S&P 500 Price Limits: Frequently Asked Questions

Frequently Asked Questions

1. What are price limits and how do they function?
2. What are the provisions during US trading hours?
3. What are the provisions for S&P 500 Futures during Non-US trading hours?
4. How is a trading halt triggered for E-mini S&P 500, Micro E-mini S&P 500, and S&P 500 futures and options?
5. What happens when the primary E-mini or Micro E-mini S&P 500 futures contract declines 7%, 13%, or 20%?
6. What happens when the underlying S&P 500 Index hits a circuit breaker level?
7. How is the futures reference price determined when trading in the cash equity market is terminated early?
8. Do S&P 500 options halt trading if the futures are either limit bid or limit offered at the 7% ETH daily limit?

Price limits are a series of price fluctuation limits based on a reference price. In the case of E-mini S&P 500 (ES) and Micro E-mini S&P 500 futures (MES), the reference price is based on the previous trading day’s volume-weighted average price (VWAP) of the lead month E-mini S&P 500 futures contract determined between 2:59:30 p.m.—3:00 p.m. Central Time (CT).

Note – Equity price limits are downside limits during US trading hours, with hard upside and downside limits of 7% during non-US trading hours.

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From 8:30 a.m. to 2:25 p.m. CT, there are successive price limits corresponding to 7%, 13%, and 20% declines below the previous trading day’s reference price.

From 2:25 p.m. until the 3:00 p.m. CT close of the cash equity market, only the 20% price limit will be applicable.

From 3:00 p.m. until the end of the current trading day at 4:00 p.m. CT, there is a hard upside and downside limit of 7% ‒ based on the 3:00 p.m. reference price. The downside price limit, however, is either 7% below the 3:00 p.m. reference price OR the 20% price limit that applied before 3:00 p.m., whichever is closer to the 3:00 p.m. price.

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5:00 p.m. to 8:30 a.m. CT: There is a hard upside and downside limit of 7% from 5:00 p.m. to 8:30 a.m. The midpoint of the 7% limit is based on the 3:00 p.m. futures fixing price. The width of the 7% limit is based on 7% of the S&P 500 Index value at 3:00 p.m. 

Further, Dynamic Circuit Breakers will be in effect with a width of 3.5%. If a contract market moves beyond +/- 3.5% within an hour, trading will be paused for two minutes.  Please see the FAQ for Dynamic Circuit Breakers for implementation details.

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Trading halts for E-mini S&P 500, Micro E-mini S&P 500, and S&P 500 futures and options occur if, and only if, a regulatory halt pursuant to NYSE Rule 7.12 is enacted in the cash equity market due to a 7%, 13%, or 20% downside move in the underlying S&P 500 Index relative to its previous closing price.

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Following a 7%, 13%, or 20% downside move in the primary E-mini S&P 500 or Micro E-mini S&P 500 futures contract, trading will NOT be halted and price limits will NOT expand unless NYSE Rule 7.12 is triggered. It is possible for the primary futures contract to hit the price limit without the enactment of NYSE Rule 7.12 in the cash equity market, in which case futures trading would continue within the applicable price limits.

Regarding order entry, an offer entered with a price below the prevailing down limit will be rejected. For instance, if Level 1 (7%) is the prevailing price limit, then orders below the 7% down limit will not be accepted. The order will be accepted, however, when the price limit is expanded to Level 2 (13%), provided that it is offering at higher than the 13% limit.

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7% decline

A 7% decline (Level 1 circuit breaker) in the S&P 500 Index before 2:25 p.m. CT will trigger a NYSE Rule 7.12 trading halt for both the cash equity market AND all US-based equity index futures and options, including E-mini S&P 500, Micro E-mini S&P 500, and S&P 500 futures and options. Trading will resume 10 minutes after the trading halt commenced, with price limits expanded to Level 2 (13%).

13% decline

A 13% decline (Level 2 circuit breaker) in the S&P 500 Index before 2:25 p.m. CT will trigger a NYSE Rule 7.12 trading halt for both the cash equity market AND all US-based equity index futures and options, including E-mini S&P 500, Micro E-mini S&P 500, and S&P 500 futures and options. Trading will resume 10 minutes after the trading halt commenced, with price limits expanded to Level 3 (20%).

20% decline

A 20% decline (Level 3 circuit breaker) in the S&P 500 Index will terminate trading for the remainder of the trading day in both the cash equity market AND all US-based equity index futures and options, including E-mini S&P 500, Micro E-mini S&P 500, and S&P 500 futures and options. Trading will resume at the regularly scheduled start of the next trading day at 5:00 p.m. CT the evening prior to the next business day.

Also note that from 2:25 p.m. to 3:00 p.m. CT, only the 20% market-wide circuit breaker level will be applicable.

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The reference price will be the VWAP for the primary E-mini S&P 500 futures contract during the last 30 seconds of trading in the cash equity market.

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If the primary futures contract is either limit bid or limit offered at the 7% ETH daily limit, then the associated options will be transitioned to a “pre-open” market state. During the pre-open market state, trade matching does not occur but orders can be entered, modified, or cancelled.

The primary futures contract price level will be reviewed every 10 minutes by the GCC manager. If a limit bid of limit offer condition does not exist at the time of review, then the associated options will be re-opened for trading. The GCC reserves the right to keep the options in a pre-open market state if a clear movement off the limit does not exist. All reviews are done on a best-case basis.

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NOTE: All times listed are in Central Time (CT).