April 20, 2020 

VIA ELECTRONIC PORTAL 

Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre 1155 21st Street, N.W.

Washington, D.C. 20581 

Re: CFTC Regulation 40.2(a) Certification. Notification Regarding the Initial Listing of 

Bitcoin Futures and Options Contracts and Digital Asset Delivery Rules

Bitnomial Submission No. 20-001

Dear Mr. Kirkpatrick: 

Bitnomial Exchange, LLC. (3Bitnomial ́ RU 3Exchange ́) heUeb\ QRWLfLeV Whe CRPPRdLW\ FXWXUeV 

TUadLQg CRPPLVVLRQ (3CFTC ́ RU 3CRPPLVVLRQ ́) WhaW LW LV VeOf-certifying the initial listing of the 

Bitcoin US Dollar Futures, Deci Bitcoin US Dollar Futures and Options on US Bitcoin Dollar 

Futures (cROOecWLYeO\, 3Bitcoin Futures and Options ́), for trading on BiWQRPLaO¶V electronic trading 

platform and for submission for clearing via Whe MLQQeaSROLV GUaLQ E[chaQge (3MGEX ́) 

DeVLgQaWed COeaULQg OUgaQL]aWLRQ (3DCO ́) effective on April 22, 2020, for a future trade date to 

be determined by Bitnomial. Bitnomial is also self-certifying the related Digital Asset Delivery 

rules of the Bitnomial Rulebook.

In what follows: 

 Section 1: Bitcoin Futures and Options Product Descriptions (Bitnomial Rulebook Chapter 

XII);

 Section 2: Rules for Digital Asset Delivery (Bitnomial Rulebook Chapter XI);

 Section 3: Description of MGEX Clearing Arrangement;

 Section 4: Deliverable supply analysis; and

 Section 5: Addresses compliance of Bitnomial rules certified herein with the pertinent Core 

PULQcLSOeV fRU DeVLgQaWed CRQWUacW MaUNeWV (3CRUe PULQcLSOeV ́) VeW fRUWh LQ Whe Commodity 

E[chaQge AcW (3AcW ́).

Appendix A: Exchange Chapters with Terms and Conditions

Appendix B: Deliverable Supply Analysis [Redacted]

Section 1: Bitcoin Futures and Options Product Descriptions

Bitnomial will offer three contracts for trading on its Designated Contract Market. The Bitnomial 

Bitcoin US Dollar Future is deliverable and represents one Bitcoin. Bitnomial will also offer the 
Deci Bitcoin US Dollar Future which is deliverable and represents one-tenth of one Bitcoin. 

BLWQRPLaO¶V WhLUd RffeULQg ZLOO be RSWLRQV RQ Whe BLWQRPLaO BLWcRLQ US DROOaU FXWXUeV cRQWUacW. 

Options on Bitcoin US Dollar Futures will convert to Bitcoin US Dollar Futures on expiration.

Contract details are listed in Bitnomial Rulebook Chapter XII [Appendix A].

Section 2: Rules for Digital Asset Delivery

In order to take delivery of the Bitcoin US Dollar Futures or Deci Bitcoin US Dollar Futures, 

Participants and Clearing Members must comply with Chapter XI of the Bitnomial Rulebook.

POeaVe Vee [ASSeQdL[ A] fRU BLWQRPLaO¶V DLgLWaO AVVeW DeOLYeU\ RXOeV.

Participants and Clearing Members must have pre-existing relationships with an Exchange 

authorized delivery facility and MGEX prior to making or taking futures delivery.

Section 3: Description of MGEX Clearing Arrangement

MGEX, through its DCO, will have the exclusive right and obligation to provide for the 

management of post-trading, pre-settlement credit exposure with respect to the trading of 

Bitnomial Futures and Options contracts to ensure that trades are settled in accordance with 

applicable MGEX Rules and CFTC regulations. Clearing services shall include the Clearing of 

trades, acting as the counterparty to each trade prior to delivery, marking open positions to market 

and settling accounts, collecting and maintaining performance bonds and security deposits, 

providing a daily file to Bitnomial stating the transactions cleared and reporting volume and open 

interest, filing a trade capture report, filing Part 16 and Part 39 filings with the CFTC, and 

providing all necessary back office files to Clearing Members, though MGEX will not be 

responsible for the processing of such files.

All Bitnomial Participants and Clearing Members are subject to MGEX Clearing Rules. The 

UeOaWLRQVhLS beWZeeQ BLWQRPLaO aQd MGEX¶V DCO LV further discussed in the MGEX Rulebook. 

