Variants of NAV-based trading for less closely-linked components of index arbitrage complexes
AssigneeNavigate Fund Solutions LLC
InventorGary L. Gastineau
Life of this patent
Estimating the term…
Abstract
Systems and methods are provided in which a first module is configured to execute a trade of a securities futures product on an underlying financial instrument for which a net asset value calculated and published at or after a specified time. A second module determines a price for the executed trade, which is (a) a first price which is at a specified discount, (b) a second price which is substantially equal, and/or (c) a third price which is at a premium, to the net asset value or net asset value with basis adjustment. A third module is configured to submit the executed trade for settlement at the determined price.
Claims48
A computer-based method for trading an exchange-listed securities futures product (SFP) on an underlying financial instrument for which a net asset value (NAV) can be calculated at or after a specified time, said SFP in the form of a security futures on said underlying, wherein said underlying is at least one of an exchange-traded fund, an ETF, an option, an option's underlying, and a structured product, such trading conducted on a secondary market on or away from an exchange, the method comprising:
- executing a trade of said SFP on the secondary market;
- determining a price of said executed trade, wherein said determined price is from a set of prices that are specified relative to (i) said NAV or (ii) said NAV with a specified basis adjustment, said set of prices comprising (a) a first price that is at a specified discount to either (i) said NAV or (ii) said NAV with a specified basis adjustment;
- (b) a second price that is either (i) at said NAV or (ii) at said NAV with a specified basis adjustment;
- and (c) a third price that is either (i) at a specified premium to said NAV or (ii) at a specified premium to said NAV with a specified basis adjustment;
- submitting said executed trade for settlement at said determined price;
- wherein said executing, determining, and submitting are performed by one or more processors;
- said executing further comprising:
- receiving an order to buy or sell said securities futures product;
- and
- matching said received order with a complementary sell or buy order to trade said securities futures product relative to at least one of (1) said NAV and (2) said NAV with a basis adjustment;
- and
- wherein a format of said order to trade said securities futures product comprises at least one of (i) a root trading symbol for said securities futures product;
- (ii) a rot trading symbol for said securities futures product and a FIX code designating both said securities futures product and said trading method;
- (iii) a root trading symbol for said securities futures product with an extension designating said trading method and (iv) a trading symbol for said securities futures product designating both said securities futures product and said trading method.
A computer-based system for trading an exchange-listed securities futures product (SFP) on an underlying financial instrument for which a net asset value (NAV) can be calculated at or after a specified time, said SFP in the form of a security futures on said underlying, wherein said underlying is at least one of an exchange-traded fund, an ETF, an option, an option's underlying, and a structured product, such trading conducted on a secondary market on or away from an exchange, the system comprising:
- a first module configured to execute a trade of aid SFP on the secondary market;
- a second module configured to determine a price for said executed trade, wherein said determined price is from a set of prices that are specified relative to (i) said NAV or (ii) said NAV with a specified basis adjustment, said set of prices comprising (a) a first price that is at a specified discount to either (i) said NAV or (ii) said NAV with a specified basis adjustment;
- (b) a second price that is either (i) at said NAV or (ii) at said NAV with a specified basis adjustment;
- and (c) a third price that is either (i) at a specified premium to said NAV or (ii) at a specified premium to said NAV with a specified basis adjustment;
- a third module configured to submit said executed trade for settlement at said determined price;
- one or more processors operatively engaged with, and configured to actuate one or more of said modules;
- wherein said first module is configured to receive an order to buy or sell said securities futures product;
- and match said received order with a complementary sell or buy order to trade said securities futures product relative to at least one of (1) said NAV and (2) said NAV with a basis adjustment;
- and
- wherein a format of said order to trade said securities futures product comprises at least one of (i) a root trading symbol for said securities futures product;
- (ii) a root trading symbol for said securities futures produce and a FIX code designating both said securities futures product and said trading system;
- (iii) a root trading symbol for said securities futures product with an extension designating said trading method and (iv) a trading symbol for said securities futures product designating both said securities futures product and said trading system.
A computer program product comprising a non-transitory computer usable medium having computer program logic corded thereon for enabling a processor to trade an exchange-listed securities futures product (SFP) on an underlying financial instrument for which a net asset value (NAV) can be calculated at or after a specified time, said SFP in the form of a security futures on said underlying, wherein said underlying is at least one of an exchange-traded fund, an ETF, an option, an option's underlying, and a structured product, such trading conducted on a secondary market on or away from an exchange, the computer program logic comprising:
- a first module configured to execute a trade of said SFP on the secondary market;
- a second module configured to determine a price of said executed trade, wherein said determined price is from a set of prices that me specified relative to (i) said NAV or (ii) said NAV with a specified basis adjustment, said set of prices comprising (a) a first price that is at a specified discount to either (i) said NAV or (ii) said NAV with a specified basis adjustment;
- (b) a second price that is either (i) at said NAV or (ii) at said NAV with a specified basis adjustment;
- and (c) a third price that is either (i) at a specified premium to said NAV or (ii) at a specified premium to said NAV with a specified basis adjustment;
- and
- a third module configured to submit said executed trade for settlement at said determined price;
- wherein said first module is configured to receive an order to buy or sell said securities futures product;
- and match said received order with a complementary sell or buy order to trade said securities futures product relative to at least one of (1) said NAV and (2) said NAV with a basis adjustment;
- and
- wherein a format of said order to trade said securities futures product comprises at least one of (i) a root trading symbol for said securities futures product;
- (ii) a root trading symbol for said securities futures produce and a FIX code designating both said securities futures product and said trading system;
- (iii) a root trading symbol for said securities futures product with an extension designating said trading method and (iv) a trading symbol for said securities futures product designating both said securities futures product and said trading system.
Dependencies are inferred from the claim text.