TRADING PERMIT INFORMATION FOR 04/07/2011 THROUGH 04/13/2011
April 15, 2011 Volume 39, Number 15
The Bylaws and Rules of Chicago Board Options Exchange, Incorporated (“Exchange”), in certain specific instances, require the Exchange to provide notice to Exchange Trading Permit Holders. To satisfy this requirement, a copy of the Exchange Bulletin, including the Regulatory
Bulletin, is delivered by e-mail or by hard copy free of charge to all effective Trading Permit Holders on a weekly basis.
Trading Permit Holders are encouraged to receive the Exchange and Regulatory Bulletin and Information Circulars via e-mail. E-mail
sub-scriptions may be obtained by Trading Permit Holders by submitting your name, firm if applicable, e-mail address, and phone number, to
firstname.lastname@example.org. If you do sign up for e-mail delivery, please remember to inform the Registration Services Department of e-mail
address changes. Subscriptions by Trading Permit Holders for hard copy delivery may be obtained by submitting your name, firm if any,
mailing address and telephone number to: Chicago Board Options Exchange, Registration Services Department, 400 South LaSalle, Chi-cago, Illinois 60605, Attention: Bulletin Subscriptions.
Copyright © 2011 Chicago Board Options Exchange, Incorporated
TRADING PERMIT APPLICATIONS RECEIVED FOR WHICH BULLETIN PUBLICATION IS REQUIRED
Thomas F.X. O’Mara Cowen and Company, LLC 55 Rumson Road Rumson, NJ 07760 Seth M. Lowenberger Octeg, LLC 9 Blair Place Summit, NJ 07901 TERMINATIONS Individuals
Nominees: Termination Date
Larry S. Beebe (LBB) 4/7/11
Blue Capital Group LLC
Thomas L. Cooper (TCP) 4/7/11
Blue Capital Group LLC
Joseph Nikolson (FFF) 4/12/11
TradeStation Securities, Inc.
Stutland Equities LLC 4/11/11 EFFECTIVE TRADING PERMIT HOLDERS Individuals
Nominees: Effective Date
Glenn G Baytala (BAY) 4/8/11
Gar Wood Securities, LLC
Type of Business to be Conducted: Floor Broker
Thomas Trotzier (LTT) 4/8/11
Latour Trading LLC
Type of Business to be Conducted: Proprietary Trading Permit Hold-er
James E Knight (VOL) 4/12/11
Raymond James & Associates, Inc.
Type of Business to be Conducted: No Trading Function Craig Bewick 4/12/11 W.H. Trading, LLC
Type of Business to be Conducted: Proprietary Trading Permit Holder
William P Cahill 4/12/11
TradeStation Securities, Inc.
Type of Business to be Conducted: No Trading Function
Latour Trading LLC 4/8/11
Type of Business to be Conducted: Proprietary Trading Permit Holder
CHANGES IN TRADING FUNCTION
Individual Effective Date
Brian S. Stutland 4/11/11
From: Nominee For Stutland Equities LLC; Market Maker To: Nominee For 303 Equity Trading Group II, LLC; Market Maker TPH Organization Effective Date W. H. Trading, LLC 4/7/11
From: W.H. Trading, LLC; No Trading Function To: W.H. Trading, LLC; Proprietary Trading Permit Holder
Research Circular #RS11-239 April 11, 2011
Miller Petroleum, Inc. (“MILL”) To Move and Begin Trading on NYSE Effective Date: April 12, 2011 Research Circular #RS11-240 April 11, 2011
Terremark Worldwide, Inc. (“TMRK”): Merger Completed -- Cash Settlement Research Circular #RS11-241 April 12, 2011
NGAS Resources, Inc. (“NGAS”) Proposed Plan of Arrangement with Magnum Hunter Resources Corporation (“MHR”)
Research Circular #RS11-243 April 13, 2011
NGAS Resources, Inc. (“NGAS”) Plan of Arrangement COMPLETED with Magnum Hunter Resources Corporation (“MHR”)
Research Circular #RS11-244 April 14, 2011
Clinical Data, Inc. (“CLDA”): Merger Completed -- Cash Settlement
The following Research Circulars were distributed between April 8 and April 14, 2011. 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 #C2-RS11-024
