CME price limits caught out by Swiss franc surge

Exchange bins month-old rule after it leads to huge spot-futures basis

CME: more flexibility required

A CME Group rule designed to deter sharp price movements may have contributed to the disruption in foreign exchange markets on January 15, causing prices for listed FX futures to diverge wildly from the over-the-counter spot market and prompting the group to change the policy barely a month after it came into force.

CME Rule 589 sets price fluctuation limits for certain contracts traded on the exchange, with the aim of regulating abnormal price moves that may be caused by temporary bouts of

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