TRADING PERMIT INFORMATION FOR 05/26/2011 THROUGH 06/1/2011 TRADING PERMIT APPLICATIONS RECEIVED

Transcription

1 Exchange June 3, 2011 Volume 39, Number 22 Bulletin 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 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 . subscriptions may be obtained by Trading Permit Holders by submitting your name, firm if applicable, address, and phone number, to registration@cboe.com. If you do sign up for delivery, please remember to inform the Registration Services Department of 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, Chicago, Illinois 60605, Attention: Bulletin Subscriptions. Copyright 2011 Chicago Board Options Exchange, Incorporated TRADING PERMIT INFORMATION FOR 05/26/2011 THROUGH 06/1/2011 TRADING PERMIT APPLICATIONS RECEIVED FOR WHICH BULLETIN PUBLICATION IS REQUIRED Individual Applicants Gavin K. Farley, Nominee CMZ Trading, LLC 513 N. Catherine Ave. LaGrange, IL ***Addendum to the Bulletin Dated 05/20/2011*** TPH Organization Applicant CCM Securities LLC Robert Drodz, Nominee Antanas Shurna, Nominee 3 Park Avnue, 37th Floor Chicago, IL Bluefin Markets Holdings LP Sole Member Bluefin Markets Holdings Management LLC General Partner Michael J. Goodwin, Jr. Senior Managing Member Arthur J. Duquette CEO/Principal Michael H. Kole CCO/FINOP/CFO Steven D. Meyer - Principal TERMINATIONS Individuals Nominee: Termination Date Pamela Amadei - Cantore (PAM) 5/27/11 Global Execution Brokers, LP Nathan Schmitt (TRN) 5/31/11 Cutler Group, L.P. Peter A. Bercovich (PAB) 5/31/11 Susquehanna Securities Sean W Haggerty (HAG) 5/31/11 Susquehanna Securities Paul S Clark (CLK) 5/31/11 Ronin Capital, LLC Richard J. Greywitt (GWT) 5/31/11 Susquehanna Securities Kevin C Karl (KRL) 6/1/11 Blue Capital Group LLC Christopher K. Kinsella (KNS) 6/1/11 Blue Capital Group LLC James A Myers (ACL) 6/1/11 Blue Capital Group LLC Adam Houser (HSA) 6/1/11 TradeLink LLC Kraig D Koester (KUS) 6/1/11 Turk Kus, Inc. Greg J De Falco (GJD) 6/1/11 G-Bar Limited Partnership Michael J Claerhout (RVR) 6/1/11 Sallerson-Troob LLC Brian J. Nigito 6/1/11 Octeg, LLC Mark A Harmon (MAH) 6/1/11 Sallerson-Troob LLC Arthur K Carrison (AKC) 6/1/11 LaBranche Capital LLC Harry E Schayer (HRE) 6/1/11 Donovan, Schayer, & Massey Trading, LLC TPH Organizations Turk Kus, Inc. 6/1/11 LaBranche Capital LLC 6/1/11 Termination Date

2 Page 2 June 3, 2011 Volume 39, Number 22 Chicago Board Options Exchange EFFECTIVE TRADING PERMIT HOLDERS Individuals Nominee: Effective Date Michael DeNoma (DNO) 5/27/11 Belvedere Trading, LLC Type of Business to be Conducted: Market Maker Nathan Schmitt (NHS) 6/1/11 Reversion Capital Partners, L.P. Type of Business to be Conducted: Market Maker Ryan Nelson Cole (COL) 6/1/11 Belvedere Trading, LLC Type of Business to be Conducted: Market Maker Seth M. Lowenberger (SML) 6/1/11 Octeg, LLC Type of Business to be Conducted: Market Maker TPH Organizations Reversion Capital Partners, L.P. 6/1/11 Type of Business to be Conducted: Market Maker CHANGES IN TRADING FUNCTION Individuals Effective Date Matthew Robbins 6/1/11 From: Nominee For RII Trading, LLC; Market Maker To: Nominee For RII Trading, LLC; Proprietary Trading Permit Holder TPH Organizations RII Trading, LLC 6/1/11 From: Market Maker To: Proprietary Trading Permit Holder Effective Date RESEARCH CIRCULARS The following Research Circulars were distributed between May 27 and June 1, If you wish to read the entire document, please refer to the CBOE website at 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 OPTIONS. Research Circular #RS May 27, 2011 Companhia de Bebidas das Americas - AMBEV ( ABV ) CASH DISTRIBUTION IN LIEU OF RIGHTS Ex-Date: June 1, 2011 Research Circular #RS May 27, 2011 Orthovita, Inc. ( VITA ) Tender Offer by Owl Acquisition Corporation Research Circular #RS May 27, 2011 Smurfit-Stone Container Corporation ( SSCC ) Merger COMPLETED with Rock-Tenn Company Class A ( RKT ) Research Circular #RS May 31, 2011 ProLogis ( PLD ) Proposed Merger with AMB Property Corporation ( AMB ) Research Circular #RS May 31, 2011 Pride International Inc. ( PDE ) Proposed Merger with Ensco plc ( ESV ) Research Circular #RS May 31, 2011 Pride International Inc. ( PDE ) Merger COMPLETED with Ensco plc ( ESV ) Research Circular #RS May 31, 2011 AMB Property Corporation ( AMB ) Name, Stock and Option Symbol Change to ProLogis, Inc. ( PLD ) Anticipated Effective Date: June 3, 2011 Research Circular #RS May 31, 2011 Banner Corporation ( BANR ) 1-for-7 Reverse Stock Split Ex-Distribution Date: June 1, 2011 Research Circular #RS May 31, 2011 Millicom International Cellular S.A. ( MICC ) Stock and Option Symbol Change to ( MICCF ) Effective Date: June 1, 2011 Research Circular #RS May 31, 2011 *****CORRECTION TO SYMBOL CHANGE***** Millicom International Cellular S.A. ( MICC ) Stock and Option Symbol Change to ( MIICF ) Effective Date: June 1, 2011 Research Circular #RS May 31, 2011 XETA Technologies, Inc. ( XETA ) Merger COMPLETED with PAETEC Holding Corp. ( PAET ) Cash Settlement Research Circular #RS June 1, 2011 Bronco Drilling Company, Inc. ( BRNC ) Tender Offer FURTHER EXTENDED by Nomac Acquisition, Inc. Research Circular #RS June 1, 2011 RehabCare Group, Inc. ( RHB ) Merger COMPLETED with Kindred Healthcare, Inc. ( KND ) Research Circular #RS June 1, 2011 Massey Energy Company ( MEE ) Merger COMPLETED with Alpha Natural Resources, Inc. ( ANR ) Research Circular #RS June 1, 2011 Talecris Biotherapeutics Holdings Corp. ( TLCR ) Merger COMPLETED with Grifols, S.A. Research Circular #C2-RS June 1, 2011 Massey Energy Company ( MEE ) Merger COMPLETED with Alpha Natural Resources, Inc. ( ANR )

