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Stock Index Price Limits to be Revised Effective for 4th Quarter 2008
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- To
- Quote Vendors
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- From
- Market Data Operations
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- #
- Q2008-194
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- Notice Date
- 26 September 2008
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- Effective Date
- 30 September 2008
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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 2008 Stock Index Price
Contracts
5% Limit (Overnight Hours)
10% Limit
20% Limit
30% Limit
2x No Bust
Band
4x No Bust
Band
S&P 500Ò & E-miniä
60.00
120.00
240.00
360.00
12.00
na
MidCap 400ä & E-mini
37.00
75.00
150.00
225.00
8.00
na
DJIAÒ Futures
550
1,100
2,250
3,350
na
na
S&P/Citigroup Growthä
30.00
60.00
120.00
180.00
8.00
na
S&P/Citigroup Valueä
30.00
60.00
120.00
180.00
8.00
na
NASDAQ-100Ò & E-mini
85.00
170.00
340.00
510.00
24.00
na
E-mini NASDAQ CompositeÒ
110.00
220.00
440.00
660.00
24.00
na
E-mini NASDAQ BiotechnologyÒ
40.00
80.00
160.00
240.00
24.00
na
S&P 500 Financial
SPCTRä
14.00
28.00
56.00
84.00
6.00
na
S&P 500 Technology (Telecom/IT) SPCTRä
12.00
24.00
48.00
72.00
6.00
na
S&P Smallcap 600ä & E-miniä
19.00
38.00
76.00
114.00
8.00
Na
All TRAKRSSM
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
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