April 8, 2011
Alcon, Inc. (“ACL”) Merger COMPLETED with Novartis AG (“NVS”)
Research Circular #RS11-236 April 8, 2011
Capital Gold Corporation (“CGC”) Merger COMPLETED with Gammon Gold Inc. (“GRS”)
Research Circular #RS11-237 April 8, 2011
Genzyme Corporation (“GENZ”):
Merger Completed with Sanofi-Aventis (“SNY”)
Research Circular #C2-RS11-025 April 8, 2011
Genzyme Corporation (“GENZ”):
April 15, 2011 Volume RB22, Number 15
_____________________________________________________________________The Bylaws and Rules of Chicago Board Options Exchange, Incorporated (“Exchange”), in certain specific instances, require the Exchange to provide notice to Trading Permit Holders. The weekly Regulatory Bulletin is delivered to all effective Trading Permit Holders to satisfy this requirement.
Copyright © 2011 Chicago Board Options Exchange, Incorporated.
_____________________________________________________________________Regulatory Circular RG11-048
To: Trading Permit Holders and Clearing Trading Permit Holders
From: Division of Registration and Regulatory Services Date: April 11, 2011
Subject: Product Description, Margin and Net Capital Requirements - Options on the CBOE Gold ETF Volatility Index Exchange Bill Speth (Product Description) (312) 786-7141 Contacts: James Adams (Margin) (312) 786-7718 Robert Gardner (Net Capital) (312) 786-7937
On April 12, 2011, the Chicago Board Options Exchange (the “CBOE” or “Exchange”) plans to commence trading of options on the CBOE Gold ETF Volatility Index. Options will trade under the ticker symbol “GVZ.”
GVZ options are cash-settled, European style and have a $100 multiplier.
The CBOE Gold ETF Volatility Index represents an up-to-the-minute estimate of the expected 30-day volatility of the SPDR Gold Trust (GLD) and is derived by applying the CBOE Volatility Index (VIX) methodology to GLD options traded on CBOE.
For strategy-based customer margin requirements, narrow-based index option margin requirements apply to short GVZ options (20% basic / 10% minimum).
Net capital treatment for GVZ options will be similar to narrow-based index options. Margin and net capital requirements are described in detail below.
DISCUSSION PRODUCT DESCRIPTION
The CBOE will list cash-settled, European-style option contracts on the CBOE Gold ETF Volatility Index (Ticker: GVZ) on or about April 12, 2011.
The CBOE Gold ETF Volatility Index is an up-to-the-minute market estimate of the expected 30-day volatility of GLD. Calculation of the index is based on the CBOE Volatility Index (VIX) methodology, applied to CBOE listed GLD. The CBOE Gold Volatility Index uses real-time bid/ask quotes of nearby and second nearby options with at least 8 days left to expiration, and weights these options to yield a constant, 30-day measure of expected volatility.
The contract multiplier for GVZ options will be $100. The minimum tick for GVZ option series trading below $3 is 0.05 ($5.00); above $3 is 0.10 ($10.00).
GVZ option series may be listed with minimum strike price intervals of not less than 1 point, subject to certain conditions that are described in Rule 24.9.01(i). Initially, in-, at- and out-of-the-money strike prices will be listed. New strikes can be added as the calculated forward value of the index moves up or down and upon request.
Initially, CBOE plans to list GVZ options expiring in May, June, July, August and September. CBOE may list up to six GVZ options contract months, provided that the time to expiration is not greater than 12 months.
GVZ options have European-style exercise; options generally may be exercised only on the Expiration Date.
