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CX Futures Exchange, L.P.

Rule Amendment Submission #2019-10

October 7, 2019

1. The text of the rule changes to the CX Futures Exchange, L.P. (“Exchange” or “CX”) 

Rulebook is attached. Additions are underlined and deletions are stricken through. This rule has 

been approved by the Exchange. Capitalized terms, unless otherwise defined herein shall 

possess the meaning(s) ascribed in the Exchange Rulebook.

2. The proposed effective date is ten business days after receipt by the Commodity Futures 

Trading Commission (“CFTC” or “Commission”) of this submission. 

3. Attached, please find a certification that: (1) these rules comply with the Commodity 

Exchange Act and the Commission’s regulations thereunder; and (2) concurrent with this 

submission, CX Futures Exchange, L.P. posted on its website: (i) a notice of pending 

certification of the rule submissions with the Commission; and (ii) a copy of this submission.

4. A concise explanation and analysis of the operation, purpose, and effect of the amended 

rule appears below.

5. There were no opposing views expressed regarding these amended rules.

=====================================================================

CONCISE EXPLANATION AND ANALYSIS OF THE OPERATION, PURPOSE, AND 

EFFECT OF THE CERTIFIED RULE AND ITS COMPLIANCE WITH APPLICABLE 

PROVISIONS OF THE ACT, INCLUDING CORE PRINCIPLES AND THE COMMISSION’S 

REGULATIONS THEREUNDER

Pursuant to Commission Rule 40.6(a)(7)(vi), the following is a concise explanation and analysis 

of the operation, purpose, and effect of the amended rules.

The Exchange currently offers the High Extreme Daily Temperature Index Swaps Contract (the 

“HEDTI Contract”), which relates to high extreme daily temperatures on each calendar day at a 

given location.

This rule amendment reduces the HEDTI Conversion Factor for any Strike Level that is 12

degrees or more below the HEDTI from 0.07 to 0.01. The change reduces the incentive for 

market participants to select artificially low Strike Levels, that is, strike prices that would be 

considered to be very “deep out of the money.”

CX Futures Exchange has considered the Core Principles, in particular Core Principles 2 

(Compliance with Rules) and 3 (Contracts Not Readily Subject to Manipulation), and has 

determined that these changes will render the contracts more readily usable by market 

participants.
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CERTIFICATIONS PURSUANT TO SECTION 5c OF THE COMMODITY EXCHANGE

ACT, 7 U.S.C. §7A-2 AND COMMODITY FUTURES TRADING COMMISSION RULE 40.6, 

17 C.F.R. §40.6

I hereby certify that:

(1) the amended Rules below comply with the Commodity Exchange Act, and the 

Commodity Futures Trading Commission’s regulations thereunder; and

(2) concurrent with this submission, CX Futures Exchange, L.P. posted on its 

website: (a) a notice of pending certification of the above Rules with the 

Commission; and (b) a copy of this submission. 

_________________________

By: Nolan Glantz

Title: COO

Date: October 7, 2019
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Attachment A — Rule Amendment

CX FUTURES EXCHANGE, L.P.

CHAPTER IX

CONTRACTS

... 

IX-3302. HIGH EXTREME DAILY TEMPERATURE INDEX SWAPS

(a) * * * * * 

(e) Determination of Final Settlement Prices for each Strike Level

Each HEDTI position holder will receive a payout on his or her position equal to the 

number of contracts at each Strike Level times the respective Final Settlement Price for each 

contract. The Final Settlement Price for each contract at each Strike Level is calculated using the 

procedure in subparagraphs (i) to (iii) below. Using this procedure, the Final Settlement Price for 

any contract is at least $0.01 and no more than $249.99.

(i) After the HEDTI is determined for each measuring station for a given Final 

Settlement Date, then the Exchange will determine the HEDTI Conversion Factor applicable to 

each Strike Level for that measuring station on that date. 

(A) For Strike Level “0”, if the HEDTI is zero (0), then the Conversion Factor 

will be 1.00, or for HEDTI values greater than zero, 0.01. 

(B) For all other Strike Levels, the HEDTI Conversion Factor is determined by 

Table 2 below.
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Table 2

Subtract Strike Level

from HEDTI, 

then if this difference is:

HEDTI Conversion Factor

Less than zero 0.01

zero 1.00

1 0.50

2 0.33

3 0.25

4 0.20

5 0.16

6 0.14

7 0.12

8 0.11

9 0.10

10 0.09

11 0.08

12 or more 0.070.01

(C) If, after applying (A) and (B) above, the HEDTI Conversion Factor for all 

Strike Levels with open interest is 0.01, then the lowest Strike Level above zero (“0”) with open 

interest will be assigned a HEDTI Conversion Factor of 1.00 and all other Strike Levels will 

remain unchanged.

(ii) The Exchange will multiply the number of contracts bid at each Strike Level by 

the HEDTI Conversion Factor and sum these values across all Strike Levels to obtain the 

contract's total Residual Bid Interest.

(iii) The Final Settlement Price for each Strike Level will equal that Strike Level’s 

HEDTI Conversion Factor times the total Original Margin applicable to the contract divided by 

the total Residual Bid Interest then rounded down to the nearest one cent ($0.01).

(iv) After determination of the Final Settlement Price for each contract as provided 

above, the Exchange will post for each Strike Level (A) the bid interest; (B) the Residual Bid 

Interest after application of the HEDTI Conversion Factor; and (C) the Final Settlement Price for 

each Strike Level.

(v) Final Settlement of open positions in each contract will occur as soon as practical 

after the Exchange’s calculation and verification of each day’s High Extreme Daily Temperature 

Index; for the avoidance of doubt, such time is generally not later than noon of the first Business 

Day following the Final Settlement Date.
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(f) * * * * *