August 5, 2005
Exchange
Bulletin
Volume 33, Number 31
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, AUGUST 5, 2005
CLASS
BID
CBOE
$700,000.00
OFFER
LAST SALE AMOUNT
LAST SALE DATE
$723,000.00
August 1, 2005
LAST SALE AMOUNT
LAST SALE DATE
$725,000.00
CBOT FULL MEMBERSHIP
CLASS
BID
With CBOE Exercise Right
OFFER
$2,100,000.00
$2,365,000.00
$2,225,000.00
July 25, 2005
Without CBOE Exercise Right
$0.00
$0.00
N/A
June 20, 2005
CBOE Exercise Right
$0.00
$145,000.00
$102,000.00
June 26, 2005
CBOE MEMBERSHIP SALES AND TRANSFERS
From
To
Price/Transfer
Date
Breakwater Equities LLC
Justin Steinberg
$723,000.00
8/1/05
Page 2
August 5, 2005
Volume 33, Number 31
Chicago Board Options Exchange
MEMBERSHIP INFORMATION FOR 7/28/05 THROUGH 8/3/05
Effective Date
MEMBERSHIP APPLICATIONS RECEIVED FOR
WHICH A POSTING PERIOD IS REQUIRED
Member Organization Applicants
Date Posted
PJMJDS, LLC
9235 S. Winchester
Chicago, IL 60620
Patrick J. McDermott - Member
James D. Sullivan - Member
8/2/05
TPIS LLC
William J. Sullivan, Nominee
2290 Linden Ave.
Highland Park, IL 60035
William J. Sullivan - Manager
Scott W. Witten - Manager
John A. Witten - Manager
7/28/05
MEMBERSHIP LEASES
New Leases
Effective Date
Lessor:
Lessee:
Rate:
Evan W. Mandel
8/1/05
Merrill Lynch Professional Clearing Corp.
1.25%
Term: Monthly
Lessor:
Lessee:
Rate:
Patrick J. English
8/1/05
Merrill Lynch Professional Clearing Corp.
1.25%
Term: Monthly
Lessor:
Lessee:
Abe J. Matthew
X-Change Financial Access LLC
William G. Hohenadel, Jr., NOMINEE
1.25%
Term: Monthly
8/1/05
8/1/05
Rate:
Bull Partnership
CTC LLC
Daniel DeCore, NOMINEE
1.25%
Term: Monthly
Lessor:
Lessee:
Rate:
Mario D’Agostino
Wolverine Trading LLC
1.25%
Term: Monthly
8/1/05
Lessor:
Lessee:
Rate:
Gabriel Inc.
CTC LLC
1.25%
8/1/05
Lessor:
Lessee:
Rate:
Rosalia Wilde
SLK-Hull Derivatives LLC
1.25%
Term: Monthly
8/1/05
Lessor:
Lessee:
8/1/05
Rate:
Byrd Trading LLC
Westward Capital LLC
Jeffrey S. Dalton, NOMINEE
1.25%
Term: Monthly
Lessor:
Lessee:
Rate:
Arclight Securities, LLC
Wolverine Trading LLC
1.25%
Term: Monthly
8/1/05
Lessor:
Gerald and Carol Reed Family
Limited Partnership
8/1/05
Merrill Lynch Professional Clearing Corp.
1.25%
Term: Monthly
Rate:
Lessor:
Lessee:
Lessee:
Rate:
Lessor:
Lessee:
Rate:
Term: Monthly
Gary S. Bell
Fawcett Trading, LLC
Wendy A. Fawcett, NOMINEE
1.125%
Term: Monthly
8/1/05
Lessor:
Lessee:
Rate:
Ruth I. Kahn
SLK-Hull Derivatives LLC
1.25%
Term: Monthly
8/1/05
Lessor:
Lessee:
Rate:
Christopher M. Wheaton Inc.
Man Securities Inc.
