FOOTNOTE 30 See CFTC and SEC Joint Report on the Market Events of May 6, 2010, supra note 1, at 1-6; "Recommendations Regarding Regulatory Responses to the Market Events of May 6, 2010, Summary Report of the Joint CFTC-SEC Advisory Committee on Emerging Regulatory Issues" (February 18, 2011), available at http://www.cftc.gov/ucm/groups/public/@aboutcftc/documents/file/jacreport_021811.pdf. END FOOTNOTE
In response to the May 2010 flash crash, regulatory authorities and market participants have taken steps to address volatility in U.S. markets, including trading pauses and halts that operate as "circuit breakers." For example, in May 2012, the SEC approved a "limit up-limit down" mechanism in which a price band is set at a percentage level above and below the average price of the stock over the immediately preceding five-minute trading period. /31/ If the stock's price does not naturally move back within the price bands within 15 seconds, there will be a five-minute trading pause. The limit up-limit down mechanism began implementation in April 2013, beginning with all stocks in the S&P 500 and Russell 1000 and select exchange traded products.
FOOTNOTE 31 See SEC, "Investor Bulletin: New Measures to Address Market Volatility" (Apr. 9, 2013), available at http://www.sec.gov/investor/alerts/circuitbreakersbulletin.htm. END FOOTNOTE
In addition, the SEC approved updates to market-wide circuit breaker rules that, when triggered, halt trading in all exchange-listed securities in U.S. markets. Among other things, the new rules lower the percentage-decline thresholds for triggering a market-wide trading halt. The thresholds (Level 1 (7%), Level 2 (13%), and Level 3 (20%)) are set at levels calculated daily based on the prior day's closing price of the S&P 500 index. /32/ To be consistent with these circuit breakers, the CME Group, effective April 8, 2013, reduced the price limit levels for CME and CBOT U.S. equity index futures to 7%, 13% and 20%. /33/ When a trading halt is declared in the primary securities market in accordance with these levels, trading in the S&P 500 index futures contracts will be halted at the CME. When trading in the primary securities market resumes after any such halt, trading in the S&P index futures contracts will resume. Similar rules apply to other equity index futures contracts listed on CME. In March 2012, ICE Futures U.S. introduced a circuit breaker functionality called Interval Price Limits, in which prices may not move more than a pre-determined amount away from the current market price within a pre-determined period. /34/
FOOTNOTE 32 See id. END FOOTNOTE
FOOTNOTE 33 See CME Group, "Changes to CME and CBOT Equity Index Price Limits: Frequently Asked Questions," available at education/files/faq-eq-hours-and-limits.pdf">http://www.cmegroup.com/education/files/faq-eq-hours-and-limits.pdf. END FOOTNOTE
FOOTNOTE 34 See IntercontinentalExchange, Inc., "ICE Circuit Breakers (IPL) Price Limits" (March 2012), available at technology/IPL_Circuit_Breaker.pdf">https://www.theice.com/publicdocs/technology/IPL_Circuit_Breaker.pdf. END FOOTNOTE