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53402 Federal Register / Vol. 70, No.

173 / Thursday, September 8, 2005 / Notices

imbalances to be published as soon as securities exchange, in part, promote For the Commission, by the Division of
practicable after 8 a.m. (CT), and just and equitable principles of trade, Market Regulation, pursuant to delegated
thereafter at approximately 8:20 a.m. remove impediments to and perfect the authority.17
(CT), on the Settlement Date.11 mechanism of a free and open market Jonathan G. Katz,
The proposed rule change also and a national market system and, in Secretary.
provides a limited exception that would general, to protect investors and the [FR Doc. E5–4875 Filed 9–7–05; 8:45 am]
permit cancellations and changes to public interest. BILLING CODE 8010–01–P
booked orders falling under this The Exchange believes that the
provision that are made to correct a proposed rule change will improve the
legitimate error. The member submitting modified ROS opening procedure by SECURITIES AND EXCHANGE
the change or cancellation would be exposing for a longer period of time COMMISSION
required to prepare and maintain a order imbalances in index options
memorandum setting forth the resulting from the unwinding of hedged
circumstances that resulted in the [Release No. 34–52374; File No. SR–CBOE–
volatility index future positions. The 2005–66]
change or cancellation and would be Exchange further believes that the
required to file a copy of the market participants to whom the Self-Regulatory Organizations;
memorandum with the Exchange no Chicago Board Options Exchange,
proposed rule change applies would not
later than the next business day in a Incorporated; Notice of Filing and
be materially affected by the 8 a.m. (CT)
form and manner prescribed by the Immediate Effectiveness of Proposed
cut-off time, because the last day of
Exchange. In addition, two Floor Rule Change Relating to an Extension
trading in volatility index futures in the
Officials would have the ability to
applicable expiring month occurs on the of the Pilot Programs Applicable to Fee
suspend the new rule in the event of
day before Settlement Date, and holders Caps for Dividend Spread and Merger
unusual market conditions.12
The Exchange also proposes (i) to of open volatility index futures are Spread Transactions Until March 1,
move the cut-off time for the submission generally aware before 8 a.m. (CT) of the 2006
of all other index option orders for related index options series that they
need to place on the book in order to September 1, 2005.
participation in the modified ROS
opening on Settlement Date mornings adequately unwind their hedges. The Pursuant to Section 19(b)(1) of the
from 8:28 a.m. (CT) to 8:25 a.m. (CT); (ii) Commission believes that the proposed Securities Exchange Act of 1934
to change the time standards reflected in rule change may serve the intended (‘‘Act’’) 1 and Rule 19b–4 thereunder,2
the rule from CST to CT, since Chicago benefit without imposing an undue notice is hereby given that on August
is in the Central Time zone; and (iii) to burden on these participants. The 24, 2005, the Chicago Board Options
revise the rule language in current Commission notes that it has approved Exchange, Incorporated (‘‘CBOE’’ or
CBOE Rule 6.2A.03(viii) to reflect that a similar rule in another context.15 ‘‘Exchange’’) filed with the Securities
the Exchange has recently implemented The proposed rule change would also and Exchange Commission
