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12238 Federal Register / Vol. 72, No.

50 / Thursday, March 15, 2007 / Notices

that Amendments No. 2 and 3 do not should be submitted on or before April provides notice of Amendment No. 2 to
make any substantial changes to the 5, 2007. the proposed rule change and approves
proposal. Thus, the Commission finds the proposed rule change as amended.
V. Conclusion
good cause, consistent with Section
It is therefore ordered, pursuant to II. Description of the Proposal
19(b)(2) of the Act,47 to grant accelerated
approval of the proposed rule change, as Section 19(b)(2) of the Act,48 that the The Exchange seeks to list and trade
amended. proposed rule change (SR–Amex–2006– cash-settled, European-style options on
118), as amended, be, and hereby is, the RVX. The index is calculated using
IV. Solicitation of Comments approved on an accelerated basis. real-time Russell 2000 Index (‘‘RUT’’)
Interested persons are invited to For the Commission, by the Division of option bid/ask quotes. RVX uses nearby
submit written data, views, and Market Regulation, pursuant to delegated and second nearby RUT options with at
arguments regarding Amendments No. 2 authority.49 least 8 days left to expiration and then
and 3, including whether Amendments Florence E. Harmon, weights them to yield a constant, 30-day
No. 2 and 3 are consistent with the Act. Deputy Secretary. measure of the expected volatility of the
Comments may be submitted by any of [FR Doc. E7–4747 Filed 3–14–07; 8:45 am] RUT.
the following methods: For each contract month, CBOE will
BILLING CODE 8010–01–P
determine the at-the-money strike price.
Electronic Comments It will then select the at-the-money and
• Use the Commission’s Internet SECURITIES AND EXCHANGE out-of-the money series with non-zero
comment form (http://www.sec.gov/ COMMISSION bid prices and determine the midpoint
rules/sro.shtml); or of the bid-ask quote for each of these
[Release No. 34–55425; File No. SR–CBOE– series. The midpoint quote of each
• Send an e-mail to rule- 2006–73]
comments@sec.gov. Please include File series is then weighted so that the
Number SR–Amex–2006–118 on the further away that series is from the at-
Self-Regulatory Organizations;
subject line. the-money strike, the less weight that is
Chicago Board Options Exchange,
accorded to the quote. Then, to compute
Paper Comments Incorporated; Notice of Filing of
the index level, CBOE will calculate a
Amendment No. 2 and Order Granting
• Send paper comments in triplicate volatility measure for the nearby options
Accelerated Approval of Proposed
to Nancy M. Morris, Secretary, and then for the second nearby options.
Rule Change as amended, to Amend
Securities and Exchange Commission, This is done using the weighted mid-
Certain of its Rules to Provide for the
Station Place, 100 F Street, NE., point of the prevailing bid-ask quotes
Listing and Trading of Options on the
Washington, DC 20549–1090. for all included option series with the
CBOE Russell 2000 Volatility Indexsm
same expiration date. These volatility
All submissions should refer to File (‘‘RVXsm’’)
measures are then interpolated to arrive
Number SR–Amex–2006–118. This file March 8, 2007. at a single, constant 30-day measure of
number should be included on the volatility.5
subject line if e-mail is used. To help the I. Introduction CBOE will compute the index on a
Commission process and review your On August 31, 2006, the Chicago real-time basis throughout each trading
comments more efficiently, please use Board Options Exchange, Incorporated day, from 8:30 a.m. until 3:15 p.m. CST.
only one method. The Commission will (‘‘CBOE’’ or ‘‘Exchange’’) filed with the Volatility index levels will be calculated
post all comments on the Commission’s Securities and Exchange Commission by CBOE and disseminated at 15-second
Internet Web site (http://www.sec.gov/ (‘‘Commission’’) a proposed rule intervals to market information vendors
rules/sro.shtml). Copies of the change, pursuant to Section 19(b)(1) of via the Options Price Reporting
submission, all subsequent the Securities Exchange Act of 1934 Authority (‘‘OPRA’’).
amendments, all written statements (‘‘Act’’) 1 and Rule 19b–4 thereunder,2 to Because of the generally limited range
with respect to the proposed rule amend certain of its rules to provide for in which RVX has fluctuated, the
change that are filed with the the listing and trading of options on the Exchange proposes to list series at $1.00
Commission, and all written CBOE Russell 2000 Volatility Indexsm or greater strike price intervals for each
communications relating to the (‘‘RVXsm’’). On October 20, 2006, CBOE expiration on up to 5 RVX option series
proposed rule change between the filed Amendment No. 1 to the proposed above and 5 RVX option series below
Commission and any person, other than rule change. The proposed rule change, the current index level. Additional
those that may be withheld from the as modified by Amendment No. 1, was series at $1.00 or greater strike price
public in accordance with the published for comment in the Federal intervals could be listed for each
provisions of 5 U.S.C. 552, will be Register on October 30, 2006.3 The expiration as the current index level of
available for inspection and copying in Commission received no comments on RVX moves from the exercise price of
the Commission’s Public Reference the proposal. On February 26, 2007, the RVX options series that already have
Room. Copies of such filing also will be CBOE filed Amendment No. 2 to the been opened for trading on the
available for inspection and copying at proposed rule change.4 This order Exchange in order to maintain at least
the principal office of Amex. All 5 RVX option series above and 5 RVX
comments received will be posted 48 15 U.S.C. 78s(b)(2). option series below the current index
without change; the Commission does 49 17 CFR 200.30–3(a)(12). level.
1 15 U.S.C. 78s(b)(1).
not edit personal identifying 2 17 CFR 240.19b–4.
information from submissions. You 3 See Securities Exchange Act Release No. 54643
5 The Exchange represented in its filing that the

