US-Based Equity Index Futures Price Limits: Frequently Asked Questions

Frequently Asked Questions

1. Which products are relevant to this FAQ?
2. What are price limits and how do they function?
3. What are the provisions during US trading hours?
4. What are the provisions during non-US trading hours?
5. What happens when the primary futures contract declines by 7%, 13%, or 20%?
6. What happens when the underlying S&P 500 Index hits a Level 1 (7%), Level 2 (13%), or Level 3 (20%) circuit breaker level?
7. How is the futures reference price determined when trading in the cash equity market is terminated early?
8. During the two-minute monitoring period, can orders be placed below the applicable price limit?
9. Do options halt trading if the futures are either limit bid or limit offered at the 7% ETH daily limit?

This FAQ applies to all US-based Equity Index futures and options except E-mini S&P 500, Micro E-mini S&P 500, and S&P 500 futures and options.

See FAQ for S&P 500 futures and options

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Price limits are a series of price fluctuation limits based on a reference price. In the case of futures on US equity indices, the reference price is based on previous trading day’s volume-weighted average price (VWAP) of the lead month contract determined between 2:59:30 p.m.—3:00 p.m. Central Time (CT) for the lead month futures contract of each index.

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

View price limits

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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. CT until the end of the current trading day at 4:00 p.m., 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.

Further, from 3:00 p.m. CT until the end of the current trading day at 4:00 p.m., 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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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 underlying 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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7% decline

If the primary futures contract limit is offered at the 7% down limit before 2:25 p.m. CT, a two-minute monitoring period will commence for the primary futures contract and all associated futures and options. During this monitoring period, trading will continue at or above the 7% down limit.

If a limit condition exists at the end of the two-minute monitoring period, a two-minute trading halt occurs for the primary futures contract and all associated futures and options with price limits expanding to Level 2 (13%). If a limit condition does NOT exist, trading will continue with price limits expanding to Level 2 (13%).

13% decline

If the primary futures contract is limit offered at the 13% down limit, a two-minute monitoring period will commence for the primary futures contract and all associated futures and options. During this monitoring period, trading will continue at or above the 13% down limit.

If a limit condition exists at the end of the two-minute monitoring period, a two-minute trading halt occurs for the primary futures contract and all associated futures and options with price limits expanding to Level 3 (20%). If a limit condition does NOT exist, trading will continue with price limits expanding to Level 3 (20%).

20% decline

If the primary futures contract is limit offered at the 20% down limit before 2:25 p.m. CT, trading will continue at or above the 20% down limit for the remainder of the trading day for the primary futures contract and all associated futures contracts. Options, however, will enter into a pre-open state, and trading will be halted so long as a limit condition exists. Once a limit condition does not exist, options will resume trading.

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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When a regulatory halt pursuant to NYSE Rule 7.12 is triggered due to a 7% or 13% decline in the underlying S&P 500 Index, there is a coordinated market trading halt for the cash equity market AND for all US-based Equity Index futures and options products.

Trading of products tied to S&P 500, Nasdaq 100, Dow Jones Industrial Average, and Russell 2000 indices will resume 10 minutes after the regulatory halt commenced. Trading of all other US-based Index products will resume for all US-based Equity Index futures and options products when trading in the cash equity market resumes, with price limits expanding to the next level.

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 for all US-based Equity Index futures and options. Trading in all US-based Equity Index futures and options will resume in coordination with the cash equity market.

Note: Overnight trading will resume at the start of the next trading day, at 5:00 p.m. CT the evening before the next business day.

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The reference price will be the VWAP for the primary futures contract during the last 30 seconds of trading in the cash equity market.

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An offer entered with a price below the prevailing down limit will be rejected. For instance, if the prevailing Level 1 (7%) is the prevailing circuit breaker, 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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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).