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Federal Register / Vol. 73, No.

64 / Wednesday, April 2, 2008 / Notices 18013

III. Date of Effectiveness of the available for inspection and copying in solicit comments on the proposed rule
Proposed Rule Change and Timing for the Commission’s Public Reference change from interested persons.
Commission Action Room, 100 F Street, NE., Washington,
I. Self-Regulatory Organization’s
The foregoing proposed rule change DC 20549, on official business days
Statement of the Terms of Substance of
has been designated as a fee change between the hours of 10 a.m. and 3 p.m.
the Proposed Rule Change
pursuant to Section 19(b)(3)(A)(ii) of the Copies of such filing also will be
available for inspection and copying at The Exchange proposes to amend
Act 7 and Rule 19b–4(f)(2) 8 thereunder,
the principal office of the Exchange. All Section 33 (Penny Pilot Program) of
because it establishes or changes a due,
comments received will be posted Chapter V of the Rules of the Boston
fee, or other charge imposed by the
Exchange. Accordingly, the proposal without change; the Commission does Options Exchange (‘‘BOX’’). The
will take effect upon filing with the not edit personal identifying proposed rule change will allow the
Commission. At any time within 60 information from submissions. You Exchange to implement the second
days of the filing of such proposed rule should submit only information that phase (‘‘Phase II’’) of a Commission-
change the Commission may summarily you wish to make available publicly. All approved expansion of the Penny Pilot
abrogate such rule change if it appears submissions should refer to File Program.5 The proposed rule change
to the Commission that such action is Number SR–Amex–2008–26 and should will also allow the Exchange to remove
necessary or appropriate in the public be submitted on or before April 23, the current listing of the classes (‘‘Penny
interest, for the protection of investors, 2008. Classes’’) included in the Penny Pilot
or otherwise in furtherance of the Program from Section 33, and will
For the Commission, by the Division of
purposes of the Act. permit the Exchange to notify
Trading and Markets, pursuant to delegated
authority.9 Participants of the classes included in
IV. Solicitation of Comments the Penny Pilot Program via Regulatory
Florence E. Harmon,
Interested persons are invited to Circular.
Deputy Secretary. The text of the proposed rule change
submit written data, views, and
[FR Doc. E8–6730 Filed 4–1–08; 8:45 am] and the Regulatory Circular are
arguments concerning the foregoing,
including whether the proposed rule BILLING CODE 8011–01–P available on the Exchange’s Web site
change is consistent with the Act. (http://www.bostonstock.com ), at the
Comments may be submitted by any of BSE’s principal office, and at the
the following methods: SECURITIES AND EXCHANGE Commission’s Public Reference Room.
COMMISSION
Electronic Comments II. Self-Regulatory Organization’s
Statement of the Purpose of, and
• Use the Commission’s Internet [Release No. 34–57566; File No. SR–BSE–
Statutory Basis for, the Proposed Rule
comment form (http://www.sec.gov/ 2008–20]
Change
rules/sro.shtml); or
• Send an e-mail to rule- Self-Regulatory Organizations; Boston In its filing with the Commission, the
comments@sec.gov. Please include File Stock Exchange, Inc.; Notice of Filing Exchange included statements
Number SR–Amex–2008–26 on the and Immediate Effectiveness of concerning the purpose of, and basis for,
subject line. Proposed Rule Change Relating to the the proposed rule change and discussed
Implementation of Phase II of the any comments it received on the
Paper Comments Penny Pilot Program proposed rule change. The text of these
• Send paper comments in triplicate statements may be examined at the
to Nancy M. Morris, Secretary, March 26, 2008.
places specified in Item IV below. The
Securities and Exchange Commission, Pursuant to Section 19(b)(1) of the BSE has prepared summaries, set forth
100 F Street, NE., Washington, DC Securities Exchange Act of 1934 in Sections A, B, and C below, of the
20549–1090. (‘‘Act’’),1 and Rule 19b–4 thereunder,2 most significant aspects of such
All submissions should refer to File notice is hereby given that on March 25, statements.
Number SR–Amex–2008–26. This file 2008, the Boston Stock Exchange, Inc.
number should be included on the A. Self-Regulatory Organization’s
(‘‘BSE’’ or ‘‘Exchange’’) filed with the
subject line if e-mail is used. To help the Statement of the Purpose of, and
Securities and Exchange Commission
Commission process and review your Statutory Basis for, the Proposed Rule
(‘‘Commission’’) the proposed rule
comments more efficiently, please use Change
change as described in Items I, II, and
only one method. The Commission will III below, which Items have been 1. Purpose
post all comments on the Commission’s substantially prepared by the BSE. The The Penny Pilot Program began on
Internet Web site (http://www.sec.gov/ Exchange has designated this proposal January 26, 2007 and allowed for the
rules/sro.shtml). Copies of the as one constituting a stated policy, trading of a limited number of option
submission, all subsequent practice, or interpretation with respect classes in penny increments.6 A
amendments, all written statements to the meaning, administration, or
with respect to the proposed rule enforcement of an existing rule under 5 See Securities Exchange Act Release No. 56566
change that are filed with the Section 19(b)(3)(A)(i) of the Act 3 and (September 27, 2007), 72 FR 56400 (October 3,
Commission, and all written Rule 19b–4(f)(1) thereunder,4 which 2007) (SR–BSE–2007–40) (‘‘Approval Order’’).
6 See Securities Exchange Act Release No. 55155
communications relating to the renders the proposal effective upon
(January 23, 2007) 72 FR 4741 (February 1, 2007)
proposed rule change between the filing with the Commission. The (SR–BSE–2006–49) (‘‘Original Pilot Approval
Commission and any person, other than Commission is publishing this notice to Order’’). The thirteen (13) option classes originally
those that may be withheld from the
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included in the Pilot were: iShares Russell 2000


