I like to take a shot at the bounty.

Look at your existing measures. For one, you manage the leverage ratio. When the market is volatile, you tighten it, and vice versa. This is good. But volatility over days can be managed, how about volatility over minutes?
Suggestion: Keep this measure. Work on transparency and communication. Transparency - Define volatility in the context of leverage ratio. Communication - Make the leverage ratio prominent for margin traders on your website.

For volatility over minutes, there is no need to reinvent the wheel. Look at what the major exchanges are doing and adapt it accordingly. The basic principles are the same: Buy high sell low, leverage, panic sell during crashes, fanatic buy during rally. One word: greed. It is not the exchange owner's responsibility to manage greed but you certainly do not want them to lose everything. It is bad publicity.
The common measure is a circuit breaker which depends on 2 factors: price and time.
Suggestion: Implement a circuit breaker. Consult users on: Extent of volatility, halt duration and additional measures when halt is lifted.

Other measures are a possibility. But you certainly want them to be easily understandable and implementable. Measures too innovative (defined as measures unique to BFX) will cause confusion. It is good to consult users too before implementing any measures. One way is to put up a vote. You make the final call using users' preferences as a reference.