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Division of Market Regulation:
Staff Legal Bulletin No. 15

Listing Standards for Trading Security Futures Products

Action: Publication of Division of Market Regulation Staff Legal Bulletin.

Date: September 5, 2001

Summary: This staff legal bulletin (bulletin) sets forth the views of the Division of Market Regulation (Division) as to how a national securities exchange or national securities association may satisfy the condition to file listing standards with the Securities and Exchange Commission before such exchange or association may trade security futures products.

Supplementary Information: The statements in this bulletin represent the views of the Division's staff. This bulletin is not a rule, regulation, or statement of the Commission. Further, the Commission has neither approved nor disapproved its content.

Contact Persons: For further information, please contact: Florence Harmon, Senior Special Counsel, at (202) 942-0773, or John Riedel, Staff Attorney, at (202) 942-0196, Division of Market Regulation, Securities and Exchange Commission, 450 Fifth Street, N.W., Washington, D.C. 20549-1001.

I. Background

On December 21, 2000, Congress enacted the Commodity Futures Modernization Act (CFMA), lifting the ban on single stock and narrow-based stock index futures. The CFMA established a framework for the joint regulation of these products by the Commission and the Commodity Futures Trading Commission (CFTC).

Prior to the enactment of the CFMA, the Shad-Johnson Accord (Accord) governed trading in contracts of sale for future delivery of securities and security indexes. Negotiated by the Chairmen of the Commission and the CFTC in 1982 and enacted into law in 1983, the Accord permitted futures exchanges to offer futures contracts on security indexes if the contracts satisfied certain statutory criteria. Specifically, under the Accord, the contract: (1) had to be cash settled; (2) could not be readily susceptible to manipulation; and (3) had to be based on a broad based security index (i.e., the underlying securities had to measure and reflect the entire market or a substantial segment of the market). The Accord prohibited any futures contracts on security indexes that did not meet these criteria, as well as futures contracts on single securities.

In addition to repealing the prohibition on certain types of security futures, the CFMA amended the Securities Exchange Act of 1934 (Exchange Act) to require that these newly permissible products: (1) be listed on a national securities exchange or national securities association;¹ and (2) conform to listing standards that such exchange or association files with the Commission under Section 19(b) of the Exchange Act and that meet the criteria specified in Section 2(a)(1)(D)(i) of the CEA and Section 6(h)(3) of the Exchange Act.

II. Compliance with Section 6(h)(3) of the Exchange Act Requiring Listing Standards and Satisfaction of Conditions for Security Futures Products

Section 6(h)(3) of the Exchange Act sets forth minimum criteria that any national securities exchange or national securities association trading security futures products must meet. Paragraph (C) of that Section specifies that listing standards for security futures products shall be no less restrictive than comparable listing standards for options traded on a national securities exchange or national securities association.

The purpose of this bulletin is to offer guidance on how a national securities exchange or national securities association can satisfy this requirement. In consultation with staff of the CFTC, the Division has developed sample security futures listing standards that it considers to be comparable to listing standards for options. These sample listing standards are attached as Exhibit A.

Current options listing standards typically require that, before listing an options contract, the security underlying such option must be: (1) registered under Section 12 of the Exchange Act;² (2) listed on a national securities exchange, or traded through a national securities association and reported as a national market system (NMS) security; and (3) characterized by a substantial number of outstanding shares that are widely held and actively traded. In addition, the initial listing standards evaluate the securities underlying the options by looking at factors such as the number of outstanding shares, the number of holders, the trading volume, and the price of the underlying security. Moreover, the options listing standards take into account whether the underlying security being considered for options approval is an ADR, a security issued in a restructuring transaction (e.g., in a spin-off, reorganization, recapitalization, or similar transaction), or one of certain other specified securities.

The options markets also require that a security underlying an options contract satisfy certain maintenance criteria as a condition for continued approval of the options for trading. The guidance provided in Exhibit A sets forth sample maintenance standards, as well as sample initial listing standards, for security futures products.

