[Federal Register Volume 75, Number 200 (Monday, October 18, 2010)]
[Notices]
[Pages 63870-63873]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2010-26108]



[[Page 63870]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-63077; File No. SR-ISE-2010-97]


Self-Regulatory Organizations; International Securities Exchange, 
LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule 
Change Relating to Delta Hedge Exemptions

October 12, 2010.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that on September 30, 2010, the International Securities Exchange, LLC 
(the ``Exchange'' or the ``ISE'') filed with the Securities and 
Exchange Commission (``Commission'') the proposed rule change as 
described in Items I and II below, which items have been prepared by 
the Exchange. The Exchange has filed the proposal as a ``non-
controversial'' proposed rule change pursuant to Section 
19(b)(3)(A)(iii) of the Act \3\ and Rule 19b-4(f)(6) thereunder.\4\ 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).
    \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 (i) expand the delta hedging exemption 
available for equity options positions limits, (ii) amend the reporting 
requirements applicable to members relying on the delta hedging 
exemption, and (iii) adopt a delta hedging exemption from certain index 
options position limits. The text of the proposed rule change is 
available on the Exchange's Web site http://www.ise.com, at the 
principal office of the Exchange, on the Commission's Web site at 
http://www.sec.gov, and at the Commission's Public Reference Room.

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 self-regulatory organization 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
I. Expansion of Delta-Based Equity Hedge Exemption
    On December 14, 2007,\5\ the Commission approved a proposed rule 
change establishing an exemption from equity options position and 
exercise limits for positions held by the Chicago Board Options 
Exchange (``CBOE'') members, and certain of their affiliates, that are 
``delta neutral'' \6\ under a ``permitted pricing model'', subject to 
certain conditions (``Exemption''). ISE filed a rule filing to 
establish an exemption similar to CBOE's filing.\7\ CBOE, and more 
recently, NASDAQ OMX PHLX (``PHLX''), expanded its exemption from 
equity options position and exercise limits, amended reporting 
requirements and adopted a delta hedging exemption from certain index 
options position limits.\8\ ISE proposes to amend Rules 413 and 2006 to 
make similar amendments.\9\
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    \5\ See Securities Exchange Act Release No. 56970 (December 14, 
2007), 72 FR 72428 (December 20, 2007) (SR-CBOE-2007-99). The 
exemption was extended to certain customers whose accounts are 
carried by a member. See Securities Exchange Act Release No. 60555 
(August 21, 2009), 74 FR 43741 (August 27, 2009) (SR-CBOE-2009-039).
    \6\ The term ``delta neutral'' is defined in ISE Rule 
413(a)(7)(A) as referring to an equity option position that is 
hedged, in accordance with a permitted pricing model, by a position 
in the underlying security or one or more instruments relating to 
the underlying security, for the purpose of offsetting the risk that 
the value of the option position will change with incremental 
changes in the price of the security underlying the option position.
    \7\ See Securities Exchange Act Release No. 57360 (February 20, 
2008), 73 FR 11170 (February 29, 2008) (SR-ISE-2008-06).
    \8\ See Securities Exchange Act Release Nos. 62190 (May 27, 
2010), 75 FR 31826 (June 4, 2010) (SR-CBOE-2010-021); and 62504 
(July 15, 2010), 75 FR 42797 (July 22, 2010) (SR-PHLX-2010-93).
    \9\ This proposed rule filing is being done pursuant to an 
industry-wide initiative, under the auspices of the Intermarket 
Surveillance Group (``ISG'') to establish comparable delta hedge 
exemption rules among exchanges.
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    The ``options contract equivalent of the net delta'' of a hedged 
equity option position is subject to the position limits under ISE Rule 
412, subject to the availability of other exemptions.\10\ Currently, 
the Exemption only is available for securities that directly underlie 
the applicable option position. This means that with respect to options 
on exchange-traded funds (``ETF options''), index options overlying the 
same index on which the ETF is based currently cannot be combined with 
the ETF options to calculate a net delta for purposes of the Exemption.
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    \10\ The term ``options contract equivalent of the net delta'' 
is defined in ISE Rule 413(a)(7)(B) as the net delta divided by the 
number of shares underlying the option contract. The term ``net 
delta'' is also defined in ISE Rule 413(a)(7(B) to mean, at any 
time, the number of shares (either long or short) required to offset 
the risk that the value of an equity option position will change 
with incremental changes in the price of the security underlying the 
option position, as determined in accordance with a permitted 
pricing model.
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    Many ETF options overlie exchange-traded funds that track the 
performance of an index. For example, options on Standard & Poor's 
Depositary Receipts (``SPY'') track the performance of the S&P 500 
Index. Market participants often hedge SPY options with options on the 
S&P 500 Index (``SPX options'') or with other financial instruments 
based on the S&P 500 Index for risk management purposes. The Exchange 
believes that in order for eligible market participants to more fully 
benefit from the Exemption as it relates to ETF options, securities and 
other instruments that are based on the same underlying ETF or the same 
index on which the ETF is based should also be included in any 
determination of an ETF option position's net delta or whether the 
options position is hedged delta neutral.\11\
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    \11\ However, this would not include baskets of securities for 
purposes of the Exemption.
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    Accordingly, the Exchange proposes to expand the Exemption by 
amending ISE Rule 413 to permit equity option positions for which the 
underlying security is an ETF that is based on the same index as an 
index option to be combined with an index option position for 
calculation of the delta-based equity hedge exemption. The proposed 
rule would allow financial products such as securities index options, 
index futures, and options on index futures to be included along with 
the ETF in an equity option's net delta calculation. So for example, 
the proposed rule would allow SPY options to be hedged not only with 
SPY shares, but with S&P 500 options, S&P 500 futures, options on S&P 
500 futures or any other instrument that tracks the performance of or 
is based on the S&P 500 index. This would be accomplished by including 
such positions with a related index option position in accordance with 
the Delta-Based Index Hedge Exemption rule proposed below.
    Index options and equity options (i.e., ETF options) that are 
eligible to be combined for computing a delta-based hedge exemption, 
along with all securities and/or other instruments that

