I wonder what craziness is going on in the market with moving the official trading to Chicago, unless they have everyone's trades still going to the computer in New Jersey and then sharing a common communication path to Chicago to change the trading computers' reaction speeds. Otherwise a broker based in Chicago suddenly gets a leg up over the ones in New York.
EXACTLY ... The threat of the move would obviously impact the ability to exact the tax, but the bigger impact is that moving the exchange would obviate the need for major financial institutions to have headquarters near the FORMER exchange. Milliseconds count, and so offices would be relocated to where the new exchange is, which would cost NJ and NY billions in Income Tax revenue, along with decreased property values as thousands of multimillion dollar houses hit the market at the same time.