[Federal Register Volume 72, Number 179 (Monday, September 17, 2007)]
[Notices]
[Pages 52944-52948]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: E7-18216]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-56378; File No. SR-CBOE-2006-90]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Notice of Filing of a Proposed Rule Change and Amendment
No. 1 Thereto to Trade Delayed Start Option Series
September 10, 2007.
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 November
[[Page 52945]]
7, 2006, the Chicago Board Options Exchange, Incorporated (``CBOE'' or
``Exchange''), filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I, II,
and III below, which Items have been substantially prepared by CBOE. On
September 5, 2007, the Exchange filed Amendment No. 1 to the proposed
rule change.\3\ The Commission is publishing this notice to solicit
comments on the proposed rule change, as amended, from interested
persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ Amendment No. 1 replaces the original filing in its
entirety.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to introduce for trading a new type of
option, called Delayed Start Option Series\TM\ (``DSO''). CBOE proposes
to be able to list a DSO\TM\ on any security index option that is
already approved for trading on the Exchange. The text of the proposed
rule change is available on the Exchange's Web site (http://www.cboe.com), at the Office of the Secretary, CBOE and at the
Commission.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, CBOE 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 these statements may be examined at the places specified in
Item IV below. CBOE has prepared summaries, set forth in sections A, B,
and C below, of the most significant aspects of such statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange currently lists and trades standardized options.
Options are standardized in that at the inception of trading, the terms
of the option contracts are typically uniform and fixed, such as the
expiration date, the exercise style (American or European), strike
price, settlement feature (cash vs. physical), etc.\4\ The Exchange
proposes to introduce for trading a new type of security index option
product called Delayed Start Option Series (``DSOs''). DSOs will
possess all of the characteristics of existing index options with one
variation: At the commencement of trading of a particular DSO, and
until a predetermined date (the ``strike setting date''), there will be
no set exercise price. Instead, prior to the opening of the particular
DSO series, a pre-established methodology will be applied to determine
the strike price of the DSO. In addition, prior to the opening of the
particular DSO series, the Exchange will fix the expiration date of the
DSO and the date on which the exercise price will be established (the
strike setting date). The methodology, as well as the purpose of DSOs,
is described in greater detail below.
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\4\ Cf. Flex Options, which allow parties to designate certain
terms of the transaction.
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Volatility. The DSO is designed primarily to allow customers to
manage risk associated with the volatility of a particular security
index. Volatility is one of the most important determinants of an
option's price, because any change in the volatility of a security will
consequently change the price of a standard index option contract.
Consequently, any time an investor takes a position in a standard index
option contract, that investor will necessarily be exposed to the
volatility of the level (or calculated value) of the underlying
security or security index.
The effect of a change in volatility on the price of an option
contract is quantified by what is referred to as an option's vega (or
volatility exposure). Vega is derived from the formula used to price
options and is itself dependent on factors that contribute to an
option's price. The two major determinants of an index option's vega
are the relationship between an option's strike price and the level of
the underlying index and the amount of time left until the option
matures.
DSOs have been designed to address the dependence of an index
option's vega on the relationship between the option's strike price and
the underlying index level. Generally, an at-the-money option has the
highest vega because an at-the-money option has the greatest
uncertainty as to whether it will expire in- or out-of-the-money. DSOs
will be useful tools to manage volatility risk because prior to the
strike setting date, the DSO's price will be most sensitive to changes
in implied volatility, and changes in the index level will have less
impact on a DSO's price. The introduction of DSOs will provide members
and investors with an exchange-traded product to assist them in
managing the risks associated with changes in volatility. CBOE believes
that providing a standardized contract with transparent markets and the
guarantee of a clearinghouse (i.e., The Options Clearing Corporation
(``OCC'')) will benefit investors.
Product Description. DSOs will be identical to other options series
that currently trade except that instead of specifying a specific index
value number for the exercise price, the exercise price will be
specified in terms of a specific method for fixing such a number. This
method will provide that the strike price is fixed based on the closing
value of the underlying index on a predetermined strike setting date
prior to expiration. The particular strike setting date will be
specified at the time the DSO is initially opened for trading and will
be no sooner than one month, and no later than twelve months, after the
series' opening. The particular expiration date will also be specified
at the time the DSO is initially opened for trading and will be no
later than what is currently permitted under CBOE rules.\5\
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\5\ Presently, the longest term for an option series expiration
is thirty-nine months from the listing date. See Rule 5.8(a) and
proposed Rule 24.9(d)(2).