public in accordance with the 9 17 (IWM), NASDAQ–100 Index Tracking Stock
CFR 200.30–3(a)(12).
(QQQQ), SemiConductor Holders Trust (SMH),
provisions of 5 U.S.C. 552, will be 1 15 U.S.C. 78s(b)(1). General Electric Company (GE), Advanced Micro
2 17 CFR 240.19b–4.
Devices, Inc. (AMD), Microsoft Corporation (MSFT),
7 15 U.S.C. 78s(b)(3)(A)(ii). 3 15 U.S.C. 78s(b)(3)(A)(i).
Intel Corporation (INTC), Caterpillar, Inc. (CAT),
8 17 CFR 240.19b–4(f)(2). 4 17 CFR 240.19b–4(f)(1). Continued

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18014 Federal Register / Vol. 73, No. 64 / Wednesday, April 2, 2008 / Notices

subsequent rule filing by the Exchange the Act,11 in particular, in that it will IV. Solicitation of Comments
on September 27, 2007 initiated a two- implement the second phase of an
phased expansion of the Penny Pilot approved pilot program and permit the Interested persons are invited to
Program.7 The first phase (‘‘Phase I’’) Exchange to notify Participants about submit written data, views, and
commenced on September 28, 2007, and the program via Regulatory Circular, arguments concerning the foregoing,
with it added twenty-two (22) option and is designed to prevent fraudulent including whether the proposed rule
classes to the Penny Pilot Program.8 and manipulative acts, to promote just change is consistent with the Act.
The Exchange now proposes to and equitable principles of trade, to Comments may be submitted by any of
implement Phase II of the expansion on remove impediments to and perfect the the following methods:
March 28, 2008. When Phase II is mechanism of a free and open market
implemented the Exchange will add Electronic Comments
and a national market system, and, in
twenty-eight (28) of the most actively general, to protect investors and the • Use the Commission’s Internet
traded, multiply-listed option classes to public interest. Specifically, the comment form (http://www.sec.gov/
the Penny Pilot Program. This will bring proposal will result in a more efficient
the total number of option classes rules/sro.shtml); or
method by which the Exchange informs
quoted in pennies to sixty-three (63) Participants of the classes included in • Send an e-mail to rule-
(the original thirteen (13) classes, plus the Penny Pilot Program. comments@sec.gov. Please include File
twenty-two (22) classes from Phase I of Number SR–BSE–2008–20 on the
the expansion, plus the twenty-eight B. Self-Regulatory Organization’s subject line.
(28) additional option classes from Statement on Burden on Competition
Phase II of the expansion). Paper Comments
The Exchange does not believe that
The Exchange will distribute a the proposed rule change will impose • Send paper comments in triplicate
complete list of the classes included in any burden on competition that is not to Nancy M. Morris, Secretary,
the Penny Pilot Program to Participants necessary or appropriate in furtherance Securities and Exchange Commission,
via Regulatory Circular. The Exchange
of the purposes of the Act. 100 F Street, NE., Washington, DC
believes that distributing a Regulatory
Circular containing the current and C. Self-Regulatory Organization’s 20549–1090.
additional Penny Classes is the best Statement on Comments on the All submissions should refer to File
method of notifying and informing Proposed Rule Change Received From Number SR–BSE–2008–20. This file
Participants of the additional classes Members, Participants, or Others number should be included on the
that will be included in Phase II of the subject line if e-mail is used. To help the
impending expansion. Further, The Exchange has neither solicited
circulation of the list of Penny Classes nor received comments on the proposed Commission process and review your
rule change. comments more efficiently, please use
via Regulatory Circular will conform the
