S&P 500 Futures Limits for 3/09/20

[CannonTrading_Ilan]

https://www.cmegroup.com/trading/equity-index/faq-sp-500-price-limits.html

And margins increase as well on equities/energies/rates by most FCMs.

No trade is better than a bad trade.

 

[JamesJ]

Some stupid folks buy ES and co. although SPY/QQQ are already way lower than the limit down ask.
Orderbooks however are very full at limit down price. ES currently 13354 offered at 2819... A HFT paradise if big market moving news (such as another FED intervention or the Trump PPT Tweet...).
I don't get why you would enter a sell order at limit down ask with 10k in front of you...

Remember when Markets were also looking that bad and trump changed it all in one tweet before european open...

 

[Sig]

Some stupid folks buy ES and co. although SPY/QQQ are already way lower than the limit down ask.
Orderbooks however are very full at limit down price. ES currently 13354 offered at 2819... A HFT paradise if big market moving news (such as another FED intervention or the Trump PPT Tweet...).
I don't get why you would enter a sell order at limit down ask with 10k in front of you...

Remember when Markets were also looking that bad and trump changed it all in one tweet before european open...

What could Trump possibly tweet that would have any positive impact? That's a purely downside risk at this point.

 

[tiddlywinks]

My understanding of the circuit breakers is that since the 7% level was triggered earlier, the way is clear for the 13% level... If 13% is triggered before 3:25 EST, there will be a 15min halt. If 13% triggers after 3:25 EST, there is no halt until session end -or- the 20% level is triggered, whichever comes first.

Can anyone confirm this is correct?

 

[schizo]

My understanding of the circuit breakers is that since the 7% level was triggered earlier, the way is clear for the 13% level... If 13% is triggered before 3:25 EST, there will be a 15min halt. If 13% triggers after 3:25 EST, there is no halt until session end -or- the 20% level is triggered, whichever comes first.

Can anyone confirm this is correct?

From the CME:

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.

-----------------------

So to answer your question, once the 7% is hit, following the 15-minute halt, it will resume trading until the 13% is hit. After 13%, then down to 20%.

I don't recall ES ever having triggered the 20% limit down. But who knows? Trading environment has completely changed over the years.

 

[tiddlywinks]

From the CME:

Thanks @schizo

 

[Overnight]

From the CME:

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.
...

That rules seems obnoxious to me, on the 20% deal. So they are saying, basically, that if the market drops 19% after 2:25PM CT, the previous breakers, if not yet tripped, would not trip, period. What is with that?

 

[schizo]

That rules seems obnoxious to me, on the 20% deal. So they are saying, basically, that if the market drops 19% after 2:25PM CT, the previous breakers, if not yet tripped, would not trip, period. What is with that?

I understood that to mean ALL trading will cease once the 20% is tripped after 2:25 (eg. Bye-bye, let's close shop and go home.)

 

[Overnight]

I understood that to mean ALL trading will cease once the 20% is tripped after 2:25 (eg. Bye-bye, let's close shop and go home.)

Yes, but it also seems to read that if markets drops 7% or 10% or whatever AFTER 2:25 PM CT, those breakers would not trip at all. Only the 20% one...?

 

[Sig]

Yes, but it also seems to read that if markets drops 7% or 10% or whatever AFTER 2:25 PM CT, those breakers would not trip at all. Only the 20% one...?

I think the idea was to avoid the situation where you have a 15 minute halt and then open up for 7 minutes or 1 minute or some other short period of time before the regular close and end up with a very disorderly market. At some point you have to decide how short is too short between the reopen and the regular close, they picked that probably somewhat at random.