[[Page 63871]]

are based on or track the performance of the same underlying security 
or index, will be grouped and the net delta and options contract 
equivalent of the net delta will be calculated for each respective 
option class based on offsets realized from the grouping as a whole.
    The Exchange proposes to amend the definition of ``net delta'' in 
ISE Rule 413(a)(7)(B) to mean, at any time, the number of shares and/or 
other units of trade \12\ (either long or short) required to offset the 
risk that the value of an equity option position will change with 
incremental changes in the price of the security underlying the option 
position, as determined in accordance with a permitted pricing model. 
The Exchange proposes to amend the definition of the ``option contract 
equivalent of the net delta'' in ISE Rule 413(a)(7)(B) to mean the net 
delta divided by the number of shares that equate to one option 
contract on a delta basis.
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    \12\ ``Other units of trade'' would include, for example, 
options or futures contracts hedging the relevant option position. 
When determining whether an ETF option hedged with other instruments 
such as ETF or index options is delta neutral, the relative size of 
the ETF option when compared to the other product is taken into 
consideration. For example, SPX options are ten (10) times larger 
than SPY options thus 1 SPX delta is equivalent to .10 SPY deltas.
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II. Reporting Requirements
    ISE Rule 413(a)(7)(F) sets forth the reporting requirements 
applicable to Exchange members who rely on the Exemption. The Exchange 
proposes to amend ISE Rule 413(a)(7)(F) to exempt from the reporting 
requirements Exchange market-makers relying on the Exemption who use 
the Options Clearing Corporation (``OCC'') pricing model, because 
market-maker positions and delta information can be accessed through 
the Exchange's market surveillance systems. This proposed exemption is 
consistent with similar exemptions from the reporting requirements 
under ISE Rule 2006(a)(13) applicable to broad-based (market) index 
options and narrow-based (industry) index options.
III. Delta-Based Index Hedge Exemption
    Index options traded on the Exchange are subject to position and 
exercise limits, as provided under ISE Rules 2004 (Position Limits for 
Broad-Based Index Options), 2005 (Position Limits for Industry Index 
Options) and 2007 (Exercise Limits). Position limits are imposed, 
generally, to prevent the establishment of options positions that can 
be used or might create incentives to manipulate or disrupt the 
underlying market so as to benefit the holder of the options position.
    Index options are often used by market participants such as 
institutional investors to hedge large portfolios. Exchange rules 
include hedge exemptions to allow certain positions in index options in 
excess of the applicable standard position limit if hedged with an 
Exchange-approved qualified portfolio. Under ISE Rule 2006, a qualified 
portfolio must be previously established and the options must be 
carried in an account with an Exchange member or if not carried by an 
Exchange member, the account must be carried by a member of a self-
regulatory organization participating in the ISG. Securities used as a 
hedge pursuant to this provision may not be used to hedge other option 
positions.
    The Exchange believes that any limit on the ability of market 
participants to use index options to hedge their portfolios exposes 
market participants to unnecessary risk on the unhedged portion of 
their portfolios. The Exchange proposes to adopt a delta-based 
exemption from index option position and exercise limits that are 
substantially similar to the delta-based equity hedge exemption under 
