VOLUME 27 – BULLETIN #062

TO:	ALL CLEARING PARTICIPANTS
FROM:	CLIENT SERVICES AND SUPPORT
DATE:	October 11, 2007
SUBJECT:	Expiration Processing and Open Interest Reporting

Firms are reminded that changes in their futures open interest from exercise and assignment processing on Tuesday, October 16, 2007 must be reported on Wednesday, October 17, 2007.

For example, if a firm is short a call option in Sulfur Dioxide and is assigned during the expiration processing on Tuesday, the short Sulfur Dioxide futures position that resulted from the assignment must be correctly reflected as either an opening or an offsetting position to the firm's open interest. Generally, expiration transactions resulting from Option Expiration are not processed in firms' bookkeeping systems until the following business day. In these instances, firms are required to manually adjust their open interest. In the past, some firms have neglected to manually adjust futures open interest prior to the Wednesday morning reporting deadline. This has resulted in the public dissemination of inaccurate open interest data. As you are aware, open interest can be a significant factor in the decision to execute trades by market participants. For this reason, the importance of accurate, reliable and timely open interest reporting by clearing members cannot be overemphasized.

Firms are reminded that changes to open interest resulting from Tuesday’s Option Expiration processing must be correctly reported prior to the Wednesday morning open interest reporting deadline. Firms can make adjustments to their open interest through Position Management prior to 10:00 a.m.

Should you have any questions, please call or e-mail one of the following Client Services and Support Representatives: