Federal Register / Vol. 66, No. 28 / Friday, February 9, 2001 / Notices 9739

8 15 U.S.C. 78o–3(b)(6).

9 17 CFR 200.30–3(a)(12).

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

2 17 CFR 240.19b–4.

3 In general, FLEX options provide investors with

the ability to customize basic option features

including size, expiration date, exercise style, and

certain exercise prices. See Phlx Rule 1079.

4Currently, the Exchange trades unit investment

trust securities known as Trust Shares. The

Exchange has also just received approval to trade

Index Fund Shares which are issued by an openend management investment company. Trust

Shares and Index Fund Shares are listed on the

Phlx pursuant to Role 803(i) and 803(l),

respectively, and trade like shares of common stock.

The Commission notes that not all Trust Shares or

Index fund shares trading on the Phlx may meet the

standards for options trading approved by this

order.

found in the rules listed in NASD Rule

9610(a).

2. Statutory Basis

NASD Regulation believes that the

proposed rule change is consistent with

the provisions of section 15A(b)(6) of

the Act,8 which requires, among other

things, that the Association’s rules must

be designed to prevent fraudulent and

manipulative acts and practices, to

promote just and equitable principles of

trade, and, in general, to protect

investors and the public interest. NASD

Regulation believes that the proposed

rule change is designed to accomplish

these ends by clarifying the

applicability of NASD Rule 1022(b) and

(c) to members by making the citations

in the rules consistent with the Net

Capital Rule and by eliminating the

ability of brokers or dealers that are

subject to the Net Capital Rule from

operating without a FINOP or

Introducing FINOP. The proposed rule

change also would help members by

clarifying the circumstances under

which a FINOP must have taken and

passed either Series 27 or Series 28

Examination.

B. Self-Regulatory Organization’s

Statement on Burden on Competition

NASD Regulation does not believe

that the proposed rule change will result

in 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

Written comments were neither

solicited nor received.

III. Date of Effectiveness of the

Proposed Rule Change and Timing for

Commission Action

Within 35 days of the date of

publication of this notice in the Federal

Register or within such longer period (i)

as the Commission may designate up to

90 days of such date if it finds such

longer period to be appropriate and

publishes its reasons for so finding or

(ii) as to which the self-regulatory

organization consents, the Commission

will:

(A) By order approve such proposed

rule change; or

(B) Institute proceedings to determine

whether the proposed rule change

should be disapproved.

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.

Persons making written submissions

should file six copies thereof with the

Secretary, Securities and Exchange

Commission, 450 Fifth Street, NW.,

Washington, DC 20549–0609. 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. Copies of such filing will also be

available for inspection and copying at

the principal office of the NASD. All

submissions should refer to File No.

SR–NASD–00–77 and should be

submitted by March 2, 2001.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.9

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 01–3361 Filed 2–8–01; 8:45 am]

BILLING CODE 8010–01–M

SECURITIES AND EXCHANGE

COMMISSION

[Release No. 34–43921; File No. SR–Phlx–

00–107]

Self-Regulatory Organizations; Notice

of Filing and Order Granting

Accelerated Approval of Proposed

Rule Change by the Philadelphia Stock

Exchange, Inc., Relating to Listing and

Trading of Options on ExchangeTraded Fund Shares

February 2, 2001.

Pursuant to section 19(b)91) of the

Securities Exchange Act of 1934

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

notice is hereby given that on December

21, 2000, the Philadelphia Stock

Exchange, Inc. (‘‘Phlx’’ or ‘‘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 Phlx. The

Commission is publishing this notice to

solicit comments on the proposed rule

changes from interested persons and to

approve the proposal on an accelerated

basis.

