Nadex Widens Acceptable Bid/Ask Spread Used in Currency Expiration Value Calculation

Notice Type Notice ID
Exchange 785.100716

On October 7, 2016 Nadex submitted to the Commission an emergency notice pursuant to Commission Rule 40.6(a), that on trade date October 7, 2016, as a result of the decline in the value of the GBP, the underlying foreign currency GBP/USD market upon which the Nadex GBP/USD contracts are based experienced greater than usual volatility.  Due to the underlying market volatility, the time it took to collect 10 bid/ask spreads ten pips wide or less for the 5-Minute Intraday GBP/USD Binary contracts with expirations occurring from 7:15pm ET through 7:35pm ET exceeded the exchange set cut-off time to gather the data set.  Accordingly, in order to provide a more accurate settlement price, rather than collecting bid/ask spreads several minutes prior to expiration of the contract, Nadex widened the acceptable bid/ask spread used during the settlement calculation process for the affected contracts.  For 5-Minute GBP/USD contracts that expired at 7:15pm and 7:20pm ET, the acceptable bid/ask spread used to determine the midpoint was expanded to 50 pips.  For those 5-Minute GBP/USD contracts that expired at 7:25pm, 7:30pm, and 7:35pm ET, the acceptable bid/ask spread used to determine the midpoint was expanded to 20 pips.    

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