April 29, 2005
Exchange
Bulletin
Volume 33, Number 17
The Constitution and Rules of the Chicago Board Options Exchange, Incorporated (“Exchange”), in certain specific instances,
require the Exchange to provide notice to the Exchange membership. To satisfy this requirement, a complimentary copy of the
Exchange Bulletin, including the Regulatory Bulletin, is delivered by hard copy or e-mail to all effective members on a weekly
basis.
CBOE members are encouraged to receive the Exchange and Regulatory Bulletin and Information Circulars via e-mail. E-mail
subscriptions may be obtained by submitting your name, firm if applicable, mailing address, e-mail address, and phone number, to
members@cboe.com, or, by contacting the Membership Department by phone, at 312-786-7449. There is no charge for e-mail
delivery of the Exchange and Regulatory Bulletin or for Information Circulars. If you do sign up for e-mail delivery, please remember to inform the Membership Department of e-mail address changes.
Additional subscriptions for hard copy delivery after the first complimentary copy may be obtained by submitting your name, firm
if any, mailing address, e-mail address and telephone number to: Chicago Board Options Exchange, Accounting Department, 400
South LaSalle, Chicago, Illinois 60605, Attention: Bulletin Subscriptions. The cost of an annual subscription (July 1 through June
30) is $200.00 ($100.00 after January 1), payable in advance. The Exchange reserves the right to limit subscriptions by nonmembers.
For up-to-date Seat Market Quotes, call 312-786-7456 or refer to CBOE.com and click “Seat Market Information” under the “About
CBOE” tab. For access to the CBOE Member Web Site, please also notify the Membership Department by sending an e-mail to
members@cboe.com or by phone at 312-786-7449.
Copyright © 2005 Chicago Board Options Exchange, Incorporated
SEAT MARKET QUOTES AS OF FRIDAY, APRIL 29, 2005
CLASS
CBOE/FULL
CBOT/FULL
BID
$475,000.00
$1,547,000.00
OFFER
$494,000.00
$1,660,000.00
LAST SALE AMOUNT
$475,100.00
$1,510,000.00
LAST SALE DATE
April 28, 2005
April 27, 2005
MEMBERSHIP SALES AND TRANSFERS
From
AC Capital Investments
Robert A. Barr
Citigroup Global Markets Inc.
Citigroup Global Markets Inc.
Citigroup Global Markets Inc.
Citigroup Global Markets Inc.
Citigroup Global Markets Inc.
To
TRO Trading Group LLC
TRO Trading Group LLC
Citigroup Derivatives Markets Inc.
Citigroup Derivatives Markets Inc.
Citigroup Derivatives Markets Inc.
Citigroup Derivatives Markets Inc.
Citigroup Derivatives Markets Inc.
Price/Transfer
$493,000.00
$494,000.00
$475,100.00
$475,100.00
$475,100.00
$475,100.00
$475,100.00
Date
4/22/05
4/27/05
4/28/05
4/28/05
4/28/05
4/28/05
4/28/05
DPM APPOINTMENT TRANSFER APPROVAL - April 25, 2005
The MTS Committee has conditionally approved pursuant to CBOE Rule 8.89 a proposal from Botta Capital Management, LLC (“BCM”)
and Botta Specialists, LLC (“BSP”), both member organizations, regarding a transfer in the ownership interest in BCM. BSP operates two
DPM trading stations on the CBOE, which are located at Post 2, Station 9; Post 2, Station 10.
Currently, BCM owns 100% of BSP and the ownership structure of BCM consists of several classes of members, each with certain rights
and obligations. The Class A members are Pax Clearing Corporation (“Pax”), Jeffrey Wolfson, Kevin Luthringshausen, Kelly
Luthringshausen, and Michael Frazin. The Class C members are Steven Malitz, William Lynn, and Ilene Resnick Garber. The Class F
members are Philip Teuscher and Peter Guth. There are several Class B members.
Under the proposal, Pax will withdraw from ownership in BCM and Zydeco, LLC (“Zydeco”) will own 100% of the Class A membership
interests in BCM. Zydeco’s current ownership structure is as follows: Kevin Luthringshausen – 100%, but under the terms of the
proposal, Zydeco will admit Timothy Mullen, Kelly Luthringshausen, and Christopher Quander as members and Kevin Luthringshausen
and Kelly Luthringshausen will transfer their interests in BCM to Zydeco in exchange for additional interests in Zydeco. Also under the
proposal, Jeffrey Wolfson will become a Class C member of BCM, but the existing Class C members will retain their Class C memberships. The Class B membership interests in BCM will be retired. The current Class F members will remain Class F members.
The management and operational structure of the BSP DPMs will not change.