The last day to trade expiring GVZ options will be the day before the Expiration Date. The Expiration Date for GVZ options will be the Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the month in which the contract expires. If the third Friday of the month immediately following the month in which the contract expires is a CBOE holiday, the last day to trade and the Expiration Date for the contract shall be thirty days prior to the CBOE business day immediately preceding that Friday.
GVZ options are A.M.-settled; the exercise-settlement value for options on GVZ shall be a Special Opening Quotation (“SOQ”) of GVZ (Ticker – GVN) calculated from the sequence of opening prices, as traded on CBOE, of a single strip of GLD options expiring 30 days after the GVZ settlement date. The opening price for any series in which there is no trade shall be the average of that option's bid price and ask price as determined at the opening of trading. Exercise will result in delivery of cash on the business day following expiration. The settlement amount is equal to the difference between the exercise-settlement value and the exercise price of the option, multiplied by $100. If the exercise-exercise-settlement value is not available or the normal settlement procedure cannot be utilized due to a trading disruption or other unusual circumstance, the final settlement value will be determined in accordance with the rules and bylaws of The Options Clearing Corporation.
Please note that the “time to expiration” used to calculate the SOQ of the GVZ Index on the Expiration Date is 30 days plus 390 minutes. This adjustment is intended to reflect the fact that GLD options are P.M.-settled.
The position limit for GVZ options is 50,000 contracts on either side of the market with no more than 30,000 contracts in the nearest expiration month.
Trading hours for GVZ options are 8:30 a.m. to 3:00 p.m. Central Time (Chicago time).
Questions regarding product specifications should be directed to Bill Speth, Research Department, at (312) 786–7141.
Detailed product specifications may be found on the CBOE website at the following URL: http://www.cboe.com/products/indexopts/gvz_spec.aspx
Narrow-based index option margin requirements apply to GVZ options [CBOE Rule 12.3(c)(5)], except that the current (“cash”) index value is not used to compute the requirements for short options. GVZ options are expected to price in relation to the price of the futures contract having a settlement month that coincides with the expiration month of the option. Therefore, the price of the futures contract (traded on the CBOE Futures Exchange, ticker symbol GV) with a settlement month that matches the expiration month of the option must be used. If there is no futures contract with a settlement month that matches the expiration month of the option, use the next futures contract settlement month that is available going forward. If there is no futures contract settlement month going forward, use the last futures contract settlement month available chronologically.
Purchases of GVZ options must be paid for in full. For purchases of options with more than 9 months until expiration, Exchange rules permit a minimum margin requirement of 75% of the total cost(option current market value) to be deposited(maintained). When time to expiration reaches 9 months, the option no longer has value for margin purposes.
The initial and maintenance margin requirement for a short put or call is 100% of the option proceeds* plus 20% of the aggregate contract value (current index value x $100) minus the amount by which the option is out-of-the-money, if any, subject to a minimum for calls of option proceeds* plus 10% of the aggregate contract value and a minimum for puts of option proceeds* plus 10% of the aggregate put exercise price amount. (*For calculating maintenance margin, use current market value instead of option proceeds.)
Spreads and straddles are permitted for GVZ options having equivalent aggregate underlying values. In respect of calendar spreads, member organizations are reminded that GVZ options are European style. It is possible that the spread margin requirement could be, or become, insufficient to cover the assignment obligation on the short option if the long option cannot be exercised and it is trading at less than its intrinsic value in relation to the price of the futures contract or current index value that determines the intrinsic value of the short option. Therefore, member organizations must apply “house” margin requirement policies and procedures for calendar spreads with European style options in order to insure that sufficient margin is held to cover the risk.
Where a short option contract is covered by an “escrow agreement” meeting the requirements of CBOE Rule 12.3(d)(2), no margin need be required.
GVZ options are eligible for portfolio margining. A new Product Group will be created (Gold Volatility). At this time, no offsets with other classes are allowed. The portfolio margin requirement will be equal to the maximum potential loss over a range of market movements covering +/–15%. GV security futures contract prices will be utilized to compute theoretical option prices rather than the current (“cash”) index value. All positions are subject to a minimum charge of $37.50 per contract, except that the minimum charge for long options will not exceed the market value. These requirements are Exchange minimums. House portfolio margin requirements may be greater.
