Volatility derivative financial product
First Claim
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1. A computer implemented method of calculating a position reflecting an investment in volatility of at least one underlying asset, the method comprising:
- selecting at least one underlying asset;
receiving, from an investor and over a computer network, a payment and an initial investment date;
adjusting, by a programmed computer, an electronically stored record of the position periodically to represent a sale of at least one put option for the at least one underlying asset and a sale of at least one call option for the at least one underlying asset;
determining, periodically and by a programmed computer, a delta associated with the position;
adjusting, periodically and by a programmed computer, the electronically stored record of the position to represent offsetting the delta;
adjusting, by a programmed computer, the electronically stored record of the position periodically to represent repurchasing and reselling the at least one put option for the at least one underlying asset and repurchasing and reselling the at least one call option for the at least one underlying asset;
calculating, by a programmed computer, a return on the payment, the return comprising a function of the position on the initial investment date, the position on the end date, and the payment; and
settling a balance based on the return.
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Abstract
A system for and method of tracking and investing volatility is disclosed. The system and method may be used to commodify the volatility of any set of assets. The system and method may include a financial instrument that allows an investor to take a view on volatility.
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Citations
20 Claims
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1. A computer implemented method of calculating a position reflecting an investment in volatility of at least one underlying asset, the method comprising:
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selecting at least one underlying asset; receiving, from an investor and over a computer network, a payment and an initial investment date; adjusting, by a programmed computer, an electronically stored record of the position periodically to represent a sale of at least one put option for the at least one underlying asset and a sale of at least one call option for the at least one underlying asset; determining, periodically and by a programmed computer, a delta associated with the position; adjusting, periodically and by a programmed computer, the electronically stored record of the position to represent offsetting the delta; adjusting, by a programmed computer, the electronically stored record of the position periodically to represent repurchasing and reselling the at least one put option for the at least one underlying asset and repurchasing and reselling the at least one call option for the at least one underlying asset; calculating, by a programmed computer, a return on the payment, the return comprising a function of the position on the initial investment date, the position on the end date, and the payment; and settling a balance based on the return. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9)
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10. A computer implemented method of calculating a position reflecting an investment in volatility of at least one underlying asset, the method comprising:
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selecting at least one underlying asset; supplying, by an investor, a payment and an initial investment date to an entity, wherein a programmed computer controlled by the entity adjusts a record of the position periodically to represent a sale of at least one put option for the at least one underlying asset and a sale of at least one call option for the at least one underlying asset, wherein a programmed computer controlled by the entity determines, periodically, a delta associated with the position and adjusts, periodically, the record of the position to represent offsetting the delta, wherein a programmed computer controlled by the entity adjusts the record of the position periodically to represent repurchasing and reselling the at least one put option for the at least one underlying asset and repurchasing and reselling the at least one call option for the at least one underlying asset, and wherein a programmed computer controlled by the entity calculates a return on the payment, the return comprising a function of the position on the initial investment date, the position on the end date, and the payment; and settling a balance based on the return. - View Dependent Claims (11, 12, 13, 14, 15, 16, 17, 18)
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19. A computer implemented method of calculating a position reflecting an investment in volatility of at least one underlying asset, the method comprising:
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selecting at least one underlying asset; receiving, from an investor, a payment and an initial investment date; adjusting, by a programmed computer, a record of the position periodically to represent a sale of at least one put option for the at least one underlying asset and a sale of at least one call option for the at least one underlying asset; determining, periodically and by a programmed computer, a delta associated with the position; adjusting, periodically and by a programmed computer, the record of the position to represent offsetting the delta; adjusting the record of the position by a programmed computer periodically to represent rolling a strike of the at least one put option for the at least one underlying asset and rolling a strike of the at least one call option for the at least one underlying asset; calculating a return on the payment, by a programmed computer, the return comprising a function of the position on the initial investment date, the position on the end date, and the payment; and settling a balance based on the return.
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20. A computer implemented method of calculating a position reflecting an investment in volatility of at least one underlying asset, the method comprising:
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selecting at least one underlying asset; receiving, from an investor, a payment and an initial investment date; adjusting, by a programmed computer, a record of the position periodically to represent a sale of at least one substantially at-the-money put option for the at least one underlying asset and a sale of at least one substantially at-the-money call option for the at least one underlying asset; determining, daily and by a programmed computer, a delta associated with the position; adjusting, daily and by a programmed computer, the record of the position to represent offsetting the delta; adjusting, by a programmed computer, the record of the position monthly to represent repurchasing and reselling the at least one substantially at-the-money put option for the at least one underlying asset and repurchasing and reselling the at least one substantially at-the-money call option for the at least one underlying asset; calculating, by a programmed computer, a return on the payment, the return comprising a product of the payment and a difference between the position on the end date and the position on the initial investment date; and settling a balance based on the return.
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Specification