[Code of Federal Regulations]
[Title 17, Volume 1]
[Revised as of April 1, 2006]
From the U.S. Government Printing Office via GPO Access
[CITE: 17CFR16.01]

[Page 316-317]
 
              TITLE 17--COMMODITY AND SECURITIES EXCHANGES
 
             CHAPTER I--COMMODITY FUTURES TRADING COMMISSION
 
PART 16_REPORTS BY CONTRACT MARKETS--Table of Contents
 
Sec.  16.01  Trading volume, open contracts, prices, and critical dates.

    (a) Trading volume and open contracts. Each contract market shall 
publish for each business day the following information separately for 
futures by commodity and by future, and, for options, by underlying 
futures contract for options on futures contracts or by underlying 
physical for options on physicals, and by put, by call, by expiration 
date and by strike price:
    (1) The total volume of trading, excluding transfer trades or office 
trades;
    (2) The total quantity of futures exchanged for commodities or for 
derivatives positions which are included in the total volume of trading;
    (3) The total gross open contracts, excluding from futures those 
contracts against which notices have been stopped;
    (4) For futures, open contracts against which delivery notices have 
been stopped on the day for which publication is made;
    (5) The option delta, where a delta system is used.

    Note to paragraph (a): This information shall be made readily 
available to the news media and the general public without charge no 
later than the business day following the day for which publication is 
made.

    (b) Prices. Each contract market shall make readily available to the 
news media and the general public no later than the business day 
following the day to which the information pertains, the following 
information separately for futures, by commodity and by future, and, for 
options, by underlying futures contract for options on futures contracts 
or by underlying physical for options on physicals, and by put, by call, 
by expiration date and by strike price:
    (1) For the trading session and for the opening and closing periods 
of trading as determined by each contract market:
    (i) The lowest price of a sale or offer, whichever is lower, and the 
highest price of a sale or bid, whichever is higher, that the contract 
market reasonably determines accurately reflect market conditions. If 
vacated or withdrawn, bids and offers shall not be used in making this 
determination. A bid is vacated if followed by a higher bid or price and 
an offer is vacated if followed by a lower offer or price.
    (ii) If there are no transactions, bids, or offers during the 
opening and/or closing periods, the contract market may make available 
as appropriate: (A) The first price (in lieu of opening price

[[Page 317]]

data) or the last price (in lieu of closing price data) occurring during 
the trading session, clearly indicating that such prices are the first 
and the last price; or (B) nominal opening or nominal closing prices 
which the contract market reasonably determines accurately reflect 
market conditions, clearly indicating that such prices are nominal.
    (2) The settlement price established by each contract market or its 
clearing organization.
    (3) Additional information. Each contract market shall make readily 
available to the public the following information with respect to 
transactions in commodity futures and commodity options on that contract 
market: (1) The method used by the contract market in determining 
nominal prices and settlement prices; and (2) if discretion is used by 
the contract market in determining the opening and closing ranges or the 
settlement prices, an explanation that certain discretion may be 
employed by the contract market and a description of the manner in which 
that discretion may be employed.
    (c) Critical dates. Each contract market shall report to the 
Commission for each futures contract the first notice date and the last 
trading date and for each option contract the expiration date in 
accordance with paragraph (d) of this section.
    (d) Form, manner and time of filing reports. Unless otherwise 
approved by the Commission or its designee, contract markets shall 
submit to the Commission the information specified in paragraphs (a), 
(b) and (c) of this section as follows:
    (1) Using the format, coding structure and electronic data 
transmission procedures approved in writing by the Commission or its 
designee; provided however, the information shall be made available to 
the Commission or its designee in hard copy upon request; and
    (2) When each such form of the data is first available but not later 
than 7:00 a.m. on the business day following the day to which the 
information pertains for the delta factor and settlement price and not 
later than 12:00 p.m. for the remainder of the information. Unless 
otherwise specified by the Commission or its designee, the stated time 
is eastern time for information concerning markets located in that time 
zone, and central time for information concerning all other markets.

(Approved by the Office of Management and Budget under control number 
3038-0012)

[46 FR 54526, Nov. 3, 1981, as amended at 46 FR 63036, Dec. 30, 1981; 47 
FR 57014, Dec. 22, 1982; 51 FR 4717, Feb. 7, 1986; 51 FR 17474, May 13, 
1986; 62 FR 24032, May 2, 1997; 69 FR 76399, Dec. 21, 2004]