June 2, 2008 OMX Nordic Exchange implemented circuit breakers (volatility
interrupters) to reduce uncertainty during volatile periods.
Since the launch, OMX Nordic Exchange has actively followed the result of the
implemented functionality.
OMX Nordic Exchange has now decided to widen the dynamic and static circuit
breakers' threshold for penny shares traded at a very low price (at or below
0.50 DKK/SEK/ISK or 0.05 EUR). The change originates from the observation that
the current threshold for penny shares has resulted in a few unnecessary
triggered circuit breakers, which was not the intention. With the change OMX
Nordic Exchange foresees smooth trading also for the penny shares traded at
very low prices.
The implementation of the new thresholds is planned to take effect early July,
2008 in conjunction with the normal monthly maintenance of the group of penny
shares.
Circuit breakers interrupt matching when the price movement due to one single
incoming order is relatively large. The purpose is to give market participants
a few minutes to evaluate any new information, reconsider their interests or
remove any erroneous orders. Circuit breaker uses two types of reference
prices: a static price range and a dynamic price range. When a circuit breaker
is triggered, continuous trading is interrupted by a brief call auction.
Circuit breakers are implemented on the following instruments: equities
(including First North) and investment funds/ETFs.
Thresholds used for circuit breakers (changes are marked with “New”):
Dynamic circuit breakers
- +/- 3 % for blue chips (OMXC20, OMXH25, OMXS30, OMXI15)
- +/- 5 % for investment funds/ETF and other collective investment funds
- +/- 5 % for other shares and First North + international shares for
OMXS
- +/- 10 % for penny shares and illiquid shares
- +/- 25 % for penny shares traded at prices between 0.26-0.50 DKK/SEK/ISK
or 0.03-0.05 EUR (New)
- +/- 50 % for penny shares traded at prices between 0.01-0.25 DKK/SEK/ISK
or 0.01-0.02 EUR (New)
The reference price that is used in dynamic circuit breakers is the last paid
price
- The dynamic price range will never be less than 0.05 EUR/SEK/DKK/ISK (5
ticks)
o Due to a system limitation this rule is not active for Penny
shares. The wider thresholds are instead applied for the penny
shares traded at a very low price (New)
- Penny shares are defined as shares traded at prices below 5 DKK/SEK/ISK
or below 0.50 EUR
- Illiquid shares will be defined as shares that are in Liquidity Group C*
Static circuit breakers
- +/- 10 % for blue chips (OMXC20, OMXH25, OMXS30) and all investment
funds/ETF
- +/- 15 % for other shares, First North + International shares for OMXS
- +/- 20 % for penny shares and Illiquid shares
- +/- 25 % for penny shares traded at prices between 0.26-0.50 DKK/SEK/ISK
or 0.03-0.05 EUR (New)
- +/- 50 % for penny shares traded at prices between 0.01-0.25 DKK/SEK/ISK
or 0.01-0.02 EUR (New)
- The reference price that is used in static circuit breakers is the
equilibrium price from the previous call auction
- Static circuit breakers is not implemented in Iceland
- The static price range will never be less than 0.05 EUR/SEK/DKK (5 ticks)
o Due to a system limitation this rule is not active for Penny
shares. The wider thresholds are instead applied for the penny
shares traded at a very low price (New)
- Penny shares are defined as shares traded at a price below 5 DKK/SEK/ISK
or below 0.50 EUR
- Illiquid shares will be defined as shares that are in Liquidity Group C1
OMX Nordic Exchanges' trading surveillance reserves all rights to change the
thresholds at any time during trading.
For further information concerning this exchange notice, please contact Baldur
Thorlacius, telephone +354 525 2851 or Magnus Hardarson, telephone +354 525
2853.
_______________________
* A-Group: Days with Trades = 100 %. Average Daily Turnover > 4 MSEK/DKK / €400
000. Closing Spread < 1 %. C-Group: Days with Trades < 50 %. Average Daily
Turnover < 200 000 SEK /DKK/ €20 000. Closing Spread > 5 %. B-Group: Stocks
that are not part of the A- or the C-group.
Liquidity groups are not used on OMX Nordic Exchange Iceland.