The Division believes that Exhibit A constitutes a useful and appropriate model for a national securities exchange or national securities association to use in developing initial listing standards and maintenance standards for security futures products. In consultation with the staff of the CFTC, and for purposes of providing guidance to national securities exchanges and national securities associations, the Division has adapted options listing standards in a way that it believes is appropriate in the context of security futures products, and that would satisfy Section 6(h)(3) of the Exchange Act.³ The staff believes that listing standards that conform to Exhibit A are consistent with the Exchange Act requirements. Of course, there may be other listing standards that would also be consistent with the Exchange Act.

To provide ongoing guidance, the Division may update this bulletin and the attached Exhibit A to reflect future changes in the initial listing or maintenance standards for options.

EXHIBIT A

Sample Eligibility and Maintenance Criteria for Security Futures Products

I. Initial listing standards for a security futures product based on a single security.

A. For a security futures product to be eligible for initial listing, the security underlying the futures contract must meet each of the following requirements:⁴

(i) It must be a common stock or American Depositary Receipt ("ADR") representing common stock or ordinary shares.⁵

(ii) It must be registered under Section 12 of the Securities Exchange Act of 1934 ("Exchange Act"), and its issuer must be in compliance with any applicable requirements of the Exchange Act.

(iii) It must be listed on a national securities exchange ("Exchange") or traded through the facilities of a national securities association ("Association") and reported as a "national market system" security as set forth in Rule 11Aa3-1 under the Exchange Act ("NMS security").

(iv) It must have at least seven million shares outstanding that are owned by persons other than those required to report their stock holdings pursuant to Section 16(a) of the Exchange Act.

Requirement (iv) as Applied to Restructure Securities:

In the case of an equity security that a company issues or anticipates issuing as the result of a spin-off, reorganization, recapitalization, restructuring or similar corporate transaction ("Restructure Security"), an Exchange or Association may assume that this requirement is satisfied if, based on a reasonable investigation, the Exchange or Association determines that, on the product's intended listing date: (A) at least 40 million shares of the Restructure Security will be issued and outstanding; or (B) the Restructure Security will be listed on an Exchange or automated quotation system that is subject to an initial listing requirement of no less than seven million publicly owned shares.

In the case of a Restructure Security issued or distributed to the holders of the equity security that existed prior to the ex-date of a spin-off, reorganization, recapitalization, restructuring or similar corporate transaction ("Original Equity Security"), the Exchange or Association may consider the number of outstanding shares of the Original Equity Security prior to the spin-off, reorganization, recapitalization, restructuring or similar corporate transaction ("Restructuring Transaction").

(v) It must have at least 2,000 shareholders.

Requirement (v) as Applied to Restructure Securities:

If the security under consideration is a Restructure Security, the Exchange or Association may assume that this requirement is satisfied if, based on a reasonable investigation, the Exchange or Association determines that, on the product's intended listing date: (A) at least 40 million shares of the Restructure Security will be issued and outstanding; or (B) the Restructure Security will be listed on an Exchange or automated quotation system that is subject to an initial listing requirement of at least 2,000 shareholders.

In the case of a Restructure Security issued or distributed to the holders of the Original Equity Security, the Exchange or Association may consider the number of shareholders of the Original Equity Security prior to the Restructuring Transaction.

(vi) It must have had an average daily trading volume (in all markets in which the underlying security has traded) of at least 109,000 shares in each of the preceding 12 months.⁶

Requirement (vi) as Applied to Restructure Securities:

Look-Back Test: In determining whether a Restructure Security that is issued or distributed to the shareholders of an Original Equity Security (but not a Restructure Security that is issued pursuant to a public offering or rights distribution) satisfies this requirement, the Exchange or Association may "look back" to the trading volume history of the Original Equity Security prior to the ex-date of the Restructuring Transaction if the following Look-Back Test is satisfied:

(a) The Restructure Security has an aggregate market value⁷ of at least $500 million;

(b) The aggregate market value of the Restructure Security equals or exceeds the Relevant Percentage (defined below) of the aggregate market value of the Original Equity Security;

(c) The aggregate book value of the assets attributed to the business represented by the Restructure Security equals or exceeds $50 million and the Relevant Percentage of the aggregate book value of the assets attributed to the business represented by the Original Equity Security; or

(d) The revenues attributed to the business represented by the Restructure Security equal or exceed $50 million and the Relevant Percentage of the revenues attributed to the business represented by the Original Equity Security.