OPTION MARKET–MAKER MARGIN REQUIREMENTS
Pursuant to CBOE Rule 12.3(f), GVZ option positions of a GVZ options market-maker may be margined on a basis that is satisfactory to the market-maker and carrying broker-dealer.
GVZ options and GV security futures positions of a GVZ options market-maker are eligible for cross-margin treatment in a cross-cross-margin account carried for the options market-maker by a clearing trading permit holder. This cross-margin account must be a futures account and must be used exclusively for carrying CBOE and CFE products that are cross-marginable. The SPAN file will be updated to take any risk offsets between GVZ options and GV security futures into consideration and render a margin requirement accordingly. Additionally, a risk-based haircut (“RBH”) must be computed on the cross-margin account positions. If the RBH is greater than the SPAN cross-margin requirement, the RBH must be used as the margin requirement in lieu of the SPAN margin requirement.
It should be noted that at OCC, GVZ options are eligible for a market professional cross-margin account, in which offsetting positions in GVZ options and GV security futures may be combined. A cross-margin account for a market professional must be set-up exclusively for carrying CBOE and CFE products that are cross-marginable. OCC currently requires that both GVZ options and GV security futures be cleared and carried by the same OCC clearing member (i.e., a dual broker-dealer / FCM) in order to establish market professional cross-margin accounts at OCC.
Questions regarding the margin treatment of options should be directed to James Adams, Department of Member Firm Regulation, at (312) 786–7718.
NET CAPITAL REQUIREMENTS
For risk-based haircuts, a new Product Group will be created for GVZ options.1 The risk–based haircut will be equal to the maximum potential loss calculated over a range of market movements covering +/-15%, for options market-makers and all other broker–dealers. GV security futures contract prices will be utilized to compute theoretical option prices rather than the current (“cash”) index value.1 All positions are subject to a minimum charge of $25 per contract, except that the minimum charge for long positions will not exceed the market value. GV security futures will be included in the same Product Group with a 100% offset.
For those firms not utilizing risk–based haircuts, the haircut will be calculated pursuant to the alternative strategy based method of SEC Rule 15c3–1a.
Questions regarding the net capital treatment of GVZ options should be directed to Robert Gardner, Department of Member Firm Regulation, at (312) 786–7937.
1 Risk–based haircuts may be applied pursuant to SEC Rule 15c3-1a (Appendix A).
April 15, 2011 Volume RB22, Number 15 5 Regulatory Circular RG 11-049
To: Trading Permit Holders From: Finance and Administration Date: April 13, 2011
Re: Transaction Fees for CBOE Gold ETF Volatility Index Options
On April 12, 2011, CBOE commenced trading options on the CBOE Gold ETF Volatility Index (“GVZ”). Transaction fees for GVZ options are as follows:
CBOE Gold ETF Volatility Index Options Per Contract
Customer transactions $0.40
Voluntary Professional transactions $0.40
Professional transactions $0.40
CBOE Market Maker/DPM transactions (subject to sliding scale) $0.20 Clearing Trading Permit Holder Proprietary transactions (subject to
sliding scale) $0.25
Broker-Dealer transactions $0.40
CFLEX Surcharge Fee (assessed on first 2,500 contracts per order) $0.10
Floor Brokerage Fee $0.03
Floor Brokerage Fee for crossed orders $0.015
PAR Official Fee $0.03
PAR Official Fee for crossed orders $0.015
Product Research & Development (customer orders not assessed) $0.10 The complete CBOE Fee Schedule is posted at:
Transaction fee questions may be directed to Don Patton at (312) 786-7026 or email@example.com, Colleen Laughlin at (312) 786-8390 or firstname.lastname@example.org or John Mavindidze at (312) 786-7689 or email@example.com.
