[Federal Register Volume 68, Number 84 (Thursday, May 1, 2003)]
[Notices]
[Pages 23344-23348]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 03-10790]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-47729; File No. SR-Amex-00-30]


Self-Regulatory Organizations; Order Approving Proposed Rule 
Change and Notice of Filing and Order Accelerating Approval to 
Amendment No. 7 to the Proposed Rule Change by the American Stock 
Exchange LLC Relating to the Allocation of and Participation in Options 
Trades

April 24, 2003.

I. Introduction

    On May 30, 2000, the American Stock Exchange LLC (``Amex'' or 
``Exchange'') submitted to the Securities and Exchange Commission 
(``Commission''), pursuant to Section 19(b)(1) of the Securities 
Exchange Act of 1934 (``Act'')\1\ and Rule 19b-4 thereunder,\2\ a 
proposed rule change relating to the allocation of and participation in 
options trades. The proposed rule

[[Page 23345]]

change was published for comment in the Federal Register on June 28, 
2000.\3\ On August 25, 2000, August 30, 2001, February 19, 2002, April 
22, 2002, September 16, 2002, and December 20, 2002, respectively, the 
Amex filed Amendment Nos. 1, 2, 3, 4, 5, and 6 to the proposed rule 
change.\4\ These amendments were published for comment in the Federal 
Register on January 31, 2003.\5\ The Commission received no comments on 
the proposed rule change, as amended. On April 3, 2003, Amex filed 
Amendment No. 7 to the proposed change.\6\ This order approves the 
proposed rule change, as amended; grants accelerated approval to 
Amendment No. 7; and solicits comments from interested persons on that 
amendment.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 42964 (June 20, 
2000), 65 FR 39972 (June 28, 2000).
    \4\ Amendment Nos. 1 and 2 concerned the allocation of an order 
when a customer order is on parity with the specialist and/or a 
registered options trader. Amendment Nos. 3, 4, and 5 provided 
further clarity on trade allocation, and were submitted by Amex in 
compliance with Section IV.B.j. of the Commission's Order 
Instituting Public Administrative Proceedings Pursuant to Section 
19(h)(1) of the Securities Exchange Act of 1934, Making Findings and 
Imposing Remedial Sanctions, Securities Exchange Act Release No. 
43268 (September 11, 2000)(''Order''). Section IV.B.j. of the Order 
requires that respondent options exchanges adopt new, or amend 
existing, rules to set forth any practice or procedure ``whereby 
market makers trading any particular option class determine by 
agreement the spreads or option prices at which they will trade any 
option class, or the allocation of orders in that option class.'' 
Amendment No. 6 made minor revisions to the proposal.
    \5\ See Securities Exchange Act Release No. 47229 (January 22, 
2003), 68 FR 5060 (January 31, 2003) (``January 2003 Notice'').
    \6\ See letter from Claire P. McGrath, Senior Vice President and 
Deputy General Counsel, Amex, to Elizabeth King, Associate Director, 
Division of Market Regulation (``Division''), Commission, dated 
April 2, 2003. Amendment No. 7 added proposed rule text permitting a 
registered options trader to direct his or her participation to a 
competing public order in the trading crowd. Although the narrative 
section of the January 2003 Notice indicated that a registered 
options trader, in addition to a specialist, could direct his or her 
participation in this manner, the proposed text of the rule omitted 
reference to a registered options trader. See infra at note and 
accompanying text. Amendment No. 7 further amended the proposed rule 
text to clarify how registered options traders would allocate the 
order of a registered options trader among themselves when the 
specialist is not participating, but a floor broker representing a 
customer order did seek to participate. See infra at note and 
accompanying text. Amendment No. 7 also made a technical correction 
to the rule text.
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II. Description of Proposal

    The Amex proposes to codify in Rule 933(d), Commentary .06 to Rule 
950(d), and Commentary .03 to Rule 950(n), current practices regarding 
the participation in option trades executed on the Exchange by 
registered options traders and specialists and the allocation of those 
trades to the appropriate party. The proposed rule change also would 
provide clarity concerning the allocation of an options trade among the 
specialist and registered options traders when a customer order is on 
parity.