For purposes of determining whether the Look-Back Test is satisfied, the term "Relevant Percentage" means: (i) 25%, when the applicable measure determined with respect to the Original Equity Security or the business it represents includes the business represented by the Restructure Security; and (ii) 33-1/3%, when the applicable measure determined with respect to the Original Equity Security or the business it represents excludes the business represented by the Restructure Security.

In calculating comparative aggregate market values, the Exchange or Association shall use the Restructure Security's closing price on its primary market on the last business day prior to the date on which the Restructure Security is selected as an underlying security for a security futures product ("Selection Date"), or the Restructure Security's opening price on its primary market on the Selection Date, and shall use the corresponding closing or opening price of the related Original Equity Security.

Furthermore, in calculating comparative asset values and revenues, the Exchange or Association shall use the issuer's (i) latest annual financial statements; or (ii) most recently available interim financial statements (so long as such interim financial statements cover a period of not less than three months), whichever are more recent. Those financial statements may be audited or unaudited and may be pro forma.

Limitation on Use of Look-Back Test: Except in the case of a Restructure Security that is distributed pursuant to a public offering or rights distribution, the Exchange or Association may not rely upon the trading volume history of an Original Equity Security for any trading day unless it also relies upon the market price history for that trading day.

In addition, once the Exchange or Association commences to rely upon a Restructure Security's trading volume and market price history for any trading day, the Exchange or Association may not rely upon the trading volume and market price history of the Original Equity Security for any trading day thereafter.

(vii) It must have a market price per share of at least $7.50, as measured by the lowest closing price reported in any market in which it traded, for the majority of business days during the three calendar months preceding the date of selection.

Requirement (vii) as Applied to Restructure Securities:

Look-Back Test: In determining whether a Restructure Security that is issued or distributed to the shareholders of an Original Equity Security (but not a Restructure Security that is issued pursuant to a public offering or rights distribution) satisfies this requirement, the Exchange or Association may "look back" to the market price history of the Original Equity Security prior to the ex-date of the Restructuring Transaction if the following Look-Back Test is satisfied:

(a) The Restructure Security has an aggregate market value of at least $500 million;

(b) The aggregate market value of the Restructure Security equals or exceeds the Relevant Percentage (defined below) of the aggregate market value of the Original Equity Security;

(c) The aggregate book value of the assets attributed to the business represented by the Restructure Security equals or exceeds both $50 million and the Relevant Percentage of the aggregate book value of the assets attributed to the business represented by the Original Equity Security; or

(d) The revenues attributed to the business represented by the Restructure Security equals or exceeds both $50 million and the Relevant Percentage of the revenues attributed to the business represented by the Original Equity Security.

In calculating comparative aggregate market values⁸ the Exchange or Association shall use the Restructure Security's closing price on its primary market on the last business day prior to the Selection Date, or the Restructure Security's opening price on its primary market on the Selection Date, and shall use the corresponding closing or opening price of the related Original Equity Security.

Furthermore, In calculating comparative asset values and revenues, the Exchange or Association shall use the issuer's (i) latest annual financial statements; or (ii) most recently available interim financial statements (so long as such interim financial statements cover a period of not less than three months), whichever are more recent. Those financial statements may be audited or unaudited and may be pro forma.

