July 22, 2005
Exchange
Bulletin
Volume 33, Number 29
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 (January 1 through
December 31) is $200.00 ($100.00 after July 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, JULY 22, 2005
CLASS
BID
CBOE
$655,000.00
OFFER
LAST SALE AMOUNT
LAST SALE DATE
$700,000.00
July 21, 2005
LAST SALE AMOUNT
LAST SALE DATE
$755,000.00
CBOT FULL MEMBERSHIP
CLASS
With CBOE Exercise Right
Without CBOE Exercise Right
CBOE Exercise Right
BID
OFFER
$2,050,000.00
$2,125,000.00
$2,050,000.00
July 18, 2005
$0.00
0.00
N/A
June 20, 2005
$102,000.00
$145,000.00
$102,000.00
June 27, 2005
CBOE MEMBERSHIP SALES AND TRANSFERS
From
To
Price/Transfer
Date
Susquehanna Investment Group
Jeffrey R. Levin
Wolfson Ventures LP
Arclight Securities LLC
Gabriel Inc.
Samuel Sallerson
$740,000.00
$755,000.00
$700,000.00
7/15/05
7/18/05
7/21/05
Page 2
July 22, 2005
Volume 33, Number 29
Chicago Board Options Exchange
MEMBERSHIP INFORMATION FOR 7/14/05 THROUGH 7/20/05
MEMBERSHIPAPPLICATIONS RECEIVED FOR
WHICH A POSTING PERIOD IS REQUIRED
Member Organization Applicants
Date Posted
Spivey Trading, LLC
Daniel E. Spivey, Nominee
2489 Meadowbrook Rd.
Jackson, MS 39211
Daniel E. Spivey - Member
7/18/05
MEMBERSHIP LEASES
Nominee(s) / Inactive Nominee(s):
Termination Date
Derek Gordon (DEK)
Citadel Derivatives Group LLC
131 S. Dearborn, 37th Fl.
Chicago, IL 60603
7/18/05
Steven Zader (SDR)
Ronin Capital, LLC
230 S. LaSalle St., 4th Flr.
Chicago, IL 60605
7/18/05
EFFECTIVE MEMBERSHIPS
New Leases
Effective Date
Lessor: Michael A. Williams
Lessee: Hardcastle Trading USA LLC
Rate:
1.1486%
Term: Monthly
7/15/05
Lessor: Gabriel Inc.
Lessee: Prospect Trading LLC
Basilios T. Papanastoy, NOMINEE
Rate:
$2,640.80
Term: Daily
7/19/05
Terminated Leases
Termination Date
Lessor: Michael A. Williams
Lessee: Hardcastle Trading USA LLC
7/15/05
Lessor: Jeffrey R. Levin
7/19/05
Lessee: Prospect Trading LLC
Basilios T. Papanastoy (BTP), NOMINEE
MEMBERSHIP TERMINATIONS
Individual Members
CBT Registered For:
Eren Levi (ERN)
7/14/05
Sparta Group Of Chicago, LP
440 S. LaSalle, Suite 2101
Chicago, IL 60605
Type of Business to be Conducted: Market Maker
Scott N. Stoliar (SNS)
7/19/05
Harrison Trading Group, LLC
601 S. LaSalle - #200
Chicago, IL 60605
Type of Business to be Conducted: Market Maker
M. Eoin Mast
7/19/05
178 Mendham Road
Morristown, NJ 07960
Type of Business to be Conducted: Market Maker
Nominee(s) / Inactive Nominee(s):
Individual Members
CBT Registered For:
Termination Date
Ralph E. Burkee (BUP)
Citadel Derivatives Group LLC
131 S. Dearborn Street, 37th Floor
Chicago, IL 60603
7/18/05
Jeffery P. Thompson (MZU)
Canal Street Trading, LLC
440 S, LaSalle - Ste. 1600
Chicago, IL 60606
7/19/05
Ryan Michael Sellers (RZA)
Saen Options USA Inc.
440 S. LaSalle, Suite 1506
Chicago, IL 60605
7/19/05
Christopher A. Lake (LOC)
Saen Options USA Inc.
532 W. Eugenie Street
Chicago, IL 60614
7/19/05
Lessor(s):
Termination Date
Marshall C. Spiegel
1618 Sheridan Road
Wilmette, IL 60091
7/15/05
Jeffrey R. Levin
80 Lisa Lane - #1128
Athens, NY 12015
7/19/05
Effective Date
Effective Date
Timothy A. Kirchner (KXR)
7/14/05
ROQ Capital, LLC
2121 N. Racine
Chicago , IL 60614
Type of Business to be Conducted: Market Maker
Kristofor T. Anderson (KTA)
7/15/05
ROQ Capital, LLC
30 S. Wacker Dr., Ste 2009
Chicago, IL 60606
Type of Business to be Conducted: Market Maker
Jeffrey J. Herter (JXH)
7/18/05
ROQ Capital, LLC
30 S. Wacker, Ste. 2009
Chicago, IL 60606
Type of Business to be Conducted: Market Maker
Philip J. Fortier (FIL)
7/18/05
Man Securities Inc.