ISE Rule 413. A delta-based index hedge exemption would provide market 
participants the ability to accumulate an unlimited number of index 
options contracts provided that such contracts are properly delta 
hedged in accordance with the requirements of the exemption.
    Proposed Exemption. The Exchange proposes to adopt an exemption 
from index options position and exercise limits \13\ for positions held 
by Exchange members and certain of their affiliates that are ``delta 
neutral'' (as defined below) under a ``permitted pricing model'' (as 
defined below), subject to certain conditions (``Index Exemption'').
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    \13\ ISE Rule 2007 establishes exercise limits for an index 
option at the same level as the index option's position limit under 
index options position limit rules in ISE Rules 2004 and 2005, 
therefore no changes are proposed to ISE Rule 2007.
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    The term ``delta neutral'' is defined in proposed ISE Rule 
2006(c)(i) as referring to an index option position that is hedged, in 
accordance with a permitted pricing model, by a position in one or more 
correlated instruments for the purpose of offsetting the risk that the 
value of the option position will change with incremental changes in 
the value of the underlying index. Correlated instruments would be 
defined to mean securities and/or other instruments that track the 
performance of or are based on the same underlying index as the index 
underlying the option position. These definitions would allow financial 
products such as ETF options, index futures, options on index futures 
and ETFs that track the performance of or are based on the same 
underlying index to be included in an index option's net delta 
calculation.
    Any index option position that is not delta neutral would be 
subject to position and exercise limits, subject to the availability of 
other exemptions. Only the ``options contract equivalent of the net 
delta'' of such position would be subject to the appropriate position 
limit.\14\
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    \14\ Under proposed ISE Rule 2006(c)(ii), the term ``options 
contract equivalent of the net delta'' is defined as the net delta 
divided by units of trade that equate to one option contract on a 
delta basis, and the term ``net delta'' is defined as, at any time, 
the number of shares and/or other units of trade (either long or 
short) required to offset the risk that the value of an index option 
position will change with incremental changes in the value of the 
underlying index, as determined in accordance with a permitted 
pricing model.
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    In addition, members could not use the same positions in correlated 
instruments in connection with more than one hedge exemption. 
Therefore, a position in correlated instruments used as part of a delta 
hedging strategy could not also serve as the basis for any other index 
hedge exemption.
    Permitted Pricing Model. Under the proposed rule, the calculation 
of the delta for any index option position, and the determination of 
whether a particular index option position is hedged delta neutral, 
must be made using a permitted pricing model. A ``permitted pricing 
model'' is defined in proposed ISE Rule 2006(c)(iii) to have the same 
meaning as defined in ISE Rule 413(a)(7)(C), namely, the pricing model 
maintained and operated by OCC and the pricing models used by (i) a 
member or its affiliate subject to consolidated supervision by the SEC 
pursuant to Appendix E of SEC Rule 15c3-1; (ii) a financial holding 
company (``FHC'') or a company treated as an FHC under the Bank Holding 
Company Act of 1956, or its affiliate subject to consolidated holding 
company group supervision; \15\ (iii) an SEC registered

