#42005

TO: ALL CLEARING MEMBERS

DATE: OCTOBER 16, 2017

SUBJECT: Customer Margins for OneChicago Futures

On a monthly basis OCC updates the OneChicago scan ranges used in the OCX SPAN parameter file. The new rates become effective on the Tuesday, or second business day, following the standard ‘third Friday of the month’ expiration. The frequency of the updates is intended to keep the margin rates more closely aligned with clearing margins, while maintaining regulatory minimums related to security futures. This month’s new rates will be effective on Tuesday 10/24.

To receive email notification of these rate changes, which includes an attached file of the rate changes, please subscribe to the ONE Updates list from the OFRA webpage: https://www.theocc.com/risk- management/ofra/

The following scan ranges will be updated and all others will not change:

Current Scan Range Commodity Scan Effective Code Name Range 10/24/2017 AABA Altaba Inc. 44.7% 20.0% AAN Aaron's Inc 22.6% 24.1% AAXN Axon Enterprise, Inc. 23.2% 22.2% ABMD ABIOMED INCCOM 25.0% 24.0% ACAD ACADIA PHARMACEUTICALS 29.1% 30.4% ACHC ACADIA HEALTHCARE COMPANY INCOM 20.0% 20.8% ADP AUTOMATIC DATA PROCESSING IN 20.0% 22.0% AEO AMERICAN EAGLE OUTFITTERS NECOM 21.2% 20.0% AFSI AMTRUST FINANCIAL SERVICES ICOM 44.5% 24.2% AGIO AGIOS PHARMACEUTICALS INCCOM 35.6% 37.2% AGM FEDERAL AGRICULTURE CORP CLS C 21.0% 20.0% AHGP ALLIANCE HOLDINGS GP LPCOM UNITS LP 26.9% 32.0% AKAM AKAMAI TECHNOLOGIES INCCOM 20.0% 36.2% AKRX AKORN INCCOM 32.3% 34.2% AKS AK STL HLDG CORP 28.0% 29.0% ALGN ALIGN TECHNOLOGY INCCOM 20.0% 23.8% ALNY ALNYLAM PHARMACEUTICALS INCCOM 41.6% 43.8% ALR Alere Inc. 27.6% 26.5% AM ANTERO MIDSTREAM PARTNERS LPUNT LTD PARTN 20.0% 22.5% AMAG AMAG Pharmaceuticals Inc 30.0% 32.1% AMBA AMBARELLA INCSHS 24.3% 22.5% AMED AMEDISYS INCCOM 20.9% 29.6% ANF ABERCROMBIE & FITCH CO 23.7% 29.0% ANGI ANGI Homeservices Inc. 33.5% 31.7% AOBC American Outdoor Brands Corporation 31.5% 22.7% APA APACHE CORPCOM 20.3% 21.0% APEI AMERICAN PUBLIC EDUCATION INCOM 28.8% 30.4% ARNC Inc. 23.4% 20.6% ATHN ATHENAHEALTH INCCOM 25.9% 23.9% ATI INC 30.6% 31.8% AWI ARMSTRONG WORLD INDS INC NEWCOM 20.0% 22.7% BBRY BlackBerry Limited 27.6% 20.0% BBY BEST BUY INC 20.3% 21.0% BG BUNGE LIMITEDCOM 22.1% 20.0% BHF BRIGHTHOUSE FINL INCCOM 20.0% 43.1% BKD BROOKDALE SR LIVING INCCOM 23.4% 20.2% BKI BLACK KNIGHT