April 15, 2011 Volume RB22, Number 15 6 R U L E C H A N G E S
PROPOSED RULE CHANGE(S)
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the “Act”), and Rule 19b-4 thereunder, the Exchange has filed the following proposed rule change(s) with the Securities and Exchange Commission (“SEC”). Below, any additions to rule text are underlined and any deletions are [bracketed]. Copies of the rule change filing are available at www.cboe.org/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-2011-039 Single Stock Dividend Options (SSDOs)
On April 7, 2011, the Exchange filed Rule Change File No. SR-CBOE-2011-039, which filing proposes to permit the listing and trading of options that overlie the ordinary cash dividends paid by an issuer over an annual, semi-annual, or quarterly “accrual period.” The options will be cash-settled and will have European-style exercise. Any questions regarding the rule change may be directed to Jenny Klebes, Legal Division, at 312-786-7466. The rule text is shown below and the rule filing is available at http://www.cboe.com/publish/RuleFilingsSEC/SR-CBOE-2011-039.pdf.
Rule 5.9— Single Stock Dividend Options RULE5.9
(a) Notwithstanding conflicting language in Exchange rules, the Exchange may list single stock dividend options (SSDO) series that overlie the ordinary cash dividends paid by an issuer underlying a stock which is eligible for options trading on the Exchange. An SSDO will reflect ten (10) times the ordinary cash dividends paid by an issuer accumulated over a one-year period (accrual period). The accrual period runs from the business day after the third Friday of December through the third Friday of the following December. The Exchange may list an SSDO with an accrual period of less than a year (e.g., six months or one quarter), but in no event will an SSDO have an accrual period of less than a quarter of a year. For an SSDO with an accrual period of less than a year, the accrual period runs from the business day after the third Friday of the month beginning the accrual period through the third Friday of the month ending the accrual period.
(b) Exercise Style. SSDO options will have European-style exercise. Writers of SSDOs are subject to assignment only at expiration. The last trading day of an SSDO will be the business day prior to Expiration of the specific SSDO series.
(c) Strike Price Intervals. The interval between strike prices may be 1 point or greater where the strike price is $200 or less and 2.5 points or greater where the strike price is greater than $200.
(d) Initial and Additional Series. In-the-money, at-the-money, and out-of-the-money strike prices will be listed initially for an SSDO for a specific accrual period. The Exchange may add new strike prices as the expected value of the accrued dividends for the underlying issuer moves or upon request by an Exchange Trading Permit Holder.
April 15, 2011 Volume RB22, Number 15 7 SSDO price equals $100. The tick for options series trading at or below $3.00 is $0.05 ($5.00) and for series trading greater than $3.00, the tick will be $0.10 ($10.00).
(f) Expiration Months. The Exchange may list up to five annual contract months expiring in December for any single stock underlying an SSDO and up to ten contract months for accrual periods of less than a year. Near-term SSDO options reflect dividends accumulating in the then-current accrual period. SSDO LEAPS reflect dividends expected in annual accrual periods beyond the current accrual period.
(g) Position and Exercise Limits. Position and exercise limits for SSDOs shall be the same as those for standard options overlying the same underlying stock. Equity option positions for SSDOs will be aggregated with equity LEAPS positions on SSDOs with the same underlying stock for position and exercise limit purposes. Exemptions may be available for certain qualified hedging strategies. Positions in SSDOs will not be aggregated with positions in the ordinary options overlying the stock of the issuer underlying the SSDOs. FLEX options positions on an SSDO will be aggregated with the non-FLEX positions for that SSDO.
(h) Settlement. The exercise-settlement value of an SSDO is ten (10) times the ordinary cash dividends paid by the issuer accumulated over the accrual period ending on the last business day before the Expiration Date. The exercise-settlement amount is equal to the difference between the exercise settlement value and the exercise price of the option, multiplied by $100. Exercise will result in delivery of cash on the business day following expiration.