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Initially, CBOE will establish the strike setting dates for all
series of DSOs at three months prior to the option's expiration date.
Each DSO series that is issued as such will trade without an exercise
price until three months prior to expiration, at which point the
option's exercise price will be fixed based on the underlying index's
closing price. After the strike setting date, and up until the
expiration date, the DSO will trade the same as any other option in the
same index class.
The Exchange may determine to issue series of DSOs with more or
less time than three months between the strike setting date and
expiration date. As indicated above, the particular strike setting date
and the expiration date, and thus the corresponding length of the
interval between the strike setting date and expiration, will be set
prior to issuance of each particular series. No changes to any terms of
existing DSO series will be made once the series commences trading.
There are two primary reasons for varying the length of time
between the strike setting date and expiration. First, the volatility
implied by an option's price varies mainly with strike price and time
to expiration. The volatility implied by an option with four months to
expiration can be different than that implied by an option with three
months to expiration. Second, not only does the implied volatility vary
with strike price and time to expiration but changes in the level of
implied volatility also vary with strike price and time to expiration.
For example, the implied volatility of a
[[Page 52946]]
one-month at-the-money call option could change without a corresponding
change in the implied volatility of a three-month at-the-money call
option. This has implications for the usefulness of DSOs in hedging the
risk of changes in implied volatility.
To illustrate, if an investor has a long position in three-month,
non-DSO, at-the-money options and wishes to hedge against changes in
implied volatility, a DSO with one month between the strike setting
date and the expiration date would not always provide a useful hedge. A
DSO with three months between the strike setting and expiration dates,
would primarily be sensitive to changes in the implied volatility of a
three-month option, however, which allows the investor to more
precisely achieve the desired hedge.
Establishment of Strike Price. On the strike setting date, the DSO
is assigned an at-the-money, in-the-money or out-of-the-money strike
price. A DSO's exercise price will be fixed based on the closing value
of the underlying index on the strike setting date, rounded to the
nearest one-eighth (.125) value, or such smaller value as the Exchange
may designate at the time the DSO is listed, provided that the value
cannot be smaller than 0.01.\6\ For example, using a one-eighth
interval, if the SPX closes at 1004.12 on the strike setting date, the
DSO would be assigned a strike price of 1004.125. After the strike
setting date, the DSO will trade the same as other options until
expiration. As discussed above, at-the-money options generally have the
greatest sensitivity to changes in implied volatility. DSOs will be
useful to manage volatility risk because, prior to the strike setting
date, the DSO's price will be most sensitive to changes in implied
volatility. Because these DSOs are always ``at-the-money'' prior to the
strike setting date, changes in the index level will have less impact
on an at-the-money DSO's price.
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\6\ Because of system limitations, the Exchange currently plans
to round DSO exercise prices to the nearest .125. However, should
the system functionality permit it in the future, the Exchange wants
the flexibility to be able to determine to round DSO exercise prices
to a smaller value, provided that the particular increment would be
designated at the time the DSO is listed and that it would not be
any smaller than 0.01.
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The Exchange also plans to list in- or out-of-the money DSOs. These
types of DSOs would trade in the exact same manner as at-the-money
DSOs, except that the strike price would be set to a predetermined
level either in- or out-of-the-money on the strike setting date (e.g.,
5% in-the-money, 5% out-of-the-money). For example, if the Exchange
determines to list a 5% out-of-the-money DSO on the S&P 500[supreg]
Index (``SPX'') and the SPX closes at 1000 on the strike setting date,
the strike price would be established at 1050. The amount by which the
strike price of an in- or out-of-the money DSO series will be set in-
or out-of-the-money on the strike setting date will be announced prior
to the inception of trading of that particular series and will not
change thereafter.
There are two purposes for listing strike prices that are in- or
out-of-the-money. First, DSOs may be useful to investment managers who
follow covered call writing programs. These managers typically sell
out-of-the-money call options. Therefore, out-of-the-money DSOs would
be of more interest to them. Second, implied volatility and changes in
implied volatility vary by strike price. Therefore, market participants
may desire the ability to trade the volatility exposure of an index
option that is not at-the-money because it may better match these
participants' volatility exposure.
