Invention Grant
- Patent Title: Apparatuses, methods and systems for a volatility expiration index platform
-
Application No.: US13207049Application Date: 2011-08-10
-
Publication No.: US10026128B2Publication Date: 2018-07-17
- Inventor: Michael G. Babel , Thomas E. Heebner
- Applicant: Michael G. Babel , Thomas E. Heebner
- Applicant Address: US NY New York
- Assignee: NYSE Group, Inc.
- Current Assignee: NYSE Group, Inc.
- Current Assignee Address: US NY New York
- Agency: DLA Piper LLP (US)
- Main IPC: G06Q40/00
- IPC: G06Q40/00 ; G06Q40/06

Abstract:
The APPARATUSES, METHODS AND SYSTEMS FOR A VOLATILITY EXPIRATION INDEX PLATFORM (“VEIP”) transforms user and market data inputs via VEIP components into Vol Ex Index publication and Vol Ex Index instrument communications outputs. A current reference security price may be determined for a reference security. A plurality of option strike prices may be derived from the current reference security price. Implied volatility and delta may be determined for options associated with each derived option strike price and used to calculate a delta-weighted implied volatility for each derived option strike price. A weighting for each derived option strike price may be determined and used along with the delta-weighted implied volatilities to calculate a volatility expiration index value for the reference security. Using the volatility expiration index value, a volatility expiration index financial instrument may be generated and introduced into a financial instrument exchange market.
Public/Granted literature
- US20120041891A1 APPARATUSES, METHODS AND SYSTEMS FOR A VOLATILITY EXPIRATION INDEX PLATFORM Public/Granted day:2012-02-16
Information query