1.25%
Term: Monthly
8/1/05
Lessor:
Lessee:
8/2/05
Rate:
Justin Steinberg
Ronin Capital, LLC
Brandon Cone, NOMINEE
1.25%
Term: Monthly
Lessor:
Lessee:
Rate:
David Gerstel
SLK-Hull Derivatives LLC
1.25%
Term: Monthly
8/3/05
Terminated Leases
Termination Date
Lessor:
Lessee:
Evan W. Mandel
Harrison Trading Group, LLC
Arthur B. Gregory (RTB), NOMINEE
7/29/05
Lessor:
Lessee:
Bull Partnership
Russell A. Bennett (NET)
8/1/05
Lessor:
Lessee:
Ruth I. Kahn
8/1/05
X-Change Financial Access LLC
William G. Hohenadel, Jr. (WGH), NOMINEE
Lessor:
Gerald and Carol Reed Family
Limited Partnership
8/1/05
Intelligent Market Trading Company LLC
David Y. Hu (HUX), NOMINEE
Lessee:
Lessor:
Lessee:
Rosalia Wilde
Patrick J. Veech (SMU)
8/1/05
Lessor:
Lessee:
Abe J. Matthew
DRO WST Trading LLC
8/1/05
Lessor:
Lessee:
Byrd Trading LLC
CMZ Trading, LLC
Davis J. Johnston (DJJ), NOMINEE
8/1/05
Lessor:
Lessee:
Arclight Securities, LLC
PTR, Incorporated
8/1/05
Lessor:
Lessee:
Patrick J. English
Sunset Securities LLC
Michael N. Suarez (ILL), NOMINEE
8/1/05
Lessor:
Lessee:
Gary S. Bell
8/1/05
BOTTA Capital Management LLC
Kevin M. Luthringshausen (LEX), NOMINEE
Lessor:
Lessee:
Gabriel Inc.
8/1/05
Prospect Trading LLC
Basilios T. Papanastoy (BTP), NOMINEE
Lessor:
Lessee:
Mario D’Agostino
Michael T. Stowick (MTS)
8/1/05
Lessor:
Lessee:
Breakwater Equities LLC
Ronin Capital, LLC
Brandon Cone (SAN), NOMINEE
8/2/05
Lessor:
Lessee:
Hartz Construction Company, Inc.
SPO II LLC
Mark A. Esposito (SPO), NOMINEE
8/2/05
Lessor:
Lessee:
VCF, Inc.
Options Pro Consulting, LLC
8/3/05
Page 3
August 5, 2005
Volume 33, Number 31
Chicago Board Options Exchange
Termination Date
Lessor:
Lessee:
David Gerstel
Goldman Sachs & Co.
8/3/05
MEMBERSHIP TERMINATIONS
Individual Members
Effective Date
Doug J. Hobbs (GOO)
Citadel Derivatives Group LLC
131 S. Dearborn, 37th Floor
Chicago, IL 60603
8/1/05
Anthony K. House (AKH)
Citadel Derivatives Group LLC
2512 Maple Ave.
Northbrook, IL 60062
8/1/05
Donald F. Urbas, Jr. (URB)
Rubicon Investments LLC
440 S. LaSalle, Suite 1751
Chicago, IL 60605
8/1/05
Melissa Abeyta (MNA)
Citadel Derivatives Group LLC
131 S. Dearborn, 37th Floor
Chicago, IL 60603
8/1/05
Brian J. Barrett (BJB)
Nomura Securities International Inc.
77 W. Wacker, Suite 700
Chicago, IL 60601
8/3/05
Lessee(s):
Termination Date
Russell A. Bennett (NET)
440 S. LaSalle, Suite 2101
Chicago, IL 60605
8/1/05
Michael T. Stowick (MTS)