The trading of Bitnomial Futures and Options contracts will not commence until the related MGEX 

clearing rules have become effective. 

Section 4: Deliverable Supply Analysis

BLWQRPLaO¶V DeOLYeUabOe SXSSO\ AQaO\VLV LV aWWached aV [Appendix B]. Based on that analysis, 

Bitnomial has determined to set position limits at 20,000 contracts for Bitcoin US Dollar Futures 

and 200,000 for Deci Bitcoin US Dollar Futures. Options on Bitcoin US Dollar Futures position 

limits are set at 20,000 contracts.

Section 5: Core Principal Compliance

Bitnomial has determined that its rules related to the listing of Bitcoin Futures and Options

contracts comply with the requirements of the Commodity Exchange Act and the rules and 
regulations promulgated by the Commission thereunder. Bitnomial has reviewed the DCM Core 

Principles and related Guidance and determined that the listing of the Bitcoin Futures and Options

contracts impact the following Core Principals:

Core Principal 2 - Compliance with Rules:

Trading and delivery in Bitcoin Futures and Options will be subject to the Business Conduct and 

Trading Practice Rules found in Chapter IV of the Bitnomial Rulebook including Rule 403 which

forbids pre-arranged, pre-negotiated non-competitive trades. Trading and delivery in these 

products will also be subject to Market Operations and Discipline and Enforcement Rules found 

in Chapters V and VI, respectively.

Core Principal 3 - Contracts Not Readily Subject to Manipulation:

Trading and delivery in Bitcoin Futures and Options will not be readily subject to manipulation 

because they are subject to position limits. Using guidance from the Commission, Bitnomial has 

set the reportable position limit at the equivalent of five (5) bitcoins. Daily and Final settlement 

will be determined in accordance with Bitnomial Rule 509.

Core Principal 4 - Prevention of Market Disruption:

Trading and delivery in Bitcoin Futures and Options will be subject to prohibitions of market 

disruption under Chapters IV, V and VI relating to Business Conduct and Trading Practices, 

Market Operations, and Discipline and Enforcement, respectively. All trading at Bitnomial 

Exchange is subject to market surveillance and a robust disciplinary framework.

Core Principal 5 - Position Limits or Accountability:

Trading and delivery in Bitcoin Futures and Options will be subject to position limits as set forth 

in Chapter XII. The position limits are consistent with Commission guidance. Position limits may 

be adjusted based on market needs. 

Core Principal 7 - Availability of General Information:

Prior to the launch of trading Bitcoin Futures and Options, contract terms and conditions will be 

available on the Bitnomial website. Delivery of Bitcoin Futures and Options will also be available 

on the Bitnomial website.

Core Principal 8 - Daily Publication of Trading Information:

The Exchange will publish Bitcoin Futures and Options trading volumes, open interest levels, and 

price information on its website and through quote vendors.
Core Principal 9 - Execution of Transactions:

Execution of all Bitcoin Futures and Options ZLOO WaNe SOace RQ BLWQRPLaO¶V eOecWURQLc WUadLQg 

platform. Electronic execution provides competitive and transparent transactions. All Bitcoin 

Futures and Options will be cleared through MGEX.

Core Principal 10 - Trade Information:

All requisite trade information will be recorded and stored in the audit trail and will be surveilled 

and monitored in accordance with Bitnomial Rules.

Core Principal 11 - Financial Integrity of Transactions:

All Bitnomial Bitcoin Futures and Options contracts will be cleared through MGEX, a Designated 

Clearing Organization subject to Commission rules and oversight.

Core Principal 12 - Protection of Markets and Market Participants:

Bitnomial Rules set forth numerous requirements and protections to prevent intermediaries from 

disadvantaging customers. 

Core Principal 13 - Disciplinary Procedures:

All Bitnomial Bitcoin Futures and Options contracts are subject to the protections provided by 

Chapter VI of the Bitnomial Rulebook. Chapter VI describes the disciplinary procedures of the 

Exchange that authorize the Exchange to discipline, suspend, or expel Participants that violate the

Exchange¶s Rules.

Core Principal 14 - Dispute Resolution:

Disputes arising from trading of Bitcoin Futures and Options must be arbitrated in accordance with 

Bitnomial Rule found in Chapter VII. All disputes, controversies or claims between or among 

themselves that relate to or arise out of any contract or otherwise arise out of one or more 

transactions made or to be made on the Exchange or subject to the Rules and that are based upon 

facts and circumstances that occurred at a time when the parties were Participants or Customers.

