NASDAQ OMX intends to implement the basket method for adjustment of stock
options, forwards and futures.
The basket method will be used in cases where a company, which shares serve as
underlying for derivatives, distributes shares in another company. The method
is applicable when the distributed shares will be listed on the Exchange in
connection to the distribution. The method implies that no adjustment is made
to the original strikes but the underlying will be a basket consisting of both
the original contract base and the distributed share in accordance with the
terms and conditions of the offer.
As such, in cases where the distributed share will be listed, NASDAQ OMX would
not be dependent on valuations from analytics or the ratio between VWAP on the
Ex-day and VWAP on the day preceding the Ex-day to determine the adjustment
factor.
NASDAQ OMX intends to replace the conversion method (4.5.2.2 Rules and
Regulations of NASDAQ OMX Derivatives markets) with the basket method with
effect from June 15, 2010.
For further information, please see the attached file.
