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Security Futures Product

  • Security Futures Products Speculative Position Limits


    The required speculative position limits for security futures products (SFP) apply to trading in an expiring futures contract month during the last five trading days of that month. The limits adopted must not exceed the levels set forth by the CFTC in CFTC Regulation 41.25, 17 CFR 41.25.

    The CFTC has established a base speculative limit level for SFPs of 13,500 contracts, with each contract representing 100 shares of common stock. Exchanges may adopt higher speculative limit levels if the average daily trading volume (ADTV) and number of shares outstanding in the security or securities underlying the futures contract exceed certain levels.

    The following table is intended as a general guide to setting speculative position limits for security futures products. For the current rules and any interpretations, see Part 41 and Part 150 of the CFTC’s regulations and consult the designated contract market or registered derivatives transaction execution facility that lists the security futures product.

    Speculative Position Limit

    Minimum ADTV*

    Minimum Shares Outstanding

    13,500 100-share contracts

    NA

    NA

    22,500 100-share contracts

    20 million shares

    NA

    22,500 100-share contracts

    15 million shares

    40 million shares

    Greater than 22,500 100-share contracts or Position Accountability

    20 million shares

    40 million shares

    * Average Daily Trading Volume (ADTV) is to be calculated monthly using data for the most recent six-month period. See CFTC Regulation 41.25(a)(3)(iv), 17 CFR 41.25(a)(3)(iv).

    If the ADTV or shares outstanding justify a higher speculative position limit, based on the specified levels, the designated contract market or registered derivatives transaction execution facility may raise or lower the speculative limit for that security future effective no earlier than the day after the exchange has provided notification to the CFTC and to the public under the submission requirements of CFTC Regulation 41.24. If the data require imposition of a reduced limit, the designated contract market or registered derivatives transaction execution facility may permit any trader holding a position in compliance with the previous limit, but in excess of the reduced limit, to maintain such position through the expiration of the security futures contract; unless the designated contract market or registered derivatives transaction execution facility finds that the position poses a threat to the orderly expiration of such contract.

    For SFPs based on narrow-based indexes, the speculative position limit should be set at a level such that a position at that limit would not implicitly violate the relevant speculative position limit that would apply to a SFP on any component security.