Bitnomial hereby certifies that its Bitcoin Futures and Options contracts and delivery rules comply 

with the Act and all regulations promulgated by the Commission thereunder. As discussed above, 

trading in Bitnomial Bitcoin Futures and Options will not commence until the related MGEX 

clearing rules have become effective and Bitnomial determines to launch its contracts.

BLWQRPLaO ceUWLfLeV WhaW WhLV VXbPLVVLRQ haV beeQ cRQcXUUeQWO\ SRVWed RQ Whe E[chaQge¶V ZebVLWe 

at bitnomial.com/regulation/.
Should you have any questions concerning the above filing, please contact the undersigned at 

james.walsh@bitnomial.com.

Sincerely,

James Walsh

Chief Regulatory Officer

Bitnomial Exchange, LLC

Appendix A

Text of Chapter XI

Text of Chapter XII

Appendix B

Deliverable Supply Analysis

[Redacted Material]
Appendix A

CHAPTER XI

DIGITAL ASSET DELIVERY

Rule 1101 Digital Asset Delivery Definitions

3Digital Asset Delivery Address ́ PeaQV a unique identifier that serves as a virtual 

location where a Digital Asset can be sent.

3Depository ́ PeaQV Whe Digital Asset delivery facility, Bitnomial Depository, 

LLC1, or any successor organization authorized by the Exchange.

3Blockchain ́ PeaQV a dLVWULbXWed OedgeU WhaW UecRUdV WUaQVacWLRQV beWZeeQ SaUWLeV 

in a verifiable and permanent way.

3Delivering Participant ́ means the Participant that is required to deliver the 

underlying commodity through the Depository.

3Digital Asset ́ PeaQV BLWcRLQ, aQd aQ\ RWheU 3dLgLWaO cXUUeQc\ ́ ZhLch LV a 

3cRPPRdLW\ ́ XQdeU Whe CRPPRdLW\ E[chaQge AcW, aV aPeQded. FRU WhLV SXUSRVe, 3dLgLWaO 

cXUUeQc\ ́ PeaQV aQ\ W\Se Rf dLgLWaO XQLW WhaW LV XVed aV a PedLXP Rf e[chaQge RU a fRUP Rf 

digitally stored value (including digital units of exchange that (i) have a centralized 

repository or administrator, (ii) are decentralized and have no centralized repository or 

administrator, and/or (iii) may be created or obtained by computing or manufacturing 

effort).

3Receiving Participant ́ means the Participant that is required to take delivery of 

the underlying commodity through the Depository.

3Transfer ́ means transmission of a Digital Asset between the Depository and a 

Delivering or Receiving Participant. Delivery shall be fully effected and transferred if 

reflected by a consensus of nodes on the Digital Asset Blockchain and after being 

confirmed as such by the Depository.

Rule 1102 Participant and Clearing Member Delivery Obligations

(a) A Participant and its respective Clearing Member carrying a position that is 

required to make or take delivery hereby guarantees and assumes full and unconditional 

responsibility for the performance of all delivery requirements set forth in the Rules.

1 Bitnomial Depository, LLC is authorized by the Exchange and not licensed, approved or 

registered with the CFTC.
(b) Participants are required to register accounts for the purpose of making or 

taking delivery with the Depository and MGEX at least 30 days before the start of the 

delivery period. A Participant may effect delivery only through the Depository. 

(c) In the event of a default or failure of a Clearing Member during the delivery 

period or process, the Clearing House shall not be obligated to make or take delivery of 

Digital Assets.

(d) Any Participant intending to make or take delivery of a Digital Asset 

pursuant to a Futures Contract shall maintain a valid Digital Asset Delivery Address on 

record with the Depository to deliver and/or receive and to hold the respective Digital 

Asset. 

(e) Any Participant intending to make delivery of a Digital Asset agrees to 

transfer control of that asset to the Depository in anticipation of delivery in accordance 

with Exchange Rules.

(f) Each Delivery Participant represents and warrants, to the best of its 

knowledge, to each Receiving Participant, the Exchange, the Clearing House, and the 

Depository that the Digital Asset subject to delivery is free and clear of all adverse claims, 

security interests, liens and encumbrances of any kind whatsoever. Each Participant 

acknowledges and agrees that the Exchange, the Clearing House, and the Depository 

provide no representation or warranty as to good or marketable title to any Digital Asset 

subject to delivery. Each Receiving Participant hereby waives any right to bring a claim, 

whether in law or equity, against the Exchange, the Clearing House, and the Depository 

with respect to any defect in, or lack or failure of, good or marketable title of any Digital 

Asset delivered to Receiving Participant.