Restructure Securities Issued in Public Offering or Rights Distribution: In determining whether a Restructure Security that is distributed pursuant to a public offering or a rights distribution satisfies requirement (vii), the Exchange or Association may look back to the market price history of the Original Equity Security if: (i) the foregoing Look Back Test is satisfied; (ii) the Restructure Security trades "regular way" on an Exchange or automatic quotation system for at least five trading days immediately preceding the Selection Date; and (iii) at the close of trading on each trading day on which the Restructure Security trades "regular way" prior to the Selection Date, as well as at the opening of trading on Selection Date, the market price of the Restructure Security was at least $7.50.

Limitation on Use of Look-Back Test: Except in the case of a Restructure Security that is distributed pursuant to a public offering or rights distribution, the Exchange or Association may not rely upon the market price history of an Original Equity Security for any trading day unless it also relies upon the trading volume history for that trading day.

In addition, once the Exchange or Association commences to rely upon a Restructure Security's trading volume and market price history for any trading day, the Exchange or Association may not rely upon the trading volume and market price history of the related Original Equity Security for any trading day thereafter.

(viii) If the underlying security is an ADR:

(a) The Exchange or Association must have an effective surveillance sharing agreement with the primary exchange in the home country where the stock underlying the ADR is traded;

(b) The combined trading volume of the ADR and other related ADRs and securities occurring in the U.S. ADR market, or in markets with which the Exchange or Association has in place an effective surveillance sharing agreement, represents (on a share equivalent basis) at least 50% of the combined worldwide trading volume in the ADR, the security underlying the ADR, other classes of common stock related to the underlying security, and ADRs overlying such other stock over the three-month period preceding the dates of selection of the ADR for futures trading ("Selection Date");

(c)(1) The combined trading volume of the ADR and other related ADRs and securities occurring in the U.S. ADR market, and in markets where the Exchange or Association has in place an effective surveillance sharing agreement, represents (on a share equivalent basis) at least 20% of the combined worldwide trading volume in the ADR and in other related ADRs and securities over the three-month period preceding the Selection Date;

(2) The average daily trading volume for the security in the U.S. markets over the three-month period preceding the Selection Date is at least 100,000 shares; and

(3) The trading volume is at least 60,000 shares per day in the U.S. markets on a majority of the trading days for the three-month period preceding the Selection Date; or

(d) The Securities and Exchange Commission and Commodity Futures Trading Commission have otherwise authorized the listing.

(ix) The Exchange or Association shall not list for trading any security futures product where the underlying security is a Restructure Security that is not yet issued and outstanding, regardless of whether the Restructure Security is trading on a "when issued" basis or on another basis that is contingent upon the issuance or distribution of shares.

II. Maintenance standards for a security futures product based on a single security.

A. Absent exceptional circumstances, an Exchange or Association may not open for trading security futures product with a new delivery month and may prohibit any opening purchase transactions in the security futures product already trading to the extent it deems such action necessary or appropriate, unless the underlying security meets each of the following maintenance requirements:⁹

(i) There are at least 6,300,000 shares outstanding that are owned by persons other than those who are required to report their security holdings under Section 16(a) of the Exchange Act.

(ii) There are at least 1,600 shareholders.

(iii) The average daily trading volume (across all markets in which the underlying security is traded) has been at least 82,000 shares in each of the preceding 12 months.¹⁰

Requirement (iii) as Applied to Restructure Securities:

If a Restructure Security is approved for a security futures product trading under the initial listing standards in Section I, the average daily trading volume history of the Original Equity Security (as defined in Section I) prior to the commencement of trading in the Restructure Security (as defined in Section I), including "when-issued" trading, may be taken into account in determining whether this requirement is satisfied.

