Price Variation Limits
We remind intermediaries that, as set out in article 4.3.9 Rules of the Markets organised and managed by Borsa Italiana, for the purpose of the automatic control of the regularity of trading, the following types of price variation limits have been established:
Category |
Max variation of price orders than static price |
Max variation of contracts price than static price |
Max variation of contracts price than dynamic price |
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Fixed Income ETFs |
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Without leverage |
Underlying on overnight rate (euro) |
± 1% |
± 0,25% |
± 0,15% |
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Underlying with maturity 0-1 year (euro) |
± 10% |
± 0,7% |
± 0,35% |
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Underlying with maturity 0-1 year (other than euro) |
± 10% |
± 1,5% |
± 0,75% |
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Underlying with maturity 3-10 years |
± 10% |
± 2,5% |
± 1,25% |
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Underlying with maturity more than 10 years |
± 10% |
± 3,5% |
± 1,75% |
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With leverage |
± 30% |
± 5% |
± 2,5% |
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Equity ETFs |
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Without leverage |
± 30% |
± 5% |
± 2,5% |
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With leverage |
± 40% |
± 10% |
± 5% |
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ETCs/ETNs |
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Underlying on fixed income with maximum leverage equal to 3 |
± 30% |
± 5% |
± 2,5% |
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Underlying on fixed income with leverage more than 3 |
± 40% |
± 10% |
± 5% |
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Underlying on currencies without leverage |
± 20% |
± 10% |
± 5% |
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Underlying on currencies with leverage |
± 30% |
± 12,5% |
± 5% |
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| On single stocks (or basket of stocks) without leverage | ± 50% | ± 10% | ± 5% | |||
| On single stocks (or basket of stocks) with leverage | ± 60% | ± 30% | ± 10% | |||
| On equity indices without leverage | ± 30% | ± 5% | ± 2,5% | |||
| On equity indices maximum leverage equal to 2 | ± 40% | ± 10% | ± 5% | |||
| On equity indices maximum leverage greater than 2 and less or equal to 3 | ± 60% | ± 15% | ± 7,5% | |||
| On equity indices maximum leverage greater than 3 | ± 70% | ± 20% | ± 10% |
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Other underlying without leverage |
± 40% |
± 10% |
± 5% |
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Other underlying with maximum leverage equal to 2 |
± 60% |
± 12,5% |
± 5% |
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Other underlying with leverage more than 2 |
± 60% |
± 15% |
± 7,5% |
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As set out in articles 4.3.6 and 4.3.8 of Rules of the Markets organized and managed by Borsa Italiana, are defined:
Reference Price: it is determined by Borsa Italiana on the basis of a significant number of best bids and offers on the book during the session, giving greater weight to the most recent. If there are no any orders on the book, the reference price shall be equal to that of the previous session.
Static Price: it’s the previous day’s reference price; when the first contract is concluded in the continuous trading phase, the price of this contract shall be the new static price for all the continuous trading phase.
Dynamic Price: it’s the price of the last contract concluded in the current session.
If, during continuous trading, the price of the contract being closed exceeds the limits relative to the static price or the dynamic price, then the volatility auction is triggered. Volatility auction lasts 2 minutes plus 30 seconds of random. In case the volatility auction price cannot be validate and extension phase is triggered and it could be reproduced several time till the price is not validated (i.e. it is within the maximum percentage variation). Market Supervision can amend the previous day reference price