a systems change to ROS that modify the deadline for submitting all (‘‘Commission’’) the proposed rule
automatically generates cancellation other index options orders for change as described in Items I, II, and
orders for Exchange market-maker, away participation in the modified ROS III below, which Items have been
market-maker, specialist, and broker- opening procedure, and any changes to prepared by CBOE. The Exchange
dealer orders which remain on the or cancellations of any orders, from 8:28 designated the proposed rule change as
electronic book following the modified a.m. (CT) to 8:25 a.m. (CT). The establishing or changing a due, fee, or
ROS opening procedure. Exchange believes that this rule change other charge imposed by the Exchange
would give Lead Market-Makers on the under Section 19(b)(3)(A)(ii) of the Act 3
III. Discussion and Rule 19b–4(f)(2) thereunder,4 which
CBOE additional time to review order
After careful review, the Commission imbalances on the book in order to renders the proposal effective upon
finds that the proposed rule change is setting the Autoquote values that are filing with the Commission. The
consistent with the requirements of the used in the modified ROS opening Commission is publishing this notice to
Act and the rules and regulations procedures. The Commission believes solicit comments on the proposed rule
applicable to a national securities this proposed adjustment is reasonable change from interested parties.
exchange.13 In particular, the to achieve the intended benefit.
Commission believes that the proposed I. Self-Regulatory Organization’s
The Commission further believes that Statement of the Terms of Substance of
rule change is consistent with the
the other associated aspects of the the Proposed Rule Change
requirements on Section 6(b)(5) of the
proposed rule change are appropriate to
Act 14 that the rules of a national The Exchange proposes to amend its
clarify the application of the rule and to
11 The Exchange represents that it would publish
provide for its reasonable Fees Schedule to extend until March 1,
the imbalance on its Web site. See Notice. implementation. 2006 the pilot programs applicable to
12 For example, the CBOE states that if a fee caps on dividend spread and merger
significant market event occurs between 8:00 a.m.
IV. Conclusion spread transactions. The text of the
(CT) and 8:25 a.m. (CT), Floor Officials may
It is therefore ordered, pursuant to proposed rule change is available on the
determine to suspend the rule provision in the Exchange’s Web site (http://
interest of maintaining a fair and orderly market so Section 19(b)(2) of the Act,16 that the
that limit orders placed in the book to unwind proposed rule change (SR–CBOE–2004– www.cboe.com), at the Office of the
hedged volatility index futures positions are not 86), as amended by Amendment No. 1, Secretary, CBOE, and at the
unfairly disadvantaged as a result of a significant
is approved. Commission.
market move that would result in limit orders going
unexecuted.
17 17 CFR 200.30–3(a)(12).
13 In approving this proposed rule change, the 15 See NYSE Rule 123C(6). See, e.g., Securities
1 15 U.S.C. 78s(b)(1).
Commission has considered the proposed rule’s Exchange Act Release No. 25804 (June 15, 1988), 53
2 17 CFR 240.19b–4.
impact on efficiency, competition, and capital FR 23474 (June 22, 1988) (order approving File Nos.
formation. 15 U.S.C. 78c(f). SR–NYSE–87–11 and 88–04). 3 15 U.S.C. 78s(b)(3)(A)(ii)
14 15 U.S.C. 78f(b)(5). 16 15 U.S.C. 78s(b)(2). 4 17 CFR 240.19b–4(f)(2).