Exercise Style. All DSOs will feature European-exercise style until
the strike setting date (i.e., the option contract cannot be exercised
during this period). After the strike setting date, the DSO will be
subject to the exercise style (e.g., American or European) of the
particular index option class. Most index options, including the SPX,
DJX, XEO, and NDX,\7\ already feature European-style exercise. OEX
options feature American-style exercise.\8\ Accordingly, on the strike
setting date, DSOs on the OEX will be subject to an American-style
exercise. This is reflected in newly proposed Rule 24.9(d)(1). The
period during which exercise is restricted will depend upon the
particular DSO's strike setting date, expiration date and expiration
style. For instance, if a DSO that is subject to an American-style
exercise is issued with a nine-month expiration and a strike setting
date fixed at three-months prior to expiration, the period of non-
exercise will be six months.\9\
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\7\ The following are the correlating underlying indexes for
each listed option class: (1) Standard and Poor's 100 Stock Index
(``XEO'') (European-style exercise); (2) Standard and Poor's 500
Stock Index (``SPX''); (3) Nasdaq 100 Stock Index (``NDX''); and (4)
Dow Jones Industrial Average Index (``DJX'').
\8\ CBOE lists both European- and American-style exercise
options on the Standard & Poor's 100 Stock Index. European-style
index options trade under the symbol XEO while American-style
options trade under the symbol OEX. Except as noted otherwise,
references in this filing to ``OEX'' include the XEO series.
\9\ Similarly, a DSO that is subject to European-style exercise
with a nine-month expiration and a strike setting date fixed at
three months prior to expiration would have a nine-month period of
non-exercisability. The strike setting interval would be made and
publicly announced prior to inception of trading of that particular
DSO series. No changes to any terms of existing DSO series will be
made once the series trades (with the exception of the establishment
of the exercise price).
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Trading Increments, Margin, and Trading Symbols. The Exchange
proposes to list DSO puts to correspond with each DSO call in a
particular index option class. As with all other options, the premium
quotation would be stated in decimals, and one point would equal $100.
The minimum tick for options trading below $3.00 would be 0.05 ($5.00)
and for all other series, 0.10 ($10.00).
DSOs in any particular index option class will be treated the same
as any other options on the same index for the purpose of determining
customer margin.\10\ Therefore, a buyer of DSOs would have to pay the
premium in full, while a seller will have to put up the entire premium,
plus 15% of the underlying value for a broad-based index option, or the
premium plus 20% for a narrow-based or micro narrow-based index option.
Thus, for example, since an at-the-money DSO will always be at-the-
money prior to the strike setting date, customer margin for the short
will always be the premium plus 15% (20%) of the underlying value.
Following the strike setting date, customer margin may be less than 15%
(20%) of the underlying value based on the amount the option is out-of-
the-money at that time.
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\10\ See Rule 12.3. However, the Exchange does not initially
plan to permit spread margining between DSO and non-DSO options for
the time period between the initial listing of a DSO and its strike
setting date. The Exchange intends to consider what spread margin
would be appropriate and address the subject under a separate rule
filing.
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Prior to the strike setting date, margin on any DSO will be based
on the then-current level of the underlying index. For example, a DSO
whose strike price will be set to be at-the-money will be margined as
an at-the-money option in the same index option class prior to the
strike setting date, because prior to the strike setting date the DSO's
price will be directly related to the price of an at-the-money option.
Prior to the strike setting date, in- and out-of-the-money DSOs will be
margined the same as any other in- and out-of-the-money options in the
same index option class.
Prior to the strike setting date, DSOs will be distinguished from
existing options by a unique root symbol and a special strike price
code designating an at-the-money, in-the-money or out-of-the-money
option. The Exchange presently intends to trade the DSO series under
separate symbols from
[[Page 52947]]
other option series on the same index option class. The Exchange notes
that this is identical to how options on the SPX traded when the
Exchange began listing both a.m.- and p.m.-settled SPX option
series.\11\ The exact exercise price, and a unique DSO strike price
code, will be fixed on the strike setting date pursuant to the method
established at the time the option series was originally opened for
trading. The strike price code will specify the exact strike price of
the particular DSO option series (rounded to the nearest eighth or
smaller increment, if applicable).
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\11\ See Securities Exchange Act Release No. 30944 (July 21,
1992), 57 FR 33376 (July 28, 1992) (order approving SR-CBOE-92-09).
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Position and Exercise Limits. Positions in any DSO will be subject
to the same rules governing position and exercise limits upon other
options in the same index option class and, for the purposes of
determining position limits, DSO positions will be aggregated with
positions in other series of the same option class.\12\ Similarly,
members and member organizations trading in DSOs will continue to be
subject to the same reporting requirements and margin and clearing firm
requirements as provided under Interpretation and Policy .03 and .04 to
Rule 24.4.