440 S. LaSalle, 20th Fl.
Chicago, IL 60605
Type of Business to be Conducted: Floor Broker
Member Organizations
CBT Registered For:
Effective Date
Link Strategies, LP
7/19/05
7 Alta Court
West Windsor, NJ 08550
Type of Business to be Conducted: Remote Market Maker
Page 3
July 22, 2005
Volume 33, Number 29
JOINT ACCOUNTS
Chicago Board Options Exchange
MEMBER ADDRESS CHANGES
New Participants
Acronym
Effective Date
Individual Members
Effective Date
Eren Levi
QUB
7/14/05
7/15/05
Timothy A. Kirchner
QOQ
7/14/05
Ethan Moeller
331 West 57th Street, Ste.400
New York, NY 10019
Timothy A. Kirchner
QXL
7/14/05
7/15/05
Kristofor T. Anderson
QOQ
7/15/05
Christopher A. Good
440 S. LaSalle - Ste. 19th Flr.
Chicago, IL 60605
Kristofor T. Anderson
QXL
7/15/05
7/15/05
Jeffrey J. Herter
QOQ
7/18/05
Garrett E. Graber
440 S. LaSalle - 19th Flr.
Chicago, IL 60605
Jeffrey J. Herter
QXL
7/18/05
7/15/05
Wade A. Fowler
QFT
7/18/05
Benjamin H. Szelag
440 S. LaSalle St., 19th Flr.
Chicago, IL 60605
Frank Hinrichs
QDH
7/20/05
7/15/05
Gavin K. Farley
QDH
7/20/05
Brian A. Scullion
440 S. LaSalle St., 19th Flr.
Chicago, IL 60605
New Accounts
Acronym
Effective Date
7/15/05
Mark E. Westcott
QDV
7/20/05
Mark Truelsen
440 S. LaSalle, 19th Flr.
Chicago, IL 60605
Marios K. Sinapoglou
QDS
7/20/05
Yoni B. Cohen
440 S. LaSalle, 19th Flr.
Chicago, IL 60605
7/15/05
Jean R. Hanrahan
440 S. LaSalle, 39th Flr.
Chicago, IL 60605
7/15/05
Wayne A. Jazwierski
440 S. LaSalle, 39th Flr.
Chicago, IL 60605
7/15/05
Mark J. Karrasch
440 S. LaSalle St. 39th Flr.
Chicago, IL 60605
7/15/05
B. Michael Kelly
440 S. LaSalle - 39th Flr.
Chicago, IL 60605
7/15/05
Jeffrey S. Latham
440 S. LaSalle, 39th Flr.
Chicago, IL 60605
7/15/05
William P. Yerby
440 S. LaSalle - 39th Flr.
Chicago, IL 60605
7/15/05
Michael A. Klaus
440 S. LaSalle, 39th Flr.
Chicago, IL 60605
7/15/05
Donn R. Farr
921 Wood Creek Drive
Melbourne, FL 32901
7/19/05
Thomas J. Hess
440 S. LaSalle, 19th Floor
Chicago, IL 60605
7/20/05
Paul Aronson
440 S. LaSalle, 19th Floor
Chicago, IL 60605
7/20/05
Brian J. Dowling
440 S. LaSalle, 19th Floor
Chicago, IL 60605
7/20/05
Terminated Participants Acronym
Termination Date
Ralph E. Burkee
CIT
7/18/05
Derek Gordon
CIT
7/18/05
Steven Zader
QRH
7/18/05
Steven Zader
QCD
7/18/05
Ryan Michael Sellers
QOS
7/19/05
Christopher A. Lake
QDH
7/19/05
Christopher A. Lake
QOS
7/19/05
CHANGES IN MEMBERSHIP STATUS
Individual Members
Effective Date
Brian A. Zielinski
7/14/05
From:
Nominee For Westward Capital LLC; Market Maker
To:
CBT Registered For Westward Capital LLC; Market
Maker
Erik M. Scheier
7/18/05
From:
Nominee For Group One Trading, LP; Market Maker/
Floor Broker
To:
CBT Registered For Group One Trading, LP; Market
Maker/ Floor Broker
Michael T. Brown
7/18/05
From:
CBT Registered For Merrill Lynch, Pierce, Fenner &
Smith, Inc.; Floor Broker
To:
Nominee For Merrill Lynch, Pierce, Fenner & Smith,
Inc.; Floor Broker
Mark T. Morse
7/20/05
From:
CBT Registered For TJM Investments, LLC; Floor
Broker
To:
Nominee For TJM Investments, LLC; Floor Broker
Robert M. Bleser
7/20/05
From:
Nominee For TJM Investments, LLC; Floor Broker
To:
CBT Registered For TJM Investments, LLC; Floor
Broker
Page 4
July 22, 2005
Volume 33, Number 29
Chicago Board Options Exchange
Effective Date
Effective Date
Michael A. Giangiorgi
440 S. LaSalle, 19th Floor
Chicago, IL 60605
7/20/05
Jonathon Coe
440 S. LaSalle, 19th Floor
Chicago, IL 60605
7/20/05
Matthew M. Koenig
440 S. LaSalle, 19th Floor
Chicago, IL 60605
7/20/05
John P. Eshoo
440 S. LaSalle, 19th Floor
Chicago, IL 60605
7/20/05
Timothy S. McGugan
440 S. LaSalle, 19th Floor
Chicago, IL 60605
7/20/05
Member Organizations
Effective Date
7/20/05
Ares Investment Fund LLC
331 West 57th Street, Ste. 400
New York, NY 10019
7/15/05
Matthew D. Peters
440 S. LaSalle, 19th Floor
Chicago, IL 60605
Steven Stefancic
440 S. LaSalle, 19th Floor
Chicago, IL 60605
7/20/05
RESEARCH CIRCULARS
The following Research Circulars were distributed between July 15 and July 21, 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 #RS05-495
July 15, 2005
NeighborCare, Inc. (“NCRX/QNY”)
Tender Offer FURTHER AMENDED and EXPIRATION
TIME/DATE REVISED by Omnicare, Inc. (“OCR”)
Research Circular #RS05-496
