Exchange
price limit 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 shall become effective with the
commencement of Electronic Trading Hours (ETH) on Tuesday, September 30 at 3:30 p.m. Central Time.
The revised limits shall be applicable throughout the fourth calendar quarter of 2008.
If
limits were calculated using data collected through Monday, September 22, price limits for the
fourth calendar quarter of 2008 would be as set forth below. The official calculation will occur at the close of
business on Monday, September 30. Details of the revised limits will appear on the Exchange’s Web
site at www.cmegroup.com shortly thereafter, and a Special Executive Report will appear on the
Exchange floor before the opening of Regular Trading Hours (RTH) on Wednesday, October 1. Pro-forma limits and bands may be calculated as
follows …
Pro-Forma
4th
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
|
60.00
|
120.00
|
240.00
|
360.00
|
12.00
|
na
|
|
MidCap
400
ä
&
E-mini
|
37.00
|
75.00
|
150.00
|
225.00
|
8.00
|
na
|
|
DJIA
Ò
Futures
|
550
|
1,100
|
2,250
|
3,350
|
na
|
na
|
|
S&P/Citigroup
Growth
ä
|
30.00
|
60.00
|
120.00
|
180.00
|
8.00
|
na
|
|
S&P/Citigroup
Value
ä
|
30.00
|
60.00
|
120.00
|
180.00
|
8.00
|
na
|
|
NASDAQ-100
Ò
&
E-mini
|
85.00
|
170.00
|
340.00
|
510.00
|
24.00
|
na
|
|
E-mini
NASDAQ Composite
Ò
|
110.00
|
220.00
|
440.00
|
660.00
|
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
|
14.00
|
28.00
|
56.00
|
84.00
|
6.00
|
na
|
|
S&P
500 Technology (Telecom/IT) SPCTR
ä
|
12.00
|
24.00
|
48.00
|
72.00
|
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
|
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).
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. Pro-forma limits may be calculated at 1,100, 2,250
and 3,350 (limits were at 1,200, 2,400 and 3,600 index points during the previous calendar
quarter).
Please
consult the Rulebook for a complete description of the application of the circuit breaker
provisions .Or, you may wish to direct any inquiries to Lucy Wang, Research Analyst, Product
Research and Development at 312-648-5478.
Please
contact
mdo@cmegroup.com if you have any questions concerning this
notice. Thank you
|