A. Specialist Participation

    Generally, Amex Rule 126 (made applicable to options trading by 
Amex Rule 950 (d)) provides that when bids (offers) are made 
simultaneously, all such bids (offers) are on parity, and any 
securities sold (bought) in execution of such bids (offers) are to be 
divided as equally as possible between those on parity up to the 
participants' stated or generally known sizes.
    The Amex states, however, that a practice has developed in Amex 
trading crowds in many option classes to give the specialist a greater 
than equal share when he or she is on parity with registered options 
traders. The Exchange proposes to codify this practice.
    The proposed rule change would set forth that the size of the 
specialist's participation in the number of option contracts executed 
is based on the number of traders on parity.\7\ The proposed 
distribution of option contracts between the specialist and the traders 
on parity is as follows:
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    \7\ Commentary .06(i) to Rule 950(d). The percentages indicated 
above would apply only when the specialist and/or registered options 
traders are on parity and would not include situations where a 
customer order is also on parity with the specialist and registered 
options traders. See infra Section II.C.
    In addition, neither the specialist nor a registered options 
trader would be allocated more executed contracts than the number of 
contracts representing the specialist's or the registered options 
trader's portion of the aggregate quotation size that the 
responsible broker or dealer would be obligated to communicate to 
the Exchange pursuant to Exchange Rule 958A(c), except when the 
number of executed contracts to be allocated exceeded the aggregate 
quotation size disseminated for that options series. Commentary 
.06(i) to Rule 950(d).

------------------------------------------------------------------------
                                                  Approximate number of
                                                  option contracts  (in
                                                        percent)
                                               -------------------------
          Number of traders on parity                         Allocated
                                                 Allocated      to the
                                                   to the    traders (as
                                                 specialist    a group)
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1.............................................           60           40
2-4...........................................           40           60
5-7...........................................           30           70
8-15..........................................           25           75
16 or more....................................           20           80
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B. Allocation of Contracts Among Registered Options Traders

    Once the specialist has determined and deducted his or her portion 
of the trade depending upon the number of traders on parity, the 
proposed rule change provides that he or she would allocate the 
remaining contracts to the registered options traders.
    As a preliminary matter, the proposed rule change sets forth that 
registered options traders must announce, either at the start of the 
trading day, upon entry into the trading crowd, or prior to the 
dissemination of a quotation, the number of contracts for which they 
are willing to participate.\8\ When it is the specialist's obligation 
to allocate the trade,\9\ he or she would allocate the portion of the 
order allotted to the registered options traders as a group based on 
the following provisions:
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    \8\ Commentary .03(a)(i)-(ii) to Rule 950 (n). The Exchange 
represents that these generally known sizes would be aggregated into 
the size disseminated by the Exchange pursuant to Amex Rule 958A so 
that the disseminated quote in each option series would reflect the 
level of participation by the specialist and each registered options 
trader. While the specialist would not be required to announce his 
or her size to the crowd, that size could be determined from the 
disseminated quote size.
    \9\ See infra Section II.D. on responsibility for allocating 
trades.
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    1. If all participants have equal stated sizes, their 
participations will be equal.
    2. If participants' stated sizes are not equal, their 
participations will depend upon whether the number of executed 
contracts left to be allocated exceeded the participants' aggregate 
stated sizes.
    3. If the number of executed contracts left to be allocated does 
not exceed the participants' aggregate stated sizes, the specialist 
will allocate the executed contracts equally, unless a participant's 
stated size is for an amount less than an equal allocation. In such 
case, the smallest sizes will be allocated first, until the number of 
executed contracts remaining to be allocated require an equal 
allocation.
    4. If the number of executed contracts left to be allocated does 
exceed the participants' aggregate stated sizes, the specialist will 
allocate the executed contracts by first allocating to each participant 
the number of executed contracts equal to each participant's stated 
size, with the remainder being allocated based on the percentage a 
participant's stated size is of the participants' aggregate stated 
size.\10\
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    \10\ See January 2003 Notice for an elaboration of these 
provisions, including examples of their application.
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    The proposed rule change provides further that in the event a 
specialist or registered options trader declined to accept any portion 
of the available contracts, any remaining contracts would be 
apportioned among the remaining participants who bid or offered at the 
best price at the time the market was established in accordance

