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US 11,080,785 B1Granted
Listed options position compression system
AssigneeChicago Mercantile Exchange Inc.
InventorsRichard Co, Dhiraj Subhash Bawadhankar, Florian Huchedé, John Balaam Alexander Kerpel, Andrey Lopatin, Romil Pradip Parekh, Robert William Taylor
Life of this patent
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Abstract
Systems are provided for compressing portfolios of open option positions. Market participants may provide constraints, such as net delta and gamma values within a specific tolerance. A compression engine uses a linear, integer and/or linear-quadratic programming solver to analyze portfolios of multiple market participants and identify multilateral option spread trades that result in portfolios that are compressed subject to the constraints.
Claims17
A computer system comprising:
- a trader computer device;
- an exchange computer system connected to the trader computer device via a network and comprising:
- at least one non-transitory computer-readable medium that stores open option position data for multiple market participants;
- a compression engine that includes at least one processor coupled with the at least one non-transitory computer-readable medium, the at least one non-transitory computer-readable medium including computer-executable instructions that when executed by the processor, cause the compression engine to perform the processes comprising:
- (a) accessing the open option position data for multiple market participants from the at least one non-transitory computer-readable medium;
- (b) retrieving constraint information from the at least one non-transitory computer-readable medium for each of the multiple market participants, the constraint information including desired risk profiles;
- and
- (c) performing a multiple participant compression operation that reduces the number of open option positions while maintaining the desired risk profiles for each of the multiple market participants,
- wherein (c) further comprises analyzing the open position data for the multiple market participants and determining multilateral option spread trades that result in open option positions that are compressed subject to the retrieved constraint information;
- and
- wherein subsequent to the compression operation, the number of open option positions to be processed by the computer system is reduced while the desired risk profiles for each of the multiple market participants are maintained, reducing the bandwidth and processing resources required by the exchange computer system to process the remaining open positions.
8 more elements
A computer implemented method comprising:
- (a) retrieving, by a processor, from at least one non-transitory computer-readable medium coupled with the processor, open option position data for multiple market participants;
- (b) retrieving, by the processor, constraint information from the at least one non-transitory computer-readable medium, the constraint information including risk profiles for each of the multiple market participants;
- and
- (c) performing, by the processor, a multiple participant compression operation that reduces the number of open option positions while maintaining the desired risk profiles for each of the multiple market participants, wherein (c) further comprises analyzing, by the processor, the open position data for the multiple market participants and determining, by the processor, multilateral option spread trades that result in open option positions that are compressed subject to the retrieved constraint information;
- and
- wherein subsequent to the compression operation, the number of open option positions to be processed by the computer system is reduced while the desired risk profiles for each of the multiple market participants are maintained, reducing the bandwidth and processing resources required by an exchange computer system to process the remaining open positions.
3 more elements
A non-transitory computer-readable medium coupled with a processor, the non-transitory computer-readable medium containing computer-executable instructions that when executed by the processor cause a computer system to perform the steps comprising:
- (a) retrieving open option position data from the non-transitory computer-readable medium for multiple market participants;
- (b) retrieving constraint information from the non-transitory computer-readable medium, the constraint information including risk profiles for each of the multiple market participants;
- and
- (c) performing a multiple participant compression operation that reduces the number of open option positions while maintaining the desired risk profiles for each of the multiple market participants,
- wherein (c) further comprises analyzing the open position data for the multiple market participants and determining multilateral option spread trades that result in open option positions that are compressed subject to the retrieved constraint information;
- and
- wherein subsequent to the compression operation, the number of open option positions to be processed by the computer system is reduced while the desired risk profiles for each of the multiple market participants are maintained, reducing the bandwidth and processing resources required by an exchange computer system to process the remaining open positions.
4 more elements
Dependencies are inferred from the claim text.