Nadex Reverts Settlement Procedure for FX Contracts

Notice Type Notice ID
Exchange 828.020317

On February 3, 2017 Nadex submitted to the Commission an emergency action pursuant to Commission Rule 40.6(a), providing notice that on trade date February 3, 2017 Nadex reverted back to its pre-December 19, 2016 settlement procedure due to an expiration value calculation issue.  Until further notice, the expiration value for FX contracts will be calculated by taking the last 10 underlying Midpoints leading up to expiration of the Nadex contracts are collected for the data set, removing the highest and lowest 3 Midpoints, and averaging the remaining 4 Midpoints, rounding the resulting value to one decimal point past the precision of the underlying market.  Any members affected by the calculation issue were notified.

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