Protective mechanisms during Mini Auctions

Protective mechanisms during Mini Auctions

There are two protective mechanisms available to stabilise exchange trading in Mini Auctions:

  • Volatility interruptions
  • Liquidity interruptions

Overview of content

Volatility interruptions during Mini Auctions

In Mini Auctions, a volatility interruption is triggered if the potential price lies outside the dynamic and/or static price range for the respective security.

A volatility interruption extends the outcry phase for the Mini Auction and is limited in time. Market players have the opportunity to enter new orders and quotes or to modify or delete orders already entered in the order book. After the end of the extension, the outcry phase comes to a random end.

Should the potential execution price at the end of the volatility interruption be outside a fixed spread that is broader than the dynamic price range, then an “extended” volatility interruption sets in. The extended volatility interruption means the outcry phase gets extended until such a time as Market Supervision manually ends it. If the auction is manually terminated, the price is no longer assessed in terms of whether it deviates from the reference price.

A volatility interruption during an auction augments price continuity and helps avoid mistrades in volatile markets.

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