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14282 Federal Register / Vol. 73, No.

52 / Monday, March 17, 2008 / Notices

U.S.C. 552b(c)(3) (5), (6), (7), (9)(B), and of the Act 3 and Rule 19b–4(f)(6) Three-Month Volatility Index (‘‘VXV’’).5
(10) and 17 CFR 200.402(a)(3), (5), (6), thereunder,4 which renders it effective Similar to the VIX, the VXV is a
(7), 9(ii) and (10), permit consideration upon filing with the Commission. The measure of S&P 500 implied volatility,
of the scheduled matters at the Closed Commission is publishing this notice to the volatility implied by S&P option
Meeting. solicit comments on the proposed rule prices. Instead of reflecting a constant
Commissioner Casey, as duty officer, change from interested persons. one-month implied volatility period,
voted to consider the items listed for the however, VXV is designed to reflect the
I. Self-Regulatory Organization’s
closed meeting in closed session. implied volatility of an option with a
Statement of the Terms of Substance of
The subject matter of the Closed constant three months to expiration.
the Proposed Rule Change
Meeting scheduled for Wednesday, Since there is only one day on which an
March 19, 2008 will be: Amex proposes to add new option has exactly three months to
Formal orders of investigation; Commentary .05 to Rule 903C to allow expiration, VXV is calculated as a
Institution and settlement of injunctive the listing of up to seven expiration weighted average of options expiring
actions; months for options on certain broad- immediately before and immediately
Resolution of litigation claims; based indexes. after the three-month standard.
Institution and settlement of The text of the proposed rule change Accordingly, an index calculator would
administrative proceedings of an is available at http://www.amex.com, need to use four consecutive expiration
enforcement nature; the principal office of Amex, and the months in order to calculate a constant
A collection matter; Commission’s Public Reference Room. three-month volatility index.6
A matter related to an enforcement II. Self-Regulatory Organization’s Under the current application of
proceeding; and Statement of the Purpose of, and subparagraphs (i) and (ii) of Amex Rule
A matter related to investigative Statutory Basis for, the Proposed Rule 903C(a), the Exchange generally lists
techniques and procedures. Change three consecutive near term months and
At times, changes in Commission three months on a quarterly expiration
In its filing with the Commission, cycle. One of the three consecutive near
priorities require alterations in the Amex included statements concerning
scheduling of meeting items. term months is always a quarterly
the purpose of and basis for the month; however, that near term contract
For further information and to proposed rule change. The text of these
ascertain what, if any, matters have been month (which is also a quarterly month)
statements may be examined at the is not included as part of the three
added, deleted or postponed, please places specified in Item IV below. Amex
contact: The Office of the Secretary at months listed on a quarterly expiration
has prepared summaries, set forth in cycle. Therefore, in order to permit the
(202) 551–5400. Sections A, B, and C below, of the most addition of four consecutive near term
Dated: March 12, 2008. significant aspects of such statements. months under Rule 903C(a), the
Nancy M. Morris, A. Self-Regulatory Organization’s Exchange would only be able to list two
Secretary. Statement of the Purpose of, and months on a quarterly expiration cycle.
[FR Doc. E8–5283 Filed 3–14–08; 8:45 am] Statutory Basis for, the Proposed Rule Because of customer demand and other
BILLING CODE 8011–01–P Change investment strategy reasons for having
three months on a quarterly expiration
1. Purpose cycle, the Exchange is seeking to
SECURITIES AND EXCHANGE The Exchange proposes to add new increase, from six to seven, the number
COMMISSION Commentary .05 to Amex Rule 903C of expiration months for broad-based
(Series of Stock Index Options) to allow security index options upon which a
[Release No. 34–57449; File No. SR–Amex–
2008–13] the Exchange to list up to seven (7) constant three-month volatility index is
expiration months for index options calculated.
Self-Regulatory Organizations; based on broad-based securities indexes Proposed Commentary .05 to Rule
American Stock Exchange, LLC; (including reduced-value and jumbo) 903C will permit the Exchange to list up
Notice of Filing and Immediate upon which a constant three-month to seven expiration months at any one
Effectiveness of Proposed Rule volatility index is calculated. Currently, time for any broad-based security index
Change To Amend Rules Pertaining to subparagraphs (i) and (ii) to Rule option contract 7 upon which any
the Terms of Index Option Contracts 903C(a) permit the Exchange to list only exchange calculates a constant
six (6) expiration months in any stock three-month volatility index. As a
March 7, 2008. index option at any one time. result, the Exchange, eight times a year,
Pursuant to Section 19(b)(1) of the Volatility products offer investors a would be able to add an additional
Securities Exchange Act of 1934 (the unique set of tools for hedging. For seventh expiration month in order to
‘‘Act’’) 1 and Rule 19b–4 thereunder,2 example, the Chicago Board Options
notice is hereby given that on February Exchange, Incorporated (‘‘CBOE’’) 5 CBOE calculates volatility indexes on other

