Chapter 363
Micro E-mini Russell 2000® Index Futures
36300.

SCOPE OF CHAPTER
This chapter is limited in application to Micro E-mini Russell 2000 Index futures (“futures”). In
addition to this chapter, futures shall be subject to the general rules and regulations of theExchange as applicable.
Unless otherwise specified, times referenced herein shall refer to and indicate Chicago time.
36300.A.
Market Decline
For the purposes of this chapter a Market Decline shall be as defined in New York Stock Exchange
Rule 7.12 for Trading Halts Due to Extraordinary Volatility or in Nasdaq Stock Market Rule 4121 forTrading Halts Due to Extraordinary Volatility.
36300.B.
Primary Listing Exchange
For the purposes of this chapter a Primary Listing Exchange shall be as defined in the “Plan toAddress Extraordinary Market Volatility Submitted to the Securities and Exchange Commission
Pursuant to Rule 608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31
May 2012 by the U.S. Securities and Exchange Commission (“SEC”), as amended from time totime (SEC, SRO Rulemaking, National Market System Plans, File 4-631).
36300.C.
Regulatory Halt
For the purposes of this chapter a Regulatory Halt shall be as defined in the “Plan to Address
Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant toRule 608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012by the SEC, as amended from time to time (SEC, SRO Rulemaking, National Market System
Plans, File 4-631) and as implemented under New York Stock Exchange Rule 7.12 for Trading
Halts Due to Extraordinary Volatility or under Nasdaq Stock Market Rule 4121 for Trading Halts
Due to Extraordinary Volatility.

36301.

CONTRACT SPECIFICATIONSEach futures contract shall be valued at $5.00 times the Russell 2000 Index (“Index”).

36302.

TRADING SPECIFICATIONS
36302.A.
Trading Schedule
Futures contracts shall be scheduled for trading during such hours and for delivery in such months
as may be determined by the Exchange, provided that there shall be no trading in futures contracts
when trading is halted in the Primary Futures Contract Month for E-mini Russell 2000 Stock Price
Index futures pursuant to Rule 39302.I.
36302.B.
Trading Unit
The unit of trading shall be $5.00 times the Index.
36302.C.
Price Increments
Bids and offers shall be quoted in Index points. The minimum price increment shall be 0.10 Index
points, equal to $0.50 per contract, except for intermonth spreads executed pursuant to Rule
542.A., for which the minimum price increment shall be 0.05 Index points, equal to $0.25 perintermonth spread.
36302.D.
Position Limits, Exemptions, Position Accountability and Reportable Levels
The applicable position limits and/or accountability levels, in addition to the reportable levels, areset forth in the Position Limit, Position Accountability and Reportable Level Table in theInterpretations & Special Notices Section of Chapter 5.
A person seeking an exemption from position limits for bona file commercial purposes shall apply to
the Market Regulation Department on forms provided by the Exchange, and the Market Regulation
Department may grant qualified exemptions in its sole discretion.
Refer to Rule 559 for requirements concerning the aggregation of positions and allowable
exemptions from the specified position limits.

