Nadex Adds Discretionary Strike Levels for the Week of June 27, 2016

754.070116

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 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 27, 2016. 

Due to the extreme number of additional strikes added, a summary of the increase in number of strike levels from June 27, 2016 has been included in Exhibit A.  The increased number of strikes remained throughout the week.  Additionally, the number of strike levels generated for the 20-Minute US 500 Binaries increased from 15 to 21 beginning with the 12:40pm ET expiration on June 30, which remained for the rest of the week.  The number of strike levels generated for the 5-Minute Currency Binary contracts was increased from 5 to 13 beginning with the 8:25am ET expiration on June 24, and continued throughout the week of June 27.  The full list of auto-generated strikes for the week of June 27, 2016 is contained in the Daily Bulletin.  In addition to the auto generated strikes described in Exhibit A, manual strike levels were added throughout the week of June 27, 2016, which are included in Exhibit B.

Additionally, on June 27, due to volatility in the underlying markets upon which the Nadex contracts are based, 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.  Beginning with the 10:00am ET expiration on trade date June 24, the width for the 20-Minute US Indices increased as follows: the US 500 increased from 1 to 2 for the 10am ET through 11:20am expirations, as well as the 2:40pm through 4pm ET expirations; the US 500 increased from 0.7 to 1.4 for the 11:40am ET through 2:20pm ET expirations; the US Tech 100 increased from 3 to 6 for the 10am ET through 11:20am expirations, as well as the 2:40pm through 4pm ET expirations; the US Tech 100 increased from 2 to 4 for the 11:40am ET through 2:20pm ET expirations; the US SmallCap 2000 increased from 1 to 2 for the 10am ET through 11:20am expirations, as well as the 2:40pm through 4pm ET expirations; the US SmallCap 2000 increased from 0.7 to 1.4 for the 11:40am ET through 2:20pm ET expirations; and the Wall Street 30 increased from 9 to 18 for the 10am ET through 11:20am expirations, as well as the 2:40pm through 4pm ET expirations; the Wall Street 30 increased from 7 to 14 for the 11:40am ET through 2:20pm ET expirations.  The widths for the 20-Minute Indices returned to normal for the 12:20pm ET expiration on June 30, 2016.  Beginning with the 12:20am ET expiration on trade date July 1, 2016, the strike width for the 20-Minute Japan 225 Binary contracts increased from 20 to 40 and continued for the remainder of the week.  The strike width for the Daily Japan 225 Binary contract, as well as the 2-Hour Japan 225 Binary contracts beginning with the 10pm ET expiration, were increased from 40 to 80 for trade date June 27, and returned to normal for June 28.  Finally, beginning with the 7pm ET expiration on trade date June 28, the strike width for the Daily GBP/JPY and GBP/USD binary contracts increased from 0.002 to 0.004, which continued for the remainder of the week.    

Nadex refrained from listing its 5-Minute GBP/USD Binary contracts beginning with the 6:05pm ET expiration on trade date June 27, 2016 and ending with the 6:35pm ET expiration on that date.  The open of the 2-Hour GBP/USD Binary and Spread contracts was delayed until 6:51pm ET on trade date June 27, and the opening of the 2-Hour GBP/JPY Binary contracts was delayed until 6:55pm ET on trade date June 27.  The opening of the 2-Hour GBP/JPY Spread contracts was delayed until 6:15pm ET on trade date June 28.   The opening of the 2-Hour GBP/JPY Spread contracts was delayed until 6:12pm ET on trade date June 29.   

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