Document ID: SEC-2009-0815-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: NYSE Amex, Inc.
Posted Date: 2009-06-17T04:00Z

[Federal Register Volume 74, Number 115 (Wednesday, June 17, 2009)]
[Notices]
[Pages 28737-28738]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E9-14145]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-60077; File No. SR-NYSEAmex-2009-22]

Self-Regulatory Organizations; Notice of Filing and Immediate 
Effectiveness of Rule Change by NYSE Amex, Inc. Implementing Schedule 
of Fees and Charges for Exchange Services

June 9, 2009.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby 
given that, on June 1, 2009, NYSE Amex LLC. (``NYSE Amex'' or the 
``Exchange'') filed with the Securities and Exchange Commission (the 
``Commission'') the proposed rule change as described in Items I, II, 
and III 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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    \1\ 15 U.S.C.78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to its Schedule of Fees and Charges for 
Exchange Services (the ``Schedule''). While the change to the Schedule 
pursuant to this proposal will be effective upon filing, the changes 
will become operative June 1, 2009. The text of the proposed rule 
change is attached as Exhibit 5 to the 19b-4 form.\4\ A copy of this 
filing is available on the Exchange's Web site at www.nyse.com, at the 
Exchange's principal office and at the Commission's Public Reference 
Room.
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    \4\ The Commission notes that while provided in Exhibit 5 to the 
filing, the text of the proposed rule change is not attached to this 
notice but is available at the Commission's Public Reference Room 
and at www.nyse.com.
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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 those statements may be examined at 
the places specified in Item IV below. The Exchange has prepared 
summaries, set forth in sections A, B, and C below, of the most 
significant parts 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 this proposed rule change is to modify the list of 
strategies presently included in the strategy execution fee cap program 
(``Strategy Cap Program''). NYSE Amex proposes to add ``Jelly Rolls'' 
as an eligible strategy execution for inclusion in Strategy Cap 
Program.
    A Jelly Roll is a long calendar call spread combined with the same 
short

[[Page 28738]]

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.
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    \5\ 15 U.S.C. 78s(b)(3)(A).
    \6\ 17 CFR 240.19b-4(f)(2).
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    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 rule-comments@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.
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    \7\ 17 CFR 200.30-3(a)(12).

    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