Immediately Executable Price Range Rule
Immediately Executable Price Range Rule (Dynamic Circuit Breaker (DCB))
From the viewpoint of preventing sudden price fluctuations, such as those caused by erroneous orders, trading is temporarily halted when an order bringing an execution outside of a set price range (hereinafter referred to as the "DCB Price Range") based on the last reference price (hereinafter referred to as the "DCB Reference Price") is placed. This is called the Immediately Executable Price Range Rule.
- ･Temporary trading halt based on the immediately executable price range rule (Dynamic Circuit Breaker) is similar to special quotation mechanism in stock market and different from the trading halt based on Price Limits/ Circuit Breaker Rule (Static Circuit Breaker).
For Itayose at market opening (hereinafter referred to as the “Opening Auction”, including market re-opening after trading suspension and temporary trading halt due to Static Circuit Breaker) and regular session (Zaraba), trading will be temporarily halted when orders are matched on the outside of DCB Price Range based on the last reference price.
Also, in principle, after a set duration of time1 has passed from the start of the temporary trading halt, yet if the matching price is still outside of the DCB Price Range, the trading halt will continue and the DCB Reference Price will be updated to a price tick and closest to the matching price within the DCB Price Range. If the matching price is inside the DCB Price Range after a set of duration of time, trading will be resumed by Itayose. For Itayose at market closing (hereinafter referred to as the "Closing Auction"), in a case where a closing auction price is outside of a DCB Price Range based on a DCB Reference Price, trade will not be executed.
The DCB Price Range for Opening Auction and Closing Auction shall be set wider than that for regular session, except for some products. (Please refer to the table below for the details.)
For specific examples regarding DCB, please refer to "Example of Temporary Trading Halts based on Immediately Executable Price Range Rule" at the bottom of this page.
The DCB Reference Price shall be the last traded price of the auction (hereinafter referred to as the "Last Price") for Nikkei 225 Futures, Nikkei 225 mini, Nikkei 225 micro Futures, TOPIX Futures, JPX-Nikkei Index 400 Futures, Nikkei 225 Options, Nikkei 225 mini Options, Commodity Futures (except for CME Group Petroleum Index Futures) and Commodity Options, Last Price or the mid-price of the last best offer and best bid (hereinafter referred to as the "BBO mid-price")2 for other products. When adopting Last Price or BBO mid-price as a DCB Reference Price, in principle, Last Price will be referred for an order just after the execution, while BBO mid-price for others. The last BBO mid-price in a regular session will be referred when the BBO mid-price is adopted as a DCB Reference Price of Closing Auction. However, DCB Reference Price may not be updated to BBO mid-price in market conditions such as when the spread between the last best bid and the last best offer exceeds a certain range (MAX SPREAD). If there is no Last Price or BBO mid-price in the trading day, a Reference Price of price limits in auction market of the trading day is used as a DCB Reference Price.
