Special Executive Report

DATE: March 19, 2020

SER#: 8566
SUBJECT: Amendments to NYMEX Rule 589. (“Special Price Fluctuation Limits and
Daily Price Limits”) Table for the Light Sweet Crude Oil and Brent Crude Oil
Last Day Financial Futures and All Related Associated Contracts

Pursuant to New York Mercantile Exchange, Inc. (“NYMEX” or “Exchange”) Rule 579.A. (“Global Command
Center – GCC Authority”) the CME Global Command Center (“GCC”) took emergency action on Thursday,
March 19, 2020, effective immediately.

Specifically, GCC increased the dynamic price fluctuation limits of the Light Sweet Crude Oil and Brent
Crude Oil Last Day Financial Futures from 7% to 15%. The emergency action shall apply until further notice
to the Light Sweet Crude Oil and Brent Crude Oil Last Day Financial Futures and all related Associated
Contracts (collectively, the “Contracts”).
NYMEX Rulebook
Chapter 5
(“Trading Qualifications and Practices”)
Rule 589. Special Price Fluctuation Limits and Daily Price Limits Table
(additions underscored; deletions struck through)

Contact Title Rulebook Commodity Dynamic Circuit Breaker

Chapter Code
Light Sweet Crude Oil Futures 200 CL 7% 15%
Brent Crude Oil Last Day Financial Futures 698 BZ 7% 15%

NYMEX Rule 589. applies initial price fluctuation limits above or below the previous day’s settlement price for
each futures contract month, and is termed the “first special price fluctuation limit level.” There are three (3)
additional levels that may be triggered based on parameters set forth in NYMEX Rule 589.B. (“Triggering
Events and Temporary Trading Halts”). The applicable levels are set forth in the Special Price Fluctuation
Limits Table and Price Limits Table (the “Table”) in the Interpretations Section at the end of Chapter 5
(“Trading Qualifications and Practices”) of the NYMEX Rulebook. For convenience, Rule 589. is provided in
Exhibit A below.

Inquiries regarding the aforementioned may be directed to the CME Group Global Command Center at
312.456.2391. Questions regarding this Special Executive Report may be directed to the CME Global
Command Center at +1.800.438.8616, in Europe at +44.800.898.013, in Asia at +65.6532.5010, or
[email protected].
 EXHIBIT A
NYMEX Rulebook
Chapter 5
(“Trading Qualifications and Practices”)

