June 24, 2005
Exchange
Bulletin
Volume 33, Number 25
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, JUNE 24, 2005
CLASS
BID
CBOE
$540,000.00
OFFER
LAST SALE AMOUNT
LAST SALE DATE
$550,000.00
June 16, 2005
LAST SALE AMOUNT
LAST SALE DATE
June 21, 2005
$600,000.00
CBOT FULL MEMBERSHIP
CLASS
With CBOE Exercise Right
Without CBOE Exercise Right
CBOE Exercise Right
BID
OFFER
$1,500,000.00
$1,700,000.00
$1,750,000.00
$0.00
$2,200,000.00
N/A
$102,000.00
$160,000.00
$100,000.00
N/A
June 13, 2005
Page 2
June 24, 2005
Volume 33, Number 25
Chicago Board Options Exchange
MEMBERSHIP INFORMATION FOR 6/16/05 THROUGH 6/22/05
MEMBERSHIPAPPLICATIONS RECEIVED FOR
WHICH A POSTING PERIOD IS REQUIRED
Individual Membership Applicants
Date Posted
John N. Haskins, Nominee
ROQ Capital, LLC
1216 N. LaSalle, Unit 4
Chicago, IL 60610
6/22/05
Thomas M. Kenny, Nominee
Ronin Capital, LLC
8300 W. 138th Pl.
Orland Park, IL 60462
6/21/05
MEMBERSHIP LEASES
Termination Date
Jeffrey A. Fairbanks (JFK)
Citadel Derivatives Group LLC
131 S. Dearborn, 37th Floor
Chicago, IL 60603
6/20/05
Nominee(s) / Inactive Nominee(s):
Termination Date
John M. Regan (JKR)
Citadel Derivatives Group LLC
131 S. Dearborn, 32nd Floor
Chicago, IL 60603
6/20/05
Christopher M. Wheaton (WTS)
Christopher M. Wheaton Inc.
1909 W. Nelson
Chicago, IL 60657
6/20/05
6/20/05
New Leases
Effective Date
Lessor: Robert E. Goldberg
Lessee: Pacific Trading Group, LLC
Stephen M. Farber, NOMINEE
Rate:
1.25%
Term: Monthly
6/16/05
Nathan L. Lawry (NAT)
Citadel Derivatives Group LLC
131 S. Dearborn, 37th Floor
Chicago, IL 60603
6/21/05
Lessor: Craig R. Luce
Lessee: Casey Trading LLC
Craig R. Luce, NOMINEE
Rate:
1.25%
Term: Monthly
6/17/05
Sam A. Turzitti (STZ)
Christopher M. Wheaton Inc.
440 S. LaSalle, Suite 602
Chicago, IL 60605
6/21/05
Lessor: Alan G. Barsumian
Lessee: Group One Trading, LP
Rate:
1.125%
Term: Monthly
6/20/05
Edward J. Barry Jr. (EJB)
TD Professional Execution Inc.
230 S. LaSalle, Suite 688
Chicago, IL 60605
Lessor: Arnold B. and Sima H. Miller
Lessee: Group One Trading, LP
Rate:
1.125%
Term: Monthly
6/20/05
Paul A. Gregory (GPA)
Sallerson-Troob LLC
440 S. LaSalle, Suite 950
Chicago, IL 60605
6/22/05
Lessor: Frank M. Caroselli
Lessee: Wolverine Trading LLC
Rate:
1.125%
Term: Monthly
6/21/05
6/22/05
Terminated Leases
Termination Date
Mark Quinlan (MQN)
Archelon LLC
200 S. Wacker Dr., Suite 2400
Chicago, IL 60606
Lessor: Larkspur Securities, Inc.
6/16/05
Lessee: Pacific Trading Group, LLC
Stephen M. Farber (FRB), NOMINEE
Lessor: Holland Trading House, LLC
6/17/05
Lessee: Sparta Group of Chicago, LP
Johnson T. Thomas (JTA), NOMINEE
Lessor: Alan G. Barsumian
6/20/05
Lessee: TD Options, LLC
Michael E. Stodden (STO), NOMINEE
Lessor: Arnold B. and Sima H Miller
Lessee: TD Options, LLC
Alan Wong (ALN), NOMINEE
6/20/05
Lessor: Frank M. Caroselli
Lessee: Prospect Trading LLC
6/21/05
EFFECTIVE MEMBERSHIPS
Individual Members
Nominee(s) / Inactive Nominee(s):
Effective Date
Richard B. Leake (BRL)
6/17/05
KC-Co. II LLC
10 S. LaSalle, Ste. 2300
Chicago, IL 60603
Type of Business to be Conducted: Market Maker
Sam A. Turzitti (STZ)
6/20/05
Christopher M. Wheaton Inc.
440 S. LaSalle - Ste. 602
Chicago, IL 60605
Type of Business to be Conducted: Market Maker
Christopher M. Wheaton (WTS)
6/21/05
Christopher M. Wheaton Inc.
1909 W. Nelson
Chicago, IL 60657
Type of Business to be Conducted: Market Maker
MEMBERSHIP TERMINATIONS
Individual Members
CBT Registered For:
Termination Date
Cem A. Karsan (JEM)
Sparta Group of Chicago, LP
440 S. LaSalle, Suite 2101
Chicago, IL 60605
6/16/05
Paul A. Gregory (GPA)
6/21/05
Sallerson-Troob LLC
440 S. LaSalle, Ste. 950
Chicago, IL 60605
Type of Business to be Conducted: Market Maker
Page 3
June 24, 2005
Volume 33, Number 25
Chicago Board Options Exchange
Effective Date
Effective Date
Benedict Q. Ng
QRA
6/20/05
Aaron Wahls
QRA
6/20/05
Vinko Sajn (VNK)
6/21/05
Ronin Capital, LLC
230 S. LaSalle, 4th Floor
Chicago, IL 60604
Type of Business to be Conducted: Market Maker
Terminated Participants Acronym
Termination Date
Member Organizations
Cem A. Karsan
QUB
6/16/05
Edward J. Barry Jr.
QBB
6/21/05
Mark Quinlan
QAR
6/22/05
Mark Quinlan
QKA
6/22/05
Mark Quinlan
QQT
6/22/05
Mark Quinlan
QRB
6/22/05
Lessee(s):
Effective Date
Casey Trading LLC
6/17/05
11447 75th St.
Burr Ridge, IL 60527
Type of Business to be Conducted: Market Maker/Floor Broker
JOINT ACCOUNTS
New Participants
Acronym
Effective Date
Donald D. Ziol
QRI
6/16/05
Douglas V. Basile
QTI
6/21/05
Vinko Sajn
QHS
6/21/05
Vinko Sajn
QRV
6/21/05
New Accounts
Acronym
Effective Date
Joshua David Aling
QRA
6/20/05
Jeff S. Burianek
QRA
6/20/05
Craig R. Luce
6/17/05
From:
Owner; Market Maker/Floor Broker
To:
Lessor/Nominee For Casey Trading LLC; Market Maker/
Floor Broker
Maurice Carruthers
QRA
6/20/05
Member Organizations
Shawn L. Cooper
QRA
6/20/05
Andrew Robert Elwell
QRA
6/20/05
Scott Patrick Hawley
QRA
6/20/05
Robert A. Hocking
QRA
6/20/05
Morgan Stanley & Co., Inc.
6/17/05
From:
Lessor/Owner/Non-Member Customer Business;
Associated with a Market Maker/Floor Broker/Remote
Market Maker
To:
Owner/Non-Member Customer Business/Member
Organization Affiliated with a CBT Registered For;
Associated with a Market Maker/Floor Broker/Remote
Market Maker
Matt Edward Minnerick
QRA
6/20/05
CHANGES IN MEMBERSHIP STATUS
Individual Members
Effective Date
Shaun M. Williams
6/17/05
From:
Nominee For Sparta Group Of Chicago, LP; Market
Maker
To:
CBT Registered For Sparta Group Of Chicago, LP;
Market Maker
Effective Date
POSITION LIMIT CIRCULARS
Pursuant to Exchange Rule 4.11, the Exchange issued the below listed Position Limit Circulars on June 22, 2005. The complete circulars are available
from the Department of Market Regulation, in the data information bins on the 2nd Floor of the Exchange, and on the CBOE website at cboe.com under
the “Market Data” tab.
To receive regular updates of the position limit list via fax, contact Candice Nickrand at (312) 786-7730. Questions concerning position and exercise
limits may be directed to the Department of Market Regulation to Rich Pedraza at (312) 786-7077 or Tim Mac Donald at (312) 786-7706.
Position Limit Circular PL05-29
June 22, 2005
Position Limit Circular PL05-28
Adjusted Position and Exercise Limits for certain Equity
June 22, 2005
Option Classes will revert to either their Applicable
Equity Position and Exercise Limits will be
Standard or Adjusted Position and
decreased to a Lower Tier Limit Effective July 18, 2005
Exercise Limits effective July 18, 2005
Page 4
June 24, 2005
Volume 33, Number 25
Chicago Board Options Exchange
RESEARCH CIRCULARS
The following Research Circulars were distributed between June 17 and June 23, 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 #RS05-422
June 17, 2005
Quicksilver Resources, Inc. (“KWK”)
3-for-2 Stock Split
Ex-Distribution Date: July 1, 2005
Research Circular #RS05-423
June 17, 2005
Florida Rock Industries, Inc. (“FRK”)
3-for-2 Stock Split
Ex-Distribution Date: July 5, 2005
Research Circular #RS05-425
June 17, 2005
Sycamore Networks, Inc. (“SCMR/SMZ”)
Underlying Symbol Change to “SCMRE”
Effective Date: June 20, 2005
Research Circular #RS05-426
June 17, 2005
Corixa Corporation (“CRXA/CVQ”) Proposed Merger
with GlaxoSmithKline plc ADR (“GSK/VLX”)
Research Circular #RS05-427
June 17, 2005
*****UPDATE*****UPDATE*****UPDATE*****
Caesars Entertainment, Inc. (“CZR/adj. CZX/OFD/YWK”)
Determination of Contract Deliverable – Cash Settled
Research Circular #RS05-429
June 20, 2005
Dean Foods Company (“DF/WVA/OFV”)
Distribution of Shares of
TreeHouse Foods, Inc. (“THS”)
Ex-Distribution Date: June 28, 2005
Research Circular #RS05-430
June 20, 2005
NeighborCare, Inc. (“NCRX/QNY”)
Tender Offer AMENDED by Omnicare, Inc. (“OCR/YZD”)
Research Circular #RS05-431
June 21, 2005
Royal Dutch Petroleum Company (“RD/OWG/YXD”)
Exchange Offer by Royal Dutch Shell plc
Research Circular #RS05-432
June 21, 2005
Eon Labs, Inc. (“ELAB/ESQ”)
Tender Offer EXTENDED by Zodnas Acquisition Corp.
Research Circular #RS05-433
June 21, 2005
Great Lakes Chemical Corporation (“GLK”) Proposed
Merger with Crompton Corporation (“CK”)
Research Circular #RS05-434
June 21, 2005
Ashland Inc. (“ASH/OKD/YLS”)
Mandatory Exchange of Shares of
Ashland Inc. (“ASH”) Common Stock for Shares of
“New” Ashland Inc. (“ASH”) Common Stock and
Shares of Marathon Oil Corporation (“MRO”)
Exchange Effective Date: On a Date To Be Announced
Research Circular #RS05-435
June 21, 2005
*****UPDATE*****UPDATE*****UPDATE*****
AT&T Corp. (“T/VT/WT”) Proposed Merger
with SBC Communications Inc. (“SBC/VFE/WFE”)
Research Circular #RS05-436
June 21, 2005
*****UPDATE – EXACT DIVIDEND AMOUNT
FOR ADJUSTED SBJ SERIES*****
Companhia Siderurgica Nacional (“SID & adj. SBJ”)
Research Circular #RS05-437
June 23, 2005
NutriSystem, Inc. (NSI)
Underlying Symbol Change to “NTRI”
Effective Date: June 23, 2005
June 29, 2005
Volume RB16, Number 26
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
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-2005-26
Index Option Rules
On June 13, 2005, the SEC approved Rule Change File No. SR-CBOE-2005-26, which filing
clarifies CBOE rules related to the determination of opening prices for securities that underlie certain A.M.- settled index options traded on CBOE and to clarify CBOE rules relating to
the determination of the exercise settlement value for certain option contracts that are
based on the Nasdaq 100 Index (Securities Exchange Act Release No. 51830, 70 FR
35473 (June 20, 2005)). Any questions regarding the rule change may be directed to Jim
Flynn, Legal Division, at 312-786-7070. The text of the amended rules is set forth below.