3 Page 3 June 3, 2011 Volume 39, Number 22 Chicago Board Options Exchange Research Circulars continued Research Circular #RS June 1, 2011 *****UPDATE ELECTION DEADLINE JUNE 2, 2011***** Danvers Bancorp, Inc. ( DNBK ) Proposed Election Merger with First People s United Financial, Inc. ( PBCT ) Research Circular #RS June 2, 2011 ProLogis ( PLD ) Merger COMPLETED with AMB Property Corporation ( AMB ) Research Circular #RS June 2, 2011 *****UPDATE*****UPDATE*****UPDATE***** AMB Property Corporation ( AMB ) Name, Stock and Option Symbol Change to ProLogis, Inc. (New PLD ) Effective Date: June 3, 2011 POSITION LIMIT CIRCULARS Pursuant to Exchange Rule 4.11, the Exchange issued the below listed Position Limit Circular on June 2, 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 or position limit questions can be directed to Regulatory Services at (312) or (312) Position Limit Circular PLll-26 June 2, 2011 Exchange Traded Fund, HOLDRsTM and Equity Position and Exercise Limits will be decreased to a Lower Tier Limit Effective June 20, 20II Position Limit Circular PLll-28 June 2, 2011 Adjusted Position and Exercise Limits for certain Equity Option Classes will revert to either their Applicable Standard or Adjusted Position and Exercise Limits effective June 20, 2011

4 June 3, 2011 Volume RB22, Number 22 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 CIRCULARS Regulatory Circular RG To: Trading Permit Holders From: Trading Operations Date: May 31, 2011 Re: MOC Order Timer Change Effective June 1, 2011, the timer which triggers the automatic conversion of Market-on-Close (MOC) orders resting in the CBOEdirect book to market orders will be adjusted from 3 minutes prior to the product close to 90 seconds prior to the product close. Upon conversion, a booked MOC order will be handled consistent with the rules and processes for the handling of market orders that are received by the CBOEdirect trading system. The timer which triggers the activation of MOC orders resting on PAR will be adjusted from 3 minutes prior to the product close to 2 minutes prior to the product close. Questions regarding this functionality may be directed to Anthony Montesano at (312) or montesan@cboe.com or the CBOE Help Desk at (866) or helpdesk@cboe.com. (Updates Information Circular IC06-162) June 3, 2011 Volume RB22, Number 22 1

5 Regulatory Circular RG TO: FROM: RE: Trading Permit Holders Registration and Regulatory Services Division Prearranged Trades DATE: June 1, 2011 This Regulatory Circular restates the Exchange s policy concerning prearranged trading. Trading Permit Holders are cautioned that any purchase or sale transaction or series of transactions, coupled with an agreement, arrangement or understanding, directly or indirectly to reverse such transaction which is not done for a legitimate economic purpose or without subjecting the transactions to market risk, violates Exchange Rules and may be inconsistent with various provisions of the Securities Exchange Act of 1934, as amended, (the Act ) and rules thereunder. All transactions must be effected in accordance with applicable trading rules, must be subject to risk of the market, and must be reported for dissemination. Section 9(a)(1) of the Act prohibits any member of a national securities exchange, for the purpose of creating a false or misleading appearance of active trading in any security registered on a national securities exchange, or a false or misleading appearance with respect to the market for any such security, (A) from effecting any transaction in such security which involves no change in the beneficial ownership thereof, or (B) from entering an order or orders for the purchase (sale) of such security with the knowledge that an order or orders of substantially the same size, at substantially the same time, and at substantially the same price, for the sale (purchase) of any such security, has been or will be entered by or for the same or different parties. The Exchange also believes that prearranged trading could result in a violation of CBOE Rule 4.1, which prohibits conduct inconsistent with just and equitable principles of trade, Rule 6.45A or 6.45B which addresses the priority of bids and offers, or Rule 10b-5 of the Act, which prohibits any act, practice or course of business which operates or would operate as a fraud or deceit upon any person, in connection with the purchase or sale of any security, respectively. Questions may be directed to the Department of Market Regulation at (312) or (312) (Regulatory Circular RG10-132, reissued) June 3, 2011 Volume RB22, Number 22 2