(g) The rights and obligations of Clearing Members for contracts cleared by the 

Clearing House, including but not limited to rights and obligations regarding clearing and 

settlement, variation payments and performance at expiration, shall be as set forth in the 

By-Laws and Rules of the Clearing House.

(h) Clearing Members will not, under any circumstances, be required to own, 

hold, or control Digital Assets under Exchange Rules, but Clearing Members must ensure, 

through position monitoring and communication with their customers, as Participants, that 

such customers are able to satisfy their obligations regarding delivery and acceptance 

thereof under the applicable MGEX and Exchange Rules.

(i) Clearing Members must confirm that Delivering Participants deliver the 

appropriate amount of Digital Asset to the Depository during the Delivery Period.

(j) All Participants and their respective Clearing Members with obligations to 

make or take delivery are subject to the Clearing House Rulebook.

Rule 1103 Delivery Procedures

(a) Notice
The Clearing Member shall provide the Clearing House with a Delivery Notice in 

the form and manner specified by the Clearing House. Delivery Notices must be delivered 

to the Clearing House as set forth in the By-Laws and Rules of the Clearing House. The 

Delivery Notice is not transferable.

(b) Final Settlement Price

The final settlement price shall be the sole basis for delivery. 

(c) Final Delivery

Final delivery will be made in the manner specified by the Exchange.

(i) Upon instruction by the Clearing House to the Exchange, the delivery 

of Digital Assets pursuant to Futures Contracts shall be effected by the 

Depository by transferring the relevant amount of the Digital Asset from 

the Digital Asset Delivery Address of the Delivering Participant to the 

Digital Asset Delivery Address of the Receiving Participant on the 

Digital Asset's Blockchain. Delivery shall be fully effected and 

transferred if reflected by a consensus of nodes on the Digital Asset's 

Blockchain and after being confirmed as such by the Depository (a 

"Transfer"). 

(ii) Upon a Transfer of Digital Assets from the Digital Asset Delivery 

Address of the Delivering Participant to the Digital Asset Delivery 

Address of the Receiving Participant on the Digital Asset's Blockchain, 

each Participant hereby agrees that all title, ownership and control of 

such Digital Asset, and all risk of loss associated with the 

misappropriation or loss of such Digital Asset, shall reside solely with 

the Receiving Participant.

(iii) Neither the Exchange nor the Clearing House will have any 

responsibility or liability to any Person for the use of, or any failure, 

error, action or omission of, the Depository.

Rule 1104 Cost of Delivery

All transaction fees required to make delivery of Digital Assets through the Depository 

must be paid by the Participant that is seeking to make delivery in addition to the full delivery 

amount. All transaction fees required to take delivery of Digital Assets through the Depository 

must be paid by the Participant seeking to take delivery. The Depository is authorized to deduct 

the transaction fees from the delivery amount in the case of a Participant taking delivery.

Rule 1105 Delivery Infractions

(a) The failure of the Delivering Participant to deliver sufficient Digital Assets 

to the Digital Asset Delivery Address in a timely manner shall constitute a delivery failure 

by the Participant and subject to disciplinary action. 
(b) If a Participant is required to pay funds pursuant to Rule 1103, but fails to 

deposit such funds in order to make timely payment on the date required, the Exchange 

may, in its sole discretion, impose a fine upon the Participant pursuant to the schedule of 

fines listed in Chapter VI and any other compensation due to the late or inaccurate delivery.

Rule 1106 Digital Asset Delivery Eligibility

(a) To qualify a Digital Asset as eligible for delivery, the Digital Asset sent through the 

Depository must be accepted as valid by the Digital Asset Blockchain consensus 

protocol and must be at a block depth acceptable to the Depository.

(b) New Digital Assets that are created as a result of a fork in the Digital Asset protocol 

during the term of a futures or options contract are not eligible for contract delivery. 

New Digital Assets created as a result of a fork in the Digital Asset protocol while the 

Depository is in the process of delivery will not be delivered to the Participant taking 

delivery of the forked Digital Asset. The Depository will return the new Digital Assets 

created, less any transaction fees, to the Participant making delivery at a later date 

determined by the Exchange. In the case of a fork where it is not clear which is the new 

Digital Asset chain, the Exchange has sole discretion to determine which chain will be 

delivered and which will be returned.

