Effective with the start of trading for trade date Monday, May 23, 2011, the Exchange will implement revisions to the Exchange?s Guidelines for Treatment of Short-Term Spikes for the Coffee ?C? and Russell Stock Index futures contracts.

Effective with the start of trading for trade date Monday, May 23, 2011, the Exchange will implement revisions to the Exchange?s Guidelines for Treatment of Short-Term Spikes for the Coffee ?C? and Russell Stock Index futures contracts.

The Guidelines are intended to share with the trading community the kinds of factors considered relevant by the Exchange in determining whether a shortterm price spike has occurred and what actions IFUS might take in such circumstances.

The revised Guidelines are as follows (changes from the prior iteration of the Guidelines are shown in bold):

For purposes of this guidance, a ?Price Spike? occurs when:

-- The price of a commodity rises and then falls (or falls and then rises) within 90 seconds or fewer;

-- There is neither widely available news that clearly precipitated the spike nor similar trading patterns on related products;

-- Each trade during the Price Spike occurs within the No-Cancellation Range as defined in the ICE Futures U.S. Rulebook;

-- There is not an apparent error that caused or exacerbated the Price Spike; and

-- The peak (or trough) of the price spike is more than a predefined number of points away from the Equilibrium Price (described below) determined by IFUS at the end of the Price Spike:

When a Price Spike has occurred, IFUS will determine an Equilibrium Price, which is the level at which price movement stabilizes at the end of the Price Spike. In doing so, it will consider the prices of trades matched in the platform for the relevant contract at that time, resting bids and offers in that contract at that time, trades/bids and offers in other months of the same contract at that time and market data from comparable products listed for trading on other venues.

Reply to
cafe_nafe
Loading thread data ...

DrinksForum website is not affiliated with any of the manufacturers or service providers discussed here. All logos and trade names are the property of their respective owners.