Volatility Control Mechanism (VCM) and Closing Auction Session (CAS) 
19/05/2017 
 

The Closing Auction Session (CAS) in the securities market was launched on 25 July 2016 to facilitate trade execution at securities’ closing prices.  A Volatility Control Mechanism (VCM) was also introduced in the securities market on 22 August 2016 to safeguard market integrity.  The two initiatives represent major microstructure upgrades for the securities and derivatives markets in the short to medium term to enhance HKEX’s overall competitiveness.  This page focuses on implementation details for the securities market.

Overview of VCM and CAS Models and Tentative Timeline
Consultation Conclusions
Frequently Asked Questions
Trading Mechanism of Closing Auction Session (CAS) in the Securities Market
Trading Mechanism of Volatility Control Mechanism (VCM) in the Securities Market
List of Closing Auction Session (CAS) Securities (xls/csv)
List of Volatility Control Mechanism (VCM) Securities (xls/csv)
Microsites
CAS
VCM
Circulars
Confirmed Launch Date of Volatility Control Mechanism (VCM) in the Securities Market and Practice Session
Upcoming Launch of the Closing Auction Session (CAS)
Post Release Test for the Launch of Closing Auction Session (CAS)
Changes in the Trading Hours in relation to the Introduction of Closing Auction Session in the Securities Market on 25 July 2016
Launch of Phase 1 of the Closing Auction Session (CAS)
Second Market Rehearsal and Practice Session for Closing Auction Session (CAS) and Volatility Control Mechanism (VCM)
Tentative Launch Date for Volatility Control Mechanism (VCM) in the Securities Market and Additional Market Education Materials for VCM and Closing Auction Session (CAS)
Changes in the Trading Hours in relation to the Introduction of Closing Auction Session in the Securities Market
Market Rehearsals (MRs) for Closing Auction Session (CAS) and Volatility Control Mechanism (VCM) on 28 May 2016 and 11 June 2016
Proposed Changes in the Trading Hours in relation to the Introduction of Closing Auction Session in the Securities Market
Closing Auction Session (CAS) And Volatility Control Mechanism (VCM) - Tentative Launch Date, Market Rehearsals (MRs) and Briefing Sessions
Commencement of End-To-End (E2E) Test Session for Volatility Control Mechanism (VCM) and Closing Auction Session (CAS)
Web Corner, Technical Specification Documents and Briefing Sessions on the Volatility Control Mechanism and Closing Auction Session
HKEx decides to introduce Volatility Control Mechanism and Closing Auction Session
Technical Documents
Updated message specification of Orion Central Gateway (Version 1.6)
OMD Technical Documents for Securities Market and Index Datafeed Products
MMDH OMD-C Technical Documents
Other References
News Release: HKEX Successfully Launches Closing Auction Session for its Securities Market
Presentation by HKEX Head of Markets Roger Lee at a Media Workshop on Closing Auction Session (CAS) and Volatility Control Mechanism (VCM)
Briefing Sessions for the ”Implementation of Closing Auction Session and Volatility Control Mechanism” (May 2016)
Briefing Sessions for the ”Implementation Details of Volatility Control Mechanism and Closing Auction Session” (Aug and Sep 2015)
Consultation Paper
News Release: HKEx Decides to Introduce Volatility Control Mechanism and Closing Auction Session

 

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