[Federal Register Volume 76, Number 141 (Friday, July 22, 2011)]
[Notices]
[Pages 44061-44062]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2011-18493]


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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-64902; File No. SR-NYSEAmex-2011-49]


Self-Regulatory Organizations; NYSE Amex LLC; Notice of Filing 
and Immediate Effectiveness of Proposed Rule Change Implementing 
Proposal To Amend the Fee Schedule by Adding Definitions for the 
Strategy Executions That Qualify for Transaction Fee Caps

 July 18, 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 July 5, 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, II, 
and III 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.
---------------------------------------------------------------------------

    \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 Fee Schedule by adding 
definitions for the Strategy Executions that qualify for transaction 
fee caps. The text of the proposed rule change is available at the 
Exchange, at http://www.nyse.com, at the Commission's Public Reference 
Room, and at the Commission's Web site at http://www.sec.gov.

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 the 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    NYSE Amex proposes to amend its Fee Schedule by adding definitions 
for the Strategy Executions that qualify for transaction fee caps. The 
Exchange does not propose to change any fees in the Fee Schedule.
    In 2004, the Exchange amended its Fee Schedule to cap transaction 
fees for Strategy Executions involving reversals and conversions, 
dividend spreads, and box spreads.\3\ The Exchange subsequently 
expanded the Strategy Executions eligible for the transaction fee cap 
to include short stock interest spreads, merger spreads and jelly 
rolls.\4\ In its previous rule filings, the Exchange described the 
requirements that Strategy Executions must meet to qualify for the 
transaction fee cap; however these Strategy Executions were not defined 
in the Fee Schedule. The Exchange is now proposing to define the 
Strategy Executions in order to provide additional clarity and 
transparency in the Fee Schedule.\5\
---------------------------------------------------------------------------

    \3\ See Exchange Act Release No. 49358 (March 3, 2004), 69 FR 
11469 (March 10, 2004) (SR-Amex-2004-09) (the ``2004 Release'').
    \4\ See Exchange Act Release No. 52297 (August 18, 2005), 70 FR 
49687 (August 24, 2005) (SR-Amex-2005-080) (the ``2005 Release'') 
and Exchange Act Release No. 60077 (June 9, 2009), 74 FR 28737 (June 
17, 2009) (SR-NYSEAmex-2009-22) (the ``2009 Release'').
    \5\ The Commission notes that the definitions proposed by the 
Exchange in the instant filing slightly differ from the definitions 
set forth in the 2003 Release, the 2005 Release, and the 2009 
Release.
---------------------------------------------------------------------------

    The Exchange proposes to define each of the six Strategy Executions 
that qualify for the cap in new endnote 9: \6\
---------------------------------------------------------------------------

    \6\ The Chicago Board Options Exchange, Incorporated (``CBOE'') 
already has these strategies, with the exception of the box spread, 
defined in its fee schedule. See (http://www.cboe.com/publish/feeschedule/CBOEFeeSchedule.pdf).
---------------------------------------------------------------------------

     A ``reversal'' is established by combining a short 
security position with a short put and a long call position that shares 
the same strike and expiration. A ``conversion'' is established by 
combining a long position in the underlying security with a long put 
and a short call position that shares the same strike and expiration.
     A ``dividend spread'' is defined as transactions done to 
achieve a dividend arbitrage involving the purchase, sale and exercise 
of in-the-money options of the same class, executed prior to the date 
on which the underlying stock goes ex-dividend.
     A ``box spread'' is defined as transactions involving a 
long call option and a short put option at one strike, combined with a 
short call option and long put at a different strike, to create 
synthetic long and synthetic short stock positions, respectively.
     A ``short stock interest spread'' is defined as 
transactions done to achieve a short stock interest arbitrage involving 
the purchase, sale and exercise of in-the-money options of the same 
class.
     A ``merger spread'' is defined as transactions done to 
achieve a merger arbitrage involving the purchase, sale and exercise of 
options of the same class and expiration date, each executed prior to 
the date on which shareholders of record are required to elect their 
respective form of consideration, i.e., cash or stock.
     A ``jelly roll'' is created by entering into two separate 
positions simultaneously. One position involves buying a put and 
selling a call with the same strike price and expiration. The second 
position involves selling a put and buying a call, with the same strike 
price, but with a different expiration from the first position.
2. Statutory Basis
    The Exchange believes that the proposed rule change is consistent 
with the provisions of Section 6 of the Securities Exchange Act of 1934 
(the ``Act''),\7\ in general, and Section 6(b)(5) of the Act,\8\ in 
particular, in that it is designed to promote just and equitable 
principles of trade, remove impediments to and perfect the mechanisms 
of a free and open market and a national market system and, in

[[Page 44062]]

general, to protect investors and the public interest. In this respect, 
the Exchange is not proposing any changes to the fees within its Fee 
Schedule, but rather adding definitions for the Strategy Executions 
that qualify for the transaction fee caps. This change will better 
inform investors and the public of the necessary requirements for a 
Strategy Execution to qualify for the fee caps.
---------------------------------------------------------------------------

    \7\ 15 U.S.C. 78f.
    \8\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

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 foregoing rule change is effective upon filing pursuant to 
Section 19(b)(3)(A)(i) \9\ of the Act and Rule 19b-4(f)(1) \10\ 
thereunder, as constituting a stated interpretation of the meaning, 
administration and enforcement of an existing rule of the Exchange. The 
proposed rule change provides definitions for existing terms in the Fee 
Schedule, and the definitions are consistent with the manner in which 
the Exchange interpreted those terms. 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.
---------------------------------------------------------------------------

    \9\ 15 U.S.C. 78s(b)(3)(A)(i).
    \10\ 17 CFR 240.19b-4(f)(1).
---------------------------------------------------------------------------

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-NYSEAmex-2011-49 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-2011-49. 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-2011-49 and should be submitted on or before August 12, 2011.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\11\
---------------------------------------------------------------------------

    \11\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011-18493 Filed 7-21-11; 8:45 am]
BILLING CODE 8011-01-P