Page 2
April 29, 2005
Volume 33, Number 17
Chicago Board Options Exchange
MEMBERSHIP INFORMATION FOR 4/21/05 THROUGH 4/27/05
MEMBERSHIPAPPLICATIONS RECEIVED FOR
WHICH A POSTING PERIOD IS REQUIRED
Effective Date
Individual Membership Applicants
Date Posted
Lessor: John L. Schlipper
Lessee: LT Derivatives LLC
Gregory R. Tilly, NOMINEE
Rate:
0.8128%
Term: Monthly
Stanton W. Todd, Nominee
Group One Trading, LP
1870 N. Hoyne
Chicago, IL 60647
4/26/05
Terminated Leases
Termination Date
Lessor: Elliott N. Mirman
Lessee: First Derivative Traders, LP
4/21/05
Patrick M. McCallum, Nominee
Man Securities Inc.
1617 N. Hudson St., Apt. 2R
Chicago, IL 60614
4/26/05
Lessor: Geneva Stock, LLC
Lessee: Geneva Trading LLC
Joseph T. Pultz (JTP), NOMINEE
4/21/05
Jeffrey J. Tangel, Lessee
2028 W. 101st Place
Chicago, IL 60643
4/26/05
Lessor: Regent Limited
Lessee: Group One Trading, LP
John A. Kinahan (KIN), NOMINEE
4/25/05
Anthony B. Marti, Nominee
Ronin Capital, LLC
4651 N. Redwood Dr.
Norridge, IL 60706
4/26/05
Lessor: Fugue
Lessee: Market Street Securities, Inc.
4/25/05
4/26/05
Glenn A. McMillan, Nominee
CSS, LLC
1852 N. Sheffield
Chicago, IL 60614
4/27/05
Lessor: AC Capital Investments
Lessee: Timber Hill LLC
James P. Brady (BRD), NOMINEE
Lessor: John L. Schlipper
Lessee: KATL Group, LLC
Gregory R. Tilly (GXT), NOMINEE
4/27/05
Member Organization Applicants
Date Posted
Savant Trading LLC
4/26/05
141 W. Jackson Blvd. - #340
Chicago, IL 60604
Daniel E. Baldwin – Manager
Matlock Research & Investments LLC – Member
Blair M. Hull, Jr. – Owner
James Lodas - Director
MEMBERSHIP LEASES
4/27/05
MEMBERSHIP TERMINATIONS
Individual Members
Nominee(s) / Inactive Nominee(s):
Termination Date
Robert J. Yuille (RUL)
SMC Option Management LLC
440 S. LaSalle St., Ste. 1900
Chicago, IL 60605
4/21/05
4/22/05
New Leases
Effective Date
Lessor: WH Trading, LLC
Lessee: Geneva Trading LLC
Joseph T. Pultz, NOMINEE
Rate:
0.8128%
Term: Daily
4/21/05
Damon M. Fawcett (DMN)
Fawcett Trading, LLC
876 Tara Court
Wheaton, IL 60187
4/25/05
Lessor: TRO Trading Group LLC
Lessee: Wolverine Trading LLC
Rate:
0.8128%
Term: Monthly
4/25/05
Christopher D. Bernard (JEL)
Sallerson-Troob LLC
440 S. LaSalle - Ste. 950
Chicago, IL 60605
4/25/05
Lessor: Fugue
Lessee: McGowan Investors, LP
Rate:
1.00%
Term: Monthly
4/25/05
Wendy A. Fawcett (WND)
Fawcett Trading, LLC
440 S. LaSalle, Ste. 950
Chicago, IL 60605
Lessor: Hartz Construction Company, Inc.
Lessee: Holland Trading House, LLC
Rate:
0.8128%
Term: Monthly
4/25/05
Kevin M. Henning (KVH)
Andrie Trading LLC
3131 Moon Hill Drive
Northbrook, IL 60062
4/26/05
Lessor: Knoblauch Securities Corp.
Lessee: Holland Trading House, LLC
Rate:
0.8128%
Term: Monthly
4/25/05
Lessor: EWT, LLC
Lessee: Group One Trading, LP
John A. Kinahan, NOMINEE
Rate:
0.875%
Term: Daily
4/25/05
Lessor: TRO Trading Group LLC
Lessee: Timber Hill LLC
James P. Brady, NOMINEE
Rate:
1.00%
Term: Monthly
4/26/05
Member Organizations
Lessee(s):
Termination Date
First Derivative Traders, LP
Sherman Frager
1319 Rutland Lane
Wynnewood, PA 19096
4/21/05
Page 3
April 29, 2005
Volume 33, Number 17
Chicago Board Options Exchange
Lessor(s):
Termination Date
New Participants
Acronym
Effective Date
Regent Limited
Marc F. Desiderio
PO Box 1216 - 45 Birch St.