July 18, 2005
*****UPDATE*****UPDATE*****UPDATE*****
Toys “R” Us, Inc. (“TOY/WYT/VTY”) Proposed Merger
with Global Toys Acquisition, LLC
Research Circular #RS05-497
July 18, 2005
*****UPDATE – EX-DISTRIBUTION DATE REVISED*****
Liberty Media Corporation Series A
(“L/OCG/YCN & adj. YXS/VMZ”) Distribution of Shares of
Discovery Holding Company Class A (“DISCA”)
Ex-Distribution Date: July 21, 2005 (not July 22, 2005)
Research Circular #RS05-500
July 18, 2005
Internet HOLDRs Trust (“HHH/OHH/WHB”) Cash Distribution
Ex-Distribution Date: July 19, 2005
Research Circular #RS05-501
July 18, 2005
Mission Resources Corporation (“MSSN/QBE”)
Proposed Election Merger
with Petrohawk Energy Corporation (“HAWK/PQM”)
Research Circular #RS05-504
July 19, 2005
*****UPDATE – ANTICIPATED EFFECTIVE DATE REVISED*****
Toys “R” Us, Inc. (“TOY/VTY”) Proposed Merger
with Global Toys Acquisition, LLC
Research Circular #RS05-505
July 19, 2005
*****UPDATE*****UPDATE*****UPDATE*****
The Titan Corporation (“TTN”) Proposed Merger
with L-3 Communications Corporation (“LLL/OOY/YOO”)
Research Circular #RS05-507
July 19, 2005
Ask Jeeves, Inc. (“ASKJ/AUK/VQK”) Merger COMPLETED
with IAC/InterActiveCorp (“IACI/QTH/VSW/YOY”)
Research Circular #RS05-509
July 20, 2005
The Shell Transport and Trading Company, Public Limited
Company (“SC”) Proposed Merger/Scheme of Arrangement
EFFECTIVE
Research Circular #RS05-510
July 20, 2005
Royal Dutch Petroleum Company (“RD/OWG/YXD”)
Subsequent Exchange Offer by Royal Dutch Shell plc
Research Circular #RS05-512
July 20, 2005
Able Laboratories, Inc. (“ABRX/QAF”)
Underlying Symbol Change to “ABRXQ”
Effective Date: July 21, 2005
Research Circular #RS05-514
July 20, 2005
Western Wireless Corporation (“WWCA/WRQ/ONU/WEZ”)
Proposed Election Merger with ALLTEL Corporation (“AT/VTB/
WJH”)
Research Circular #RS05-515
July 21, 2005
*****UPDATE – REVISION TO ADJUSTED 2007 LEAP SYMBOL***** Western Wireless Corporation (“WWCA/WRQ/ONU/
WEZ”) Proposed Election Merger with ALLTEL Corporation
(“AT/VTB/WJH”)
Research Circular #RS05-516
July 21, 2005
Toys “R” Us, Inc. (“TOY/VTY”) Merger COMPLETED
with Global Toys Acquisition, LLC
July 27, 2005
Volume RB16, Number 30
Regulatory
Bulletin
The Constitution and Rules of the Chicago Board Options Exchange, Incorporated
(“Exchange”), in certain specific instances, require the Exchange to provide notice to the membership. The weekly Regulatory Bulletin is delivered to all effective members to satisfy this
requirement.
Copyright © 2004 Chicago Board Options Exchange, Incorporated
Regulatory
Circulars
Regulatory Circular RG05-62
(supersedes Regulatory Circular RG05-40)
INTER-EXCHANGE PROCEDURES IN VOLATILE MARKETS
FOR THIRD QUARTER 2005
As of July 1, 2005
CME (S&P 500® FUTURES)
NYSE ACTION
CBOT (DJIASM FUTURES)
CBOE ACTION
60 POINTS (5%) BELOW
PREVIOUS DAY’S SETTLEMENT
Limit comes into effect: On CME opening
(8:30 a.m.)
Trading halt: For 2 minutes if the offer is at
limit 10 minutes after limit is reached or at
2:30 p.m.
Limit no longer in effect: After the
2 minute halt or, if no halt, 10 minutes after
the limit is reached or otherwise at 2:30 p.m.
120 POINTS (10%) BELOW
PREVIOUS DAY’S SETTLEMENT
Under Normal Limits
Limit comes into effect: After the 55 point
(5%) limit or at 2:30 p.m.
Trading halts: Trading will halt for the following time periods if the futures contract
is limit offered under the following
circumstances:
During an NYSE trading halt: Until
NYSE ends its trading halt and 50% of
the underlying stocks (capitalization
weighted) have resumed trading.
When the DJIA advances (or declines)
200 points from the previous day's
close: Index arbitrage orders for S&P 500®
component stocks must be entered with
buy-minus (or sell-plus) instruction until the
advance or decline returns to within 100
points from previous day's close.
None required.
Except on the last business day before
their expiration, CBOE normally will restrict
exercise of American style, cash settled
index options during any trading halt
that occurs prior to 3:00 p.m. CBOE may
restrict exercise in equity options (other
than during the 10 business days before
their expiration), but it normally will not do
so because of trading halts.
