Release: #3926-96
For Release: July 19, 1996
CFTC APPROVES AMENDED STOCK INDEX FUTURES PRICE LIMITS
WASHINGTON -- The Commodity Futures Trading Commission
(CFTC) today announced that it has approved amendments to price
limit and trading halt provisions in listed domestic stock index
futures and option contracts of the Chicago Mercantile Exchange
(CME), the Kansas City Board of Trade, and the New York Futures
Exchange.
The newly amended rules, which will be effective on July 22,
1996, 1) shorten the time periods for intra-day price decline
limits, 2) establish wider price limits following circuit breaker
trading halts, and 3) conform the terms regarding circuit breaker
trading halts to the shortened trading halts approved today by the
Securities and Exchange Commission for national securities
exchanges.
The provisions in the CME's S&P 500 contract are
representative of the newly amended rules in all other domestic
stock index futures contracts. Those rules are summarized on the
following table:
-- MORE --
SUMMARY OF FORMER AND NEWLY APPROVED STOCK INDEX FUTURES PRICE
LIMITS
IN THE S&P 500 FUTURES CONTRACT
(EFFECTIVE JULY 22, 1996)
Sequence of Futures Price Limits
and Trading Halts
Former CME S&P
500 futures
contract provision
Newly approved
CME S&P 500
futures contract
provision
Approximate
Dow Jones
Industrial
Average
equivalent **/
Limit
When in effect
(Eastern time)
Opening
price limit */
9:30-9:40 am
(waived if S&P
500 Globex closes
over +/-5 points
at 9:15 am)
+/- 5 points
for 10 minute
period
+/- 5 points
for 10 minute period
50 points
Initial price
decline limit
*/
for specified
period once limit
offered
(not in effect last
45 minutes)
- 12 points
for 30 minute
period
- 12 points
for 15 minute period
100 points
Intermediate
price decline
limit */
for specified
period once limit
offered
(not in effect last
45 minutes)
- 20 points
for 30 minute
period
- 20 points
for 15 minute period
170 points
First circuit
breaker
price
limit/trading
halt ***/
until a reopening
of futures trading
following the first
circuit breaker
trading halt ****/
+/- 30 points
daily price limit
(-30 points
expanded decline
limit on subsequent
business day to
limit close)
- 30 points
250 points
Second
circuit
breaker
price
limit/trading
halt ***/
until a reopening
of futures trading
following the
second circuit
breaker trading
halt ****/
above limits remain
in effect
(+/- 50 points
expanded daily
limit)
- 50 points
400 points
Overall
daily price
limit
(above limits
remain in effect)
+/- 70 points
600 points
*/ There is a two-minute trading halt at the end of an intra-day price limit period if the primary
contract month is
locked limit.
**/ The ratio of the S&P 500 to the Dow currently is about 8.5. This table shows only
approximately equivalent point
values in the Dow to the S&P 500.
***/ S&P 500 futures trading halts when the primary futures contract month is limit offered
down and the NYSE halts.
****/ S&P 500 futures trading reopens once 50% of the S&P 500 stocks have reopened for
trading.