[Federal Register Volume 71, Number 139 (Thursday, July 20, 2006)]
[Notices]
[Pages 41283-41287]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: E6-11489]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-54137; File No. SR-Amex-2006-67]


Self-Regulatory Organizations; American Stock Exchange LLC; 
Notice of Filing and Immediate Effectiveness of Proposed Rule Change To 
Permit the Listing and Trading of Quarterly Options Series

July 12, 2006.
    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 July 11, 2006, the American Stock Exchange LLC (``Exchange'' or 
``Amex'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I and 
II below, which Items have been substantially prepared by the Exchange. 
The Exchange has designated this proposal as non-controversial under 
Section 19(b)(3)(A)(iii) of the Act \3\ and Rule 19b-4(f)(6) 
thereunder,\4\ which renders the proposed rule change effective upon 
filing with the Commission. 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\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \4\ 17 CFR 240.19b-4(f)(6).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to amend its rules to permit the listing and 
trading of quarterly options series.\5\ The text of the proposed rule 
change is set forth below. Proposed new language is in italics; 
language proposed to be deleted is in [brackets].
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    \5\ This proposal is substantially identical to a recently 
approved proposal by the International Securities Exchange (``ISE'') 
to list Quarterly Options Series on a pilot basis. See Securities 
Exchange Act Releases No. 53857 (May 24, 2006), 71 FR 31246 (June 1, 
2006) (notice of filing); and 54113 (July 7, 2006) (approval order).
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* * * * *

Rule 900--Applicability, Definitions and References

    (a) No change.
    (b) Definitions--The following terms as used in the Rules in this 
Chapter shall, unless the context otherwise indicates, have the 
meanings herein specified:
    (1)-(44) No change.
    (45) Quarterly Options Series--The term ``Quarterly Options 
Series'' means a series in an options class that is approved for 
listing and trading on the Exchange in which the series is opened for 
trading on any business day and that expires at the close of business 
on the last business day of a calendar quarter:
    (c)-(d) No change.
* * * Commentary
    .01 No change.
* * * * *

Rule 903--Series of Options Open for Trading

    (a) After a particular class of options (call option contracts or 
put option contracts relating to a specific underlying security or 
calculated index) has been approved for listing and trading on the 
Exchange, the Exchange shall from time to time open for trading series 
of options therein. Prior to the opening of trading in any series of 
options, the Exchange shall fix the expiration month, expiration year 
(if the options series has more than one year remaining to expiration), 
and exercise price of option contracts included in each such series. 
For Short Term Options Series, the Exchange will fix a specific 
expiration date and exercise price, as provided in paragraph (h). For 
Quarterly Options Series, the Exchange will fix a specific expiration 
date and exercise price, as provided in Commentary .09.
    (b)-(h) No change.

[[Page 41284]]

* * * Commentary
    .01-.08 No change.
    .09 Quarterly Options Series Pilot Program: For a pilot period, the 
Exchange may list and trade options series that expire at the close of 
business on the last business day of a calendar quarter (``Quarterly 
Options Series''). The Exchange may list Quarterly Options Series for 
up to five (5) currently listed options classes that are either Stock 
Index Options or options on exchange traded funds. In addition, the 
Exchange may also list Quarterly Options Series on any options classes 
that are selected by other securities exchanges that employ a similar 
pilot program under their respective rules. The pilot will commence the 
day the Exchange first initiates trading in a Quarterly Options Series, 
which shall be no later than August 10, 2006 and will expire on July 
10, 2007.
    (a) The Exchange will list series that expire at the end of the 
next consecutive four (4) calendar quarters, as well as the fourth 
quarter of the next calendar year. For example, if the Exchange is 
trading Quarterly Options Series in the month of May 2006, it will list 
series that expire at the end of the second, third and fourth quarters 
of 2006, as well as the first and fourth quarters of 2007. Following 
the second quarter 2006 expiration, the Exchange will add series that 
expire at the end of the second quarter of 2007.
    (b) The Exchange will not list a Short Term Options Series on an 
options class whose expiration coincides with that of a Quarterly 
Options Series on that same options class.
    (c) The strike price of each Quarterly Options Series will be fixed 
at a price per share, with at least two strike prices above and two 
strike prices below the value of the underlying security at about the 
time that a Quarterly Options Series is opened for trading on the 
Exchange. The Exchange shall list strike prices for a Quarterly Options 
Series that are within $5 from the closing price of the underlying on 
the preceding day. Additional Quarterly Options Series of the same 
class may be opened for trading on the Exchange when the Exchange deems 
it necessary to maintain an orderly market, to meet customer demand or 
when the market price of the underlying security moves substantially 
from the initial exercise price or prices. To the extent that any 
additional strike prices are listed by the Exchange, such additional 
strike prices shall be within $5 from the closing price of the 
underlying on the preceding day. The opening of new Quarterly Options 
Series shall not affect the series of options of the same class 
previously opened.
    (d) The interval between strike prices on Quarterly Options Series 
shall be the same as the interval for strike prices for series in that 
same options class that expire in accordance with the normal monthly 
expiration cycle.
* * * * *