6 Regulatory Circular RG DATE: May 27, 2011 TO: FROM: RE: Trading Permit Holders Market Operations Department Restrictions on Transactions in Millicom International Cellular S.A. ( MICC ) Effective May 31, 2011 the NASDAQ will delist Millicom International Cellular S.A. ( MICC ). Trading in Millicom International Cellular S.A. will commence on the Other OTC market under the symbol MICC. Trading on the CBOE in existing series of MICC options will be subject to the following restrictions. Only closing transactions may be effected in any series of MICC options except for (i) opening transactions by Market-Makers executed to accommodate closing transactions of other market participants and (ii) opening transactions by CBOE TPH organizations to facilitate the closing transactions of public customers executed as crosses pursuant to and in accordance with CBOE Rule 6.74(b) or (d). The execution of opening transactions in MICC options, except as permitted above, and/or the misrepresentation as to whether an order is opening or closing, will constitute a violation of CBOE rules, and may result in disciplinary action. TPH organizations should ensure that they have appropriate procedures in place to prevent their customers from entering opening orders in this restricted option class. In addition, transactions in contravention of this restriction may be subject to nullification pursuant to Exchange Rule There are no restrictions in place with respect to the exercise of MICC options. The provisions of this circular apply to any options on MICC traded on CBOE. Any questions regarding this circular may be directed to Kerry Winters at (312) or Regulatory Services Division at (312) or (312) CBOE restricted class memos can be accessed from CBOE.org at the following web address: June 3, 2011 Volume RB22, Number 22 3

7 Regulatory Circular RG To: Trading Permit Holders From: Trading Operations Date: June 1, 2011 Re: Linkage Fees Exception For Orders From the Trading Floor Subject to SEC review, effective June , CBOE is modifying one aspect of its linkage fees under Section 20 of the Fees Schedule, related to an exception involving orders entered from floorbased terminals. Details are as follows: CBOE will eliminate the linkage fee exception for non-customer orders entered from floor-based terminals. Prior to this change, CBOE absorbed all costs associated with linkage for noncustomer orders that were entered via CBOE-sponsored floor-based terminals and initially routed to CBOE. With this change, for such orders, CBOE will charge the existing $.50 per contract routing fee, plus customary CBOE transaction fees. Please direct any questions to Anthony Montesano at (312) or montesan@cboe.com, or to Mike Trees at (312) or treesm@cboe.com. June 3, 2011 Volume RB22, Number 22 4

8 R U L E C H A N G E S 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 (the Act ). Below, any additions to rule text are underlined and any deletions are [bracketed]. Copies are available on the CBOE public website at The effective date of the rule change is the date of approval unless otherwise noted. SR-CBOE Volatility Index Options On May 26, 2011, the SEC approved Rule Change File No. SR-CBOE , which filing permits the listing and trading of options on certain individual stock based volatility indexes and certain exchange-traded fund based volatility indexes. The options will be cash-settled and have European-style exercise. Any questions regarding the rule change may be directed to Jenny Klebes, Legal Division, at The rule text is shown below and the rule filing is available at Rule 12.3 Margin Requirements RULE 12.3 (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. I. Type of Option No change. II. Initial and/or Maintenance Margin Required III. Minimum Margin Required IV. Underlying Component Value 15. [GVZ] 20% 10% The product of June 3, 2011 Volume RB22, Number 22 5

9 Individual the index value Stock or and the ETF Based applicable index Volatility multiplier Indexes as defined in Rule 24.1(bb) For purposes of this subparagraph (c)(5)(a), out-of-the-money amounts are determined as follows: Option or Warrant Issue Call Put Stock Options, Any excess of the Registered Investment Company Options aggregate exercise U.S. Treasury Options Corporate Debt Security Options price of the option over the current market value of the equivalent number of shares of the underlying security. Any excess of the aggregate exercise price of the option over the current market value of the underlying principal amount. Any excess of the aggregate exercise price of the option over the current market value of the equivalent quantity of the security. underlying Any excess of the current market value of the equivalent number of shares of the underlying security over the aggregate exercise price of the option. Any excess of the current market value of the underlying principal amount over the aggregate exercise price of the option. Any excess of the current market value of the equivalent quantity of the underlying security over the aggregate exercise price of the option. Index stock options, [GVZ] Individual Stock or ETF Based Volatility Indexes options, currency index warrants and stock index warrants Foreign currency options and warrants Any excess of the aggregate exercise price of the option or warrant over the product of the current index value and the applicable multiplier. Any excess of the aggregate exercise price of the option or warrant over the product of units per foreign currency contract and the Any excess of the product of the current index value and the applicable multiplier over the aggregate exercise price of the option or warrant. Any excess of the product of units per foreign currency contract and the closing spot prices over the aggregate price of the option or warrant. June 3, 2011 Volume RB22, Number 22 6

