Limit Up and Limit Down in Futures: How Price Limits Work

Limit up and limit down are the highest and lowest prices a futures contract may trade at during a session. On the CME equity index contracts described below they are fixed prices recalculated before every trading day, not a percentage off the last print. Reaching one does not automatically stop the market: overnight the contract simply cannot trade outside the band, while during US cash hours a decline that far can trigger a halt coordinated across the stock and futures markets.

Everything below about specific limits and halts is the rule text for four contracts — the E-mini and Micro E-mini S&P 500 (CME Chapters 358 and 353) and the E-mini and Micro E-mini Nasdaq-100 (Chapters 359 and 361) — as CME filed it with the CFTC in Submission 20-392 on 25 September 2020, effective for trade date 12 October 2020. Other contracts have their own chapters and are not covered here.

What does limit up or limit down mean in futures?

A daily price limit is a number the exchange sets in its own rulebook and applies for a single session: measured from where the contract settled the session before, it marks how far up and how far down that contract may go. The CFTC's glossary defines it that way for futures generally, not only stock index contracts. A market pressed against the number is locked limit, or a limit move. Nor need the number hold all session: the glossary notes that on some futures contracts a limit can be widened, or lifted altogether, a set time after the contract locks at it. The Nasdaq-100 chapters work that way: going limit offered opens a two-minute observation interval, at the end of which the next limit level takes over, after a further two-minute halt if the contract is still limit offered.

Two clarifications save trouble later. A price limit is not a limit order: one is an exchange boundary on where any trade may print, the other is your instruction about the worst price you will accept. And locked limit is not halted. The chapters bar trading strictly outside the limit, so a locked market keeps trading at the limit price or inside it for as long as someone takes the other side. What has gone is the ability to trade through the number, which is what a seller trying to exit needs.

How are the price limits on E-mini S&P 500 futures set each day?

Each contract gets a Reference Price and a set of Offsets, and the limits are the arithmetic between them. Under CME Chapter 358 as filed on 25 September 2020, the E-mini S&P 500's reference price is normally the volume-weighted average price of Globex trades in the contract between 2:59:30 and 3:00:00 p.m. Chicago time on the preceding business day, rounded down to a multiple of 0.50 index points; the chapter sets out fallbacks for when nothing trades in that window. The offsets are 7%, 13% and 20% of the index value at the prior close on the primary listing exchange, rounded down the same way. The 13% limit is the reference price minus the 13% offset — a specific number of index points, known before the session opens.

Micro contracts get no arithmetic of their own. Chapter 353 gives the Micro E-mini S&P 500 the same reference price and offsets as the E-mini, and Chapter 361 does the same for the Micro E-mini Nasdaq-100: the size is the difference between a Micro and an E-mini here as elsewhere. The Nasdaq-100 pair round to 0.25 index points instead of 0.50.

Which price limit is in force at which time of day?

The limit applying to these four contracts changes four times a day. Times below are Chicago time, from the chapters filed with the CFTC on 25 September 2020.

On an early scheduled close of the primary listing exchange, the 2:25 p.m. and 3:00 p.m. boundaries move to 11:25 a.m. and noon.

Up and down are not symmetrical through the middle of the day. Overnight the 7% band constrains rallies as well as selloffs, but the 7%, 13% and 20% levels that run from 8:30 a.m. to 3:00 p.m. are defined as the reference price minus an offset only, and the price limit table filed as Exhibit C labels all three of them down only.

What happens when these futures hit the limit overnight?

Overnight, reaching the limit does not stop the market. From the start of the trading day until 8:30 a.m. Chicago time, all four chapters bar any trade strictly outside the 7% band, and, with one exception close to 8:30 a.m. covered below, a contract that reaches the band goes on trading rather than halting, so a market pinned at limit down can stay there for hours. That 7% replaced a 5% band from trade date 12 October 2020, and the filing gives three reasons for widening it: a smoother handover from the overnight limits to the regular-hours ones, firmer price discovery before the cash market opens, and a figure matching the first of the limit levels the US equity markets keep in regular hours.

Two of the four chapters add a narrow exception. Under Chapter 358 and Chapter 359, futures halt from 8:25 a.m. to 8:30 a.m. when the primary contract month is stuck at its limit, bid or offered, at both the 8:23 and the 8:25 check; the exchange publishes indicative opening prices before the reopen under Rule 573. The Micro chapters do not repeat that rule. They do something simpler. Chapter 353 bars trading in the Micro E-mini S&P 500 whenever trading is halted in the primary contract month of the E-mini S&P 500, and Chapter 361 does the same for the Micro E-mini Nasdaq-100 against the E-mini Nasdaq-100.

What happens when the limit is hit during US cash hours?

