Limits were created in 1988 and percentage move limits have been used since 1998.
How they are calculated.
Limits are calculated after each quarterly expiration of contract based on average closing price for the front contract. I am not sure how limits are created for other months as I do not trade them. Limits are broken down for the S&P 500 contract by 10%, 20%, and 30% rounded down in 10 point increments during regular trading hours but not after 1:30 CT. Limit up is only enacted outside of regular trading hours.
How it works.
If a 10% limit down is reached and goes offer, only orders at or above will be executed. If buyers have not come in after the 10 minutes, sell orders are once again permitted after 2 minutes has passed. After the 2 minutes is up trading will resume until 20% limit is reached. If 20% limit is reached there will once again be a pause of 2 minutes until the 30% limit is reached and trading is halted for the remainder of the day. The extra 2 minute is not given if limit is reached at 1:29 CT and trading will resume at 1:30 CT.
This is only the basics for the S&P 500 other markets have different rules. I believe I have only seen one limit up and one that was close to limit down. If my memory serves me right there were something like 30k traded that prevented it from going limit down. The limit up happened after the FED surprisingly cut rates.
For more information please see: http://www.cmegroup.com/cn-t/file/equity-index-PriceLimitFAQ.pdf
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