Effective March 3, 2008
, CME and CBOT will adopt common rule language with respect to Rule
550 (“Post Close Session”). The key elements of the post close session are summarized below,
followed by the text of the harmonized rule.
Three-Minute Post Close Session
There will be a three-minute post close session in all pit-traded
futures contracts with the exception of CBOT Mini-sized agricultural futures. Additionally,
CBOT agricultural options will have a three-minute post close session on all days except for the
last day of trading in an expiring option.
Any futures contract month that is listed for trading is eligible to
be traded during the post close session.
For options contracts that have a post close session, any listed
strike is eligible to be traded during the post close session.
Spread trades may be executed during the post close session provided
that the relevant spread has traded during the trading session or the legs comprising the spread
have previously opened during the trading session.
Flexible Starting Time for the Post Close Session
The post close session will begin as soon as practicable, but no more
than 15 minutes, after the regular close. Trading Floor Operations staff, in consultation with
the Pit Committee, will determine when, within that 15 minute period, the pit is prepared to begin
the post close session based on the market conditions. Trading Floor Operations staff will
communicate the starting time of the post close session to the pit.
The post close session for a CBOT agricultural option contract will
begin at the same time as the underlying futures contract.
The post close session for Soybean, Soybean Oil and Soybean Meal
futures will begin at the same time along with their corresponding options.
Eligible Prices During the Post Close Session
Outright Futures
– Trades during the post close session may be executed at prices
within the closing range, at the settlement price, or at any price between the settlement price and
the prices within the closing range.
Contracts which have not traded during the session or have not
previously opened are eligible to be traded during the post close. Trades may occur at any
valid prices between the nominal close and the settlement price. Such trades will be reflected
in the high/low for the contract on that day.
Futures Spreads and Combinations
– Spread and combination trades must be priced such that one leg of
the spread is within the range of prices eligible to trade during the post close session; the other
leg or legs may be priced at any price, subject to the daily price limits for those contracts with
price limits. For spreads executed to correct an error, all of the legs may be priced at any
price, subject to daily price limits for those contracts with price limits.
Spread prices executed during the post close may establish a new high
or low for the spread.
Options
– Trades in CBOT agricultural options may be executed at any price
within the daily price limits during the post close session.
Order Execution During the Post Close Session
Members are obligated to bid or offer any orders that are executable
during the post close session.
New orders,
including new customer orders, may be entered after the regular close for
execution during the post close session.
The text of Rule 550 is the same for CME and CBOT with the exception
of the reference to “board-traded futures” in the first paragraph in the CME Rule.
550. POST CLOSE SESSION
As soon as practicable, but in no event more than 15 minutes after
the close of Regular Trading Hours for pit-and board-traded futures and designated options
contracts, trading may resume for a period of three minutes. The post close session for
related products shall commence simultaneously.
During the post close session, members are obligated to bid or offer
any orders that: (1) were received prior to the close; (2) were executable in the closing range;
and (3) are executable in the post close session. In addition, members are obligated to bid or
offer any orders, including customer orders, that were received after the close and are executable
in the post close session.
Outright futures trades during the post close session may only occur
at the settlement price, prices within the closing range, or any valid intervening price between
the settlement price and the closing range. During the post close session, outright options
trades may occur at any price except that options contracts with daily price limits must be traded
at prices within the daily limits.
A simultaneous spread or combination transaction executed pursuant to
Rule 542 may be transacted during the post close session provided that the spread has previously
traded during the Regular Trading Hours session or the legs comprising the spread have previously
opened during the Regular Trading Hours session. The differential or combination price at
which a spread trades during the post close session may establish a new high or low for the
spread. Spreads or combination transactions must be priced so that one leg is priced within
the range of prices eligible to trade in the post close session and one leg is priced within the
daily price limits for contracts with price limits. If a spread is used to correct an
erroneous transaction during the post close session, then the legs may be priced outside of the
range of prices eligible to trade during the post close session, but must be within the daily price
limits for contracts with price limits. The price assignment conventions and conditions set
forth in Rule 542 shall apply to any simultaneous spread or combination transaction executed in the
post close session.
Except as otherwise specifically set forth in this rule, the rules
applicable to trading during Regular Trading Hours shall be applicable to trading during the post
close session.
Questions regarding this advisory may be directed to
the following individuals in Market Regulation:
Jennifer Baum, Associate Director, Market Regulation,
312.341.3124
Robert Sniegowski, Associate Director, Market
Regulation, 312.648.5493
Kathleen Zaino, Associate Director, Market Regulation,
312.930.2341
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