U.S.-Based Equity Index Futures Price Limits: Frequently Asked Questions

1. Which products are relevant to this FAQ?

This FAQ applies to all U.S.-based Equity Index futures and options except E-mini S&P 500 and S&P 500 futures and options.

See FAQ for S&P 500 futures and options

2. 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 futures on U.S. equity indices, the reference price is based on previous trading day’s volume-weighted Average Price (“VWAP”) of the lead month contract determined between 2:59:30 p.m.—3:00 p.m. Central Time (CT) for the lead month futures contract of each index.

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

3. 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. CT until the end of the current Trading Day at 4:00 p.m., 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%

4. What are the provisions during Non-U.S. 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 underlying 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.

5. What happens when the primary futures contract declines by 7%, 13%, or 20%?

7% decline

If the primary futures contract limit is offered at the 7% down limit before 2:25 p.m. CT, a 2-minute monitoring period will commence for the primary futures contract and all associated futures and options. During this monitoring period, trading will continue at or above the 7% down limit.

If a limit condition exists at the end of the 2-minute monitoring period, a 2-minute trading halt occurs for the primary futures contract and all associated futures and options with price limits expanding to Level 2 (13%). If a limit condition does NOT exist, trading will continue with price limits expanding to Level 2 (13%).

13% decline

If the primary futures contract is limit offered at the 13% down limit, a 2-minute monitoring period will commence for the primary futures contract and all associated futures and options. During this monitoring period, trading will continue at or above the 13% down limit.

If a limit condition exists at the end of the 2-minute monitoring period, a 2-minute trading halt occurs for the primary futures contract and all associated futures and options with price limits expanding to Level 3 (20%). If a limit condition does NOT exist, trading will continue with price limits expanding to Level 3 (20%).

20% decline

If the primary futures contract is limit offered at the 20% down limit before 2:25 p.m. CT, trading will continue at or above the 20% down limit for the remainder of the trading day for the primary futures contract and all associated futures contracts. Options, however, will enter into a pre-open state, and trading will be halted so long as a limit condition exists. Once a limit condition does not exist, options will resume trading.

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.

6. What happens when the underlying S&P 500 Index hits a Level 1 (7%), Level 2 (13%), or Level 3 (20%) circuit breaker level?

When NYSE 80B is triggered due to a 7% or 13% decline in the underlying S&P 500 Index, a coordinated market trading halt for the cash equity market AND for all U.S.-based equity index futures and options products. Trading will resume for all U.S.-based equity index futures and options products when trading in the cash equity market resumes, with price limits expanding to the next level.

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 for all U.S.-based equity index futures and options. Trading in all U.S.-based equity index futures and options will resume in coordination with the cash equity market.

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

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 placed 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 circuit breaker, 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, all deferred futures contracts will follow the behavior of the lead month contract.

10. Do 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).