Discussion in 'Index Futures' started by bond_trad3r, Feb 20, 2009.
This might be important info to know within the next few hours...
There is no limit down for the YM.
>400 Ive seen it gap -400 at the open a few months back. If they let bac or c fail the dow will crash -30% conservatively in a day. If they nationalize them the market will probably have a huge rally.
Successive 10%, 20%, and 30% limits.
For details, please see CBOT Regulation 1008.01.
5% up or down overnight
What the hell do you mean there's no limit? Here's what CBOT states (Source: http://www.cbot.com/cbot/docs/56511.pdf):
Price Limits and Trading Halts
CBOT DJIA futures and options and CBOT mini-sized Dow futures and options futures have price limits and related trading halts. The trading halts are coordinated with trading halts at the primary securities market, the NYSE. These trading halts are often referred to as circuit-breakers.
NYSE Trading Halts:
Successive NYSE trading halts are triggered by 10%, 20%, and 30% intra-day declines of the DJIA from its previous closing value. More precisely, circuit-breaker
threshold levels are specified in index points and are calculated at the end of every quarter as 10%, 20%, and 30% of the average daily closing value of the DJIA in the preceding calendar month, with rounding to the nearest 50 points. New quarterly circuit-breaker levels are announced on January 1, April 1, July 1, and October 1.
Price Limits for CBOT Dow Complex Futures and Options
Price limits for all CBOT Dow Complex contracts are set equal to NYSE 10%, 20%, and 30% quarterly circuit-breaker thresholds. The 10%, 20%, and 30% price limits are effective when the primary securities market is open for trading, usually 8:30 a.m. to 3:00 p.m., Chicago time. The limits are restricted to price changes below the previous daily settlement. They apply to contracts traded in open auction and on the CBOT electronic trading system. When the primary securities market is not open for trading, only the 10% price limit is in effect and it applies to price changes both above and below the previous daily settlement price.
Trading Halts for CBOT Dow Complex Futures and Options
Trading halts for CBOT Dow Complex contracts are triggered when (a) the primary CBOT DJIA futures contract is limit offered 10%, 20% or 30% below its previous close and (b) the corresponding NYSE trading halt is in effect. The full schedule of trading halts and resumptions of trading follows:
8:15 a.m.-12:00 p.m. (Chicago time)
Trading in futures contracts halts if and only if (a) the primary futures contract is limit offered at the 10%, 20%, or 30% limit and (b) the corresponding 10%, 20%, or 30% trading halt has been declared on the NYSE. Trading in options is suspended while the underlying futures are locked limit. The 10% NYSE trading halt lasts one hour. The 20% NYSE trading halt lasts two hours. The 30% NYSE trading halt lasts until the close. Trading in futures and options contracts resumes after 50% (by
capitalization weighting) of the underlying DJIA stocks have reopened for trading after a trading halt. The next higher price limit (if applicable) is then in effect.
12:00 p.m.-1:00 p.m. (Chicago time)
The 10%, 20%, and 30% quarterly price limits are still in effect and are subject to the same conditions as above, but the 20% NYSE trading halt lasts one hour instead of two hours. 1:00 p.m.-1:30 p.m. (Chicago time) The 10%, 20%, and 30% quarterly price limits are still in effect and are subject to the same conditions as above, but the 10% NYSE trading halt lasts one half hour instead of one hour, and the 20% and 30% NYSE trading halts last until the close.
1:30 p.m-3:00 p.m. (Chicago time)
The 10% quarterly price limit and corresponding 10% NYSE trading halt are no longer in effect. The 20% and 30% limits are still in effect and are subject to the same conditions as during the 1:00 p.m. to 1:30 p.m. period.
He used to be @ xtrends and now started his own blog.. spot on in his calls.. Calling off for a sell off thursday. Interesting
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