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\12\ See CBOE Rules 4.11, 4.12, 24.4, 24.4A, and 24.4B. In
addition, the Exchange is proposing to clarify in Rule 24.4B,
Position Limits for Options on Micro Narrow-Based Indexes as Defined
Under Rule 24.2(d), that position in Short Term Option Series and
Quarterly Options, together with DSO positions, shall be aggregated
with positions in options contracts in the same class.
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Pricing of a DSO. Similar to other index options, the pricing of an
at-the-money DSO reflects the price of the underlying index, implied
volatility, interest rates, time to expiration, and strike price.
Variations of the same pricing formulas apply to the pricing of in- and
out-of-the money DSOs. Pricing formulas, which have been available for
over a decade, reflect this methodology. In fact, the relevant pricing
formulas that we anticipate market participants will use to assist in
their trading generally are derived from the original Black-Scholes
pricing formula to account for the time between the start of the
contract and when the strike price is set.\13\
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\13\ A derivation of the formula for valuing similar contracts
appeared in RISK, February 1991. See Rubinstein, Mark, ``Pay Now,
Choose Later,'' RISK, February 1991.
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Therefore, the price for a DSO will generally approximate the
concurrent price for a similar option, with one significant deviation:
Whereas other options are priced based on current levels of implied
volatility, a DSO is priced using an expectation of implied volatility
levels at the time the strike price is set, which is generally derived
from the current level of implied volatility. The dependence of a
particular DSO's price on expected implied volatility is what makes a
DSO useful to market participants that are interested in volatility
trading.
Customer Suitability. Although DSOs may be suitable for all types
of investors, the Exchange is adopting a rule that limits the trading
of DSOs to investors with prior options trading experience. Also, prior
to the commencement of trading of DSOs, the Exchange will make
available on its Web site all information necessary to inform members
and customers of the addition of new DSO series to a particular option
class. This information will highlight the differences in exercise
methodology of DSOs, identify the new symbols for the DSO series,
indicate the investor restrictions, identify the initial expiration
months and strike prices available for trading, and reference the
particular CBOE Rules that govern DSO trading. The Exchange also will
make available on its Web site the DSO product specifications, trading
characteristics, and any other information that will describe the
operation of DSO products.
Applicability of Rule 9b-1. The Exchange asks the Commission to
clarify that DSOs are standardized options under Rule 9b-1 of the Act.
Subsection (a)(4) of Rule 9b-1 defines ``standardized options'' as
``options contracts trading on a national securities exchange, an
automated quotations system of a registered securities association, or
a foreign securities exchange which relate to options classes the terms
of which are limited to specific expiration dates and exercise prices,
or such other securities as the Commission may, by order, designate.''
DSOs are like existing options trading on CBOE in every respect except
for the determination of the exercise price. DSOs (1) trade on a
national securities exchange, (2) have a specific exercise date, (3)
have fixed terms, (4) have specific exercise style, and (5) will be
issued and cleared by OCC. All of these are attributes of
``standardized options'' as defined in Rule 9b-1. The one respect with
which DSOs differ from existing options is that the existing options
have a fixed exercise price at the commencement of trading while DSOs
have a formula set at the commencement of trading for fixing the
exercise price. A DSO has a specific exercise price because the
exercise price is established at the commencement of trading according
to a formula that is publicly known and announced, objectively
determined, and unalterable. A party entering into a DSO knows exactly
the option's exercise price formula, which is the value of the
underlying index as of the close on the strike setting date.
Furthermore, the DSO is a single option contract. To illustrate, a
DSO listed with six months to expiration and three months until the
strike setting date is simply a single option contract with six months
to expiration, for which the strike price is allowed to float for the
first three months. There is no contract settlement on the strike
setting date. As a result, a market participant with a short position
in a DSO series is not obligated to make delivery of any underlying
security or cash on the strike setting date. The strike setting date is
only relevant to the contract as the date on which the pre-determined
formula is applied to determine the strike price of the existing DSO
series.