(i) FLEX Eligibility. The Exchange designates SSDOs as eligible for trading as Flexible Exchange Options as provided for in Chapters XXIVA (Flexible Exchange Options) and XXIVB (FLEX Hybrid Trading System).
* * * * *
Rule 12.3—Margin Requirements RULE12.3
(a) – (b) No change.
(c) Customer Margin Account—Exception. The foregoing requirements are subject to the following exceptions. Nothing in this paragraph (c) shall prevent a broker-dealer from requiring margin from any account in excess of the amounts specified in these provisions.
(1) – (4) No change.
(5) Initial and Maintenance Margin Requirements on Short Options, Stock Index Warrants, Currency Index Warrants and Currency Warrants.
(A) Listed. General Rule. The initial and maintenance margin required on any listed put, call, stock index warrant, currency index warrant or currency warrant carried “short” in a customer’s account shall be 100% of the current market value of the option or warrant plus the percentage of the current “underlying component value” (as described in column IV of the table below) specified in column II of the table below reduced by any “out-of-the-money” amount as defined in this subparagraph (c)(5)(A) below.
Notwithstanding the margin required above, the minimum margin for each such call option or call warrant shall not be less than 100% of the current market value of the option or warrant plus the percentage of the current market value of the underlying component specified in column III of the table below, and for each such put option or put warrant, shall not be less than 100% of the current market value of the option or warrant plus the percentage of the option or warrant’s aggregate exercise price amount specified in column III of the table below.
April 15, 2011 Volume RB22, Number 15 8 I. Type of Option II. Initial and/or Maintenance Margin Required III. Minimum Margin Required IV. Underlying Component Value 1. – 15. No change. 16. Single Stock Dividend Options 20% 10% The product of the forward expected dividend amount for the accrual period (as adjusted for any contract scaling factor) and the applicable multiplier. Remainder of Rule 12.3 – No change.
…Interpretations and Policies:
.01 - .19 No change.
_________________________________________________________________________________ SR-CBOE-2011-040 $1 Strike Price Program
On April 12, 2011, the Exchange filed Rule Change File No. SR-CBOE-2011-040, which filing proposes to amend Rule 5.5 to simplify the $1 Strike Price Program. Any questions regarding the rule change may be directed to Jenny Klebes, Legal Division, at 312-786-7466. The rule text is shown below and the rule filing is available at http://www.cboe.com/publish/RuleFilingsSEC/SR-CBOE-2011-040.pdf.
Rule 5.5—Series of Option Contracts Open for Trading RULE 5.5
…Interpretations and Policies:
.01 The interval between strike prices of series of options on individual stocks may be: a. The $1 Strike Program.
(1) $1.00 or greater (“$1 strike prices”) provided the strike price is $50.00 or less, but not less than $1. Except as provided in subparagraph 3 below, the listing of $1 strike prices shall be limited to options classes overlying no more than 150 individual stocks as specifically designated by the Exchange. The Exchange may list $1 strike prices on any other option classes if those classes are specifically designated by other securities exchanges that employ a similar $1 Strike Program under their respective rules.