[[Page 63872]]

OTC derivatives dealer; \16\ and (iv) a national bank.\17\
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    \15\ The pricing model of an FHC or of an affiliate of an FHC 
would have to be consistent with: (i) The requirements of the Board 
of Governors of the Federal Reserve System, as amended from time to 
time, in connection with the calculation of risk-based adjustments 
to capital for market risk under capital requirements of the Board 
of Governors of the Federal Reserve System, provided that the member 
or affiliate of a member relying on this exemption in connection 
with the use of such model is an entity that is part of such 
company's consolidated supervised holding company group; or (ii) the 
standards published by the Basel Committee on Banking Supervision, 
as amended from time to time and as implemented by such company's 
principal regulator, in connection with the calculation of risk-
based deductions or adjustments to or allowances for the market risk 
capital requirements of such principal regulator applicable to such 
company--where ``principal regulator'' means a member of the Basel 
Committee on Banking Supervision that is the home country 
consolidated supervisor of such company--provided that the member or 
affiliate of a member relying on this exemption in connection with 
the use of such model is an entity that is part of such company's 
consolidated supervised holding company group. See ISE Rule 
413(a)(7)(C)(3).
    \16\ The pricing model of an SEC registered OTC derivatives 
dealer would have to be consistent with the requirements of Appendix 
F to SEC Rule 15c3-1 and SEC Rule 15c3-4 under the Act, as amended 
from time to time, in connection with the calculation of risk-based 
deductions from capital for market risk thereunder. Only an OTC 
derivatives dealer and no other affiliated entity (including a 
member) would be able to rely on this part of the Exemption. See ISE 
Rule 413(a)(7)(C)(4).
    \17\ The pricing model of a national bank would have to be 
consistent with the requirements of the Office of the Comptroller of 
the Currency, as amended from time to time, in connection with the 
calculation of risk-based adjustments to capital for market risk 
under capital requirements of the Office of the Comptroller of the 
Currency. Only a national bank and no other affiliated entity 
(including a member) would be able to rely on this part of the 
Exemption. See ISE Rule 413(a)(7)(C)(5).
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    Aggregation of Accounts. Members and non-member affiliates relying 
on the Index Exemption would be required to ensure that the permitted 
pricing model is applied to all positions in correlated instruments 
hedging the relevant option position that are owned or controlled by 
the member, or its affiliates.
    However, the net delta of an index option position held by an 
entity entitled to rely on the Index Exemption, or by a separate and 
distinct trading unit of such entity, may be calculated without regard 
to positions in correlated instruments held by an affiliated entity or 
by another trading unit within the same entity, provided that: (i) The 
entity demonstrates to the Exchange's satisfaction that no control 
relationship, as defined in ISE Rule 412(f), exists between such 
affiliates or trading units, and (ii) the entity has provided the 
Exchange written notice in advance that it intends to be considered 
separate and distinct from any affiliate, or, as applicable, which 
trading units within the entity are to be considered separate and 
distinct from each other for purposes of the Index Exemption.\18\ Any 
member or non-member affiliate relying on the Index Exemption must 
designate, by prior written notice to the Exchange, each trading unit 
or entity whose options positions are required by Exchange rules to be 
aggregated with the options positions of such member or non-member 
affiliate relying on the Index Exemption for purposes of compliance 
with Exchange position or exercise limits.\19\
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    \18\ See proposed ISE Rule 2006(c)(iv)(2)(B).
    \19\ See proposed ISE Rule 2006(c)(iv)(3).
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    The Exchange previously issued a Regulatory Information Circular to 
provide guidance to members regarding the use of delta hedge 
exemption.\20\
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    \20\ See Regulatory Information Circular 2008-04 dated March 5, 
2008.
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    Obligations of Members and Affiliates. Any member relying on the 
Index Exemption would be required to provide a written certification to 
the Exchange that it is using a permitted pricing model as defined in 
the rule for purposes of the Index Exemption.\21\ In addition, by such 
reliance, such member would authorize any other person carrying for 
such member an account including, or with whom such member has entered 
into, a position in a correlated instrument hedging the relevant option 