606 S. Highland Ave.
Arlington Heights, IL 60005
8/1/05
Patrick J. Veech (SMU)
120 Old Green Bay Rd
Winnetka, IL 60093
8/1/05
Nominee(s) / Inactive Nominee(s):
Termination Date
CBT Exercisers:
Termination Date
Walter A. Fiorentini (GFN)
440 S. LaSalle, Suite 2100
Chicago, IL 60605
7/29/05
CBT Registered For:
Termination Date
John J. Massarelli (OLB)
Equitec Proprietary Markets, LLC
111 W. Jackson, 20th Floor
Chicago, IL 60604
7/28/05
Matthew W. Kingsbury (KSY)
Equitec Proprietary Markets, LLC
111 W. Jackson, 20th Floor
Chicago, IL 60604
7/28/05
David Campione (DCP)
Cornerstone Trading, LLC
440 S. LaSalle, Suite 1900
Chicago, IL 60605
8/1/05
Patrick R. Carroll (PRC)
Citadel Derivatives Group LLC
10140 S. Pulaski
Oak Lawn, IL 60453
8/1/05
Michael A. Marston (IWA)
Citadel Derivatives Group LLC
131 S. Dearborn, 37th Floor
Chicago, IL 60603
8/1/05
Jude W. Khin (KHN)
Citadel Derivatives Group LLC
633 S. Plymouth Ct., #703
Chicago, IL 60605
8/1/05
William K. Lee (WKL)
Pacific Trading Group, LLC
440 S. LaSalle, Suite 752
Chicago, IL 60605
7/28/05
Timothy G. Lutz (TGL)
Citadel Derivatives Group LLC
749 Spruce Road
Frankfort, IL 60423
8/1/05
Arthur B. Gregory (RTB)
Harrison Trading Group, LLC
601 S. LaSalle, Suite 200
Chicago, IL 60605
7/29/05
James H. Gray, III (HOT)
Citadel Derivatives Group LLC
131 S. Dearborn, 37th Floor
Chicago, IL 60603
8/1/05
Franklin K. Chow (VPO)
Pacific Trading Group, LLC
6140 Tyrnbury Dr.
Lisle, IL 60532
8/1/05
Christopher Butler (CBO)
Trinity Trading, Inc.
10100 S. Spaulding
Evergreen Park, IL 60805
8/1/05
David G. MacKimm (MKM)
Citadel Derivatives Group LLC
1726 Riverside Ct.
Glenview, IL 60025
8/1/05
John C. Hamilton, Sr. (JZH)
Citadel Derivatives Group LLC
131 S. Dearborn, 37th Floor
Chicago, IL 60603
8/1/05
Basilios T. Papanastoy (BTP)
Prospect Trading LLC
440 S. LaSalle, Suite 720A
Chicago, IL 60605
8/1/05
Young Il Lee (YNG)
BOG-LEE, LLC
440 S. LaSalle, Suite 618
Chicago, IL 60605
8/1/05
Christopher M. Wheaton (WTS)
Christopher M. Wheaton Inc.
1909 W. Nelson
Chicago, IL 60657
8/1/05
H. Thomas Hampton (TMY)
Citadel Derivatives Group LLC
3447 N. Rutherford
Chicago, IL 60634
8/1/05
Benedict Q. Ng (IRN)
Goldman Sachs & Co.
440 S. LaSalle, 3rd Floor
Chicago, IL 60605
8/2/05
Page 4
August 5, 2005
Matt Edward Minnerick (MEM)
Goldman Sachs & Co.
440 S. LaSalle, 3rd Floor
Chicago, IL 60605
Volume 33, Number 31
Termination Date
8/2/05
Mark A. Esposito (SPO)
SPO II LLC
3932 Highland Avenue
Downers Grove, IL 60515-1503
8/2/05
Joshua David Aling (IMJ)
Goldman Sachs & Co.
131 S. Dearborn
Chicago, IL 60603
8/2/05
Rodney W. Sitter (RWS)
Options Pro Consulting, LLC
221 Sandalwood Dr.
Naperville, IL 60540-7330
8/3/05
Redmond E. Lyons-Keefe (REK)
Susquehanna Investment Group
175 W. Jackson, Suite 1700
Chicago, IL 60604
8/3/05
Andrew Robert Elwell (LWL)
Goldman Sachs & Co.
131 S. Dearborn
Chicago, IL 60605
8/3/05
Chicago Board Options Exchange
Nominee(s) / Inactive Nominee(s):
Effective Date
Franklin K. Chow (VPO)