10 closing spot prices. Interest rate options Any excess of the aggregate exercise price of the option over the product of the current interest rate measure value and the applicable multiplier. Remainder of Rule 12.3 No change. Interpretations and Policies: No change. Any excess of the product of the current interest rate measure value and the applicable multiplier over the aggregate exercise price of the option. Rule 24.1 Definitions RULE 24.1 (a) (aa) No change. Individual Stock or ETF Based Volatility Indexes (bb) The term Individual Stock or ETF Based Volatility Indexes means volatility indexes that provide an up-to-the-minute market estimate of the expected volatility of its corresponding underlying stock or ETF calculated by using real-time bid/ask quotes of CBOE listed options overlying that individual stock or ETF. The following Individual Stock or ETF Based Volatility Indexes have been approved for trading on the Exchange: Symbol Underlying Volatility Index VXAPL CBOE Equity VIX on Apple VXAZN CBOE Equity VIX on Amazon VXGS CBOE Equity VIX on Goldman Sachs VXGOG CBOE Equity VIX on Google VXIBM CBOE Equity VIX on IBM GVZ CBOE Gold ETF Volatility Index OVX CBOE Crude Oil ETF Volatility Index VXEEM CBOE Emerging Markets ETF Volatility Index VXFXI CBOE China ETF Volatility Index VXEWZ CBOE Brazil ETF Volatility Index VXGDX CBOE Gold Miners ETF Volatility Index VXXLE CBOE Energy Sector ETF Volatility Index Interpretations and Policies:.01 The reporting authorities designated by the Exchange in respect of each index underlying an index option contract traded on the Exchange are as follows: Index Reporting Authority (Add the following to the current list:) CBOE Equity VIX on Apple....Chicago Board Options Exchange CBOE Equity VIX on Amazon.... Chicago Board Options Exchange CBOE Equity VIX on Goldman Sachs... Chicago Board Options Exchange CBOE Equity VIX on Google... Chicago Board Options Exchange CBOE Equity VIX on IBM Chicago Board Options Exchange CBOE Crude Oil ETF Volatility Index.... Chicago Board Options Exchange CBOE Emerging Markets ETF Volatility Index... Chicago Board Options Exchange CBOE China ETF Volatility Index Chicago Board Options Exchange CBOE Brazil ETF Volatility Index Chicago Board Options Exchange June 3, 2011 Volume RB22, Number 22 7

11 CBOE Gold Miners ETF Volatility Index.... Chicago Board Options Exchange CBOE Energy Sector ETF Volatility Index.....Chicago Board Options Exchange Rule 24.4 Position Limits for Broad-Based Index Options RULE 24.4 (a) In determining compliance with Rule 4.11, there shall be no position limits for broad-based index option contracts (including reduced-value option contracts) on CBOE S&P 500 Three-Month Realized Variance, CBOE S&P 500 Three-Month Realized Volatility and on the BXM (1/10th value), DJX, OEX, XEO, NDX, RUT, VIX, VXN, VXD, S&P 500 Dividend Index and SPX classes. All other broad-based index option contracts shall be subject to a contract limitation fixed by the Exchange, which shall not be larger than the limits provided in the chart below. (Delete the following from the current list:) [CBOE Gold ETF Volatility Index ( GVZ )] [50,000 contracts] [no more than 30,000 nearterm] (b) (e) No change. Interpretations and Policies: No change..04 Margin and Clearing Firm Requirements Whenever the Exchange determines, based on a report by the Department of Market Regulation or otherwise, that additional margin is warranted in light of the risks associated with an under-hedged BXM (1/10 th value), [GVZ,] SPX, OEX, XEO, NDX, RUT, DJX, VIX, VXN, VXD, S&P 500 Dividend Index, CBOE S&P 500 Three-Month Realized Variance or CBOE S&P 500 Three-Month Realized Volatility option position, the Exchange may consider imposing additional margin upon the account maintaining such under-hedged position pursuant to its authority under Exchange Rule Additionally, it should be noted that the clearing firm carrying the account will be subject to capital charges under SEC Rule 15c3-1 to the extent of any margin deficiency resulting from the higher margin requirements..05 No change. Rule 24.4C Position Limits for Individual Stock or ETF Based Volatility Index Options RULE 24.4C. (a) In determining compliance with Rule 4.11, Individual Stock or ETF Based Volatility Index options (as defined in Rule 24.1(bb)) shall have a position limit equal to 50,000 contracts on either side of the market, and no more than 30,000 contracts in the nearest expiration month. (b) In determining compliance with the position limits set forth in paragraph (a), Individual Stock or ETF Based Volatility Index options shall not be aggregated with the index component option contracts on the corresponding underlying security (e.g., individual stock or exchange-traded fund). Interpretations and Policies:.01 Hedge Exemption The hedge exemption for Individual Stock or ETF Based Volatility Index options is in addition to the standard limit and other exemptions available under Exchange rules, interpretations and policies. The following procedures and criteria must be satisfied to qualify for the hedge exemption: June 3, 2011 Volume RB22, Number 22 8