[[Page 23346]]

with the provisions described above.\11\ In such instance, the Exchange 
represents, the specialist's participation would be based upon one less 
registered options trader participating and the allocation among the 
registered options traders would be increased proportionately.\12\
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    \11\ Commentary .03(iv) to Rule 950(n). The Exchange states that 
if a specialist or registered options trader declined an allocation 
or ``backed away'' from his disseminated size in whole or in part, 
he or she would be in violation of the firm quote rule (see Amex 
Rule 958A), investigated, and sanctioned accordingly. See January 
2003 Notice. However, Commentary .03(iv) would also apply when the 
size of the incoming order exceeded the disseminated size and one or 
more registered options traders were not willing to participate in a 
size larger than their disseminated size.
    \12\ See January 2003 Notice.
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C. Customer Orders and Specialist and Registered Options Traders on 
Parity

    As indicated above,\13\ the allocation of an incoming order differs 
when a customer order is also on parity with the specialist and 
registered options traders. By way of background, Amex Rules 155 and 
111 set forth the obligations and responsibilities of specialists and 
registered options traders when they handle or interact with customer 
orders.\14\ Amex Rule 155 requires a specialist to yield precedence to 
orders entrusted to him or her as agent before executing a purchase or 
sale at the same price for an account in which he or she has an 
interest. Commentary .07 to Amex Rule 111 provides that a registered 
options trader, in establishing or increasing a position, may not 
retain priority over or have parity with an off-floor order (i.e., a 
customer order). Thus, as explained by Amex,\15\ Rules 155 and 111 
require that, when the specialist as agent receives a customer 
marketable limit order, the specialist and any registered options 
trader establishing or increasing a position must yield precedence to 
the customer order. A registered options traders closing or reducing a 
position and a specialist not acting in an agency capacity can be on 
parity with a customer order.
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    \13\ Supra, note .
    \14\ Rule 155 is made applicable to options trading by Rule 
950(a) and Rule 111 is made applicable to options trading by Rule 
950(c).
    \15\ See January 2003 Notice.
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    The proposed rule change clarifies that when a customer order is 
competing on parity \16\ for an incoming order, the specialist would 
allocate executed contracts on an equal basis to the customer and to 
the specialist and/or any registered options traders on parity with the 
customer. Any contracts that remained would be allocated, as between 
the specialist and the registered options traders as a group, in 
accordance with the percentages set forth in the table above.\17\
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    \16\ A specialist can be on parity with a customer only when the 
specialist is not representing the customer's order.
    \17\ Commentary .06(ii) to Rule 950(d) and Commentary 
.03(a)(iii)(A) to Rule 950(n). Commentary .03(a)(iii) provides that 
the allocations are to be made ``to the extent mathematically 
possible'' according to the method set forth in the rule.
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    Further, although, as discussed above, Exchange Rules 111 and 115 
do not require the specialist and registered options traders to yield 
priority in all circumstances to a customer order, the proposed rule 
change permits the specialist or a registered options trader to direct 
some or all of their participation to competing public orders (i.e., 
competing orders for the accounts of non-broker-dealers) in the 
crowd.\18\
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    \18\ Commentary .03(a)(v) to Rule 950(n) as amended by Amendment 
No. 7. See supra note .
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D. Responsibility for Allocating Trades

