Client Management Advisory Notice
From | Client Management
Subject | Revised Circuit Breaker Stock Index Limits, Effective Monday, April 1, 2002
Effective Date | 04/01/02
Notice Number | NP#0173
Exchange circuit breaker rules for domestic stock index futures call for a quarterly re-assessment of price limits based on prevailing market prices. Limits are calculated quarterly at the close of business on the day preceding the commencement of a new calendar quarter. Thus, new limits became effective on Monday, April 1st. (Actually, the revisions went into force on Sunday March 31st with the commencement of Electronic Trading Hours [ETH] for trades dated April 1st.) The revised limits shall be applicable throughout the 2nd calendar quarter. Pro-Forma 2nd Quarter 2002 Stock Index Price Limits
| S&P 500 & E-Mini | MidCap 400 & E-Mini | 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 | 27.00 | 22.00 | 75.00 | 15.00
10% Limit | 110.00 | 50.00 | 55.00 | 55.00 | 45.00 | 150.00 | 30.00
15% Limit | 165.00 | 75.00 | 82.00 | 82.00 | 67.00 | 225.00 | 45.00
20% Limit | 220.00 | 100.00 | 110.00 | 110.00 | 90.00 | 300.00 | 60.00
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 downwards 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). Please contact Brett Vietemer at (312) 930-3394, if you have any questions.