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

Pursuant to the authority granted in Nadex Rule 12.1(l), on trade date Friday, February 22, 2019, the underlying GBP/USD and GBP/JPY cash markets experienced a period of decreased activity at the open of the Nadex derivative contracts. The expiration value calculation process under normal market conditions collects midpoints for the expiration calculation data set 10 pips wide or less between the bid/ask spread. Due to decreased activity in the relevant underlying markets for contracts with a 6:10pm ET expiration time, Nadex widened the acceptable bid/ask spread from 10 pips to 25 pips for its GBP/USD contracts, and from 10 pips to 20 pips for its GBP/JPY contracts. This change was made in order to use midpoint prices occurring closer to the contract’s expiration time, therefore providing a more accurate expiration value. The acceptable bid/ask spread resumed its regular width of 10 pips following the 6:10pm ET expiration.