Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Stock Index Price Limits Revised Effective Tuesday, October 1, 2002.
Notice Date | October 1, 2002
Notice Number | Q2002-89
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 Monday, October 1st. These limits shall be in force for the balance of the 4th calendar quarter, 2002. 4th Quarter 2002 Stock Index Futures Price Limits
| S&P 500® & E-miniTM | MidCap 400TM & E-mini™ | S&P/Barra GrowthTM | S&P/Barra ValueTM | Russell 2000® & E-mini™ | Nasdaq-100® & E-mini™ | FORTUNE e-50TM | S&P 500 Financial SPCTR™ | S&P 500 Technology (Telecom/IT) SPCTR™
5% Limit | 40.00 | 20.00 | 20.00 | 20.00 | 17.00 | 40.00 | 9.00 | 15.00 | 8.00
10% Limit | 80.00 | 40.00 | 40.00 | 40.00 | 35.00 | 80.00 | 18.00 | 30.00 | 16.00
15% Limit | 120.00 | 60.00 | 60.00 | 60.00 | 52.00 | 120.00 | 27.00 | 45.00 | 24.00
20% Limit | 160.00 | 80.00 | 80.00 | 80.00 | 70.00 | 160.00 | 36.00 | 60.00 | 32.00
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 price limits 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 note that CME eliminated its 2.5% price limits on May 13, 2001. However, a 2.5% “band” is applied to domestic stock index transactions on GLOBEX®. These bands restrict the GLOBEX 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%. Note that the Long-Short Technology 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. These bands shall be in force throughout the current calendar quarter. 4th Quarter 2002 Bands
S&P 500®& E-miniTM | MidCap 400TM & E-mini™ | S&P/Barra GrowthTM | S&P/Barra ValueTM | Russell 2000® & E-mini™ | Nasdaq-100® & E-mini™ | FORTUNE e-50TM | S&P 500 Financial SPCTR™ | S&P 500 Technology (Telecom/IT) SPCTR™ | LS Tech TRAKRSSM
20.00 | 10.00 | 10.00 | 10.00 | 8.00 | 20.00 | 4.00 | 7.00 | 4.00 | 5.80
Questions regarding this notice may be directed to: Stacey Jurek 312-338-2088 sjurek@cme.com