Rule 900C--Applicability and Definitions

    (a) No change.
    (b) Definitions--The following terms as used in the Rules in this 
Section shall, unless the context otherwise indicates, have the 
meanings herein specified:
    (1)-(25) No change.
    (26) Quarterly [Index Expiration] Options Series--The term 
``quarterly [index expiration] options series'' means [an option 
contract on a stock index group that expires on the first business day 
of the month following the end of a calendar quarter], for the purposes 
of this Section 14, a series in an index options class that is approved 
for listing and trading on the Exchange in which the series is opened 
for trading on any business day and that expires at the close of 
business on the last business day of a calendar quarter.
    (27) No change.
* * * * *

Rule 903C--Series of Stock Index Options

    (a) No change.
    (i)-(iii) No change.
    (iv) [Quarterly Index Expiration Option Series--The Exchange may 
list options on the Major Market (``XMI''), Institutional (``XII'') and 
S&P MidCap 400 (``MID'') stock indices that expire on the first 
business day of the month following the end of a calendar quarter. For 
such options, the Exchange may list up to eight consecutive quarterly 
expirations with an index multiplier no greater than 500. All other 
contract terms for such options will conform to the terms of the XMI, 
XII and MID options listed pursuant to the provisions of Rule 
903C(a)(i) and (ii) above.] Quarterly Options Series Pilot Program: For 
a pilot period, the Exchange may list and trade options series that 
expire at the close of business on the last business day of a calendar 
quarter (``Quarterly Options Series''). The Exchange may list Quarterly 
Options Series for up to five (5) currently listed options classes that 
are either Stock Index Options or options on exchange traded funds. In 
addition, the Exchange may also list Quarterly Options Series on any 
options classes that are selected by other securities exchanges that 
employ a similar pilot program under their respective rules. The pilot 
will commence the day the Exchange first initiates trading in a 
Quarterly Options Series, which shall be no later than August 10, 2006 
and will expire on July 10, 2007.
    1. The Exchange will list series that expire at the end of the next 
consecutive four (4) calendar quarters, as well as the fourth quarter 
of the next calendar year. For example if the Exchange is trading 
Quarterly Options Series in the month of May 2006, it will list series 
that expire at the end of the second, third and fourth quarters of 
2006, as well as the first and fourth quarters of 2007. Following the 
second quarter 2006 expiration, the Exchange will add series that 
expire at the end of the second quarter of 2007.
    2. The Exchange will not list a Short Term Option Series on an 
options class whose expiration coincides with that of a Quarterly 
Options Series on that same options class.
    3. Quarterly Options Series shall be P.M. settled.
    4. The strike price of each Quarterly Options Series will be fixed 
at a price per share, with at least two strike prices above and two 
strike prices below the value of the underlying security at about the 
time that a Quarterly Options Series is opened for trading on the 
Exchange. The Exchange shall list strike prices for a Quarterly Options 
Series that are within $5 from the closing price of the underlying on 
the preceding day. The Exchange may open for trading additional 
Quarterly Options Series of the same class if the current index value 
of the underlying index moves substantially from the exercise price of 
those Quarterly Options Series that already have been opened for 
trading on the Exchange. The exercise price of each Quarterly Options 
Series opened for trading on the Exchange shall be reasonably related 
to the current index value of the underlying index to which such series 
relates at or about the time such series of options is first opened for 
trading on the Exchange. The term ``reasonably related to the current 
index value of the underlying index'' means that the exercise price is 
within thirty percent (30%) of the current index value. The Exchange 
may also open for trading additional Quarterly Options Series that are 
more than thirty percent (30%) away from the current index value, 
provided that demonstrated customer interest exists for such series, as 
expressed by institutional, corporate, or individual customers or their 
brokers. Market-makers trading for their own account shall not be 
considered when

[[Page 41285]]

determining customer interest under this provision.
    5. The interval between strike prices on Quarterly Options Series 
shall be the same as the interval for strike prices for series in that 
same options class that expire in accordance with the normal monthly 
expiration cycle.
    (v) No change.
    (b)-(c) No change.
* * * Commentary
    .01-.04 No change.

