Citadel Advisors gets a slap on the wrist for alleged NYMEX rule violation
CME Group today posted a notice of disciplinary action as to Citadel Advisors LLC.
Pursuant to an offer of settlement in which Citadel neither admitted or denied the Rule violation upon which the penalty is based, a Panel of the New York Mercantile Exchange Business Conduct Committee found that the standard 2,000-lot position limit for the November 2021 Henry Hub Natural Gas Look-Alike Last Day Financial Futures (NOV21 HH) contract went into effect at the close of business on October 22, 2021. Prior to the NOV21 HH position limit going into effect, Citadel confirmed it would utilize the Conditional Limit, which permitted Citadel to hold a position of up to 10,000 NOV21 HH futures equivalent contracts as long as the firm did not hold a position in the Henry Hub Natural Gas Futures (NG) contract during the last three days of trading.
On October 26, 2021, Citadel held a futures equivalent position of 2,365 short NOV21 HH contracts, which was 365 contracts (or 18.25%) over the position limit and would be permissible under the granted Conditional Limit. However, Citadel initiated a short November 2021 NG (NOV21 NG) position and thereby breached the terms of the Conditional Limit.
The Panel found that, as a result, Citadel violated Rule 562.
In accordance with the settlement offer, the Panel ordered Citadel to pay a fine to the Exchange in the amount of $20,000.