507.

Establishment of Settlement Prices.

(a)

(b)

The Exchange shall establish daily settlement prices at times provided in the

Contract specifications. Such daily settlement prices shall be subject to
subsequent review and revision by the Clearing Organization in accordance
with its rules and procedures.

The settlement price for an expiring Contract on its last trading day shall not =

be subject to revision by the Clearing Organization in the event that the
Contract provides for cash settlement of open positions.

- -{ Deleted: Scttlement prices shall be
established by the Clearing Organization
as provided under The Clearing
Corporation Rule 9-409. The Exchange
shall provide to the Clearing Organization
a recommendation with respect to the
settlement price at the time established by
the Exchange with respect to each
product as provided in the Contract
specifications. The time set for
determining the Settlement Price need not
coincide with the end of a Trading
Session or Trading Day.

Deleted: <#>In making the Exchange's
recommendation to The Clearing
Corporation with respect to the daily
Settlement Price for Contracts, the
Exchange or its designee shall consider
the volume weighted average price of the
last five trades preceding the time
established by the Exchange for
determination of the Settlement price as
provided in the Contract specifications,
provided that these five trades are not
older than 15 minutes. Provided,
however, if more than five trades are
traded during the final minute, then the
volume weighted average price shall be
calculated using all trades during the final
minute. Ifa Settlement cannot be
determined using the above procedures,
or if the price so determined, in the
Exchange’s discretion does not reflect,
| | tue market conditions, then the
Exchange will recommend a Settlement
price in its discretion. 4
The procedures for recommending a final
settlement price will be the same as those
in paragraph (b) of this Rule 507, except
| | that the number of trades necessary to be
averaged will be not less than ten during
the last 30 minutes of trading or, if more
than ten trades during the last minute of
\| trading, all such trades. The final
‘| settlement price will be calculated for
|] expiring futures contracts starting on the
last business day of the month prior to
expiration.

Formatted: Bullets and Numbering



(A)

(8)

(C)

ii)

discretion, determines that the price so determined does not
correspond to fair market conditions, or if ay Member which
is a party to the transaction to be cancelled objects to its
cancellation, the Exchange shall determine the Fair Market
Price by:

In the case of Contracts on Treasury instruments, selecting
three competent Authorized Traders (“Traders”) whose
Member does not have an interest in the transaction, and
requesting that each Trader calculate a Fair Market Price
for the transaction concerned. The Fair Market Price shall
be the average of the prices determined by these Traders. If
three such Traders cannot be identified or cannot calculate

a Fair Market Price, then the Exchange in its discretion
shall establish the Fair Market Price;

In the case of Futures Contracts on Russell Indexes during
Core Trading hours as defined in Rules 920(h) and 921(h),
employing the procedures set forth in subparagraph (A)
above;

In the case of Futures Contracts on Russell Indexes when
outside of the Core Trading hours as defined in Rules
920(h) and 921(h), referring to index valuation information
for other indexes and market indicators which the
Exchange in its sole discretion determines to be highly
correlated with the respective Russell Index.

The Fair Market Price determined under this paragraph shall
not be subject to appeal.


“Business Day” means any day on which the Exchange is open for trading the
Contract(s)._ The Exchange will publish the trading days for the Contracts on its website.



408. Cancellation of Transactions.

(a) In order to ensure orderly and fair market conditions, the Exchange, in its
discretion, may cancel a transaction ex officio if, in the judgment of the
Exchange, the price of the transaction effected on the Trading System
deviates significantly from its Fair Market Price; provided, however, that
the Exchange shall not cancel any transaction under this Paragraph (a)
where the transaction price falls within the applicable range specified in
Paragraph (b)(ii) of this Rule;

(b) The Exchange shall cancel a transaction executed on the Trading System
which results from the erroneous entry of an order or a quote (“mistrade”)
in order to ensure orderly and fair market conditions if:

(i) The Member which entered the erroneous order or quote into
the Trading System informs the Exchange by telephone within
15 minutes of the execution of the transaction by the Trading
System that the transaction was the result of an order or quote
that was mistakenly entered into the Trading System; and

(ii) The price of the transaction effected by the erroneous entry of
the order or quote is outside the following range as applicable:

