NASDAQ OMX Derivatives Markets will, as of August 17, 2009, implement a new adjustment method- Fair Value. Due to the new method a holder of an option and either the buyer or seller of a future may receive compensation for lost time value in connection to a change of expiration day to an earlier date following mergers and de-listing procedures. The change also means that writers of options and either buyers or sellers of a future may be obligated to compensate the counterparty for lost time value.
For further information, please see the attached document.