12 (a) The account in which the exempt option positions are held ( hedge exemption account ) has received prior Exchange approval for the hedge exemption specifying the maximum number of contracts which may be exempt under this Interpretation. The hedge exemption account has provided all information required on Exchange-approved forms and has kept such information current. Exchange approval may be granted on the basis of verbal representations, in which event the hedge exemption account shall within two (2) business days or such other time period designated by the Department of Market Regulation furnish the Department of Market Regulation with appropriate forms and documentation substantiating the basis for the exemption. The hedge exemption account may apply from time to time for an increase in the maximum number of contracts exempt from the position limits. (b) A hedge exemption account that is not carried by a CBOE TPH organization must be carried by a member of a self-regulatory organization participating in the Intermarket Surveillance Group. (c) The hedge exemption account maintains a qualified portfolio, or will effect transactions necessary to obtain a qualified portfolio concurrent with or at or about the same time as the execution of the exempt options positions, of a net long or short position in Individual Stock or ETF Based Volatility Index futures contracts or in options on Individual Stock or ETF Based Volatility Index futures contracts, or long or short positions in Individual Stock or ETF Based Volatility Index options, for which the underlying Individual Stock or ETF Based Volatility Index is included in the same margin or cross-margin product group cleared at the Clearing Corporation as the Individual Stock or ETF Based Volatility Index option class to which the hedge exemption applies. To remain qualified, a portfolio must at all times meet these standards notwithstanding trading activity. (d) The exemption applies to positions in Individual Stock or ETF Based Volatility Index options dealt in on the Exchange and is applicable to the unhedged value of the qualified portfolio. The unhedged value will be determined as follows: (1) the values of the net long or short positions of all qualifying products in the portfolio are totaled; (2) for positions in excess of the standard limit, the underlying market value (a) of any economically equivalent opposite side of the market calls and puts in broad-based index options, and (b) of any opposite side of the market positions in Individual Stock or ETF Based Volatility Index futures, options on Individual Stock or ETF Based Volatility Index futures, and any economically equivalent opposite side of the market positions, assuming no other hedges for these contracts exist, is subtracted from the qualified portfolio; and (3) the market value of the resulting unhedged portfolio is equated to the appropriate number of exempt contracts as follows the unhedged qualified portfolio is divided by the correspondent closing index value and the quotient is then divided by the index multiplier or 100. (e) Only the following qualified hedging transactions and positions are eligible for purposes of hedging a qualified portfolio (i.e., futures and options) pursuant to this Interpretation.01: (1) Long put(s) used to hedge the holdings of a qualified portfolio; (2) Long call(s) used to hedge a short position in a qualified portfolio; (3) Short call(s) used to hedge the holdings of a qualified portfolio; and (4) Short put(s) used to hedge a short position in a qualified portfolio. The following strategies may be effected only in conjunction with a qualified stock portfolio: (5) A short call position accompanied by long put(s), where the short call(s) expires with the long put(s), and the strike price of the short call(s) equals or exceeds the strike price of the long put(s)(a collar ). Neither side of the collar transaction can be in-the-money at the time the position is established. For purposes of determining compliance with Rules 4.11 and 24.4C, a collar position will be treated as one (1) contract; (6) A long put position coupled with a short put position overlying the same Individual Stock or ETF Based Volatility Index and having an equivalent underlying June 3, 2011 Volume RB22, Number 22 9

13 aggregate index value, where the short put(s) expires with the long put(s), and the strike price of the long put(s) exceeds the strike price of the short put(s) (a debit put spread position ); and (7) A short call position accompanied by a debit put spread position, where the short call(s) expires with the puts and the strike price of the short call(s) equals or exceeds the strike price of the long put(s). Neither side of the short call, long put transaction can be inthe-money at the time the position is established. For purposes of determining compliance with Rules 4.11 and 24.4C, the short call and long put positions will be treated as one (1) contract. (f) The hedge exemption account shall: (1) liquidate and establish options, their equivalent or other qualified portfolio products in an orderly fashion; not initiate or liquidate positions in a manner calculated to cause unreasonable price fluctuations or unwarranted price changes. (2) liquidate any options prior to or contemporaneously with a decrease in the hedged value of the qualified portfolio which options would thereby be rendered excessive. (3) promptly notify the Exchange of any material change in the qualified portfolio which materially affects the unhedged value of the qualified portfolio. (g) If an exemption is granted, it will be effective at the time the decision is communicated. Retroactive exemptions will not be granted. Rule 24.5 Exercise Limits RULE In determining compliance with Rule 4.12, exercise limits for index option contracts shall be equivalent to the position limits prescribed for option contracts with the nearest expiration date in Rule 24.4 [or], 24.4A or 24.4C. There shall be no exercise limits for broad-based index options (including reduced-value option contracts) on CBOE S&P 500 Three-Month Realized Variance, CBOE S&P 500 Three-Month Realized Volatility and on the BXM (1/10th value), DJX, OEX, XEO, NDX, RUT, VIX, VXN, VXD, S&P 500 Dividend Index, or SPX. Interpretations and Policies: No change..04 With respect to Individual Stock or ETF Based Volatility Index options contracts for which an exemption has been granted in accordance with the provisions of Interpretation and Policy.01 to Rule 24.4C, the exercise limit shall be equal to the amount of the exemption. Rule 24.6 Days and Hours of Business RULE The Board of Directors has resolved that, except as otherwise provided in this Rule or under unusual conditions as may be determined by the Board or its designee, transactions in index options may be effected on the Exchange between the hours of 8:30 a.m. Chicago time and 3:15 p.m. Chicago time. With respect to options on foreign indexes, the Board s designee shall determine the days and hours of business. Transactions in the following index options may be effected on the Exchange between the hours of 8:30 a.m. Chicago time and 3:00 p.m. Chicago time: (i) (xl) No change. (xli) [CBOE Gold ETF Volatility Index] ETF Based Volatility Indexes Interpretations and Policies:.01 No change..02 Transactions in ETF Based Volatility Index options may be effected on the Exchange between the hours of 8:30 a.m. Chicago time and 3:15 p.m. (Chicago time), except that if the June 3, 2011 Volume RB22, Number 22 10