Discretionary actions include trading halts
in individual stocks.
1050 DJIA POINTS (10%)
BELOW PREVIOUS DAY'S
CLOSING VALUE
Trading halts: Trading in all stocks halts
for the following time periods when the
DJIA reaches this value at the following
times:
Before 1:00 p.m.: for one hour;
From 1:00 p.m. but before 1:30 p.m.:
for 30 minutes;
From and after 1:30 p.m.:
no mandated trading halt
None required because of CME or CBOT
limit or NYSE actions; discretionary actions
include trading halts and suspensions.
1050 POINTS (10%) BELOW
PREVIOUS DAY'S
SETTLEMENT
Limit comes into effect: On CBOT opening (7:20 a.m.).
Trading halt: If the futures contract is
limit offered during an NYSE trading halt,
futures trading will halt until NYSE ends
its trading halt and 50% of the underlying stocks (capitalization weighted) have
resumed trading.
Limit no longer in effect: After futures
trading has resumed following an NYSE
trading halt or at 1:30 p.m.
Because CME or CBOT limit is reached:
None required; discretionary actions
include trading halts and suspensions (with
the exercise restrictions described above).
Because NYSE declares floor-wide
circuit breaker halt: Trading in all CBOE
securities halted during NYSE circuit
breaker halt (with the exercise
restrictions described above).
After 1:30 p.m., if no NYSE trading
halt is declared: For 2 minutes if the
contract is limit offered 10 minutes after
the limit is reached.
Limit no longer in effect: After a mandated
futures trading halt.
******
Under Second Day Limits (those applicable on a day after the futures contract
was limit offered at the 240 point (20%)
level at the close of trading).
Limit comes into effect: After the 55 point
(5%) limit, unless there is an NYSE trading
halt, in which case only the 20% limit applies
upon reopening.
Trading halts:
During an NYSE trading halt
(regardless whether the futures contract is limit offered): Until NYSE ends
its trading halt and 50% of the underlying
stocks (capitalization
weighted) have resumed trading.
If no NYSE trading halt is declared:
For 2 minutes if the contract is limit
offered 10 minutes after the limit is
reached or at 2:30 p.m.
Limit no longer in effect: After a mandated
futures trading halt or, if no halt, 10 minutes
after the limit is reached or otherwise at 2:30
p.m.
(OVER)
This information has been compiled by CBOE for general information purposes only, and therefore should not be considered complete or precise. Most matters discussed are subject to detailed exchange rules and to
the discretion of exchange officials. The rules of the various exchanges are subject to change and may not be reflected in this information. CBOE assumes no responsibility for any errors or omissions in the information
presented. In addition, this circular does not address specialized circumstances, such as the times that would be applicable on days when one or more underlying equity markets is scheduled to close trading earlier
than normal or the rules applicable to Chapter 30 securities. These specialized matters are covered in detail by exchange rules. All times listed are Central times.
“S&P” and “S&P 500” are trademarks of Mc-Graw Hill, Inc., and "DJIA" is a service mark of Dow Jones & Company, Inc., and neither company assumes any liability in connection with the trading of any contract based
on its indexes.
(Date of issuance: July 19, 2005)
INTER-EXCHANGE PROCEDURES IN VOLATILE MARKETS
(continued)
CME (S&P 500 FUTURES)
180 POINTS (15%)
BELOW PREVIOUS DAY'S
CLOSING VALUE
Under Normal Limits
NYSE ACTION
CBOT (DJIA FUTURES)
Regulatory Circular RG05-62
As of 7/1/05
CBOE ACTION
None required; discretionary actions
include trading halts and suspensions
(with the exercise restrictions described
above).
None required; discretionary actions include trading halts in individual stocks.
Limit comes into effect: After the 120
point (10%) limit.
Trading halts: For 2 minutes if the
contract is at limit 10 minutes after limit is
reached.
Limit no longer in effect: After any such
2 minute halt.
******
Under Second Day Limits
Limit comes into effect: After the 120
point (10%) limit, unless there is an NYSE
trading halt, in which case only the 20%
limit applies upon reopening.
Trading halts:
During an NYSE trading halt
(regardless whether the futures
contract is limit offered): Until NYSE
ends its trading halt and 50% of the
underlying stocks (capitalization
weighted) have resumed trading.
If no NYSE trading halt is declared:
For 2 minutes if the contract is limit
offered 10 minutes after the limit is
reached or at 2:30 p.m.
Limit no longer in effect: After a mandated futures trading halt or, if no halt,
10 minutes after the limit is reached or
otherwise at 2:30 p.m.
240 POINTS (20%) BELOW
PREVIOUS DAY'S
SETTLEMENT
Limit comes into effect: After the 180
point (15%) limit or, when Second Day
Limits are in effect, at 2:30 p.m. or after
trading resumes following an NYSE
trading halt.
Limit remains in effect for the remainder
of the trading day.
Trading halt:
2100 DJIA POINTS (20%)
BELOW PREVIOUS DAY'S
CLOSING VALUE
Trading halts: Trading in all stocks halts
for the following time periods when the
DJIA reaches this value at the following
times:
Before 12:00 p.m.: for two hours
From 12:00 p.m. but before 1:00
p.m.: for one hour
From and after 1:00 p.m.: for the
remainder of the day
(Normal Limits): If the futures
contract is limit offered during an
NYSE trading halt.
