Page 15 - 期货和衍生品行业监管动态（2023年10月刊）

期货和衍生品行业监管动态

• 有关波动控制机制及其实际运作方式的信息应公开并可复制。

FIA Highlights Best Practices for Exchange Volatility Control Mechanisms in New

Report (2023/9/26)

FIA has released a comprehensive paper, “Best Practices for Exchange Volatility

Control Mechanisms,” which provides essential guidance for designing robust

Volatility Control Mechanisms (VCMs) at derivatives exchanges.

In today’s rapidly evolving financial landscape, characterized by global

uncertainties and unforeseen market events, the efficient management of financial

market volatility is paramount.

During recent crises, FIA has noted the pivotal role VCMs have played in

preserving market integrity. Consequently, FIA engaged with global derivatives

exchanges and market participants to explore the most effective ways to mitigate

disruptions while ensuring transparent price discovery.

The primary objective of this paper is to present principles-based, flexible and

adaptable best practices for the development of derivatives exchange VCMs. While not

exhaustive, the paper covers a range of VCM tools including pre-trade price bands,

daily price limits, and various mechanisms used to interrupt continuous trading. It also

addresses exchange rulesets that offer remedial measures for erroneous trade events.

The paper acknowledges the various challenges contributing to extreme market

volatility and emphasizes the significance of well-designed and transparent exchange-

provided VCMs in maintaining market integrity, reliability, and utility.

FIA makes specific recommendations for each type of VCM, in addition to high

level recommendations for all VCMs. Some examples include:

• VCMs should be designed to avoid unduly disrupting markets and interfering

with price discovery.

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