Invention Grant
US08554662B2 Delta neutral futures allocation 有权
三角洲中立期货配置

Delta neutral futures allocation
Abstract:
In an Exchange which assigns only a whole number/integer approximate of a computed number of futures contracts to a covered order for one or more option contracts, the disclosed embodiments relate to factoring a residual number of futures contracts, remaining after fulfillment of an incoming covered order counter to a resting covered order for a quantity of options contracts less than the resting quantity and approximation of the computed number of futures contracts assigned thereto, into the approximation of the computed number of futures contracts assigned to fulfillment of a subsequent order from the same trader counter to the same resting order for less than or equal to the remaining resting quantity of options contracts. This may have the effect of increasing or decreasing the number of futures contracts assigned to the subsequent order.
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