Post Close Session

Effective August 17, 2009, CME, CBOT, NYMEX and COMEX will have substantially harmonized 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 rule. 

Three-Minute Post Close Session

There will be a three-minute post close session in 1) all pit-traded futures contracts with the exception of CBOT Mini-sized agricultural futures and 2) all NYMEX and COMEX options and CBOT agricultural options, except there will no post close session in CBOT agricultural options on the last day of trading in the expiring option.  CME does not currently have a post close session in any options contracts.

For contracts that have a post close session, all listed futures and options contracts and all spreads and combinations are eligible to be traded during the session. 

Contracts which have not traded during the session or have not previously opened are eligible to be traded during the post close 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. 

The post close session for all NYMEX and COMEX options contracts will begin at the same time as the underlying futures contract.  The post close session for New York Harbor Gasoline Blendstock (RBOB), New York Harbor No. 2. Heating Oil and Light, Sweet Crude Oil futures will begin at the same time along with their corresponding options.

Prices During the Post Close Session

Outright futures and options trades during the post close session may be executed at any price, provided that the price is within the daily limits for contracts with daily price limits.  Spreads and combinations may be transacted at any price, provided that both legs of the spread are priced within the daily price limits for contracts with price limits.

New Highs and Lows

The prices at which transactions take place during the post close may establish a new high or low in the outright contract month or spread or combination.

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. 

Text of Rule 550

The text of Rule 550 is the same for CME, CBOT, NYMEX and COMEX with the exception of the fifth paragraph which will remain different for NYMEX and COMEX until the migration to the CME Price Reporting System in October.

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 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 were received prior to or after the close which are executable in the post close session.

Outright futures and options trades during the post close session may occur at any price, provided such price is within the daily limits for contracts with daily price limits.

Spreads or combination transactions during the post close session may occur at any price, provided that both legs are priced within the daily price limits for contracts with price limits.

The prices at which trades occur during the post close session may establish a new high or low in the outright contract month or spread or combination.

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:

Chicago

Dave Kempes, Associate Director, Trading Floor Operations, 312.341.3107

Robert Sniegowski, Associate Director, Market Regulation, 312.341.5991

New York

Rob Stasi, Associate Director, Trading Floor Operations, 212.299.2067

Nancy Minett, Director, Market Regulation, 212.299.2940