New language is italicized.
Rule 24.9 – Terms of Index Option Contracts
Rule 24.9. (a)
General
(1) – (3) No Change.
(4)
A.M.-Settled Index Options. The last day of trading for A.M.-settled index
options shall be the business day preceding the last day of trading in the underlying securities prior to expiration. The current index value at the expiration of an
A.M.-settled index option shall be determined, for all purposes under these rules
and the rules of the Clearing Corporation, on the last day of trading in the underlying securities prior to expiration, by reference to the reported level of such index as
derived from the opening prices of the underlying securities on such day, as determined by the market for such security selected by the Reporting Authority pursuant to Interpretation and Policy .12 to Rule 24.9, except that in the event that the
primary market for an underlying security does not open for trading, halts trading
prematurely, or otherwise experiences a disruption of normal trading on that day, or
in the event that the primary market for an underlying security is open for trading on
that day, but that particular security does not open for trading, halts trading prematurely, or otherwise experiences a disruption of normal trading on that day, the price
of that security shall be determined, for the purposes of calculating the current
index value at expiration, as set forth in Rule 24.7(e).
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-26 continued
The following A.M.-settled index options are approved for trading on the Exchange:
(i) - (lxxiv)
No Change.
(5)
Other Methods of Determining Exercise Settlement Value. Exercise settlement values for the following index options are determined as specified in this
paragraph:
(i)
No Change.
(ii)
CBOE Volatility Indexes and CBOE Increased-Value Volatility Indexes.
The current index value at expiration shall be determined, for all purposes under
these Rules and the Rules of the Clearing Corporation, on the last day of trading in
the underlying securities prior to expiration. The current index value for such purposes shall be calculated by the Chicago Board Options Exchange as a Special
Opening Quotation (SOQ) of each respective Volatility or Increased-Value Volatility Index using the sequence of opening prices of the options that comprise each
Index. The opening price for any series in which there is no trade shall be the
average of that option’s bid price and ask price as determined at the opening of
trading.
(b) – (c)
No Change.
. . . Interpretations and Policies:
.01 - .12
SR-CBOE-2004-71
No Change.
Preferred DPM
On June 2, 2005, the SEC approved Rule Change File No. SR-CBOE-2004-71, which filing
amends rules to modify the distribution of the Designated Primary Market-Maker participation entitlement for certain orders (Securities Exchange Act Release No. 51779, 70 FR
33564 (June 8, 2005)). Any questions regarding the rule change may be directed to Angelo
Evangelou, Legal Division, at 312-786-7464. The text of the amended rules is set forth
below. New language is italicized.
Rule 8.87 Participation Entitlements of DPMs and e-DPMs
(a) Subject to the review of the Board of Directors, the MTS Committee may
establish from time to time a participation entitlement formula that is applicable to
all DPMs.
(b) The participation entitlement for DPMs and e-DPMs (as defined in Rule 8.92)
shall operate as follows:
(1) Generally.
(i) To be entitled to a participation entitlement, the DPM/e-DPM must be quoting at the best bid/offer on the Exchange.
(ii) A DPM/e-DPM may not be allocated a total quantity greater than the quantity that the DPM/e-DPM is quoting at the best bid/offer on the Exchange.
(iii) The participation entitlement is based on the number of contracts remaining after all public customer orders in the book at the best bid/offer on the
Exchange have been satisfied.
RB2
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-71 continued
(2) Participation Rates applicable to DPM Complex. The collective DPM/e-DPM
participation entitlement shall be: 50% when there is one Market-Maker also quoting at the best bid/offer on the Exchange; 40% when there are two Market-Makers
also quoting at the best bid/offer on the Exchange; and, 30% when there are three
or more Market-Makers also quoting at the best bid/offer on the Exchange.
(3) Allocation of Participation Entitlement Between DPMs and e-DPMs. The participation entitlement shall be as follows: If the DPM and one or more e-DPMs are
quoting at the best bid/offer on the Exchange, the e-DPM participation entitlement
shall be one-half (50%) of the total DPM/e-DPM entitlement and shall be divided
equally by the number of e-DPMs quoting at the best bid/offer on the Exchange.
The remaining half shall be allocated to the DPM. If the DPM is not quoting at the
best bid/offer on the Exchange and one or more e-DPMs are quoting at the best bid/
offer on the Exchange, then the e-DPMs shall be allocated the entire participation
entitlement (divided equally between them). If no e-DPMs are quoting at the best
bid/offer on the Exchange and the DPM is quoting at the best bid/offer on the
Exchange, then the DPM shall be allocated the entire participation entitlement. If
only the DPM and/or e-DPMs are quoting at the best bid/offer on the Exchange
(with no Market-Makers at that price), the participation entitlement shall not be
applicable and the allocation procedures under Rule 6.45A shall apply.
(4) Allocation of Participation Entitlement Between DPMs and e-DPMs for Orders
Specifying a Preferred DPM. Notwithstanding the provisions of subparagraph (b)(3)
above, the Exchange may allow, on a class-by-class basis, for the receipt of marketable orders, through the Exchange’s Order Routing System when the Exchange’s
disseminated quote is the NBBO, that carry a designation from the member transmitting the order that specifies a DPM or e-DPM in that class as the “Preferred
DPM” for that order.
In such cases and after the provisions of subparagraph (b)(1)(i) and (iii) above have been
met, then the participation entitlement applicable to the DPM Complex (as set forth in
subparagraph (b)(2) above) shall be allocated to the Preferred DPM subject to the following:
(i)
if the Preferred DPM is an e-DPM and the DPM is also quoting at the best
bid/offer on the Exchange, then 2/3 of the participation entitlement shall be
allocated to the Preferred DPM and the balance of the participation entitlement shall be allocated to the DPM;
(ii)
if the Preferred DPM is an e-DPM and the DPM is not quoting at the best
bid/offer on the Exchange but one or more e-DPMs are also quoting at the
best bid/offer on the Exchange, then 2/3 of the participation entitlement
shall be allocated to the Preferred DPM and the balance of the participation entitlement shall be divided equally between the remaining e-DPMs
also quoting at the best bid/offer on the Exchange;
(iii)
if the Preferred DPM is the DPM and one or more e-DPMs are also quoting
at the best bid/offer on the Exchange, then 2/3 of the participation entitlement shall be divided equally between the e-DPMs quoting at the best bid/
offer on the Exchange;
(iv)
if the Preferred DPM is not quoting at the best bid/offer on the Exchange
then the participation entitlement set forth in subparagraph (b)(3) above
shall apply;
June 29, 2005, Volume RB16, Number 26
RB3
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-71 continued
(v)
if only members of the DPM Complex are quoting at the best bid/offer on
the Exchange then the participation entitlement applicable to the Preferred DPM shall be: 50% when there is one other member of the DPM
Complex also quoting at the best bid/offer on the Exchange; 40% when
there are two other members of the DPM Complex quoting at the best
bid/offer on the Exchange; and, 30% when there are three or more members of the DPM Complex also quoting at the best bid/offer on the Exchange. The other members of the DPM Complex shall not receive a
participation entitlement and the allocation procedures under Rule 6.45A
shall apply; and
(vi)
in no case shall a DPM/e-DPM be allocated, pursuant to this participation right, a total quantity greater than the quantity that the DPM/e-DPM
is quoting at the best bid/offer on the Exchange.
The Preferred DPM participation entitlement set forth in subparagraph (b)(4) of
this Rule shall be in effect until June 2, 2006 on a pilot basis.
SR-CBOE-2004-87
Index Products on Hybrid
On June 10, 2005, the SEC approved Rule Change File No. SR-CBOE-2004-87, which
filing adopts rules for trading index products on Hybrid with or without a DPM (Securities
Exchange Act Release No. 51822, 70 FR 35321 (June 17, 2005)). Any questions regarding
the rule change may be directed to David Doherty, Legal Division, at 312-786-7466. The
text of the amended rules is set forth below. New language is italicized.
Rule 6.1
Days and Hours of Business
…Interpretations and Policies:
.01 - .04
No change
.05 For those option classes and within such time periods as the appropriate Floor
Procedure Committee, MTS or the President of the Exchange may designate,
members may, prior to the scheduled opening rotation, enter option market quote
indications based upon the anticipated opening price of the security underlying
such designated option class. This interpretation will not impose upon members
an affirmative responsibility to provide and post pre-opening option market quote
indicators. Generally, pre-opening option market quote indications would be provided by members for options classes whose underlying security is sold over-thecounter and those option classes whose underlying security shows little market
volatility.
The following procedures shall be followed by members and the Order Book Official, DPM, or LMM when posting pre-opening option market quote indications.
(a) For those options classes designated as eligible for pre-opening option market
quote indications the OBO, DPM, or LMM shall, no earlier than 8:15 a.m. (CT),
request market quote indications from the members present in the trading crowd.
(b) The members and DPM or LMM may then provide pre-opening option market
quote indications at which time the OBO, DPM, or LMM shall post these indications. Upon the opening of the underlying security and in no case earlier than 8:30
a.m. (CT) the OBO, DPM, or LMM shall request verbal confirmation from the
trading crowd that such pre-opening option market quote indications reflect the
actual market and constitute valid opening quotations. If the crowd indicates that
such pre-opening option market quote indications reflect the actual market and
RB4
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-87 continued
constitute valid opening quotations, the OBO, DPM, or LMM shall determine that a
simultaneous opening rotation has occurred. If they do not confirm the indications,
an opening rotation in accordance with applicable Exchange Rules for all series in
which floor brokers in the crowd or the Book hold executable limit or market orders
will be held. After such orders have been executed, the OBO, DPM, or LMM) shall
declare the option class open and the series subject to applicable Exchange Rules.
(c) Notwithstanding paragraphs (a) and (b), the OBO, DPM, or LMM shall direct that
an opening rotation take place pursuant to applicable exchange Rules if (i) the
OBO, DPM, or LMM fails to receive market quote indications; or (ii) the underlying
security opens substantially higher or lower than the opening price anticipated by
the crowd that provided the pre-opening market quote indications; or (iii) there are
substantial order imbalances affecting the options class; or (iv) for such other reasons as appropriate Floor Officials, the OBO, the DPM, or LMM or the Exchange
may determine.
*****
Rule 6.2
Trading Rotations
…Interpretations and Policies:
.01 (a) Trading rotations shall be employed at the opening of the Exchange each
business day. For each class of option contracts that has been approved for trading, the opening rotation shall be conducted by the Designated Primary MarketMaker (“DPM”), Lead Market-Maker (“LMM”), or Order Book Official (“OBO”) acting
in such class of options. The opening rotation in each class of options shall be held
promptly following the opening of the underlying security on the principal market
where it is traded or after 8:30 a.m. for index options. As a rule, a DPM, LMM, or
OBO acting in more than one class of options should open them in the same order
in which the underlying securities are opened.
