
[Federal Register Volume 80, Number 84 (Friday, May 1, 2015)]
[Notices]
[Pages 24985-24986]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-10136]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-74813; File No. SR-ODD-2015-01]


Self-Regulatory Organizations; The Options Clearing Corporation; 
Order Granting Approval of Accelerated Delivery of Supplement to the 
Options Disclosure Document Reflecting the Inclusion of Disclosure 
Regarding Foreign Currency Index Options and Changes to Disclosure 
Regarding Implied Volatility Index Options

April 27, 2015.
    On May 20, 2014, the Options Clearing Corporation (``OCC'') 
submitted to the Securities and Exchange Commission (``Commission''), 
pursuant to Rule 9b-1 under the Securities Exchange Act of 1934 
(``Act''),\1\ five preliminary copies of a supplement to amend the 
options disclosure document (``ODD'') to include disclosure regarding 
foreign currency index options and amend disclosure regarding implied 
volatility index options (``April 2015 Supplement'').\2\ On April 15, 
2015, the Commission received from the OCC five definitive copies of 
the April 2015 Supplement.\3\
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    \1\ 17 CFR 240.9b-1.
    \2\ See email from Jean M. Cawley, SVP and Deputy General 
Counsel, OCC, to Sharon Lawson, David Michehl, and Yue Ding, 
Division of Trading and Markets (``Division''), Commission, dated 
May 20, 2014.
    \3\ See letter from Jean M. Cawley, Senior Vice President and 
Deputy General Counsel, OCC, to Sharon Lawson, Senior Special 
Counsel, Division, Commission, dated April 14, 2015. The April 2015 
Supplement also makes certain technical, non-substantive amendments 
to the ODD.
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Foreign Currency Index Options

    Currently, the ODD states that indexes that may underlie options 
include stock indexes, variability indexes, strategy-based indexes, 
dividend indexes, and relative performance indexes. In April 2013, the 
Commission approved a proposed rule change by the International 
Securities Exchange, LLC (``ISE'') to list options on the Dow Jones 
FXCM Dollar Index.\4\ The April 2015 Supplement amends disclosures in 
the ODD to add foreign currency indexes as a type of index that can 
underlie an option, in order to accommodate the trading of options on 
the Dow Jones FXCM Dollar Index and similarly structured foreign 
currency indexes.\5\ Specifically, the April 2015 Supplement adds new 
disclosure regarding the characteristics of foreign currency index 
options and their special risks. In addition, the supplement adds an 
example of the calculation of a foreign currency index. The supplement 
also amends disclosures in the ODD to accommodate the fact that 
components of foreign currency indexes are foreign currencies rather 
than securities (e.g., by referring to ``components'' of an index 
rather than ``constituent securities'' of an index).
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    \4\ See Securities Exchange Act Release No. 69365 (April 11, 
2013), 78 FR 23321 (April 18, 2013) (SR-ISE-2013-14).
    \5\ The April 2015 Supplement is intended to accommodate the 
trading of options on foreign currency indexes that reflect the 
value of one currency, often the U.S. dollar, against a basket of 
foreign currencies. Foreign currency indexes are calculated using 
exchange rates.
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Implied Volatility Index Options

    The ODD currently contains general disclosures on the 
characteristics and risks of trading standardized options on 
variability indexes. The ODD states that variability indexes are 
indexes intended

[[Page 24986]]

to measure the implied volatility, or the realized variance or 
volatility, of specified stock indexes or specified securities. In 
January 2014, the Commission approved a proposed rule change by the ISE 
to list options on the Nations VolDex Index.\6\ The April 2015 
Supplement amends disclosures in the ODD regarding implied volatility 
index options to accommodate the listing of options on the Nations 
VolDex Index and similarly structured implied volatility indexes.\7\ 
Specifically, the April 2015 Supplement amends the discussion of 
implied volatility index options by including disclosure regarding 
exercise settlement value calculations that use the mid-point of the 
bid and offer of the index components and the risks of the different 
calculation methodologies. The supplement also provides disclosure 
regarding the types of options that can be used to calculate implied 
volatility indexes (i.e., out-of-the-money option series and 
hypothetical at-the-money option series; options with certain 
expiration months or weeks; number of days the options have until 
expiration).
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    \6\ See Securities Exchange Act Release No. 71365 (January 22, 
2014), 79 FR 4512 (January 28, 2014) (SR-ISE-2013-42).
    \7\ The exercise settlement value for the Nations VolDex Index 
is calculated using the mid-point of the NBBO for the component 
options of the index, whereas most other index settlement values are 
calculated using transaction prices of the index components.
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    The April 2015 Supplement is intended to be read in conjunction 
with the more general ODD, which discusses the characteristics and 
risks of options generally.\8\
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    \8\ The Commission notes that the options markets must continue 
to ensure that the ODD is in compliance with the requirements of 
Rule 9b-1(b)(2)(i) under the Act, 17 CFR 240.9b-1(b)(2)(i), 
including when changes regarding foreign currency index options and 
implied volatility index options are made in the future. Any future 
changes to the rules of the options markets concerning foreign 
currency index options and implied volatility index options would 
need to be submitted to the Commission under Section 19(b) of the 
Act. 15 U.S.C. 78s(b).
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    Rule 9b-1(b)(2)(i) under the Act \9\ provides that an options 
market must file five copies of an amendment or supplement to the ODD 
with the Commission at least 30 days prior to the date definitive 
copies are furnished to customers, unless the Commission determines 
otherwise, having due regard to the adequacy of the information 
disclosed and the public interest and protection of investors.\10\ In 
addition, five copies of the definitive ODD, as amended or 
supplemented, must be filed with the Commission not later than the date 
the amendment or supplement, or the amended ODD, is furnished to 
customers. The Commission has reviewed the April 2015 Supplement, and 
the amendments to the ODD contained therein, and finds that, having due 
regard to the adequacy of the information disclosed and the public 
interest and protection of investors, the supplement may be furnished 
to customers as of the date of this order.
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    \9\ 17 CFR 240.9b-1(b)(2)(i).
    \10\ This provision permits the Commission to shorten or 
lengthen the period of time which must elapse before definitive 
copies may be furnished to customers.
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    It is therefore ordered, pursuant to Rule 9b-1 under the Act,\11\ 
that definitive copies of the April 2015 Supplement to the ODD (SR-ODD-
2015-01), reflecting the inclusion of disclosure regarding foreign 
currency index options and changes to disclosure regarding implied 
volatility index options, may be furnished to customers as of the date 
of this order.
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    \11\ 17 CFR 240.9b-1.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\12\
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    \12\ 17 CFR 200.30-3(a)(39).
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Brent J. Fields,
Secretary.
[FR Doc. 2015-10136 Filed 4-30-15; 8:45 am]
 BILLING CODE 8011-01-P