Englewood Cliff, NJ 07632
4/25/05
Yoni B. Cohen
QNZ
4/26/05
Yoni B. Cohen
QND
4/26/05
Yoni B. Cohen
QDD
4/26/05
EFFECTIVE MEMBERSHIPS
Yoni B. Cohen
QDX
4/26/05
Individual Members
Matthew M. Van Aken
QYW
4/27/05
Nominee(s) / Inactive Nominee(s):
Effective Date
Terminated Participants Acronym
Termination Date
Kevin M. Henning
4/26/05
Wendy A. Fawcett (WND)
4/22/05
Fawcett Trading, LLC
440 S. LaSalle, Ste. 950
Chicago, IL 60605
Type of Business to be Conducted: Market Maker
CHANGES IN MEMBERSHIP STATUS
Christopher D. Bernard (JEL)
4/22/05
Sallerson-Troob LLC
440 S. LaSalle - Ste. 950
Chicago, IL 60605
Type of Business to be Conducted: Market Maker
James J. Tryzna
4/21/05
From:
CBT Registered For Armquest LP; Market Maker
To:
CBT Registered For Yukon Trading, LLC; Market Maker
/Floor Broker
Damon M. Fawcett (DMN)
4/25/05
Fawcett Trading, LLC
876 Tara Court
Wheaton, IL 60187
Type of Business to be Conducted: Market Maker
Joseph S. Sullivan
4/26/05
From:
CBT Registered For Robert C. Sheehan & Associates,
LLC; Market Maker / Floor Broker
To:
Nominee For Robert C. Sheehan & Associates, LLC;
Market Maker / Floor Broker
Ioannis S. Moraitis (YNI)
4/25/05
SMC Option Management LLC
440 S. LaSalle, 19th Floor
Chicago, IL 60605
Type of Business to be Conducted: Market Maker
Gregory R. Tilly
4/27/05
From:
Nominee For KATL Group, LLC; Market Maker
To:
Nominee For L.T. Derivatives LLC; Market Maker
Yoni B. Cohen (YON)
4/26/05
Andrie Trading LLC
440 S. LaSalle, Ste. 1910
Chicago, IL 60605
Type of Business to be Conducted: Market Maker
Morgan Stanley & Co. Inc.
4/26/05
From:
Owner; Associated with a Floor Broker
To:
Owner; Associated with a Market Maker / Floor Broker
Timothy G. Gorham (TMG)
4/27/05
Consolidated Trading, LLC
440 S. LaSalle, Ste. 3100
Chicago, IL 60605
Type of Business to be Conducted: Market Maker
Member Organizations
CBT Registered For:
Effective Date
Yukon Trading, LLC
4/21/05
141 W. Jackson Blvd. - Ste. 3510
Chicago, IL 60604
Type of Business to be Conducted: Market Maker / Floor Broker
Lessee(s):
Effective Date
L.T. Derivatives LLC
4/27/05
440 S. LaSalle, 16th Floor
Chicago, IL 60605
Type of Business to be Conducted: Market Maker
JOINT ACCOUNTS
New Participants
Acronym
Effective Date
Timothy J. Werner
QBB
4/21/05
Steven T. Romanchuk
QIG
4/21/05
Steven T. Romanchuk
QLO
4/21/05
QDX
Individual Members
Member Organizations
Effective Date
Effective Date
EWT, LLC
4/26/05
From:
Lessor; Associated with a Market Maker
To:
Lessor / Owner; Associated with a Market Maker
Credit Suisse First Boston LLC
4/25/05
From:
Lessor / Owner / Non-Member Customer Business /
Order Service Firm; Associated with a Market Maker /
Floor Broker
To:
Owner / Non-Member Customer Business / Order
Service Firm; Associated with a Market Maker / Floor
Broker
Geneva Stock, LLC
4/21/05
From:
Lessor / Member Organization Affiliated with a CBT
Registered For; Associated with a Market Maker
To:
Member Organization Affiliated with a CBT Registered
For; Associated with a Market Maker
W.H. Trading, LLC
4/21/05
From:
Lessee; Associated with a Market Maker
To:
Lessor / Lessee; Associated with a Market Maker
MEMBER ADDRESS CHANGES
Individual Members
Effective Date
Stuart Kipnes
2120 N. Lincoln Park West – Apt. 5
Chicago, IL 60614
4/25/05
Page 4
April 29, 2005
Volume 33, Number 17
Chicago Board Options Exchange
RESEARCH CIRCULARS
The following Research Circulars were distributed between April 22 and April 28, 2005. If you wish to read the entire document, please refer to
the CBOE website at www.cboe.com and click on the “Trading Tools” Tab. New listings and series information is also available in the Trading
Tools section of the website. For questions regarding information discussed in a Research Circular, please call The Options Clearing Corporation at 1-888-OPTIONS.