(b) In conducting each such opening rotation, the DPM, LMM, or OBO should
ordinarily first open the one or more series of options of a given class having the
nearest expiration, then proceed to the series of options having the next most
distant expiration, and so forth, until all series have been opened. If both puts and
calls covering the same underlying security are traded, the DPM, LMM, or OBO
shall determine which type of option will open first, and shall alternate the opening
of put series and call series. A DPM, LMM, or OBO may conduct the opening
rotation in another manner only with the approval of two Floor Officials or at the
direction of the appropriate Floor Procedure Committee. A modified opening rotation such as that described in Interpretation .02 to Rule 24.13 may be conducted for
certain index options classes.
(c) In the event an underlying security has not opened within a reasonable time
after 8:30 a.m. (Chicago time), the DPM, LMM, or OBO acting in option contracts
on such security shall report the delay to a Floor Official and an inquiry shall be
made to determine the cause of the delay. The opening rotation for option contracts
in such security shall be delayed until the underlying security has opened unless
two Floor Officials determine that the interests of a fair and orderly market are best
served by opening trading in the option contracts.
(d) No change
.02 - .05 No change
*****
June 29, 2005, Volume RB16, Number 26
RB5
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-87 continued
Rule 6.2B
Hybrid Opening System
(a) For a period of time before the opening of trading in the underlying security (or
in the case of index options, prior to 8:30 a.m., CT), as determined by the appropriate Floor Procedure Committee (FPC) and announced to the membership via
Regulatory Circular, the Hybrid System will accept orders and quotes. The Hybrid
System will disseminate to market participants (as defined in Rule 6.45A or 6.45B)
information about resting orders in the Book that remain from the prior business
day and any orders submitted before the opening. At a randomly selected time
within a number of seconds after the primary market for the underlying security
disseminates the opening trade or the opening quote (or after 8:30 a.m. for index
options unless unusual circumstances exist), the System initiates the opening
procedure and sends a notice (“Opening Notice”) to market participants who may
then submit their opening quotes. The DPM or any appointed LMM for the class
must enter opening quotes. Spread orders and contingency orders do not participate in the opening trade or in the determination of the opening price.
(b) After the Opening Notice is sent, the System will calculate and provide the
Expected Opening Price (“EOP”) and expected opening size (“EOS”) given the
current resting orders during the EOP Period (“EOP Period”). The appropriate FPC
will establish the duration of the EOP Period on a class basis at between five and
sixty seconds. The EOP, which will be calculated and disseminated to market
participants every few seconds, is the price at which the greatest number of
orders in the Book are expected to trade. After the Opening Notice is sent, quotes
and orders may be submitted without restriction. An EOP may only be calculated
if: (i) there are market orders in the Book, or the Book is crossed (highest bid is
higher than the lowest offer) or locked (highest bid equals lowest offer), and (ii) the
DPM’s quote (or if there is no DPM appointed to the class, at least one quote from
either a Market-Maker or LMM with an appointment in the class) is present and
complies with the legal width quote requirements of Rule 8.7(b)(iv).
(c) – (d) No change
(e) The System will not open a series if one of the following conditions is met:
(i) In classes in which a DPM has been appointed, there is no quote from the DPM
for the series. In classes in which no DPM has been appointed, there is no quote
from at least one Market-Maker or LMM with an appointment in the class;
(ii) – (iii) No change
(f) – (i) No change
*****
Rule 6.45A
Priority and Allocation of Equity Option Trades on the CBOE
Hybrid System
Generally: The rules of priority and order allocation procedures set forth in this rule
shall apply only to equity option classes designated by the Exchange to be traded
on the CBOE Hybrid System and has no applicability to index option and options
on ETF classes. The term “market participant” as used throughout this rule refers
to a Market-Maker, an in-crowd DPM, an e-DPM, a Remote Market-Maker, and a
floor broker representing orders in the trading crowd. The term “in-crowd market
participant” only includes an in-crowd Market-Maker, in-crowd DPM, and floor broker representing orders in the trading crowd.
RB6
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-87 continued
(a) Allocation of Incoming Electronic Orders: The Exchange shall apply, for
each class of options, the following rules of trading priority.
(i) * * * * *
(A) No change
(B) Allocation
(1) No change
(2) * * * *
Component A: No change
Component B: No change
Final Weighting: The final weighting formula for equity options,
which shall be determined by the appropriate FPC and apply uniformly across all options under its jurisdiction, shall be a weighted
average of the percentages derived for Components A and B
multiplied by the size of the incoming order. Initially, the weighting
of Components A and B shall be equal, represented mathematically by the formula: ((Component A Percentage + Component B
Percentage)/2) * incoming order size.
(C) No change
(b) No change
(c) Interaction of Market Participant’s Quotes and/or Orders with Orders in
Electronic Book
*****
(i) No change
(ii) * * * * *
Component A: No change
Component B: No change
Final Weighting: The final weighting formula for equity options, which shall be
determined by the appropriate FPC and apply uniformly across all options under its
jurisdiction, shall be a weighted average of the percentages derived for Components A and B, multiplied by the size of the order(s) in the electronic book. Initially,
the weighting of Components A and B shall be equal, represented mathematically
by the formula: ((Component A Percentage + Component B Percentage)/2) * electronic book order size.
(A)
Length of “N-Second Group” Timer: No change.
(iii)
No change
(d) No change
June 29, 2005, Volume RB16, Number 26
RB7
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-87 continued
(e) Classes Trading on Hybrid
The Exchange intends to implement Hybrid floorwide in all other equity classes by
the fourth quarter of 2006.
…Interpretations and Policies:
No change
*****
Rule 6.45B
Priority and Allocation of Trades in Index Options and Options on ETFs on the CBOE Hybrid System
Generally: The rules of priority and order allocation procedures set forth in this
rule shall apply only to index options and options on ETFs that have been designated by the appropriate Exchange procedures committee for trading on the CBOE
Hybrid System. The term “market participant” as used throughout this rule refers
to a Market-Maker, a Remote Market-Maker, an in-crowd DPM or LMM, an e-DPM
with an appointment in the subject class, and a floor broker representing orders in
the trading crowd. The term “in-crowd market participant” only includes an incrowd Market-Maker, in-crowd DPM or LMM, and floor broker representing orders
in the trading crowd.
(a) Allocation of Incoming Electronic Orders: The appropriate Exchange procedures committee will determine to apply, for each class of options, one of the
following rules of trading priority described in paragraphs (i) or (ii). The Exchange
will issue a Regulatory Circular periodically specifying which priority rules will
govern which classes of options any time the appropriate Exchange committee
changes the priority.
(i) Price-Time or Pro-Rata Priority
Price-Time Priority: Under this method, resting quotes and orders in the book
are prioritized according to price and time. If there are two or more quotes or orders
at the best price then priority is afforded among these quotes or orders in the order
in which they were received by the Hybrid System; or
Pro-Rata Priority: Under this method, resting quotes and orders in the book are
prioritized according to price. If there are two or more quotes or orders at the best
price then trades are allocated proportionally according to size (in a pro-rata fashion). The executable quantity is allocated to the nearest whole number, with fractions ½ or greater rounded up and fractions less than ½ rounded down. If there are
two market participants that both are entitled to an additional ½ contract and there
is only one contract remaining to be distributed, the additional contract will be
distributed to the market participant whose quote or order has time priority.
Additional Priority Overlays Applicable to Price-Time or Pro-Rata Priority
Methods
RB8
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-87 continued
In addition to the base allocation methodologies set forth above, the appropriate
Exchange procedures committee may determine to apply, on a class-by-class basis, either or both of the following designated market participant overlay priorities.
The Exchange will issue a Regulatory Circular periodically which will specify which
classes of options are subject to these additional priorities as well as any time the
appropriate Exchange procedures committee changes these priorities.
(1) Public Customer: When this priority overlay is in effect, the highest
bid and lowest offer shall have priority except that public customer orders
shall have priority over non-public customer orders at the same price. If
there are two or more public customer orders for the same options series
at the same price, priority shall be afforded to such public customer orders
in the sequence in which they are received by the System, even if the ProRata Priority allocation method is the chosen allocation method. For purposes of this Rule, a Public Customer order is an order for an account in
which no member, non-member participant in a joint-venture with a member, or non-member broker-dealer (including a foreign broker-dealer) has an
interest.
(2) Participation Entitlement: The appropriate Exchange procedures committee may determine to grant DPMs, LMMs, or e-DPMs participation
entitlements pursuant to the provisions of Rule 8.87 or 8.15B. In allocating
the participation entitlement, all of the following shall apply:
(A)
To be entitled to their participation entitlement, a DPM’s
or LMM’s or e-DPM’s order and/or quote must be at the best price
on the Exchange.
(B)
A DPM or LMM or e-DPM may not be allocated a total
quantity greater than the quantity that the DPM or LMM or e-DPM
is quoting (including orders not part of quotes) at that price. If ProRata Priority is in effect, and the DPM’s or LMM’s or e-DPM’s
allocation of an order pursuant to its participation entitlement is
greater than its percentage share of quotes/orders at the best
price at the time that the participation entitlement is granted, the
DPM or LMM or e-DPM shall not receive any further allocation of
that order.
(C)
In establishing the counterparties to a particular trade,
the DPM’s or LMM’s or e-DPM’s participation entitlement must
first be counted against the DPM’s or LMM’s or e-DPM’s highest
priority bids or offers.
(D)
The participation entitlement shall not be in effect unless
the Public Customer priority is in effect in a priority sequence
ahead of the participation entitlement and then the participation
entitlement shall only apply to any remaining balance.
(ii) Ultimate Matching Algorithm (“UMA”): Under this method, a market participant who enters a quotation and whose quote is represented by the disseminated
CBOE best bid or offer (“BBO”) shall be eligible to receive allocations of incoming
electronic orders for up to the size of its quote, in accordance with the principles
described below. As an initial matter, if the number of contracts represented in the
disseminated quote is less than the number of contracts in an incoming electronic
order(s), the incoming electronic order(s) shall only be entitled to receive a number
of contracts up to the size of the disseminated quote, in accordance with Rule
June 29, 2005, Volume RB16, Number 26
RB9
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-87 continued
6.45B(a)(ii)(B). The balance of the electronic order will be eligible to be filled at the
refreshed quote either electronically (in accordance with paragraph (a)(ii)(B) below) or manually (in accordance with Rule 6.45B(b)) and, as such, may receive a
split price execution.
(A) Priority of Orders in the Electronic Book
(1) Public Customer Orders: Public customer orders in the electronic book have
priority. Multiple public customer orders in the electronic book at the same price
are ranked based on time priority. If a public customer order(s) in the electronic
book matches, or is matched by, a market participant quote, the public customer
order(s) shall have priority and, the balance of the incoming order, if any, will be
allocated pursuant to Rule 6.45B(a)(ii).
(2) Broker-dealer Orders: If pursuant to Rule 7.4(a) the appropriate Exchange
procedures committee determines to allow certain types of broker-dealer orders
to be placed in the electronic book, then for purposes of this rule, the cumulative
number of broker-dealer orders in the electronic book at the best price shall be
deemed one “market participant” regardless of the number of broker-dealer orders
in the book. The allocation due the broker-dealer orders in the electronic book by
virtue of their being deemed a “market participant” shall be distributed among
each broker-dealer order comprising the “market participant” pursuant to Rule
6.45B(a)(ii)(B).
(B) Allocation
(1) Market Participant Quoting Alone at BBO: When a market participant is
quoting alone at the disseminated CBOE BBO and is not subsequently matched
in the quote by other market participants prior to execution, it will be entitled to
receive incoming electronic order(s) up to the size of its quote. If another market
participant joins in the disseminated quote prior to execution of an incoming electronic order(s) such that more than one market participant is quoting at the BBO,
incoming electronic order(s) will be distributed in accordance with (B)(2) below.