Rule 1107 Depository Reporting Requirements

In connection with, and as a condition to, performing the functions assigned to it herein 

with respect to Digital Asset delivery, the Depository will maintain all books and records relating 

to Transfers of Digital Assets. Such records must be available for inspection by the Exchange and 

the CFTC and must be maintained in a form acceptable to the Exchange for a period of not less 

than 5 years from the date of the relevant transaction. Further, the Depository shall maintain a set 

of operational procedures to which the Exchange shall access and shall keep the Commission 

informed of any material changes to such procedures.
CHAPTER XII

BITCOIN FUTURES AND OPTIONS

Rule 1201 Bitcoin US Dollar Futures

Product Name Bitcoin US Dollar Futures

Product Code BUS

Contract Size 1 Bitcoin

Price Quotation US Dollars per Bitcoin

Minimum Price Fluctuation $1 per Bitcoin ($1 per contract)

Trading Hours 8:30 Open to 14:30 Close CPT, Monday through Friday.

Trading Commencement 10 trading days prior to the last trading day six calendar months 

prior to expiry.

Trading Termination 9:30 CPT of the last trading day prior to the last Thursday of the 

expiry month.

Reportable Position Level 5 contracts

Margin US Dollars

Settlement Deliverable2

Listing

The first two consecutive contracts in the March, June, 

September, and December quarterly cycle.

Deliver Rules Bitnomial Rulebook Chapter XI

Clearing and Delivery 

Timeline

Please see MGEX Rulebook Chapter 23: Bitnomial Exchange 

Clearing Rules.

2 Bitnomial Depository, LLC is authorized by the Exchange and not licensed, approved or 

registered with the CFTC.
Rule 1202 Deci Bitcoin US Dollar Futures

Product Name Deci Bitcoin US Dollar Futures

Product Code BUI

Contract Size 1»10 Bitcoin

Price Quotation US Dollars per Bitcoin

Minimum Price Fluctuation $1 per Bitcoin ($0.10 per contract)

Trading Hours 8:30 Open to 14:30 Close CPT, Monday through Friday.

Trading Commencement 10 trading days prior to the last trading day six calendar months 

prior to expiry.

Trading Termination 9:30 CPT of the last trading day prior to the last Thursday of the 

expiry month.

Reportable Position Level 50 contracts

Margin US Dollars

Settlement Deliverable3

Listing The first two consecutive contracts in the March, June, 

September, and December quarterly cycle.

Deliver Rules Bitnomial Rulebook Chapter XI

Clearing and Delivery 

Timeline

Please see MGEX Rulebook Chapter 23: Bitnomial Exchange 

Clearing Rules.

3 Bitnomial Depository, LLC is authorized by the Exchange and not licensed, approved or 

registered with the CFTC.
Rule 1203 Options on Bitcoin US Dollar Futures

Product Name Options on Bitcoin US Dollar Futures

Product Code BUSO

Strike Price Listing

Minimum 40 strikes at $50 per contract strike increment above 

and below the at-the-PRQe\ VWULNe, Whe SUeYLRXV da\¶V VeWWOePeQW 

price of the underlying futures, then 20 strikes at $100 per 

contract strike increment above and below the highest and lowest 

$50 increment strike then 10 strikes at $500 per contract strike 

increment above and below the highest and lowest $100 

increment strike.

Contract Size One BUS futures contract

Exercise Style European

At-The-Money Behavior

Abandon Calls and Puts- please see MGEX Rule 23.8.2. 

Options ± AXWRPaWLc E[eUcLVe ́

Underlying Product Code BUS

Minimum Price Fluctuation $0.10 per contract

Trading Hours 8:30 Open to 14:30 Close CPT, Monday through Friday.

Trading Commencement The next trading day following the trading commencement of the 

underlying.

Trading Termination

Trading in an option class shall terminate on the last Friday 

which preceded by at least two business days, the last business 

day of the month preceding the options contract month. If such 

Friday is not an Exchange business day, then trading shall 

terminate on the preceding business day.

Reportable Position Level 5 contracts

Margin Unit US Dollars

Settlement Deliverable into BUS futures contract.

Listing The first two consecutive contracts in the March, June, 

September, and December quarterly cycle.
Rule 1204 Bitcoin Futures and Options Price Bands and Price Limits

(a) Price Bands. Price Bands are a per product price range for aggressive orders based on the 

latest top of book price. The initial Price Bands are based on the previous day settlement 

price + / - the Price Band Variation which is set by the Bitnomial Market Operations & Risk 

Team. The Price Band Variation range is continuously re-calculated from top of book.

