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FYI. Extra from CME rules



Написано DMTR | Thu, Apr 13 at 09:52am:

В ответ на: Re: Limit up, limit down (вопрос о фьючерсах) posted by Ivan on Thu, Apr 13 at 07:55am:

2602.I.Daily Price Limits and Trading Halts, Regular Trading Hours ѓ

Daily price limits and trading halts of the S&P 500/BARRA Value Index futures contract shall be coordinated with trading halts of the underlying stocks listed for trading in the securities markets.

For the purpose of this rule, the primary futures contract shall be defined as the futures contract trading in the lead month configuration in the pit and the Equity Price Limit Committee shall have the responsibility of determining whether the primary futures contract is limit offered.

For the first day of trading in a newly listed contract, there will be an implied previous business day's settlement price, created by the Exchange for the sole purpose of establishing price limits. The implied settlement price will be created by extrapolating the annualized percentage carry between the two contract months immediately prior to the newly listed contract.

Price Limits: There shall be Price Limits corresponding to a 2.5%, 5.0%, 10.0%, 15.0% and 20.0% decline below the Settlement Price of the preceding RTH session calculated as provided below.

The 2.5%, 5.0%, 10.0%, 15.0% and 20.0% Price Limits shall be calculated at the beginning of each calendar quarter, based upon the average closing price of the current primary futures contract, during the month prior to the beginning of the quarter (P) and rounded, as follows.

2.5% Price LimitequalsOne-half of the 5.0% Price Limit rounded down to the nearest integral multiple of 1 index point

5.0% Price LimitequalsOne-half of the 10% Price Limit rounded down to nearest integral multiple of 1 index point

10.0% Price Limitequals10% of P rounded down to nearest integral multiple of 5 index points

15.0% Price Limitequals1.5 times the 10.0% Price Limit rounded down to the nearest integral multiple of 1 index point

20.0% Price Limitequals2 times the 10.0% Price Limit

Once the primary futures contract is limit offered at the 2.5% or 5.0% Price Limit, that limit shall apply until the corresponding limit for the S&P 500 futures contract ceases to apply, pursuant to Rule 4002.I. If a two-minute trading halt follows for the S&P 500 futures contract, trading in this futures contract also shall terminate for that two-minute period, after which time the market shall reopen. The next applicable Price Limit shall apply to such reopening.

After 1:30 p.m. Chicago time, when the primary futures contract is limit offered at the 10.0% Price Limit, a 10-minute period shall commence, that limit shall apply until the corresponding limit for the S&P 500 futures contract ceases to apply, pursuant to Rule 4002.I. If a two-minute trading halt follows for the S&P 500 futures contract, trading in this futures contract also shall terminate for that two-minute period, after which time the market shall reopen. The next applicable Price Limit shall apply to such reopening.

Before 1:30 p.m. Chicago time, the 10.0% Price Limit shall be in effect until a trading halt has been declared in the primary securities market, trading in the primary securities market has resumed, and 50 per cent of the stocks underlying the S&P 500 Stock Price Index (selected according to capitalization weights) have reopened. The next applicable Price Limit shall apply to such reopening.

When the primary futures contract is limit offered at the 15.0% Price Limit, a 10-minute period shall commence, that limit shall apply until the corresponding limit for the S&P 500 futures contract ceases to apply, pursuant to Rule 4002.I. If a two-minute trading halt follows for the S&P 500 futures contract, trading in this futures contract also shall terminate for that two-minute period, after which time the market shall reopen. The 20% Price Limit shall apply to such reopening and shall represent the Total Daily Price Limit.

Trading Halts: If at any time the primary futures contract is limit offered at the 10.0% Price Limit and there is a trading halt declared in the primary securities market, trading shall be halted. Once trading in the primary securities market resumes after a trading halt, trading on the S&P 500/BARRA Value Index futures contract shall resume only after 50 percent of the stocks underlying the S&P 500 Stock Price Index (selected according to capitalization weights) have reopened. The next applicable Price Limit shall apply to such reopening.

If at any time the primary futures contract is limit offered at the 20.0% Price Limit and there is a trading halt declared in the primary securities market, trading shall be halted. Once trading in the primary securities market resumes after a trading halt, trading on the S&P 500/BARRA Value Index futures contract shall resume only after 50 percent of the stocks underlying the S&P 500 Stock Price Index (selected according to capitalization weights) have reopened. The 20% Total Daily Price Limit shall continue to apply subsequent to such reopening.

Second Day Limits: If the primary futures contract is limit offered at the 20.0% Price Limit as of the close of Regular Trading Hours, the subsequent RTH trading session shall be subject to modified limits as follows.

If, during a RTH trading session subject to Second Day Limits, the primary futures contract is limit offered at the 2.5%, 5.0%, 10.0% or 15.0% Price Limit, a 10-minute period shall commence. These price limits shall cease to be in effect at the end of the 10-minute period or 45 minutes preceding the scheduled close of trading. If the primary futures contract is limit offered at the 2.5%, 5.0%, 10.0% or 15.0% Price Limit at the end of the 10-minute period, or 45-minutes before the scheduled close of trading, trading shall terminate for a period of two minutes, after which time the market shall reopen. The next applicable price limit shall apply to such reopening. The 20% Price Limit shall represent the Total Daily Price Limit.

If, during a RTH trading session subject to Second Day Limits, there is a trading halt declared in the primary securities market, trading shall be halted. Once trading in the primary securities market resumes after a trading halt, trading on the S&P 500/BARRA Value Index futures contract shall resume only after 50 percent of the stocks underlying the S&P 500 Stock Price Index (selected according to capitalization weights) have reopened. The 20% Total Daily Price Limit shall apply to such reopening.

2602.J.GLOBEX Opening Time and Price Limit ѓ

Opening Time: The opening time of trading on GLOBEX will be the same as the opening time of GLOBEX trading of S&P 500 contracts. In particular, the opening time of GLOBEX trading will be delayed until 6:00 p.m. if GLOBEX trading of S&P 500 contracts is delayed until 6:00 p.m.

During Electronic Trading Hours (ETH), there shall be no trading of S&P 500/BARRA Value futures at a price more than the 2.5% Price Limit above or below the Reference RTH Price.


Для наждака примерно то же самое.


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