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The time frame for =invoking= the error trade policy is 8
minutes (effective June 1st). The no bust range is 4 index
points for the Mini SP00 and 16 index points for the Mini
Naz.
After the error trade policy is invoked, the GCC determines
whether the trade was inside the no bust range. If it was,
the trade will stand. My information is that all trades this
morning will stand since the determination was that there
was nothing outside the no bust range.
FWIW, the following is from the CME rulebook:
"In measuring the No Bust Range, the GCC shall determine
what the true market price for that contract was immediately
before the error trade occurred. In making that
determination, the GCC may consider all relevant
information, including the last trade price on GLOBEX, a
better bid or offer price, a more recent price in a
different contract month, the price of the same or a related
contract established in open outcry trading, and the prices
of related contracts trading in other markets (e.g., cash FX
and SIMEX Eurodollars)."
Dennis wrote:
>My understanding is the CME will bust trades outside a certain range but
>only if a customer who was filled there complains within a certain time
>(10 minutes?). Once somebody complains (through their broker) they will
>bust all trades outside the range. I don't know what the limit is on the
>mini naz.
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