***
589. SPECIAL PRICE FLUCTUATION LIMITS
The special price fluctuation limits, including dynamic price fluctuation limits, applicable to those contracts
with such limits are set forth in the Special Price Fluctuation Limits and Daily Price Limits Table (“Table”) in
the Interpretations Section at the end of Chapter 5.
589.A. Initial Price Fluctuation Limits for All Contract Months
At the commencement of each trading day, there shall be initial price fluctuation limits in effect for each
futures contract month of the primary futures contract (as identified in the Table) above or below the
previous day's settlement price for such contract month set at the first special price fluctuation limit level as
provided in the Table.
589.B. Triggering Events and Temporary Trading Halts
1. First Triggering Event and Temporary Trading Halt
If the lead contract month (as identified by the Exchange) of the primary futures contract is bid or offered via
Globex at the upper or lower price fluctuation limit at the first special price fluctuation limit level, as
applicable, it will be considered a triggering event that will begin a two (2) minute monitoring period in the
lead contract month. If, at the end of the two (2) minute monitoring period, the lead contract month of the
primary futures contract is not bid or offered at the applicable special price fluctuation limit, the special price
fluctuation limits shall be expanded an additional increment above and below the previous day's settlement
price for all contract months of the primary futures contract and all contract months of associated products
of the primary futures contract as provided in the Table. If, however, at the end of the two (2) minute
monitoring period, the lead contract month of the primary futures contract is bid or offered at the applicable
special price fluctuation limit, a two (2) minute temporary trading halt will commence in all contract months
of the primary futures contract and in all contract months of associated products of the primary futures
contract as provided in the Table. In addition, trading in any associated product that is an option related to
the primary futures contract or in an option contract related to any other associated product of the primary
futures contract that may be available for trading on Globex shall be subject to a coordinated temporary
trading halt.
2. Expansion of Limits Following Temporary Trading Halt
Following the end of a temporary trading halt, the affected markets shall re-open simultaneously in all
contract months of the primary futures contract and in all contract months of associated products of the
primary futures contract. When trading resumes, the special price fluctuation limits shall be expanded an
additional increment above and below the previous day's settlement price for all contract months of the
primary futures contract and all contract months of associated products of the primary futures contract as
provided in the Table.
In each instance in which a triggering event occurs, a two (2) minute monitoring period will commence as
provided in Section B.1. of this Rule. In each instance, the special price fluctuation limits shall be expanded
by an additional increment above and below the previous day's settlement price for all contract months of
the primary futures contract and all contract months of associated products of the primary futures contract
as provided in the Table. Following the fourth triggering event on a trading day, there shall be no further
special price fluctuation limits.
3. Metals Contracts
For certain Metals contracts, as designated in the Table, the GCC shall designate a lead primary contract
month for purposes of this Rule. Additionally, an expiring contract month of a primary futures contract shall
have no special price fluctuation limits from the contract’s first position day through its last delivery day.
On each trading day, there shall be no temporary trading halts or expansion of special price fluctuation
limits in the primary futures contract or in any associated products of the primary futures contract during the
five (5) minutes preceding the end of the primary futures contract’s settlement price determination period. If
a triggering event occurs during this five (5) minute period, trading will continue with the current price limit in
effect until the conclusion of the five (5) minute period, at which time a monitoring period, temporary trading
halt or special price fluctuation limit expansion, as applicable, will occur.
On each trading day, there shall be no temporary trading halts or expansion of special price fluctuation
limits in the primary futures contract or in any associated products of the primary futures contract during the
five (5) minute period preceding the close of trading. If a triggering event occurs during this five (5) minute
period, trading will continue with the current price limit in effect until the close of trading.
589.C Dynamic Price Fluctuation Limits
At the commencement of each trading day, the subject contracts, as designated in the Table, shall be
assigned a price limit variant which shall equal a percentage of the prior trading day’s Exchange-
determined settlement price, or a price deemed appropriate by the GCC, (“dynamic variant”). During the
trading day, the dynamic variant shall be applied in rolling 60-minute look-back periods to establish dynamic
lower and upper price fluctuation limits as follows:
(a) the dynamic variant shall be subtracted from the highest trade and/or bid price during a look-back
period to establish the lower price fluctuation limit, i.e., trade and/or offer, and
(b) the dynamic variant shall be added to the lowest trade and/or offer price during a look-back period
to establish the upper price fluctuation limit, i.e., trade and/or bid.
1.Triggering Events and Temporary Trading Halts
If the lead contract month (as identified by the Exchange) of the primary futures contract is traded, bid or
offered via Globex through the lower or upper dynamic price fluctuation limits, it shall be considered a