2100 POINTS (20%) BELOW
PREVIOUS DAY'S
SETTLEMENT
Limit comes into effect: After the 1050
point (10%) limit or at 1:30 p.m.
Trading halt: If the futures contract is
limit offered during an NYSE trading halt,
futures trading will halt until NYSE ends
its trading halt and 50% of the underlying stocks (capitalization weighted) have
resumed trading.
Limit no longer in effect: After futures
trading has resumed following an NYSE
trading halt.
Because CME or CBOT limit is
reached: None required; discretionary
actions include trading halts and suspensions (with the exercise restrictions
described above).
Because NYSE declares a floor wide
circuit breaker halt: Trading in all
CBOE securities halted during NYSE
circuit breaker halt (with the exercise
restrictions described above).
(Second Day Limits): If there is an
NYSE trading halt, regardless whether
the futures contract is limit offered.
Trading will resume when NYSE ends
its trading halt and 50% of the underlying stocks (capitalization weighted) have
resumed trading.
Settlement value will not be less than the
limit value, regardless of the value of the
cash index.
3150 DJIA POINTS (30%)
BELOW PREVIOUS DAY'S
CLOSING VALUE
The 240 point (20%) limit remains in
effect.
Settlement value will not be less than the
limit value, regardless of the value of the
cash index.
Trading halts and does not reopen for the
day.
3150 POINTS (30%)
BELOW PREVIOUS DAY'S
SETTLEMENT
Limit comes into effect: After the 2100
point (20%) limit.
Limit remains in effect for the remainder of
the trading day.
Trading halt: Trading shall halt for the rest
of the day if the futures contract is limit
offered at any time during the trading day
and the NYSE declares a trading halt for
the rest of the trading day.
If NYSE declares floor wide trading
halt for the remainder of the day:
CBOE halts trading for the remainder
of the day (with the exercise restrictions
described above).
Because CBOT limit is reached: None
required; discretionary actions include
trading halts and suspensions (with the
exercise restrictions described above).
For more information, call 1-888-OPTIONS or visit our Web site at www.cboe.com
Rule Changes,
Interpretations
and Policies
APPROVED RULE CHANGE
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-2005-24
1000 Spoke RAES Wheel
On July 7, 2005, the SEC approved Rule Change File No. SR-CBOE-2005-24, which filing
adds the 1000 Spoke RAES Wheel to the current procedures that apply to the assignment
of orders on RAES, with respect to Index Options Classes, for CBOE Market-Makers
logged on to participate on RAES (Securities Exchange Act Release No. 51992, 70 FR
40759 (July 14, 2005)). Any questions regarding the rule change may be directed to Dave
Doherty, Legal Division, at 312-786-7466. The text of the amended rules is set forth below.
New language is italicized.
Rule 6.8 – RAES Operations
(a) – (g)
No change.
*****
…Interpretations and Policies:
.01 - .05
No change.
.06 (a) In the exercise of their authority to determine the procedure for assigning
RAES-eligible orders to Participating Market-Makers for execution, the appropriate FPCs have determined that in the absence of any specified alternative assignment methodology, an assigned Participating Market-Maker is required to
buy/sell the entirety of each RAES order assigned to him up to the maximum size
of RAES-eligible orders in that class of options. Alternatively, the appropriate FPC
may specify that some or all options classes are subject to “Variable RAES”, the
“100 Spoke RAES Wheel”, or with respect to index option classes only, the “1000
Spoke RAES Wheel”. Other than immediately after the Commission initially approves the Exchange to use Variable RAES (in which case Variable RAES may
be implemented without the requisite notice), any time the appropriate FPC intends to discuss an issue related to the RAES allocation method the FPC must
provide at least three days’ advance notice to the Exchange’s membership and
must provide members with either the opportunity to provide written comments or
the opportunity to appear at the meeting, or both regarding the proposed change.
(b)
No change.
(c) Under the “100 Spoke RAES Wheel,” RAES orders would be assigned to
logged-in market makers based on the percentage of their in-person agency contracts traded in that class (excluding RAES contracts traded) compared to all of
the market-maker in-person agency contracts traded (excluding RAES contracts)
during the review period. The review period will be determined by the appropriate
Floor Procedure Committee and may be for any period not in excess of 10 trading
days within the previous 30 calendar days. The trading days within the review
period may be for non-consecutive trading days. The percentage distribution will
be calculated at the conclusion of each trading day and will be applied to the 100
Spoke RAES Wheel distribution on the following trading day. On each revolution
of the RAES wheel, subject to the exceptions described below, each participating
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July 27, 2005, Volume RB16, Number 30
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2005-24 continued
Market-Maker (who is logged onto RAES at the time) will be assigned enough contracts
to replicate his percentage of contracts on RAES that he traded in-person in that class
during the review period. A participation percentage will be calculated for each MarketMaker for each class that the Market-Maker trades. For this purpose all DPM Designees
of the same DPM unit will have their percentage aggregated into a single percentage for
the DPM unit.