Research Circular #RS05-270
April 22, 2005
*****UPDATE – FINAL ELECTION RESULTS ANNOUNCED*****
International Steel Group Inc. (“ISG/ adj. IJI/YRB/VOG”)
Determination of Contract Deliverable
Research Circular #RS05-280
April 27, 2005
Hollywood Entertainment Corporation
(“HLYW/HWQ”) Merger COMPLETED
with Movie Gallery Inc. (“MOVI”)
Research Circular #RS05-271
April 22, 2005
DuPont Photomasks, Inc. (“DPMI/DUD”)
Merger COMPLETED with
Toppan Printing Co., Ltd.
Research Circular #RS05-282
April 28, 2005
Rayovac Corporation (“ROV”)
Name, Stock and Option Symbol Change to
Spectrum Brands, Inc. (“SPC”)
Effective Date: May 2, 2005
Research Circular #RS05-276
April 26, 2005
Mandalay Resort Group (“MBG/YSG/OBI”)
Merger COMPLETED with
MGM MIRAGE (“MGG/YDM/VYG”)
May 4, 2005
Volume RB16, Number 18
Regulatory
Bulletin
The Constitution and Rules of the Chicago Board Options Exchange, Incorporated
(“Exchange”), in certain specific instances, require the Exchange to provide notice to the membership. The weekly Regulatory Bulletin is delivered to all effective members to satisfy this
requirement.
Copyright © 2004 Chicago Board Options Exchange, Incorporated
Regulatory
Circulars
Regulatory Circular RG05-39
Date:
April 25, 2005
To:
The Membership
From:
Financial Planning Committee
Subject:
Remote Market-Maker (RMM) and Russell 2000 Fees
The Financial Planning Committee recommended and the Board of Directors recently approved the following changes to CBOE’s fee schedule:
RMM Transaction Fees:
The RMM program will begin rollout on Tuesday, April 26, 2005. RMM transaction fees will
be $0.26 per contract.
The marketing fee of $0.22 per contract will also be assessed on RMM trades in all equity
options, options on HOLDRs and options on SPDRs. The marketing fee will not apply to
Market-Maker-to-Market-Maker transactions.
Russell 2000 Cash Settled Index (RUT) Fees:
The following fees per contract will be effective May 1, 2005:
Customer, premium > or = $1
Customer, premium < $1
RUT DPM and Market-Maker License Fee
Current
Fee
$0.45
0.25
0.40
Revised
Fee
$0.15
0.15
0.10
Please contact Don Patton at 312-786-7026 or patton@cboe.com if you have any questions.
Regulatory Circular RG05-40
(supersedes Regulatory Circular RG05-02)
INTER-EXCHANGE PROCEDURES IN VOLATILE MARKETS
FOR SECOND QUARTER 2005
As of April 1, 2005
CME (S&P 500® FUTURES)
NYSE ACTION
CBOT (DJIASM FUTURES)
CBOE ACTION
55 POINTS (5%) BELOW
PREVIOUS DAY’S SETTLEMENT
Limit comes into effect: On CME opening
(8:30 a.m.)
Trading halt: For 2 minutes if the offer is at
limit 10 minutes after limit is reached or at
2:30 p.m.
Limit no longer in effect: After the
2 minute halt or, if no halt, 10 minutes after
the limit is reached or otherwise at 2:30 p.m.
110 POINTS (10%) BELOW
PREVIOUS DAY’S SETTLEMENT
Under Normal Limits
Limit comes into effect: After the 55 point
(5%) limit or at 2:30 p.m.
Trading halts: Trading will halt for the following time periods if the futures contract
is limit offered under the following
circumstances:
During an NYSE trading halt: Until
NYSE ends its trading halt and 50% of
the underlying stocks (capitalization
weighted) have resumed trading.
When the DJIA advances (or declines)
210 points from the previous day's
close: Index arbitrage orders for S&P 500®
component stocks must be entered with
buy-minus (or sell-plus) instruction until the
advance or decline returns to within 100
points from previous day's close.
None required.
Except on the last business day before
their expiration, CBOE normally will restrict
exercise of American style, cash settled
index options during any trading halt
that occurs prior to 3:00 p.m. CBOE may
restrict exercise in equity options (other
than during the 10 business days before
their expiration), but it normally will not do
so because of trading halts.
Discretionary actions include trading halts
in individual stocks.
1050 DJIA POINTS (10%)
BELOW PREVIOUS DAY'S
CLOSING VALUE
Trading halts: Trading in all stocks halts
for the following time periods when the
DJIA reaches this value at the following
times:
Before 1:00 p.m.: for one hour;
From 1:00 p.m. but before 1:30 p.m.:
for 30 minutes;
From and after 1:30 p.m.:
no mandated trading halt
None required because of CME or CBOT
limit or NYSE actions; discretionary actions
include trading halts and suspensions.
1050 POINTS (10%) BELOW
PREVIOUS DAY'S
SETTLEMENT
Limit comes into effect: On CBOT opening (7:20 a.m.).