I. Self-Regulatory Organization’s

Statement of the Terms of Substance of

the Proposed Rule Change

The Phlx proposes to amend its rules

to create listing criteria and amend

trading rules to allow the Exchange to

list options on Exchange-Traded Fund

Shares. The text of the proposed rule

change is available at the Phlx or 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

Phlx included statements concerning

the purpose of and basis for the

proposed rule change. The text of these

statements may be examined at the

places specified in Item III below. The

Phlx 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 purpose of the proposed rule

change is to provide for the trading of

options and FLEX options on ExchangeTraded Fund Shares.3 As noted above,

Exchange-Traded Fund Shares are

exchange-listed securities representing

interests in open-end unit investment

trusts or open-end management

investment companies (‘‘Funds’’) that

hold securities based on an index or a

portfolio of securities.4 ExchangeTraded Fund Shares are issued in

exchange for an ‘‘in kind’’ deposit of a

specified portfolio of securities, together

with a cash payment, in minimum size

aggregations or multiples thereof

(‘‘Creation Units’’). The size of the

applicable Creation Unit size

aggregation is set forth in the Fund’s

prospectus, and varies from one series

9740 Federal Register / Vol. 66, No. 28 / Friday, February 9, 2001 / Notices

5This 1000 share feature was proposed and

approved by the American Stock Exchange and The

Options Clearing Corporation. Securities Exchange

Act Release Nos. 40157 (July 1, 1998), 63 FR 37426

(July 10, 1998) (SR–Amex–96–44) and 40132 (June

25, 1998), 63 FR 36467 (June 25, 1998) (SR–OCC–

97–02). In the event the Exchange lists options

covering both 100 and 1000 of the same underlying

Exchange-Traded Fund Shares, the Exchange will

assign separate trading symbols to the options and

will issue an Information Circular to all its members

advising of the trading symbols. Telephone

conservation between John Dayton, Assistant

Secretary and Counsel, Phlx, and Heather Traeger,

Special Counsel, Division of Market Regulation,

Commission, on January 31, 2001.

6Specifically, Commentary .01 to Rule 1009

requires the underlying security to have a public

float of 7,000,000 shares, 2,000 holders, trading

volume of 2,400,000 shares in the preceding 12

months, a share price of $7.50 for the majority of

the business days during the three calendar months

preceding the date of the selection, and that the

issuer of the underlying security is in compliance

with the Act.

7This assumes that the authorized creation

participant has undertaken to deliver the shares as

soon as possible and such undertaking has been

secured by the delivery and maintenance of

collateral consisting of cash or cash equivalents

satisfactory to the Fund which underlies the option,

as described in the Fund prospectus.

8Specifically, Commentary .01 to Rule 1010

provides that an underlying security will not meet

the Exchange’s requirements for continued listing

when, among other things; (1) There are fewer than

6,300,000 publicly-held shares; (2) there are fewer

than 1,600 holders; (3) trading volume was less than

1,800,000 shares in the preceding twelve months;

or (4) the share price of the underlying security

closed below $5 on a majority of the business days

during the preceding 6 months.

9An American-style option may be exercised at

any time prior to its expiration. A European-style

option, however, may be exercised only on its

expiration date.

of Exchange-Traded Fund Shares to

another, but generally is of substantial

size (e.g., value in excess of $450,000

per Creation Unit). A Fund, generally,

will issue and sell Exchange-Traded

Fund Shares in Creation Unit size

through a principal underwriter on a

continuous basis at the net asset value

per share next determined after an order

to purchase Exchange-Traded Fund

Shares and the appropriate securities

are received. Following issuance,

Exchange-Traded Fund Shares are

traded on an exchange like other equity

securities, and equity trading rules

apply. Likewise, redemption of

Exchange-Traded Fund Shares is made

in Creation Unit size and ‘‘in kind,’’

with a portfolio of securities and cash

exchange for the Exchange-Traded Fund

Shares that have been tendered for

redemption

Generally, options on ExchangeTraded Fund Shares are proposed to be

traded on the Exchange pursuant to the

same rules and procedures that apply to

trading in options on equity securities.

However, the Exchange is also

proposing to list FLEX options on

Exchange-Traded Fund Shares and

some options will have a unit of trading

of 1000 Exchange-Traded Fund Shares.

