Client Management Advisory Notice
From | Client Management
Subject | S-3755, Special Executive Report: Stock Index Price Limits Revised Effective Wednesday, January 2nd, 2002
Effective Date | 01/02/02
Notice Number | CM#0199
S-3755 January 2, 2002 Stock Index Price Limits Revised Effective Wednesday, January 2nd Price limits for domestic stock index futures are revised to the following levels, effective for the commencement of Electronic Trading Hours (ETH) at 5:30am on Wednesday, January 2nd. These limits shall be in force for the balance of the 1st calendar quarter, 2002. 1st Quarter 2002 Stock Index Futures Price Limits
| S&P 500 & E-Mini | MidCap 400 | S&P/Barra Growth | S&P/Barra Value | Russell 2000 & E-Mini | Nasdaq-100 & E-Mini | FORTUNE e-50
5% Limit | 55.00 | 25.00 | 27.00 | 25.00 | 22.00 | 80.00 | 17.00
10% Limit | 110.00 | 50.00 | 55.00 | 50.00 | 45.00 | 160.00 | 34.00
15% Limit | 165.00 | 75.00 | 82.00 | 75.00 | 67.00 | 240.00 | 51.00
20% Limit | 220.00 | 100.00 | 110.00 | 100.00 | 90.00 | 320.00 | 68.00
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 upwards 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. Limits in force during the current quarter are 1,000, 2,000 and 3,000 (limits were at 900, 1,800 and 2,700 index points during the previous calendar quarter). 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 190 DJIA points (the trigger stood at a level of 180 index points during the previous calendar quarter). Please note that the CME eliminated its 2.5% price limits on May 13, 2001. However, a 2.5% "band" is applied to GLOBEX�2 transactions. These bands restrict the GLOBEX2 operator from entering bids greater than the CME Last Price plus 2.5%; or, entering offers less than the CME Last Price less 2.5%. 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. These bands shall be in force throughout the current calendar quarter. 1st Quarter 2002 Bands
| S&P 500 & E-Mini | MidCap 400 | S&P/Barra Growth | S&P/Barra Value | Russell 2000 & E-Mini | Nasdaq-100 & E-Mini | FORTUNE e-50
2.5% Band | 27.00 | 12.00 | 13.00 | 12.00 | 11.00 | 40.00 | 8.00
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, Director, Clearing Development at 312-466-7469.