DCB Price Range
Other than Index Options and Securities Options
| Products | DCB Reference Price | DCB Price Range | ||
|---|---|---|---|---|
| Opening Auction | Regular Session | Closing Auction | ||
| Nikkei 225 Futures | Last Price | ±3.0%3 | ±0.8%3 | ±1.5%3 |
| Nikkei 225 mini | ||||
| Nikkei 225 micro Futures | ||||
| TOPIX Futures | ||||
| Mini-TOPIX Futures | Last Price or BBO mid-price | |||
| RNP Index Futures | ||||
| JPX-Nikkei Index 400 Futures | Last Price | |||
| JPX Prime 150 Index Futures | Last Price or BBO mid-price | |||
| TSE Growth Market 250 Index Futures | ||||
| TSE REIT Index Futures | ||||
| TOPIX Core30 Futures | ||||
| TOPIX Banks Futures | ||||
| S&P/JPX 500 ESG Score Tilted Index Futures | ||||
| FTSE JPX Net Zero Japan 500 Index Futures | ||||
| Nikkei 225 Climate Change 1.5℃ Target Index Futures | ||||
| DJIA Futures | ±1.0%3 | |||
| TAIEX Futures | ||||
| FTSE China Index 50 Futures | ||||
| Nikkei 225 VI Futures | ±30Ticks | ±10Ticks | ±15Ticks | |
| Nikkei 225 Dividend Index Futures | ±JPY30 | ±JPY10 | ±JPY15 | |
| 5-year JGB Futures | ±JPY0.3 | ±JPY0.1 | ±JPY0.1 | |
| 10-year JGB Futures | ±JPY0.15 | |||
| mini 20-year JGB Futures | ±JPY0.9 | |||
| mini 10-year JGB Futures（Cash-Settled) | ±JPY0.3 | ±JPY0.1 | ±JPY0.15 | |
| Options on JGB Futures | ||||
| 3-Month TONA Futures | ±0.075 points | ±0.025 points | ±0.05 points | |
| Gold Standard Futures | Last Price | ±JPY120 | ±JPY40 | ±JPY80 |
| Gold Mini Futures | ||||
| Gold Rolling-Spot Futures | ||||
| Silver Futures | ±JPY3 | ±JPY1 | ±JPY2 | |
| Platinum Standard Futures | ±JPY120 | ±JPY40 | ±JPY80 | |
| Platinum Mini Futures | ||||
| Platinum Rolling-Spot Futures | ||||
| Palladium Futures | ±JPY90 | ±JPY30 | ±JPY60 | |
| CME Group Petroleum Index Futures | Last Price or BBO mid-price | ±3.0%3 | ±1.0%3 | ±1.5%3 |
| RSS3 Rubber Futures | Last Price | ±JPY15 | ±JPY5 | ±JPY10 |
| TSR20 Rubber Futures | ||||
| Shanghai Natural Rubber Futures | ±3.0% | ±1.0% | ±1.5% | |
| Soybean Futures | ±JPY1,500 | ±JPY500 | ±JPY1,000 | |
| Azuki (Red Bean) Futures | ±JPY300 | ±JPY100 | ±JPY200 | |
| Corn Futures | ±JPY750 | ±JPY250 | ±JPY500 | |
| Options on Gold Futures | ±JPY120 | 上±JPY40 | ±JPY80 | |
| Dubai Crude Oil Futures | ±JPY3,000 | ±JPY1,000 | ±JPY2,000 | |
| Gasoline Futures | ||||
| Kerosene Futures | ||||
| Gas Oil Futures | ||||
| Chukyo Gasoline Futures | ||||
| Chukyo Kerosene Futures | ||||
| East Area Baseload Electricity Futures | ±JPY6.00 | ±JPY5.00 | ±JPY6.00 | |
| West Area Baseload Electricity Futures | ||||
| East Area Peakload Electricity Futures | ||||
| West Area Peakload Electricity Futures | ||||
| East Area Baseload Electricity Futures (Weekly) | ||||
| West Area Baseload Electricity Futures (Weekly) | ||||
| East Area Peakload Electricity Futures (Weekly) | ||||
| West Area Peakload Electricity Futures (Weekly) | ||||
| East Area Baseload Electricity Futures (Fiscal Year) | ||||
| West Area Baseload Electricity Futures (Fiscal Year) | ||||
| East Area Peakload Electricity Futures (Fiscal Year) | ||||
| West Area Peakload Electricity Futures (Fiscal Year) | ||||
| LNG (Platts JKM) Futures | ±JPY300.0 | ±JPY100.0 | ±JPY200.0 | |
Index Options and Securities Options
| Category | DCB Reference Price | DCB Reference Price Level | DCB Price Range4 |
| Nikkei 225 Options Nikkei 225 mini Options |
