[Federal Register Volume 76, Number 81 (Wednesday, April 27, 2011)]
[Notices]
[Pages 23632-23634]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2011-10195]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-64325; File No. SR-NYSEAmex-2011-26]


Self-Regulatory Organizations; NYSE Amex LLC; Notice of Filing 
and Immediate Effectiveness of Proposed Rule Change To Permit the 
Listing of Series with $0.50 and $1 Strike Price Increments on Certain 
Options Used To Calculate Volatility Indexes

April 22, 2011.
    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 April 19, 2011, NYSE Amex LLC (the ``Exchange'' or ``NYSE 
Amex'') filed with the Securities and Exchange Commission (the 
``Commission'') the proposed rule change as described in Items I and II 
below, which Items have been prepared by the Exchange. 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.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to adopt Commentary .13 to NYSE Amex Rule 903 
to permit the listing of strike prices

[[Page 23633]]

in $0.50 intervals where the strike price is less than $75, and strike 
prices in $1.00 intervals where the strike price is between $75 and 
$150 for option series used to calculate volatility indexes. The text 
of the proposed rule change is available at the Exchange, the 
Commission's Public Reference Room, and http://www.nyse.com.

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 self-regulatory organization 
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 those 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 parts of such statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The purpose of this proposed rule change is to permit the Exchange 
to list strike prices in $0.50 intervals where the strike price is less 
than $75, and strike prices in $1.00 intervals where the strike price 
is between $75 and $150 for option series used to calculate volatility 
indexes. The proposal is based on a recently approved rule change by 
the Chicago Board Options Exchange (``CBOE'').\3\
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    \3\ See Exchange Act Release No. 64189 (April 5, 2011), 76 FR 
20066 (April 11, 2011).
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    To effect this change, the Exchange is proposing to add new 
Commentary .13 to Rule 903, Series of Options Open for Trading. The new 
provisions will permit the listing of strike prices in $0.50 intervals 
where the strike price is less than $75, and strike prices in $1.00 
intervals where the strike price is between $75 and $150 for option 
series used to calculate volatility indexes.\4\
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    \4\ For example, CBOE calculates the CBOE Gold ETF Volatility 
Index (``GVZ''), which is based on the VIX methodology applied to 
options on the SPDR Gold Trust (``GLD''). The current filing would 
permit $0.50 strike price intervals for GLD options where the strike 
price is $75 or less. NYSE Amex is currently permitted to list 
strike prices in $1 intervals for GLD options (where the strike 
price is $200 or less), as well as for other exchange-traded fund 
(``ETF'') options. See Rule 903, Commentary .05
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    Volatility indexes are calculated and disseminated by the CBOE, 
which also list options on the resulting index. At this time, NYSE Amex 
has no intention of listing volatility options, and will not be 
selecting options on any equity securities, Exchange-Traded Fund 
Shares, Trust Issued Receipts, Exchange Traded Notes, Index-Linked 
Securities, or indexes to be the basis of a volatility index.
    To the extent that the CBOE or another exchange selects a multiply 
listed product as the basis of a volatility index, proposed Commentary 
.13 would permit NYSE Amex to list and compete in all series listed by 
the CBOE for purposes of calculating a volatility index.
    NYSE Amex has analyzed its capacity and represents that it believes 
the Exchange and the Options Price Reporting Authority have the 
necessary systems capacity to handle the additional traffic associated 
with the listing of strike prices in $0.50 intervals where the strike 
price is less than $75, and strike prices in $1.00 intervals where the 
strike price is between $75 and $150 for option series used to 
calculate volatility indexes in securities selected by the CBOE.
2. Statutory Basis
    The Exchange believes that its proposal is consistent with Section 
6(b) of the Securities Exchange Act of 1934 \5\ (the ``Act'') in 
general, and furthers the objectives of Section 6(b)(5) of the Act \6\ 
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, by allowing the Exchange 
to offer a full range of all available option series in a given class, 
including those selected by other exchanges to be the basis of a 
volatility index. While this proposal will generate additional quote 
traffic, the Exchange does not believe that this increased traffic will 
become unmanageable since the proposal is restricted to a limited 
number of classes. Further, the Exchange does not believe that the 
proposal will result in a material proliferation of additional series 
because it is restricted to a limited number of classes.
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    \5\ 15 U.S.C. 78f(b).
    \6\ 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

    Because the foregoing proposed rule change does not significantly 
affect the protection of investors or the public interest, does not 
impose any significant burden on competition, and, by its terms, does 
not become operative for 30 days from the date on which it was filed, 
or such shorter time as the Commission may designate, it has become 
effective pursuant to Section 19(b)(3)(A) of the Act \7\ and Rule 19b-
4(f)(6) thereunder.\8\
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    \7\ 15 U.S.C. 78s(b)(3)(A).
    \8\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii) 
requires the Exchange to give the Commission written notice of the 
Exchange's 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 the five-day prefiling requirement.
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    The Exchange has requested that the Commission waive the 30-day 
operative delay. The Commission believes that waiver of the operative 
delay is consistent with the protection of investors and the public 
interest because the proposal is substantially similar to that of 
another exchange that has been approved by the Commission.\9\ 
Therefore, the Commission designates the proposal operative upon 
filing.\10\
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    \9\ See supra note 3.
    \10\ For 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 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.

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:

[[Page 23634]]

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-NYSEAmex-2011-26 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-NYSEAmex-2011-26. 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 the 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-
NYSEAmex-2011-26 and should be submitted on or before May 18, 2011.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\11\
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    \11\ 17 CFR 200.30-3(a)(12).
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Cathy H. Ahn,
Deputy Secretary.
[FR Doc. 2011-10195 Filed 4-26-11; 8:45 am]
BILLING CODE 8011-01-P