(2) More than One Market Participant Quoting at BBO: When more than one
market participant is quoting at the BBO, inbound electronic orders shall be allocated pursuant to the following allocation algorithm:
Allocation Algorithm
Incoming Order Size
*
(Equal Percentage based on
number of market participants
quoting at BBO)
(Component A)
+
(Pro-rata Percentage based
on size of market
participant quotes)
(Component B)
2
Where:
Component A: The percentage to be used for Component A shall be an equal
percentage, derived by dividing 100 by the number of market participants quoting
at the BBO.
Component B: Size Pro-rata Allocation. The percentage to be used for Component B of the Allocation Algorithm formula is that percentage that the size of each
market participant’s quote at the best price represents relative to the total number
of contracts in the disseminated quote.
RB10
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-87 continued
Final Weighting: The final weighting formula, which shall be established by the
appropriate Exchange procedures committee and may vary by product, shall be a
weighted average of the percentages derived for Components A and B multiplied
by the size of the incoming order. Changes made to the percentage weightings of
Components A and B shall be announced to the membership via Regulatory Circular at least one day before implementation of the change.
(C) Participation Entitlement: If a DPM, LMM, or e-DPM is eligible for an allocation pursuant to the operation of the Algorithm described in paragraph (a) of Rule 6.45B, the DPM,
LMM, or e-DPM may be entitled to receive an allocation (not to exceed the size of its quote)
equal to either:
(1) the greater of the amount it would be entitled to pursuant to the participation right
established pursuant to Rule 8.87 or 8.15B (and Regulatory Circulars issued thereunder) or the amount it would otherwise receive pursuant to the operation of the
Algorithm described above provided, however, that in calculating the DPM’s or
LMM’s allocation under the Algorithm, DPMs or LMMs utilizing more than one
membership in the trading crowd where the subject class is traded shall count as
two market participants for purposes of Component A of the Algorithm; or
(2) the amount it would be entitled to pursuant to the participation right established
pursuant to Rule 8.87 or 8.15B (and Regulatory Circulars issued thereunder); or
(3) The amount it would be entitled to receive pursuant to the operation of the
Algorithm described above provided, however, that in calculating the DPM’s or
LMM’s allocation under the Algorithm, DPMs or LMMs utilizing more than one
membership in the trading crowd where the subject class is traded shall count as
two market participants for purposes of Component A of the Algorithm.
The appropriate Exchange procedures committee shall determine which of the preceding three entitlement formulas will be in effect on a class-by-class basis. All
pronouncements regarding the entitlement formula shall be made via Regulatory
Circular. The participation entitlement percentage is expressed as a percentage of
the remaining quantity after all public customer orders in the electronic book have
been executed.
(b) Allocation of Orders Represented in Open Outcry: The allocation of orders that are
represented in the trading crowd by floor brokers (including DPMs acting as agent under
8.85(b)) shall be as described below in subparagraphs (b)(i) and (b)(ii). With respect to
subparagraph (b)(ii), the floor broker representing the order (including DPMs acting as agent
under 8.85(b)) shall determine the sequence in which bids (offers) are made.
(i) Priority of Orders in the Electronic Book
(A) Public Customer Orders: Public customer orders in the electronic book have
priority. Multiple public customer orders in the electronic book at the same price are
ranked based on time priority. If a public customer order(s) in the electronic book
matches, or is matched by, an oral bid or offer provided by a member of the trading
crowd, the public customer order(s) shall have priority and the balance of the order,
if any, will be allocated in open outcry in accordance with paragraph (b)(ii).
(B) Broker-dealer Orders: If pursuant to Rule 7.4(a) the appropriate Exchange
procedures committee determines to allow broker-dealer orders to be placed in the
electronic book, then for purposes of this rule, the cumulative number of brokerdealer orders in the electronic book at the best price shall be deemed one “book
market participant” regardless of the number of broker-dealer orders in the book.
The allocation due the broker-dealer orders in the electronic book by virtue of their
June 29, 2005, Volume RB16, Number 26
RB11
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-87 continued
being deemed a “book market participant” shall be in accordance with paragraph
(ii) below and shall be distributed among each broker-dealer order comprising the
“book market participant” in accordance with the Allocation Algorithm formula
described in paragraph 6.45B(a)(ii)(B).
(ii) Allocation
(A) The highest bid (lowest offer) shall have priority.
(B) If two or more bids or offers represent the best price, each of which is NOT a
book market participant, priority shall be afforded in accordance with the allocation principles contained in CBOE Rule 6.45(a) or (b) and NOT Rule 6.45B(b).
If two or more bids (offers) represent the best price, one of which represents a
book market participant, priority shall be afforded to the market participants in the
sequence in which their bids (offers) were made. Provided, however, that the first
market participant to respond shall be entitled to 70% of the order. The second
market participant to respond (if ascertainable) shall be entitled to 70% of the
remainder of the order (i.e., 70% of 30%). The balance of the order shall be apportioned equally among the remaining market participants bidding (offering) at the
same price and the book market participant (as defined in Rule 6.45B(b)(i)(B)
above). If it is not possible to determine the order in which market participants
responded, the balance of the order shall be apportioned equally among the remaining market participants bidding (offering) at the same price and, if applicable,
the book market participant.
In the event a market participant declines to accept any portion of the available
contracts, any remaining contracts shall be apportioned equally among the other
participants who bid (offered) at the best price (including the book market participant, if applicable) at the time the market was established until all contracts have
been apportioned. The floor broker representing the order (including DPMs acting
as agent under 8.85(b)) shall determine the sequence in which bids (offers) are
made.
(iii) Exception: Complex Order Priority:
A member holding a spread, straddle, or combination order (or a stock-option order or
security future-option order as defined in Rule 1.1(ii)(b) and Rule 1.1(zz)(b), respectively)
and bidding (offering) on a net debit or credit basis (in a multiple of the minimum increment)
may execute the order with another member without giving priority to equivalent bids (offers) in the trading crowd or in the electronic book provided at least one leg of the order
betters the corresponding bid (offer) in the book. Stock-option orders and security futureoption orders, as defined in Rule 1.1(ii)(a) and Rule 1.1(zz)(a), respectively, have priority
over bids (offers) of the trading crowd but not over bids (offers) of public customers in the
limit order book.
(c) Interaction of Market Participant’s Quotes and/or Orders with Orders in Electronic Book
Market participants, as defined in Rule 6.45B, may submit quotes or orders electronically
to trade with orders in the electronic book. A floor broker market participant may only
represent as agent customer orders or orders from unaffiliated broker-dealers. When a
market participant’s quote or order interacts with the order in the book, a trade occurs,
CBOE will disseminate a last sale report, and the size of the book order will be decremented
to reflect the execution.
RB12
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-87 continued
In the limited instance when the appropriate Exchange procedures committee has determined that the allocation of incoming electronic orders shall be pursuant to price-time priority
as described in Rule 6.45B(a)(i), allocation of orders in the Electronic Book pursuant to this
paragraph shall be based on time-priority (i.e., allocated to the first market participant to
interact with the order in the book, up to the size of that market participant’s order). In all
other instances, the allocation of the book order shall be as follows:
(i) One Market Participant Trades with the Electronic Book: If only one market participant
submits an electronic order or quote to trade with an order in the electronic book, that market
participant shall be entitled to receive an allocation of the order in the electronic book up to
the size of the market participant’s order.
(ii) Multiple Market Participant Trade with the Electronic Book: Each market participant
that submits an order or quote to buy (sell) an order in the electronic book within a period of
time not to exceed 5-seconds of the first market participant to submit an order (“N-second
group”) shall be entitled to receive an allocation of the order in the electronic book pursuant
to the following allocation algorithm:
Allocation Algorithm
Electronic Book
Order(s) Size
*
(Equal percentage based on
number of members of
“N-second group”)
(Component A)
+
(Size pro-rata percentage
based on size of orders of
“N-second group” members)
(Component B)
2
Where:
Component A: The percentage to be used for Component A shall be an equal percentage
derived by dividing 100 by the number of market participant’s in the “N-second group.”
Component B: Size Pro-rata Allocation. The percentage to be used for Component B of the
Allocation Algorithm formula is that percentage that each market participant of the “N-second group’s” quote at the best price represents relative to the total number of contracts of all
market participants of the “N-second group.” The appropriate Exchange procedures committee may determine that the maximum quote size to be used for each market participant in
the Component B calculation shall be no greater than the cumulative size of orders resident
in the electronic book at the best price at which market participants are attempting to buy
(sell).
Final Weighting: The final weighting formula, which shall be established by the appropriate
Exchange procedures committee and may vary by product, shall be a weighted average of
the percentages derived for Components A and B, multiplied by the size of the order(s) in
the electronic book. Changes made to the percentage weightings of Components A and B
shall be announced to the membership via Regulatory Circular at least one day before
implementation of the change.
Length of “N-Second Group”Timer: The appropriate Exchange procedures committee will
determine the length of the “N-second group” timer on a class-by-class basis provided,
however, that the duration of the “N-second group” timer shall not exceed five seconds. Any
changes to the duration of the “N-second group” timer shall be announced via Regulatory
Circular.
(iii) Participation Entitlement: There is no DPM or LMM participation entitlement applicable to orders allocated pursuant to this paragraph (c).
(d) Quotes Interacting with Quotes
June 29, 2005, Volume RB16, Number 26
RB13
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-87 continued
(i) In the event that a Market-Maker’s disseminated quotes interact with the disseminated
quote(s) of other Market-Makers, resulting in the dissemination of a “locked” quote (e.g.,
$1.00 bid - 1.00 offer), the following shall occur:
(A) The Exchange will disseminate the locked market and both quotes will be deemed
“firm” disseminated market quotes.
(B) The Market-Makers whose quotes are locked will receive a quote update notification
advising that their quotes are locked, unless the “counting period” referenced below is set
to zero seconds.
(C) When the market locks, a “counting period” will begin during which Market-Makers
whose quotes are locked may eliminate the locked market. Provided, however, that in
accordance with subparagraph (A) above a Market-Maker will be obligated to execute
customer and broker-dealer orders eligible for automatic execution pursuant to Rule 6.13 at
his disseminated quote in accordance with Rule 8.51. If at the end of the counting period
the quotes remain locked, the locked quotes will automatically execute against each other
in accordance with the allocation algorithm described above in Rule 6.45B(a). The length
of the counting period will be established by the appropriate Exchange procedures committee, may vary by product, and will not exceed one second.
(ii) Inverted Quotes: The Hybrid System will not disseminate an internally crossed market
(i.e., the CBOE best bid is higher than the CBOE best offer). If a Market-Maker submits a
quote (“incoming quote”) that would invert an existing quote (“existing quote”), the Hybrid
System will change the incoming quote such that it locks the first quote and send a notice
to the second Market-Maker indicating that its quote was changed. Locked markets are
handled in accordance with paragraph (d)(i) above. During the lock period, if the existing
quote is cancelled subsequent to the time the incoming quote is changed, the incoming
quote will automatically be restored to its original terms.
…Interpretations and Policies:
.01 Principal Transactions: Order entry firms may not execute as principal against orders
they represent as agent unless: (i) agency orders are first exposed on the Hybrid System
for at least thirty (30) seconds, (ii) the order entry firm has been bidding or offering for at
least thirty (30) seconds prior to receiving an agency order that is executable against such
bid or offer, or (iii) the order entry firm proceeds in accordance with the crossing rules
contained in Rule 6.74.
.02 Solicitation Orders. Order entry firms must expose orders they represent as agent for
at least thirty (30) seconds before such orders may be executed electronically via the
electronic execution mechanism of the Hybrid System, in whole or in part, against orders
solicited from members and non-member broker-dealers to transact with such orders.
