Client Management Advisory Notice
From | Client Management
Subject | Revised Stock Index Price Limits
Effective Date | 01/02/01
Notice Number | CM#0057
Effective January 1, 2001, price limits for domestic stock index futures are revised. The attached Special Executive Report S-3629 details the new price limits, which will be in force for the balance of the 1 st calendar quarter, 2001. If you have any questions, please contact Lisa Amato at (312) 338-2654. Thank you. Stock Index Price Limits Revised Effective Monday, January 1st Price limits for domestic stock index futures are revised to the following levels, effective for the commencement of Electronic Trading Hours (ETH) on Monday, January 1 st . These limits shall be in force for the balance of the 1 st calendar quarter, 2001.
| S&P 500 & E-Mini | MidCap 400 | S&P/Barr a Growth | S&P/Barr a Value | Russell 2000 | Nasdaq 100 & E-Mini | FORTUNE e-50
2.5% Limit | 32.00 | 12.00 | 17.00 | 15.00 | 11.00 | 65.00 | 14.00
5% Limit | 65.00 | 25.00 | 35.00 | 30.00 | 22.00 | 130.00 | 28.00
10% Limit | 130.00 | 50.00 | 70.00 | 60.00 | 45.00 | 260.00 | 56.00
15% Limit | 195.00 | 75.00 | 105.00 | 90.00 | 67.00 | 390.00 | 84.00
20% Limit | 260.00 | 100.00 | 140.00 | 120.00 | 90.00 | 520.00 | 112.00
Exchange rules call for the limits to be re-calculated quarterly at the close of business on the day preceding the commencement of a new calendar quarter. Note that stock index price limits are generally revised downward from the limits that were in force during the previous calendar quarter. The Exchange�s circuit breakers are re-assessed quarterly rather than established at fixed levels insofar as fixed limits are not responsive to on-going market fluctuations. CME Rules are designed to coordinate with circuit breaker provisions as applied by the New York Stock Exchange (NYSE). The NYSE enforces limits at 10%, 20% and 30% declines of the Dow Jones Industrial Average (DJIA), calculated at the beginning of each calendar quarter, using the average closing value of the DJIA for the prior month, rounded to the nearest 50 points. First quarter limits stand at 1,050, 2,150 and 3,200 � down from the previous quarter�s levels of 1,100, 2,200 and 3,300 index points. The NYSE also places certain restrictions or "collars" on index arbitrage activity in the event of a 2% price advance or decline per NYSE Rule 80A. The 2% trigger for the application of Rule 80A is 210 DJIA points � unchanged from the previous quarter�s level of 210 index points. Please consult the Rulebook for a complete description of the application of the circuit breaker provisions. Or, you may wish to direct any inquiries to Mr. John W. Labuszewski, Sr. Director, Research at 312-466-7469.