Rule 904C--Position Limits

    (a) No change.
    (b) Broad Stock Index Groups. No change.

--Full Size Nasdaq 100 Index Options (NDX) through Eurotop 100 Index 
Options--No change.
--Positions in Short Term Option Series and Quarterly Options Series 
shall be aggregated with positions in options contracts on the same 
index.
--Russell 1000 Index Options, etc.--No change.

    (c) Stock Index Industry Groups.
    (i) Subject to the procedures specified in sub-paragraph (iii) of 
this paragraph (c), the Exchange shall establish a position limit with 
respect to options on the Pauze[eacute] Tombstone Common Stock Index of 
6,000 contracts and for each underlying stock index industry group at a 
level no greater than:

--18,000 contracts if the Exchange determines, at the time of a review 
conducted pursuant to subparagraph (ii) of this paragraph (c), that any 
single stock in the group accounted, on average, for 30% or more of the 
numerical index value during the 30-day period immediately preceding 
the review; or
--24,000 contracts if the Exchange determines, at the time of a review 
conducted pursuant to subparagraph (ii) of this paragraph (c), that any 
single stock in the group accounted, on average, for 20% or more of the 
numerical index value or that any five stocks in the group together 
accounted, on average, for more than 50% of the numerical index value, 
but that no single stock in the group accounted, on average, for 30% or 
more of the numerical index value, during the 30-day period immediately 
preceding the review; or
--31,500 contracts if the Exchange determines that the conditions 
specified above which would require the establishment of a lower limit 
have not occurred.
--Positions in Short Terms Option Series and Quarterly Options Series 
shall be aggregated with positions in options contracts on the same 
index.

    (ii)-(iii) No change.
    (d) No change.
* * * * *

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 and 
discussed any comments it received on 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 
sections 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

1. Purpose
    The Exchange proposes to amend its rules to accommodate the listing 
of options series that would expire at the close of business on the 
last business day of a calendar quarter (``Quarterly Options 
Series'').\6\ Quarterly Options Series could be opened on any approved 
options class \7\ on a business day (``Quarterly Options Opening 
Date'') and would expire at the close of business on the last business 
day of a calendar quarter (``Quarterly Options Expiration Date''). The 
Exchange would list series that expire at the end of the next four 
consecutive calendar quarters, as well as the fourth quarter of the 
next calendar year. For example, if the Exchange were trading Quarterly 
Options Series in the month of May 2006, it would list series that 
expire at the end of the second, third, and fourth quarters of 2006, as 
well as the first and fourth quarters of 2007. Following the second 
quarter 2006 expiration, the Exchange would add series that expire at 
the end of the second quarter of 2007.
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    \6\ In 1993, the Exchange was granted SEC approval to list and 
trade broad-based index options that expire at the end of each 
quarter. See Securities Exchange Act Release No. 31844 (February 9, 
1993); 58 FR 8796 (February 17, 1993). The Exchange listed and 
traded these options on the Major Market Index (XMI), Institutional 
Index (XII) and S&P Midcap Index (MID). These quarterly-style 
options proved to be of limited use to investors and did not trade 
particularly well, largely because they were A.M.-settled options.
    \7\ Quarterly Options Series may be opened in options on indexes 
or options on Exchange Traded Fund (``ETFs'') that satisfy the 
applicable listing criteria under Amex rules.
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    Quarterly Options Series listed on currently approved options 
classes would be P.M.-settled and, in all other respects, would settle 
in the same manner as do the monthly expiration series in the same 
options class.
    The proposed rule change would allow the Exchange to open up to 
five currently listed options classes that are either index options or 
options on ETFs. The strike price for each series would be fixed at a 
price per share, with at least two strike prices above and two strike 
prices below the approximate value of the underlying security at about 
the time that a Quarterly Options Series is opened for trading on the 
Exchange. The Exchange may list strike prices for a Quarterly Options 
Series that are within $5 from the closing price of the underlying 
security on the preceding trading day. The proposal would permit the 
Exchange to open for trading additional Quarterly Options Series of the 
same class when the Exchange deems it necessary to maintain an orderly 
market, to meet customer demand, or when the current market price of 
the underlying security moves substantially from the exercise prices of 
those Quarterly Options Series that already have been opened for 
trading on the Exchange. In addition, the exercise price of each 
Quarterly Options Series on an underlying index would be required to be 
reasonably related to the current index value of the index at or about 
the time such series of options were first opened for trading on the 
Exchange. The term ``reasonably related to the current index value of 
the underlying index'' means that the exercise price is within thirty 
percent of the current index value. The Exchange would also be 
permitted to open for trading additional Quarterly Options Series on an 
underlying index that are more than thirty percent away from the 
current index value, provided that demonstrated customer interest 
exists for such series, as expressed by institutional, corporate, or 
individual customers or their brokers. Market-Makers trading for their 
own account shall not be considered when determining customer interest 
under this provision.
    Because monthly options series expire on the third Friday of their 
expiration month, a Quarterly Options Series, which would expire on the 
last business day of the quarter, could never expire in the same week 
in which a monthly options series in the same class expires. The same, 
however, is not the case for Short Term Option Series. Quarterly 
Options Series and Short Term Option Series on the same options class 
could potentially expire concurrently under

