Method and system for creating a spot price tracker index

• US 8,321,322 B2
• Filed: 09/28/2010
• Issued: 11/27/2012
• Est. Priority Date: 09/28/2009
• Status: Active Grant

• Current Assignee: Cboe Exchange, Inc. (Cboe Global Markets, Inc.)
• Original Assignee: Chicago Board Options Exchange Incorporated (Cboe Global Markets, Inc.)
• Inventors: Shalen, Catherine T.
• Primary Examiner(s): Subramanian, Narayanswamy
• Application Number:
  US12/892,212
• Publication Number:
  US 20110082813A1
• Time in Patent Office: 791 Days
• Field of Search: 705 35- 37
• US Class Current: 705/36.R
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A method and system for creating a spot price tracker index is disclosed. The method includes obtaining values of first and second derivatives at a time t and calculating an index value by linear extrapolation from the first and second futures contracts. The index value may be displayed at a trading facility and quotes based on the index value may be transmitted by the trading facility to a market participant.

Claims

1. A non-transitory computer-readable medium containing processor executable program instructions for creating a price tracker index, the instructions configured for causing the processor to execute the steps of:

obtaining, from a trading system, a value F1 of a first derivative at a time t;

obtaining, from the trading system, a value F2 of a second derivative at time t;

calculating an index value according to a formula;

2. The non-transitory computer-readable medium of claim 1,

wherein an underlying asset for the first derivative is a volatility index.

3. The non-transitory computer-readable medium of claim 1,

wherein an underlying asset for the first derivative is a commodity.

4. The non-transitory computer-readable medium of claim 1,

wherein an underlying asset for the first derivative is a weighted index of prices of a plurality of stocks.

5. The non-transitory computer-readable medium of claim 1,

wherein an underlying asset for the second derivative is a volatility index.

6. The non-transitory computer-readable medium of claim 1,

wherein an underlying asset for the second derivative is a commodity.

7. The non-transitory computer-readable medium of claim 1,

wherein an underlying asset for the second derivative is a weighted index of prices of a plurality of stocks.

8. A computer system for creating a price tracker index, comprising:

a processor configured to;

obtain a value F1 of a first derivative at a time t;

obtain a value F2 of a second derivative at time t;

calculate an index value according to a formula;

9. The computer system of claim 8,

wherein an underlying asset for the first derivative is a volatility index.

10. The computer system of claim 8,

wherein an underlying asset for the first derivative is a commodity.

11. The computer system of claim 8,

wherein an underlying asset for the first derivative is a weighted index of prices of a plurality of stocks.

12. The computer system of claim 8,

wherein an underlying asset for the second derivative is a volatility index.

13. The computer system of claim 8,

wherein an underlying asset for the second derivative is a commodity.

14. The computer system of claim 8,

wherein an underlying asset for the second derivative is a weighted index of prices of a plurality of stocks.

15. A computer-implemented method for creating a price tracker index in a computer having a processor, the method comprising:

obtaining, by the processor, a value F1 of a first derivative at a time t;

obtaining, by the processor, a value F2 of a second derivative at time t;

calculating, by the processor, an index value according to a formula;

16. The computer-implemented method of claim 15,

wherein an underlying asset for the first derivative is a volatility index.

17. The computer-implemented method of claim 15,

wherein an underlying asset for the first derivative is a commodity.

18. The computer-implemented method of claim 15,

wherein an underlying asset for the first derivative is a weighted index of prices of a plurality of stocks.

19. The computer-implemented method of claim 15,

wherein an underlying asset for the second derivative comprises a volatility index or a commodity.

20. The computer-implemented method of claim 15,

wherein an underlying asset for the second derivative is a weighted index of prices of a plurality of stocks.