Document ID: SEC-2011-0536-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: Options Clearing Corp.
Posted Date: 2011-04-13T04:00Z

[Federal Register Volume 76, Number 71 (Wednesday, April 13, 2011)]
[Notices]
[Pages 20779-20780]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2011-8801]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-64247; File No. SR-OCC-2011-04]

Self-Regulatory Organizations; The Options Clearing Corporation; 
Notice of Filing and Immediate Effectiveness of Proposed Rule Change To 
Provide Legal Certainty for the Trading of Futures on the CBOE Gold ETF 
Volatility Index

April 7, 2011.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ notice is hereby given that on March 25, 2011, The 
Options Clearing Corporation (``OCC'') filed with the Securities and 
Exchange Commission (``Commission'') the proposed rule change described 
in Items I, II, and III below, which Items have been prepared primarily 
by OCC. OCC filed the proposal pursuant to Section 19(b)(3)(A)(i) of 
the Act \2\ and Rule 19b-4(f)(1) \3\ thereunder so that the proposal 
was effective upon filing with the Commission. The Commission is 
publishing this notice to solicit comments on the rule change from 
interested parties.
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    \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).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The proposed rule change will provide legal certainty for the 
trading of futures on the CBOE Gold ETF Volatility Index (``GVZ 
Index'').

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 these 
statements.\4\
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    \4\ The Commission has modified the text of the summaries 
prepared by OCC.
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(A) Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    The purpose of this proposed rule change is to make clear that OCC 
will clear futures on the GVZ Index as security futures. OCC is 
proposing to add an interpretation to Article XII, Section 1 of OCC's 
By-Laws.
    The GVZ Index is described by the CBOE Futures Exchange, LLC 
(``CFE'') as an up-to-the-minute market estimate of the expected 
volatility of SPDR Gold Shares (``GLD'') calculated by using real-time 
bid/ask quotes of Chicago Board Options Exchange, Incorporated listed 
GLD options.\5\ CFE states that the GVZ Index uses nearby and second 
nearby options with at least 8 days left to expiration and then weights 
them to yield a constant, 30-day measure of the expected (implied) 
volatility.
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    \5\ Securities Exchange Act Release No. 34-64152 (March 30, 
2011).
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    In its capacity as a ``derivatives clearing organization'' 
registered as such with the Commodity Futures Trading Commission 
(``CFTC''), OCC is concurrently submitting this rule filing to the CFTC 
pursuant to the self-certification procedures of CFTC Regulation 40.6.
    OCC believes that the proposed rule change and interpretation of 
OCC's By-Laws is consistent with the requirements of Section 17A of the 
Act \6\

[[Page 20780]]

and the rules and regulations thereunder applicable to OCC because it 
is designed to promote the prompt and accurate clearance and settlement 
of transactions in security futures, to foster cooperation and 
coordination with persons engaged in the clearance and settlement of 
such transactions, to remove impediments to and perfect the mechanism 
of a national system for the prompt and accurate clearance and 
settlement of such transactions, and, in general, to protect investors 
and the public interest. It accomplishes this purpose by clarifying the 
jurisdiction under, and capacity in which, OCC clears futures on the 
GVZ Index. The proposed rule change is not inconsistent with the By-
Laws and Rules of OCC.
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    \6\ 15 U.S.C. 78q-1.
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(B) Self-Regulatory Organization's Statement on Burden on Competition

    OCC does not believe that the proposed rule change will have any 
impact or impose any burden on competition.

(C) Self-Regulatory Organization's Statement on Comments on the 
Proposed Rule Change Received From Members, Participants, or Others

    Written comments relating to the proposed rule change have not been 
solicited or received. OCC will notify the Commission of any written 
comments received by OCC.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    The foregoing proposed rule change has become effective upon filing 
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 
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.
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    \7\ 15 U.S.C. 78s(b)(3)(A)(i).
    \8\ 17 CFR 240.19b-4(f)(1).
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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 rule-comments@sec.gov. Please include 
File Number SR-OCC-2011-04 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-OCC-2011-04. 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 such filings also will be available for 
inspection and copying at the principal office of OCC and on OCC's Web 
site at http://www.optionsclearing.com/components/docs/legal/rules_and_bylaws/sr_occ_11_04.pdf.
    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-OCC-2011-04 
and should be submitted on or before May 4, 2011.
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    \9\ 17 CFR 200.30-3(a)(12).

    For the Commission by the Division of Trading and Markets, 
pursuant to delegated authority.\9\
Cathy H. Ahn,
Deputy Secretary.
[FR Doc. 2011-8801 Filed 4-12-11; 8:45 am]
BILLING CODE 8011-01-P