Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Revised 2nd Quarter Stock Index Price Limits
Notice Date | 2005-04-01
Notice Number | Q2005-42
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 Thursday, March 31 at 3:30 p.m. These limits shall be in force for the balance of the 2nd calendar quarter, 2005. CME eliminated 2.5% price limits on May 13, 2001. Please also note that the former 2.5% “band” on CME® Globex® transactions has been modified. As of September 14, 2003, the default bands on all outright CME products equal two times (2x) the no-bust range. Note that any 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. Limits and bands are attached