INCCOM 20.0% 44.6% BKS BARNES & NOBLES INC 26.8% 28.6% BPI BRIDGEPOINT ED INCCOM 26.6% 34.0% BSBR BANCO SANTANDER BRASIL S AADS REP 1 UNIT 24.0% 20.8% BZH BEAZER HOMES USA INC 26.4% 25.3% CA CA, Inc. 20.0% 23.6% CAR Avis Budget Group Inc 32.5% 27.2% CARA CARA THERAPEUTICS INCCOM 100.0% 43.9% CBD Companhia Brasileira de Distribuicao 42.7% 44.2% CBI CHICAGO BRIDGE & IRON CO N VN Y REGISTRY SH 80.2% 28.3% CCO CLEAR CHANNEL OUTDOOR HLDGSCL A 26.8% 23.6% CDE Coeur Mining Inc. 33.1% 35.9% CENX Century Aluminum Co. 41.2% 43.2% CHK CHESAPEAKE ENERGY CORP 43.0% 45.3% CNX INC 31.5% 34.7% CPLA CAPELLA EDUCATION COMPANYCOM 20.0% 31.2% CROX CROCS INCCOM 27.4% 28.7% CRZO CARRIZO OIL & CO INC 29.9% 27.8% CSRA CSRA INCCOM 42.7% 20.0% CX CEMEX SAB DE CVSPON ADR NEW 20.0% 20.8% CYH COMMUNITY HEALTH SYS INC NEW 47.1% 50.8% CZR CAESARS ENTMT CORPCOM 39.5% 34.0% DATA TABLEAU SOFTWARE INCCL A 35.8% 34.7% DB DEUTSCHE BANK AGNAMEN AKT 20.0% 20.8% DDD 3-D SYS CORP DELCOM NEW 29.3% 30.3% DDS DILLARDS INC 22.0% 22.9% DECK DECKERS OUTDOOR CORP 27.8% 20.0% DNR DENBURY RES INC 58.3% 54.8% DST DST SYS INC DEL 20.0% 24.1% DSX Diana Shipping Inc. 37.2% 39.0% DXCM DEXCOM INCCOM 24.7% 25.8% ENBL ENABLE MIDSTREAM PARTNERS LPCOM UNIT RP IN 23.4% 27.3% ENDP Endo International plc 38.9% 40.5% ENLK Enlink Midstream Partners, LP 22.6% 26.5% EPE EP ENERGY CORPCL A 48.0% 56.5% EQGP EQT GP HLDGS LPCOM UNIT REP 26.7% 21.3% ESPR ESPERION THERAPEUTICS INC NECOM 59.5% 62.8% EWZ iShares MSCI Brazil Capped ETF 23.0% 20.0% FGP FERRELLGAS PARTNERS L.P.UNIT LTD PART 22.9% 25.0% FMI FOUNDATION MEDICINE INCCOM 29.6% 25.6% FNSR FINISAR 25.7% 26.5% FRO Frontline Ltd Bermuda 21.5% 20.2% FSC FIFTH STREET FINANCE CORPCOM 47.7% 21.3% FTR Frontier Communications Corp. 31.1% 25.4% GEL GENESIS ENERGY L PUNIT LTD PARTN 22.8% 21.9% GNC GNC HLDGS INC 35.4% 54.0% GNW Genworth Financial, Inc. (Holding Company) 38.2% 32.0% GSM Ferroglobe PLC 43.0% 25.5% GT GOODYEAR TIRE & RUBR CO 20.0% 21.9% HAIN HAIN CELESTIAL GROUP INCCOM 32.1% 20.5% HALO HALOZYME THERAPEUTICS INCCOM 28.0% 30.9% HOS HORNBECK OFFSHORE SVCS INC NCOM 44.5% 42.0% HPE HEWLETT PACKARD ENTERPRISE CCOM 40.9% 20.0% HUN HUNTSMAN CORPCOM 24.2% 27.3% ICPT INTERCEPT PHARMACEUTICALS INCOM 27.4% 28.7% INSY INSYS THERAPEUTICS INC NEWCOM NEW 28.8% 30.1% INVA Innoviva, Inc. 29.5% 28.6% IONS Ionis Pharmaceuticals, Inc. 39.0% 40.2% IPG