14 closing time for traditional options on the ETF is earlier than 3:15 p.m. (Chicago time), the earlier closing time shall apply. Rule 24.9 Terms of Index Option Contracts RULE (a) General. (1) - (2) No change. (3) European-Style Exercise. The following European-style index options, some of which are A.M.-settled as provided in paragraph (a)(4), are approved for trading on the Exchange: (i)- (xxii) No change. [(xxiii xxvi) [Reserved.]] (xxiii) CBOE Equity VIX on Apple (VXAPL). (xxiv) CBOE Equity VIX on Amazon (VXAZN). (xxv) CBOE Equity VIX on Goldman Sachs (VXGS). (xxvi) CBOE Equity VIX on Google (VXGOG). (xxvii) (xxix) No change. (xxx) [[Reserved.]] CBOE Equity VIX on IBM (VXIBM). (xxxi) (xcvii) No change. (xcviii) CBOE Crude Oil ETF Volatility Index (OVX). (xcix) CBOE Emerging Markets ETF Volatility Index (VXEEM). (c) CBOE China ETF Volatility Index (VXFXI). (ci) CBOE Brazil ETF Volatility Index (VXEWZ). (cii) CBOE Gold Miners ETF Volatility Index (VXGDX). (ciii) CBOE Energy Sector ETF Volatility Index (VXXLE). (4) A.M.-Settled Index Options. The last day of trading for non-volatility A.M.- settled index options shall be the business day preceding the last day of trading in the underlying securities prior to expiration. The last day of trading for Volatility Index, [and GVZ] Individual Stock or ETF Based Volatility Index options is governed by subparagraph (5) below. The current index value at the expiration of an A.M.-settled index option shall be determined, for all purposes under these Rules and the Rules of the Clearing Corporation, on the last day of trading in the underlying securities prior to expiration, by reference to the reported level of such index as derived from the opening prices of the underlying securities on such day, as determined by the market for such security selected by the Reporting Authority pursuant to Interpretation and Policy.09 to Rule 24.9, except that in the event that the primary market for an underlying security does not open for trading, halts trading prematurely, or otherwise experiences a disruption of normal trading on that day, or in the event that the primary market for an underlying security is open for trading on that day, but that particular security does not open for trading, halts trading prematurely, or otherwise experiences a disruption of normal trading on that day, the price of that security shall be determined, for the purposes of calculating the current index value at expiration, as set forth in Rule 24.7(e). The current index level at the expiration of an A.M.- settled S&P 500 Dividend Index option shall be a special quotation of the S&P 500 Dividend Index as determined by the Reporting Authority pursuant to Interpretation and Policy.09 to Rule 24.9, except that in the event that the Reporting Authority is unable to calculate a special quotation of the S&P 500 Dividend Index, the special quotation shall be determined, for the purposes of calculating the current index value at expiration, as set forth in Rule 24.7(e). June 3, 2011 Volume RB22, Number 22 11

15 The following A.M.-settled index options are approved for trading on the Exchange: (i) (xxi) No change. [(xxii) xxiv) [Reserved.]] (xxii) CBOE Equity VIX on Apple (VXAPL). (xxiii) CBOE Equity VIX on Amazon (VXAZN). (xxiv) CBOE Equity VIX on Goldman Sachs (VXGS). (xxv) (lxxxvi) No change. (lxxxvii) CBOE Equity VIX on Google (VXGOG). (lxxxviii) CBOE Equity VIX on IBM (VXIBM). (lxxxix) CBOE Crude Oil ETF Volatility Index (OVX). (xc) CBOE Emerging Markets ETF Volatility Index (VXEEM). (xci) CBOE China ETF Volatility Index (VXFXI). (xcii) CBOE Brazil ETF Volatility Index (VXEWZ). (xciii) CBOE Gold Miners ETF Volatility Index (VXGDX). (xciv) CBOE Energy Sector ETF Volatility Index (VXXLE). (5) Method of Determining Day that Exercise Settlement Value will be Calculated and of Determining Expiration Date and Last Trading Day for Volatility Index (e.g., VIX, RVX, VXD, VXN, Individual Stock or ETF Based Volatility Index) options ( Volatility Index options ) [and CBOE Gold ETF Volatility Index ( GVZ ) options]. The exercise settlement value of a Volatility Index [or a GVZ] option for all purposes under these Rules and the Rules of the Clearing Corporation, shall be calculated on the Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the month in which the Volatility Index [or a GVZ] option expires. If the third Friday of the month subsequent to the expiration of the Volatility Index [or a GVZ] option is an Exchange holiday, the exercise settlement value shall be calculated on the business day that is thirty days prior to the Exchange business day immediately preceding that Friday. The exercise settlement value of a Volatility Index [or a GVZ] option for such purposes shall be calculated by the Exchange as a Special Opening Quotation (SOQ) of the applicable Volatility Index [or a GVZ] using the sequence of opening prices of the options that comprise the Volatility Index [or a GVZ]. 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. The expiration date of a Volatility Index [or a GVZ] option shall be the same day that the exercise settlement value of the Volatility Index [or a GVZ] option is calculated. The last trading day for a Volatility Index [or a GVZ] option shall be the business day immediately preceding the expiration date of the Volatility Index [or a GVZ] option. (b) (e) No change. Interpretations and Policies:.01 The procedures for adding and deleting strike prices for index options are provided in Rule 5.5 and Interpretations and Policies related thereto, as otherwise generally provided by Rule 24.9, and include the following: (a) The interval between strike prices will be no less than $5.00; provided, that in the case of the following classes of index options, the interval between strike prices will be no less than $2.50: (i) (lxiii) No change. (lxiv) CBOE Equity VIX on Apple (VXAPL). (lxv) CBOE Equity VIX on Amazon (VXAZN). (lxvi) CBOE Equity VIX on Goldman Sachs (VXGS). (lxvii) CBOE Equity VIX on Google (VXGOG). June 3, 2011 Volume RB22, Number 22 12