*****
Rule 7.4
Obligations for Orders
(a) Eligibility and Acceptance
(1) Eligibility: Public customer orders are eligible for entry into the electronic book. Market participants, as defined in Rule 6.45A or 6.45B, shall be eligible to submit orders for
entry into the book. The appropriate FPC may determine on an issue-by-issue basis that
the following types of orders may also be eligible for entry into the electronic book:
*****
RB14
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-87 continued
(2) Acceptance: An Order Book Official (“OBO”) shall ordinarily be expected to accept
orders for all option contracts of the class or classes to which his appointment extends that
are properly submitted for entry into the electronic book. An Order Book Official shall not
accept orders from any source other than a member or, with respect to orders submitted
through the Intermarket Options Linkage in index options classes on the Hybrid Trading
System that are not assigned to a DPM, from an exchange (other than CBOE) that is a
participant in the Intermarket Options Linkage Plan. For the purposes of this rule, an order
shall be deemed to be from a member if the order is placed with an Order Book Official by a
person associated with a member or through the telecommunications system of a member
firm.
For Index option classes on the Hybrid Trading System that are not assigned a DPM, the
OBO shall be responsible for (1) routing linkage Principal Acting as Agent (P/A) Orders and
Satisfaction orders (utilizing the LMM’s account for the benefit of an underlying order) to
other markets based on prior written instructions that must be provided by the LMM to the
OBO; (2) handling all linkage orders or portions of linkage orders received by the Exchange
that are not automatically executed.
(b) Types of Orders. Orders which may be placed with an Order Book Official or directly into
the electronic book, shall include the following:
(i) – (iii) No change
(iv) Orders from market participants (as defined in Rule 6.45A or 6.45B).
(c) – (g) No change
…Interpretations and Policies:
.01 - .05 No change
.06 Electronic execution of certain orders on the Exchange’s electronic limit order book is
provided for under sub-paragraphs (d)(iv) and (v) of Rule 6.8, subparagraphs (a)-(d) of Rules
6.45A and 6.45B, and subparagraph (b) of Rule 6.13.
*****
Rule 8.14
Index Hybrid Trading System Classes: Market-Maker Participants
(a) Generally: The Exchange procedures committee may authorize for trading on the CBOE
Hybrid Trading System or Hybrid 2.0 Program index options and options on ETFs currently
trading on the Exchange. The appropriate Exchange procedures committee shall determine
the eligible categories of Market-Maker participants for option classes currently trading on
the Exchange, which may include:
Designated Primary Market-Makers (“DPM”): Market-Makers as defined in Rule 8.80 whose
activities are governed by, among other rules, CBOE Rules 8.80 – 8.91.
Lead Market-Makers (“LMM”): Market-Makers as defined in Rule 8.15A whose activities are
governed by, among other rules, CBOE Rule 8.15A.
Electronic DPMs (“e-DPM”): Market-Makers as defined in Rule 8.92 whose activities are
governed by, among other rules, CBOE Rules 8.92 – 8.94.
Market-Makers (“MM”): Market-Makers as defined in Rule 8.1 whose activities are governed by, among other rules, CBOE Rules 8.1- 8.11.
June 29, 2005, Volume RB16, Number 26
RB15
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-87 continued
(b) Each class designated by the appropriate Exchange committee for trading on Hybrid or
the Hybrid 2.0 Platform shall have an assigned DPM or LMM. The appropriate Exchange
committee may determine to designate classes for trading on Hybrid or the Hybrid 2.0
Platform without a DPM or LMM provided the following conditions are satisfied:
1.
There are at least four (4) Market-Makers quoting in the class;
2.
Each Market-Maker with an appointment in the class is subject to the continuous
quoting obligations imposed by CBOE Rule 8.7(d);
3.
In the event CBOE activates request-for-quote (“RFQ”) functionality in index
classes, each MM will have an obligation to respond to that percentage of RFQs
as determined by the appropriate Exchange procedures committee, provided,
however, that such percentage shall not be less than 80%. Regarding RFQ responses:
4.
(i)
MMs must comply with the bid-ask differential contained in Rule 8.7(b)(iv):
(ii)
Responses must be submitted within the amount of time specified by the
appropriate Exchange procedures committee from the time the RFQ is
entered.
(iii)
Responses must be for a minimum of ten contracts or a size specified by
the appropriate Exchange procedures committee, whichever is greater.
(iv)
MMs responding to an RFQ must maintain a continuous market in that
series for a subsequent 30-second period (or for some other time specified by the appropriate EPC) or until his/her quote is filled in its entirety. A
MM may change his/her quotes during this 30-second period but he/she
may not cancel them without replacing them. If the MM does cancel
without replacing the quote his/her response to the RFQ will not count
toward the MM’s response rate requirement set forth above. A MM will
be considered to have responded to the RFQ if he/she has a quote in the
market for the series at the time the RFQ is received and he/she maintains it for the appropriate period of time.
In order to allow a multiply-listed product trade without a DPM or LMM, the Exchange must amend its Market-Maker obligation rules (and receive Commission
approval thereof) to indicate how orders will be submitted to other exchanges on
behalf of Market-Makers in accordance with the Intermarket Options Linkage Plan
requirements.
*****
Rule 8.15
Lead Market-Makers and Supplemental Market-Makers in
Non-Hybrid Classes
No change
*****
Rule 8.15A
Lead Market-Makers in Hybrid Classes
(a) Assignment, Removal, and Evaluation of LMMs: The appropriate Market Performance Committee (the “Committee”) may appoint one or more Market-Makers in good
standing with an appointment in an option class for which a DPM has not been appointed
as Lead Market-Makers (“LMMs”).
RB16
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-87 continued
(i) LMMs shall be appointed on the first day following an expiration for a period of no
less than one month (“expiration month”) and may be assigned to a class with one
or more LMMs.
A. Factors to be considered by the Committee in selecting LMMs include: adequacy of capital, experience in trading index options or options on ETFs, presence in the trading crowd, adherence to Exchange rules and ability to meet the
obligations specified below. An individual may be appointed as an LMM for one
expiration month at a time. When individual members are associated with one or
more other members, only one member may receive an LMM appointment.
B. Removal of LMMs may be effected by the Committee on the basis of the failure
of one or more LMMs assigned to the class to meet the obligations set forth below,
or any other applicable Exchange rule. An LMM removed under this rule may seek
review of that decision under Chapter XIX of the Rules.
C. If one or more LMMs are removed or if for any reason an LMM shall no longer be
eligible for or shall resign his appointment or shall fail to perform his duties, the
Committee may appoint an interim LMM to complete the monthly obligations of the
former LMM.
D. The Committee shall review and evaluate the conduct of LMMs, including but not
limited to compliance with Rules 8.1, 8.2, 8.3, and 8.7 and may hold all LMMs
responsible for the performance of each LMM in the class.
(b) LMM Obligations: LMMs are required to:
(i)
provide continuous market quotations that comply with the bid/ask differentials permitted by Rule 8.7(b) in 90% of the option series within their
assigned classes;
(ii)
assure that each of its displayed market quotations is honored for at least
the number of contracts prescribed pursuant to Rule 8.51;
(iii)
perform the above obligations for a period of one expiration month commencing on the first day following an expiration. Failure to perform such
obligations for such time may result in suspension of up to three months
from trading in all series of the option class;
(iv)
participate in the Hybrid Opening System; and
(v)
Respond to any open outcry request for quote by a floor broker with a twosided quote complying with the current quote width requirements of Rule
8.7(b)(iv) for a minimum of ten contracts for non-broker-dealer orders and
one contract for broker-dealer orders.
(vi)
Act as agent for orders routed to other exchanges that are participants in
the Intermarket Options Linkage Plan. The LMM’s account shall be used
for P/A and Satisfaction orders routed by the Order Book Official for the
benefit of an underlying order, and the LMM shall be responsible for any
charges incurred from the execution of such orders. LMMs shall also
provide written instructions to Order Book Officials regarding the routing of
P/A and Satisfaction orders.
June 29, 2005, Volume RB16, Number 26
RB17
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-87 continued
8.15B
Participation Entitlement of LMMs
(a) The appropriate Market Performance Committee may establish, on a class-byclass basis, a participation entitlement formula that is applicable to LMMs.
(b) To be entitled to a participation entitlement, the LMM must be quoting at the
best bid/offer on the Exchange and the LMM may not be allocated a total quantity
greater than the quantity for which the LMM is quoting at the best bid/offer on the
Exchange. The participation entitlement is based on the number of contracts
remaining after all public customer orders in the book at the best bid/offer on the
Exchange have been satisfied.
(c) The LMM participation entitlement shall be: 50% when there is one MarketMaker also quoting at the best bid/offer on the Exchange; 40% when there are two
Market-Makers also quoting at the best bid/offer on the Exchange; and, 30%
when there are three or more Market-Makers also quoting at the best bid/offer on
the Exchange. If more than one LMM is entitled to a participation entitlement,
such entitlement shall be distributed equally among all eligible LMMs provided,
however, that an LMM may not be allocated a total quantity greater than the
quantity for which the LMM is quoting at the best bid/offer on the Exchange.
The appropriate Market Performance Committee may determine, on a class-byclass basis, to decrease the LMM participation entitlement percentages from the
percentages specified in paragraph (c). Such changes will be announced to the
membership in advance of implementation via Regulatory Circular.
SR-CBOE-2005-31
Amended RUT Fees
On May 26, 2005, the SEC approved Rule Change File No. SR-CBOE-2005-31, which filing
amends the Fee Schedule to reduce Russell 2000 (RUT) customer transaction fees and
the RUT DPM and Market-Maker license fee (Securities Exchange Act Release No. 51749,
70 FR 34510 (June 14, 2005)). 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 http://www.cboe.com/
AboutCBOE/FeeSchedule.aspx.
EFFECTIVE-ON-FILING RULE CHANGE(S)
The following rule filing(s) were submitted to the SEC “effective-on-filing,” and have taken
effect pursuant to Section 19(b)(3) of the Securities Exchange Act. They will remain in
effect barring further action by the SEC within 60 days after their publication in the Federal
Register. Copies are available on the CBOE public website at www.cboe.com/legal/
effectivefiling.aspx.
RB18
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-47
Allocation of Index Options
On June 14, 2005, the Exchange filed Rule Change File No. SR-CBOE-2005-47, which filing
clarifies the Exchange’s Index Hybrid rules to clearly establish the authority of the Exchange and the applicable Exchange procedures committee to allocate index options and
options on ETFs on Hybrid. Any questions regarding the rule change may be directed to
Dave Doherty, Legal Division, at 312-786-7466. The text of the proposed rule amendments
is set forth below. Proposed new language is underlined. Proposed deleted language is
[stricken out].
Rule 6.45B Priority and Allocation of Trades in Index Options and Options on
ETFs on the CBOE Hybrid System
Generally: The rules of priority and order allocation procedures set forth in this rule
shall apply only to index options and options on ETFs that have been designated
[by the appropriate Exchange procedures committee] for trading on the CBOE
Hybrid System. The term “market participant” as used throughout this rule refers to
a Market-Maker, a Remote Market-Maker, an in-crowd DPM or LMM, an e-DPM
with an appointment in the subject class, and a floor broker representing orders in
the trading crowd. The term “in-crowd market participant” only includes an in-crowd
Market-Maker, in-crowd DPM or LMM, and floor broker representing orders in the
trading crowd.
(a) – (d) No change.