INTERPUBLIC GROUP COS INC 20.0% 22.7% IPHI INPHI CORPCOM 22.6% 23.3% IRBT IROBOT CORPCOM 27.0% 35.2% ITG INVESTMENT TECHNOLOGY GRP NE 23.4% 20.0% IVC INVACARE CORP 25.2% 29.8% JCP PENNEY J C INC 20.0% 20.8% JDST DIREXION SHS ETF TRDLY JR GMNR BEAR 63.9% 66.9% JKS JINKOSOLAR HLDG CO LTDSPONSORED ADR 20.0% 27.4% JRI Nuveen Real Asset Income and Growth Fund 20.0% 45.0% KNDI Kandi Technologies Group, Inc 26.7% 29.1% KNX Knight-Swift Transportation Holdings Inc. 20.7% 21.8% KORS MICHAEL KORS HLDGS LTDSHS 26.3% 20.1% KOS KOSMOS ENERGY LTD 28.8% 24.6% KRO KRONOS WORLDWIDE INC 26.8% 25.2% KSS KOHLS CORP 21.9% 22.8% LB L Brands, Inc. 20.0% 20.8% LGFA Lions Gate Entertainment Corporation Class A 23.5% 21.9% LITE LUMENTUM HLDGS INCCOM 22.0% 22.8% LPI Laredo Petroleum Inc 30.6% 34.3% LQDT LIQUIDITY SERVICES INC 20.9% 22.0% LULU LULULEMON ATHLETICA INCCOM 23.6% 22.6% MBI MBIA INC 22.3% 20.0% MCF CONTANGO OIL & GAS COMPANY 31.6% 34.6% MDR MCDERMOTT INTL INCCOM 25.7% 28.6% MNTA MOMENTA PHARMACEUTICALS INCCOM 24.0% 25.3% MO ALTRIA GROUP, INC. 20.0% 29.9% MOH MOLINA HEALTHCARE INCCOM 23.2% 22.4% MPLX MPLX LPCOM 29.7% 28.2% MSTR MICROSTRATEGY INCCL A NEW 20.0% 82.5% MTW THE MAINTOWOC COMPANY, INC 22.0% 22.9% MU MICRON TECHNOLOGY INC 22.4% 20.2% MUR MURPHY OIL CORP 23.4% 24.6% NAT Nordic American Tankers Ltd 24.4% 20.0% NE Noble Corporation plc 25.5% 26.6% NFLX NETFLIX INCCOM 23.1% 24.7% NK NANTKWEST INCCOM 55.5% 37.0% NKE NIKE INC 23.1% 20.0% NRG NRG ENERGY INCCOM NEW 24.4% 33.2% NSM NATIONSTAR MTG HLDGS INCCOM 20.3% 23.0% NTP Nam Tai Property Inc. 20.0% 23.4% NTRI NUTRI SYS INC NEWCOM 23.9% 30.1% NUVA NUVASIVE INCCOM 20.0% 25.1% NVDA NVIDIA CORP 26.4% 24.4% NXPI NXP SEMICONDUCTORS N VCOM 20.9% 20.0% ODP OFFICE DEPOT INC 29.9% 31.8% OMER OMEROS CORPCOM 45.4% 43.6% ORLY O REILLY AUTOMOTIVE INC 20.0% 21.5% PAAS PAN AMERICAN SILVER CORP 22.9% 24.0% PETS PETMED EXPRESS INCCOM 20.0% 32.6% PHH PHH CORPCOM NEW 29.5% 28.5% PIR PIER 1 IMPORTS INC 28.7% 29.6% PRAA PRA Group, Inc. 25.8% 26.7% PTCT PTC THERAPEUTICS INCCOM 71.8% 74.4% PTEN PATTERSON UTI ENERGY INCCOM 20.6% 21.3% PWR QUANTA SVCS INC 21.0% 20.2% QEP QEP RES INCCOM 25.3% 33.5% QID ProShares UltraShort QQQ 22.6% 20.0% QLD ProShares Ultra QQQ 23.2% 20.0% QRVO Qorvo Inc 21.3% 20.1% REV REVLON INCCL A NEW 20.4% 23.9% RGR STURM RUGER & CO INC 30.9% 21.0% RICE RICE ENERGY INCCOM 30.0% 25.4% RIG