The Eurex Volatility Interruption Functionality is a safeguard which aims to ensure market integrity and price continuity by preventing matching of incoming orders that would lead to an erroneous trade price and to stop sudden price cascades.
In the functional concept of the Volatility Interruption, the potential trade price of an incoming order is checked against all prices of previously executed trades in the same instrument within configured lookback time windows, the so called reference prices. In order to account for different liquidity scenarios, Eurex currently applies two time windows, a “short” and a “long” one, configured for each product together with the respective parameters for the allowed price deviation.
A Volatility Interruption will be triggered if the allowed price deviation is exceeded, i.e.:
The execution of the incoming order will be prevented and the affected instrument or all instruments of the affected product will be automatically moved from continuous trading to a volatility auction. The incoming order that triggered the volatility auction is written to the auction book, or in case of an IOC order, it is cancelled. Executions which happened before the volatility interruption was triggered, remain valid.
Eurex volatility auctions behave like normal Eurex auctions, market participants are able to submit, maintain or cancel orders without matching taking place. The Volatility Interruption along with its indicative auction price is available and published to the market.
For further information please refer to Chapter 7.5 Volatility Interruption in the Functional Reference.
Market Status ⓘ
The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.
Please find further information about incident handling in the Emergency Playbook published on the Eurex webpage under Support --> Emergencies and safeguards. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message.
We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.
An instant update of the Market Status requires an enabled up-to date Java™ version within the browser.