Futures Price Banding

A Price Band Variation (PBV) is a static value that varies by product. It is symmetrically applied to both the upside (for bids) and downside (for offers) to determine the Price Band Variation Range (PBVR). With each price change the PBVR is recalculated and the new range is applied. The CME Globex platform rejects all bids and offers outside the PBVR.
Applying the PBV to a reference price determines the PBVR. The reference price depends on the market state and trading activity:

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View the video about Futures Price Banding.

Options Price Banding

Enhanced Options price banding is identical to futures price banding, with the following modifications:         

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• If market conditions dictate a wider price band, for example, in a volatile market where prices are fluctuating rapidly, CME Group may elect to temporarily relax or suspend the price banding restriction.
• In addition to the PBVR, Daily Trading Limits may be in effect for certain products. Daily Trading Limits are always given priority over PBVR in rejecting orders with erroneous prices.
• PBVR are monitored throughout the day by the CME Global Command Center (GCC) and may be adjusted if necessary.

Price Banding Rules

Different price banding rules apply to options and futures to reflect the differences between these markets.

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EBS Market Price Banding

Price banding for EBS Market instruments is identical to futures price banding, with the following modifications:

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• Last Price:
  • latest CME Globex transaction price, OR
  • CME Globex bid price that betters the bid side of the market, OR
  • CME Globex asking price that betters the ask side of the market
• Last Price in combination with the Theoretical Price, if practical.
• Theoretical reference rate based on well-established pricing algorithms.

BrokerTec Price Banding

Price banding for BrokerTec Market instruments is identical to futures price banding, with the following exception:

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