…Interpretations and Policies:
No change
*****
Rule 8.14 Index Hybrid Trading System Classes: Market-Maker Participants
(a) Generally: The appropriate Exchange procedures committee (i) may authorize
for trading on the CBOE Hybrid Trading System or Hybrid 2.0 [Program] Platform
index options and options on ETFs [currently] trading on the Exchange prior to
June 10, 2005 and (ii) [. The appropriate Exchange procedures committee] if that
authorization is granted, shall determine the eligible categories of Market-Maker
participants for those options [classes currently trading on the Exchange]. For
index options and options on ETFs trading for the first time on the Exchange on or
subsequent to June 10, 2005, the Exchange shall determine the appropriate trading
platform (e.g., CBOE Hybrid Trading System, Hybrid 2.0 Platform) and the eligible
categories of Market-Maker participants on that platform. The Exchange shall also
have the authority to determine whether to change the trading platform on which
those options trade and to change the eligible categories of Market-Maker participants for those options. The eligible categories of Market-Maker participants[,
which] may include:
************
(b)
Each class designated [by the appropriate Exchange committee] for trading on Hybrid or the Hybrid 2.0 Platform shall have an assigned DPM or LMM. The
Exchange or the appropriate Exchange committee, as applicable pursuant to the
authority granted under CBOE Rule 8.14(a) to determine eligible categories of Market-Maker participants, [The appropriate Exchange committee] may determine to
designate classes for trading on Hybrid or the Hybrid 2.0 Platform without a DPM or
LMM provided the following conditions are satisfied:
**************
June 29, 2005, Volume RB16, Number 26
RB19
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-48
Class Quoting Limits
On June 20, 2005, the Exchange filed Rule Change File No. SR-CBOE-2005-48, which
filing amends Rule 8.3A pertaining to Class Quoting Limits. Any questions regarding the
rule change may be directed to Pat Sexton, Legal Division, at 312-786-7467. The text of the
proposed rule amendments is set forth below. Proposed new language is underlined.
Proposed deleted language is [stricken out].
Rule 8.3A – Maximum Number of Market Participants Quoting Electronically
per Product
(a) – (c)
No Change.
…Interpretations and Policies:
.01 - .02
No Change.
.03
In the event a Market-Maker, who holds an appointment in an option
class traded on the Hybrid Trading System or the Hybrid 2.0 Platform pursuant to
Rule 8.3, elects not to quote electronically in that option class under the provisions of Rule 8.7(d)(i), then the Market-Maker will not count towards the CQL in
that option class. In the event the Market-Maker later determines to quote electronically in that option class, the Marker-Maker may do so and would count
towards the CQL for that option class. If the total number of members quoting
electronically exceeds the CQL for that option class, the option class would have
an “increased CQL” as described in Interpretations and Policies .01(a). Reduction
in any “increased CQL” will be in accordance with the procedures described in
Interpretations and Policies .01(a).
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-2005-44
Obvious Error Rule Changes
On June 14, 2005, the Exchange filed Rule Change File No. SR-CBOE-2005-44, which
filing revises the Exchange’s obvious error rules for equity and index options. Any questions regarding the rule change may be directed to Dave Doherty, Legal Division, at 312786-7466. The text of the proposed rule amendments is set forth below. Proposed new
language is underlined. Proposed deleted language is [stricken out].
Rule 6.25 Nullification and Adjustment of Equity Option Transactions
This Rule governs the nullification and adjustment of transactions involving equity
options. Rule 24.16 governs the nullification and adjustment of transactions involving index options and options on ETFs and HOLDRs. Paragraphs (a)(1), and
(2) of this Rule have no applicability to trades executed in open outcry.
(a)
RB20
Trades Subject to Review
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-44 continued
A member or person associated with a member may have a trade adjusted or
nullified if, in addition to satisfying the procedural requirements of paragraph (b)
below, one of the following conditions is satisfied:
(1)
No change
(2)
No Bid Series: Electronic transactions in series quoted no bid [at
a nickel (i.e., $0.05 offer)] will be nullified provided at least one strike price
below (for calls) or above (for puts) in the same options class was quoted
no bid [at a nickel] at the time of execution.
(3) – (5)
(b) – (e)
No change
No change
*****
Rule 24.16 Nullification and Adjustment of Index Option Transactions
This Rule only governs the nullification and adjustment of transactions involving
index options and options on ETFs or HLDRs. Rule 6.25 governs the nullification
and adjustment of transactions involving equity options. Paragraphs (a)(1), (2), (6)
and (7) of this Rule have no applicability to trades executed in open outcry.
(a)
Trades Subject to Review
A member or person associated with a member may have a trade adjusted or
nullified if, in addition to satisfying the procedural requirements of paragraph (b)
below, one of the following conditions is satisfied:
(1) – (6) No change
(7)
No Bid Series: Electronic transactions in series quoted no bid [at
a nickel (i.e., $0.05 offer)] will be nullified provided at least one strike price
below (for calls) or above (for puts) in the same options class was quoted
no bid [at a nickel] at the time of execution.
(b) – (e)
SR-CBOE-2005-46
No change
PAR Official
On June 9, 2005, the Exchange filed Rule Change File No. SR-CBOE-2005-46,
which filing proposes to eliminate a DPM’s ability to execute orders as agent, and assigns
those responsibilities to a newly created CBOE position, PAR Official. Any questions regarding the rule change may be directed to Jim Flynn, Legal Division, at 312-786-7070. The
text of the proposed rule amendments is set forth below. Proposed new language is underlined. Proposed deleted language is [stricken out].
Rule 6.7 (a) – (c) No Change.
... Interpretations and Policies:
.01 Rule 7.11 governs the liability of the Exchange for claims arising out of errors or
omissions of an Order Book Official or his/her assistants or clerks or a PAR Official
or his/her assistants or clerks.
June 29, 2005, Volume RB16, Number 26
RB21
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-46 continued
.02 - .04 No Change.
*****
Rule 6.8 No Change.
(a) – (g) No Change.
*****
…Interpretations and Policies:
.01
No Change.
.02 (a) No Change.
(b) In respect of those classes of options that have been specifically designated
by the appropriate Floor Procedure Committee as coming within the scope of this
sentence (“automatic step-up classes”), under circumstances where the Exchange’s
best bid or offer is inferior to the current best bid or offer in another market by no
more than the “step-up amount” as defined below, such orders will be automatically executed on RAES at the current best bid or offer in the other market.
(i) - (iii) No Change.
(iv) In respect of classes of equity options other than automatic step-up classes
where the Exchange’s best bid or offer is inferior to the current best bid or offer in
another market by any amount, such orders will be rerouted for non-automated
handling to a[the DPM or OBO] PAR workstation in the trading crowd for that
class of options, or to any other location in the event of system problems or
contrary routing instructions from the firm that forwarded the order to RAES. If the
order has been rerouted to the [the DPM or OBO] PAR workstation in the trading
crowd, the [DPM or ]OBO, or PAR Official will report the execution or non-execution of such orders to the firm that originally forwarded the order to RAES. With
respect to the orders that are rerouted for manual handling pursuant to (ii) above,
the appropriate Floor Procedure Committee may determine to have the orders for
a particular series within a designated class of options executed on RAES notwithstanding the fact that the NBBO is either crossed or locked. Also, with respect
to (ii) above, the appropriate Floor Procedure Committee may determine to have
the orders rerouted for manual handling only when the CBOE RAES becomes
crossed or locked as a result of applying the step-up amount.
As used in this Interpretation and Policy .02, the “step-up amount” shall be expressed in an amount consistent with the minimum trading increment for options
of that series established pursuant to Rule 6.42. The appropriate Floor Procedure
Committee shall determine the step-up amount in respect of specified automatic
step-up classes or series of options and may vary the “step-up amount” on the
basis of order size parameters. The procedures described in this Interpretation .02
shall not apply in circumstances where a “fast market” in the options that are the
subject of the orders in question has been declared on the Exchange or where
comparable conditions exist in the other market such that firm quote requirements
do not apply.
*****
RB22
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-46 continued
Rule 6.13. - CBOE Hybrid System’s Automatic Execution Feature
(a)
No Change.
(b)
Automatic Execution.
(i) – (iii) No Change.
(iv) Executions at NBBO: Eligible orders in classes that are multiply traded will not
be automatically executed on CBOE at prices that are inferior to the NBBO and
instead shall route to a [DPM’s] PAR [terminal] workstation in the trading crowd or,
at the order entry firm’s discretion, to BART. Eligible orders received while the CBOE
market is locked (e.g., $1.00 bid - $1.00 offered) shall be eligible for automatic
execution at CBOE’s disseminated quote, provided that the disseminated quote is
not inferior to the NBBO.
(c) – (e) No Change.
*****
Rule 6.20. Admission to and Conduct on the Trading Floor; Member
Education
Rule 6.20. (a) Admission to Trading Floor. Unless otherwise provided in the Rules,
no one but a member, [or ]an Order Book Official designated by the Exchange
pursuant to Rule 7.3, or PAR Official designated by the Exchange pursuant to Rule
7.12 shall make any transaction on the floor of the Exchange. Admission to the
floor shall be limited to members, employees of the Exchange, clerks employed by
members and registered with the Exchange, service personnel and Exchange visitors authorized admission to the floor pursuant to Exchange policy, and such other
persons permitted admission to the floor by the President of the Exchange.
(b) – (e) No Change.
. . . Interpretations and Policies:
.01
No Change.
.02
Order Book Officials and PAR Officials may effect transactions on the
floor only in the classes of option contracts to which they have been assigned and
only in their capacity as Order Book Officials or PAR Officials.
.03 - .10 No Change.
*****
Rule 6.80 – Definitions
Rule 6.80. No Change.
(1) – (11)
No Change.
(12)
“Linkage Order” means an Immediate or Cancel order routed through the
Linkage as permitted under the Plan. There are three types of Linkage Orders:
June 29, 2005, Volume RB16, Number 26
RB23
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-46 continued
(i) “Principal Acting as Agent (‘P/A’) Order,” which is an order for the principal
account of a Market-Maker (or equivalent entity on another Participant Exchange
that is authorized to represent Customer orders) reflecting the terms of a related
unexecuted Customer order[ for which the Market-Maker is acting as agent];
(ii) – (iii) No Change.
(13) – (21)
No Change.
*****
Rule 6.81.
No Change.
(a) – (d) No Change.
(e)
Receipt of Orders. The Exchange will provide for the execution of P/A
Orders and Principal Orders if its disseminated quotation is (i) equal to or better
than the Reference Price, and (ii) equal to the then-current NBBO. Subject to
paragraph (c) above, if the size of a P/A Order or Principal Order is not larger than
the Firm Customer Quote Size or Firm Principal Quote Size, respectively, the
Exchange will provide for the execution of the entire order, and shall execute such
order in its automatic execution system if that system is available. If the size of a
P/A Order or Principal Order is larger than the Firm Customer Quote Size or Firm
Principal Quote Size, respectively, or if the linkage order received is not eligible to
be executed automatically, the Market-Maker or Exchange must address the order within 15 seconds to provide an execution for at least the Firm Customer
Quote Size or Firm Principal Quote Size, respectively. If the order is not executed
in full, the Exchange will move its disseminated quotation to a price inferior to the
Reference Price.
*****
Rule 6.82.
No Change.
*****
Rule 6.83 – Order Protection
Rule 6.83. (a) Avoidance and Satisfaction of Trade-Throughs.
(1) No Change.
(2) Price and Size. The price and size at which a Satisfaction Order shall be filled
is as follows:
(i) Price. A Satisfaction Order shall be filled at the Reference Price. However, if the
Reference Price is the price of an apparent Block Trade that caused the TradeThrough, and such trade was not, in fact, a Block Trade, then the Member or
Exchange may cancel the Satisfaction Order. In that case, the Member or Exchange shall inform the Aggrieved Party within three minutes of receipt of the
Satisfaction Order of the reason for the cancellation. Within three minutes of receipt of such cancellation, the Aggrieved Party may resend the Satisfaction Order
with a Reference Price of the bid or offer that was traded through.