During US cash hours the E-mini and Micro E-mini S&P 500 and Nasdaq-100 futures follow the stock market's circuit breakers, and what a decline sets off depends on its size and on the clock. The SEC describes three market-wide levels, each keyed to a single-day fall in the S&P 500 Index and recalculated from the prior close. Level 1 is a 7% fall, Level 2 a 13% one; before 3:25 p.m. either stops trading everywhere for a quarter of an hour, and at 3:25 p.m. or later neither stops anything. Level 3 is 20%, and whenever it arrives the day is over.

These futures halt with the stock market but reopen before it. Under the older arrangement they waited on the primary listing exchange and restarted with it, after the full fifteen minutes. The 2020 amendment cut that tie for a named list of contracts that includes the E-mini and Micro E-mini S&P 500 and Nasdaq-100, which now restart ten minutes after the regulatory halt begins, five minutes ahead of the cash market. They come back at the next limit down: 13% after a Level 1 halt, 20% after a Level 2. A Level 3 decline keeps them shut for the rest of the session.

Why do the S&P 500 and Nasdaq-100 contracts halt differently?

Between 8:30 a.m. and 2:25 p.m. Chicago time the two pairs of contracts do not work the same way. Chapters 358 and 353 give the S&P 500 contracts no futures-side trigger at all: in that window they halt only when the primary listing exchange halts. Chapters 359 and 361 add one, keyed to the Nasdaq-100 futures contract reaching its own limit.

The two triggers measure different things. The observation interval keys off the Nasdaq-100 futures contract being limit offered at its own price limit. The regulatory halt keys off a decline in the S&P 500 Index, the index named in all four chapters, including the two Nasdaq-100 ones. What all four share is section 3.b: an unscheduled non-regulatory halt on a primary listing exchange in that window leaves halts and limits to the exchange's discretion. And above all of it, Rule 589 lets CME's Global Command Center change or remove limits and decide whether to halt, so this schedule is what normally happens, not a guarantee.

What a limit move means if you are trading a funded account

A locked-limit market is a liquidity event, and the practical risk is being unable to exit at a price you would choose. A stop order does not change that: the chapters bar any trade below the limit, so an order to sell can only be filled at or above it, and only if someone is there to take the other side. That is a milder version of the reason a futures loss is not capped at your deposit, and part of why our risk disclosure says most people who attempt this will not succeed.

Accounts at Lumen Futures are simulated and priced from live market data, so a locked market reaches your screen the same way. Your drawdown line sits below your highest end-of-day balance and only the balance at the close counts, so a loss taken during a locked session lands at the close rather than at the moment of the move. Because every position has to be flat by 4:45 PM ET, a halt late in the session is not something you can sit out. Which contracts you may trade is on the instruments page.

Frequently asked questions

Does hitting limit down mean futures trading stops?

Not by itself. Between the start of the trading day and 8:30 a.m. Chicago time, an E-mini or Micro E-mini S&P 500 or Nasdaq-100 contract that reaches its 7% limit simply cannot trade outside the band, and the session continues. The exception is the 8:25 a.m. pause that Chapters 358 and 359 impose. During cash hours a halt comes either from a market-wide circuit breaker triggered by a fall in the S&P 500 Index, or, on the Nasdaq-100 contracts, from the futures themselves staying limit offered through a two-minute observation interval.

Is limit up limit down the same thing for stocks and futures?

No, despite the shared name. Limit Up-Limit Down, as the SEC describes it, governs one stock at a time: trades in that stock are confined to a band drawn around its average price over the preceding five minutes, and if the price reaches the edge of the band and is still there fifteen seconds later, that stock pauses for five minutes. Which width applies — 5%, 10%, 20%, or the lesser of 75% or $0.15 — turns on the stock's price and its tier. Futures price limits are daily exchange-set boundaries and use none of that machinery.

Can the exchange change or remove a price limit mid-session?

Yes. The revision to Rule 589 that CME, CBOT, NYMEX and COMEX certified to the CFTC in January 2015 gives the Global Command Center absolute discretion to do whatever it decides market integrity requires, and says so specifically about two things: price fluctuation limits, which it may alter or drop at any point, and trading, which it may halt or leave running. An alert follows promptly once the desk has acted. So the schedule in a product chapter is the normal case, not a promise.

Do Micro contracts have different price limits than the E-minis?

No. CME Chapter 353 points the Micro E-mini S&P 500 at whatever reference price and 7%, 13% and 20% offsets the E-mini S&P 500 carries that business day, and Chapter 361 points the Micro E-mini Nasdaq-100 at the E-mini Nasdaq-100 the same way. The limits fall at the same index levels. What differs is the contract multiplier — $5 against $50 on the S&P 500 pair, $2 against $20 on the Nasdaq-100 pair — and so the dollar consequence of reaching one.