• Revised Stock Index Price Limits - Effective March 31, 2009

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2009-068
      • Notice Date
      • 27 March 2009
      • Effective Date
      • 31 March 2009

    • 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, March 31, at 3:30 p.m. Central Time. The revised limits shall be applicable throughout the second calendar quarter of 2009.
       
      If limits were calculated using data collected through Monday, March 23, price limits for the second calendar quarter of 2009 would be as set forth below. The official calculation will occur at the close of business on Tuesday, March 31. 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 Tuesday, April 1. Pro-forma limits and bands may be calculated as follows.  
       
      Pro-Forma 2nd Quarter 2009 Stock Index Price Limits and Bands

      Contracts

      5% Limit (Overnight Hours) up and down

      10% Limit
      Down only

      20% Limit Down only

      30% Limit Down only

      		  
       

      S&P 500  & E-mini

      35

      70

      140

      210

      		  

      MidCap 400  & E-mini

      20

      40

      80

      120

      		  

      DJIA  Futures

      350

      700

      1,400.00

      2,100.00

      		  

      S&P/Citigroup Growth

      17

      35

      70

      105

      		  

      S&P/Citigroup Value

      15

      30

      60

      90

      		  

      NASDAQ-100  & E-mini

      55

      110

      220

      330

      		  

      E-mini NASDAQ Composite

      70

      140

      280

      420

      		  

      E-mini NASDAQ Biotechnology

      30

      60

      120

      180

      		  

      S&P 500 Financial

       

       

       

       

      		  

      SPCTR

      5

      10

      20

      30

      		  

      S&P 500 Technology (Telecom/IT) SPCTR

      8

      16

      32

      48

      		  

      S&P Smallcap 600  & E-mini

      10

      20

      40

      60

      		  

      All TRAKRS

       

       

       

       

      		  

       

      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 and CBOT 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 700, 1,400 and 2,100 (limits were at 850, 1,700 and 2,600 index points during the previous calendar quarter).  

       

       

      Please contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this notice.

       

       

       

       

       

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