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Self-Regulatory Organizations; Notice of Filing and Immediate Effectiveness of Rule Change by NYSE Amex, Inc. Implementing Schedule of Fees and Charges for Exchange Services

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Start Preamble June 9, 2009.

Pursuant to Section 19(b)(1) [1] of the Securities Exchange Act of 1934 (the “Act”) [2] and Rule 19b-4 thereunder,[3] notice is hereby given that, on June 1, 2009, NYSE Amex LLC. (“NYSE Amex” or the “Exchange”) filed with the Securities and Exchange Commission (the “Commission”) the proposed rule change as described in Items I, II, and III below, which Items have been prepared by the self-regulatory organization. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons.

I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change

The Exchange proposes to its Schedule of Fees and Charges for Exchange Services (the “Schedule”). While the change to the Schedule pursuant to this proposal will be effective upon filing, the changes will become operative June 1, 2009. The text of the proposed rule change is attached as Exhibit 5 to the 19b-4 form.[4] A copy of this filing is available on the Exchange's Web site at, at the Exchange's principal office and at the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change

In its filing with the Commission, the self-regulatory organization included statements concerning the purpose of, and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of those statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant parts of such statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change

1. Purpose

The purpose of this proposed rule change is to modify the list of strategies presently included in the strategy execution fee cap program (“Strategy Cap Program”). NYSE Amex proposes to add “Jelly Rolls” as an eligible strategy execution for inclusion in Strategy Cap Program.

A Jelly Roll is a long calendar call spread combined with the same short Start Printed Page 28738calendar put spread, or vice versa. This option strategy aims to profit from a time value spread through the purchase and sale of two call and two put options, each with different expiration dates. A Jelly Roll is created by entering into two separate positions simultaneously. One position involves buying a put and selling a call with the same strike price and expiration. The second position involves selling a put and buying a call, with the same strike price, but a different expiration from the first position. Below is an example of a Jelly Roll strategy execution.

XYZ Jun/Oct 25 Jelly Roll:

—Buy XYZ Jun 25 put and sell XYZ Jun 25 call

—Sell XYZ Oct 25 put and buy XYZ Oct 25 call

Market BBO:

Jun 25 call .51 at .53

Jun 25 put .72 at .74

Oct 25 call 1.52 at 1.55

Oct 25 put 2.35 at 2.39

.74(long Jun put) + 1.52 (long Oct call) −.51 (short Jun call) −2.35 (short Oct put) = .60 credit received for the Jelly roll.

Because the referenced Jelly Rolls are commonly executed in large volumes with profit margins that are generally narrow, the Exchange proposes to cap the transaction fees associated with such executions at $750 per strategy execution on the same trading day in the same option class. In addition, Jelly Rolls will be included in the monthly cap of $25,000 per initiating firm for all strategy executions. NYSE Amex believes that by keeping fees low, the Exchange is able to attract liquidity by accommodating these transactions.

2. Statutory Basis

The Exchange believes that the proposal is consistent with Section 6(b) of the Act, in general, and Section 6(b)(4), in particular, in that it provides for the equitable allocation of dues, fees and other charges among its members and other market participants that use the trading facilities of NYSE Amex Options. Under this proposal, all similarly situated Exchange participants will be charged the same reasonable dues, fees and other charges.

B. Self-Regulatory Organization's Statement on Burden on Competition

The Exchange does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act.

C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others

No written comments were solicited or received with respect to the proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action

The foregoing rule change is effective upon filing pursuant to Section 19(b)(3)(A) [5] of the Act and subparagraph (f)(2) of Rule 19b-4 [6] thereunder, because it establishes a due, fee, or other charge imposed by NYSE Amex.

At any time within 60 days of the filing of the proposed rule change, the Commission may summarily abrogate such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act.

IV. Solicitation of Comments

Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods:

Electronic Comments

Paper Comments

  • Send paper comments in triplicate to Elizabeth M. Murphy, Secretary, Securities and Exchange Commission, 100 F Street, NE., Washington, DC 20549-1090.

All submissions should refer to File Number SR-NYSEAmex-2009-22. This file number should be included on the subject line if e-mail is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site (​rules/​sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for inspection and copying in the Commission's Public Reference Room, 100 F Street, NE., Washington, DC 20549, on official business days between the hours of 10 a.m. and 3 p.m. Copies of the filing will also be available for inspection and copying at the principal office of the self-regulatory organization. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR-NYSEAmex-2009-22 and should be submitted on or before July 8, 2009.

Start Signature

For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.7

Florence E. Harmon,

Deputy Secretary.

End Signature End Preamble


1.  15 U.S.C.78s(b)(1).

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4.  The Commission notes that while provided in Exhibit 5 to the filing, the text of the proposed rule change is not attached to this notice but is available at the Commission's Public Reference Room and at

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[FR Doc. E9-14145 Filed 6-16-09; 8:45 am]