Method and apparatus for automated opening of options exchange
First Claim
1. A computer-based system for opening trading in options, comprising:
- a plurality of input devices to receive from each one of a plurality of market makers a current position, a desired target position and market maker orders for options series;
an order entry system for receiving public orders for options series; and
a controller, coupled to the plurality of input devices and the order entry system, the controller comprising(a) means for determining a set of prices for each options series that will maximize a weighted volume of trades across all option series at the opening,(b) means for executing all orders that can occur at the set of prices,(c) means for determining a residual imbalance of non-executed public orders, and p2 (d) means, utilizing the current position and the desired target position of each one of the plurality of market makers, for assigning the residual imbalance of non-executed public orders to individual ones of the plurality of market makers so as to minimize a cumulative measure of deviation between the desired target position and the current position of each market maker.
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Accused Products
Abstract
A computer-based system for determining a set of opening prices for a number of series of options traded on an options exchange and for allocating public order imbalances at the opening of trading. Market makers input a current position, a desired target position and market maker orders for options series from market maker terminals. An order entry system receives public orders for options series. A controller determines a set of implied volatilities (prices) for each options series that will maximize a weighted volume of trades across all option series at the opening. Contra orders that can be matched at the opening price are then executed. If there is a residual imbalance of non-executed public orders, the residual imbalance of non-executed public orders is assigned to individual ones of the plurality of market makers so as to minimize a cumulative measure of deviation between the desired target position and the current position of each market maker. The system is applicable to an options exchange, this term including any facility operating an over-the-counter market in options.
666 Citations
36 Claims
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1. A computer-based system for opening trading in options, comprising:
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a plurality of input devices to receive from each one of a plurality of market makers a current position, a desired target position and market maker orders for options series; an order entry system for receiving public orders for options series; and a controller, coupled to the plurality of input devices and the order entry system, the controller comprising (a) means for determining a set of prices for each options series that will maximize a weighted volume of trades across all option series at the opening, (b) means for executing all orders that can occur at the set of prices, (c) means for determining a residual imbalance of non-executed public orders, and p2 (d) means, utilizing the current position and the desired target position of each one of the plurality of market makers, for assigning the residual imbalance of non-executed public orders to individual ones of the plurality of market makers so as to minimize a cumulative measure of deviation between the desired target position and the current position of each market maker. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9)
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10. A computer-based system for determining a set of opening prices for a plurality of series of options, comprising:
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a plurality of input devices to receive from each one of a plurality of market makers orders for options series; an order entry system for receiving public orders for options series; and a controller, coupled to the plurality of input devices and the order entry system, utilizing the market maker orders and public orders to determine a set of prices for each options series that will maximize a weighted volume of trades across all option series at the opening. - View Dependent Claims (11, 12, 13, 14, 15, 16)
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17. A computer-based system for allocating public order imbalances at the opening of trading of in options, comprising:
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a memory storing a plurality of orders for options representing a residual imbalance of public orders in each options series that do not match an opening price corresponding to said options series; a plurality of input devices to receive from each one of a plurality of market makers a current position and a desired target position; and a controller, coupled to the memory and the plurality of input devices, utilizing the current position and the desired target position of each one of the plurality of market makers to assign each public order in the residual imbalance of public orders to individual ones of the plurality of market makers so as to minimize a cumulative measure of deviation between the desired target position and the current position of each market maker. - View Dependent Claims (18, 19)
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20. A computer-implemented method for opening trading in options by a plurality of market makers, comprising:
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receiving from each one of a plurality of market makers a current position, a desired target position and market maker orders for options series; receiving public orders for options series; and determining a set of prices for each options series to maximize a weighted volume of trades across all option series at the opening; executing all orders that can occur at the set of prices determined in the previous step; if there is a residual imbalance of non-executed public orders, assigning the residual imbalance of non-executed public orders to individual ones of the plurality of market makers so as to minimize a cumulative measure of deviation between the desired target position and the current position of each market maker. - View Dependent Claims (21, 22, 23, 24, 25, 26, 27, 28)
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29. A computer-implemented method for determining a set of opening prices for a plurality of series of traded options, comprising:
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receiving orders for options series from a plurality of market makers; receiving public orders for options series; and determining a set of prices for each options series, wherein the set of prices maximizes a weighted volume of trades across all option series at the opening. - View Dependent Claims (30, 31, 32)
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33. A computer-implemented method for allocating public order imbalances at the opening of trading in options, comprising:
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providing a plurality of orders for options representing a residual imbalance of public orders in each options series that do not match an opening price corresponding to said options series; receiving from each one of a plurality of market makers a current position and a desired target position; and automatically assigning each public order in the residual imbalance of public orders to individual ones of the plurality of market makers so as to minimize a cumulative measure of deviation between the desired target position and the current position of each market maker. - View Dependent Claims (34, 35)
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36. A computer-implemented method for opening trading in options, comprising:
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receiving from each one of a plurality of market makers a current position, a desired target position and market maker orders for options series; receiving public orders for options series; and concurrently determining a set of opening prices for each options series; executing all possible public orders and market maker orders at the set of opening prices determined in the previous step; if there is a residual imbalance of non-executed public orders, optimally assigning the residual imbalance of non-executed public orders to individual ones of the plurality of market makers taking into account the desired target position and the current position of each market maker.
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Specification