S&P 500 Price Limits: Frequently Asked Questions

1. What are price limits and how do they function?

Price limits are a series of price fluctuation limits based on a reference price. In the case of E-mini S&P 500 (ES) and S&P 500 (SP) futures, the reference price is based on the previous trading day’s volume-weighted Average Price (“VWAP”) of the lead month E-mini S&P 500 futures contract determined between 2:59:30 p.m.—3:00 p.m. Central Time (CT).

Note – Equity price limits are downside limits during U.S. trading hours, with hard upside and downside limits of 5% during non-U.S. trading hours.

View Price Limits

2. What are the provisions during U.S. Trading Hours?

From 8:30 a.m. to 2:25 p.m. CT, there are successive price limits corresponding to 7%, 13%, and 20% declines below the previous trading day’s reference price.

8:30 a.m. – 2:25 p.m.

Level 1

7% decline

Level 2

13% decline

Level 3

20% decline

 

From 2:25 p.m. until the 3:00 p.m. CT close of the cash equity market, only the 20% price limit will be applicable.

2:25 p.m. – 3:00 p.m.

Level 3

20% decline

 

From 3:00 p.m. until the end of the current trading day at 4:00 p.m., CT there is a hard upside and downside limit of 5% based on the 3:00 p.m. reference price. The downside price limit, however, is either 5% below the 3:00 p.m. reference price OR the 20% price limit that applied before 3:00 p.m., whichever is closer to the 3 p.m. price.

3:00 p.m. – 4:00 p.m.

Upside Limit

+5%

Downside Limit

-5%

OR

-20%

3. What are the provisions for S&P 500 Futures during Non-US Trading Hours?

5:00 p.m. to 8:30 a.m. CT: There is a hard upside and downside limit of 5% from 5:00 p.m. to 8:30 a.m. The midpoint of the 5% limit is based on the 3:00 p.m. futures fixing price. The width of the 5% limit is based on 5% of the S&P 500 Index value at 3:00 p.m. 

5:00 p.m. – 8:30 a.m.

Price Limits

+/-5%

 

If the Primary futures contract is limit bid or limit offered at 8:23 a.m. and remains limit bid or limit offered at 8:25 a.m., then trading will be halted until 8:30 a.m. During the halt, the Exchange will provide an indicative opening with price limits expanded to 7% down.

4. How is a trading halt triggered for E-mini S&P 500 and S&P 500 futures and options?

Trading halts for E-mini S&P 500 and S&P 500 futures and options occur if, and only if, a NYSE Rule 80B trading halt is enacted in the cash equity market due to a 7%, 13%, or 20% downside move in the underlying S&P 500 Index relative to its previous closing price.

5. What happens when the primary E-mini S&P 500 futures contract declines 7%, 13%, or 20%?

Following a 7%, 13%, or 20% downside move in the primary E-mini S&P 500 futures contract, trading will NOT be halted and price limits will NOT expand unless NYSE Rule 80B is triggered. It is possible for the primary futures contract to hit the price limit without the enactment of NYSE Rule 80B in the cash equity market, in which case futures trading would continue within the applicable price limits.

Regarding order entry, an offer entered with a price below the prevailing down limit will be rejected. For instance, if Level 1 (7%) is the prevailing price limit, then orders below the 7% down limit will not be accepted. The order will be accepted, however, when the price limit is expanded to Level 2 (13%), provided that it is offering at higher than the 13% limit.

6. What happens when the underlying S&P 500 Index hits a circuit breaker level?

7% decline

A 7% decline (Level 1 circuit breaker) in the S&P 500 Index before 2:25 p.m. CT will trigger a NYSE Rule 80B trading halt for both the cash equity market AND all U.S.-based equity index futures and options, including E-mini S&P 500 and S&P 500 futures and options. Trading will resume once trading in the cash equity market resumes, with price limits expanded to Level 2 (13%).

13% decline

A 13% decline (Level 2 circuit breaker) in the S&P 500 Index before 2:25 p.m. CT will trigger a NYSE Rule 80B trading halt for both the cash equity market AND all U.S.-based equity index futures and options, including E-mini S&P 500 and S&P 500 futures and options. Trading will resume once trading in the cash equity market resumes, with price limits expanded to Level 2 (13%).

20% decline

A 20% decline (Level 3 circuit breaker) in the S&P 500 Index will terminate trading for the remainder of the trading day in both the cash equity market AND all U.S.-based equity index futures and options, including E-mini S&P 500 and S&P 500 futures and options. Trading will resume in coordination with the cash equity market.

Note: overnight trading will be suspended until the coordinated open.

Also note that from 2:25 p.m. to 3:00 p.m. CT, only the 20% market-wide circuit breaker level will be applicable.

7. How is the futures reference price determined when trading in the cash equity market is terminated early?

The reference price will be the VWAP for the primary E-mini S&P 500 futures contract during the last 30 seconds of trading in the cash equity market.

8. During the 2-minute monitoring period, can orders be submitted below the applicable price limit?

An offer entered with a price below the prevailing down limit will be rejected. For instance, if the prevailing Level 1 (7%) is the prevailing price limit, then orders below the 7% down limit will not be accepted. The order will be accepted, however, when the price limit is expanded to Level 2 (13%), provided that it is offering at higher than the 13% limit.

9. What is the relationship between lead month and deferred contracts under the circuit breaker methodology?

Upon a circuit breaker event in the cash equity market, all futures contracts act in unison.

10. Do S&P 500 options halt trading if the futures are either limit bid or limit offered at the 5% ETH daily limit?

If the primary futures contract is either limit bid or limit offered at the 5% ETH daily limit, then the associated options will be transitioned to a “pre-open” market state. During the pre-open market state, trade matching does not occur but orders can be entered, modified or cancelled.

The primary futures contract price level will be reviewed every ten minutes by the GCC manager. If a limit bid of limit offer condition does not exist at the time of review, then the associated options will be re-opened for trading. The GCC reserves the right to keep the options in a pre-open market state if a clear movement off the limit does not exist. All reviews are done on a best case basis.

 

NOTE: All times listed are in Central Time (CT).

 

See U.S.-Based Equity Index Futures Price Limits FAQ