(iv) The market price per share of the underlying security is at least $5.00 on a majority of the business days during the preceding six calendar months, as measured by the highest closing price reported for the underlying security in any market in which the underlying security traded; provided, however, that the Exchange or Association may waive this requirement and open for trading a security futures product with a new delivery month, if:

(a) The aggregate market value of the underlying security equals or exceeds $50 million;

(b) Customer open interest (reflected on a two-sided basis) equals or exceeds 4,000 contracts for all delivery months;

(c) Average daily trading volume in the underlying security (in all markets in which the underlying security is trading) has been at least 109,000 shares in each of the preceding 12 months;¹¹ and

(d) The market price per share of the underlying security closed at $3.00 or above on a majority of the business days during the preceding six calendar months, as measured by the highest closing price for the underlying security reported in any market in which the underlying security traded, and the market price per share of the underlying security is at least $3.00 at the time such additional series are authorized for trading. During the next consecutive six calendar month period, to satisfy this paragraph, the price of the underlying security shall be at least $4.00.¹²

Requirement (iv) as Applied to Restructure Securities:

If a Restructure Security is approved for security futures product trading under the initial listing standards in Section I, the market price history of the Original Equity Security prior to the commencement of trading in the Restructure Security, including "when-issued" trading, may be taken into account in determining whether this requirement is satisfied.

(v) If the underlying security is an ADR and was initially deemed appropriate for security futures product trading under paragraph (viii)(b) in Section I or under paragraph (viii)(c) in Section I, the Exchange or Association may not open for trading security futures products having additional delivery months on the ADR unless:

(a) The percentage of worldwide trading volume in the ADR and other related securities that takes place in the U.S. and in markets with which the Exchange or Association has in place effective surveillance sharing agreements for any consecutive three-month period is (1) at least 30%, without regard to the average daily trading volume in the ADR; or (2) at least 15% when the average U.S. daily trading volume in the ADR for the previous three months is at least 70,000 shares;

(b) The Exchange or Association has in place an effective surveillance sharing agreement with the primary exchange in the home country where the security underlying the ADR is traded; or

(c) The Securities and Exchange Commission and Commodity Futures Trading Commission have otherwise authorized the listing.

B. An Exchange or Association may not open trading in a security futures product with a new delivery month unless:

(i) The issuer of the underlying security satisfies applicable Exchange Act reporting requirements, or corrects any failure within 30 days after the date the report was due to be filed; and

(ii) The underlying security is listed on a national securities exchange or is principally traded through the facilities of a national securities association and is designated as an NMS security.

C. If prior to the withdrawal from trading of a security futures product covering an underlying security that has been found not to meet the Exchange's or Association's requirements for continued approval, the Exchange or Association determines that the underlying security again meets the Exchange's or Association's requirements, the Exchange or Association may open for trading new delivery months in such security futures product and may lift any restriction on opening purchase transactions.

D. Whenever the Exchange or Association announces that approval of an underlying security has been withdrawn for any reason or that the Exchange or Association has been informed that the issuer of an underlying security has ceased to be in compliance with Exchange Act reporting requirements, each Exchange or Association member shall, prior to effecting any transaction in security futures products with respect to such underlying security for any customer, inform such customer of such fact and that the Exchange or Association may prohibit further transactions in such security futures products as it determines is necessary and appropriate.

III. Initial eligibility criteria for a security futures product based on an index composed of two or more securities.

A. For a security futures product based on an index composed of two or more securities to be eligible for initial listing, the index must:

(i) Meet the definition of a narrow-based security index in Section 1a(25) of the Commodity Exchange Act and Section 3(a)(55) of the Exchange Act; and

(ii) Meet the following requirements:

(a) It must be capitalization-weighted, modified capitalization-weighted, price-weighted, or equal dollar-weighted.

(b) Its component securities must be registered under Section 12 of the Exchange Act.

(c) Subject to (e) and (k) below, the component securities that account for at least 90% of the total index weight and at least 80% of the total number of component securities in the index must meet the requirements for listing a single-security future, as set forth in Section I.

(d) Each component security in the index must have a minimum market capitalization of at least $75 million, except that each of the lowest weighted securities in the index that in the aggregate account for no more than 10% of the weight of the index may have a minimum market capitalization of only $50 million.