The Exchange will list option contracts

covering either 100 or 1000 ExchangeTraded Fund Shares, or both, depending

on the price and volatility of the

underlying Exchange-Traded Fund

Shares and the popularity of the

options.5

The proposed position, exercise and

reporting limits for options on

Exchange-Traded Fund Shares would be

the same as those established for stock

options as set forth in Phlx Rules 1001,

1002 and 1003. The Phlx anticipates

that most options on Exchange-Traded

Fund Shares initially will qualify for

only the lowest position limit. As with

other equity options, the position limits

will be increased for options if the

volume of trading in the ExchangeTraded Fund Shares increases to meet

the requirements of a higher limit. As is

currently the case for all FLEX options,

no position or exercise limits will be

applicable to FLEX options overlying

Exchange-Traded Fund Shares.

The listing and maintenance

standards proposed for options on

Exchange-Traded Fund Shares are set

forth in proposed Commentary .06

under Phlx Rule 1009 and in proposed

Commentary .08 under Phlx Rule 1010,

respectively. Pursuant to the proposed

initial listing standards, Phlx will only

list options on Exchange-Traded Fund

Shares that are principally traded on a

national securities exchange or through

the facilities of a national securities

association and reported as national

market securities. in addition, the initial

listing standards require that either: (1)

The Exchange-Traded Fund Shares meet

the uniform options listing standards in

Commentary .01 to Rule 1009, which

include minimum public float, trading

volume, and share price of the

underlying security in order to list the

option,6 or (2) the Exchange-Traded

Fund Shares must be available for

creation or redemption each business

day in cash or in kind from the Fund at

a price related to the net asset value,

and the Exchange will require that the

investment company shall provide that

Exchange-Traded Fund Shares may be

created even through some or all of the

securities needed to be deposited have

not been received by the Fund.7

In addition, the initial listing

standards require that: (1) Any

Exchange-Traded Fund Share with nonU.S. stocks in the underlying index or

portfolio that are not subject to

comprehensive surveillance agreements

do not in the aggregate represent more

than 50% of the weight of the index or

portfolio; (2) stocks for which the

primary market is in any one country

that is not subject to a comprehensive

surveillance agreement do not represent

20% or more of the weight of the index

or portfolio; and (3) stocks for which the

primary market is in any two countries

that are not subject to comprehensive

surveillance agreements do not

represent 33% or more of the weight of

the index or portfolio.

The Exchange’s proposed

maintenance standards provide that if a

particular series of Exchange-Traded

Fund Shares should cease to trade on an

exchange or as national market

securities traded through the facilities of

a national securities association, there

will be no opening transactions in the

options on the Exchange-Traded Fund

Shares, and all such options will trade

on a liquidation-only basis. In addition,

the Phlx will consider the suspension of

opening transactions in any series of

options of the class covering ExchangeTraded Fund Shares if: (1) The options

fail to meet the uniform equity option

maintenance standards in

Commentary.01 to Rule 1010,8 when the

options were listed pursuant to the

equity option listing standards of

Commentary .01 to Rule 1009; (2)

following the initial twelve-month

period beginning upon the

commencement of trading of the

Exchange-Traded Fund Shares on a

national securities exchange or as

national market securities through the

facilities of a national securities

association there are fewer than 50

record and/or beneficial holders of

Exchange-Traded Fund Shares for 30 or

more consecutive trading days; (3) the

value of the index or portfolio of

securities on which the ExchangeTraded Fund Shares are based is no

longer calculated or available; or (4)

such other event shall occur or

condition exist that in the opinion of the

Exchange makes further dealing in such

options on the Exchange inadvisable.

Options on Exchange-Traded Fund

Shares will be physically-settled and

will have the American-style exercise

feature used on all standardized equity

options. The Exchange, however, also

proposes to trade FLEX options, which

will be available with both the

American-style and European-style

exercise feature, as well as other FLEX

option features.9

The proposed margin requirements

for options on Exchange-Traded Fund

Shares are at the same levels that apply

to options generally under Exchange

Rule 722, except, with respect to

Exchange-Traded Fund Shares based on

a broad-based index or portfolio,

minimum margin must be deposited

Federal Register / Vol. 66, No. 28 / Friday, February 9, 2001 / Notices 9741

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

11 15 U.S.C. 78f(b)(5).

