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AMP Futures News

CME Price Limit Guide - Trading Halted Levels - October 2020

Posted by AMP Futures on Mar 15, 2020 1:23:16 PM

Due to Market Volatility, we want you to know these levels.  They are updated on this CME page daily.

A price limit is the maximum price range permitted for a futures contract in each trading session. When markets hit the price limit, different actions occur depending on the product being traded. Markets may temporarily halt until price limits can be expanded, remain in a limit condition or stop trading for the day, based on regulatory rules. 

Effective October 12, 2020: Overnight limits will expand from +/- 5% price limit to +/- 7% limit plus 3.5% dynamic circuit breaker. 

What are Dynamic Circuit Breakers?

Dynamic Circuit Breakers  monitor for significant price movements during a trading session. DCBs define an upper and lower limit of how far an instrument is allowed to move in a configured time interval (within 1-hour).

What happens if a 3.5% Dynamic Circuit Breaker is triggered?

If a contract market moves beyond +/- 3.5% within an hour, trading will be paused for two minutes. 

Overnight Session Hours - 5:00 p.m. - 8:30 a.m. CST (Chicago). Sundays through Fridays; and 3:00 p.m. - 4:00 p.m. CST, Mondays through Fridays. Between 3:00 p.m. - 4:00 p.m. the 7% price limit will not be allowed to breech the 20% daily limit.

October 19, 2020 - Trade Date - CME Price Limits for Major Equity Indices

7% Updated as of October 12, 2020 - CME Price Limits for Major Equity Indices - Overnight

October 19, 2020 - Trade Date - CME Price Limits for Major Equity Indices - Overnight

Day Session Hours - 8:30 a.m. – 2:25 p.m. CST (Chicago). Mondays through Fridays.  From 2:25 p.m. to 3:00 p.m. CT, only the 20% price limit will be applied to the futures price fixing.

During US market hours S&P 500, DJIA, Nasdaq-100 and Russell 2000 Index products will re-open following a market-wide circuit breaker trading halt 10 minutes after the halt is instituted. 

CME Price Limits for Major Equity Indices - Day Session Header

October 19, 2020 - Trade Date - CME Price Limits for Major Equity Indices - Day Session

CME Group U.S. equity index price limits (and corresponding CME and CBOT rules) are designed to coordinate with circuit breakers provisions as applied by the New York Stock Exchange (NYSE).

  • 7%, 13%, and 20% price limits are applied to the futures fixing price and are effective from 8:30 a.m. CT – 3:00 p.m. CT. Mondays through Fridays.
  • 7% up-and-down limits are effective 5:00 p.m. - 8:30 a.m. CT. Sundays through Fridays; and 3:00 p.m. - 4:00 p.m. CT, Mondays through Fridays. Between 3:00 p.m. - 4:00 p.m. the 7% price limit will not be allowed to breech the 20% daily limit.
  • The fixing price is the volume weighted average price, VWAP, calculated during the 30 seconds of trading from 2:59:30 p.m. – 3:00:00 p.m. CT.

View the CME Price Limits Guide - Trading Will be Halted at these Levels if reached (updated daily)

Topics: Trading Info