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 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
Down only
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.