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

On June 29, 2016 Nadex submitted to the Commission an emergency notice pursuant to Commission Rule 40.6(a), that on Thursday, June 23, 2016, as a result of the UK EU Membership Referendum (“Brexit”), the underlying markets upon which the Nadex foreign currency contracts are based experienced greater than usual volatility. The Nadex Rules for its foreign currency contracts state that the data set used in the expiration value is calculated is the last ten underlying midpoint prices between the bid/ask spread, ten pips wide or less, just prior to the close of the Nadex contract. Due to the underlying market volatility, the time it took to collect 10 bid/ask spreads ten pips wide or less for certain contracts 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 certain currency contracts. The specific contracts for which a widened spread was used are identified in the attached table.

Nadex also widened the acceptable bid/ask spread used in the collection of data for expiration value calculation in the GBP/USD 5-Minute Binary contracts expiring on trade date June 29, 2016 at 6:10pm ET, to 15 ticks wide or less.

Please click the PDF document below to view the specific contracts which were settled with a widened bid/ask spread.