RB24
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-46 continued
(ii) Size. An Aggrieved Party may send a Satisfaction Order up to the lesser of the
size of the Verifiable Number of Customer Contracts that were included in the disseminated bid or offer that was traded through and the size of the transaction that
caused the Trade-Through. Subject to subparagraph (2)(i) above and paragraph (b)
below, a Member or Exchange shall fill in full all Satisfaction Orders it receives
following a Trade-Through, subject to the following limitations:
(A) If the transaction that caused the Trade-Through was for a size larger
than the Firm Customer Quote Size with respect to any of the Participant Exchange(s)
traded through, the total number of contracts to be filled, with respect to all Satisfaction Orders received in connection with any one transaction that caused a TradeThrough, shall not exceed the size of the transaction. In that case, the Member or
Exchange shall fill the Satisfaction Orders pro-rata based on the Verifiable Number
of Customer Contracts traded through on each Participant Exchange, and shall
cancel the remainder of such Satisfaction Order(s); and
(B)
No Change.
(3) Change in Status of Underlying Customer Order. During the time period that a
Satisfaction Order is pending at another Participant Exchange, a Member or Exchange shall cancel such Satisfaction Order as soon as practical if (1) the order(s)
for the customer contracts underlying the Satisfaction Order are filled; or (2) the
customer order(s) to buy (sell) the contracts underlying the Satisfaction Order are
canceled (either being a “change in status of the underlying customer order(s)”).
Notwithstanding this obligation to cancel the Satisfaction Order, within 30 seconds
of receipt of notification that a Participant Exchange has filled a Satisfaction Order,
the Participant that sent the Satisfaction Order may reject such fill if there has been
a change in status of the underlying customer order(s), provided that the status
change of the customer order occurred prior to the receipt of the Satisfaction Order
fill report. However, if the underlying customer order(s) has been executed against
the sender of the Satisfaction Order, the Satisfaction Order fill report may not be
rejected.
(4)
No Change.
(b) Exceptions to Trade-Through Liability. The provisions of paragraph (a) pertaining
to the satisfy action of Trade-Throughs shall not apply under the following circumstances:
(1) - (8) No Change.
(9) in the case of a Third Participating Market Center Trade-Through, a Satisfaction
Order with respect to the Trade-Through was not received by the Exchange promptly
following the Trade-Through. In applying this provision, the Aggrieved Party must
send the Exchange a Satisfaction Order within three minutes from the time the
report of the transaction that constituted the Trade-Through was disseminated over
OPRA. To avoid liability for the Trade-Through, the Member or Exchange receiving
such Satisfaction Order must cancel the Satisfaction Order and inform the Aggrieved Party of the identity of the Participant Exchange that initiated the TradeThrough within three minutes of the receipt of such Satisfaction Order (within one
minute in the final five minutes of trading). The Aggrieved Party then must send the
Participant Exchange that initiated the Trade-Through a Satisfaction Order within
three minutes of receipt of the cancellation of the initial Satisfaction Order (within
one minute in the final five minutes of trading).
(c) Responsibilities and Rights Following Receipt of Satisfaction Orders.
June 29, 2005, Volume RB16, Number 26
RB25
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-46 continued
(1) When a Member or Exchange receives a Satisfaction Order, that Member or
Exchange shall respond as promptly as practicable pursuant to Exchange procedures by either:
(i) specifying that one of the exceptions to Trade-Through liability specified in
paragraph (b) above is applicable and identifying that particular exception; or
(ii) taking the appropriate corrective action pursuant to paragraph (a) above.
(2) – (3) No Change.
(d)
No Change.
*****
Rule 7.6 – Duty to Report Unusual Activity
Rule 7.6. When, in the opinion of a Board Broker, PAR Official or Order Book
Official, there is any unusual activity, transaction, or price change or there are
other unusual market conditions or circumstances which are, with respect to any
option contract in which he is acting as Board Broker, PAR Official or Order Book
Official, detrimental to the maintenance of a fair and orderly market, he shall
promptly make a report to a Floor Official.
. . . Interpretations and Policies:
.01 To the extent unusual activity is apparent only through the inspection of trade
tickets, a Board Broker, PAR Official or Order Book Official is not responsible for
reporting such activity unless the trade tickets are brought to his attention.
*****
Rule 7.11 - Liability of Exchange for Actions of Board Brokers, [and ]Order
Book Officials, and PAR Officials
Rule 7.11. (a) In no event shall the Exchange be liable to members or persons
associated therewith for any loss, expense, damages or claims arising out of any
errors or omissions of a Board Broker or person associated therewith. Except to
the extent provided in paragraph (b) of this Rule, the Exchange’s liability to members or persons associated therewith for any loss, expense, damages or claims
arising out of any errors or omissions of an Order Book Official or PAR Official or
the assistants or clerks of an Order Book Official or PAR Official shall be subject
to the limitations set forth in paragraph (a) of Rule 6.7 and to the further limitations
set forth in paragraphs (b) and (c) of this Rule.
(b)(1) As used in this paragraph (b), the term “transaction” shall mean any single
order or instruction which is placed with an Order Book Official or PAR Official, or
any series of orders or instructions which is placed with an Order Book Official or
a PAR Official at substantially the same time by the same member, and which
relates to any one or more series of options of the same class. All errors and
omissions made by an Order Book Official or PAR Official with respect to or
arising out of any transaction shall give rise to a “single claim” against the Exchange for losses resulting therefrom as provided in this paragraph (b) and in
paragraph (c), and the Exchange shall be free to assert any defense to such claim
it may have. No claim shall arise as to errors or omissions which are found to have
resulted from any failure by a member (whether or not the member is claiming
RB26
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-46 continued
against the Exchange pursuant to this paragraph (b)), or by any person acting on
behalf of a member, to enter or cancel an order with such Order Book Official or
PAR Official on a timely basis or clearly and accurately to communicate to such
Order Book Official or PAR Official:
(i) - (vi) No Change.
In addition, no claim shall be allowed if, in the opinion of the arbitration panel provided for in subparagraph (3) of this paragraph (b), the member or other person
making such claim did not take promptly, upon discovery of the errors or omissions, all proper steps to correct such errors or omissions and to establish the loss
resulting therefrom.
(2) Absent reasonable justification or excuse, any claim by members or persons
associated with members for losses arising from errors or omissions of an Order
Book Official or PAR Official, and any claim by the Exchange made pursuant to
paragraph (d) of this Rule, shall be presented in writing to the opposing party within
ten business days following the transaction giving rise to the claim; provided, that if
an error or omission has resulted in an unmatched trade, then any claim based
thereon shall be presented after the unmatched trade has been closed out in accordance with Rule 10.1 but within ten business days following such resolution of the
unmatched trade.
(3) - (4) No Change.
(c)
No Change.
(d) If any damage is caused by an error or omission of an Order Book Official or
PAR Official which is the result of any error or omission of a member organization,
then such member organization shall indemnify the Exchange and hold it harmless
from any claim of liability resulting from or relating to such damage.
(e)
No Change.
*****
Rule 7.12 PAR Official
Rule 7.12(a)
A PAR Official is an Exchange employee or independent contractor whom the Exchange may designate as being responsible for (i) operating the
PAR workstation in a DPM trading crowd with respect to the classes of options
assigned to him/her; (ii) when applicable, maintaining the book with respect to the
classes of options assigned to him/her; and (iii) effecting proper executions of
orders placed with him/her. The PAR Official may not be affiliated with any member
that is approved to act as a Market-Maker.
(b)
The PAR Official shall be responsible for the following obligations with
respect to the classes of options assigned to him/her:
(i) Display Obligation: Each PAR Official shall display immediately the full price and
size of any customer limit order that improves the price or increases the size of the
best disseminated CBOE quote. For purposes of this Rule 7.12(b), “immediately”
means, under normal market conditions, as soon as practicable but no later than 30
seconds after receipt (“30-second standard”) by the PAR Official. The term “customer limit order” means an order to buy or sell a listed option at a specified price
that is not for the account of either a broker or dealer; provided, however, that the
June 29, 2005, Volume RB16, Number 26
RB27
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-46 continued
term “customer limit order” shall include an order transmitted by a broker or dealer
on behalf of a customer.
The following are exempt from the Display Obligation as set forth under
this Rule:
(A) An order executed upon receipt;
(B) An order where the customer who placed it requests that it not be displayed,
and upon receipt of the order, the PAR Official announces in public outcry the
information concerning the order that would be displayed if the order were subject
to being displayed;
(C) An order for which immediately upon receipt a related order for the principal
account of a DPM reflecting the terms of the customer order is routed to another
options exchange that is a participant in the Intermarket Options Linkage Plan;
(D) The following orders as defined in Rule 6.53: contingency orders; one-cancelsthe-other orders; all or none orders; fill or kill orders; immediate or cancel orders;
complex orders (e.g., spreads, straddles, combinations); and stock-option orders;
(E) Orders received before or during a trading rotation (as defined in Rule 6.2,
6.2A, and 6.2B), including Opening Rotation Orders as defined in Rule 6.53(l), are
exempt from the 30-second standard, however, they must be displayed immediately upon conclusion of the applicable rotation; and
(F) Large Sized Orders: Orders for more than 100 contracts, unless the customer
placing such order requests that the order be displayed.
(ii) Execution. The PAR Official shall use due diligence to execute the orders
placed in the PAR Official’s custody at the best prices available to him or her
under the Rules of the Exchange.
(iii) A PAR Official shall not remove from the public order book any order placed in
the book unless (A) the order is canceled, expires, transmitted through the
Intermarket Options Linkage Plan, or is executed or (B) the PAR Official returns
the order to the member that placed the order with the PAR Official in response to
a request from that member to return the order;
(iv)
Autobook: A PAR Official shall maintain and keep active on the PAR
workstation at all times the automated limit order display facility (“Autobook”)
provided by the Exchange. Only a senior trading operations official of the Exchange may determine the length of the Autobook timer for PAR Officials and a
PAR Official may deactivate Autobook only with the approval of a senior trading
operations official. For the purposes of this rule, a “senior Trading Operations
official” is any duly appointed officer in the Exchange’s Trading Operations Division.
(c)
Compensation of PAR Officials. The PAR Official shall be compensated
exclusively by the Exchange, which shall determine the amount and form of compensation. No DPM, e-DPM, or Market-Maker shall directly or indirectly compensate or provide any other form of consideration to a PAR Official.
RB28
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-46 continued
(d) Liability of Exchange for Actions of PAR Officials. The Exchange’s liability to
members or persons associated therewith for any loss, expense, damages or claims
arising out of any errors or omissions of a PAR Official or any persons providing
assistance to a PAR Official shall be subject to Exchange rules, including the
limitations set forth in Rule 6.7, Rule 6.7A, and Rule 7.11.
(e)
Linkage Obligations. In connection with the performance of the PAR Official’s
duties, the PAR Official shall be responsible for manually or automatically (1) routing linkage Principal Acting as Agent (“P/A”) Orders, Principal (“P”) Orders on behalf of orders in the custody of the PAR Official that are for the account of a brokerdealer (“P-BD”) Orders”, and Satisfaction Orders to other markets based on prior
written instructions that must be provided by the DPM to the PAR Official (utilizing
the DPM’s account); and (2) handling all linkage orders or portions of linkage orders
received by the Exchange that are not automatically executed. When handling
outbound P/A Orders, P-BD Orders and Satisfaction Orders, the PAR Official shall
use due diligence to execute the orders entrusted to him/her and shall act in accordance with the prior written instructions provided by the DPM for P/A Orders, P-BD
Orders, and Satisfaction Orders that the PAR Official represents. A PAR Official
also shall act in accordance with CBOE rules regarding P/A, P, and Satisfaction
Orders received through the Linkage.
. . . Interpretations and Policies:
.01
The Exchange shall assign a PAR Official to all applicable trading stations
on or before [enter date 90 days after the effective date of this rule change].
*****
Rule 8.51 - Firm Disseminated Market Quotes
Rule 8.51 (a) – (f)
No Change.
... Interpretations and Policies:
.01 - .09 No Change.