Trading halt: If the futures contract is
limit offered during an NYSE trading halt,
futures trading will halt until NYSE ends
its trading halt and 50% of the underlying stocks (capitalization weighted) have
resumed trading.
Limit no longer in effect: After futures
trading has resumed following an NYSE
trading halt or at 1:30 p.m.
Because CME or CBOT limit is reached:
None required; discretionary actions
include trading halts and suspensions (with
the exercise restrictions described above).
Because NYSE declares floor-wide
circuit breaker halt: Trading in all CBOE
securities halted during NYSE circuit
breaker halt (with the exercise
restrictions described above).
After 1:30 p.m., if no NYSE trading
halt is declared: For 2 minutes if the
contract is limit offered 10 minutes after
the limit is reached.
Limit no longer in effect: After a mandated
futures trading halt.
******
Under Second Day Limits (those applicable on a day after the futures contract
was limit offered at the 220 point (20%)
level at the close of trading).
Limit comes into effect: After the 55 point
(5%) limit, unless there is an NYSE trading
halt, in which case only the 20% limit applies
upon reopening.
Trading halts:
During an NYSE trading halt
(regardless whether the futures contract is limit offered): Until NYSE ends
its trading halt and 50% of the underlying
stocks (capitalization
weighted) have resumed trading.
If no NYSE trading halt is declared:
For 2 minutes if the contract is limit
offered 10 minutes after the limit is
reached or at 2:30 p.m.
Limit no longer in effect: After a mandated
futures trading halt or, if no halt, 10 minutes
after the limit is reached or otherwise at 2:30
p.m.
(OVER)
This information has been compiled by CBOE for general information purposes only, and therefore should not be considered complete or precise. Most matters discussed are subject to detailed exchange rules and to
the discretion of exchange officials. The rules of the various exchanges are subject to change and may not be reflected in this information. CBOE assumes no responsibility for any errors or omissions in the information
presented. In addition, this circular does not address specialized circumstances, such as the times that would be applicable on days when one or more underlying equity markets is scheduled to close trading earlier
than normal or the rules applicable to Chapter 30 securities. These specialized matters are covered in detail by exchange rules. All times listed are Central times.
“S&P” and “S&P 500” are trademarks of Mc-Graw Hill, Inc., and "DJIA" is a service mark of Dow Jones & Company, Inc., and neither company assumes any liability in connection with the trading of any contract based
on its indexes.
(Date of issuance: April 22, 2005)
INTER-EXCHANGE PROCEDURES IN VOLATILE MARKETS
(continued)
CME (S&P 500 FUTURES)
165 POINTS (15%)
BELOW PREVIOUS DAY'S
CLOSING VALUE
Under Normal Limits
NYSE ACTION
CBOT (DJIA FUTURES)
Regulatory Circular RG05-40
As of 4/1/05
CBOE ACTION
None required; discretionary actions
include trading halts and suspensions
(with the exercise restrictions described
above).
None required; discretionary actions include trading halts in individual stocks.
Limit comes into effect: After the 110
point (10%) limit.
Trading halts: For 2 minutes if the
contract is at limit 10 minutes after limit is
reached.
Limit no longer in effect: After any such
2 minute halt.
******
Under Second Day Limits
Limit comes into effect: After the 110
point (10%) limit, unless there is an NYSE
trading halt, in which case only the 20%
limit applies upon reopening.
Trading halts:
During an NYSE trading halt
(regardless whether the futures
contract is limit offered): Until NYSE
ends its trading halt and 50% of the
underlying stocks (capitalization
weighted) have resumed trading.
If no NYSE trading halt is declared:
For 2 minutes if the contract is limit
offered 10 minutes after the limit is
reached or at 2:30 p.m.
Limit no longer in effect: After a mandated futures trading halt or, if no halt,
10 minutes after the limit is reached or
otherwise at 2:30 p.m.
220 POINTS (20%) BELOW
PREVIOUS DAY'S
SETTLEMENT
Limit comes into effect: After the 165
point (15%) limit or, when Second Day
Limits are in effect, at 2:30 p.m. or after
trading resumes following an NYSE
trading halt.
Limit remains in effect for the remainder
of the trading day.
Trading halt:
2150 DJIA POINTS (20%)
BELOW PREVIOUS DAY'S
CLOSING VALUE
Trading halts: Trading in all stocks halts
for the following time periods when the
DJIA reaches this value at the following
times:
Before 12:00 p.m.: for two hours
From 12:00 p.m. but before 1:00
p.m.: for one hour
From and after 1:00 p.m.: for the
remainder of the day
(Normal Limits): If the futures
contract is limit offered during an
NYSE trading halt.
2150 POINTS (20%) BELOW
PREVIOUS DAY'S
SETTLEMENT
Limit comes into effect: After the 1050
point (10%) limit or at 1:30 p.m.
