[Federal Register Volume 76, Number 86 (Wednesday, May 4, 2011)]
[Notices]
[Pages 25390-25392]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2011-10805]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-64359; File No. SR-ISE-2011-27]


Self-Regulatory Organizations; International Securities Exchange, 
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 28, 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 26, 2011, the International Securities Exchange, LLC 
(the ``Exchange'' or ``ISE'') filed with the Securities and Exchange 
Commission (the ``Commission'') the proposed rule change as described 
in Items I and II below, which Items have

[[Page 25391]]

been prepared by the Exchange. The Commission is publishing this notice 
to solicit comments on the proposed rule change from interested 
persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

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 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. 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, 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
    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. This proposal is based on a recently filed rule change by NYSE 
Arca, Inc. (``NYSE Arca'') and NYSE Amex LLC (``NYSE Amex'').\3\
---------------------------------------------------------------------------

    \3\ See SR-NYSEArca-2011-19 and SR-NYSEAmex-2011-26. In its 
filing, NYSE Arca and NYSE AMEX cite to the Commission's approval of 
a recent filing by the Chicago Board Options Exchange (``CBOE'').
---------------------------------------------------------------------------

    To effect this change, the Exchange is proposing to add new 
Supplementary Material .11 to ISE Rule 504. The new provision 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\
---------------------------------------------------------------------------

    \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. ISE 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 options. 
See ISE Rule 504.
---------------------------------------------------------------------------

    Volatility indexes are calculated and disseminated by the CBOE, 
which also list options on the resulting index. At this time, ISE has 
no intention of listing volatility options, and will not be selecting 
options in 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 
Supplementary Material .11 would permit ISE to list and compete in all 
series listed by the CBOE for purposes of calculating a volatility 
index.
    ISE 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 basis under the Securities Exchange Act of 1934 (``Exchange 
Act'') for this proposed rule change is the requirement under Section 
6(b)(5) that an exchange have rules that are designed to promote just 
and equitable principles of trade, and to remove impediments to and 
perfect the mechanism for a free and open market and a national market 
system, and in general, to protect investors and the public interest. 
In particular, the proposed rule change will allow 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.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The proposed rule change does not 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

    The Exchange has not solicited, and does not intend to solicit, 
comments on this proposed rule change. The Exchange has not received 
any unsolicited written comments from members or other interested 
parties.

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 \5\ and Rule 19b-
4(f)(6) thereunder.\6\
---------------------------------------------------------------------------

    \5\ 15 U.S.C. 78s(b)(3)(A).
    \6\ 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.
---------------------------------------------------------------------------

    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.\7\ 
Therefore, the Commission designates the proposal operative upon 
filing.\8\
---------------------------------------------------------------------------

    \7\ See Exchange Act Release No. 64189 (April 5, 2011), 76 FR 
20066 (April 11, 2011) (SR-CBOE-2011-008).
    \8\ 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).
---------------------------------------------------------------------------

    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

[[Page 25392]]

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-2011-27 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-2011-27. 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-ISE-2011-27 and should be 
submitted on or before May 25, 2011.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\9\
---------------------------------------------------------------------------

    \9\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Cathy H. Ahn,
Deputy Secretary.
[FR Doc. 2011-10805 Filed 5-3-11; 8:45 am]
BILLING CODE 8011-01-P