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Stock Index Price Limits Revised - Effective for 2nd Quarter 2010
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- To
- Quote Vendors
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- From
- Market Data Operations
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- #
- Q2010-61
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- Notice Date
- 01 April 2010
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- Effective Date
- 31 March 2010
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Effective as the commencement of Electronic Trading Hours (ETH) on Wednesday, March 31, 2010, at 3:30 p.m. Chicago time, price limits for domestic stock index futures are revised to the following levels below. These limits shall be in force for the entire second calendar quarter, 2010. Limits and bands are as follows:
2nd Quarter 2010 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 &Euro Denominated
55.00
110.00
220.00
330.00
MidCap 400 & E-mini
37.00
75.00
150.00
225.00
DJIA Futures
550.00
1,050.00
2,150.00
3,200.00
S&P/Citigroup Growth
27.00
55.00
110.00
165.00
S&P/Citigroup Value
25.00
50.00
100.00
150.00
NASDAQ-100 & E-mini
95.00
190.00
380.00
570.00
E-mini NASDAQ Composite
115.00
230.00
460.00
690.00
E-mini NASDAQ Biotechnology
45.00
90.00
180.00
270.00
S&P 500 Financial
SPCTR
10.00
20.00
40.00
60.00
S&P 500 Technology (Telecom/IT) SPCTR
12.00
24.00
48.00
72.00
S&P Smallcap 600 & E-mini
17.00
34.00
68.00
102.00
All TRAKRS
Exchange Rules call for the limits to be re-calculated quarterly at the close of business on the day preceding the commencement of a new calendar quarter.
The Exchange’s price limits are re-assessed quarterly rather than established at fixed levels insofar as fixed limits are not responsive to on-going market fluctuations. Exchange 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. Limits enforced during the current quarter are 1,050, 2,150 and 3,200 (limits during the first quarter of 2010 were at 1,050, 2,100 and 3,150 index points).
Contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this notice. Thank you.
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