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

On January 2, 2018 Nadex submitted to the Commission an emergency notice pursuant to Commission Rule 40.6(a), that on trade date Tuesday, January 2, 2018, the underlying GBP/USD 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 GBP/USD market, Nadex widened the acceptable bid/ask spread from 10 pips, to 20 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 12.31(f)(iv)(5), Nadex refrained from listing its 5-Minute Intraday GBP/USD Binary contracts beginning with the 6:20pm ET expiration and ending with the 6:35pm ET expiration time.