Trading halt: If the futures contract is
limit offered during an NYSE trading halt,
futures trading will halt until NYSE ends
its trading halt and 50% of the underlying stocks (capitalization weighted) have
resumed trading.
Limit no longer in effect: After futures
trading has resumed following an NYSE
trading halt.
Because CME or CBOT limit is
reached: None required; discretionary
actions include trading halts and suspensions (with the exercise restrictions
described above).
Because NYSE declares a floor wide
circuit breaker halt: Trading in all
CBOE securities halted during NYSE
circuit breaker halt (with the exercise
restrictions described above).
(Second Day Limits): If there is an
NYSE trading halt, regardless whether
the futures contract is limit offered.
Trading will resume when NYSE ends
its trading halt and 50% of the underlying stocks (capitalization weighted) have
resumed trading.
Settlement value will not be less than the
limit value, regardless of the value of the
cash index.
3200 DJIA POINTS (30%)
BELOW PREVIOUS DAY'S
CLOSING VALUE
The 220 point (20%) limit remains in
effect.
Settlement value will not be less than the
limit value, regardless of the value of the
cash index.
Trading halts and does not reopen for the
day.
3200 POINTS (30%)
BELOW PREVIOUS DAY'S
SETTLEMENT
Limit comes into effect: After the 2150
point (20%) limit.
Limit remains in effect for the remainder of
the trading day.
Trading halt: Trading shall halt for the rest
of the day if the futures contract is limit
offered at any time during the trading day
and the NYSE declares a trading halt for
the rest of the trading day.
If NYSE declares floor wide trading
halt for the remainder of the day:
CBOE halts trading for the remainder
of the day (with the exercise restrictions
described above).
Because CBOT limit is reached: None
required; discretionary actions include
trading halts and suspensions (with the
exercise restrictions described above).
For more information, call 1-888-OPTIONS or visit our Web site at www.cboe.com
Regulatory Circulars
continued
Regulatory Circular RG05-41
Date:
April 21, 2005
To:
Members and Member Firms
From:
Regulatory Services Division
Re:
Description of Procedures for the ROS Opening on Volatility Index
Futures and Options Contract Settlement Days
This regulatory circular describes procedures for the modified ROS opening procedure on the settlement days of volatility index futures and option contracts. As of
April 25, 2005, the modified ROS opening procedure will be used for (1) DJX options
on settlement days for CBOE DJIA Volatility Index futures contracts and (2) SPX
options on settlement days for VIX futures and options (when VIX options are listed
for trading on CBOE).
The settlement date for listed volatility index options and futures contracts is on the Wednesday immediately prior to the standard Friday options expiration. CBOE Rule 6.2A.03 provides for a modified ROS opening procedure in DJX and SPX options only on the settlement date of volatility index futures and options. The normal ROS opening procedure will
occur on all other days and on the volatility index futures and options settlement date in all
DJX and SPX option contract months whose prices are not used to calculate the applicable volatility index.
Participation in the Modified ROS Opening Procedure
In the DJX and SPX ROS opening on that Wednesday only, all orders (including public
customer, broker-dealer, CBOE Market-Maker and away Market-Maker and specialist orders), other than contingency orders, may be placed in the electronic book only in the DJX
and SPX option contract month whose prices are used to calculate the CBOE DJIA Volatility Index and VIX (together, “Volatility Index”). The option contract prices used in the
Volatility Index on the final settlement date will always be the prices in the contract month
immediately following the month in which there is a final settlement date for Volatility Index
futures or options contracts (e.g., a June 05 final settlement date for Volatility Index futures
and options contracts will use July 05 option prices to calculate the Volatility Index). Since
the other option contract months are never used in the calculation of a Volatility Index on
the final settlement date, Market-Maker and broker-dealer orders may not be placed in the
electronic book for those months. In addition, in order to participate in the ROS opening,
all orders for placement in the electronic book must be received prior to 8:28 a.m.
Market-Makers not in the DJX and SPX pits and broker-dealers must electronically submit
orders for placement in the electronic book for the modified ROS opening. Market-Makers
in the DJX and SPX pits may submit orders for placement in the electronic book for the
modified ROS opening via one of the following methods:
1.
2.
3.
Submit the order to a floor broker that has access to CBOE’s Order
Routing System (ORS).
Submit the order through a hand-held terminal that has futures/options
routing functionality (e.g., FOC, REDI).
Submit a paper ticket to the Order Book Official (Note: Only paper tickets
for market orders will be accepted – limit orders may not be submitted via
paper ticket for placement in the electronic book for participation in the
ROS opening).
All Market-Maker orders should designate the Market-Maker account in the CMTA field of
the order.
