Principles of conduct of specialists
Specialists participate in the ETF trading segment.
The presence and activity of specialists in this segment
is key to boosting the liquidity of ETFs as well as en-
couraging their dissemination and the price formation
process. Using a maximum price range for a certain vo-
lume, the specialists can carry out trades in the secon-
dary market at prices which are in line with the ETF’s
indicative net asset value. Also, by operating in the pri-
mary market, the specialists help ensure that the number
of holdings in the ETF available at all times is sufficient.
Each stock traded in this segment must have at least
one specialist. Depending on the characteristics of the
underlying of each ETF, the requirements for being pre-
sent in the market (maximum range and minimum volu-
me) to be met by each specialist will be set.
In order to guarantee the correct operation of this
segment, and taking into account the characteristics of
the ETFs, a series of possible interruptions have been
established for these stocks or groups of stocks. Other
interruptions may include, inter alia, the impossibility
of calculating the underlying index or indicative as-
set value. Both cases entail the absence of the bench-
marks needed to determine the price of the ETF.
Minimum variation, price variation limits and
volatility auctions
Some ETFs have started to be traded with a
third decimal and a minimum variation in prices of
€0.005, although the majority are traded at two deci-
mal places and a €0.01 or €0.05 minimum variation
in prices.
The limits on price variations during a session
are determined by establishing a dynamic range and
a static range for each ETF in function of its historical
The dynamic range is the maximum change
allowed in the dynamic price (the last price traded
and resulting from an auction or a trade in the open
market). This range operates in the open market.
The static range is the maximum permitted in
the static price. The static price is the price resulting
from the last auction whether opening, volatility or
closing. The static range operates in the open market
and in any auction.
When stock trades at the limit of the static range
or at the limit or beyond the dynamic range, a vo-
latility auction is begun in order to arrange or read-
just, where appropriate, the price variation limits of
the stock to the situation of each moment during the
session, allowing a larger number of players in the
market and a greater capacity of reaction by them
and reducing possible operational errors.
Breaking the static range during the opening
auction and the static and dynamic range during the
closing auction results in an extra period of two mi-
In addition to the possible volatility auctions
described above and specifically for ETFs, when the
difference between the price of the ETF and its indi-
cative liquidating value, detailed later on, is signi-
ficant, Sociedad de Bolsas’ Supervision Department
can, when the situation makes it advisable, order a
volatility auction so that the ETF price adjusts to its
corresponding indicative liquidating value.
This information will be disseminated by the
System through the normal communication chan-
nels along with the characteristics of each listed ETF
(broker, underlying benchmark index, fraction of in-
dex represented, etc.).
The System will also publish each ETF’s indi-
cative net asset value at different points during the
Lastly, and as with the other securities traded on
the electronic trading platform, real-time information
on prices and volumes to be bought and sold and tra-
ded by each ETF will be published during the session.
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