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Stats › Intraday and market microstructure › 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%Tier 1Phase ITier 1 Phase II: 87%+87%Tier 1Phase IITier 2 Phase II: 46%+46%Tier 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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Below this point there are 5 sections and 5 named sources, roughly 750 words of it. Every figure carries the source it came from and the date the data is from.

You can keep browsing every statistic in the library for free. The intro and the summary are always open.