Immediately Executable Price Range Rule/ Price Limits/ Circuit Breaker Rule
1. Immediately Executable Price Range Rule
From the viewpoint of preventing sudden price fluctuations, such as caused by erroneous orders, a rule is established to temporarily halt trading, when an order placed will trade beyond a set price range from the last traded price (hereinafter referred to as "Immediately Executable Price Range Rule").
The following range from the last traded price in the auction market (excluding trades from Strategy Trading) for each category as listed below. However, if there is no last traded price during the same trading day, the reference price for daily price limits shall be the base price for the Immediately Executable Price Range Rule.
|Category||Immediately Executable Price Range|
|Index Futures||Nikkei 225 Futures, Nikkei 225 mini,
Nikkei 300 Futures, RN Prime Index Futures
|± 0.8 %|
|Nikkei 225 VI Futures||± 10 ticks|
|OSE DJIA Futures||± 1.0 %|
|Index Options||Nikkei 225 Options||± 10 ticks|
|Security Options||± 20 ticks|
- (*) The period for temporarily halting trading in the Immediately Executable Price Range Rule will be, in principle, 1 minute for all products.
- (*) In principle, this rule does not apply to call auctions. However, for call auctions at market closing, if the closing auction price is beyond the range as listed above from the last traded price, the trade will not executed.
2. Price Limits
(1) Index futures and options
The price limits for index futures and options contracts are set according to each underlying index category.
In the case where a Circuit Breaker is triggered, trading will be halted and the price limit range will be expanded.
Periodic update of the price limit range
- For Nikkei 225 Futures, Nikkei 225 mini ,Nikkei 300 Futures, RN Prime Index Futures and Nikkei 225 Options, the price limit range shall be calculated by multiplying the base price for calculating the price limit range by the following rates. This base price for calculating the price limit range is a value obtained by using reference prices of price limits from a most recent time period(*). In principle, the price limit range will be recalculated on a quarterly basis (March, June, September and December).
- The price limit range for OSE DJIA Futures will be revised every 3 months (January, April, July and October). They shall be the same values as CBOT DJIA Futures as determined by CBOT at the beginning of each quarter and the ranges will be applied to the quarter from the trading day on which OSE determines. Please note that the applicable period of the price limits for OSE DJIA Futures is different from other OSE products. Please note that the applicable period of the price limits for OSE DJIA Futures is different from other OSE products.
- The price limit range for Nikkei 225 VI Futures will be 10 points (absolute value) and will not be recalculated regularly.
- (*) Base price for calculating the price limit range. (Except for OSE DJIA Futures)
The average value of the reference price of the price limits for bids and offers (=previous day's settlement price) on each trading day with regards to the leading contract month on each underlying index for 20 days from the trading day ending on the day that is 25 days prior to the trading day (or the following business day, if it falls on a non-business day) listed in the following (a) through (d).
(a) Trading day ending on March 1
(b) Trading day ending on June 1
(c) Trading day ending on September 1
(d) Trading day ending on December 1
Base price for calculating a price limit range
- (Note) In the case where the ratio of the price limit range at the 2nd expansion of price limits to the reference price for price limits is beyond 20% for the two straight days (Nikkei 225 Futures, Nikkei 225 mini ,Nikkei 300 Futures, RN Prime Index Futures and Nikkei 225 Options) or in other cases where OSE deems it necessary, OSE will make an extraordinary revision of the price limit range.
Expansion of upper or (and) lower price limits when a Circuit Breaker is triggered
- The price limits for Nikkei 225 Futures, Nikkei 225 mini, Nikkei 300 Futures, RN Prime Index Futures and Nikkei 225 Options will be expanded to the 1st expansion of price limits, and then to the 2nd expansion of price limits.
- Normally, the upper or lower price limit range for Nikkei 225 VI Futures will be expanded by 5 points (no limitation on how many times the price limit range will be expanded).
- Index futures will be expanded upper or lower only one side (For example, (i) Ｉn the case where, in the leading contract month, a trade is executed at the upper limit price, or (ii) In the case where, in the leading contract month, a bid is placed at the upper price limit and no countering bid has been placed and no trade is executed for more than five continuous minutes.), and index options will be expanded upper and lower both sides.
|Category||Normal||1st Expansion||2nd Expansion|
|Index Futures||Nikkei 225 Futures,
Nikkei 225 mini,
Nikkei 300 Futures,
RN Prime Index Futures
|8 %||12 %||16 %|
|OSE DJIA Futures||7 %||13 %||20 %|
|Nikkei 225 VI Futures||10 points||Normally, expanded by 5 points
(unlimited number of times)
|Index Options||Nikkei 225 Options||13 %||17 %||21 %|
(2) Security Options
With respect to price limits for Security Options Contracts, the price limit range will be calculated by multiplying the reference price for price limits of an underlying security on the designated market by 25%, and the range will be recalculated daily.
3．Circuit Breaker Rule
The circuit breaker rule is applied to temporarily halt trading in order to allow investors to calm down when the market is overly volatile.
Either (1) or (2) below applies with respect to the leading contract month of future contracts.
Price limits will be expanded during the trading halt.
|Contracts (Issues) Subject to Trading Halt||
In cases where the criteria for the CB trigger are met, trading of the issues below will be halted.
|Conditions for Exception of Application||
The time that OSE determines on each occasion immediately after the criteria for CB trigger are met
|15 minutes (in the case of Conditions for CB Trigger (2), 10 minutes)|
|Method for Resumption||After the duration for a trading halt, trading will be resumed by the Itayose method with the price limit expanded.|
|Method for Resumption||Renewed on a trading day basis|
- (*) However, in cases that OSE deems it inappropriate upon considering matters such as the trading situation, OSE will not temporarily halt trading.
Please see the following for the description of triggering CB and expanding price limits in stages.