Last Price | Less than JPY 100 | ± JPY 25 |
| JPY 100 or more, but less than JPY 200 | ± JPY 50 | ||
| JPY 200 or more, but less than JPY 500 | ± JPY 100 | ||
| JPY 500 or more, but less than JPY 800 | ± JPY 125 | ||
| JPY 800 or more, but less than JPY 1,000 | ± JPY 150 | ||
| JPY 1,000 or more, but less than JPY 2,000 | ± JPY 200 | ||
| JPY 2,000 or more | ± JPY 250 |
| Category | DCB Reference Price | DCB Reference Price Level | DCB Price Range4 |
| TOPIX Options | Last Price or Last BBO mid-price | Less than 20 pts | ± 2.5 pts |
| 20 pts or more, but less than 200 pts | ± 5 pts | ||
| 200 pts or more, but less than 500 pts | ± 10 pts | ||
| 500 pts or more, but less than 800 pts | ± 12.5 pts | ||
| 800 pts or more, but less than 1,000 pts | ± 15 pts | ||
| 1,000 pts or more, but less than 2,000 pts | ± 20 pts | ||
| 2,000 pts or more | ± 25 pts |
| Category | DCB Reference Price | DCB Reference Price Level | DCB Price Range4 |
| JPX-Nikkei Index 400 Options | Last Price or Last BBO mid-price | Less than 50 pts | ± 25 pts |
| 50 pts or more, but less than 200 pts | ± 50 pts | ||
| 200 pts or more, but less than 500 pts | ± 100 pts | ||
| 500 pts or more, but less than 800 pts | ± 125 pts | ||
| 800 pts or more, but less than 1,000 pts | ± 150 pts | ||
| 1,000 pts or more, but less than 2,000 pts | ± 200 pts | ||
| 2,000 pts or more | ± 250 pts |
| Category | DCB Reference Price | DCB Reference Price Level | DCB Price Range4 |
| Securities Options | Last Price or Last BBO mid-price | Less than JPY 100 | ± JPY 30 |
| JPY 100 or more, but less than JPY 200 | ± JPY 60 | ||
| JPY 200 or more, but less than JPY 500 | ± JPY 120 | ||
| JPY 500 or more, but less than JPY 800 | ± JPY 150 | ||
| JPY 800 or more, but less than JPY 1,000 | ± JPY 180 | ||
| JPY 1,000 or more, but less than JPY 2,000 | ± JPY 300 | ||
| JPY 2,000 or more, but less than JPY 5,000 | ± JPY 500 | ||
| JPY 5,000 or more, but less than JPY 10,000 | ± JPY 1,000 | ||
| JPY 10,000 or more, but less than JPY 20,000 | ± JPY 2,000 | ||
| JPY 20,000 or more, but less than JPY 50,000 | ± JPY 4,000 | ||
| JPY 50,000 or more | ± JPY 7,500 |
- Duration of the temporary trading halt is at least 30 seconds (15 seconds for index options ). The trade halt will continue until the matching price falls within the DCB Price Range.
For the handling of duration of the temporary trading halt on derivatives holiday trading days, please refer to the following page.
Holiday Trading - The calculated BBO mid-price shall be aligned up or down to the closest price tick. If the calculated BBO mid-price is equally far from two price ticks, the mid-price shall be aligned up to the nearest higher price tick. For example, if the best bid and the best offer for mini-TOPIX Futures are 1,300 pts and 1,300.25 pts, the BBO mid-price is 1300.25 pts.
- Suppose that the DCB Reference Price for Nikkei 225 Futures is JPY 20,010. Since the DCB price range is (JPY 20,010*0.8% =) ± JPY 160.08, the upper limit is JPY 20,170.08 and the lower limit is JPY 19849.92. Thus quotes available within this range suggests the immediately executable upper price tick is JPY 20,170, and the lower is JPY 19,850. The DCB will be triggered if the matching price is outside of the range.
- The same DCB Price Ranges shall be applied to Opening Auction, Regular Session and Closing Auction.