only one method. The Commission will
Exchange’s method of distribution of III. Date of Effectiveness of the post all comments on the Commission’s
such information to that of other Proposed Rule Change and Timing for
exchanges.9 Internet Web site (http://www.sec.gov/
Commission Action
rules/sro.shtml). Copies of the
2. Statutory Basis The proposed rule change has become submission, all subsequent
The Exchange believes that the effective pursuant to Section amendments, all written statements
proposal is consistent with the 19(b)(3)(A)(i) of the Act 12 and Rule 19b– with respect to the proposed rule
requirements of Section 6(b) of the 4(f)(1) thereunder,13 because it change that are filed with the
Act,10 in general, and Section 6(b)(5) of constitutes a stated policy, practice, or Commission, and all written
interpretation with respect to the communications relating to the
Whole Foods Market, Inc. (WFMI), Texas meaning, administration, or proposed rule change between the
Instruments, Inc. (TXN), Flextronics International enforcement of an existing BOX rule.
Ltd. (FLEX), Sun Microsystems, Inc. (JAVA), and Commission and any person, other than
Agilent Technologies, Inc. (A). The Penny Pilot Specifically, the proposed rule change those that may be withheld from the
Program was extended on July 24, 2007. See will allow the Exchange to implement public in accordance with the
Securities Exchange Act Release No. 56149 (July 26, Phase II of a Commission-approved provisions of 5 U.S.C. 552, will be
2007), 72 FR 42450 (August 2, 2007) (SR–BSE– expansion of the Penny Pilot Program.
2007–38). available for inspection and copying in
7 See Approval Order, supra note 5. The proposed rule change will also the Commission’s Public Reference
8 The following classes were added to the Penny allow the Exchange to modify the
Room, 100 F Street, NE., Washington,
Pilot Program on September 28, 2007: SPY (SPDRs), manner in which it will notify
AAPL (Apple, Inc.), MO (Altria Group Inc.), DNDN DC 20549, on official business days
Participants of the classes contained in
(Dendreon Corp.), AMGN (Amgen Inc.), YHOO between the hours of 10 a.m. and 3 p.m.
(Yahoo! Inc.), QCOM (QUALCOMM Inc.), GM the Penny Pilot Program.
Copies of the filing also will be available
(General Motors Corporation), XLE (Energy Select At any time within 60 days of the for inspection and copying at the
Sector), DIA (DIAMONDS Trust, Series 1), OIH (Oil filing of the proposed rule change, the
Service HOLDRS), NYX (NYSE Euronext, Inc.), principal office of the BSE. All
CSCO (Cisco Systems, Inc.), XLF (Financial Select Commission may summarily abrogate
comments received will be posted
Sector SPDR), T (AT&T Inc.), C (Citigroup), AMZN such rule change if it appears to the
(Amazon.com Inc.), MOT (Motorola Inc.), RIMM Commission that such action is without change; the Commission does
(Research in Motion Ltd.), FCX (Freeport-McMoRan necessary or appropriate in the public not edit personal identifying
Copper & Gold Inc.), COP (ConocoPhillips), and information from submissions. You
BMY (Bristol-Myers Squibb Co.). The most recent interest, for the protection of investors,
expansion of the Penny Pilot Program is set to or otherwise in furtherance of the should submit only information that
you wish to make available publicly. All
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expire on March 27, 2008, after which point the purposes of the Act.14
second phase of the expansion will commence and submissions should refer to File
continue through March 27, 2009.
9 See Supplemental Material to Rule 710 of the
11 15 U.S.C. 78f(b)(5). Number SR–BSE–2008–20 and should
Rules of the International Securities Exchange, LLC 12 15 U.S.C. 78s(b)(3)(A)(i). be submitted on or before April 23,
(‘‘ISE’’). 13 17 CFR 240.19b–4(f)(1). 2008.
10 15 U.S.C. 78f(b). 14 See 15 U.S.C. 78s(b)(3)(C).