    The proposed rule change sets forth that, for trades in which the 
specialist is participating, it is the specialist's responsibility to 
allocate executed contracts among all the participants in the 
trade.\19\ The specialist would be required to allocate the contracts 
according to the allocation method described above.
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    \19\ Commentary .03(a) to Rule 950(n).
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    The proposed rule change further specifies the party who would be 
responsible for allocating a trade that occurs without the 
participation of a specialist. When a floor broker is representing the 
contra-side of the trade, the floor broker would be required to 
distribute the contracts equally among the participating registered 
options traders, unless a registered options trader's portion of the 
disseminated quote size is less than an equal distribution. In the 
latter case, the registered options trader would be given a less than 
equal distribution and the remaining contracts would be allocated 
equally among the remaining participants to the trade.\20\
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    \20\ Commentary .03(b) to Rule 950(n).
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    When neither the specialist nor a floor broker representing a 
customer as the contra-side of the trade is participating in the 
trade,\21\ the registered options traders would allocate the executed 
contracts among themselves and other participants on parity in 
accordance with the same provisions setting forth allocations by the 
specialist.\22\ The Amex represents that in these situations, as well 
as others, registered options traders are only required to participate 
up to their portion of the Exchange's disseminated quote size.\23\
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    \21\ See Amendment No. 7, in which Amex amended the proposed 
text of Commentary .03(b) so that it refers to a situation where 
neither the specialist nor a floor broker representing a customer 
``as the contra-side of the trade'' is participating in the trade. 
The intent of the added language is to clarify that this provision 
relates to a situation in which the bid or offer being filled is 
that of a registered options trader, not of a customer represented 
by a floor broker. If, in such a situation, a floor broker 
representing a customer seeks to participate with the other traders 
in the crowd in filling the first trader's order, the traders would 
allocate the contracts among themselves and the floor broker in 
accordance with the rule governing how a specialist allocates an 
order, as indicated above. Amendment No. 7 also included the phrase 
``and other participants on parity'' to clarify that a floor broker 
representing a customer in this manner would be included in the 
allocation. Telephone conversation between Claire P. McGrath, Senior 
Vice President and Deputy General Counsel, Amex, and Ira Brandriss, 
Special Counsel, Division, Commission, on March 31, 2003.
    \22\ See Commentary .03(a)(iii) to Rule 950(n).
    \23\ See Amex Rule 958A.
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E. Auto-Ex Trades

    The proposed rule change also codifies Amex's procedures regarding 
the allocation of options trades executed through the Exchange's Auto-
Ex system.\24\ Such trades are automatically allocated on a rotating 
basis to the specialist and to each trader who has signed on to Auto-
Ex, with the specialist receiving a larger than equal share. Under the 
proposed rule change, the rotation would be designed to provide that 
Auto-Ex trades over the course of a day in a given option class are 
allocated, as between the specialist and traders signed on to Auto-Ex 
for that class, in approximately the same percentages that the 
specialist and traders are allocated their respective portions of non-
Auto-Ex trades--i.e., depending upon the number of traders 
participating--as set forth in the table in Section II.A. above.\25\
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    \24\ Auto-Ex automatically executes public customer market and 
marketable limit orders of a minimum of 10 and a maximum of 500 
contracts, generally, in equity and index options. See Securities 
Exchange Act Release No. 47429 (March 3, 2003), 68 FR 11418 (March 
10, 2003). In Nasdaq-100 Tracking Stock (``QQQ'') options, the 
maximum Auto-Ex size is 2,000 contracts for the two near-term 
expiration months, and 1,000 contracts for all other expiration 
months. See Securities Exchange Act Release No. 45828 (April 25, 
2002), 67 FR 22140 (May 2, 2002). Both the specialist and registered 
options traders are contra-parties to the trades executed on the 
Auto-Ex system. If an Auto-Ex trade is greater than ten contracts, 
Auto-Ex divides the execution into lots of ten or fewer contracts 
and allocates a lot to each Auto-Ex participant.
    \25\ Rule 933(d). Further details are described in the January 
2003 Notice.
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III. Discussion

    After careful consideration, the Commission has determined to 
approve the proposed rule change.\26\ For the

