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| 10% | 1350 |
| 20% | 2700 |
| 30% | 4050 |
CBOT Dow Jones Industrial Average (DJIA) and mini-sized Dow futures and options on futures have price limits and related trading halts. The trading halts are coordinated with trading halts at the primary securities market, the NYSE. These trading halts are often referred to as circuit-breakers.
Successive NYSE trading halts are triggered by 10%, 20% and 30% intraday declines of the DJIA from its previous closing value. More precisely, circuit-breaker threshold levels are specified in index points and are calculated at the end of every quarter as 10%, 20% and 30% of the average daily closing value of the DJIA in the preceding calendar month, with rounding to the nearest 50 points. New quarterly circuit-breaker levels are announced on January 1, April 1, July 1, and October 1.
CBOT Dow Jones Futures Price Limits*:
CBOT Dow Jones futures price limits are set equal to NYSE 10%, 20%, 30% quarterly circuit-breaker thresholds. The 10%, 20%, 30% price limits are effective when the primary securities market is open for trading, usually 8:30 a.m. to 3:00 p.m., Chicago time. They apply to contracts traded in open outcry and on the CBOT electronic trading system. When the primary securities market is not open for trading, only the 10% price limit is in effect and it applies to price changes above and below the previous daily settlement price.
CBOT Dow Jones Futures and Options on Futures Trading Halts:
Futures and options on futures trading halts are triggered when (a) the primary futures contract is limit offered 10%, 20% or 30% below its previous close and (b) the corresponding NYSE trading halt is in effect. The full schedule of trading halts and resumptions of trading follows:
8:15 a.m.-12:00 p.m. (Chicago time)
Trading in futures contracts halts if and only if (a) the primary futures contract is limit offered at the 10%, 20%, or 30% limit and (b) the corresponding 10%, 20%, or 30% trading halt has been declared on the NYSE. Trading in options is suspended while the underlying futures are locked limit. The 10% NYSE trading halt lasts one hour. The 20% NYSE trading halt lasts two hours. The 30% NYSE trading halt lasts until the close. Trading in futures and options contracts resumes after 50% (by capitalization weighting) of the underlying Dow Jones Industrial Average stocks have reopened for trading after a trading halt. The next higher price limit (if applicable) is then in effect.
12:00 p.m.-1:00 p.m. (Chicago time)
The 10%, 20%, and 30% quarterly price limits are still in effect and are subject to the same conditions as above, but the 20% NYSE trading halt lasts one hour instead of two hours.
1:00 p.m.-1:30 p.m. (Chicago time)
The 10%, 20%, and 30% quarterly price limits are still in effect and are subject to the same conditions as above, but the 10% NYSE trading halt lasts one half hour instead of one hour and the 20% and 30% NYSE trading halts last until the close.
1:30 p.m-3:00 p.m. (Chicago time)
The 10% quarterly price limit and corresponding 10% NYSE trading halt are no longer in effect. The 20% and 30% limits are still in effect and are subject to the same conditions as above.
*Note that since the e-cbot electronic trading platform does not support price limits, the CBOT will halt the electronic Dow Jones markets at any time when a price limit level has been reached.
Electronic Error Policy
For a complete statement of the CBOT electronic error policy, visit www.cbot.com and go to the electronic user area.