16 (lxviii) CBOE Equity VIX on IBM (VXIBM). (lxix) CBOE Crude Oil ETF Volatility Index (OVX). (lxx) CBOE Emerging Markets ETF Volatility Index (VXEEM). (lxxi) CBOE China ETF Volatility Index (VXFXI). (lxxii) CBOE Brazil ETF Volatility Index (VXEWZ). (lxxiii) CBOE Gold Miners ETF Volatility Index (VXGDX). (lxxiv) CBOE Energy Sector ETF Volatility Index (VXXLE). (b)- (d) No change. (e) [(i) Notwithstanding paragraph (a), the interval between strike prices for options on the CBOE Russell 2000 Volatility Index (RVX), CBOE Dow Jones Industrial Average Volatility Index (VXD) and the CBOE Nasdaq-100 Volatility Index (VXN) will be no less than $2.50; provided, that subject to the following conditions, the interval between strike prices for RVX, VXD and VXN will be no less than $1.00: (A) The Exchange may open for trading series at $1.00 or greater strike price intervals for each expiration on up to 5 RVX, VXD and VXN option and LEAPs series above and 5 RVX, VXD and VXN option and LEAPs series below the current index level; (B) As the current index level of RVX, VXD and VXN moves from the exercise price of those RVX, VXD and VXN options and LEAPs series that already have been opened for trading on the Exchange, the Exchange may open for trading additional series at $1.00 or greater strike price intervals for each expiration on up to 5 RVX, VXD and VXN option and LEAPs series above and 5 RVX, VXD and VXN option and LEAPs series below the current index level; (C) The Exchange may not open for trading series with $1.00 intervals within $0.50 of an existing $2.50 strike price with the same expiration month; and (D) Reserved. (ii) For the purposes of adding strike prices on options and LEAPs on RVX, VXD and VXN at $1.00 or greater strike price intervals, as well as at $2.50 or greater strike price intervals, the current index level shall mean the implied forward level based on RVX, VXD and VXN futures prices.] Reserved. (f) (h) No change. (i) [In addition to the strike price intervals permitted under Interpretation and Policy.01(a) to Rule 24.9, the Exchange may also list series at 1 point strike price intervals for GVZ options, subject to following conditions: (i) Initial Series. The Exchange will list in-, at- and out-of-the-money strike prices, and may open for trading up to five series above and five series below the calculated forward value of GVZ, and LEAPs series. (ii) Additional Series. In response to customer demand or as the calculated forward value of GVZ moves from the initial exercise prices of option series that have been opened for trading, the Exchange may open for trading up to five series above and five series below the calculated forward value of GVZ, and LEAPs series. (iii) The Exchange may not open for trading series with 1 point strike price intervals within 0.50 point of an existing 2.5 point strike price with the same expiration month. (iv) The Exchange shall not list LEAPS on GVZ options at strike price intervals less than 1 point.] Reserved. (j) (k) No change. June 3, 2011 Volume RB22, Number 22 13