[[Page 23347]]

reasons discussed below, the Commission finds that the proposed rule 
change is consistent with the requirements of the Act and the rules and 
regulations thereunder applicable to a national securities exchange, 
and, in particular, with the requirements of Section 6(b)(5) of the 
Act.\27\
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    \26\ In approving this proposed rule change, the Commission has 
considered its impact on efficiency, competition, and capital 
formation. 15 U.S.C. 78c(f).
    \27\ 15 U.S.C. 78f(b)(5). Section 6(b)(5) of the Act requires 
that the rules of an exchange, among other things, be designed to 
prevent fraudulent and manipulative acts and practices, to promote 
just and equitable principles of trade, to remove impediments to and 
perfect the mechanism of a free and open market and a national 
market system, and, in general, to protect investors and the public 
interest; and not be designed to permit unfair discrimination 
between customers, issuers, brokers, or dealers.
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    The proposed rule change would codify the existing practice in many 
Amex options trading crowds to give the specialist a greater than equal 
share when on parity with registered options traders, specifying the 
extent of a specialist's enhanced participation according to the number 
of traders on parity as discussed above.\28\ The Exchange believes that 
it is necessary to provide an enhanced participation in order to 
attract and retain specialists that are willing to accept the added 
responsibilities imposed on specialists and the costs that are incurred 
in meeting these obligations.\29\ The Exchange also believes that such 
enhanced participations are necessary for it to remain competitive with 
other exchanges that currently offer enhanced participation to their 
specialists and primary market makers, and to give specialists the 
ability to attract order flow to the Exchange and its customers with 
tighter, more competitive markets.\30\
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    \28\ Supra Section II.A.
    \29\ See January 2003 Notice.
    \30\ Id.
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    The Commission believes that such participation guarantees are 
reasonable and are within the business judgment of the Exchange, as 
long as such advantages do not restrain competition and do not harm 
investors. The Commission notes that the proposed enhanced 
participations would not exceed 40 percent of an order (except when 
there is only one registered option trader on parity with the 
specialist). The Commission has found with respect to participation 
guarantees in other contexts that a maximum guarantee of 40 percent 
(where more than one trader is on parity with the specialist) is not 
inconsistent with statutory standards of competition and free and open 
markets.\31\
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    \31\ See, e.g., Securities Exchange Act Release Nos. 42455 
(February 24, 2000), 65 FR 11388 (March 2, 2000) at 11398; and 43100 
(July 31, 2000), 65 FR 48778 (August 9, 2000) at notes 96-99 and 
accompanying text.
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    The Commission further believes that the proposed rules set forth a 
reasonable method to be used by the specialist in allocating the 
remaining contracts among the registered options traders.\32\ This 
method is based on the size of each individual trader's interest as 
announced in advance.\33\ The Commission also believes that the 
proposed method for the allocation of contracts that are declined by a 
specialist or registered options trader is fair and reasonable.\34\
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    \32\ Supra Section II.B.
    \33\ Id.
    \34\ Supra notes--and accompanying text.
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    When a specialist represents a customer order, such as when a 
customer order is in the specialist's limit order book, the specialist 
must yield to the customer order. The proposed rule change provides an 
articulated sequence for allocating a trade in a situation where a 
customer order is on parity with the specialist and registered options 
traders. Specifically, the proposed rule change stipulates that the 
specialist must first allocate contracts on an equal basis to the 
customer and those participants on parity with the customer, before 
dividing the remainder of the order among the specialist and registered 
options traders who are not on parity.\35\ The Commission believes this 
provision to be reasonable, given the Exchange's longstanding rules 
that permit a specialist or a registered options trader closing a 
position to be on parity with a customer.\36\ At the same time, the 
proposed rule change would make clear that specialists and/or 
registered options traders may direct some or all of their 
participation to competing public orders, codifying a practice 
described by the Exchange of accommodating customer orders in this 
manner.\37\ The Commission believes that such accommodation of public 
customers is both reasonable and appropriate.
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    \35\ Supra Section II.C.
    \36\ The Commission notes that the Amex has filed a proposed 
rule change that would provide that a specialist or registered 
options traders may not have priority over or be on parity with a 
public customer order. See File No. SR-Amex-2003-07, available at 
the Amex and at the Commission's Public Reference Room.
    \37\ See January 2003 Notice.
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    The Commission believes that it is reasonable to assign 
responsibility for allocating a trade generally to the specialist,\38\ 
by virtue of the specialist's central role in the execution of trades 
and his or her awareness of the generally known sizes of registered 
options traders in the crowd and of customer interest. It is further 
reasonable, in the Commission's view, to assign the responsibility of 
allocation to the floor broker when the floor broker is representing 
the order that is being filled, and to the registered options traders 
when such traders are trading among themselves.\39\ The Commission 
notes that while registered options traders would allocate the order 
among themselves in accordance with the same provisions that govern 
allocation by a specialist, a floor broker would be obligated to 
distribute the contracts among the traders on parity on an equal basis. 
The Commission believes it is reasonable to make this distinction in 
order to permit the floor broker, who may not be as conversant with the 
respective sizes of participating traders, to expeditiously allocate 
the order in an equitable manner.
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    \38\ Section II.D. above.
    \39\ Id.
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    The Commission further believes that the proposed rule regarding 
the allocation of Auto-Ex trades,\40\ which would award the specialist 
and traders signed on to Auto-Ex throughout the day percentages that 
are the approximate equivalent of their respective entitlements in non-
Auto-Ex trades, is a reasonable manner in which to apportion such 
trades.
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    \40\ Supra Section II.E.
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    The Commission finds good cause, consistent with Sections 6(b)(5) 
\41\ and 19(b)(2) \42\ of the Act, for approving Amendment No. 7 to the 
proposed rule change prior to the thirtieth day after the date of 
publication of notice of filing thereof in the Federal Register. 
Amendment No. 7 corrected the proposed rule text to reflect a proposed 
change that was described in the narrative portion of the January 2003 
Notice, but was omitted from the proposed rule's text as published. The 
corrected version states that a registered options trader, as well as a 
specialist, may direct his or her participation to a competing public 
order.\43\ As already noted above, the Commission believes that such 
accommodation of public customer orders is reasonable and 
appropriate.\44\ Amendment No. 7 also clarified that when a transaction 
occurs without the participation of a specialist, and the bid or offer 
of a registered options trader is being filled, the registered options 
traders seeking to participate would include in the allocation a floor 
broker representing a customer order who was also seeking to

