Adjustments to U.S. Trading Curbs

Bloomberg has an article here on adjustments to U.S. trading curbs starting Feb 4, 2013 for a one-year pilot period.

Single Stock Circuit Breaker

Current System

  • Stocks will be halted when they rise or fall at least 10% in 5 minutes.

Updated System

  • Trades will not be allowed to take place at a specified percentage above or below the average price over the preceding 5-minute period.
  • If trading isn’t able to occur within the price band for more than 15 seconds, a 5-minute halt will ensue.
  • Based on the prior day’s closing price, the price bands are set as follows
    • 5% above and below for stocks higher than $3 in the S&P 500 Index, Russell 1000 Index, and a group of 430 exchange-traded products.
    • 10% for other securities higher than $3.
    • 20% for stocks between $0.75 and $3.
    • Lesser of 75% or $0.15 for stocks less than $0.75.

Market-wide Circuit Breaker

Current System

  • At the beginning of each calendar quarter, the average closing value of the DJIA for the prior month is calculated. Trigger levels are set at 10%, 20%, 30% of that calculated value.
  • In the event of a 10% decline
    • Before 2pm: 1-hour halt
    • 2 to 2.30pm: 30-minute halt
    • After 2.30pm: No halt
  • In the event of a 20% decline
    • Before 2pm: 2-hour halt
    • 2 to 2.30pm: 1-hour halt
    • After 2.30pm: Market closes
  • In the event of a 30% decline
    • Market closes

Updated System

  • All U.S. securities trading will halt for 15 minutes when the S&P 500 falls 7% before 3.25pm.

Implementation Schedule

  • First 6 months
    • Will be applied to S&P 500, Russell 1000 stocks and the group of exchange traded products.
    • Price bands calculated from 9.45am NY time to 3.30pm NY time.
  • Next 6 months
    • Will be applied to all securities.
    • Price bands calculated from 9.30am NY time to 4.00pm NY time.



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