If the Commission cannot determine that DSOs are, by their terms,
standardized options, then the Exchange requests that the Commission
use its authority under Rule 9b-1(a)(4) to otherwise designate DSOs as
standardized options. The Commission used this authority in 1993 to
designate ``Flex Options'' as standardized options.\14\ In making this
designation, the Commission found that, ``[a]part from the flexibility
with respect to strike prices, settlement, expiration dates, and
exercise style, all of the other terms of Flex Options are
standardized.'' The Commission observed that standardized terms include
matters such as ``exercise procedures, contract adjustments, time of
issuance, effect of closing transactions, restrictions on exercise
under OCC rules [and] margin requirements * * *.'' The Commission also
emphasized that Flex Options could be written in a way that would make
them fully fungible with other options issued by OCC that fell within
the framework of Rule 9b-1. DSOs share all of these characteristics
and, in fact, are more standardized than Flex Options in that strike
price, settlement, expiration dates, and exercise style are fixed by
the Exchange for each DSO series.\15\ The strike price is simply
[[Page 52948]]
specified by the Exchange in terms of a pre-established formula for
fixing a set strike price on a pre-determined date. No changes to any
terms of existing DSO series will be made once the series begins
trading.
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\14\ See Securities Exchange Act Release No. 31910 (February 23,
1993), 58 FR 12056 (March 2, 1993).
\15\ The Commission has consistently cited the criteria outlined
above when making Rule 9b-1 standardization determinations. See,
e.g., Securities Exchange Act Release Nos. 39549 (January 14, 1998),
63 FR 3601 (January 23, 1998) (Phlx Flexible Exchange Traded Equity
and Index Options); 37336 (June 19, 1996), 61 FR 33558 (June 27,
1996) (Amex Flexible Exchange Options on Specified Equity
Securities); 36841 (February 14, 1996), 61 FR 6666 (February 21,
1996) (CBOE and PCX Flexible Exchange Traded Equity and Index
Options); and 34203 (June 13, 1994), 59 FR 31658 (June 20, 1004)
(CBOE Foreign Currency Flex Options, which incorporates by reference
the findings of Securities Exchange Act Release No. 31920 (February
24, 1993), 58 FR 12280 (March 3, 1993)).
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Advantages of Exchange Trading vs. OTC Market. It is the Exchange's
understanding that products similar to DSOs currently trade in the OTC
market. Most options pricing software available commercially and
through derivatives Web sites include a pricing model for DSOs. The
Exchange believes that exchange-listed DSOs will have three important
advantages over the contracts that are traded in the OTC market. First,
as a result of greater standardization of contract terms and the
support of a DPM, the trading crowd, or a CBOE Lead Market Maker
(``LMM''), Exchange-listed contracts could develop substantial
liquidity. Second, counter-party credit risk is mitigated by the fact
that the contracts are issued and guaranteed by OCC. Finally, the price
discovery and dissemination provided by the CBOE and its members will
lead to more transparent markets. CBOE's ability to offer DSOs would
aid it in competing with the OTC market and at the same time expand the
universe of listed products available to interested market
participants.
The Exchange represents that it will have surveillance procedures
that are adequate to monitor trading activity in DSOs. In this respect,
the Exchange intends to monitor trading activity in DSOs like any other
option series listed in that same index option class.
2. Statutory Basis
The Exchange believes that the introduction of the new DSO series
provides investors with a valuable hedging tool that will be traded on
a listed exchange. For these reasons, the Exchange believes that the
proposed rule change is consistent with section 6 of the Act \16\ in
general and, in particular, with section 6(b)(5) \17\ in that it is
designed to promote just and equitable principles of trade as well as
to protect investors and the public interest.
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\16\ 15 U.S.C. 78(f).
\17\ 15 U.S.C. 78(f)(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition
CBOE 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
Within 35 days of the date of publication of this notice in the
Federal Register or within such longer period (i) As the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding, or (ii) as to
which CBOE consents, the Commission will:
(A) By order approve such proposed rule change, or
(B) Institute proceedings to determine whether the proposed rule
change should be disapproved.
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-CBOE-2006-90 on the subject line.
Paper Comments
Send paper comments in triplicate to Nancy M. Morris,
Secretary, Securities and Exchange Commission, 100 F Street, NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-CBOE-2006-90. 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 inspection and
copying 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 such filing also will be available for
inspection and copying at the principal office of the CBOE. 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-CBOE-2006-90 and should be
submitted on or before October 9, 2007.
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\18\
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\18\ 17 CFR 200.30-3(a)(12).
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Jill M. Peterson,
Assistant Secretary.
[FR Doc. E7-18216 Filed 9-14-07; 8:45 am]
BILLING CODE 8010-01-P