position to provide to the Exchange or OCC such information regarding 
such account or position as the Exchange or OCC may request as part of 
the Exchange's confirmation or verification of the accuracy of any net 
delta calculation under this exemption.\22\
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    \21\ See proposed ISE Rule 2006(c)(v)(1)(A).
    \22\ See proposed ISE Rule 2006(c)(v)(1)(B).
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    The index option positions of a non-member affiliate relying on the 
Index Exemption must be carried by a member with which it is 
affiliated.\23\ A member carrying an account that includes an index 
option position for a non-member affiliate that intends to rely on the 
Index Exemption would be required to obtain from such non-member 
affiliate a written certification that it is using a permitted pricing 
model as defined in the rule for purposes of the Index Exemption.\24\
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    \23\ See proposed ISE Rule 2006(c)(v)(2).
    \24\ In addition, the member would be required to obtain from 
such non-member affiliate a written statement confirming that such 
non-member affiliate: (a) Is relying on the Index Exemption; (b) 
will use only a permitted pricing model for purposes of calculating 
the net delta of its option positions for purposes of the Index 
Exemption; (c) will promptly notify the member if it ceases to rely 
on the Index Exemption; (d) authorizes the member to provide to the 
Exchange or the OCC such information regarding positions of the non-
member affiliate as the Exchange or OCC may request as part of the 
Exchange's confirmation or verification of the accuracy of any net 
delta calculation under the Index Exemption; and (e) if the non-
member affiliate is using the OCC Model, has duly executed and 
delivered to the Exchange such documents as the Exchange may require 
to be executed and delivered to the Exchange as a condition to 
reliance on the Exemption. See proposed ISE Rule 2006(c)(v)(3).
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    Reporting. Under proposed ISE Rule 2006(c)(v)(4), each member 
(other than an Exchange market-maker using the OCC Model) relying on 
the Index Exemption would be required to report, in accordance with 
Rule 415: \25\ (i) All index option positions (including those that are 
delta neutral) that are reportable thereunder, and (ii) on its own 
behalf or on behalf of a designated aggregation unit pursuant to ISE 
Rule 2006(c)(iv) for each such account that holds an index option 
position subject to the Index Exemption in excess of the levels 
specified in ISE Rules 2004 and 2005 the net delta and the options 
contract equivalent of the net delta of such position.
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    \25\ ISE Rule 415 requires, among other things, that members 
report to the Exchange aggregate long or short positions of 200 or 
more options contracts of any single class of options traded on the 
Exchange.
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    Records. Under proposed ISE Rule 2006(c)(v)(5), each member relying 
on the Index Exemption would be required to (i) retain, and undertake 
reasonable efforts to ensure that any non-member affiliate of the 
member relying on the Index Exemption retains, a list of the options, 
securities and other instruments underlying each option position net 
delta calculation reported to the Exchange hereunder, and (ii) produce 
such information to the Exchange upon request.\26\
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    \26\ A member would be authorized to report position information 
of its non-member affiliate pursuant to the written statement 
required under proposed ISE Rule 2006(c)(v)(3)(B)(d).
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    Reliance on Federal Oversight. As provided under proposed ISE Rule 
2006(c)(iii), a permitted pricing model includes proprietary pricing 
models used by members and affiliates that have been approved by the 
SEC, the Fed or another Federal financial regulator. In adopting the 
proposed Index Exemption, the Exchange would be relying upon the 
rigorous approval processes and ongoing oversight of a Federal 
financial regulator. The Exchange notes that it would not be under any 
obligation to verify whether a member's or its affiliate's use of a 
proprietary pricing model is appropriate or yielding accurate results.
    The Exchange will issue a regulatory circular upon publication of 
the notice of this filing regarding the proposal herein.
2. Statutory Basis
    The Exchange believes that its proposal is consistent with Section 
6(b) of the Act \27\ in general, and furthers the objectives of Section 
6(b)(5) of the Act \28\ in particular, in that it is designed 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.
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    \27\ 15 U.S.C. 78f(b).
    \28\ 15 U.S.C. 78f(b)(5).
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    The Exchange believes that allowing correlated instruments to be 
included in

