GLOBEX Procedure Change - Overnight Trading

Discussion in 'Index Futures' started by JackR, Jan 10, 2009.

  1. JackR


    Modification of 5 Percent Overnight Price Limit Rules for Equity Index Futures
    On Sunday, January 11, 2009, CME Group will modify the rules regarding the 5 percent overnight price
    limits for U.S. equity index futures traded on CME Globex during the ETH session. These modifications
    are designed to help preserve the market’s ability to provide price discovery prior to the opening of the
    underlying cash market in all market conditions, without requiring a change in the overnight price limit.

    Currently, if the 5 percent overnight limit is reached during the ETH session, and the market remains
    locked-limited until the opening of the Regular Trading Hours (RTH) session, the market’s capability to
    provide price discovery before the opening of the underlying cash market is negated.

    Starting Sunday, January 11, 2009, however, if the market is locked-limited as of 8:15 a.m. Chicago time
    (15 minutes prior to the start of the RTH session) and still remains so at 8:25 a.m. (5 minutes prior to the
    start of the RTH session), the market will be halted and put into pre-open state. This will provide an
    Indicative Opening Price (IOP) in anticipation of a re-open on RTH, with the RTH limits in place – and
    effectively re-establish the market’s price discovery capability.

    Which Products Are Affected?
    • This rule change applies to all legacy CME and CBOT equity index futures on U.S. stock indexes,
    including contracts based on :
    o S&P 500
    o S&P MidCap 400
    o S&P SmallCap 600
    o S&P 500/Citigroup Growth
    o S&P 500/Citigroup Value
    o SPCTRS
    o NASDAQ-100
    o NASDAQ Composite
    o NASDAQ Biotechnology
    o Dow Jones Industrial Average
    o Dow Jones U.S. Real Estate
    • Contracts on non-U.S. indexes are not affected by this change
  2. Wave goodbye to the "religion" of the markets gotta open, it's just gotta!

    If equity index futures are locked limited at 8:15 a.m. Central Time (CT) and remain so at 8:25 a.m. CT in the lead month futures contract, there will be a trading halt in effect until the commencement of Regular Trading Hours (RTH). During the trading halt, the exchange will provide an Indicative Opening Price (IOP) of the re-opening of trading on CME Globex, if applicable. If the lead month futures contract is no longer locked limited at 8:25 a.m. CT, trading will continue with the 5 percent limit in effect. At 8:30 a.m. CT, the 5 percent ETH limit no longer will be applicable. Please note that, on the expiration day of a futures contract month, the futures contract will not be reopened at 8:30 a.m. CT at the commencement of the RTH, regardless of whether a trading halt had been invoked from 8:25 a.m. to 8:30 a.m. CT.

    CME Globex trading will be delayed until 6:00 p.m. CT if an NYSE trading halt is in effect at 3:00 p.m. CT or if the lead month futures contract in the E-mini S&P 500 futures is limit offered at 3:15 p.m. CT.

    PDF of new rule:

    Q1-09 Price Limits:

    Price Limit FAQ:
  3. In the good ol' days, everything used to be so much more simple and clear. What the hell is "price discovery" and other useless jargons like "Indicative Opening Price"? So much jibberish to merely distort and confuse traders in my not-so-humble opinion.
  4. Tide31


    Good rule change for traders. If futures are limit down at 9:25am EST, then they stop trading and go into an 'auction' phase much like in European equities. For 5 minutes everyone puts in their orders for full disclosure (price discovery) and at 9:30am there is a print at a price and the big spu's open on CME. This way the index guys whose algorithms tell them where stocks are likely to open at, don't rip all our lungs out with a massive program to get them in line with cash equities.
    If it were not for the lobbying powers of the remaining NYSE specialists with SEC, all our opens and reweigtings at the close would be 5 minute auctions, like in Euronext and LSE. It is so very efficient. However here for some bizarre reason, which I have only been able to figure out is that this is all the floor guys have left, we do it so floor can make $2.25 on 6mm JPM to buy on bell that none of us knows about til 3:40pm.
    In Euronext/LSE if you have that to buy on the closing print, then at 4:30 you start posting orders in the auction and all the public gets to see them and offset them and an efficient 'correct' price is negotiated for the piece, and it trades regardless at exactly 4:35pm.
  5. This is a shocking and disturbing change.

    The free market is being dismantled a bit at a time.

    Time for you to find real work,