Pacific Trading Group, LLC
6140 Tyrnbury Dr.
Lisle, IL 60532
Type of Business to be Conducted: Market Maker
7/29/05
Wendy A. Fawcett (WND)
Fawcett Trading, LLC
440 S. LaSalle, Suite 950
Chicago, IL 60605
Type of Business to be Conducted: Market Maker
8/1/05
Adam R. Walls (AGP)
Cutler Group, LP
440 S. LaSalle, Suite 1124
Chicago, IL 60605
Type of Business to be Conducted: Market Maker
8/3/05
CBT Registered For:
Effective Date
Stuckey LLC
5419 S. Harper, #313
Chicago, IL 60615
Type of Business to be Conducted: Market Maker
8/1/05
JOINT ACCOUNTS
Member Organizations
New Participants
Acronym
Effective Date
David M. Wheaton
QLJ
7/28/05
New Accounts
Acronym
Effective Date
MLF Merrill Lynch
Professional RMM
TOR
8/1/05
MLH Merrill Lynch
Professional RMM
TOR
8/1/05
MLI Merrill Lynch
Professional RMM
TOR
8/1/05
Terminated Participants
Acronym
Termination Date
John J. Massarelli
QAM
7/28/05
John J. Massarelli
QFW
7/28/05
John J. Massarelli
QFY
7/28/05
CBT Registered For:
Termination Date
Trinity Trading, Inc.
10100 S. Spaulding
Evergreen Park, IL 60805
8/1/05
BOG-LEE, LLC
440 S. LaSalle, Suite 618
Chicago, IL 60605
8/1/05
Rubicon Investments LLC
440 S. LaSalle, Suite 753
Chicago, IL 60605
8/1/05
Lessee(s):
Termination Date
SPO II LLC
440 S. LaSalle, Suite 1600
Chicago, IL 60605
8/2/05
Lessor(s):
Termination Date
John J. Massarelli
QJM
7/28/05
Breakwater Equities LLC
311 S. Wacker, Suite 4850
Chicago, IL 60606
8/2/05
John J. Massarelli
QJP
7/28/05
John J. Massarelli
QRQ
7/28/05
John J. Massarelli
QSC
7/28/05
Matthew W. Kingsbury
QAM
7/28/05
Matthew W. Kingsbury
QSC
7/28/05
William K. Lee
QFN
7/28/05
Arthur B. Gregory
QRL
7/29/05
EFFECTIVE MEMBERSHIPS
CBT Exercisers:
Effective Date
Patrick D. Lusk (PLA)
418 W. Franklin Ave.
Naperville, IL 60540
Type of Business to be Conducted: Market Maker
8/1/05
CBT Registered For:
Effective Date
Patrick R. Carroll
CIT
8/1/05
Nathan R. Stuckey (CHE)
Stuckey LLC
440 S. LaSalle - Ste. 618
Chicago, IL 60605
Type of Business to be Conducted: Market Maker
8/1/05
David G. MacKimm
CIT
8/1/05
Michael A. Marston
CIT
8/1/05
Timothy G. Lutz
CIT
8/1/05
Page 5
August 5, 2005
Volume 33, Number 31
Termination Date
Marc I. Beilinson
CIT
8/1/05
Jude W. Khin
CIT
8/1/05
James H. Gray, III
CIT
8/1/05
Christopher Butler
QUQ
8/1/05
John C. Hamilton, Sr.
CIT
8/1/05
H. Thomas Hampton
CIT
8/1/05
Doug J. Hobbs
CIT
8/1/05
Anthony K. House
CIT
8/1/05
Berton Rubin
CIT
8/1/05
Basilios T. Papanastoy
QGR
8/1/05
Basilios T. Papanastoy
QPV
8/1/05
Melissa Abeyta
CIT
8/1/05
Benedict Q. Ng
QKG
8/2/05
Benedict Q. Ng
QRA
8/2/05
Benedict Q. Ng
QZQ
8/2/05
Matt Edward Minnerick
QKG
8/2/05
Matt Edward Minnerick
QRA
8/2/05
Matt Edward Minnerick
QZQ
8/2/05
Joshua David Aling
QZQ
8/2/05
Joshua David Aling
QKG
8/2/05
Joshua David Aling
QRA
8/2/05
Redmond E. Lyons-Keefe
QGS
8/3/05
Andrew Robert Elwell
QKG
8/3/05
Andrew Robert Elwell
QZQ
8/3/05
Andrew Robert Elwell
QRA
8/3/05
Terminated Accounts
Acronym
Termination Date
Basilios T. Papanastoy
QRP
8/1/05
Thomas Papoutsis
QRP
8/2/05
CHANGES IN MEMBERSHIP STATUS
Individual Members
Effective Date
Suresh Srinivasan
7/29/05
From:
Nominee For Holland Trading House LLC; Market Maker
To:
Nominee For Holland Trading House LLC; Remote
Market Maker
Chicago Board Options Exchange
Effective Date
Andrew J. Larsen
7/29/05
From:
Nominee For Holland Trading House LLC; Market Maker
To:
Nominee For Holland Trading House LLC; Remote
Market Maker
Brad Koeppen
7/29/05
From:
Nominee For Holland Trading House LLC; Market Maker
To:
Nominee For Holland Trading House LLC; Remote
Market Maker
Michael N. Suarez
8/1/05
From:
Nominee For Sunset Securities LLC; Market Maker
To:
CBT Registered For Sunset Securities LLC; Market
Maker
Ryan N. Noto
8/1/05
From:
Nominee For Blue Capital Group LLC; Market Maker
To:
CBT Registered For Blue Capital Group LLC; Market
Maker
Marc I. Beilinson
8/1/05
From:
Lessor/CBT Registered For Citadel Derivatives Group
LLC; Market Maker
To:
Lessor
Berton Rubin
8/1/05
From:
Lessor/CBT Registered For Citadel Derivatives Group
LLC; Market Maker
To:
Lessor
Justin Steinberg
8/2/05
From:
CBT Registered For McLaughlin Capital, LLC; Market
Maker
To:
Lessor/CBT Registered For McLaughlin Capital, LLC;
Market Maker
Steven Lee
8/3/05
From:
Nominee For Cutler Group, LP; Market Maker
To:
CBT Registered For Cutler Group, LP; Market Maker
Member Organizations
Effective Date
Sunset Securities LLC
8/1/05
From:
Lessee/Member Organization Affiliated with a CBT
Registered For; Associated with a Market Maker
To:
Member Organization Affiliated with a CBT Registered
For; Associated with a Market Maker
Prospect Trading LLC
8/1/05
From:
Lessee/Member Organization Affiliated with a CBT
Registered For; Associated with a Market Maker
To:
Member Organization Affiliated with a CBT Registered
For; Associated with a Market Maker
Merrill Lynch Professional Clearing Corp.
8/1/05
From:
Lessor/Owner/Non-Member Customer Business;
Associated with a Market Maker/Floor Broker
To:
Lessor/Owner/Lessee/Non-Member Customer Business;
Associated with a Market Maker/Floor Broker/Remote
Market Maker
Christopher M. Wheaton, Inc.
8/1/05
From:
Owner; Associated with a Market Maker
To:
Lessor
Page 6
August 5, 2005
Volume 33, Number 31
Chicago Board Options Exchange
POSITION LIMIT CIRCULARS
Pursuant to Exchange Rule 4.11, the Exchange issued the below listed Position Limit Circulars on August 1, 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 PL05-35
August 1, 2005
Western Wireless Corporation (“WWCA/WRQ/ONU/WEZ”)
merger completed with Wigeon Acquisition LLC, a wholly
owned subsidiary of ALLTEL Corporation (“AT/VTB/WJH”)
Effective Date August 1, 2005
RESEARCH CIRCULARS
The following Research Circulars were distributed between July 29 and August 5, 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 #RS05-540
July 29, 2005
United Microelectronics Corporation (“UMC”)
10.29261% ADS Dividend
Ex-Distribution Date: August 2, 2005
Research Circular #RS05-541
July 29, 2005
Best Buy Co., Inc. (“BBY/VBY/WBY”)
3-for-2 Stock Split
Ex-Distribution Date: August 4, 2005
Research Circular #RS05-547
August 1, 2005
Vicuron Pharmaceuticals Inc. (“MICU/UMO”) Proposed
Merger with Pfizer Inc. (“PFE/VPE/WPE”)
Research Circular #RS05-548
August 1, 2005
Storage Technology Corporation (“STK/VSK/WSK”) Proposed Merger with Sun Microsystems, Inc. (“SUN/VUN/
WUD”)
Research Circular #RS05-542
July 29, 2005
*****UPDATE*****UPDATE*****UPDATE*****
Shopping.com Ltd. (“SHOP/QSK/VYZ/YOC”) Proposed Merger
with eBay Inc. (“EBAY/QXB/XBA/OYI/YEU”)
Research Circular #RS05-550
August 3, 2005
Fortune Brands, Inc. (“FO”)
Distribution of Shares of
ACCO Brands Corporation (“ABD”)
Anticipated Ex-Distribution Date: August 17, 2005
Research Circular #RS05-543
July 29, 2005
Western Wireless Corporation (“WWCA/WRQ/ONU/WEZ”)
Election Merger COMPLETED with ALLTEL Corporation (“AT/
VTB/WJH”)
Research Circular #RS05-551
August 3, 2005
*****UPDATE*****UPDATE*****UPDATE*****
SpectraSite, Inc. (“SSI”) Proposed Merger
with American Tower Corporation Class A (“AMT/VXK/WVY”)
Research Circular #RS05-544
July 29, 2005
The Titan Corporation (“TTN”) Merger COMPLETEDwith L-3
Communications Corporation (“LLL/OOY/YOO”)
Research Circular #RS05-553