(e) The average daily trading volume in each of the preceding six months for each component security in the index must be at least 45,500 shares,¹³ except that each of the lowest weighted component securities in the index that in the aggregate account for no more than 10% of the weight of the index may have an average daily trading volume of only 22,750 shares for each of the last six months.¹⁴

(f) Each component security in the index must be a "reported security" as defined in Rule 11Aa3-1 under the Exchange Act (i.e., an NMS security).

(g) Foreign securities or ADRs thereon that are not subject to comprehensive surveillance sharing agreements must not represent more than 20% of the weight of the index.

(h) The current underlying index value must be reported at least once every 15 seconds during the time the security futures product is traded on the Exchange or Association.

(i) An equal dollar-weighted index must be rebalanced at least once every calendar quarter.

(j) If the underlying index is maintained by a broker-dealer, the index must be calculated by a third party who is not a broker-dealer, and the broker-dealer must have in place an information barrier around its personnel who have access to information concerning changes in and adjustments to the index.

(k) In a capitalization-weighted index, the lesser of: (1) the five highest weighted component securities in the index each have had an average daily trading volume of at least 90,000 shares over the past six months; or (2) the highest weighted component securities in the index that in the aggregate represent at least 30% of the total number of securities in the index each have had an average daily trading volume of at least 90,000 shares over the past six months.¹⁵

IV. Maintenance standards for a security futures product based on an index composed of two or more securities.

A. An Exchange or Association may not open for trading security futures products based on an index composed of two or more securities with a new delivery month unless the underlying index:

(i) Meets the definition of a narrow-based security index in Section 1a(25) of the Commodity Exchange Act and Section 3(a)(55) of the Exchange Act; and

(ii) Meets the following requirements:

(a) Its component securities must be registered under Section 12 of the Exchange Act;

(b) Subject to (d) and (j) below, the component securities that account for at least 90% of the total index weight and at least 80% of the total number of component securities in the index must meet the requirements for listing a single-security future, as set forth in Section I.

(c) Each component security in the index must have a market capitalization of at least $75 million, except that each of the lowest weighted component securities that in the aggregate account for no more than 10% of the weight of the index may have a market capitalization of only $50 million.

(d) The average daily trading volume in each of the preceding six months for each component security in the index must be at least 22,750 shares,¹⁶ except that each of the lowest weighted component securities in the index that in the aggregate account for no more than 10% of the weight of the index may have an average daily trading volume of at least 18,200 shares for each of the last six months.¹⁷

(e) Each component security in the index must be a "reported security" as defined in Rule 11Aa3-1 under the Exchange Act (i.e., NMS securities).

(f) Foreign securities or ADRs thereon that are not subject to comprehensive surveillance sharing agreements must not represent more than 20% of the weight of the index.

(g) The current underlying index value must be reported at least once every 15 seconds during the time the security futures product is traded on the Exchange or Association.

(h) An equal dollar-weighted index must be rebalanced at least once every calendar quarter.

(i) If the underlying index is maintained by a broker-dealer, the index must be calculated by a third party who is not a broker-dealer, and the broker-dealer must have in place an information barrier around its personnel who have access to information concerning changes in and adjustments to the index.

(j) In a capitalization-weighted index, the lesser of: (1) the five highest weighted component securities in the index each have had an average daily trading volume of at least 45,500 shares over the past six months; or (2) the highest weighted component securities in the index that in the aggregate represent at least 30% of the total number of stocks in the index each have had an average daily trading volume of at least 45,500 shares over the past six months.¹⁸

(k) The total number of component securities in the index must not increase or decrease by more than 33-1/3% from the number of component securities in the index at the time of its initial listing.

B. If the foregoing maintenance standards are not satisfied, the Exchange or Association shall not open for trading a security futures product based on an index composed of two or more securities with a new delivery month, unless it receives the approval of the Securities and Exchange Commission and the Commodity Futures Trading Commission.

