[Federal Register Volume 61, Number 7 (Wednesday, January 10, 1996)]
[Notices]
[Pages 741-742]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 96-367]



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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-36680; International Series No. 913; File No. SR-OPRA-
95-6]


Options Price Reporting Authority; Notice of Filing and Immediate 
Effectiveness of Amendment to the National Market System Plan of the 
Options Price Reporting Authority

January 4, 1996.
    Pursuant to Rule 11Aa3-2 under the Securities Exchange Act of 1934 
(``Exchange Act''), notice is hereby given that on December 12, 1995, 
the Options Price Reporting Authority (``OPRA'') \1\ submitted to the 
Securities and Exchange Commission (``SEC'' or ``Commission'') an 
amendment to the Plan for Reporting of Consolidated Options Last Sale 
Reports and 

[[Page 742]]
Quotation Information (``Plan'') to permanently approve the pilot 
program providing for the dissemination of certain implied volatility 
quotations on selected foreign currency options (``FCOs'') by PHLX 
through selected vendors, rather than through the OPRA system.

    \1\ OPRA is a National Market System Plan approved by the 
Commission pursuant to Section 11A of the Exchange Act and Rule 
11Aa3-2 thereunder. Securities Exchange Act Release No. 17638 (Mar. 
18, 1981).
    The Plan provides for the collection and dissemination of last 
sale and quotation information on options that are traded on the 
five member exchanges. The five exchanges which agreed to the OPRA 
Plan are the American Stock Exchange (``AMEX''); the Chicago Board 
Options Exchange (``CBOE''); the New York Stock Exchange (``NYSE''); 
the Pacific Stock Exchange (``PSE''); and the Philadelphia Stock 
Exchange (``PHLX'').
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    OPRA has designated this proposal as concerned solely with the 
administration of the Plan, permitting it to become effective upon 
filing pursuant to Rule 11Aa3-2(c)(3)(ii) under the Exchange Act. The 
Commission is publishing this notice to solicit comments from 
interested persons on the amendment.

I. Description and Purpose of the Amendment

    OPRA requests permanent approval of the pilot program that was 
originally filed on May 15, 1992,\2\ providing for the dissemination of 
certain implied volatility quotations in FCOs directly by PHLX through 
selected vendors, rather than through the OPRA system.\3\ OPRA has 
given further consideration to the need for, and benefits of, implied 
volatility information pertaining to foreign currency options, and has 
concluded that such information should continue to be available to 
investors. Rather than modify the OPRA system to enable volatility 
quotations to be transmitted directly, OPRA believes it is more 
efficient to continue to permit PHLX to disseminate this information, 
especially in light of the unbundling of FCO information.\4\

    \2\ Securities Exchange Act Release No. 30906 (July 9, 1992), 57 
FR 21546 (July 16, 1992). The pilot has been extended three times 
subsequent to its initial filing. See Securities Exchange Act 
Release Nos. 32152 (April 15, 1993), 58 FR 21481 (April 21, 1993); 
32771 (August 19, 1993), 58 FR 44865 (August 25, 1993); 34851 
(October 18, 1994), 59 FR 53689 (October 25, 1994).
    \3\ An ``implied volatility quotation'' is a measure of the 
volatility of the security underlying an option derived by solving a 
standard options valuation formula for the volatility factor at an 
assumed premium level.
    \4\ See Securities Exchange Act Release No. 35487 (March 14, 
1995), 60 FR 14984 (March 21, 1995).
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    The purpose of the pilot program has been to permit PHLX to 
accommodate those institutional investors in FCOs who desire to receive 
indications of the current state of the FCO market expressed in implied 
volatility quotations. These quotations serve only as indicators of the 
state of the market; actual trading in FCOs continues to be conducted 
through bids and offers expressed in terms of the prices at which 
options may be bought or sold, and such bids and offers continue to be 
disseminated over the OPRA system.

II. Solicitation of Comments

    Pursuant to Rule 11Aa3-2(c)(3), the amendment is effective upon 
filing with the Commission. The Commission may summarily abrogate the 
amendment within 60 days of its filing and require refiling and 
approval of the amendment by Commission order pursuant to Rule 11Aa3-
2(c)(2), if it appears to the Commission that such action is necessary 
or appropriate in the public interest; for the protection of investors 
and the maintenance of fair and orderly markets; to remove impediments 
to, and perfect the mechanisms of, a National Market System; or 
otherwise in furtherance of the purposes of the Exchange Act.
    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, N.W., Washington, D.C. 20549. 
Copies of the submission, all subsequent amendments, and 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 
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 the filing also will be available at 
the principal offices of OPRA. All submissions should refer to file 
number SR-OPRA-95-6 and should be submitted by January 26, 1996.

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

    \5\ 17 CFR 200.30-3(a)(29).
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Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 96-367 Filed 1-9-96; 8:45 am]
BILLING CODE 8010-01-M