[[Page 63873]]

the calculation of an equity option's net delta would enable eligible 
market participants to more fully realize the benefit of the delta 
based equity hedge exemption. The proposed delta-based index hedge 
exemption would be substantially similar to the delta-based equity 
hedge exemption under ISE Rule 413. Also, the Commission has previously 
stated its support for recognizing options positions hedged on a delta 
neutral basis as properly exempted from position limits.\29\
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    \29\ See Securities Exchange Act Release No. 40594 (October 23, 
1998), 63 FR 59362, 59380 (November 3, 1998) (adopting rules 
relating to OTC Derivatives Dealers).
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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 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 either solicited or received.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Because the foregoing rule change does not: (1) Significantly 
affect the protection of investors or the public interest; (2) impose 
any significant burden on competition; and (3) become operative for 30 
days after the date of this filing, or such shorter time as the 
Commission may designate, it has become effective pursuant to Section 
19(b)(3)(A) of the Act \30\ and Rule 19b-4(f)(6) thereunder.\31\
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    \30\ 15 U.S.C. 78s(b)(3)(A).
    \31\ 17 CFR 240.19b-4(f)(6).
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    A proposed rule change filed under 19b-4(f)(6) normally may not 
become operative prior to 30 days after the date of filing.\32\ 
However, Rule 19b-4(f)(6)(iii) \33\ permits the Commission to designate 
a shorter time if such action is consistent with the protection of 
investors and the public interest. The Exchange has requested that the 
Commission waive the 30-day operative delay. 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 it has approved a substantially similar proposal filed by the 
Chicago Board Options Exchange, Incorporated,\34\ and therefore 
believes that no significant purpose is served by a 30-day operative 
delay. For these reasons, the Commission designates the proposed rule 
change to be operative upon filing with the Commission.\35\
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    \32\ 17 CFR 240.19b-4(f)(6)(iii). In addition, Rule 19b-
4(f)(6)(iii) requires that a self-regulatory organization submit to 
the Commission written notice of its intent to file the proposed 
rule change, along with a brief description and text of the proposed 
rule change, at least five business days prior to the date of filing 
of the proposed rule change, or such shorter time as designated by 
the Commission. The Exchange has satisfied this requirement.
    \33\ Id.
    \34\ See Securities Exchange Act Release No. 62190 (May 27, 
2010), 75 FR 31826 (June 4, 2010) (SR-CBOE-2010-21). See also 
Securities Exchange Act Release No. 62504 (July 15, 2010), 75 FR 
42797 (July 22, 2010) (SR-PHLX-2010-93).
    \35\ For the purposes only of waiving the 30-day operative 
delay, the Commission has considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
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    At any time within 60 days of the filing of such proposed rule 
change the Commission summarily may temporarily suspend 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 Number SR-ISE-2010-97 on the subject line.

Paper Comments

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

    All submissions should refer to File Number SR-ISE-2010-97. 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 Commission's 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 on official 
business days between the hours of 10 a.m. and 3 p.m. 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-ISE-2010-97 and should be submitted on or before 
November 8, 2010.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\36\
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    \36\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010-26108 Filed 10-15-10; 8:45 am]
BILLING CODE 8011-01-P