August 5, 2005
Wireless HOLDRs Trust (“WMH”) Cash Distribution
Ex-Distribution Date: August 8, 2005
Research Circular #RS05-546
August 1, 2005
*****REVISION*****REVISION*****REVISION*****
Best Buy Co., Inc. (“BBY/VBY/WBY”)
3?for?2 Stock Split
Ex-Distribution Date: August 4, 2005
August 10, 2005
Volume RB16, Number 32
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-2005-48
Class Quoting Limit
On July 21, 2005, the SEC approved Rule Change File No. SR-CBOE-2005-48, which filing
amends CBOE Rule 8.3A in order to note that a Market-Maker, who holds an appointment
pursuant to Rule 8.3 in an option class traded on the Hybrid Trading System or the Hybrid
2.0 Platform but elects not to quote electronically in that option class under the provisions
of Rule 8.7(d)(i), does not count towards the CQL in that option class (Securities Exchange
Act Release No. 52100, 70 FR 43911 (July 29, 2005)). Any questions regarding the rule
change may be directed to Pat Sexton, Legal Division, at 312-786-7467. The text of the
amended rules is set forth below. New language is italicized.
Rule 8.3A – Maximum Number of Market Participants Quoting Electronically
per Product
(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).
Rule Changes,
Interpretations and
Policies continued
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-2005-58
Preferred Market-Maker Program
On July 17, 2005, the Exchange filed Rule Change File No. SR-CBOE-2005-58, which filing
proposes to expand CBOE’s Preferred Program to allow any CBOE Market-Maker to receive Preferred orders. Any questions regarding the rule change may be directed to Angelo
Evangelou, Legal Division, at 312-786-7464. The text of the proposed rule amendments is
set forth below. Proposed new language is underlined. Proposed deleted language is
[bracketed and stricken-through].
Rule 8.13
Preferred Market-Maker Program
(a) Generally. 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 Market-Maker in that class as the
“Preferred Market-Maker” for that order. A qualifying recipient of a Preferred Market-Maker order shall be afforded a participation entitlement as set forth in subparagraph (c) below. The Preferred Market-Maker Program shall be in effect until
June 2, 2006 on a pilot basis.
(b) Eligibility. Any Exchange Market-Maker type (e.g. Remote Market-Maker, Lead
Market-Maker, and Designated Primary Market-Maker) may be designated as a
Preferred Market-Maker, however, a recipient of a Preferred Market-Maker order
will only receive a participation entitlement for such order if the following provisions are met:
(i) The Preferred Market-Maker must have an appointment/allocation in
the relevant option class.
(ii) The Preferred Market-Maker must be quoting at the best bid/offer on
the Exchange.
(iii) The Preferred Market-Maker must comply with the quoting obligations
applicable to its Market-Maker type under Exchange rules and must provide continuous two-sided quotations in at least 90% of the series of each
class for which it receives Preferred Market-Maker orders.
(c) Entitlement Rate. Provided the provisions of subparagraph (b) above have
been met, the Preferred Market-Maker participation entitlement shall be 40% when
there are two or more Market-Makers also quoting at the best bid/offer on the
Exchange, and 50% when there is only one other Market-Maker quoting at the
best bid/offer on the Exchange. In addition, the following shall apply:
(i) A Preferred Market-Maker may not be allocated a total quantity greater
than the quantity that the Preferred Market-Maker is quoting at the best
bid/offer on the Exchange.
