|
Oslo, Norway
Experience: Advanced
Platform: CQG, Excel
Trading: CL
Posts: 1,193 since Apr 2010
|
As fear is ramped up, I've seen a few wonder about the price limits and how they are calculated...
"The percentages (10 percent, 20 percent and 30percent) are based on the average closing price
of the lead month futures contract in December, March, June and September. The average
closing price of the lead month futures contract determines the level for the next quarter.
For S&P 500, E-mini S&P 500, NASDAQ-100, E-mini NASDAQ-100, E-mini NASDAQ Composite and E-mini NASDAQ Biotechnology futures, the 10 percent limit is computed as 10 percent of that average, rounded down to a multiple of 10 index point"
The numbers for this quarter: (60/600 overnight ES/DOW, and 10% RTH 120/1200 ES/DOW)
https://www.cmegroup.com/trading/equity-index/files/PriceLimitGuide.pdf
FAQ:
https://www.cmegroup.com/trading/equity-index/files/PriceLimitFAQ.pdf
|
