To stress test my risk management, Iâd like to look closely at occasions when the ES went limit up/down. Can anyone respond with some dates and times when this occurred, or ideally point me towards a full list of such events? Thanks.
1) April 14, 2000 (The beginning of the Tech Wreck) 2) January 24, 2008 (The Jerome Kerveil Meltdown) 3) September 19, 2008 ( The Short-Sale Ban)
FYI- According to the following (see top of RH column on page 3), there was no ES limit down (here called "price limit" or "circuit breaker") during the "flash crash" ... http://www.cmegroup.com/files/May-6-2010-Incident.pdf
I'm struggling to find accurate information about how the above events panned out, so please excuse any errors in the following ... As far as I can tell, all three of the above potential "circuit breaker" events occurred during NYSE Extended Trading Hours, rather than during Regular TH (as the ES moves during RTH were below the max 10% limit for a circuit breaker). Is this correct? If it's not correct... well, then it's not correct ... ... but if it is correct, does this mean that ES "circuit breakers" have mainly (always?) - so far at least - occurred during Extended (rather than Regular) Trading Hours? Thanks.
1) For April-2000, at the time, there were multiple downside limits. The market traded through 3 or 4 of them before reversing strongly, during regular trading hours. 2) The January-2008, I believe the market opened at or near, what was at the time, the lower limit, during overnight hours, before reversing strongly. 3) The September-2008, I don't remember what happened overnight. The market did open sharply higher for regular trading, and once again, reversed strongly.