Futures price limits are calculated from a price limit spread applied either side of the Reference Price in that expiry month.

The price limit spreads are set in ticks by Market Operations for each expiry month of a product based upon exchange policy and prevailing market conditions. Inner and outer spreads and resulting inner and outer price limits exist for each expiry month.

Orders entered within inner limits are accepted without alert. Orders entered outside inner limits but inside outer limits are accepted but flagged to Market Operations. Orders that are entered outside outer limits are automatically rejected by the Trading Host.

The appropriate price limits for each strategy are calculated by using the strategy price limits for each month set by Market Operations. The price limits for any particular strategy are calculated from these limits and a parameter known as the leg ratio. The leg ratio is the number of futures to be traded by a particular leg of the strategy. For instance, the leg ratio for the outer legs of a Butterfly is one and for the middle leg is two.