Footnotes

¹ See Section 6(h)(1) of the Exchange Act. 15 U.S.C.78f(h)(i).
² The Commission, jointly with the CFTC, issued an order under Section 6(h)(4) to permit an American Depositary Receipt (ADR) to underlie a security future and be a component security of a narrow-based security index that underlies a security future. See Securities Exchange Act Release No. 44725 (August 20, 2001).
³ 15 U.S.C. 78f(h)(3). In addition, the CFMA amended the CEA to permit a board of trade to list and trade security futures products if the board of trade certifies to the CFTC that it has met certain requirements. See Section 2(a)(1)(D) of the CEA, 7 U.S.C. 2(a)(1)(D). Among other things, the CFTC proposed a rule requiring a board of trade to certify compliance with Section 6(h)(3)(C) of the Exchange Act. See 66 FR 37932 (July 20, 2001).
⁴ In considering underlying securities, the national securities exchange or national securities association shall rely on information made publicly available by the issuer and/or the markets in which the security is traded.
⁵ Other securities that are eligible to underlie an option are: (1) registered closed-end management investment companies that invest in the securities of issuers based in one or more foreign countries; (2) equities issued or anticipated to be issued in a spin-off, reorganization, restructuring or similar corporate restructuring; (3) exchange-traded fund shares that are traded on a national stock exchange or through the facilities of a national securities association and reported as "national market" securities and that represent an interest in a registered investment company organized as an open-end management investment company or unit investment trust; and (4) trust issued receipts that are principally traded on a national securities exchange or through the facilities of a national securities association and reported as "national market" securities. At this time, these securities are not eligible to underlie a future.
⁶ The requirement that a security underlying a future have an average daily trading volume of at least 109,000 shares for the preceding 12 months is comparable to the requirement that a security underlying an option have a minimum monthly trading volume of 2.4 million shares for the preceding 12 months. The 109,000 figure was arrived at by dividing 2.4 million by 22, which is the typical number of trading days in a calendar month.
⁷ A Restructure Security's aggregate market value may be determined from "when issued" prices, if available.
⁸ A Restructure Security's aggregate market value may be determined from "when issued" prices, if available.
⁹ In determining whether maintenance requirements are satisfied, the Exchange or Association shall ordinarily rely on information made publicly available by the issuer and/or the markets in which such security is traded.
¹⁰ The requirement that a security underlying a futures product have an average daily trading volume of at least 82,000 shares for the preceding 12 months is comparable to the requirement that a security underlying an option have a minimum monthly trading volume of 1.8 million shares for the preceding 12 months. The 82,000 figure was arrived at by dividing 1.8 million by 22, which is the typical number of trading days in a calendar month.
¹¹ See supra note 3.
¹² See Securities Exchange Act Release No. 33257 (November 30, 1993) (order approving modifications to equity options listing standards of the Amex, CBOE, NYSE, Phlx and PCX) (explaining that, after initial listing, if the security underlying an option maintains a market price of at least $3.00 for six months, $4.00 for the following six months, and then returns to $5.00, the options exchange need not delist the option).
¹³ This requirement is comparable to an average monthly trading volume requirement of 1 million shares, based on a calendar month having 22 trading days.
¹⁴ This requirement is comparable to an average monthly trading volume requirement of 500,000 shares, based on a calendar month having 22 trading days.
¹⁵ This requirement is comparable to an average monthly trading volume requirement of 2 million shares, based on a calendar month having 22 trading days.
¹⁶ This requirement is comparable to a monthly trading volume requirement of 500,000 shares, based on a calendar month having 22 trading days.
¹⁷ This requirement is comparable to a monthly trading volume requirement of 400,000 shares, based on a calendar month having 22 trading days.
¹⁸ This requirement is comparable to an average monthly trading volume requirement of 1 million shares, based on a calendar month having 22 trading days.

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Division of Market Regulation: Staff Legal Bulletin No. 15