Ticks Away From

Bi ages he Fair Market Price
2 Year U.S. Treasury Note Futures (FTNS) 12
Jumbo 2 Year U.S. Treasury Note Futures (FTN2) 12
3 Year U.S. Treasury Note Futures (FTN3) 20
5 Year U.S. Treasury Note Futures (FTNM) 20
10 Year U.S. Treasury Note Futures (FTNL) 20
30 Year U.S. Treasury Bond Futures (FTBX) 40
Russell 1000 Futures 30
Russell 2000 Futures 30
Option onJumbo 2 Year U.S. Treasury Note Futures
(OTN2) Fair value/Range
Option on 3 Year U.S. Treasury Note Futures (OTN3) 0-6 3 ticks
Option on 5 Year Treasury U.S. Treasury Note Futures 7-19 A4ticks
(OTNM) 20-38 6 ticks
Option on 10 Year U.S. Treasury Note Futures (OTNL) 39-63 8 ticks
Option on 30 Year U.S. Treasury Bond Futures (OTBX) > 63 10 ticks



Currency Futures
Delivery Currency Pricing Currency
euro. USS. dollar 10 * Formatted: Centered
Australian dollar USS. dollar 10 +~ ~~ | Formatted: Centered
British pound USS. dollar 15 + Formatted: Centered
US. dollar yen 10 . Formatted: Centered
USS. dollar Swiss franc 10 + ~-~ {Formatted: Centered
US. dollar Canadian dollar 10 +> ~~ | Formatted: Centered
euro Swiss frane 10 * -| Formatted: Centered
euro yen 10 + ~~ - {Formatted: Centered
British pound yen 10 +> ~~ | Formatted: Centered
euro, British pound 10 +~ ~~ { Formatted: Centered
(c) Ifa transaction is cancelled subject to paragraphs (a) or (b) of this Rule,
the Exchange shall also cancel any and all trades that were executed
outside the applicable range enumerated in paragraph (b)(ii) of this Rule
resulting from contingent orders having been selected for execution
because of the cancelled transaction.
(d) (i) If the mistrade forms part of a spread transaction, the Exchange
shall determine whether one leg is, or both legs are, outside of the
applicable range in paragraph (b)(ii) by determining the price of
each leg of the spread separately, and shall cancel only the leg of
the spread that is outside of the applicable range in paragraph
(b)(ii).
(ii) ‘If the Member entering the initial spread order would suffer a loss
from cancellation of one of the transaction’s legs, the Exchange
shall make the Member entering the erroneous order or quote a
party to the leg of the spread transaction that was not cancelled.
(iii) | Notwithstanding subparagraphs (d)(i) and (ii) of this rule, if the

mistrade was for a spread transaction executed through an Option
Combination Quote Book, then the legs of the transaction shall not
be separately priced, the Fair Market Price shall be determined
under the procedure of paragraph (j)(ii) of this rule and, if the price
of the spread is outside of the applicable range enumerated in
paragraph (b)(ii) of this rule, all legs forming the transaction or
strategy shall be cancelled.


(e)

®

(e)

(h)

@

@

The Exchange may charge the Member who caused the erroneous entry a
handling fee reflecting expenses incurred by the Exchange. Provided,
however, the fee charged shall be not less than $500 nor more than $1500
for futures and not less than $150 nor more than $450 for options per
occurrence. The Exchange shall refund exchange fees for the initial and
canceling transaction.

Cancellation of a transaction by the Exchange pursuant to this rule shall
be effected promptly by means of entering a counter-transaction into the
Trading System at the price at which the cancelled transaction was
effected.

The Exchange shall promptly notify all Members of any Member’s initial
notification of a mistrade and any subsequent action taken by the
Exchange and shall publish all necessary price corrections in a manner to
be determined by the Exchange. The Exchange shall notify the
concerned parties that it has cancelled the relevant transaction(s) within
ten minutes of first receiving notice of the mistrade unless impractical to
do so within that period.

The Exchange shall cancel any transaction under Rules 415, 416, 417,
and 418 upon notice to the Exchange of a mistrade by the parties to the
transaction and their agreement to its cancellation. The fees and refunds
provided for under paragraph (e) of this rule shall apply to both parties to
the cancelled transaction.

Cancellation of a transaction under this rule by the Exchange does not
preclude the Exchange from instigating disciplinary proceedings under
Part 6 of these Rules in the event that the cancelled transaction is
subsequently found not to have been executed in accordance with the
Rules of the Exchange.

Fair Market Price.

(i) The Fair Market Price within the meaning of paragraphs (a)
and (b) of this Rule shall be the last traded price before the
trade to be cancelled was matched by the Trading System.
Provided, however, that for options, if the last traded price
cannot be determined or, if in the Exchange’s discretion, the
last traded price does not correspond to fair market conditions,
then the Exchange shall compute the Fair Market Price using
the implicit option valuation based upon the price of the
underlying futures at the time the trade to be canceled was
matched by the Trading System.

(ii) If the Fair Market Price cannot be determined pursuant to the
procedures in paragraph (j)(i) and the Exchange, in its