Transocean Ltd 24.1% 25.3% SA SEABRIDGE GOLD INCCOM 30.7% 29.5% SAVE SPIRIT AIRLS INC 20.0% 38.5% SBS COMPANHIA DE SANEAMENTO BASISPONSORED ADR 23.5% 20.1% SBUX STARBUCKS CORPCOM 20.0% 20.6% SEMG SEMGROUP CORPCL A 28.5% 30.4% SERV SERVICEMASTER GLOBAL HLDGS ICOM 20.0% 20.7% SGEN SEATTLE GENETICS INCCOM 25.5% 22.0% SHAK SHAKE SHACK INCCL A 22.1% 21.1% SHI SINOPEC SHANGHAI PETROCHEMICSPON ADR H 24.4% 21.0% SHLD SEARS HLDGS CORPCOM 34.7% 33.6% SIG SIGNET JEWELERS LIMITEDSHS 20.7% 20.0% SINA SINA CORPORD 22.4% 20.2% SKX SKECHERS U S A INCCL A 28.8% 27.7% SLCA U S SILICA HLDGS INCCOM 26.0% 29.1% SNI SCRIPPS NETWORKS INTERACT INCL A COM 20.0% 20.7% SODA SODASTREAM INTERNATIONAL LTDUSD SHS 23.6% 24.8% SPWR SunPower Corporation 29.3% 30.2% SRPT SAREPTA THERAPEUTICS INCCOM 67.1% 63.9% SSRM SSR Mining Inc. 25.9% 27.1% SSW SEASPAN CORPSHS 29.9% 21.4% STRA STRAYER ED INCCOM 21.1% 23.3% STX SEAGATE TECH PLC (IRL) 26.3% 36.0% SYNA SYNAPTICS INCCOM 28.6% 29.5% TAHO TAHOE RES INCCOM 23.9% 32.4% TCS CONTAINER STORE GROUP INCCOM 57.1% 39.4% TDG Transdigm Group Inc. 20.7% 20.0% TECK Teck Resources LTD 33.2% 34.9% TEGP TALLGRASS ENERGY GP LPSHS CL A 24.1% 27.8% TEP TALLGRASS ENERGY PARTNERS LPCOM UNIT 21.8% 20.9% TERP TERRAFORM PWR INCCL A COM 37.3% 46.0% THC TENET HEALTHCARE 30.3% 31.5% TIVO TiVo Corporation 29.9% 27.7% TPX Tempur Sealy International Inc. 24.8% 26.5% TRIP TRIPADVISOR INCCOM 22.1% 21.3% TSU TIM PARTICIPACOES S ASPONS ADR PFD 23.1% 20.0% TUP TUPPERWARE BRANDS CORPCOM 20.0% 22.3% TWTR TWITTER INCCOM 28.6% 40.6% TZOO Travelzoo 25.7% 20.0% UAA UNDER ARMOUR INCCL A 22.7% 23.6% VEON VEON Ltd. 21.6% 20.7% VJET VOXELJET AGADS 28.7% 26.6% VRTX VERTEX PHARMACEUTICALS INC 20.0% 27.2% VRX Valeant Pharmaceuticals International, Inc. 53.8% 51.2% WFT Weatherford International plc 33.7% 35.2% WGP WESTERN GAS EQUITY PARTNERSCOMUNT LTD PT 25.7% 27.0% WIN Windstream Holdings, Inc. 20.9% 20.0% WMB Williams Companies 36.8% 34.8% WTW WEIGHT WATCHERS INTL INC NEWCOM 56.0% 53.6% X UNITED STATES STL CORP NEWCOM 34.9% 36.8% XON INTREXON CORPCOM 31.2% 33.4% XONE EXONE COCOM 30.4% 32.7% XPO XPO LOGISTICS INCCOM 21.9% 25.1% YELP YELP Inc 27.4% 23.1% YNDX YANDEX NV 20.0% 22.0%

For questions regarding this memo, Clearing Members may contact Member Services at 1-800-544-6091 or, within Canada, at 1-800-424-7320, and email [email protected] or [email protected].