[Federal Register Volume 67, Number 63 (Tuesday, April 2, 2002)]
[Notices]
[Pages 15642-15643]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 02-7867]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-45603A; File No. SR-CBOE-00-12]


Self Regulatory Organizations; Chicago Board Options Exchange, 
Inc.; Order Approving Proposed Rule Change and Notice of Filing and 
Order Granting Accelerated Approval to Amendment No. 2 to the Proposed 
Rule Change Relating to the Expansion of the Equity Hedge Exemption 
From Position and Exercise Limits

March 27, 2002.

Correction

    In FR Document No. 02-07327, beginning on page 14751 for Wednesday 
March 27, 2002, paragraph (iv) in column 3 on page 14751, which 
describes the collar hedge strategy, was incorrectly stated by the 
Chicago Board Options Exchange (``CBOE'').\1\ The paragraph should read 
as follows:
---------------------------------------------------------------------------

    \1\ Telephone conversation between Patricia L. Cerny, Director, 
Department of Market Regulation, CBOE, and Susie Cho, Special 
Counsel, Division of Market Regulation, Commission, March 26, 2002.
---------------------------------------------------------------------------

    (iv) Collar (sell call/buy put, neither in-the-money when 
established with the same expiration where the strike price of the 
short call equals or exceeds the

[[Page 15643]]

strike price of the long put/buy stock).\2\ A collar strategy provides 
downside protection by the use of put option contracts and finances the 
purchase of the puts through the sale of short call option contracts. 
The goal of this strategy is to bracket the price of the underlying 
security at the time the position is established. For example, assume 
that the price of an underlying equity, XYZ, is $53 and account ABC is 
long 5000 shares of XYZ at $53. Account ABC sells 50 XYZ April 55 calls 
and purchases 50 XYZ April 50 puts. Under the collar exemption, one 
collar (i.e., one short call, and one long put) must be hedged with 100 
shares of the underlying security to remain exempt.
---------------------------------------------------------------------------

    \2\ Id.
---------------------------------------------------------------------------

    Additionally, neither side of the short call, long put position can 
be in-the-money at the time the position is established.

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\3\
---------------------------------------------------------------------------

    \3\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 02-7867 Filed 4-1-02; 8:45 am]
BILLING CODE 8010-01-P