[Federal Register Volume 76, Number 71 (Wednesday, April 13, 2011)]
[Notices]
[Pages 20779-20780]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2011-8801]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-64247; File No. SR-OCC-2011-04]
Self-Regulatory Organizations; The Options Clearing Corporation;
Notice of Filing and Immediate Effectiveness of Proposed Rule Change To
Provide Legal Certainty for the Trading of Futures on the CBOE Gold ETF
Volatility Index
April 7, 2011.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ notice is hereby given that on March 25, 2011, The
Options Clearing Corporation (``OCC'') filed with the Securities and
Exchange Commission (``Commission'') the proposed rule change described
in Items I, II, and III below, which Items have been prepared primarily
by OCC. OCC filed the proposal pursuant to Section 19(b)(3)(A)(i) of
the Act \2\ and Rule 19b-4(f)(1) \3\ thereunder so that the proposal
was effective upon filing with the Commission. The Commission is
publishing this notice to solicit comments on the rule change from
interested parties.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 15 U.S.C. 78s(b)(3)(A)(i).
\3\ 17 CFR 240.19b-4(f)(1).
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The proposed rule change will provide legal certainty for the
trading of futures on the CBOE Gold ETF Volatility Index (``GVZ
Index'').
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, OCC 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. OCC has prepared summaries, set forth in sections (A),
(B), and (C) below, of the most significant aspects of these
statements.\4\
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\4\ The Commission has modified the text of the summaries
prepared by OCC.
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(A) Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
The purpose of this proposed rule change is to make clear that OCC
will clear futures on the GVZ Index as security futures. OCC is
proposing to add an interpretation to Article XII, Section 1 of OCC's
By-Laws.
The GVZ Index is described by the CBOE Futures Exchange, LLC
(``CFE'') as an up-to-the-minute market estimate of the expected
volatility of SPDR Gold Shares (``GLD'') calculated by using real-time
bid/ask quotes of Chicago Board Options Exchange, Incorporated listed
GLD options.\5\ CFE states that the GVZ Index uses nearby and second
nearby options with at least 8 days left to expiration and then weights
them to yield a constant, 30-day measure of the expected (implied)
volatility.
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\5\ Securities Exchange Act Release No. 34-64152 (March 30,
2011).
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In its capacity as a ``derivatives clearing organization''
registered as such with the Commodity Futures Trading Commission
(``CFTC''), OCC is concurrently submitting this rule filing to the CFTC
pursuant to the self-certification procedures of CFTC Regulation 40.6.
OCC believes that the proposed rule change and interpretation of
OCC's By-Laws is consistent with the requirements of Section 17A of the
Act \6\
[[Page 20780]]
and the rules and regulations thereunder applicable to OCC because it
is designed to promote the prompt and accurate clearance and settlement
of transactions in security futures, to foster cooperation and
coordination with persons engaged in the clearance and settlement of
such transactions, to remove impediments to and perfect the mechanism
of a national system for the prompt and accurate clearance and
settlement of such transactions, and, in general, to protect investors
and the public interest. It accomplishes this purpose by clarifying the
jurisdiction under, and capacity in which, OCC clears futures on the
GVZ Index. The proposed rule change is not inconsistent with the By-
Laws and Rules of OCC.
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\6\ 15 U.S.C. 78q-1.
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(B) Self-Regulatory Organization's Statement on Burden on Competition
OCC does not believe that the proposed rule change will have any
impact or impose any burden on competition.
(C) Self-Regulatory Organization's Statement on Comments on the
Proposed Rule Change Received From Members, Participants, or Others
Written comments relating to the proposed rule change have not been
solicited or received. OCC will notify the Commission of any written
comments received by OCC.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
The foregoing proposed rule change has become effective upon filing
pursuant to Section 19(b)(3)(A)(i) of the Act \7\ and Rule 19b-4(f)(1)
\8\ thereunder because the proposed rule change constitutes a stated
policy, practice, or interpretation with respect to the meaning,
administration, or enforcement of an existing rule. At any time within
60 days of the filing of the 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.
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\7\ 15 U.S.C. 78s(b)(3)(A)(i).
\8\ 17 CFR 240.19b-4(f)(1).
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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-OCC-2011-04 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-OCC-2011-04. 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 Web site viewing and
printing in the Commission's Public Reference Room, 100 F Street, NE.,
Washington, DC 20549, on official business days between the hours of 10
a.m. and 3 p.m. Copies of such filings also will be available for
inspection and copying at the principal office of OCC and on OCC's Web
site at http://www.optionsclearing.com/components/docs/legal/rules_and_bylaws/sr_occ_11_04.pdf.
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-OCC-2011-04
and should be submitted on or before May 4, 2011.
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\9\ 17 CFR 200.30-3(a)(12).
For the Commission by the Division of Trading and Markets,
pursuant to delegated authority.\9\
Cathy H. Ahn,
Deputy Secretary.
[FR Doc. 2011-8801 Filed 4-12-11; 8:45 am]
BILLING CODE 8011-01-P