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Federal Register / Vol. 73, No. 64 / Wednesday, April 2, 2008 / Notices 18015

For the Commission, by the Division of purpose of, and basis for, the proposed Under the current application of
Trading and Markets, pursuant to delegated rule change. The text of these statements Section 10 of Chapter XIV of the BOX
authority.15 may be examined at the places specified Rules, the Exchange generally lists three
Florence E. Harmon, in Item IV below. BSE has prepared consecutive near term months and three
Deputy Secretary. summaries, set forth in Sections A, B, months on a quarterly expiration cycle.
[FR Doc. E8–6731 Filed 4–1–08; 8:45 am] and C below, of the most significant One of the three consecutive near term
BILLING CODE 8011–01–P aspects of such statements. months is always a quarterly month;
however, that near term contract month
A. Self-Regulatory Organization’s (which is also a quarterly month) is not
SECURITIES AND EXCHANGE Statement of the Purpose of, and included as part of the three months
COMMISSION Statutory Basis for, the Proposed Rule listed on a quarterly expiration cycle.
Change Therefore, in order to permit the
[Release No. 34–57570; File No. SR–BSE–
2008–14] 1. Purpose addition of four consecutive near term
months under current Section 10 of
The purpose of this rule filing is to
Self-Regulatory Organizations; Boston Chapter XIV of the BOX Rules, the
amend the BOX Rules to allow the
Stock Exchange, Inc.; Notice of Filing Exchange would only be able to list two
Exchange to list up to seven expiration months on a quarterly expiration cycle.
and Immediate Effectiveness of
months for broad based security index Because of customer demand and other
Proposed Rule Change To Amend
options upon which an exchange investment strategy reasons for having
Rules Pertaining to the Terms of Index
calculates a constant three-month three months on a quarterly expiration
Option Contracts
volatility index. Currently, Section cycle, the Exchange is seeking to
March 27, 2008. 10(a)(3) of Chapter XIV of the BOX increase, from six to seven, the number
Pursuant to Section 19(b)(1) of the Rules permits the Exchange to list only of expiration months for broad-based
Securities Exchange Act of 1934 (the six expiration months in any index security index options upon which a
‘‘Act’’) 1 and Rule 19b–4 thereunder,2 options at any one time. constant three-month volatility index is
notice is hereby given that on March 12, Volatility products offer investors a calculated.
2008, the Boston Stock Exchange, Inc. unique set of tools for hedging. For The proposed rule change will permit
(‘‘BSE’’ or ‘‘Exchange’’) filed with the example, the Chicago Board Options the Exchange to list up to seven
Securities and Exchange Commission Exchange, Incorporated (‘‘CBOE’’) expiration months at any one time for
(‘‘Commission’’) the proposed rule Volatility Index (‘‘VIX’’) options, first any broad-based security index option
change as described in Items I and II introduced in February 2006, have contract 7 upon which any exchange
below, which Items have been prepared proven to be one of CBOE’s most calculates a constant three-month
substantially by BSE. BSE filed the successful new products ever listed, volatility index. As a result, the
proposed rule change as a ‘‘non- currently averaging over 90,000 Exchange, eight times a year, would be
controversial’’ proposed rule change contracts traded per day. In a recent able to add an additional seventh
pursuant to Section 19(b)(3)(A) of the proposal, CBOE explained that it plans expiration month in order to maintain