RVX is calculated in the same manner as other


should submit only information that
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(October 23, 2006), 71 FR 63367 (‘‘Notice’’). volatility indexes (e.g., the CBOE Volatility Index
you wish to make available publicly. All 4 In Amendment No. 2, the Exchange represented
(‘‘VIX’’)), upon which options have been based and
submissions should refer to File that CBOE Futures Exchange, LLC (‘‘CFE’’) does not previously approved by the Commission. A more
Number SR–Amex–2006–118 and currently list and trade RVX futures. The Exchange detailed explanation of the method used to
further represented that it will not list for trading calculate VIX may be found on CBOE’s Web site at
RVX options until RVX futures have begun trading the following internet address: http://
47 15 U.S.C. 78s(b)(2). on CFE. www.cboe.com/micro/vix/vixwhite.pdf.

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Federal Register / Vol. 72, No. 50 / Thursday, March 15, 2007 / Notices 12239

Additionally, the Exchange proposes surveillance purposes, the Exchange Securities and Exchange Commission,
that it would not list series with $1.00 will have complete access to Station Place, 100 F Street, NE.,
intervals within $0.50 of an existing information regarding trading activity in Washington, DC 20549–1090.
$2.50 strike price with the same the pertinent underlying securities.
expiration month (e.g., if there is an As explained by CBOE, the RVX All submissions should refer to File
existing $12.50 strike, the Exchange fluctuates in a narrow range, and the Number SR–CBOE–2006–73. This file
would not list a $12.00 or $13.00 strike). Commission believes that the number should be included on the
The interval between strike prices for implementation of $1 strike price subject line if e-mail is used. To help the
RVX long-term option series intervals in the RVX option product, Commission process and review your
(‘‘LEAPs(r)’’) will continue to be no less within the parameters detailed in comments more efficiently, please use
than $2.50. CBOE’s proposal, is appropriate. The only one method. The Commission will
Commission also finds that CBOE’s post all comments on the Commission’s
III. Discussion
trading rules and other product Internet Web site (http://www.sec.gov/
After careful review, the Commission specifications are consistent with the rules/sro.shtml). Copies of the
finds that CBOE’s proposal to permit Act. Because the exercise of these submission, all subsequent
trading in options based on the RVX is options will be cash-settled, RVX amendments, all written statements
consistent with the requirements of the options will be A.M.-settled on the with respect to the proposed rule
Act and the rules and regulations business day following expiration, in a change that are filed with the
thereunder applicable to a national manner that will deter manipulation. Commission, and all written
securities exchange 6 and, in particular, The Commission also notes CBOE’s communications relating to the
the requirements of Section 6 of the representations that it possesses the proposed rule change between the
Act 7 and the rules and regulations necessary systems capacity to support
thereunder. The Commission believes Commission and any person, other than
new series that would result from the
that CBOE’s proposal gives options those that may be withheld from the
introduction of RVX options and that
investors the ability to make an public in accordance with the
CBOE also has been informed that
additional investment choice in a provisions of 5 U.S.C. 552, will be
OPRA has the capacity to support such
manner consistent with the new series. available for inspection and copying in
