Financial indexes and instruments based thereon
First Claim
1. A financial instrument for measuring the performance of a covered call strategy comprising:
- creating an underlying asset portfolio;
writing a nearby call option against the underlying asset portfolio;
settling the call option against a calculation of a financial instrument compiled from the opening prices of component assets underlying the financial instrument; and
writing a new nearby call option against the underlying asset portfolio.
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Accused Products
Abstract
A financial instrument in accordance with the principles of the present invention provides creating an underlying asset portfolio and implementing a passive total return strategy into the financial instrument based on writing the nearby call option against that same underlying asset portfolio for a set period on or near the day the previous nearby call option contract expires. The call written will have that set period remaining to expiration, with an exercise price just above the prevailing underlying asset price level (i.e., slightly out of the money). In one embodiment, the call option is held until expiration and cash settled, at which time a new call option is written for the set period. In another embodiment, the call option is written against the underlying asset portfolio at least thirty (30) days prior to when the call will expire and the call option is not cash-settled; whereby the financial instrument is a “qualified covered call” under the Internal Revenue Code.
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Citations
63 Claims
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1. A financial instrument for measuring the performance of a covered call strategy comprising:
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creating an underlying asset portfolio;
writing a nearby call option against the underlying asset portfolio;
settling the call option against a calculation of a financial instrument compiled from the opening prices of component assets underlying the financial instrument; and
writing a new nearby call option against the underlying asset portfolio. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14)
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15. A financial instrument for measuring the performance of a covered call strategy comprising:
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creating an underlying asset portfolio;
writing a nearby call option against the underlying asset portfolio;
valuing the call option at a price equal to the volume-weighted average of the traded prices of the call option. - View Dependent Claims (16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27)
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28. A financial instrument for measuring the performance of a covered call strategy comprising:
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creating an underlying asset portfolio;
writing a nearby call option against the underlying asset portfolio a sufficient period of time such that the financial instrument is a “
qualified covered call”
under the Internal Revenue Code; and
the call option is not cash-settled. - View Dependent Claims (29, 30, 31, 32, 33, 34, 35, 36)
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- 37. A financial instrument comprising basing the financial instrument on a return of a portfolio consisting of an underlying asset and options on that underlying asset.
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53. A financial instrument comprising:
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measuring the performance of a covered call strategy by selling call options on an underlying asset; and
leveraging the financial instrument by adjusting to the desired level of risk the proportions of a long position in the underlying asset and a short position in the call option for that asset. - View Dependent Claims (54, 55, 56, 57, 58, 59, 60, 61, 62, 63)
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Specification