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 1^st.

These limits shall be in force for the balance of the 4^th calendar quarter, 2002. 

4^th Quarter 2002 Stock Index Futures Price Limits

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 TRAKRS^SM 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.  

4^th Quarter 2002 Bands

Questions regarding this notice may be directed to:

Stacey Jurek

312-338-2088

sjurek@cme.com