19, 2008, American Stock Exchange, Volatility Index (‘‘VIX’’) options, first broad-based security indexes, such as the Dow
Jones Industrial Average index (‘‘DJX’’), the Nasdaq-
LLC (‘‘Amex’’ or ‘‘Exchange’’) filed with introduced in February 2006, have 100 index (‘‘NDX’’), and the Russell 2000 index
the Securities and Exchange proven to be one of CBOE’s most (‘‘RUT’’). CBOE may calculate a constant three-
Commission (‘‘Commission’’) the successful new products ever listed, month volatility index on DJX, NDX, or RUT in the
proposed rule change as described in currently averaging over 90,000 future. See Securities Exchange Act Release No.
56821 (November 20, 2007), 72 FR 66210
Items I and II below, which Items have contracts traded per day. In a recent (November 27, 2007) (SR–CBOE–2007–82) (‘‘CBOE
been prepared substantially by Amex. proposal, CBOE explained that it plans Proposal’’).
Amex filed the proposed rule change as to introduce new volatility products and 6 See Id. In CBOE Proposal, CBOE provides
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a ‘‘non-controversial’’ proposed rule new volatility indexes in the near examples illustrating the need for a seventh month
in order to maintain four consecutive near term
change pursuant to Section 19(b)(3)(A) future, including the CBOE S&P 500 contract months.
7 See Amex Rule 900C(b)(1). Examples of such
1 15 U.S.C. 78s(b)(1). 3 15 U.S.C. 78s(b)(3)(A). broad-based securities indexes include the S&P 500,
2 17 CFR 240.19b–4. 4 17 CFR 240.19b–4(f)(6). DJX, NDX and RUT.

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Federal Register / Vol. 73, No. 52 / Monday, March 17, 2008 / Notices 14283

maintain four consecutive near term in regulating, clearing, settling, The Commission notes the Exchange’s
contract months. processing information with respect to, representations that it possesses the
The Exchange believes that this and facilitating transactions in necessary systems capacity to handle
proposal is necessary for competitive securities, to remove impediments to the additional traffic associated with the
reasons based on the fact that the CBOE, and perfect the mechanism of a free and additional listing of a seventh contract
International Securities Exchange, LLC, open market and a national market month in order to maintain four
and NYSE Arca, Inc. all have the ability system, and, in general, to protect consecutive near term contract months
to list up to seven expiration months for investors and the public interest. for those broad-based security index
broad-based securities indexes on which options upon which the Exchange
B. Self-Regulatory Organization’s
a constant three-month volatility index calculates a constant three-month
Statement on Burden on Competition
is calculated.8 This proposal will volatility index. The Commission
similarly permit the Amex to Amex does not believe that the hereby grants the Exchange’s request
accommodate the listing of a fourth proposed rule change will impose any and designates the proposal as operative
consecutive near term expiration month burden on competition that is not upon filing.17
and maintain the listing of three months necessary or appropriate in furtherance At any time within 60 days of the
on a quarterly expiration cycle, by of the purposes of the Act. filing of the proposed rule change, the
increasing, from six to seven, the C. Self-Regulatory Organization’s Commission may summarily abrogate
number of expiration months for broad- Statement on Comments on the such rule change if it appears to the
based securities indexes on which a Proposed Rule Change Received From Commission that such action is
constant three-month volatility index is Members, Participants or Others necessary or appropriate in the public
calculated. interest, for the protection of investors,
The Amex has analyzed its capacity Written comments were neither or otherwise in furtherance of the
and represents that it believes the solicited nor received. purposes of the Act.
Exchange and the Options Price III. Date of Effectiveness of the IV. Solicitation of Comments
Reporting Authority (OPRA) have the Proposed Rule Change and Timing for
