CME Announces Regular Quarterly Revision of Price Limits

Regular quarterly revision of price limits for equity index futures and options traded on the Chicago Mercantile Exchange (CME) become effective with the start of trading Thursday, April 1, 1999, at 08:30 (Chicago time). The trading halts, co-ordinated with the New York Stock Exchange (NYSE), are pegged to a percentage decline in the market and are reset quarterly based on market prices during the preceding quarter. Circuit breakers apply to trading in CME futures and options on the S&P 500, E-mini S&P 500, S&P 500/BARRA Growth, S&P 500/BARRA Value, S&P MidCap 400, Russell 2000® and Nasdaq 100®. Intermediate price limits or "speed bumps" are pegged to declines of 2.5 percent, 5 percent and 15 percent. These "speed bumps" will be in effect for 10 minutes, during which trading may occur at or above the limit. At the end of the 10 minutes a two- minute trading halt is triggered if the lead month futures contract remains "limit offered," or down the specified number of points. After 13:30 (Chicago time) the NYSE will not halt trading at the 10-percent level. Therefore, if the CME's 10-percent limit is reached after 13:30, it becomes a "speed bump," in effect for only 10 minutes, with a two-minute trading halt if the market remains limit down at the end of that period. The Merc's maximum daily price limit of 20 percent also is co-ordinated with a NYSE halt. The futures contract will reopen for the remainder of the day with the same limit, if and when 50 percent capitalisation of the underlying stocks have reopened. Price limits and trading halts tied to a percentage of market decline were first implemented April 15, 1998. Co-ordinated circuit breakers were first established 10 years ago in the wake of the 1987 stock market decline. During that period, price limits were set at a fixed number of S&P 500 index points and were revised on several occasions based on changed market conditions.