12The Commission hereby incorporates by

reference its findings and conclusions with respect

to the appropriateness of FLEX Equity options

generally. See Securities Exchange Act Release No.

37336 (June 19, 1996), 61 FR 33558 (June 27, 1996).

13 In approving this rule, the Commission notes

that it has also considered the proposed rule’s

impact on efficiency, competition, and capital

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

14The Commission notes, and Phlx has verified,

that holders of options on Fund Shares who

exercise and receive the underlying Fund Shares

must receive, like any purchaser of Fund Shares, a

product description or prospectus, as appropriate.

Telephone conversation between John Dayton,

Assistant Secretary and Counsel, Phlx, and Geoffrey

Pemble, Attorney, Division of Market Regulation,

Commission, on February 2, 2001.

and maintained equal to 100% of the

current market value of the option plus

15% of the market value of equivalent

units of the underlying security value.

Exchange-Traded Fund Shares that hold

securities based upon a narrow-based

index or portfolio must have options

margin that equals at least 100% of the

current market value of the contract

plus 20% of the market value of

equivalent units of the underlying

security value. In this respect, the

margin requirements proposed for

options on Exchange-Traded Fund

Shares are comparable to margin

requirements that currently apply to

broad-based and narrow-based index

options.

The Exchange believes it has the

necessary systems capacity to support

the additional series of options that

would result from the introduction of

options on Exchange-Traded Fund

Shares, and it has been advised that the

Options Price Reporting Authority

(‘‘OPRA’’) also will have the capacity to

support these additional series due to

recent enhancements.

2. Statutory Basis

The Phlx believes that the listing and

trading of options on Exchange-Traded

Fund Shares should provide investors

with another choice of venue to conduct

trading in these products. Thus, the

Exchange believes that the proposed

rule change is consistent with section

6(b)(5) of the Act 10 in that it is 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.

B. Self-Regulatory Organization’s

Statement on Burden on Competition

The Phlx does not believe that the

proposed rule change will impose any

inappropriate burden on competition.

C. Self-Regulatory Organization’s

Statement on Comments on the

Proposed Rule Change Received From

Members, Participants or Others

The Phlx has neither solicited nor

received written comments on the

proposed rule change.

III. Solicitation of Comments

Interested persons are invited to

submit written data, views and

arguments concerning the foregoing,

including whether the proposed rule

change, as amended, is consistent with

the Act. Persons making written

submissions should file six copies

thereof with the Secretary, Securities

and Exchange Commission, 450 Fifth

Street, NW, Washington, DC 20549–

0609. 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. Copies of such filing will also be

available for inspection and copying at

the principal office of the Phlx. All

submissions should refer to File No.

SR–Phlx–00–107 and should be

submitted by March 2, 2001.

