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

On August 7, 2017 Nadex submitted to the Commission an emergency notice pursuant to Commission Rule 40.6(a), that on trade date Monday, August 7, 2017, the underlying USD/CAD cash market experienced a period of decreased activity at the open of the Nadex derivative contracts. The expiration value calculation process under ‘slow’ conditions would collect midpoints for the settlement data set 10 pips wide or less between the bid and ask spread. Due to decreased activity in the underlying USD/CAD market, Nadex widened the acceptable bid/ask spread from 10 pips, to 25 pips wide, in order to use prices occurring closer to the contract’s expiration time and provide a more accurate expiration value.

Additionally, due to the decrease in activity and pursuant to Nadex Rule 12.33(f)(iv)(5), Nadex refrained from listing its 5-Minute Intraday USD/CAD Binary contracts beginning with the 6:15pm ET expiration and ending with the 6:55pm ET expiration time.