Clearing House Advisory Notices
To | All Firm Personnel, Service Bureau Representatives, and Independent Software Vendors
From | Clearing HOuse
Subject | Stock Index Price Limits Revised – Effective for 1st Quarter 2005
Notice Date | 2005-01-03
Notice Number | 05-01
Effective Date |
Price limits for domestic stock index futures are revised to the following levels, effective for the commencement of Electronic Trading Hours (ETH) on Friday, December 31 at 3:30 p.m. These limits shall be in force for the balance of the 1st calendar quarter, 2005. CME eliminated 2.5% price limits on May 13, 2001. Please also note that the former 2.5% “band” on CME Globex® transactions has been modified. As of September 14, 2003, the default bands on all outright CME products equal two times (2x) the no-bust range. Note that any TRAKRSSM Index futures contract is an exception to this rule where a band calculated as the CME Last Price ±25% is applied. The CME “Last Price” represents the last transaction or best bid or offer through the last transaction. These bands are recalculated quarterly using the same methodologies used to recalculate price limits. For the full text of this advisory... To view the price limits list on the CME web site...