17 (l) Notwithstanding paragraph (a), the interval between strike prices for [options on the CBOE] Volatility Index options [(VIX)] (as defined in Rule 24.9(a)(5)) will be $1 or greater where the strike price is $200 or less and $5 or greater where the strike price is greater than $ No change. Rule 24A.7 Position Limits and Reporting Requirements RULE 24A.7. (a) FLEX Index Options (1) In determining compliance with Rules 4.11, 24.4, 24.4A, [and] 24.4B, and 24.4C FLEX Index Options shall be subject to FLEX contract position limitations fixed by the Exchange in accordance with the provisions of this Rule. (2) (4) No change. (5) The position limits for FLEX [GVZ] Individual Stock or ETF Based Volatility Index Options are equal to the position limits for Non-FLEX [GVZ] Options for the same underlying Individual Stock or ETF Based Volatility Index [established pursuant to Rule 24.4]. (b) (c) No change. (d) Aggregation of Positions. For purposes of the position limits and reporting requirements set forth in this Rule, FLEX Option positions shall not be aggregated with positions in Non- FLEX Options other than as provided below, and positions in FLEX Index Options on a given index shall not be aggregated with options on any stocks included in the index or with FLEX Index Option positions on another index. (1) (3) No change. (4) As long as the options positions remain open, positions in FLEX [GVZ] Individual Stock or ETF Based Volatility Index Options that expire on the same day as Non- FLEX [GVZ] Options on the same Individual Stock or ETF Based Volatility Index, as determined pursuant to Rule 24.9(a)(5), shall be aggregated with positions in Non-FLEX [GVZ] Individual Stock or ETF Based Volatility Index Options and shall be subject to the position limits set forth in Rules 4.11, 24.4, 24.4A, [and] 24.4B[,] and 24.4C and the exercise limits set forth in Rules 4.12 and This rule supplements Rule 4.11 generally, but supersedes Interpretations.02 and.04 of Rule 4.11 and all of Rules 24.4, Rule 24.4A, Rule 24.4B, 24.4C and Rule 29.5 except to the extent those Rules are referred to in this rule. Rule 24A.8 Exercise Limits RULE 24A.8. (a) In determining compliance with Rules 4.12 and 24.5, exercise limits for FLEX Index and FLEX [GVZ] Individual Stock or ETF Based Volatility Index Options shall be equivalent to the FLEX position limits prescribed in Rule 24A.7. There shall be no exercise limits for broad-based FLEX Index Options (including reduced-value option contracts) on BXM (1/10th value), DJX, NDX, OEX, RUT, S&P 500 Dividend Index, SPX, VIX, VXN, VXD, CBOE S&P 500 Three-Month Realized Variance, CBOE S&P 500 Three-Month Realized Volatility and XEO. (b) (d) No change. Rule 24B.7 Position Limits and Reporting Requirements RULE 24B.7. (a) FLEX Index Options June 3, 2011 Volume RB22, Number 22 14

18 (1) (4) No change. (5) The position limits for FLEX [GVZ] Individual Stock or ETF Based Volatility Index Options are equal to the position limits for Non-FLEX [GVZ] Individual Stock or ETF Based Volatility Index Options established pursuant to Rule 24.4C. (b) (c) No change. (d) Aggregation of Positions For purposes of the position limits and reporting requirements set forth in this Rule, FLEX Option positions shall not be aggregated with positions in Non-FLEX Options other than as provided below, and positions in FLEX Index Options on a given index shall not be aggregated with options on any stocks included in the index or with FLEX Index Option positions on another index. (1) (3) No change. (4) As long as the options positions remain open, positions in FLEX [GVZ] Individual Stock or ETF Based Volatility Index Options that expire on the same day as Non- FLEX [GVZ] Individual Stock or ETF Based Volatility Index Options, as determined pursuant to Rule 24.9(a)(5), shall be aggregated with positions in Non-FLEX [GVZ] Options on the same Individual Stock or ETF Based Volatility Index and shall be subject to the position limits set forth in Rules 4.11, 24.4, 24.4A, [and] 24.4B[,] and 24.4C and the exercise limits set forth in Rules 4.12 and This rule supplements Rule 4.11 generally, but supersedes Interpretations.02 and.04 of Rule 4.11 and all of Rules 24.4, 24.4A, 24.4B, 24.4C and 29.5 except to the extent those Rules are referred to in this rule. Rule 24B.8. Exercise Limits RULE 24B.8. (a) In determining compliance with Rules 4.12 and 24.5, exercise limits for FLEX Index and FLEX [GVZ,] Individual Stock or ETF Based Volatility Index Options shall be equivalent to the FLEX position limits prescribed in Rule 24B.7. There shall be no exercise limits for broad-based FLEX Index Options (including reduced-value option contracts) on BXM (1/10th value), DJX, NDX, OEX, RUT, S&P 500 Dividend Index, SPX, VIX, VXN, VXD, CBOE S&P 500 Three-Month Realized Variance, CBOE S&P 500 Three-Month Realized Volatility and XEO. (b) (d) No change. EFFECTIVE-ON-FILING RULE CHANGE(S) The following rule filing(s) was submitted to the SEC effective on filing, and may have taken effect pursuant to Section 19(b)(3) of the Act. The rule filing(s) will remain in effect barring further action by the SEC within 60 days after publication in the Federal Register. Copies are available on the CBOE public website at SR-CBOE CBSX Fees Schedule On May 26, 2011, the Exchange filed Rule Change File No. SR-CBOE , which filing proposes to amend CBSX s Fees Schedule to eliminate Maker-Taker fees and different fee tiers on CBSX in favor of a flat transaction fee. Any questions regarding the rule change may be directed to Jeff Dritz, Legal Division, at The rule filing is available at June 3, 2011 Volume RB22, Number 22 15

19 SR-CBOE Fees Schedule On May 31, 2011, the Exchange filed Rule Change File No. SR-CBOE , which filing proposes to remove non-customer orders from the exception from Linkage fees for orders routed through Linkage to other exchanges that were originally transmitted to CBOE from the trading floor through an Exchange-sponsored workstation. Any questions regarding the rule change may be directed to Jeff Dritz, Legal Division, at The rule filing is available at June 3, 2011 Volume RB22, Number 22 16