(2) To be eligible for inclusion into the $1 Strike Program, an underlying stock must close below $50 in its primary market on the previous trading day. After a stock is added to the $1 Strike Program, the Exchange may list $1 strike prices from $1 to $50. Strikes listed pursuant to the $1 Strike Program shall comply with the exercise price range limitations set forth in the OLPP provisions in Rule 5.5A. [that are no more than $5 from the closing price of the underlying on the preceding day, or no more than $5 from the opening price of the
April 15, 2011 Volume RB22, Number 15 9 closes at $13, the Exchange may list strike prices from $8 to $18. Also, for example, if the same issue were to open on its primary listing market the next day at $22.10, the Exchange could immediately list strike prices from $19 to $27. In instances where the overnight price movement in the underlying security has left a discontinuity in $1 strike prices, the Exchange may list all $1 strikes between the previous day’s close and the opening price on the primary listing market. For instance, an underlying issue that closes at $14 may have $1 strikes from $9 to $19. If the same issue opens on its primary listing market the next day at $27.10, it may add $21 and $22, in addition to strikes from $23 to $32 (and in addition to the standard interval strike of $20).] The Exchange may not list series with $1.00 intervals within $0.50 of an existing strike price in the same series, except that strike prices of $2, $3, $4, $5 and $6 shall be permitted within $0.50 of an existing strike price for classes also selected to participate in the $0.50 Strike Program. In addition, the Exchange may not list series with $2.50 intervals (e.g., $12.50, $17.50) below $50 under Interpretation and Policy .05 of this Rule ($2.50 Strike Price Program) for any issue included within the $1 Strike Program. [The Exchange may list one $1 Strike option series strike above and below each standard $5 strike interval that is more than $5 from the price of the underlying security, with the strike being $2 above the standard strike for each interval above the price of the underlying security, and $2 below the standard strike, for each interval below the price of the underlying security, provided it meets the OLPP Provisions in Rule 6.4A. For instance, if the underlying security was trading at $19, the Exchange could list, for each month, the following strikes: $3, $5, $8, $10, $13, $14, $15, $16, $17, $18, $19, $20, $21, $22, $23, $24, $25, $27, $30, $32, $35, and $37. Additionally, the Exchange may not list long-term option series (“LEAPS®”) at $2.50 strike price intervals for any option class selected for the $1 Strike Program, except as provided in subparagraph 3 below.]
LEAPS series in $1 strike price intervals are permitted for those classes that participate in the $1 Strike Program. The strike price setting parameters set forth above for Non-LEAPS series in the $1 Strike Program shall apply to LEAPS series. The Exchange may not list LEAPS at $2.50 strike price intervals for classes that participate in the $1 Strike Program, except as provided in subparagraph 3 below.
[For issues in the $1 Strike Program, the Exchange may list one long-term option series strike between each standard $5 strike interval, with the strike being $2 above the standard strike for each interval above the price of the underlying security, and $2 below the standard strike for each interval below the price of the underlying security. In addition, the Exchange may list the $1 strike which is $2 above the standard strike just below the underlying price at the time of listing, and may add additional long-term options series strikes as the price of the underlying security moves, consistent with the OLPP. For instance, if the underlying is trading at $21.25, long-term strikes could be listed at $15, $18, $20, $22, $25, $27, and $30. If the underlying subsequently moved to $22, the $32 strike could be added. If the underlying moved to $19.75, the $13, $10, $8, and $5 strikes could be added.
Additional long-term option strikes may not be listed within $1 of an existing strike until less than nine months to expiration.]
(3) The Exchange may list $1 strike prices up to $5 in LEAPS in up to 200 option classes on individual stocks. The Exchange may not list strike prices with $1.00 intervals within $0.50 of an existing $2.50 strike price in the same series.
(4) Delisting Policy. For options classes selected to participate in the $1 Strike Program, the Exchange will on a monthly basis review series that were originally listed under the $1 Strike Program with strike prices that are more than $5 from the current value of an options class and delist those series with no open interest in both the put and the call series having a: (i) strike higher than the highest strike price with open interest in the put and/or call
April 15, 2011 Volume RB22, Number 15 10 series for a given expiration month; and (ii) strike lower than the lowest strike price with open interest in the put and/or call series for a given expiration month.
If the Exchange identifies series for delisting pursuant to this policy, the Exchange shall notify the other options exchanges with similar delisting policies regarding the eligible series for delisting, and shall work jointly with such other exchanges to develop a uniform list of series to be delisted so as to ensure uniform series delisting of multiply listed options classes. Notwithstanding the above delisting policy, the Exchange may grant member requests to add strikes and/or maintain strikes in series of options classes traded pursuant to this Program that are eligible for delisting.
A stock shall remain in the $1 Strike Program until otherwise designated by the Exchange. (b) – (f) No change.
.02 – 18 No change.