Once a Market-Maker has logged onto RAES, he will be assigned contracts on the
RAES Wheel until his Market-Maker participation percentage has been met. This may
mean that multiple orders (or an order and a part of the succeeding order) will be assigned to the same Market-Maker on the Wheel.To understand how the RAES orders will
actually be allocated to Market-Makers to meet those percentages, one must understand the concepts of “spokes” and “wedges.” A “spoke” is 1% of the RAES wheel and
often may be equal to one contract. The appropriate Floor Procedure Committee may
determine the number of contracts that make up one spoke. Each market-maker logged
onto RAES for that class, regardless of his participation percentage, is entitled to be
assigned at least one spoke on every revolution of the RAES wheel. For example, if a
spoke equals one contract then there will be 100 contracts that will be assigned to
market-makers on every revolution of the RAES Wheel. If a spoke is defined as five
contracts then there will be 500 RAES contracts assigned to the participating marketmakers before the RAES wheel completes one revolution. Generally, the RAES Wheel
will consist of the number of spokes replicating the cumulative percentage of all marketmakers logged onto the system who have a participation percentage plus one spoke for
each market-maker that does not have a specific participation percentage.
A “wedge” is the maximum number of spokes that a market-maker may be consecutively assigned at any one time on the RAES Wheel. Because the size of the
wedge may be smaller than the number of contracts to which a particular marketmaker is entitled during one revolution of the RAES Wheel, that market-maker will
receive more than one turn during one revolution of the RAES wheel. The wedge
size will be variable, at the discretion of the appropriate Floor Procedure Committee
and may be different for different classes or the same for all classes.
The appropriate Floor Procedure Committee will notify the membership of each class of
options that is subject to the “100 Spoke RAES Wheel”.
(d) Under the “1000 Spoke RAES Wheel”, which may only be implemented in index
option classes, all of the terms and provisions set forth in CBOE Rule 6.8.06(c) with
respect to the 100 Spoke RAES Wheel shall apply to the 1000 Spoke RAES Wheel,
except that (i) the 1000 Spoke RAES Wheel is comprised of 1000 spokes, each of which
generally represents .1% of the 1000 Spoke RAES Wheel, and (ii) the appropriate Floor
Procedure Committee shall determine on a class-by-class basis whether the assignment of RAES orders to logged-in Market-Makers is based on the percentage of a
Market-Maker’s contracts traded in that index option class (excluding RAES contracts
traded) compared to all Market-Maker contracts traded (excluding RAES contracts)
during the review period, or the percentage of the Market-Maker’s in-person agency
contracts traded in that class (excluding RAES contracts traded) compared to all Market-Maker in-person agency contracts traded (excluding RAES contracts) during the
review period.
The appropriate Floor Procedure Committee will notify the membership of each class of
options that is subject to the “1000 Spoke RAES Wheel” and the method of allocation for
RAES orders under the 1000 Spoke RAES Wheel.
(e) The effectiveness of any other methodology for assigning RAES orders to Participating Market-Makers that may be adopted by an appropriate FPC shall be conditioned
upon its having been filed with the Securities and Exchange Commission pursuant to
Section 19(b) of the Securities Exchange Act of 1934.
.07 - .09
July 27, 2005, Volume RB16, Number 30
No change.
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Policies continued
SR-CBOE-2004-63
Short Term Option Series
On July 12, 2005, the SEC approved Rule Change File No. SR-CBOE-2004-63, which filing
amends CBOE rules to allow the listing of equity and index option series that expire one
week after being opened for trading (“Short Term Option Series”). (Securities Exchange
Act Release No. 52011, 70 FR 41451 (July 19, 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 1.1 - Definitions
When used in these Rules, unless the context otherwise requires:
(a) Any term defined in Article I of the constitution and not otherwise defined in
this Chapter shall have the meaning assigned to such term in such Article I.
(b) – (aaa)
No Change.
Short Term Option
(bbb) Short Term Option Series. A Short Term Option Series is a series in an
option class that is approved for listing and trading on the Exchange in which the
series is opened for trading on any Friday that is a business day and that expires
on the next Friday that is a business day. If a Friday is not a business day, the
series may be opened (or shall expire) on the first business day immediately prior
to that Friday.
*****
Rule 5.1 – Designation of Securities
Rule 5.1. Securities dealt in on the Exchange are option contracts, each of which
is designated by reference to the issuer of the underlying security, expiration
month or expiration date, exercise price and type (put or call).
*****
Rule 5.5. Option Contracts Open for Trading
(a) After a particular class of options (call option contracts or put option contracts
relating to a specific underlying security or calculated index) has been approved
for listing and trading on the Exchange, the Exchange from time to time may open
for trading series of options on that class. Only options contracts of series currently open for trading may be purchased or written on the Exchange. Prior to the
opening of trading in a given series, the Exchange will fix the expiration month,
year and exercise price of that series. For Short Term Option Series, the Exchange will fix a specific expiration date and exercise price, as provided in paragraph (d).
(b) Except for Short Term Option Series, at the commencement of trading on the
Exchange of a particular class of options, the Exchange usually will open three
series of options for each expiration month in that class. The exercise price of
each series will be fixed at a price per share, with at least one strike price above
and one strike price below the price at which the underlying stock is traded in the
primary market at about the time that class of options is first opened for trading on
the Exchange. Paragraph (d) will govern the procedures for opening Short Term
Options Series.
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July 27, 2005, Volume RB16, Number 30
Rule Changes,
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SR-CBOE-2005-24 continued
(c) No Change.
(d) Short Term Option Series Pilot Program. After an option class has been approved for listing and trading on the Exchange, the Exchange may open for trading
on any Friday that is a business day (“Short Term Option Opening Date”) series of
options on that class that expire on the next Friday that is a business day (“Short
Term Option Expiration Date”). If the Exchange is not open for business on a
Friday, the Short Term Option Opening Date will be the first business day immediately prior to that Friday. Similarly, if the Exchange is not open for business on a
Friday, the Short Term Option Expiration Date will be the first business day immediately prior to that Friday.