(ii) The participation entitlement rate 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.
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(iii) If a Preferred Market-Maker receives a participation entitlement under
this Rule, then no other participation entitlements set forth in Exchange
Rules (e.g. Rule 8.87 Participation Entitlement of DPMs and e-DPMs and
Rule 8.15B Participation Entitlement of LMMs) shall apply to such order.
*****
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.
(a) Allocation of Incoming Electronic Orders: The Exchange shall apply, for
each class of options, the following rules of trading priority.
(i) Ultimate Matching Algorithm (“UMA”): Under this method, a market participant who enters a quotation or order and whose quote or order 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
or order, 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 6.45A(a)(i)(B). The
balance of the electronic order will be eligible to be filled at the refreshed quote
either electronically (in accordance with paragraph (a)(i)(B) below) or manually
(in accordance with Rule 6.45A(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 6.45A(a)(i)(B).
(2) Broker-dealer Orders: If pursuant to Rule 7.4(a) the appropriate
FPC 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 brokerdealer 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 6.45A(a)(i)(B).
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(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:
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.
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) [DPM] Participation Entitlement: If a [DPM or e-DPM] Market-Maker
is eligible for an allocation pursuant to the operation of the Algorithm
described in paragraph (a) of Rule 6.45A and is also eligible for an allocation pursuant to a participation entitlement under Rules 8.13, 8.15B, or
8.87, the Market-Maker [DPM or e-DPM] shall be entitled to receive an
allocation (not to exceed the size of its [the DPM’s or e-DPM’s] quote)
equal to either:
(1) the greater of the amount the Market-Maker [it] would be entitled
to pursuant to the participation entitlement [right established pursuant to Rule 8.87 (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 a
[the] DPM’s allocation under the Algorithm, DPMs utilizing more than
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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 the Market-Maker [it] would be entitled to pursuant to
the participation entitlement. [right established pursuant to Rule 8.87
(and Regulatory Circulars issued thereunder).]
The appropriate FPC shall determine which of the preceding two entitlement formulas will be in effect for all classes under its jurisdiction. 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)-(e)
No change.
. . . Interpretations and Policies:
.01 - .02.
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
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) 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 1/2 or greater rounded up and fractions less than 1/2 rounded down. If there are two market participants that
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both are entitled to an additional 1/2 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
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
Pro-Rata 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 brokerdealer (including a foreign broker-dealer) has an interest.
(2) Participation Entitlement: The appropriate Exchange procedures committee may determine to grant Market-Makers
[DPMs, LMMs, or e-DPMs] participation entitlements pursuant
to the provisions of Rule 8.87, Rule 8.13, or 8.15B. In allocating
the participation entitlement, all of the following shall apply:
(A) To be entitled to their participation entitlement, the Market-Maker’s [a DPM’s or LMM’s or e-DPM’s] order and/or
quote must be at the best price on the Exchange.
(B) The Market-Maker [A DPM or LMM or e-DPM] may not
be allocated a total quantity greater than the quantity that it
[the DPM or LMM or e-DPM] is quoting (including orders not
part of quotes) at that price. If Pro-Rata Priority is in effect,
and the Market-Maker’s [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 Market-Maker [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 that Market-Maker’s [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
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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 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,
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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.
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 Market-Maker [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 and is also eligible for an allocation pursuant to a
participation entitlement under Rules 8.13, 8.15B, or 8.87, the Market-Maker [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 entitlement [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 a [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 entitlement
[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 a [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
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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) -(d) No change.
. . . Interpretations and Policies:
.01- .02. No change.
*****
Rule 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. The participation entitlement set forth in this Rule
shall not apply in instances where a Preferred Market-Maker receives a participation entitlement pursuant to Rule 8.13.
(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.
*****
Rule 8.87. Participation Entitlement 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.
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(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.
(2) Participation Rates applicable to DPM Complex. The collective DPM/
e-DPM 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.
(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 eDPM participation entitlement shall be one-half (50%) of the total DPM/eDPM 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 In Instances Where a Preferred Market-Maker Receives a Participation Entitlement Pursuant to
Rule 8.13.