[[Page 41286]]

the proposal.\8\ Therefore, to avoid any confusion in the marketplace, 
the proposal stipulates that the Exchange may not list a Short Term 
Option Series that expires at the end of the day on the same day as a 
Quarterly Options Series in the same class expires. In other words, the 
proposed rules would not permit the Exchange to list a P.M.-settled 
Short Term Option Series on an ETF or an index that would expire on a 
Friday that is the last business day of a calendar quarter if a 
Quarterly Options Series on that ETF or index were scheduled to expire 
on that day.
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    \8\ The Exchange currently does not have any Short Term Option 
Series listed for trading.
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    However, the proposed rules would permit the Exchange to list as 
A.M.-settled Short Term Option Series and a P.M.-settled Quarterly 
Options Series in the same options class that both expire on the same 
day (i.e., on a Friday that is the last business day of the calendar 
quarter). The Exchange believes that the concurrent listing of an A.M.-
settled Short Term Option Series and a P.M.-settled Quarterly Options 
Series on the same underlying ETF or index that expire on the same day 
would not tend to cause the same confusion as would P.M.-settled short 
term and quarterly series in the same options class, and would provide 
investors with an additional hedging mechanism.
    Finally, the interval between strike prices on Quarterly Options 
Series would be the same as the interval for strike prices for series 
in the same options class that expires in accordance with the normal 
monthly expiration cycles.
    The Exchange believes that Quarterly Options Series would provide 
investors with a flexible and valuable tool to manage risk exposure, 
minimize capital outlays, and be more responsive to the timing of 
events affecting the securities that underlie option contracts. At the 
same time, the Exchange is cognizant of the need to be cautious in 
introducing a product that can increase the number of outstanding 
strike prices. For that reason, the Exchange intends to employ a 
limited pilot program (``Pilot Program'') for Quarterly Options Series. 
Under the terms of the Pilot Program, the Exchange could select up to 
five option classes on which Quarterly Options Series may be opened on 
any Quarterly Options Opening Date. The Exchange would also be allowed 
to list those Quarterly Options Series on any options class that is 
selected by another securities exchange with a similar Pilot Program 
under its rules. The Exchange believes that limiting the number of 
options classes in which Quarterly Options Series may be opened would 
help to ensure that the addition of the new series through this Pilot 
Program will have only a negligible impact on the Exchange's and the 
Option Price Reporting Authority's (``OPRA'') quoting capacity. Also, 
limiting the term of the Pilot Program to a period of approximately one 
year will allow the Exchange and the Commission to determine whether 
the program should be extended, expanded, and/or made permanent.
    If the Exchange were to propose an extension or an expansion of the 
program, or were the Exchange to propose to make the Pilot Program 
permanent, the Exchange would submit, along with any filing proposing 
such amendments to the Pilot Program, a Pilot Program report 
(``Report'') that will provide an analysis of the Pilot Program 
covering the entire period during which the Pilot Program was in 
effect. The Report would include, at a minimum: (1) Data and written 
analysis on the open interest and trading volume in the classes for 
which Quarterly Option Series were opened; (2) an assessment of the 
appropriateness of the options classes selected for the Pilot Program; 
(3) an assessment of the impact of the Pilot Program on the capacity of 
the Amex, OPRA, and on market data vendors (to the extent data from 
market data vendors is available); (4) any capacity problems or other 
problems that arose during the operation of the Pilot Program and how 
the Amex addressed such problems; (5) any complaints that the Amex 
received during the operation of the Pilot Program and how the Amex 
addressed them; and (6) any additional information that would assist in 
assessing the operation of the Pilot Program. The Report must be 
submitted to the Commission at least sixty days prior to the expiration 
date of the Pilot Program.
    Alternatively, at the end of the Pilot Program, if the Exchange 
determines not to propose an extension or an expansion of the Pilot 
Program, or if the Commission determines not to extend or expand the 
Pilot Program, the Exchange would no longer list any additional 
Quarterly Options Series and would limit all existing open interest in 
Quarterly Options Series to closing transactions only.
    Finally, the Exchange represents that it has the necessary systems 
capacity to support new options series that will result from the 
introduction of Quarterly Options Series.
2. Statutory Basis
    The Exchange believes that the introduction of Quarterly Options 
Series will satisfy institutional demand for such options and provide 
additional flexibility and additional risk management tools to 
investors. For these reasons, the Exchange believes that the proposed 
rule change is consistent with Section 6(b) of the Act \9\ in general 
and furthers the objectives of Section 6(b)(5) of the Act \10\ in 
particular in that it is designed to promote just and equitable 
principles of trade, to prevent fraudulent and manipulative acts and 
practices, and, in general, to protect investors and the public 
interest.
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    \9\ 15 U.S.C. 78f(b).
    \10\ 15 U.S.C. 78f(b)(5).
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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 Exchange has filed the proposed rule change pursuant to Section 
19(b)(3)(A) of the Act \11\ and subparagraph (f)(6) of Rule 19b-4 
thereunder.\12\ Because the foregoing proposed rule change (i) Does not 
significantly affect the protection of investors or the public 
interest; (ii) does not impose any significant burden on competition; 
and (iii) does not become operative for 30 days from the date on which 
it was filed, or such shorter time as the Commission may designate, if 
consistent with the protection of investors and the public interest, 
the proposed rule change has become effective pursuant to Section 
19(b)(3)(A) of the Act and Rule 19b-4(f)(6)(iii) thereunder.\13\
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    \11\ 15 U.S.C. 78s(b)(3)(A).
    \12\ 17 CFR 240.19b-4(f)(6).
    \13\ Rule 19b-4(f)(6)(iii) requires the Exchange to give written 
notice to the Commission of its intent to file the proposed rule 
change five business days prior to filing. The Commission has 
determined to waive the five-day pre-filing requirement for this 
proposal.
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    A proposed rule change filed under Rule 19b-4(f)(6) normally does 
not become operative for 30 days after the