Regarding Short Term Option Series, no new Short Term Option Series may be
added after the open of business on the Short Term Option Opening Date and no
Short Term Option Series may expire in the same week in which monthly option
series on the same class expire.
The Exchange may continue to list Short Term Option Series until the Short Term
Option Series Pilot Program expires on July 12, 2006.
. . . Interpretations and Policies
.01 - .02
No Change.
.03 Except for Short Term Option Series, the Exchange usually will open four expiration months for each class of options open for trading on the Exchange: the first
two being the two nearest months, regardless of the quarterly cycle on which that
class trades; the third and fourth being the next two nearest term months (May and
June) and the next two expiration months of the cycle (July and October).When the
May series expires, the Exchange would add January series. When the June series
expires, the Exchange would add August series as the next nearest month, and
would not add April.
Regarding Short Term Option Series, the Exchange may select up to five currently
listed option classes on which Short Term Option Series may be opened on any
Short Term Option Opening Date. In addition to the five-option class restriction, the
Exchange also may list Short Term Option Series on any option classes that are
selected by other securities exchanges that employ a similar Pilot Program under
their respective rules. For each option class eligible for participation in the Short
Term Option Series Pilot Program, the Exchange may open up to five Short Term
Option Series for each expiration date in that class. The strike price of each Short
Term Option Series will be fixed at a price per share, with at least two strike prices
above and two strike prices below the value of the underlying security or calculated
index value at about the time that Short Term Option Series is opened for trading on
the Exchange.
.04 - .08 No Change.
.09 The interval between strike prices on Short Term Option Series shall be the
same as the strike prices for series in that same option class that expire in accordance with the normal monthly expiration cycle.
*****
July 27, 2005, Volume RB16, Number 30
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Rule Changes,
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SR-CBOE-2005-24 continued
Rule 24.1 Definitions
(a) – (x) No Change.
Short Term Option Series
(y) The term “Short Term Option Series” means, for the purposes of Chapter XXIV,
a series in an index option class that is approved for listing and trading on the
Exchange in which the series is opened for trading on any Friday that is a business day and that expires on the next Friday that is a business day. If a Friday is
not a business day, the series may be opened (or shall expire) on the first business day immediately prior to that Friday.
*****
Rule 24.4 Position Limits for Broad-Based Index Options
(a) – (d) No Change.
(e) Positions in Short Term Option Series shall be aggregated with positions in
options contracts on the same index.
Rule 24.4A
Position Limits for Industry Index Options
(a) – (c) No Change.
(d) Positions in Short Term Option Series shall be aggregated with positions in
options contracts on the same index.
*****
Rule 24.9 Terms of Index Option Contracts
Rule 24.9(a) General.
(1)
No Change.
(2)
Expiration Months. Index option contracts may expire at three-month
intervals or in consecutive months. The Exchange may list up to six expiration
months at any one time, but will not list index options that expire more than twelve
months out. Notwithstanding the preceding restriction, until the expiration in November 2004, the Exchange may list up to seven expiration months at any one
time for the SPX, MNX and DJX index option contracts, provided one of those
expiration months is November 2004.
Short Term Option Series Pilot Program. Notwithstanding the preceding restriction, after an index option class has been approved for listing and trading on the
Exchange, the Exchange may open for trading on any Friday that is a business
day (“Short Term Option Opening Date”) series of options on that class that expire
on the next Friday that is a business day (“Short Term Option Expiration Date”). If
the Exchange is not open for business on a Friday, the Short Term Option Opening Date will be the first business day immediately prior to that Friday. Similarly, if
the Exchange is not open for business on a Friday, the Short Term Option Expiration Date will be the first business day immediately prior to that Friday.
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SR-CBOE-2005-24 continued
The Exchange may continue to list Short Term Option Series until the Short Term
Option Series Pilot Program expires on July 12, 2006.
Regarding Short Term Option Series, the Exchange may select up to five currently
listed option classes on which Short Term Option Series may be opened on any
Short Term Option Opening Date. In addition to the five-option class restriction, the
Exchange also may list Short Term Option Series on any option classes that are
selected by other securities exchanges that employ a similar Pilot Program under
their respective rules. For each index option class eligible for participation in the
Short Term Option Series Pilot Program, the Exchange may open up to five Short
Term Option Series on index options for each expiration date in that class. The
strike price of each Short Term Option Series will be fixed at a price per share, with
at least two strike prices above and two strike prices below the calculated value of
the underlying index at about the time that Short Term Option Series is opened for
trading on the Exchange. No Short Term Option Series on an index option class
may expire in the same week during which any monthly option series on the same
index class expire or, in the case of QIXs, in the same week during which the QIXs
expire.
(3) – (5)
No Change.
(b) – (c)
No Change.
. . . Interpretations and Policies:
.01 - .11
No Change.
.12 The interval between strike prices on Short Term Option Series shall be the
same as the strike prices for series in that same index option class that expire in
accordance with the normal monthly expiration cycle.
