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Hello Mark,
This is a Message From: GLOBEX Control Center
Effect Date: Tue July 15, 2003 02:50 pm CST
Notice Number: System Update #23
Message: At 2:08:04 p.m., CT, a price drop from around 1000.00 to 990.50
(9.5 points) occurred in the E-mini S&P(TM) 500(R) futures contract. The
drop, which lasted for four seconds, was caused by an order imbalance and a
cascading effect of a number of stop orders that were executed incrementally
at consecutively lower prices. The price drop was not triggered by an error
trade.
Through a combination of internal controls and alerts, the Exchange
immediately began investigating the situation and reviewed market conditions
and volatility, prices of related instruments in other markets and other
relevant factors. As other major index markets did not reflect a similar
price move during the E-mini decline, and the full-size S&P 500 futures
contract reached a low of only 1002.00, it was determined that all trades
below 996.00 would be cancelled. (CME's policy provides that the "no bust"
range for the E-mini S&P 500 futures contract is 6 index points.)
In the fall, CME will be instituting the industry?s first "stops logic"
capability that will address price movements that are exacerbated by a
series of cascading stop orders being triggered.
For a review of the current GLOBEX policy governing these issues, see the
following link:
http://www.cme.com/get/support/globex_policies.cfm
--
Thank You,
Mark Brown
www.markbrown.com
www.velocityfutures.com
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