Chapter 381
Micro E-mini S&P MidCap 400® Index Futures
38100.

SCOPE OF CHAPTER
This chapter is limited in application to Micro E-mini S&P MidCap 400 Index futures (“futures”). In
addition to this chapter, futures shall be subject to the general rules and regulations of the Exchange
as applicable.
Unless otherwise specified, times referred to herein shall refer to and indicate Chicago time.
38100.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.
38100.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 to time
(SEC, SRO Rulemaking, National Market System Plans, File 4-631).
38100.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 2012 bythe SEC, as amended from time to time (SEC, SRO Rulemaking, National Market System Plans, File4-631) and as implemented under New York Stock Exchange Rule 7.12 for Trading Halts Due toExtraordinary Volatility or under Nasdaq Stock Market Rule 4121 for Trading Halts Due toExtraordinary Volatility.

38101.

CONTRACT SPECIFICATIONSEach futures contract shall be valued at $10.00 times the S&P MidCap 400 Index (“Index”).

38102.

TRADING SPECIFICATIONS
38102.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.
38102.B.
Trading Unit
The unit of trading shall be $10.00 times the S&P MidCap 400 Index.
38102.C.
Price Increments
Bids and offers shall be quoted in terms of the S&P MidCap 400 Index points. The minimum priceincrement shall be 0.10 Index points, equal to $1.00 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 $.50 per intermonth spread.
38102.D.
Position Limits
The applicable position limits and/or accountability levels, in addition to the reportable levels, are set
forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations& Special Notices Section of Chapter 5.
A Person seeking an exemption from position limits for bona fide 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.
38102.E.
Reserved
38102.F.
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38102.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 (Rule38103.A.) for such futures.
If an unscheduled Market Holiday is declared on the day of Final Settlement Price determination(Rule 38103.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.
38102.H.
Reserved38102.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 Rulethe Exchange shall determine, in its sole discretion, the futures delivery month that represents thePrimary Futures Contract Month and when such Primary Futures 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 38102.I.1.a.) and thecorresponding Offsets (Rule 38102.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 on the first preceding Business Day, as follows:
Tier 1
Such Reference Price shall be based on the volume-weighted average price of transactions in such
futures on the CME Globex electronic trading platform during the interval (i) between 2:59:30 p.m.
and 3:00:00 p.m., or (ii) in the case of an early scheduled close of the Primary Listing Exchange,
between 11:59:30 a.m. and noon, or (iii) in the event of an unscheduled early close of the Primary
Listing Exchange, the final thirty (30) seconds of the Primary Listing Exchange trading day(“Reference Interval”).
Tier 2
If no such transaction occurs during the Reference Interval, then such Reference Price shall be basedon the average of midpoints of bid/ask spreads for such futures quoted on CME Globex during theReference Interval, provided that the Reference Price calculation shall exclude the midpoint value
for any such bid/ask spread that is wider than 0.20 Index points (equal to two (2) minimum priceincrements).
Tier 3
If such Reference Price cannot be determined pursuant to Tier 1 or Tier 2, then the Exchange, in its
sole discretion, shall set such Reference Price by alternative means which may include, but are notlimited to, derivation by reference to the basis relationship between such futures contract’s price andthe Index, or application of Tier 1 and Tier 2 calculations to successive time intervals of increasing
length, in integer multiples of thirty (30) seconds, until suitable price data are obtained.
The resultant Reference Price value shall be rounded down to the nearest integer multiple of 0.1
Index point. Such Reference Price, so rounded, shall be used for determination of the corresponding
Price Limits.
For newly listed futures for a given delivery month, the Exchange shall set, in its sole discretion, aReference Price value for the purpose of determining Price Limits for the first day of trading in such
futures.
1.b. Offsets for Price Limits
For a given Business Day, the Exchange shall determine Offsets on the basis of the Index value (“I”)
at the close of trading on the Primary Listing Exchange (Rule 38100.B.) on the first preceding
Business Day, as follows:
7% Offset =7% of I (0.07 x I)

