Federal Register, Volume 75, Number 226, November 24, 2010, Pages 71519-72652 Page: 71,780
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Federal Register/Vol. 75, No. 226/Wednesday, November 24, 2010/Notices
904C(b) (and Rule 904C(c), in the case
of Stock Index Industry Group Options)
the net delta and the options contract
equivalent of the net delta of such
position.
Records. Under proposed Rule 904C,
Commentary .06(g), each member or
member organization relying on the
Index Exemption would be required to
(i) retain, and would be required to
undertake reasonable efforts to ensure
that any non-member affiliate of the
member or member organization relying
on the Index Exemption retains, a list of
the options, securities and other
instruments underlying each options
position net delta calculation reported
to the Exchange hereunder, and (ii)
produce such information to the
Exchange upon request.23
Reliance on Federal Oversight. As
provided under proposed Rule 904C,
Commentary .06(c), a Permitted Pricing
Model includes proprietary pricing
models used by members, member
organizations and affiliates that have
been approved by the SEC, the Fed or
another federal financial regulator. In
adopting the proposed Index Exemption
the Exchange would be relying upon the
rigorous approval processes and
ongoing oversight of a federal financial
regulator. The Exchange notes that it
would not be under any obligation to
verify whether a member's, member
organization's or non-member affiliate's
use of a proprietary pricing model is
appropriate or yielding accurate results.
The Exchange will announce the
effective date of the proposed rule
change in a regulatory circular to be
published no later than 60 days after
Commission approval. The effective
date shall be no later than 30 days after
publication of the regulatory circular.
2. Statutory Basis
The Exchange believes that this
proposed rule change is consistent with
Section 6(b) of the Securities Exchange
Act of 1934 ("Act"),24 in general, and
furthers the objectives of Section 6(b)(5)
of the Act 25 in particular, in that it is
designed to prevent fraudulent and
manipulative acts and practices,
promote just and equitable principles of
trade, remove impediments to and
perfect the mechanism of a free and
open market and a national market
system, and, in general, to protect
investors and the public interest. The
Exchange believes that allowing
23 A member or member organization would be
authorized to report position information of its non-
member affiliate pursuant to the written statement
required under proposed Rule 904C, Commentary
.06(e)(3)(B)(iv).
24 15 U.S.C. 78f(b).25 15 U.S.C. 78f(b)(5).
correlated instruments to be included in
the calculation of an equity option's net
delta would enable eligible market
participants to more fully realize the
benefit of the delta based equity hedge
exemption. The proposed delta-based
index hedge exemption would be
substantially similar to the delta-based
equity hedge exemption under Rule 904,
Commentary .10. Also, the Commission
has previously stated its support for
recognizing options positions hedged on
a delta neutral basis as properly
exempted from positions limits.26
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
Because the foregoing rule change
does not: (1) Significantly affect the
protection of investors or the public
interest; (2) impose any significant
burden on competition; and (3) become
operative for 30 days after the date of
this filing, or such shorter time as the
Commission may designate, it has
become effective pursuant to Section
19(b)(3)(A) of the Act 27 and Rule 19b-
4(f)(6) thereunder.28
A proposed rule change filed under
19b-4(f)(6) normally may not become
operative prior to 30 days after the date
of filing.29 However, Rule 19b-
4(f)(6)(iii) 30 permits the Commission to
designate a shorter time if such action
is consistent with the protection of
investors and the public interest. The
Exchange has requested that the
26 See Securities Exchange Act Release No. 40594
(ct0ber 23, 1998), 63 FR 59t32 59380 (November
3, 1998) (adopting rules relating to OTC Derivatives
Dealers).
27 15 U.S.C. 78s(b)(3)(A).
2817 CFR 240.19b-4(f)(6).
2917 CFR 240.19b-4(f)(6)(iii). In addition, Rule
19b-4(f)(6)(iii) requires that a self-regulatory
organization submit to the Commission written
notice of its 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 thisrequirement.
301d.Commission waive the 30-day operative
delay. The Commission believes that
waiving the 30-day operative delay is
consistent with the protection of
investors and the public interest. The
Commission notes that it has approved
a substantially similar proposal filed by
the Chicago Board Options Exchange,
Incorporated,31 and therefore believes
that no significant purpose is served by
a 30-day operative delay. For these
reasons, the Commission designates the
proposed rule change to be operative
upon filing with the Commission.32
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.
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 rule-
comments@sec.gov. Please include File
Number SR-NYSEAmex-2010-104 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-2010-104.
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
31 See Securities Exchange Act Release No. 62190
(May 27, 2010), 75 FR 31826 (June 4, 2010) (SR-
CBOE-2010-21). See also Securities Exchange Act
Release Nos. 62504 (July 15, 2010), 75 FR 42797
(July 22, 2010) (SR-PHLX-2010-93); and 63077
(October 12, 2010), 75 FR 63870 (October 18, 2010)
(SR-ISE-2010-97).
32 For the purposes only of waiving the 30-day
operative delay, the Commission has considered theproposed rule's impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).71780
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United States. Office of the Federal Register. Federal Register, Volume 75, Number 226, November 24, 2010, Pages 71519-72652, periodical, November 24, 2010; Washington D.C.. (https://digital.library.unt.edu/ark:/67531/metadc52807/m1/270/: accessed March 28, 2024), University of North Texas Libraries, UNT Digital Library, https://digital.library.unt.edu; crediting UNT Libraries Government Documents Department.