NASDAQ OMX Nordic: Derivatives: Circuit Breaker and Price Limits changes on OMXS30 during the Post Trade session (114/20)

This notice is to inform members that the configuration for Circuit Breaker and
Price Limits with respect to index futures on OMXS30 during the Post Trade
session will be changed as of October 26, 2020. 

For Circuit Breakers during continuous trading, including the Post Trade
session, an absolute Price variation against high or low during the last 2
seconds is used. For the Post Trade session the change means that a static
Circuit Breaker with an absolute Price variation from yesterday's settlement,
opening or last auction price and a dynamic Circuit Breaker with an absolute
Price variation from last paid price will be used. For parameters see the
attached file. 

For Price Limits during continuous trading, including the Post Trade session,
the reference price rule used is the last match price (LMP) for the concerned
series if the LMP is at or within BBO. If no LMP, or if the LMP is outside the
BBO, the arithmetic mean of the BBO is used as reference price. If no valid LMP
or BBO is available then a theoretical price is used as reference. Then a price
parameter is used to determine the allowed deviation from the reference price.
For the Post Trade session the change means that the last match price is used
as the reference price. Then a price parameter is used to determine the allowed
deviation from the reference price. For parameters see the attached file.

Attachment:
https://cns.omxgroup.com/cds/DisclosureAttachmentServlet?messageAttachmentId=794841