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13% Offset =20% Offset =13% of I (0.13 x I)
20% of I (0.20 x I)

Each resultant Offset value shall be rounded down to the nearest integer multiple of 0.1 Index point.
Each such Offset, so rounded, shall be used in determination of the corresponding Price Limits.
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 38102.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 the startof the CME Globex trading session at 5:00 p.m. on the evening first preceding such Trading Day.
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 in theInterpretations & 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 38102.I.3.a. and 38102.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 the corresponding
Price Limits (Rule 38102.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 observation interval:
If the Primary Futures Contract Month is not limit offered at its 7% Price Limit, futures trading shallcontinue subject to the corresponding 13% Price Limit.
If the Primary Futures Contract Month remains limit offered at its 7% Price Limit, futures trading shallhalt 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, theExchange shall initiate a 2-minute observation interval. At the conclusion of such observation interval:
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 38100.C.) in
response to a Level 1 (7%) Market Decline in the S&P 500 Index, futures trading shall halt. When
trading resumes on the Primary Listing Exchange, futures trading shall resume subject to thecorresponding 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. When trading resumes on
the Primary Listing Exchange, futures trading shall resume subject to the corresponding 20% PriceLimit.
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 the case of anearly scheduled close of the Primary Listing Exchange(s), then futures trading shall be subject tosuch trading halts or such price limits as the Exchange, in its sole discretion, may determine to beappropriate.
4. Application of Price Limits from 2:25 p.m. to 3:00 p.m.

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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 38102.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 38102.I.1.a.) plus the7% Offset determined on the current Business Day (Rule 38102.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 the current
Business Day, provided that such lower Price Limit shall be no lower than the 20% Price Limit (Rule38102.I.1.) applicable to the current Trading Day.
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 in theInterpretations & 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.

38103.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.
38103.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 ofsuch delivery month and shall be based on opening prices of the component stocks of the Index.
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 does not open on the day scheduled for determination of such Final
Settlement Price, then the Final Settlement Price shall be a special opening quotation of the Index
on the next following day on which the 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 is open for trading, then for the purpose ofcalculating such Final Settlement Price the price of such stock shall be its closing price on the firstpreceding Primary Listing Exchange trading day, provided that the Exchange, in its sole discretion,
may instruct that the price of such stock shall be the Primary Listing Exchange’s Official Opening
Price of such stock on the next following Primary Listing Exchange trading day.
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 onthe Business Day immediately preceding the original day of Final Settlement Price determination.
38203.B.
Final Settlement
Clearing members holding open positions in an expiring futures contract at its termination of trading(Rule 38102.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 38103.A.).

38104.

[RESERVED]

38105.

[RESERVED]

38106.

[RESERVED](End Chapter 381)

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INTERPRETATIONS & SPECIAL NOTICESRELATING TO CHAPTER 381
Standard & Poor's, a division of the McGraw–Hill Companies, Inc. ("S&P"), licenses the Exchange to use various
S&P stock indices ("S&P Stock Indices") in connection with the trading of futures contracts and options on futurescontracts based upon such indices. S&P shall have no liability for damages, claims, losses or expenses causedby any errors or delays in calculating or disseminating the S&P Stock Indices.
Standard & Poor's, a division of the McGraw–Hill Companies, Inc. ("S&P"), does not guarantee the accuracy and/or
completeness of the S&P Stock Indices or any data included therein. S&P makes no warranty, express or implied,
as to the results to be obtained by any person or any entity from the use of the S&P Stock Indices or any data
included therein in connection with the trading of futures contracts, options on futures contracts and any other use.
S&P makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitnessfor a particular purpose or use with respect to the S&P Stock Indices or any data included therein. Without limiting
any of the foregoing, in no event shall S&P have any liability for any special, punitive, indirect or consequential
damages (including lost profits), even if notified of the possibility of such damages.

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