FIA EPTA response to the ESMA Consultation Paper on the Guidelines on the calibration, publication and reporting of trading halts

1 October 2016

FIA EPTA believes that the factors for calibrating volatility parameters should respect three overarching principles:

  • Transparency - trading venues should provide market participants with sufficient information regarding which prices would trigger a volatility auction given the conditions of the orderbook, before placing an order.
  • Appropriate calibration of trading halts - it is neither possible nor desirable to mandate how trading venues should estimate volatility and that the onus should be on the trading venue to appropriately reflect the specific volatility profiles of the markets it operates in the design and parameters of the volatility mechanism.
  • Process - at no point should cancellation or amendments be forbidden.