Client Management Advisory Notice
From | Client Management
Subject | Corrected Information for Stock Index Limits Effective April 1, 2002
Effective Date | 04/02/02
Notice Number | NP#0174
Please note in yesterday, APRIL 1, 2002 notice NPWS #0173, the Nasadaq-100 and E-Mini Nasdaq Price limit information was incorrectly stated. You can find the correct information highlighted below. Sorry for the confusion! 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 | 70.00 | 15.00
10% Limit | 110.00 | 50.00 | 55.00 | 55.00 | 45.00 | 140.00 | 30.00
15% Limit | 165.00 | 75.00 | 82.00 | 82.00 | 67.00 | 210.00 | 45.00
20% Limit | 220.00 | 100.00 | 110.00 | 110.00 | 90.00 | 280.00 | 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.