[Federal Register Volume 60, Number 42 (Friday, March 3, 1995)]
[Notices]
[Pages 11999-12000]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 95-5276]



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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-35420; International Series Release No. 787; File No. 
SR-Phlx-95-06]


Self-Regulatory Organizations; Notice of Filing of Proposed Rule 
Change by the Philadelphia Stock Exchange, Inc. Relating to British 
Pound Strike Price Intervals

    February 27, 1995.
    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 30, 1995, the Philadelphia Stock Exchange, Inc. (``Phix'' or 
``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 
Commission is publishing this notice to solicit comments on the 
proposed rule change from interested persons.

    \1\15 U.S.C. Sec. 78s(b)(1) (1988).
    \2\17 CFR 240.19b-4 (1993).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to revise its strike price policy respecting 
foreign currency options on the British pound by changing from a $.025 
interval to a $.01 interval in the nearest three expiration months and 
$.02 in the next three nearest expiration months. In addition to 
reducing the strike price interval from 2\1/2\ cents to 1 and 2 cents, 
the Exchange also proposes to reduce the strike price interval for 
long-term British pound options, which have 12 to 36 months until 
expiration,\3\ from $.05 to $.04. The strike price interval applicable 
to long-term foreign currency options is determined by doubling the 
strike price interval of regular options (12 months or less until 
expiration). The text of the proposed rule change is available at the 
Office of the Secretary, the Exchange, and at the Commission.

    \3\See Phlx Rule 1012(a)(ii). See also Securities Exchange Act 
Release No. 30672 (May 6, 1992), 57 FR 20546 (May 13, 1992) (File 
No. SR-Phlx-91-30).
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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 Exchange 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 IV below. The Exchange has prepared summaries, set forth in 
Section (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

    The Exchange's strike price interval policies are administered 
pursuant to Rule 1012, Series of Options Open for Trading. Currently, 
British pound options are listed at 2\1/2\ cent intervals; long-term 
options are listed at 5 cent intervals. Pursuant to Phlx Rule 1012, six 
expiration months are currently listed in regular foreign currency 
options, with one, two, three, six, nine, and twelve months until 
expiration. Additionally, two long-term options are currently listed 
(in June and December) with 18 and 24 months until expiration. 
Fluctuations in the spot price of the British pound result in 
additional listings at 2\1/2\ cent intervals.
    The Exchange proposes to revise its strike price policy respecting 
foreign currency options on the British pound by changing from a $.025 
interval to a $.01 interval in the nearest three expiration months and 
$.02 in the next three nearest expiration months. In addition to 
reducing the strike price interval from 2\1/2\ cents to 1 and 2 cents, 
the Exchange also proposed to reduce the strike price interval for 
long-term British pound options, which have 12 to 36 months until 
expiration, from $.05 to $.04. The purpose of the proposed rule change 
is to respond to changes in the world-wide market marketplace for the 
British pound. The Exchange notes that lower volatility respecting the 
British pound had created a customer need for narrower strike price 
intervals. Lower volatility signifies less movement in the currency 
such that it currently trades in a more narrow range, perhaps without 
moving to the next (2\1/2\ cent) strike price interval. The Exchange 
notes that the strike price interval for a non-volatile foreign 
currency option, including the British Pound, has previously been 
decreased.\4\

    \4\See e.g., Securities Exchange Act Release Nos. 25685 (May 10, 
1988), 53 FR 17534 (May 17, 1988) (French franc from $.05 to $.025 
strike price intervals) (File No. SR-Phlx-86-14), and 24103 
(February 13, 1987), 52 FR 5605 (February 25, 1987) (British Pound 
from $.05 to $.025 strike price intervals) (File No. SR-Phlx-86-14).
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    In addition, the Exchange seeks to remain competitive and 
consistent with the contract terms applicable to foreign currency 
futures and options on such futures traded on the Chicago Mercantile 
Exchange (``CME''). Recently, the CME determined to list certain 
options on British pound futures (the three near months) at $.01 
intervals.
    The Exchange believes that the proposed reduction in the strike 
price interval should provide investors and traders of British pound 
options with the ability to more closely tailor investment and hedging 
strategies to British pound trading levels and movement. Accordingly, 
the Exchange believes that the proposed rule change is consistent with 
Section 6 of the Act, in general, and furthers the objectives of 
Section 6(b)(5), in particular, in that it is designed to promote just 
and equitable principles of trade by enabling more effective management 
of foreign currency risk respecting the British pound.

(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.

(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

    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 [[Page 12000]] 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. Persons making written submissions 
should file six copies thereof with the Secretary, Securities and 
Exchange Commission, 450 Fifth Street, NW., Washington, DC 20549. 
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 at the 
Commission's Public Reference Section, 450 Fifth Street, NW., 
Washington, DC 20549. 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-95-06 and should be 
submitted by March 24, 1995.


    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\5\

    \5\17 CFR 200.30-3(a)(12) (1994).
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Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 95-5276 Filed 3-2-95; 8:45 am]
BILLING CODE 8010-01-M