Single action replication of complex financial instrument using options strip and user interface therefore
AssigneeChicago Mercantile Exchange Inc.
InventorsCarrick John Pierce, John Joseph Wiesner
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AssigneeChicago Mercantile Exchange Inc.
InventorsCarrick John Pierce, John Joseph Wiesner
Estimating the term…
The disclosed embodiments relate to a user interface which enables a trader to acquire a synthetic variance swap position, comprising a plurality of options contracts on an underlier, such as an underlying futures contract, in single action thereby avoiding slippage risk. Furthermore, the disclosed user interface allows a trader to acquire a synthetic log variance position, a synthetic simple variance position and/or a “convexity lock” position. A convexity lock position comprises a set of options contracts which, in combination with a synthetic log variance position results in a portfolio having an equivalent synthetic simple variance position, and in combination with a synthetic simple variance position, results in a portfolio having an equivalent synthetic log variance position.
A computer implemented method comprising:
A system comprising:
A system comprising:
Dependencies are inferred from the claim text.