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36302.E.
[Reserved]
36302.F.
[Reserved]
36302.G.
Termination of Trading
Trading in expiring futures shall terminate at the regularly scheduled start of trading on the New
York Stock Exchange on the Business Day scheduled for determination of the Final Settlement
Price (Rule 36303.A.) for such futures.
If an unscheduled Market Holiday is declared on the day of Final Settlement Price determination(Rule 36303.A), trading in the expiring futures shall terminate at the close of trading on the New
York Stock Exchange on the immediately preceding Business Day.
36302.H.
[Reserved]
36302.I.
Price Limits and Trading Halts
Futures trading shall be subject to Price Limits as set forth in this Rule.
For the purpose of this Rule the Exchange shall determine, in its sole discretion, the futuresdelivery month that represents the Primary Futures Contract Month and when such PrimaryFutures Contract Month is limit bid or limit offered.
1. Daily Determination of Price Limits
For a given Business Day, Price Limits applicable to a futures contract for a given delivery monthshall be calculated on the basis of the corresponding Reference Price (Rule 36302.I.1.a.) and thecorresponding Offsets (Rule 36302.I.1.b.), as follows:
7% Price Limits = Reference Price minus 7% Offset, and Reference Price plus 7% Offset
13% Price Limit = Reference Price minus 13% Offset
20% Price Limit = Reference Price minus 20% Offset
1.a. Reference Prices for Price Limits
For a given Business Day, for futures for a given delivery month, the Exchange shall set a contract
Reference Price identical to the Reference Price determined pursuant to Rule 39302.I.1.a. for Emini Russell 2000 Index Futures for the same Business Day.
1.b. Offsets for Price Limits
For a given Business Day, the Exchange shall set the 7%, 13% and 20% Offsets identical to thecorresponding 7%, 13% and 20% Offsets for E-mini Russell 2000 Index futures determined
pursuant to Rule 39302.I.1.b. for the same Business Day.
2. Application of Price Limits from Start of Trading Day to 8:30 a.m.
From the start of any Trading Day until 8:30 a.m., there shall be no trading in futures for a given
delivery month at any price that is either strictly lower than or strictly higher than the range definedby the 7% Price Limits (Rule 36302.I.1.) applicable to such futures on such Trading Day.
Without limitation to the foregoing, the start of any Trading Day generally shall coincide with thestart of the CME Globex trading session at 5:00 p.m. on the evening first preceding such TradingDay.
During this period of time, the contract shall also be subject to dynamic price fluctuation limits as
set forth in Rule 589.D. and in the Special Price Fluctuation Limits and Daily Price Limits Table inthe Interpretations & Special Notices Section of Chapter 5.
3. Application of Price Limits and Trading Halts from 8:30 a.m. to 2:25 p.m.
Except as provided in Rules 36302.I.3.a. and 36302.I.3.b., from 8:30 a.m. until and including 2:25
p.m., or from 8:30 a.m. until and including 11:25 a.m. in the case of an early scheduled close of thePrimary Listing Exchange, futures for a given delivery month shall trade subject to thecorresponding Price Limits (Rule 36302.I.1.), as follows:
There shall be no futures trading at any price strictly lower than the corresponding 7% Price Limit,
unless the Primary Futures Contract Month becomes limit offered at its 7% Price Limit.
At such time as the Primary Futures Contract Month becomes limit offered at its 7% Price Limit, theExchange shall initiate a 2-minute observation interval. At the conclusion of such observationinterval:
If the Primary Futures Contract Month is not limit offered at its 7% Price Limit, futures trading shall© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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continue subject to the corresponding 13% Price Limit.
If the Primary Futures Contract Month remains limit offered at its 7% Price Limit, futures trading
shall halt for two (2) minutes, and shall then resume subject to the corresponding 13% Price Limit.
At such time as the Primary Futures Contract Month becomes limit offered at its 13% Price Limit,
the Exchange shall initiate a 2-minute observation interval. At the conclusion of such observationinterval:
If the Primary Futures Contract Month is not limit offered at its 13% Price Limit, futures trading shallcontinue subject to the corresponding 20% Price Limit.
If the Primary Futures Contract Month remains limit offered at its 13% Price Limit, futures trading
shall halt for two (2) minutes, and shall then resume subject to the corresponding 20% Price Limit.
There shall be no futures trading at any price strictly lower than the corresponding 20% Price Limit.
3.a. Regulatory Halts
At such time as the Primary Listing Exchange may declare a Regulatory Halt (Rule 36300.C.) inresponse to a Level 1 (7%) Market Decline in the S&P 500 Index, futures trading shall halt. Futures
trading shall resume 10 minutes after the Regulatory Halt commences on the Primary Listing
Exchange subject to the corresponding 13% Price Limit.
At such time as the Primary Listing Exchange may declare a Regulatory Halt in response to a Level
2 (13%) Market Decline in the S&P 500 Index, futures trading shall halt. Futures trading shallresume 10 minutes after the Regulatory Halt commences on the Primary Listing Exchange subject
to the corresponding 20% Price Limit.
At such time as the Primary Listing Exchange may declare a Regulatory Halt in response to a Level
3 (20%) Market Decline in the S&P 500 Index, futures trading shall halt for the remainder of thetrading session.
3.b. Unscheduled Non-Regulatory Halts
If an unscheduled trading halt that is not also a Regulatory Halt occurs on one or more Primary
Listing Exchanges between 8:30 a.m. and 2.25 p.m., or between 8:30 a.m. and 11:25 a.m. in thecase of an early scheduled close of the Primary Listing Exchange(s), then futures trading shall besubject to such trading halts or such price limits as the Exchange, in its sole discretion, may
determine to be appropriate.
4. Application of Price Limits from 2:25 p.m. to 3:00 p.m.
From 2:25 p.m. to 3:00 p.m., or from 11:25 a.m. to noon in the case of an early scheduled close on
the Primary Listing Exchange, trading in futures for a given delivery month shall be subject only tothe corresponding 20% Price Limit (Rule 36302.I.1.).
At such time as the Primary Listing Exchange may declare a Regulatory Halt in response to a Level
3 (20%) Market Decline in the S&P 500 Index, futures trading shall halt for the remainder of thetrading session.
5. Application of Price Limits from 3:00 p.m. to Close of Trading Day
From the close of trading on the Primary Listing Exchange at 3:00 p.m., or at noon in the case of anearly scheduled close on the Primary Listing Exchange, until the close of the current Trading Day,
trading in futures for a given delivery month shall be subject to an upper Price Limit equal to thecorresponding Reference Price determined on the current Business Day (Rule 36302.I.1.a.) plus
the 7%Offset determined on the current Business Day (Rule 36302.I.1.b.).
Trading in such futures also shall be subject to a lower Price Limit set as the corresponding
Reference Price determined on the current Business Day minus the 7%Offset determined on thecurrent Business Day, provided that such lower Price Limit shall be no lower than the 20% PriceLimit (Rule 36302.I.1.) applicable to the current Trading Day.
During this period of time, the contract shall also be subject to dynamic price fluctuation limits asset forth in Rule 589.D. and in the Special Price Fluctuation Limits and Daily Price Limits Table in
the Interpretations & Special Notices Section of Chapter 5.
Without limitation to the foregoing, the close of the current Trading Day generally shall coincide withthe close of the CME Globex trading session on such Trading Day.