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-2005-56
Six-Month Extension for Market-Maker Quote Size Pilot
Program
On July 15, 2005, the Exchange filed Rule Change File No. SR-CBOE-2005-56, which filing
amends CBOE Rule 8.7 to extend for an additional six months CBOE’s Pilot Program that
allows Market-Makers to submit an undecremented electronic quotation of a size as low as
1-contract (“1-up”) when the underlying primary market for the option disseminates a 1-up
market. Any questions regarding the rule change may be directed to Patrick 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 [bracketed and stricken
out].
Rule 8.7 – Obligations of Market-Makers
(a)-(c)
July 27, 2005, Volume RB16, Number 30
No change.
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SR-CBOE-2005-55 continued
(d)
Market Making Obligations in Hybrid Classes
The following obligations in this paragraph (d) are only applicable to Market-Makers trading classes on the CBOE Hybrid System and only in those Hybrid classes.
As such, this paragraph has no applicability to non-Hybrid classes. This paragraph is not applicable to Remote Market-Makers, who instead will be subject to
the obligations imposed by Rule 8.7(e). Unless otherwise provided in this Rule,
Market-Makers trading classes on the Hybrid System remain subject to all obligations imposed by CBOE Rule 8.7. To the extent another obligation contained
elsewhere in Rule 8.7 is inconsistent with an obligation contained in paragraph (d)
of Rule 8.7 with respect to a class trading on Hybrid, this paragraph (d) shall
govern trading in the Hybrid class.
These requirements are applicable on a per class basis depending upon the percentage of volume a Market-Maker transacts electronically versus in open outcry.
With respect to making this determination, the Exchange will monitor MarketMakers’ trading activity every calendar quarter to determine whether they exceed
the thresholds established in this paragraph (d). If a Market-Maker exceeds the
threshold established below, the obligations contained in (d)(ii) will be effective the
next calendar quarter.
For a period of ninety (90) days commencing immediately after a class begins
trading on the Hybrid system, the provisions of paragraph (d)(i) shall govern trading in that class.
(i) Market-Maker Trades Less Than 20% Contract Volume Electronically:
If a Market-Maker on the CBOE Hybrid System never transacts more than
20% (i.e., he trades 20% or less) of his contract volume electronically in an
appointed Hybrid class during any calendar quarter, the following provisions
shall apply to that Market-Maker with respect to that class:
(A)
No change.
(B)
Continuous Electronic Quoting Obligation: The Market-Maker will
not be obligated to quote electronically in any designated percentage of
series within that class. If a Market-Maker quotes electronically, its
undecremented quote must be for at least ten contracts (“10-up”), unless
the underlying primary market disseminates a 100-share quote, in which
case the Market-Maker’s undecremented quote may be for as low as 1contract (“1-up”). The ability to quote 1-up when the underlying primary
quotes 100 shares is expressly conditioned on the process being automated (i.e., a Market-Maker may not manually adjust his quotes to reflect 1-up sizes). Quotes must automatically return to at least 10-up
when the underlying primary market no longer disseminates a 100-share
quote. Market-Makers that have not automated this process may not
avail themselves of the relief provided herein. The ability to quote 1-up
shall operate on a pilot basis and shall terminate [August 17, 2005] February 17, 2006.
RB10
(C)
No change.
(D)
No change.
July 27, 2005, Volume RB16, Number 30
Rule Changes,
Interpretations and
Policies continued
SR-CBOE-2004-56 continued
(ii) Market-Maker Trades More Than 20% Contract Volume Electronically:
If a Market-Maker on the CBOE Hybrid System transacts more than 20% of
his contract volume electronically in an appointed Hybrid class during any
calendar quarter, commencing the next calendar quarter he will be subject to
the following quoting obligations in that class for as long as he remains in that
class:
(A)
No change.
(B)
Continuous Quoting Obligation: A Market-Maker will be required
to maintain continuous electronic two-sided quotes for at least ten contracts (undecremented size) in 60% of the series of his/her appointed
classes. If the underlying primary market disseminates a 100-share quote,
a Market-Maker’s undecremented quote may be for as low as 1-contract
(“1-up”), however, this ability is expressly conditioned on the process being
automated (i.e., a Market-Maker may not manually adjust his quotes to
reflect 1-up sizes). Quotes must automatically return to at least 10-up
when the underlying primary market no longer disseminates a 100-share
quote. Market-Makers that have not automated this process may not avail
themselves of the relief provided herein. The ability to quote 1-up shall
operate on a pilot basis and shall terminate [August 17, 2005] February 17,
2006.
(C)
No change.
(e)
Obligations of Remote Market-Makers (RMMs): The following obligations
apply only to RMMs.
(i)
RMMs must provide continuous two-sided, legal-width quotations
in 60% of the series of their appointed classes. The initial size of an RMM’s quote
must be for at least ten contracts (undecremented size). The Exchange may consider exceptions to this quoting requirement based on demonstrated legal or regulatory requirements or other mitigating circumstances (e.g., excused leaves of absence, personal emergencies, or equipment problems).
If the underlying primary market disseminates a 100-share quote, an RMM’s
undecremented quote may be for as low as 1-contract (“1-up”), however, this ability
is expressly conditioned on the process being automated (i.e., an RMM may not
manually adjust its quotes to reflect 1-up sizes). Quotes must automatically return
to at least 10-up when the underlying primary market no longer disseminates a 100share quote. RMMs that have not automated this process may not avail themselves of the relief provided herein. The ability to quote 1-up shall operate on a pilot
basis and shall terminate [August 17, 2005] February 17, 2006.
(ii) – (vi) No change.
July 27, 2005, Volume RB16, Number 30
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