[Code of Federal Regulations] [Title 17, Volume 1] [Revised as of April 1, 2007] From the U.S. Government Printing Office via GPO Access [CITE: 17CFR16.01] [Page 317-318] TITLE 17--COMMODITY AND SECURITIES EXCHANGES CHAPTER I--COMMODITY FUTURES TRADING COMMISSION PART 16_REPORTS BY REPORTING MARKETS--Table of Contents Sec. 16.01 Trading volume, open contracts, prices, and critical dates. (a) Trading volume and open contracts. Each reporting market shall record 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 option delta, where a delta system is used; (2) The total gross open contracts, excluding from futures those contracts against which notices have been stopped; (3) For futures, open contracts against which delivery notices have been stopped on that business day; (4) The total volume of trading, excluding transfer trades or office trades; (5) The total volume of futures exchanged for commodities or for derivatives positions which are included in the total volume of trading; (6) The total volume of block trades which are included in the total volume of trading. (b) Prices. Each reporting market shall record 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 reporting 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 reporting 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 If vacated or withdrawn, bids and offers shall not be used in making this determination.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 or closing periods, the reporting market may record as appropriate: [[Page 318]] (A) The first price (in lieu of opening price 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 reporting market reasonably determines accurately reflect market conditions, clearly indicating that such prices are nominal. (2) The settlement price established by each reporting market or its clearing organization. (3) Additional information. Each reporting market shall record the following information with respect to transactions in commodity futures and commodity options on that reporting market: (i) The method used by the reporting market in determining nominal prices and settlement prices; and (ii) If discretion is used by the reporting market in determining the opening and closing ranges or the settlement prices, an explanation that certain discretion may be employed by the reporting market and a description of the manner in which that discretion may be employed. (c) Critical dates. Each reporting 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, reporting markets shall submit to the Commission the information specified in paragraphs (a)(1) through (a)(5), (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. (e) Publication of recorded information. (1) Designated contract markets shall make the information in paragraph (a) of this section readily available to the news media and the general public without charge, in a format that readily enables the consideration of such data, no later than the business day following the day to which the information pertains. The information in paragraphs (a)(4) through (a)(6) of this section shall be made readily available in a format that presents the information together. (2) Designated contract markets shall make the information in paragraphs (b)(1) and (b)(2) of this section readily available to the news media and the general public, and the information in paragraph (b)(3) of this section readily available to the general public, in a format that readily enables the consideration of such data, no later than the business day following the day to which the information pertains. (3) Registered derivatives transaction execution facilities shall comply with the publication of trading information requirement of section 5a(d)(5) of the Act and any Commission regulation adopted thereunder. (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; 71 FR 37818, July 3, 2006]