triggering event which shall begin a two (2) minute temporary trading halt in all contract months of the
primary futures contract and in all contract months of associated products of the primary futures contract as
provided in the Table. If a non-lead contract month of the primary futures contract or associated futures
contract is traded, bid or offered via Globex through the lower or upper dynamic price fluctuation limits, it
shall be considered a triggering event which shall begin a two (2) minute temporary trading halt for that
non-lead contract month of the primary contract or associated futures contract.
2. Limits Following Temporary Trading Halt
Following the end of a temporary trading halt triggered by the lead month, the affected markets shall re-
open simultaneously at the indicative opening price as determined by the Exchange in all contract months
of the primary futures contract and in all contract months of the associated contracts of the primary futures
contract as provided in the Table. When trading resumes, the dynamic lower and upper price fluctuation
limits of shall be recalculated as described above. Likewise following the end of a temporary trading halt
triggered by a non-lead month or associated futures contract, the affected market shall re-open at the
indicative opening price as determined by the Exchange and the dynamic lower and upper price fluctuation
shall be recalculated as described above.
3. Additional Characteristics
On each trading day, should there be a triggering event in the lead contract month of the primary futures
contract during such contract’s settlement determination period, there shall be a (5) five second temporary
trading halt in all contract months of the primary futures contract and in all contract months of associated
products of the primary futures contract as provided in the Table. If a non-lead contract month of the
primary futures contract, or any contract month of an associated product of the primary futures contract,
experiences a triggering event during the primary futures contracts settlement determination period, there
shall be a (5) five second temporary trading halt for that non-lead contract month or that contract month of
an associated product of the primary contract.
On each trading day, should there be a triggering event in the lead contract month of the primary futures
contract during the (2) two-minute period preceding the close of trading, there shall be a (5) five second
temporary trading halt in all contract months of the primary futures contract and in all contract months of
associated products of the primary futures contract as provided in the Table. If a non-lead contract month of
the primary futures contract, or any contract month of an associated product of the primary futures contract,
experiences a triggering event during the (2) two-minute period preceding the close of trading of the
primary futures contract, there shall be a (5) five second temporary trading halt for that non-lead contract
month or that contract month of an associated product of the primary contract.
The special price fluctuation limits, including dynamic price fluctuation limits, applicable to those contracts
with such limits are set forth in the Special Price Fluctuation Limits and Daily Price Limits Table (“Table”) in
the Interpretations Section at the end of Chapter 5.
589.A. Initial Price Fluctuation Limits for All Contract Months
At the commencement of each trading day, there shall be initial price fluctuation limits in effect for each
futures contract month of the primary futures contract (as identified in the Table) above or below the
previous day's settlement price for such contract month set at the first special price fluctuation limit level as
provided in the Table.
589.B. Triggering Events and Temporary Trading Halts
1. First Triggering Event and Temporary Trading Halt
If the lead contract month (as identified by the Exchange) of the primary futures contract is bid or offered via
Globex at the upper or lower price fluctuation limit at the first special price fluctuation limit level, as
applicable, it will be considered a triggering event that will begin a two (2) minute monitoring period in the
lead contract month. If, at the end of the two (2) minute monitoring period, the lead contract month of the
primary futures contract is not bid or offered at the applicable special price fluctuation limit, the special price
fluctuation limits shall be expanded an additional increment above and below the previous day's settlement
price for all contract months of the primary futures contract and all contract months of associated products
of the primary futures contract as provided in the Table. If, however, at the end of the two (2) minute
monitoring period, the lead contract month of the primary futures contract is bid or offered at the applicable
special price fluctuation limit, a two (2) minute temporary trading halt will commence in all contract months
of the primary futures contract and in all contract months of associated products of the primary futures
contract as provided in the Table. In addition, trading in any associated product that is an option related to
the primary futures contract or in an option contract related to any other associated product of the primary
futures contract that may be available for trading on Globex shall be subject to a coordinated temporary
trading halt.
2. Expansion of Limits Following Temporary Trading Halt
Following the end of a temporary trading halt, the affected markets shall re-open simultaneously in all
contract months of the primary futures contract and in all contract months of associated products of the
primary futures contract. When trading resumes, the special price fluctuation limits shall be expanded an
additional increment above and below the previous day's settlement price for all contract months of the
primary futures contract and all contract months of associated products of the primary futures contract as
provided in the Table.
In each instance in which a triggering event occurs, a two (2) minute monitoring period will commence as
