whats up with ER2?

exactly the type of scenario we'd all like to avoid. how are bust levels chosen ... is it discretionary on the part of the exchange, or does globex state this somewhere

can i write a real-time bust price indicator or do the rules afford the cme leeway.

i see this on the cme site:
"Market Order: Market Orders at Chicago Mercantile Exchange® (CME) are implemented using a "Market With Protection" approach. Unlike a conventional "Market" order, where customers are at risk of having their orders filled at extreme prices, "Market With Protection" allows the order to be filled within a pre-defined range of prices (Protected Range). The Protected Range is typically the current best bid or offer, plus/minus 50% of the "no bust range" for that instrument. If the entire order cannot be filled within the protected range, the unfilled quantity becomes a Limit Order at the limit of the Protected Range."

wondering how the 'no bust range' is defined
 
looks like the info is all there:

http://www.cme.com/trading/get/abt/priceband966.html

"Based on the market state and trading activity, a Price Band Variation (PBV) will be applied both above and below the contract's reported reference price to establish the Price Band Variation Range (PBVR). The PBV is a static value that varies by product, and is symmetrically applied at both the upside (for bids) and downside (for offers) levels with each price change and enforced during the GLOBEX trading session. For a complete list of banding information for each CME Globex product, view CME Globex Banding (PDF)."

the pdf lists the price banding for ER2 at 600. not to be thick, but are these points or contracts. it's not clear to me from the document. it lists price banding at 1200 for ES but then 4000 for NQ. no units specified
 
Quote from Avid_Consumer:

looks like the info is all there:

http://www.cme.com/trading/get/abt/priceband966.html

"Based on the market state and trading activity, a Price Band Variation (PBV) will be applied both above and below the contract's reported reference price to establish the Price Band Variation Range (PBVR). The PBV is a static value that varies by product, and is symmetrically applied at both the upside (for bids) and downside (for offers) levels with each price change and enforced during the GLOBEX trading session. For a complete list of banding information for each CME Globex product, view CME Globex Banding (PDF)."

the pdf lists the price banding for ER2 at 600. not to be thick, but are these points or contracts. it's not clear to me from the document. it lists price banding at 1200 for ES but then 4000 for NQ. no units specified
More...


nice rules - but when it comes down to big money, politics usually wins. this is how i see it....

clearing members 'own' the exchange.

some clearing members are bigger than others.

biggest clearing member has more clout over smaller clearing member, so what he says goes. he will clearly decide based on his (or his clients) best interest.

used to see this in the pit on a similar (but obviously smaller) level. at the end of the day the traders decide with the pit officials on the settle for the day. the exchange had 'rules' about this process. however, often the bigger traders would stamp their authority down and demand a settle in their favor (sometimes with good argument, sometimes not so). no way did the exchange/pit want to make them pissed & lose their liquidity.

thats life.

big boys make the rules, big boys break 'em.
 
CME Announces Regular Quarterly Revision of Price Limits and Bands for Stock Index Products

CHICAGO, March 31, 2004 — Regular quarterly revisions of price limits and bands for stock index futures and options traded on Chicago Mercantile Exchange Inc. (CME) become effective with the first GLOBEX® electronic trading session of the second quarter of 2004 which began at 3:30 p.m. (Central time) March 31, 2004.

www.cme.com/about/press/cn/04-65RevisedEquityLimits6736.html
 
Russell 2000® & E-mini

No bust band = 6.00 points

( See table, but I don´t know what´s the meaning of their "2x", maybe 2-sides or whatever )
 
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