requirements of Section 6(b)(5) of the The Commission finds good cause to the Commission’s Public Reference
Act.8 The Commission further believes approve the proposed rule change, as Room. Copies of such filing also will be
that trading options on this volatility modified by Amendment Nos. 1 and 2 available for inspection and copying at
index provides investors with an before the 30th day after the date of the principal office of the Exchange. All
important trading and hedging publication of notice of filing of comments received will be posted
mechanism. Amendment No. 2 in the Federal without change; the Commission does
The Commission finds that it is Register. In Amendment No. 2, the not edit personal identifying
consistent with the Act for CBOE to Exchange represented that CBOE information from submissions. You
apply its rules for trading of broad-based Futures Exchange, LLC (‘‘CFE’’) does should submit only information that
index options to RVX. The Commission not currently list and trade RVX futures you wish to make available publicly. All
believes that because this volatility and that the Exchange will not list for submissions should refer to File
index is composed of options on an trading RVX options until RVX futures Number SR–CBOE–2006–73 and should
index which the Commission has have begun trading on CFE. The be submitted on or before April 5, 2007.
previously determined is appropriate to Commission believes that this clarifying
treat as broad-based for purposes of language is necessary because the V. Conclusion
CBOE’s rules,9 it is appropriate to apply Exchange plans to use RVX futures
to the RVX options the position limits, It is therefore ordered, pursuant to
prices as a proxy for ‘‘implied forward’’
exercise limits and margin requirements Section 19(b)(2) of the Act,11 that the
RVX levels.10
that apply to CBOE’s component index proposed rule change (SR–CBOE–2006–
options. IV. Solicitation of Comments 73), as amended, be, and hereby is,
The Commission also notes CBOE’s Interested persons are invited to approved on an accelerated basis.
representation that it has adequate submit written data, views, and For the Commission, by the Division
surveillance procedures in place to arguments concerning the foregoing, of Market Regulation, pursuant to
monitor for manipulation of the RVX including whether the proposed rule delegated authority.12
options. In addition, the Commission change as amended is consistent with
notes that the Exchange will use the the Act. Comments may be submitted by Nancy M. Morris,
same surveillance procedures currently any of the following methods: Secretary.
utilized for each of the Exchange’s other [FR Doc. E7–4758 Filed 3–14–07; 8:45 am]
index options to monitor trading in Electronic Comments
BILLING CODE 8010–01–P
options on the RVX and that CBOE • Use the Commission’s Internet
believes that these surveillance comment form (http://www.sec.gov/
procedures are adequate to monitor the rules/sro.shtml); or
trading of options on the RVX. For • Send an e-mail to rule-
comments@sec.gov. Please include File
6 In approving this proposed rule change, the Number SR–CBOE–2006–73 on the
Commission has considered the proposed rule’s subject line.
impact on efficiency, competition, and capital
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formation. 15 U.S.C. 78c(f). Paper Comments


7 15 U.S.C. 78f.
8 15 U.S.C. 78f(b)(5).
• Send paper comments in triplicate
9 See Securities Exchange Act Release No. 31382 to Nancy M. Morris, Secretary,
11 15 U.S.C. 78s(b)(2).
(October 30, 1992), 57 FR 52802 (November 5, 1992)
(SR–CBOE–92–02). 10 See Notice supra note 3. 12 17 CFR 200.30–3(a)(12).

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