IV. Commission’s Findings and Order

Granting Accelerated Approval of

Proposed Rule Change

The Commission finds that the

proposed rule change, as amended, is

consistent with the requirements of the

Act and the rules and regulations

thereunder applicable to a national

securities exchange, and, in particular,

with the requirements of section

6(b)(5).11 Specifically, the Commission

believes that providing for the listing

and trading of options and FLEX Equity

options 12 on Exchange-Traded Fund

Shares should give investors a better

means to hedge their positions in the

underlying Fund Shares. Further, the

Commission believes that pricing of the

underlying Fund Shares may become

more efficient and market makers in

these shares, by virtue of enhanced

hedging opportunities, may be able to

provide deeper and more liquid

markets. In sum, the Commission

believes that options on Fund Shares

likely will engender the same benefits to

investors and the market place that exist

with respect to options on common

stock, thereby serving to promote the

public interest and remove impediments

to a free and open securities market.13

As a general matter, the Commission

believes that a regulatory system

designed to protect public customers

must be in place before the trading of

sophisticated financial instruments,

such as options on Fund Shares, can

commence trading on a national

securities exchange. The Commission

notes that the trading of standardized

exchange-traded options occurs in an

environment that is designed to ensure,

among other things, that: (1) The special

risks of options are disclosed to public

customers; (2) only investors capable of

evaluating and bearing the risks of

options trading are engaged in such

trading; and (3) special compliance

procedures are applicable to options

accounts. With regard to position and

exercise limits, the Commission finds

that it is appropriate to adopt the tiered

approach used in setting position and

exercise limits for standardized stock

options. This approach should serve to

minimize potential manipulation and

market impact concerns. In addition, the

Commission believes that the rationale

for allowing FLEX Equity options

generally to trade without position and

exercise limits is equally applicable in

the context of FLEX Equity options on

Fund Shares.

Accordingly, because options and

FLEX Equity options on Fund Shares

will be subject to the same regulatory

regime as the other options and FLEX

Equity options currently traded on the

Phlx, the Commission believes that

adequate safeguards are in place to

ensure the protection of investors in

options and FLEX Equity options on

Fund Shares.

The Commission also believes that it

is appropriate to permit the Phlx to list

and trade options, including FLEX

Equity options, on Exchange-Traded

Fund Shares given that these options

must meet specific requirements related

to the protection of investors.14 First,

the Exchange’s listing and delisting

criteria for options on Fund Shares are

adequate. With regard to initial listing,

the proposal requires that either: (1) The

underlying Fund Shares meet the Phlx’s

uniform options listing standards; or (2)

the Exchange-Traded Fund Shares must

be available for creation or redemption

each business day in cash or in kind

from the Fund at a price related to the

net asset value, and the Exchange will

require that the underlying Fund Shares

may be created even though some or all

9742 Federal Register / Vol. 66, No. 28 / Friday, February 9, 2001 / Notices

15This assumes that the authorized creation

participant has undertaken to deliver the shares as

soon as possible and such undertaking has been

secured by the delivery and maintenance of

collateral consisting of cash or cash equivalents

satisfactory to the Fund which underlies the option,

as described in the Fund prospectus.

16See supra note 6.

17See supra note 16.

18See Securities Exchange Act Release No. 40157

(July 1, 1998), 63 FR 37426 (July 10, 1998) (SR–

Amex–96–44).

19 15 U.S.C. 78s(b).

20 15 U.S.C. 78s(b)(2).

21 17 CFR 200.30–3(a)(12).

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

2 17 CFR 240.19b–4.

of the securities needed to be deposited

have not been received by the Fund.15

This listing requirement should ensure

that there exists sufficient supply of the

underlying Fund Shares so that a short

call writer, for example, will have the

ability to secure delivery of the Fund

Shares upon exercise of the option.

The Commission believes the Phlx

has adequately addressed potential

concerns about the ability to produce

Fund Shares upon exercise of the option

through the adoption of the listing

standards set forth above. In particular,

options listed pursuant to the uniform

options listing standards will have to

meet the options maintenance listing

standards that require, among other

things, that a minimum number of Fund

Shares be outstanding to continue

trading the options.16 The alternative

listing criteria, noted above, should also

help to ensure that the underlying Fund

Shares will be available upon exercise

by requiring the Fund to allow market

participants to create Fund Shares even

though some or all of the necessary

securities needed to be deposited are

not available.17 Although there is no

absolute assurance that market

participants will go ahead and create

Fund Shares in the event a short call

writer needs to purchase Fund Shares to

meet an exercise notice, it is likely that

arbitrage opportunities will create an

incentive to do so. Further, in the event

there are not enough Fund Shares to

meet exercise requirements, as with

other physically-settled equity options,

the Options Clearing Corporation has

rules that would apply to such

situations.