provided in Section B.1. of this Rule. In each instance, the special price fluctuation limits shall be expanded
by an additional increment above and below the previous day's settlement price for all contract months of
the primary futures contract and all contract months of associated products of the primary futures contract
as provided in the Table. Following the fourth triggering event on a trading day, there shall be no further
special price fluctuation limits.
3. Metals Contracts
For certain Metals contracts, as designated in the Table, the GCC shall designate a lead primary contract
month for purposes of this Rule. Additionally, an expiring contract month of a primary futures contract shall
have no special price fluctuation limits from the contract’s first position day through its last delivery day.
On each trading day, there shall be no temporary trading halts or expansion of special price fluctuation
limits in the primary futures contract or in any associated products of the primary futures contract during the
five (5) minutes preceding the end of the primary futures contract’s settlement price determination period. If
a triggering event occurs during this five (5) minute period, trading will continue with the current price limit in
effect until the conclusion of the five (5) minute period, at which time a monitoring period, temporary trading
halt or special price fluctuation limit expansion, as applicable, will occur.
On each trading day, there shall be no temporary trading halts or expansion of special price fluctuation
limits in the primary futures contract or in any associated products of the primary futures contract during the
five (5) minute period preceding the close of trading. If a triggering event occurs during this five (5) minute
period, trading will continue with the current price limit in effect until the close of trading.
589.C Dynamic Price Fluctuation Limits
At the commencement of each trading day, the subject contracts, as designated in the Table, shall be
assigned a price limit variant which shall equal a percentage of the prior trading day’s Exchange-
determined settlement price, or a price deemed appropriate by the GCC, (“dynamic variant”). During the
trading day, the dynamic variant shall be applied in rolling 60-minute look-back periods to establish dynamic
lower and upper price fluctuation limits as follows:
 (c) the dynamic variant shall be subtracted from the highest trade and/or bid price during a look-back
period to establish the lower price fluctuation limit, i.e., trade and/or offer, and
(d) the dynamic variant shall be added to the lowest trade and/or offer price during a look-back period
to establish the upper price fluctuation limit, i.e., trade and/or bid.
1.Triggering Events and Temporary Trading Halts
If the lead contract month (as identified by the Exchange) of the primary futures contract is traded, bid or
offered via Globex through the lower or upper dynamic price fluctuation limits, it shall be considered a
triggering event which shall begin a two (2) minute temporary trading halt in all contract months of the
primary futures contract and in all contract months of associated products of the primary futures contract as
provided in the Table. If a non-lead contract month of the primary futures contract or associated futures
contract is traded, bid or offered via Globex through the lower or upper dynamic price fluctuation limits, it
shall be considered a triggering event which shall begin a two (2) minute temporary trading halt for that
non-lead contract month of the primary contract or associated futures contract.
2. Limits Following Temporary Trading Halt
Following the end of a temporary trading halt triggered by the lead month, the affected markets shall re-
open simultaneously at the indicative opening price as determined by the Exchange in all contract months
of the primary futures contract and in all contract months of the associated contracts of the primary futures
contract as provided in the Table. When trading resumes, the dynamic lower and upper price fluctuation
limits of shall be recalculated as described above. Likewise following the end of a temporary trading halt
triggered by a non-lead month or associated futures contract, the affected market shall re-open at the
indicative opening price as determined by the Exchange and the dynamic lower and upper price fluctuation
shall be recalculated as described above.
3. Additional Characteristics
On each trading day, should there be a triggering event in the lead contract month of the primary futures
contract during such contract’s settlement determination period, there shall be a (5) five second temporary
trading halt in all contract months of the primary futures contract and in all contract months of associated
products of the primary futures contract as provided in the Table. If a non-lead contract month of the
primary futures contract, or any contract month of an associated product of the primary futures contract,
experiences a triggering event during the primary futures contracts settlement determination period, there
shall be a (5) five second temporary trading halt for that non-lead contract month or that contract month of
an associated product of the primary contract.
On each trading day, should there be a triggering event in the lead contract month of the primary futures
contract during the (2) two-minute period preceding the close of trading, there shall be a (5) five second
temporary trading halt in all contract months of the primary futures contract and in all contract months of
associated products of the primary futures contract as provided in the Table. If a non-lead contract month of
the primary futures contract, or any contract month of an associated product of the primary futures contract,
experiences a triggering event during the (2) two-minute period preceding the close of trading of the
primary futures contract, there shall be a (5) five second temporary trading halt for that non-lead contract
month or that contract month of an associated product of the primary contract.