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5 percent overnight price limits

From CME:

On Sunday, January 11, 2009, CME Group will modify the rules regarding the 5 percent overnight price limits for U.S. equity index futures traded on CME Globex during the ETH session. These modifications are designed to help preserve the market's ability to provide price discovery prior to the opening of the underlying cash market in all market conditions, without requiring a change in the overnight price limit.

Currently, if the 5 percent overnight limit is reached during the ETH session, and the market remains locked-limited until the opening of the Regular Trading Hours (RTH) session, the market's capability to provide price discovery before the opening of the underlying cash market is negated.

Starting Sunday, January 11, 2009, however, if the market is locked-limited as of 8:15 a.m. Chicago Time (15 minutes prior to the start of the RTH session) and still remains so at 8:25 a.m. (5 minutes prior to the start of the RTH session), the market will be halted and put into pre-open state. This will provide an Indicative Opening Price (IOP) in anticipation of a re-open on RTH, with the RTH limits in place - and effectively re-establish the market's price discovery capability.
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