.10
Timing of Firm Quote Obligations[ in a DPM Trading Crowd]
[(a) Non-Hybrid Classes]
For purposes of determining when the firm quote obligations under Rule 8.51 attach
in respect of orders received at a PAR workstation [terminal in a DPM trading
crowd] and how the exemptions to that obligation provided in paragraph (e) of that
Rule apply, [the responsible broker or dealer shall be deemed to receive an order,
and] an order shall be deemed to be presented to the responsible broker or dealer,
at the time the order is announced to the trading crowd [received on the DPM’s PAR
workstation].
[(b) Hybrid Classes
For purposes of determining when the firm quote obligations under Rule 8.51 attach
with respect to orders received at a PAR workstation in a DPM trading crowd and
how the exemptions to that obligation provided in paragraph (e) of that rule apply,
the responsible broker or dealer shall be deemed to receive an order, and an order
shall be deemed presented to the responsible broker or dealer
June 29, 2005, Volume RB16, Number 26
RB29
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-46 continued
(i) at the time the order is announced to the trading crowd with respect to each
responsible broker or dealer that is not the DPM for the class; and
(ii) at the time the order is received on PAR with respect to the DPM as the
responsible broker or dealer.
As such, firm quote obligations for an order received on PAR may attach at two
separate times for different responsible broker or dealers: at the time of receipt
with respect to the DPM as a responsible broker or dealer and at the time of
announcement with respect to non-DPM members of the trading crowd as responsible brokers or dealers.]
.11
No Change.
*****
Rule 8.60. Evaluation of Trading Crowd Performance
Rule 8.60 (a) The Exchange’s appropriate Market Performance Committee (“Committee”) shall periodically evaluate the performance of Designated Primary Market-Makers (“DPMs”), Market-Makers, and other members both individually and
collectively as trading crowds in order to determine whether they are satisfactorily
meeting their market responsibilities[, including, in the case of DPMs, both market-making and agency responsibilities]. For purposes of this rule, a DPM, a
Market-Maker, other members or a trading crowd may be referred to as a market
participant (“Market Participants”). The evaluation may depend in part on the results of a survey of members administered by the Exchange, designed to assist
the Committee in determining the absolute and relative performance of Market
Participants. The survey may consist of a questionnaire that solicits the views of
members on the performance of Market Participants in respect of (1) quality of
markets, (2) extent of competition in the crowd, (3) due diligence in representing
orders as agent, (4) adherence to ethical standards, (5) carrying out administrative responsibilities, and (6) such other matters as the Exchange may deem relevant.
In addition to the survey, the Committee may also consider any other relevant
information, including but not limited to statistical measures of performance and
such other factors and data as the Committee may determine to be pertinent to
the evaluation of Market Participants.
(b) – (g) No Changes.
. . . Interpretations and Policies:
.01 - .02 No Changes.
Rule 8.80 – DPM Defined
Rule 8.80. A “Designated Primary Market-Maker” or “DPM” is a member organization that is approved by the Exchange to function in allocated securities as a
Market-Maker (as defined in Rule 8.1) and is subject to the obligations under Rule
8.85 or as otherwise provided under the rules of the Exchange.[, as a Floor Broker
(as defined in Rule 6.70), and as an Order Book Official (as defined in Rule 7.1).]
Determinations concerning whether to grant or withdraw the approval to act as a
DPM are made by the Modified Trading System Appointments Committee (“MTS
RB30
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-46 continued
Committee”) in accordance with Rules 8.83 and 8.90. DPMs are allocated securities by the Allocation Committee and the Special Product Assignment Committee
in accordance with Rule 8.95.
*****
Rule 8.81 – DPM Designees
Rule 8.81. (a)
No Change.
(b) Notwithstanding any other rules to the contrary, an individual must satisfy the
following requirements in order to be a DPM Designee of a DPM:
(i) - (ii)
No Change.
(iii) the individual must be registered as a Market-Maker pursuant to Rule 8.2[ and
as a Floor Broker pursuant to Rule 6.71];
(iv) - (v) No Change.
Notwithstanding the provisions of subparagraph (b)(ii) of this Rule, the MTS Committee shall have the discretion to permit an individual who is not affiliated with a
DPM to act as a DPM Designee for the DPM on an emergency basis provided that
the individual satisfies the other requirements of subparagraph (b) of this Rule.
(c) - (d) No Change.
(e) A DPM Designee of a DPM may not trade as a Market-Maker [or Floor Broker
]in securities allocated to the DPM unless the DPM Designee is acting on behalf of
the DPM in its capacity as a DPM. [When acting on behalf of a DPM in its capacity
as a DPM, a DPM Designee is exempt from the provisions of Rule 8.8.]
Rule 8.82 – 8.84 No Change.
Rule 8.85 - DPM Obligations
Rule 8.85. (a) Dealer Transactions. Each DPM shall fulfill all of the obligations of a
Market-Maker under the Rules, and shall satisfy each of the following requirements
in respect of each of the securities allocated to the DPM. To the extent that there is
any inconsistency between the specific obligations of a DPM set forth in subparagraphs (a)(i) through (a)[(xiii)](xiv) of this Rule and the general obligations of a Market-Maker under the Rules, subparagraphs (a)(i) through (a)[(xiii)](xiv) of this Rule
shall govern. Each DPM shall:
(i) – (xiii) No Change.
(xiv) The DPM’s account shall be used for P/A Orders and Satisfaction Orders
routed by the PAR Official for the benefit of an underlying customer order, and shall
be used for P Orders routed by the PAR Official for the benefit of an underlying
broker-dealer order. Further, the DPM shall be responsible for any charges incurred
in the execution of such linkage orders.
A DPM must provide to the PAR Official operating in the DPM’s trading station to
which the PAR Official is assigned written instructions for routing P/A Orders, P
Orders on behalf of orders in the custody of the PAR Official that are for the account
of a broker-dealer, and Satisfaction Orders to other markets.
June 29, 2005, Volume RB16, Number 26
RB31
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-46 continued
(b) Agency Transactions. [Each ] A DPM shall not execute [fulfill all of the obligations of a Floor Broker or Order Book Official] orders as an agent or Floor Broker
in its allocated option classes. [(to the extent that the DPM acts as a Floor
Broker) and of an Order Book Official under the Rules, and shall satisfy each of
the requirements contained in this paragraph, in respect of each of the securities
allocated to the DPM. To the extent that there is any inconsistency between the
specific obligations of a DPM set forth in subparagraphs (b)(i) through (b)(vii) of
this Rule and the general obligations of a Floor Broker or of an Order Book Official
under the Rules, subparagraphs (b)(i) through (b)(vii) of this Rule shall govern.
(i) Display Obligation: Each DPM shall display immediately the full price and size
of any customer limit order that improves the price or increases the size of the
best disseminated CBOE quote. “Immediately” means, under normal market conditions, as soon as practicable but no later than 30-seconds after receipt (“30second standard”) by the DPM. The term “customer limit order” means an order to
buy or sell a listed option at a specified price that is not for the account of either a
broker or dealer; provided, however, that the term customer limit order shall include an order transmitted by a broker or dealer on behalf of a customer. The
following are exempt from the Display Obligation as set forth under this Rule:
(A) An order executed upon receipt;
(B) An order where the customer who placed it requests that it not be displayed,
and upon receipt of the order, the DPM announces in public outcry the information
concerning the order that would be displayed if the order were subject to being
displayed;
(C) An order for which immediately upon receipt a related order for the principal
account of a DPM reflecting the terms of the customer order is routed to another
options exchange that is a participant in the Intermarket Options Linkage Plan;
(D) The following orders as defined in Rule 6.53: contingency orders; one-cancelsthe-other orders; all or none orders; fill or kill orders; immediate or cancel orders;
complex orders (e.g., spreads, straddles, combinations); and stock-option orders;
(E) Orders received before or during a trading rotation (as defined in Rule 6.2,
6.2A, and 6.2B), including Opening Rotation Orders as defined in Rule 6.53(l), are
exempt from the 30-second standard, however, they must be displayed immediately upon conclusion of the applicable rotation; and
(F) Large Sized Orders: Orders for more than 100 contracts, unless the customer
placing such order requests that the order be displayed.
(ii) not remove from the public order book any order placed in the book unless (A)
the order is canceled, expires, or is executed or (B) the DPM returns the order to
the member that placed the order with the DPM in response to a request from that
member to return the order;
(iii) accord priority to any customer order which the DPM represents as agent over
the DPM’s principal transactions, unless the customer who placed the order has
consented to not being accorded such priority;
(iv) not charge any brokerage commission; with respect to:
RB32
June 29, 2005, Volume RB16, Number 26
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-46 continued
(1) the execution of any portion of an order for which the DPM has acted as both
agent and principal, unless the customer who placed the order has consented to
paying a brokerage commission to the DPM with respect to the DPM’s execution of
the order while acting as both agent and principal; or
(2) any portion of an order for which the DPM was not the executing floor broker,
including any portion of the order that is automatically executed through an Exchange system; or
(3) any portion of an order that is automatically cancelled, or;
(4) any portion of an order that is not executed and not cancelled.
(v) act as a Floor Broker to the extent required by the MTS Committee; and
(vi) not represent discretionary orders as a Floor Broker or otherwise.
(vii) Autobook Pilot. Maintain and keep active on the DPM’s PAR workstation at all
times the automated limit order display facility (“Autobook”) provided by the Exchange. The appropriate Exchange Floor Procedure Committee will determine the
Autobook timer in all classes under that Committee’s jurisdiction. A DPM may
deactivate Autobook as to a class or classes provided that Floor Official approval
is obtained. The DPM must obtain such approval no later than three minutes after
deactivation.]
(c) - (d) No Change.
(e)
Requirement to Own Membership. Each DPM organization shall own at
least one Exchange membership for each trading location in which the organization
serves as a DPM. For purposes of this Rule, a trading location is defined as any
separate identifiable unit of a DPM organization that applies for and is allocated
option classes by the appropriate Allocation Committee. An Exchange membership shall include a transferable regular membership or a Chicago Board of Trade
full membership that has effectively been exercised pursuant to Article Fifth(b) of
the Certificate of Incorporation. The same Exchange membership(s) may not be
used to satisfy this ownership requirement for different DPM organizations or different trading locations operated by the same DPM organization. [Each DPM shall
have until May 12, 2003 to satisfy this ownership requirement, but each DPM
organization must continually own at least one membership until that date.]
A DPM organization shall be exempt from the membership requirement under Rule
8.85(e) for the period of [enter effective date of this rule change] to [enter a date 90
days from the effective date of this rule change] if the DPM organization falls out of
compliance with Rule 8.85(e) because the Exchange membership used to satisfy
Rule 8.85(e), was at the time the DPM organization fell out of compliance with Rule
8.85(e), held by an individual whose affiliation with the DPM organization has been
terminated as a result of the implementation of Rule 7.12.
... Interpretations and Policies:
June 29, 2005, Volume RB16, Number 26
RB33
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-46 continued
.01 [The Exchange may make personnel available to assist a DPM in the DPM’s
performance of the obligations of an Order Book Official, for which the Exchange
may charge the DPM a reasonable fee.
.02 ]Willingness to promote the Exchange as a marketplace includes assisting in
meeting and educating market participants (and taking the time for travel related
thereto), maintaining communications with member firms in order to be responsive to suggestions and complaints, responding to suggestions and complaints,
and other like activities.
[.03].02 Reserved.
[.04].03 A DPM organization shall be deemed to own an Exchange membership
for purposes of paragraph (e) of this Rule if a natural person owner of the DPM
organization owns an Exchange membership that would otherwise qualify under
paragraph (e) and such individual meets the following criteria: (1) owns at least a
45% equity interest in the DPM organization; (2) maintains at least a 45% profit
participation in the DPM organization; (3) is actively involved in the management
of the DPM operation; and (4) maintains a constant presence on the Exchange
trading floor as a primary DPM designee of the DPM organization.
RB34
June 29, 2005, Volume RB16, Number 26