1．Immediately Executable Price Range Rule
From the viewpoint of preventing sudden price fluctuations, such as caused by erroneous orders, a rule is established to temporarily halt trading, when an order placed will trade beyond a set price range from the last traded price (hereinafter referred to as "Immediately Executable Price Range Rule").
The following range from the last traded price in the auction market (excluding trades from Strategy Trading) for each category as listed below. However, if there is no last traded price during the same trading day, the reference price for daily price limits shall be the base price for the Immediately Executable Price Range Rule.
| Category | Immediately Executable Price Range |
|---|---|
| Stock Index Futures | ± 0.8% |
| Stock Index Options | ± 10 ticks |
| Security Options | ± 20 ticks |
- * The period for temporarily halting trading in the Immediately Executable Price Range Rule will be, in principle, 1 minute for all products.
- * If at market closing, a closing auction takes place and the trading price will be beyond the range as list above from the last traded price, the trade will not executed.
- Example of Temporary Trading Halts based on Immediately Executable Price Range Rule
- Description of Setting Price Range and Price Limits
2．Price Limits
(1) Stock index futures and options
With respect to the price limits for stock index futures and options contracts, the base price for calculating the range of price limits will be calculated by using the latest reference prices over a time period, and the range for price limits will be calculated multiplying the base price by each following rate. In principle, the price limit range will be recalculated on a quarterly basis.
The price limit will be expanded in stages upon Circuit Breaker trigger situation. (Stock Index Futures: 8% to 12% and 12% to 16% of the reference price). (Stock Index Options: 13% to 17% and 17% to 21% of the reference price).
However, in the case where the ratio of the price limit range at the 2nd expansion of price limits to the reference price for price limits is beyond 20% for the two straight days or in other cases where OSE deems it necessary, OSE will make an extraordinary revision of the price limit range.
| Category | Normal | 1st Expansion | 2nd Expansion |
|---|---|---|---|
| Stock Index Futures | 8% | 12% | 16% |
| Stock Index Options | 13% | 17% | 21% |
The Present setting of Price Limits is as below:
The price limit range at the launch date of J-GATE to the end of the day session on February 28, 2011.
| Category | Normal | 1st Expansion | 2nd Expansion |
|---|---|---|---|
| Nikkei 225 Futures· Nikkei 225 mini |
760 yen | 1,150 yen | 1,530 yen |
| Nikkei 300 Futures | 13 points | 20 points | 27 points |
| RN Prime Index Futures | 50 points | 75 points | 101 points |
| Nikkei 225 Options | 1,240 yen | 1,630 yen | 2,010 yen |
The price limit range from the trade date ending on March 1, 2011 to the end of the day session on May 31, 2011.
| Normal | 1st Expansion | 2nd Expansion | |
|---|---|---|---|
| Nikkei 225 Futures· Nikkei 225 mini |
840 yen | 1,260 yen | 1,680 yen |
| Nikkei 300 Futures | 15 points | 22 points | 30 points |
| RN Prime Index Futures | 56 points | 85 points | 113 points |
| Nikkei 225 Options | 1,360 yen | 1,790 yen | 2,210 yen |
(2) Security Options
With respect to price limits for Security Options Contracts, the price limit range will be calculated by multiplying the reference price for price limits of an underlying security on the designated market by 25%, and the range will be recalculated daily.
3．Circuit Breaker Rule
The circuit breaker rule is applied to temporarily halt trading in order to allow investors to calm down when the market is overly volatie.
| Conditions for CB Trigger |
Either (1) or (2) below applies with respect to the leading contract month of future contracts.
Price limits will be expanded during the trading halt. |
|---|---|
| Contracts (Issues) Subject to Trading Halt | In cases where the criteria for the CB trigger are met, trading of the issues below will be halted.
|
| Conditions for Exception of Application |
|
| Beginning of Trading Halt |
The time that OSE determines on each occasion immediately after the criteria for CB trigger are met |
| Duration for Trading Halt |
15 minutes (in the case of Conditions for CB Trigger (2), 10 minutes) |
| Method for Resumption | After the duration for a trading halt, trading will be resumed by the Itayose method with the price limit expanded. |
| Method for Resumption | Renewed on a trading day basis |
Please see the following for the description of triggering CB and expanding price limits in stages.