[[Page 23348]]

participate, in accordance with the same method that governs how a 
specialist allocates an order. As noted above, the Commission believes 
that this method is reasonable, and that the revision in Amendment No. 
1 adds clarity to the proposed rule change.
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    \41\ 15 U.S.C. 78f(b)(5).
    \42\ 15 U.S.C. 78s(b)(2).
    \43\ See supra at text accompanying note .
    \44\ Supra at text accompanying note.
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IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning Amendment No. 7, including whether Amendment No. 7 
is consistent with the Act. Persons making written submissions should 
file six copies thereof with the Secretary, Securities and Exchange 
Commission, 450 Fifth Street, NW., Washington, DC 20549-0609. Copies of 
the submission, all subsequent amendments, all written statements with 
respect to the proposed rule change, as amended, that are filed with 
the Commission, and all written communications relating to the proposed 
rule change, as amended, 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. Copies of such 
filing will also be available for inspection and copying at the 
principal office of the Amex. All submissions should refer to File No. 
SR-Amex-00-30 and should be submitted by May 22, 2003.

V. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\45\ that the proposed rule change (SR-Amex-00-30), as amended, be, 
and hereby is, approved.
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    \45\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\46\
J. Lynn Taylor,
Assistant Secretary.
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    \46\ 17 CFR 200.30-3(a)(12).
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[FR Doc. 03-10790 Filed 4-30-03; 8:45 am]
BILLING CODE 8010-01-P