Pursuant to Section 5c(c)(1) of the Commodity Exchange Act, and Commission Regulation §40.6(d)(2)(iv), and by the authority granted by Nadex Rules in Chapter 12, due to volatility in the underlying markets upon which the Nadex contracts are based, Nadex added numerous additional strike levels on a discretionary basis in its Weekly, Daily, Intraday 2-Hour and 5-Minute Binary contracts, as well as in certain foreign currency variable payout contracts throughout the week of June 20, 2016.
Due to the extreme number of additional strikes added, a summary of the increase in number of strike levels from June 20, 2016 has been included in Exhibit A. The increased number of strikes remained throughout the week. The full list of auto-generated strikes for the week of June 20, 2016 is contained in the Daily Bulletin, and can be provided upon request. In addition to the auto-generated strikes described in Exhibit A, manual strike levels were added on June 23 and 24, 2016, which are included in Exhibit B.
The number of 5-Minute Binary contract strike prices was increased from 5 strikes to 9 strike levels in the AUD/USD and USD/JPY, and from 5 strikes to 13 strike levels in the EUR/USD and GBP/USD beginning with the 11:05am ET expiration time on June 22, 2016 and continued throughout the week.
Additionally, on June 20, due to volatility in the underlying markets upon which the Nadex contracts are based, the strike width for the Daily Bitcoin contracts was increased from 1 to 4. The strike width for the 5 Minute GBP/USD was increased from 0.0003 to 0.0006, the width for the 2-Hour GBP/JPY was increased from 0.1 to 0.2, and the width for the GBP/USD was increased from 0.001 to 0.002. These changes remained throughout the week of June 20, 2016. On June 22, 2016 the strike width was increased for the Daily GBP/JPY from 0.2 to 0.4 beginning with the 3PM expiration and continuing through the close of business on June 24, 2016. Likewise, the strike width was increased for the Daily GBP/USD from 0.002 to 0.004 also beginning with the 3PM expiration and continuing through the close of business on June 24, 2016.
Finally, Nadex temporarily refrained from listing its 5-Minute Binary contracts on June 23, 2016, beginning with the 10:45pm ET expiration time and continuing through June 24, 2016 at 1:55am ET. The 5-Minute Binary contracts resumed listing on June 24, with the 2:05am ET expiration time.
As a result of the UK EU Membership Referendum, Nadex anticipates greater than usual volatility in its markets will continue through the June 27 week, as well as in the underlying markets upon which the Nadex contracts are based, and will adjust its contracts accordingly. Changes may include additional strike levels, widening of the bid/offer spread, or refraining from listing certain contracts. All changes will be provided in a Weekly Notification of Rule Amendments.
Should you have any questions or require further information, please contact the Compliance Department.