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Stats › Intraday et microstructure de marché › LULD halts

Most trading pauses reverse within a minute, and the number of them is set by a technical rule

Tier 1 Phase I: 83%+83%Niveau 1Phase ITier 1 Phase II: 87%+87%Niveau 1Phase IITier 2 Phase II: 46%+46%Niveau 2Phase II

Share of trading pauses where the price reversed to the pre-limit-state level within one minute of resumption. Tier 1 covers S&P 500, Russell 1000 and selected exchange traded products; Tier 2 is everything else. Phase I ran June to August 2013 and Phase II May to August 2014. These are descriptive shares with no significance test.

A technical change to one reference price in July 2016 cut daily trading pauses from 46.45 to 9.83. The SEC finds the mechanism reduces extreme transitory volatility. A separate event study finds volatility after a pause runs about twice the control level for thirty minutes.

87%Tier 1 pauses reversing to the pre-limit price within a minute
46%Tier 2 pauses doing the same
46.45 to 9.83Daily pauses before and after Amendment 10, July 2016
17%Tier 1 pauses showing price continuation rather than reversal

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