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Federal Register / Vol. 70, No. 173 / Thursday, September 8, 2005 / Notices 53403

II. Self-Regulatory Organization’s of the Act 10 in particular, in that it is All submissions should refer to File
Statement of the Purpose of, and designed to provide for the equitable Number SR–CBOE–2005–66. This file
Statutory Basis for, the Proposed Rule allocation of reasonable dues, fees, and number should be included on the
Change other charges among CBOE members subject line if e-mail is used. To help the
In its filing with the Commission, and other persons using its facilities. Commission process and review your
comments more efficiently, please use
CBOE included statements concerning B. Self-Regulatory Organization’s
only one method. The Commission will
the purpose of and basis for the Statement on Burden on Competition
post all comments on the Commission’s
proposed rule change and discussed any CBOE does not believe that the Internet Web site (http://www.sec.gov/
comments it received on the proposed proposed rule change will impose any rules/sro.shtml). Copies of the
rule change. The text of these statements burden on competition that is not submission, all subsequent
may be examined at the places specified necessary or appropriate in furtherance amendments, all written statements
in Item IV below. CBOE has prepared of purposes of the Act. with respect to the proposed rule
summaries, set forth in Sections A, B,
C. Self-Regulatory Organization’s change that are filed with the
and C below, of the most significant
Statement on Comments on the Commission, and all written
aspects of such statements. communications relating to the
Proposed Rule Change Received From
A. Self-Regulatory Organization’s Members, Participants, or Others proposed rule change between the
Statement of the Purpose of, and Commission and any person, other than
Statutory Basis for, the Proposed Rule No written comments were solicited those that may be withheld from the
Change or received with respect to the proposed public in accordance with the
rule change. provisions of 5 U.S.C. 552, will be
1. Purpose available for inspection and copying in
III. Date of Effectiveness of the
The Exchange currently caps market- Proposed Rule Change and Timing for the Commission’s Public Reference
maker, firm, and broker-dealer Commission Action Room. Copies of such filing also will be
transaction fees associated with available for inspection and copying at
The foregoing rule change has become
‘‘dividend spread’’ transactions 5 at the principal office of the Exchange. All
effective pursuant to Section 19(b)(3)(A)
$2,000 for all dividend spread comments received will be posted
of the Act 11 and paragraph (f)(2) of Rule
transactions executed on the same without change; the Commission does
19b–4 thereunder 12 because it is
trading day in the same options class. A not edit personal identifying
establishing or changing a due, fee, or
similar fee cap is currently in place for information from submissions. You
other charge applicable only to the
market-maker, firm, and broker-dealer should submit only information that
Exchange’s members. At any time
transaction fees associated with ‘‘merger you wish to make available publicly. All
within 60 days of the filing of the
spread’’ transactions 6 executed on the submissions should refer to File
proposed rule change, the Commission
same trading day in the same options Number SR–CBOE–2005–66 and should
may summarily abrogate such rule
class.7 Both fee caps are in effect as pilot be submitted on or before September 29,
change if it appears to the Commission
programs that are due to expire on 2005.
that such action is necessary or
September 1, 2005.8 appropriate in the public interest, for For the Commission, by the Division of
The Exchange proposes to extend the protection of investors, or otherwise Market Regulation, pursuant to delegated
both pilot programs until March 1, 2006. authority.13
in furtherance of the purposes of the
No other changes are proposed. The Act. Jonathan G. Katz,
Exchange believes that extension of Secretary.
these fee cap programs should attract IV. Solicitation of Comments [FR Doc. E5–4885 Filed 9–7–05; 8:45 am]
additional liquidity and permit the Interested persons are invited to BILLING CODE 8010–01–P
Exchange to remain competitive. submit written data, views and
2. Statutory Basis arguments concerning the foregoing,
including whether the proposed rule SECURITIES AND EXCHANGE
The Exchange believes that the change is consistent with the Act. COMMISSION
proposed rule change is consistent with Comments may be submitted by any of [Release No. 34–52364; File No. SR–ISE–
Section 6(b) of the Act,9 in general, and the following methods: 2005–41]
furthers the objectives of Section 6(b)(4)
Electronic Comments
Self-Regulatory Organizations;
5A ‘‘dividend spread’’ is defined as any trade ∑ Use the Commission’s Internet International Securities Exchange, Inc.;
done to achieve a dividend arbitrage between any comment form (http://www.sec.gov/ Notice of Filing and Immediate
two deep-in-the-money options. rules/sro.shtml); or
6 A ‘‘merger spread’’ transaction is defined as a Effectiveness of a Proposed Rule
transaction executed pursuant to a strategy
∑ Send an e-mail to rule- Change Relating to the Price
involving the simultaneous purchase and sale of comments@sec.gov. Please include File Improvement Mechanism
options of the same class and expiration date, but Number SR–CBOE–2005–66 on the
with different strike prices, followed by the exercise subject line. August 31, 2005.
of the resulting long options position, each Pursuant to Section 19(b)(1) of the
executed prior to the date on which shareholders Paper Comments Securities Exchange Act of 1934
of record are required to elect their respective form
of consideration, i.e., cash or stock. ∑ Send paper comments in triplicate (‘‘Act’’),1 and Rule 19b–4 thereunder,2
7 Telephone conversation between Jaime Galvan, to Jonathan G. Katz, Secretary, notice is hereby given that on August
Assistant Secretary, CBOE, and Steve Kuan, Special Securities and Exchange Commission, 22, 2005, the International Securities
Counsel, Division of Market Regulation, 100 F Street, NE., Washington, DC Exchange, Inc. (‘‘ISE’’ or ‘‘Exchange’’)
Commission, on August 30, 2005.
8 See Securities Exchange Act Release Nos. 51468
20549–9303. filed with the Securities and Exchange
(April 1, 2005), 70 FR 17742 (April 7, 2005) (SR–
10 15 U.S.C. 78f(b)(4). 13 17 CFR 200.30–3(a)(12).
CBOE–2005–18), and 51828 (June 13, 2005), 70 FR
35475 (June 20, 2005) (SR–CBOE–2005–42). 11 15 U.S.C. 78s(b)(3)(A). 1 15 U.S.C. 78s(b)(1).
9 15 U.S.C. 78f(b). 12 17 CFR 240.19b–4(f)(2). 2 17 CFR 240.19b–4.

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