Method and apparatus for improved electronic trading
First Claim
Patent Images
1. A computer-readable storage medium having instructions which, when executed on a processor, perform a method for generating a benchmark price for an exchange-traded equity derivatives order, the method comprising:
- receiving a first delta value, a gamma value, a value-weighted average price value of an underlying stock, a reference price value of the underlying stock, and an original order premium value;
wherethe first delta value is a measure of the rate of change in a theoretical value of an option for a one-unit change in the price of the underlying stock;
the gamma value is a measure of the rate of change in a delta of an option for a one-unit change in the price of the underlying stock; and
the original order premium value is an agreed value;
calculating a master rate of change value based on the value-weighted average price and reference price values;
calculating an adjusted delta value based on the first delta value, the master rate of change value, and the gamma value;
calculating a gamma-weighted average price value based on the original order premium value, the master rate of change value, and the adjusted delta value; and
outputting the gamma-weighted average price value as a benchmark price for the order.
12 Assignments
0 Petitions
Accused Products
Abstract
A method and apparatus for outputting data that represents the change in value of an options premium that would have resulted if the options traded in a direct linear volume relationship with its underlying security is provided. Input values utilized include a delta value, a gamma value, a value-weighted average price of an underlying stock, a reference price of the underlying stock, and an original order premium value.
129 Citations
18 Claims
-
1. A computer-readable storage medium having instructions which, when executed on a processor, perform a method for generating a benchmark price for an exchange-traded equity derivatives order, the method comprising:
-
receiving a first delta value, a gamma value, a value-weighted average price value of an underlying stock, a reference price value of the underlying stock, and an original order premium value;
wherethe first delta value is a measure of the rate of change in a theoretical value of an option for a one-unit change in the price of the underlying stock; the gamma value is a measure of the rate of change in a delta of an option for a one-unit change in the price of the underlying stock; and the original order premium value is an agreed value; calculating a master rate of change value based on the value-weighted average price and reference price values; calculating an adjusted delta value based on the first delta value, the master rate of change value, and the gamma value; calculating a gamma-weighted average price value based on the original order premium value, the master rate of change value, and the adjusted delta value; and outputting the gamma-weighted average price value as a benchmark price for the order. - View Dependent Claims (2, 3, 4, 5, 6)
-
-
7. An apparatus for generating a benchmark trading price for an exchange-traded equity derivatives order, comprising:
-
an input module for receiving input values, the input values comprising a first delta value, a gamma value, a value-weighted average price value of an underlying stock, a reference price value of the underlying stock, and an original order premium value;
where;the first delta value is a measure of the rate of change in an option'"'"'s theoretical value for a one-unit change in the price of the underlying stock; the gamma value is a measure of the rate of change in an option'"'"'s first delta value for a one-unit change in the price of the underlying stock; and the original order premium value is a value set for the order with corresponding values based on the first delta value, gamma value, and reference price value; a processor for performing calculations, including; calculating a master rate of change value based on the value-weighted average price and the reference price values; calculating an adjusted delta value based on the first delta value, the master rate of change value, and the gamma value; and calculating a gamma-weighted average price value based on the original order premium value, the master rate of change value, and the adjusted delta value; and an output module for outputting the gamma-weighted average price value as a benchmark trading price for the order. - View Dependent Claims (8, 9, 10, 11)
-
-
12. A computer-readable storage medium having instructions which, when executed by a processor, perform a method for matching pre-open orders using a gamma-weighted average price, the method comprising:
-
receiving pre-open orders from a trader during a first time period, the pre-open orders including a seller amount and price or a buyer amount and price; storing the pre-open orders in an order module; matching the pre-open orders during a second time period that begins after the first time period ends, the orders being matched when the seller amount and price of a pre-open order matches the buyer amount and price of a pre-open order; receiving market data during a third time period that begins after the second time period ends; calculating a gamma-weighted average price value based on the received market data, the gamma-weighted average price being based on an original order premium value, a master rate of change value, and an adjusted delta value; and outputting the gamma-weighted average price value as an estimate of a trading price for the order. - View Dependent Claims (13, 14)
-
-
15. An apparatus for conducting forward-price trades in the equity derivatives market, the apparatus comprising:
-
a communications module for receiving pre-open orders from a trader during a first time period, the pre-open orders including a seller amount and price or a buyer amount and price; an order module for storing the pre-open orders; a matching module for matching the pre-open orders during a second time period that begins after the first time period ends, the pre-open orders being matched when the seller amount and price of a pre-open order matches the buyer amount and price of a pre-open order; an input module for receiving market data during a third time period that begins after the second time period ends; a calculation module for calculating a gamma-weighted average price based on the received market data, the gamma-weighted average price being based on an original order premium value, a master rate of change value, and an adjusted delta value; and a display module for outputting the gamma-weighted average price as a benchmark price for the order.
-
-
16. A computer-readable storage medium having instructions which, when executed on a processor, perform a method for calculating the level of trading interest of derivative instruments at a gamma-weighted average price and incremental prices around the gamma-weighted average price, the method comprising:
-
receiving pre-open orders from a trader during a first time period, each pre-open order including (1) a seller amount value at a gamma-weighted average price value or a second price value, or (2) a buyer amount value at the gamma-weighted average price value or the second price value; calculating the level of buyer trading interest at the gamma-weighted average price value by adding the buyer amount value in each pre-open order at the gamma-weighted average price value; calculating the level of buyer trading interest at the second price value by adding the buyer amount value in each pre-open order at the second price value; calculating the level of seller trading interest at the gamma-weighted average price value by adding the buyer amount value in each pre-open order at the gamma-weighted average price value; calculating the level of seller trading interest at the second price value by adding the buyer amount value in each pre-open order at the second price value; and outputting values representing the level of buyer trading interest at the gamma-weighted average price value, the level of buyer trading interest at the second price value, the level of seller trading interest at the gamma-weighted average price value, and the level of buyer trading interest at the second price value. - View Dependent Claims (17, 18)
-
Specification