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Method and system for calculating an intraday indicative value of a leveraged bullish and bearish exchange traded funds

  • US 20060253376A1
  • Filed: 04/05/2006
  • Published: 11/09/2006
  • Est. Priority Date: 04/06/2005
  • Status: Active Grant
First Claim
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1. A computer implemented method of calculating and using an intraday indicative value of a Bullish exchange traded fund (“

  • ETF”

    ) for arbitrage purposes, comprising the steps of;

    calculating or having calculated an intraday current value of all the equity securities in the ETF;

    calculating, or having calculated, mark to market gains or losses of at least one derivative product;

    retrieving, or having retrieved, an accumulated loss or gain of at least one derivative product;

    determining, or having determined, the intraday indicative value of the ETF by combining the calculated intraday current value of all the equity securities, the accumulated loss or gain and the mark to market gains of the at least one derivative product; and

    using the determined intraday value of the ETF, by a party, for performing an arbitrage transaction, wherein one or more of the above steps are performed on a computing system.

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