Second, the Commission believes that

the surveillance standard developed by

the Phlx for options on Fund Shares is

adequate to address the concerns

associated with the listing and trading

of such securities. Specifically, the Phlx

has proposed that: (1) Any Fund Share

with non-US stocks in the underlying

index or portfolio that are not subject to

comprehensive surveillance agreements

do not in the aggregate represent more

than 50% of the weight of the index or

portfolio; (2) stocks for which the

primary market is in any one country

that is not subject to a comprehensive

surveillance agreement do not represent

20% or more of the weight of the index

or portfolio; and (3) stocks for which the

primary market is in any two countries

that are not subject to comprehensive

surveillance agreements do not

represent 33% or more of the weight of

the index or portfolio.

As a general matter, the Commission

believes that comprehensive

surveillance agreements provide an

important deterrent to manipulation

because they facilitate the availability of

information needed to fully investigate

a potential manipulation if it were to

occur. These agreements are especially

important in the content of derivative

products based on foreign securities

because they facilitate the collection of

necessary regulatory, surveillance and

other information from foreign

jurisdictions. In evaluating the current

proposal, the Commission believes that

requiring comprehensive surveillance

agreements to be in place between the

Phlx and the primary markets for

foreign securities that comprise 50% or

more of the weight of the underlying

index or portfolio upon which Fund

Shares are based, as well as the other

conditions discussed above, provides an

adequate mechanism for the exchange of

surveillance sharing information

necessary to detect and deter possible

market manipulations. Although the

Commission recognizes that up to 50%

of the Portfolio’s value may not be

covered by comprehensive surveillance

agreements, the other requirements will

ensure that a significant percentage of

the portfolio is not made up of securities

from uncovered countries. Further, as to

the domestically-traded Fund Shares

themselves and the domestic stocks in

the underlying index or portfolio upon

which Fund Shares are based, the

Intermarket Surveillance Group

Agreement will be applicable to the

trading of options on Fund Shares.

Finally, the Commission believes that

it is appropriate to require minimum

margin of 100% of the current market

value of the option plus 15% of the

market value of the underlying security

value (‘‘broad-based margin’’) for

options on Fund Shares based on a

broad-based index or portfolio and for

options on Fund Shares which have

been approved to date. Moreover, the

Commission believes that requiring

minimum margin of 100% of the current

market value of the option plus 20% of

the market value of the underlying

security value (‘‘narrow-based margin’’)

for options on Fund Shares based on a

narrow-based index or portfolio is

appropriate. The Commission notes that

these margin requirements for options

on Exchange-Traded Fund Shares are

comparable to margin requirements that

currently apply to broad-based and

narrow-based index options.

The Commission finds good cause for

approving the proposed rule change

(SR–Phlx–00–107), as amended, prior to

the thirtieth day after the date of

publication of notice thereof in the

Federal Register. The Commission notes

that the proposed rule change is based

on Amex Rules 915 and 916, which the

Commission approved previously.18

The Commission also observes that the

proposed rule change concerns issues

that previously have been the subject of

a full comment period pursuant to

section 19(b) of the Act.19 The

Commission does not believe that the

proposed rule change raises novel

regulatory issues that were not

addressed in the previous filings.

Accordingly, the Commission finds that

there is good cause, consistent with

section 6(b)(5) of the Act, to approve the

amended proposal on an accelerated

basis.

It is therefore ordered, pursuant to

section 19(b)(2) of the Act,20 that the

proposed rule change (SR–Phlx–00–

107), as amended, is hereby approved

on an accelerated basis.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.21

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 01–3341 Filed 2–8–01; 8:45 am]

BILLING CODE 8010–01–M

SECURITIES AND EXCHANGE

COMMISSION

[Release No. 34–43927; File No. SR–PHLX–

01–07]

Self-Regulatory Organizations; Notice

of Filing and Immediate Effectiveness

of Proposed Rule Change by the

Philadelphia Stock Exchange, Inc.

Relating to an Interpretation of Phlx

Rule 237 Governing the eVWAP

Morning Session

February 5, 2001.

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 January

11, 2001, the Philadelphia Stock

Exchange, Inc. (‘‘Exchange’’ or ‘‘Phlx’’)

filed with the Securities and Exchange

Commission (‘‘SEC’’ or ‘‘Commission’’)

the proposed rule change as described