RB4
May 4, 2005, Volume RB16, Number 18
Regulatory Circulars
continued
Regulatory Circular RG05-41 continued
CBOE has recently implemented a system change to the modified ROS opening procedure
that automatically cancels Market-Maker and broker dealer orders that are entered in the
electronic book but are not executed at the opening in the option contract months whose
prices are used to calculate a Volatility Index. Therefore, Market-Makers and broker dealers
are no longer required to cancel these orders immediately following the opening. All other
provisions related to the modified ROS opening procedure, which are summarized below,
remain the same.
Market-Maker Requirements in the Modified ROS Opening Procedure
All Market-Makers, including LMMs, who are required to log on to ROS or RAES for the
current expiration cycle are required to log on to ROS during the modified ROS opening
procedure if the Market-Maker is physically present in the DJX or SPX trading crowd, as
applicable. On the Wednesday of a Volatility Index futures or options contract settlement
only, all DJX or SPX LMMs, as applicable, will collectively set the Autoquote values that will
be used by ROS to calculate the opening prices for all series in the option contract months
whose prices are used to calculate the Volatility Index. ROS contracts to trade in DJX and
SPX will be assigned equally, to the greatest extent possible, to all logged-on MarketMakers, including the LMMs.
LMMs are required to set Autoquote values for the modified ROS opening procedure consistent with their obligation to price option contracts fairly. In addition, members submitting
orders for placement on the electronic book may not do so for the purpose of creating or
inducing a false, misleading, or artificial appearance of activity or for the purpose of unduly
or improperly influencing the opening price or settlement or for the purpose of making a price
which does not reflect the true state of the market. Violations of these requirements are
subject to disciplinary action.
Signing on to ROS for the Modified ROS Opening Procedure
All Market-Makers who are required to log on to ROS for the modified ROS opening procedure must do so prior to 8:28 a.m.
Signing on to ROS requires a change in the Market-Maker’s profile found on the RAES signin terminal. All Market-Makers signed on to RAES that are not LMMs are signed on using
the letter ‘Z’ in the field before the affected class symbol. Signing on to ROS as well as
RAES requires that the letter ‘Z’ be changed to a ‘B’ for both (ROS & RAES).
Prior to signing on for the day, type in the Market-Maker’s acronym and password and hit
F15 once. Change the ‘Z’ in front of the necessary symbols to ‘B’ and hit F15 again.
At some point after the opening and prior to the next ROS opening, Market-Makers that are
not LMMs must change their profile to once again show a ‘Z’ indicating RAES only.
Any questions regarding this circular may be directed to Steve Slawinski of the Regulatory
Division at 312-786-7744 or Patrick Fay of the CBOE Futures Exchange at 312-786-7925.
(Replaces RG05-34)
May 4, 2005, Volume RB16, Number 18
RB5
Rule Changes,
Interpretations
and Policies
APPROVED RULE CHANGE(S)
The Securities and Exchange Commission (“SEC”) has approved the following change(s)
to Exchange Rules pursuant to Section 19(b) of the Securities Exchange Act of 1934, as
amended (“the Act”). Copies are available on the CBOE public website at www.cboe.com/
legal/effectivefiling.aspx.
The effective date of the rule change is the date of approval unless otherwise noted.
SR-CBOE-2005-22
RMM Inactivity Fee
On April 14, 2005, the SEC approved Rule Change File No. SR-CBOE-2005-22, which
filing adopts an inactivity fee to be charged against RMMs that fail to commence quoting
in their appointed classes during the rollout of the RMM program (Securities Exchange Act
Release No. 51542, 70 FR 20952 (April 22, 2005)). Any questions regarding the rule change
may be directed to Steve Youhn, Legal Division, at 312-786-7416. The text of the amended
Fee Schedule is available from the Legal Division, or can be accessed online at
www.cboe.com, under the “About CBOE” link. The text of the amended rules is set forth
below. New language is italicized.
Rule 8.4
Remote Market-Makers
(a) – (f) No change
Interpretations and Policies. . .
.01 Reallocation of Products Allocated to RMM for Failure to Quote: For each
product for which an RMM is assessed an inactivity fee, as described in Section
22 of the Exchange’s Fee Schedule, the Exchange will reallocate the product
from the RMM to another member in accordance with the requirements of Rule
8.3A.
SR-CBOE-2005-23
Amended RMM Rules
On April 14, 2005, the SEC approved Rule Change File No. SR-CBOE-2005-23, which
filing amends CBOE’s RMM Rules to remove the Physical Trading Crowd appointment
alternative and to create an “A+” tier consisting of the two most actively traded products on
the Exchange. (Securities Exchange Act Release No. 51543, 70 FR 20952 (April 22,
2005)). Any questions regarding the rule change may be directed to Steve Youhn, Legal
Division, at 312-786-7416. The text of the amended rules is set forth below. New language
is italicized.
