Market Data Advisory Notices
To | Quote Vendors
From | Market Data Operations
Subject | Revised Stock Index Futures Limits--Effective June 30, 2008
Notice Date | 2008-07-02
Notice Number | Q2008-133
Effective Date | 2006-06-30
On Monday June 30, 2008 at 3:30 p.m., price limits for domestic stock index futures were revised to the following levels. These limits will be in force for the balance of the 3 rd calendar quarter, 200 8. 3 rd Quarter 200 8 Stock Index Price Limits and Bands
Contracts | 5% Limit (Overnight Hours) | 10% Limit | 20 % Limit | 30 % Limit | 2x No Bust Band | 4x No Bust Band
S&P 500 Ò & E-mini ä | 65.00 | 130.00 | 260.00 | 390.00 | 12.00 | na
MidCap 400 ä & E-mini | 42.00 | 85.00 | 170.00 | 255.00 | 8.00 | na
S&P/Citigroup Growth ä | 32.00 | 65.00 | 130.00 | 195.00 | 8.00 | na
S&P/Citigroup Value ä | 32.00 | 65.00 | 130.00 | 195.00 | 8.00 | na
Russell 2000 Ò & E-mini | 35.00 | 70.00 | 140.00 | 210.00 | 8.00 | na
NASDAQ-100 Ò & E-mini | 95.00 | 190.00 | 380.00 | 570.00 | 24.00 | na
E-mini NASDAQ Composite Ò | 120.00 | 240.00 | 480.00 | 720.00 | 24.00 | na
E-mini NASDAQ Biotechnology Ò | 40.00 | 80.00 | 160.00 | 240.00 | 24.00 | na
S&P 500 Financial SPCTR ä | 15.00 | 30.00 | 60.00 | 90.00 | 6.00 | na
S&P 500 Technology (Telecom/IT) SPCTR ä | 13.00 | 26.00 | 52.00 | 78.00 | 6.00 | na
S&P Smallcap 600 ä & E-mini ä | 19.00 | 38.00 | 76.00 | 114.00 | 8.00 | na
All TRAKRS SM |  |  |  |  | na | 1.00
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). 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 enforced during the current quarter are 1,200, 2,400 and 3,600(limits were at 1,200, 2,450 and 3,650 index points during the previous calendar quarter). The merger between CME and CBOT means that Dow Jones Industrial Average (DJIA) futures are now an important component of the CME Group’s roster of benchmark stock index products. Limits are as follows:
Contracts | 5% Limit | 10% Limit | 20% Limit | 30% Limit
DJIA Futures | 600 | 1,200 | 2,400 | 3,600