36303.

SETTLEMENT PROCEDURES© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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Delivery shall be by cash settlement.
36303.A.
Final Settlement Price
For a futures contract for a given delivery month, the Final Settlement Price shall be a special
opening quotation of the Index. Such special opening quotation shall be determined on the third
Friday of such delivery month and shall be based on opening prices of the component stocks of theIndex.
If the Index is not scheduled to be published on the third Friday of the contract delivery month, thensuch Final Settlement Price shall be scheduled for determination on the first preceding Business
Day on which the Index is scheduled to be published.
If the Primary Listing Exchange for a component stock of the Index does not open on the dayscheduled for determination of such Final Settlement Price, then for the purpose of calculating such
Final Settlement Price the price of such component stock shall be its opening price on the next
following day on which its Primary Listing Exchange is open for trading.
If a component stock of the Index does not trade on the day scheduled for determination of such
Final Settlement Price, and the Primary Listing Exchange for such stock is open for trading, then forthe purpose of calculating such Final Settlement Price the price of such stock shall be its last saleprice, provided that the Exchange in its sole discretion may instruct that the price of such stock
shall be its opening price on the next following day that it is traded on its Primary Listing Exchange.
If an unscheduled Market Holiday is declared on the day of final settlement price determination, theFinal Settlement Price shall be the Official Index Closing Value published by the index publisher on
the Business Day immediately preceding the original day of Final Settlement Price determination.
36303.B.
Final SettlementClearing members holding open positions in an expiring futures contract at its termination of trading(Rule 36302.G.) shall make payment to or receive payment from the Clearing House in accordancewith normal variation margin procedures based on such expiring contract’s Final Settlement Price(Rule 36303.A.).

36304.

[RESERVED]

36305.

[RESERVED]

36306.

[RESERVED](End Chapter 363)
INTERPRETATIONS & SPECIAL NOTESRELATING TO CHAPTER 363
Neither Frank Russell Company’s publication of the Russell Indexes nor its licensing of its trademarks for use inconnection with securities or other financial products derived from a Russell Index in any way suggests or implies
a representation or opinion by Frank Russell Company as to the attractiveness of investment in any securities orother financial products based upon or derived from any Russell Index. Frank Russell Company is not the issuerof any such securities or other financial products and makes no express or implied warranties of merchantability
or fitness for any particular purpose with respect to any Russell Index or any data included or reflected therein,
nor as to results to be obtained by any person or any entity from the use of the Russell Index or any data
included or reflected therein.

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