Rule 8.3A
Maximum Number of Market Participants Quoting
Electronically per Product
With respect to products trading on the Hybrid Trading System or on the Hybrid
2.0 Platform, the Exchange will impose an upper limit on the aggregate number of
members that may quote electronically in each product ( “Class Quoting Limit” or
“CQL”). (For purposes of this Rule, the term “product” refers to all options of the
same single underlying security/value.) Interpretations and Policies .01 specifies
the Class Quoting Limits for all products trading on Hybrid and the Hybrid 2.0
Platform.
When a CQL is established for each product, the following criteria govern which
members are entitled to quote electronically in that subject product. A MarketMaker (excluding an RMM and e-DPM) that is not eligible to quote electronically
in a product may quote in open outcry in that product.
(a) –(c) No change
RB6
May 4, 2005, Volume RB16, Number 18
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-23 continued
Interpretations and Policies . . .
.01 Establishing the Class Quoting Limits:
(a) Products Trading on the Exchange as of January 6, 2005:
The CQL for all products trading on the Hybrid Trading System is twenty-five (25).
The CQLs for products trading on the Hybrid 2.0 Platform are as follows: 40 for the
20% most actively-traded products over the preceding quarter, excluding “A+” tier
products; 35 for the next 20% most actively-traded products; 30 for the next 20%
most actively-traded products; and 25 for all other Hybrid 2.0 Platform products.
(For purposes of this Rule, the term “product” refers to all options of the same single
underlying security/value.) With respect to products designated as “A+” tier products, as defined in Rule 8.4(d), the CQL is 40.
At the end of each calendar quarter, products (excluding “A+” tier products) will be
assigned a different CQL based on the revised trading volume statistics (‘’new
CQL”). The following rules apply to those products for which the new CQL decreases:
(i) – (ii) No change
(b) - (d) No change
PROPOSED RULE CHANGE(S)
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934, as amended (“the
Act”), and Rule 19b-4 thereunder, the Exchange has filed the following proposed rule change(s)
with the Securities and Exchange Commission (“SEC”). Copies of the rule change filing(s)
are available at www.cboe.com/legal/submittedsecfilings.aspx. Members may submit written comments to the Legal Division.
The effective date of a proposed rule change will be the date of approval by the SEC, unless
otherwise noted.
SR-CBOE-2005-31
Amended RUT Fees
On April 20, 2005, the Exchange filed Rule Change File No. SR-CBOE-2005-31, which filing
proposes to amend the Fee Schedule to reduce Russell 2000 (RUT) customer transaction
fees and the RUT DPM and Market-Maker license fee. Any questions regarding the rule
change may be directed to Jaime Galvan, Legal Division, at 312-786-7058. The text of the
amended Fee Schedule is available from the Legal Division, or can be accessed online at
https://www.cboe.org/publish/RegCir/RG05-039.pdf.
SR-CBOE-2005-32
Amended RMM Fees
On April 20, 2005, the Exchange filed Rule Change File No. SR-CBOE-2005-32, which filing
proposes to amend the Fee Schedule to establish RMM transaction fees and to amend its
DPM and e-DPM fixed annual fee program to include a fixed fee alternative for RMM transaction fees. Any questions regarding the rule change may be directed to Jaime Galvan,
Legal Division, at 312-786-7058. The text of the amended Fee Schedule is available from
the Legal Division, or can be accessed online at https://www.cboe.org/publish/RegCir/RG05039.pdf.
May 4, 2005, Volume RB16, Number 18
RB7
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-33
Increased Class Quoting Limits
On April 21, 2005, the Exchange filed Rule Change File No. SR-CBOE-2005-33, which
filing proposes to increase Class Quoting Limits (“CQLs”) in AAPL, MNX, QQQQ, and
GOOG. Specifically, it proposes to increase the CQLs in these products by the following
amounts: AAPL CQL increased by 4; MNX CQL increased by 4; QQQQ CQL increased by
2; and GOOG CQL increased by 3. Any questions regarding the proposed rule change may
be directed to Steve Youhn, Legal Division, at 312-786-7416.
SR-CBOE-2005-34
RMM Transactions Fees
On April 25, 2005, the Exchange filed Rule Change File No. SR-CBOE-2005-34, which
filing proposes to amend the CBOE Marketing Fee to impose the fee on transactions of
RMMs. The marketing fee will be assessed at the rate of $.22 per contract on all classes
of equity options, options on HOLDRs®, and options on SPDRs®. The fee will not apply to
Market-Maker-to-Market-Maker transactions. Any questions regarding the proposed rule
change may be directed to Andrew Spiwak, Legal Division, at 312-786-7483.
SR-CBOE-2005-35
Elimination of RMM Inactivity Fee
On April 26, 2005, the Exchange filed Rule Change File No. SR-CBOE-2005-35, which
filing proposes to eliminate the RMM inactivity fee since the initial allocation process has
ended. Any questions regarding the proposed rule change may be directed to Steve
Youhn, Legal Division, at 312-786-7416.
RB8
May 4, 2005, Volume RB16, Number 18