necessary systems capacity to handle Commission Action Interested persons are invited to
any additional quote and message traffic submit written data, views, and
Because the foregoing proposed rule arguments concerning the foregoing,
associated with the additional listing of change does not: (i) Significantly affect
a seventh contract month in order to including whether the proposed rule
the protection of investors or the public change is consistent with the Act.
maintain four consecutive near term interest; (ii) impose any significant
contract months for those broad-based Comments may be submitted by any of
burden on competition; and (iii) become the following methods:
securities index options upon which a operative for 30 days from the date on
constant three-month volatility index is which it was filed, or such shorter time Electronic Comments
calculated. as the Commission may designate, it has • Use the Commission’s Internet
2. Statutory Basis become effective pursuant to Section comment form (http://www.sec.gov/
19(b)(3)(A) of the Act 13 and Rule 19b– rules/sro.shtml); or
The Exchange believes the rule
4(f)(6) thereunder.14 • Send an e-mail to rule-
proposal is consistent with Section 6 of A proposed rule change filed under comments@sec.gov. Please include File
the Act,9 in general, and with Sections 19b–4(f)(6) may not become operative No. SR–Amex–2008–13 on the subject
(b)(5) of the Act,10 in particular, because prior to 30 days after the date of filing, line.
the proposed increase in the number of unless the Commission designates a
options contract expiration month series shorter time if such action is consistent Paper Comments
is limited to broad-based securities with the protection of investors and the • Send paper comments in triplicate
indexes upon which a constant three- public interest.15 The Exchange has to Nancy M. Morris, Secretary,
month volatility index is calculated and requested that the Commission waive Securities and Exchange Commission,
because the additional quote and the 30-day operative delay. The Station Place, 100 F Street, NE.,
message traffic from any additional Commission believes that waiving the Washington, DC 20549–1090.
index option series is not expected to 30-day operative delay is consistent All submissions should refer to File
significantly impact current system with the protection of investors and the Number SR–Amex–2008–13. This file
capacity. In addition, the Exchange public interest. The Commission notes number should be included on the
believes proposed rule change is that other self-regulatory organizations subject line if e-mail is used. To help the
consistent with the provisions of recently adopted substantially similar Commission process and review your
Section 6 of the Act,11 in general, and rule changes that were effective upon comments more efficiently, please use
with (b)(5) of the Act,12 in particular, in filing,16 and that this filing raises no only one method. The Commission will
that the proposal is designed to prevent new regulatory issues. post all comments on the Commission’s
fraudulent and manipulative acts and Internet Web site (http://www.sec.gov/
practices, to promote just and equitable 13 15 U.S.C. 78s(b)(3)(A). rules/sro.shtml). Copies of the
principles of trade, to foster cooperation 14 17 CFR 240.19b–4(f)(6). submission, all subsequent
and coordination with persons engaged 15 17 CFR 240.19b–4(f)(6). In addition, Rule 19b–
amendments, all written statements
4(f)(6)(iii) requires a self-regulatory organization to
8 See Securities Exchange Act Release Nos. 56821
give the Commission written notice of its intent to with respect to the proposed rule
(November 20, 2007), 72 FR 66210 (November 27,
file the proposed rule change at least five business change that are filed with the
days prior to the date of filing of the proposed rule Commission, and all written
2007) (SR–CBOE–2007–82); 57104 (January 4,
change, or such shorter time as designated by the
2008), 73 FR 2070 (January 11, 2008) (SR–ISE– communications relating to the
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Commission. Amex has complied with this


