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