Act 3 and Rule 19b–4(f)(6) thereunder,4 to introduce new volatility products and four consecutive near term contract
which renders it effective upon filing new volatility indexes in the near months.
with the Commission. The Commission future, including the CBOE S&P 500 The BSE has analyzed its capacity and
is publishing this notice to solicit Three-Month Volatility Index (‘‘VXV’’).5 represents that it believes the Exchange
comments on the proposed rule change Similar to the VIX, the VXV is a and the Options Price Reporting
from interested persons. measure of S&P 500 implied volatility, Authority (OPRA) have the necessary
I. Self-Regulatory Organization’s the volatility implied by S&P option systems capacity to handle any
Statement of the Terms of Substance of prices. Instead of reflecting a constant additional quote and message traffic
the Proposed Rule Change one-month implied volatility period, associated with the additional listing of
however, VXV is designed to reflect the a seventh contract month in order to
BSE proposes to amend Section 10 implied volatility of an option with a maintain four consecutive near term
(Terms of Index Options Contracts) of constant three months to expiration. contract months for those broad-based
Chapter XIV (Index Rules) of the Boston Since there is only one day on which an securities index options upon which a
Options Exchange (‘‘BOX’’) Rules to option has exactly three months to constant three-month volatility index is
allow the listing of up to seven expiration, VXV is calculated as a calculated.
expiration months for options on certain weighted average of options expiring
broad-based indexes. 2. Statutory Basis
immediately before and immediately
The text of the proposed rule change The Exchange believes the rule
after the three-month standard.
is available at BSE, the Commission’s proposal is consistent with Section 6 of
Accordingly, an index calculator would
Public Reference Room, and http:// the Act,8 in general, and with Section
need to use four consecutive expiration
www.bse.com. 6(b)(5) of the Act,9 in particular, because
months in order to calculate a constant
II. Self-Regulatory Organization’s three-month volatility index.6 the proposed increase in the number of
Statement of the Purpose of, and options contract expiration month series
Statutory Basis for, the Proposed Rule 5 CBOE calculates volatility indexes on other is limited to broad-based securities
Change broad-based security indexes, such as the Dow indexes upon which a constant three-
Jones Industrial Average index (‘‘DJX’’), the Nasdaq- month volatility index is calculated and
In its filing with the Commission, BSE 100 index (‘‘NDX’’), and the Russell 2000 index
included statements concerning the (‘‘RUT’’). CBOE may calculate a constant three-
in order to maintain four consecutive near term
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month volatility index on DJX, NDX, or RUT in the


future. See Securities Exchange Act Release No. contract months.
15 17 CFR 200.30–3(a)(12). 7 See Section 10 of Chapter XIV of the BOX Rules.
56821 (November 20, 2007), 72 FR 66210
1 15 U.S.C. 78s(b)(1). (November 27, 2007) (SR-CBOE–2007–82) (‘‘CBOE Examples of such broad-based securities indexes
2 17 CFR 240.19b–4. include the S&P 500, DJX, NDX and RUT.
Proposal’’).
3 15 U.S.C. 78s(b)(3)(A). 6 See Id. In CBOE Proposal, CBOE provides 8 15 U.S.C. 78f.
4 17 CFR 240.19b–4(f)(6). examples illustrating the need for a seventh month 9 15 U.S.C. 78f(b)(5).

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