[[Page 41287]]

date of filing. However, Rule 19b-4(f)(6)(iii) permits the Commission 
to waive the operative delay if such action is consistent with the 
protection of investors and the public interest. The Exchange has asked 
the Commission to waive the operative delay to permit the Pilot Program 
extension to become effective prior to the 30th day after filing.
    The Commission believes that waiving the 30-day operative delay is 
consistent with the protection of investors and the public interest. 
The Commission notes that the proposal is substantially identical to 
the ISE's Quarterly Option Series Pilot Program, previously published 
for comment and approved by the Commission,\14\ and thus the Exchange's 
proposal raises no new issues of regulatory concern. Moreover, waiving 
the operative delay will allow the Exchange to immediately compete with 
other exchanges that list and trade quarterly options under similar 
programs, and consequently will benefit the public. Therefore, the 
Commission has determined to waive the 30-day delay and allow the 
proposed rule change to become operative immediately.\15\
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    \14\ See supra note 5.
    \15\ For purposes only of waiving the operative delay of this 
proposal, the Commission notes that it has considered the proposed 
rule's impact on efficiency, competition, and capital formation. 15 
U.S.C. 78c(f).
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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 [email protected]. Please include 
File No. SR-Amex-2006-67 on the subject line.

Paper Comments

     Send paper comments in triplicate to Nancy M. Morris, 
Secretary, Securities and Exchange Commission, 100 F Street, NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-Amex-2006-67. 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 Commissions 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. Copies of such filing also will be 
available for inspection and copying at the principal office of the 
Exchange. 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-
Amex-2006-67 and should be submitted on or before August 10, 2006.
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    \16\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\16\
J. Lynn Taylor,
Assistant Secretary.
 [FR Doc. E6-11489 Filed 7-19-06; 8:45 am]
BILLING CODE 8010-01-P