Anybody know the answer? The limit down -7% applies to all index futures. It is only supposed to be removed when the S&P 500 cash index reaches -7% and there's a 15-minute trading halt. But that didn't happen. The limit down was 1364.1 (-7%), but then about 20 minutes ago at around 2:55 PM Eastern, the limit down was moved down to 1276.1 (-13%). This was on Rithmic. Anybody here using CQG or TT confirm that the limit down was changed early? (Also, I know the limit down changes to -20% at 3:25 PM Eastern on all index futures, no need to mention that)
7%, 13%, and 20% price limits are applied to the futures fixing price and are effective from 8:30 a.m. CT – 2:25 p.m. CT. 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. https://www.cmegroup.com/trading/price-limits.html#equityIndex
Different rules apply when the S&P goes limit down, but for the 7% and 13% levels on non S&P contracts the following rules apply. If the market touches these and bounces up but isn't at limit down after 2 minutes. Then the limit is removed. And the next limit goes into force. eg RTY hit limit down 1364.1 today, but 2 minutes later was still not at limit down because the market had traded higher at that point. So the 7% limit no longer applied for RTY. If RTY was still at 1364.1 after 2 minutes then an actual 2 minute trading halt would have come into force.
Thanks. Somehow got confused about the rules somewhere along the line. Typical CME arbitrary and unnecessary complex rules, all different rules for different products. They must have a staff of 500 people writing them. Why not a 1 minute halt, or a 2 second halt, or a 2 millisecond halt? Don't they know that halts increase uncertainty, which then reduces liquidity and increases volatility? I guess not. Increased volatility with reduced liquidity is bad for trading profits. Increased volatility with increased liquidity is good for trading profits. Full details here: https://www.cmegroup.com/trading/equity-index/faq-us-based-equity-index-price-limits.html These 2 pages don't go into the full details: https://www.cmegroup.com/trading/price-limits.html#equityIndex https://www.cmegroup.com/trading/equity-index/faq-sp-500-price-limits.html