(b) Price Limits. Price Limits are a per product price range based on a percentage of the 

previous day settlement price. If a trade occurs at the Price Limit for a side, the matching 

engine triggers a timer. If the timer elapses and no trades occur inside of the Price Limit, the 

Price Limits are re-calculated and reset. The resultant Price Limits are outside the original 

Price Limits to allow for additional price movement. The Exchange Market Operations & 

Risk Team has the ability to manually adjust the daily price limits if required by market 

conditions.

(c)

Products Price Band Variation Price Limit

BUS $250 50%

BUS-BUS $50 50%

BUI $250 50%

BUI-BUI $50 50%

BUSO $50 50%

Rule 1205 Bitcoin Futures and Options Position Limits

For purposes of aggregation, no market participant shall own or control any combination 

of futures and options contracts that exceeds twenty thousand (20,000) Bitcoin Futuresequivalent contracts net long or short in any single month, five thousand (5,000) of such 

contracts net long or short beginning on the first trading day of the delivery month, or two 

thousand (2,000) of such contracts net long or short beginning on the first day of the Delivery 

Period. In no case may a market participant own or control more than eighty thousand (80,000) 

Bitcoin Futures-equivalent contracts net long or short for all contract months. For aggregation 

purposes, ten (10) Deci Bitcoin Futures Contracts will convert into one (1) Bitcoin Futures 

Contract.

In determining whether any market participant has exceeded the position limits, all 

positions in accounts for which such market participant by power of attorney or otherwise 

directly or indirectly holds positions or controls trading will be included with the positions held 

by such market participant. Position limits will apply to positions held by two or more market 

participants acting pursuant to an expressed or implied agreement or understanding, the same as 

if the positions were held by a single market participant.

Rule 1206 Bitcoin Futures and Options Settlement Price Computation

(a) Settlement Times and Definitions
Daily Settlement Period Five minutes prior to Trading Close

Final Settlement Period Five minutes prior to Trading Termination

Settlement Period Daily or Final Settlement Period

Roll Period Five trading days prior to contract expiration day

Front Month Contract 

After Roll Period Next contract to expire

Deferred Month 

Contracts

All contracts yet to expire excluding the Front Month 

Contract

Pricing Contract Contract used for determining settlement prices

(b) Futures Pricing Contract Selection. Unless during the Roll Period, the Front Month 

Contract is the Pricing Contract for determining settlement prices. During the Roll 

Period, the next-to-expire Deferred Month Contract is used as the Pricing Contract.

(c) Futures Settlement Price Computation

(a) The settlement price of the Pricing Contract is the volume-weighted average price 

(VWAP) of all the trades during the Settlement Period.

(b) If no trades occur during the Settlement Period, the settlement price is the time-weighted 

average price (TWAP) of the bid-ask spread midpoint during the Settlement Period.

(c) If a bid-aVN VSUead LVQ¶W aYaLOabOe dXULQg Whe SeWWOePeQW PeULRd, earlier market data or a 

composite spot price is used from spot markets deemed acceptable by Bitnomial.

(d) All settlement prices are rounded to the nearest tick.

(d) Options Settlement Price Computation

i. The settlement price of the Pricing Contract is the volume-weighted average price 

(VWAP) of all the trades during the Settlement Period.

ii. If no trades occur during the Settlement Period, the settlement price is the time-weighted 

average price (TWAP) of the bid-ask spread midpoint during the Settlement Period.

iii. If a bid-aVN VSUead LVQ¶W aYaLOabOe dXULQg Whe SeWWOePeQW PeULRd, Whe VeWWOePeQW SULce LV 

the output of the Black-SchROeV PRdeO baVed RQ WhaW da\¶V VeWWOePeQW SULce aQd 30-day 

volatility of the underlying contract.

iv. All settlement prices are rounded to the nearest tick.
(e) Futures Non-Pricing Contract Settlement Prices. The settlement prices for non-Pricing 

Contracts are inferred from the quoted spread market relationships to the Pricing Contract 

settlement price, directly or indirectly.

(f) Futures Final Settlement. During the Final Settlement Period the Front Month Contract 

final settlement price is determined using the non-Pricing Contract settlement price 

procedure.

(g) Options Final Settlement. During the Final Settlement Period the Front Month Option 

Contract will settle based on the underlying Futures Contract.

(h) Sole Discretion. The Exchange has sole discretion to determine an alternative settlement 

price if the stated settlement procedure produces prices which are not representative of 

the fair value of the contract.