchange’s proposal is consistent 

with the protection of investors and the 

public interest because such waiver will 

enable the Exchange to permanently 

establish the QOS program without 

disruption.10 Therefore, the 

Commission designates the proposal 

operative upon filing. 

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–ISE–2009–50 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–ISE–2009–50. 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 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–ISE–2009–50 and should be 

submitted on or before August 7, 2009. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.11

Elizabeth M. Murphy, 

Secretary. 

[FR Doc. E9–17004 Filed 7–16–09; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–60281; File No. SR–ISE– 

2009–49] 

Self-Regulatory Organizations; 

International Securities Exchange, 

LLC; Notice of Filing and Immediate 

Effectiveness of Proposed Rule 

Change To Extend a Pilot Program for 

Short Term Options Series 

July 10, 2009. 

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 July 8, 

2009, the International Securities 

Exchange, LLC (the ‘‘Exchange’’ or the 

‘‘ISE’’) filed with the Securities and 

Exchange 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. 

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