2007–113); 57284 (February 7, 2008), 73 FR 8387 requirement.
(February 13, 2008) (SR–NYSEArca–2008–16). 16 See Securities Exchange Act Release Nos. 17 For purposes only of waiving the 30-day
9 15 U.S.C. 78f.
57284 (February 7, 2008), 73 FR 8387 (February 13, operative delay of this proposal, the Commission
10 15 U.S.C. 78f(b)(5).
2008) (SR–NYSEArca–2008–16) and 57104 (January has considered the proposed rule’s impact on
11 15 U.S.C. 78f.
4, 2008), 73 FR 2070 (January 11, 2008) (SR–ISE– efficiency, competition, and capital formation. 15
12 15 U.S.C. 78f(b)(5). 2007–113). U.S.C. 78c(f).

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14284 Federal Register / Vol. 73, No. 52 / Monday, March 17, 2008 / Notices

proposed rule change between the proposed rule change, as amended, from and Money Market Instruments (or that
Commission and any person, other than interested persons. hold securities in one or more other
those that may be withheld from the registered investment companies that
I. Self-Regulatory Organization’s
public in accordance with the themselves hold such portfolios of
Statement of the Terms of Substance of
provisions of 5 U.S.C. 552, will be securities and/or Financial Instruments
the Proposed Rule Change and Money Market Instruments); or (ii)
available for inspection and copying in
the Commission’s Public Reference The Exchange proposes to amend interests in a trust or similar entity that
Room, on official business days between certain CBOE rules to enable the listing holds a specified non-U.S. currency
the hours of 10 a.m. and 3 p.m. Copies and trading on the Exchange of options deposited with the trust or similar entity
of such filing also will be available for on the streetTRACKS Gold Trust. The when aggregated in some specified
inspection and copying at the principal text of the proposed rule change is minimum number may be surrendered
office of Amex. All comments received available at the Exchange, the to the trust by the beneficial owner to
will be posted without change; the Commission’s Public Reference Room, receive the specified non-U.S. currency
Commission does not edit personal and http://www.cboe.com. and pays the beneficial owner interest
identifying information from and other distributions on deposited
II. Self-Regulatory Organization’s non-U.S. currency, if any, declared and
submissions. You should submit only Statement of the Purpose of, and
information that you wish to make paid by the trust; or (iii) commodity
Statutory Basis for, the Proposed Rule pool interests principally engaged,
available publicly. All submissions Change
should refer to File Number SR–Amex– directly or indirectly, in holding and/or
2008–13 and should be submitted on or In its filing with the Commission, the managing portfolios or baskets of
before April 7, 2008. CBOE included statements concerning securities, commodity futures contracts,
For the Commission, by the Division the purpose of and basis for the options on commodity futures contracts,
of Trading and Markets, pursuant to proposed rule change. The text of these swaps, forward contracts and/or options
delegated authority.18 statements may be examined at the on physical commodities and/or non-
places specified in Item IV below. The U.S. currency. The proposed rule
Florence E. Harmon, CBOE has prepared summaries, set forth change would expand the types of ETFs
Deputy Secretary. in Sections A, B, and C below, of the that may be approved for options
[FR Doc. E8–5240 Filed 3–14–08; 8:45 am] most significant aspects of such trading on the Exchange to include the
BILLING CODE 8011–01–P statements. streetTRACKS Gold Trust.
Apart from allowing the
A. Self-Regulatory Organization’s streetTRACKS Gold Trust to be an
SECURITIES AND EXCHANGE Statement of the Purpose of, and underlying for options traded on the
COMMISSION Statutory Basis for, the Proposed Rule Exchange as described above, the listing
Change standards for ETFs would remain
[Release No. 34–57465; File No. SR–CBOE–
2005–11] 1. Purpose unchanged from those that apply under
current Exchange rules. ETFs on which
The Exchange states that the purpose options may be listed and traded would
Self-Regulatory Organizations; of the proposed rule change is to permit
Chicago Board Options Exchange, still have to be listed and traded on a
the listing and trading of options on the national securities exchange and satisfy
Incorporated; Notice of Filing of a streetTRACKS Gold Trust.
Proposed Rule Change, as Modified by the other listing standards set forth in
Currently, Interpretation and Policy Interpretation and Policy .06 to CBOE
Amendments No. 1 and 2, Relating to .06 to CBOE Rule 5.3 permits only
the Listing and Trading on the Rule 5.3.
certain Units (also referred to herein as Specifically, in addition to satisfying
Exchange of Options on the exchange traded funds (‘‘ETFs’’)) to
streetTRACKS Gold Trust the aforementioned listing
underlie options traded on the requirements, Units would have to: (1)
March 11, 2008. Exchange. Specifically, to be eligible as Meet the criteria and guidelines under
Pursuant to Section 19(b)(1) of the an underlying security for options Rule 5.3 Criteria for Underlying
Securities Exchange Act of 1934 traded on the Exchange, an ETF must Securities and Interpretation and Policy
(‘‘Act’’) 1 and Rule 19b–4 2 thereunder, represent: (i) Interests in registered .01 thereunder; or (2) be available for
notice is hereby given that on January investment companies (or series thereof) creation or redemption each business
25, 2005, the Chicago Board Options organized as open-end management day from or through the issuer in cash
Exchange, Incorporated (‘‘CBOE’’ or investment companies, unit investment or in kind at a price related to net asset
‘‘Exchange’’) filed with the Securities trusts or similar entities that hold value, and the issuer must be obligated
and Exchange Commission portfolios of securities, and/or financial to issue Units in a specified aggregate
(‘‘Commission’’) the proposed rule instruments including, but not limited number even if some or all of the
change as described in Items I, II, and to, stock index futures contracts, options investment assets required to be
III below, which Items have been on futures, options on securities and deposited have not been received by the
substantially prepared by the Exchange. indexes, equity caps, collars and floors, issuer, subject to the condition that the
On April 12, 2005, the Exchange swap agreements, forward contracts, person obligated to deposit the
submitted Amendment No. 1 to the repurchase agreements and reverse investments has undertaken to deliver
proposed rule change. On March 7, purchase agreements (the ‘‘Financial the investment assets as soon as
2008, the Exchange submitted Instruments’’), and money market possible and such undertaking is
Amendment No. 2 to the proposed rule instruments, including, but no limited secured by the delivery and
change. The Commission is publishing to, U.S. government securities and maintenance of collateral consisting of
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this notice to solicit comments on the repurchase agreements (the ‘‘Money cash or cash equivalents satisfactory to
Market Instruments’’) comprising or the issuer, as provided in the respective
18 17CFR 200.30–3(a)(12). otherwise based on or representing prospectus.
115 U.S.C. 78s(b)(1). investments in indexes or portfolios of The Exchange proposes that the
217 CFR 240.19b–4. securities and/or Financial Instruments current continued listing standards for

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