The participation entitlement set forth in this Rule shall not apply in instances where a Preferred Market-Maker receives a participation entitlement pursuant to Rule 8.13. [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 Preferred DPM participation entitlement
shall be 50% when there is one Market-Maker also quoting at the best
bid/offer on the Exchange; and 40% when there are two or more MarketMakers also quoting at the best bid/offer on the Exchange, subject to the
following:
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(i) 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;
(ii) in no case shall the Preferred DPM be allocated, pursuant to
this participation right, a total quantity greater than the quantity
that the Preferred 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.]
. . . Interpretations and Policies:
.01 No change.
SR-CBOE-2005-59
Generic Listing Standards for Broad-Based Index Options
On August 2, 2005, the Exchange filed Rule Change File No. SR-CBOE-2005-59, which
filing proposes to adopt generic listing standards for broad-based index options. Any questions regarding the rule change may be directed to James Flynn, Legal Division, at 312-7867070. The text of the proposed rule amendments is set forth below. Proposed new language
is underlined.
Rule 24.2 – Designation of the Index
(a) - (e) No Change.
(f)
Notwithstanding paragraph (a) above, the Exchange may trade options on
a broad-based index pursuant to Rule 19b-4(e) of the Securities Exchange Act of
1934, if each of the following conditions is satisfied:
(1) The index is broad-based, as defined in Rule 24.1(i)(1);
(2) Options on the index are designated as A.M.-settled;
(3) The index is capitalization-weighted, modified capitalization-weighted, priceweighted, or equal dollar-weighted;
(4) The index consists of 50 or more component securities;
(5) Component securities that account for at least ninety-five percent (95%)
of the weight of the index have a market capitalization of at least $75 million,
except that component securities that account for at least sixty-five percent
(65%) of the weight of the index have a market capitalization of at least $100
million;
(6) Component securities that account for at least eighty percent (80%) of the
weight of the index satisfy the requirements of Rule 5.3 applicable to individual
underlying securities;
(7) Each component security that accounts for at least one percent (1%) of
the weight of the index has an average daily trading volume of a least 90,000
shares during the last six month period;
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(8) No single component security accounts for more than ten percent (10%)
of the weight of the index, and the five highest weighted component securities in the index do not, in the aggregate, account for more than thirty-three
percent (33%) of the weight of the index;
(9) All component securities are “reported securities,” as defined in Rule
11Aa3-1 under the Exchange Act;
(10) Non-U.S. component securities (stocks or ADRs) that are not subject to
comprehensive surveillance agreements do not, in the aggregate, represent
more than twenty percent (20%) of the weight of the index;
(11) The current index value is widely disseminated at least once every fifteen (15) seconds by one or more major market data vendors during the time
options on the index are traded on the Exchange;
(12) The Exchange reasonably believes it has adequate system capacity to
support the trading of options on the index, based on a calculation of the
Exchange’s current Independent System Capacity Advisor allocation and the
number of new messages per second expected to be generated by options
on such index;
(13) An equal dollar-weighted index is rebalanced at least once every calendar quarter;
(14) If an index is maintained by a broker-dealer, the index is calculated by a
third-party who is not a broker-dealer, and the broker-dealer has erected an
informational barrier around its personnel who have access to information
concerning changes in, and adjustments to, the index;
(15) The Exchange has written surveillance procedures in place with respect
to surveillance of trading of options on the index,
(g)
The following maintenance listing standards shall apply to each class of
index options originally listed pursuant to paragraph (f) above;
(1) The requirements set forth in subparagraphs (f)(1) – (f)(3) and
(f)(9) – (f)(15) must continue to be satisfied. The requirements set
forth in subparagraphs (f)(5) – (f)(8) must be satisfied only as of the
first day of January and July in each year;
(2) The total number of component securities in the index may not
increase or decrease by more than ten percent (10%) from the number of component securities in the index at the time of its initial
listing;
(3) In the event a class of index options listed on the Exchange fails
to satisfy the maintenance listing standards set forth herein, the
Exchange shall not open for trading any additional series of options
of that class unless such failure is determined by the Exchange not
to be significant and the Commission concurs in that determination,
or unless the continued listing of the class of index options has been
approved by the SEC under Section 19(b)(2) of the Exchange Act.
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