# US 12,112,375 B2 · Listed options position compression system > Agents: this data is available as JSON from the patentgrep API and MCP server — see https://patentgrep.com/llms.txt - Number: US 12,112,375 B2 - Document ID: US12112375B2 - Status: Granted - Kind: B2 - Application number: 18/216,153 - Filed: 2023-06-29 - Published: 2023-11-02 - Granted: 2024-10-08 - Earliest claimed: 2017-11-14 - Assignees: Chicago Mercantile Exchange Inc. - Applicants: Chicago Mercantile Exchange Inc. - Inventors: Richard Co; Dhiraj Subhash Bawadhankar; Florian Huchedé; John Balaam Alexander Kerpel; Andrey Lopatin; Romil Pradip Parekh; Robert William Taylor - Web page: https://patentgrep.com/patent/US12112375B2 ## CPC - G06Q 40/04: Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange - G06Q 10/04: Forecasting or optimisation specially adapted for administrative or management purposes, e.g. linear programming or "cutting stock problem" (market predictions or forecasting for commercial activities G06Q30/0202) - G06Q 40/06: Asset management; Financial planning or analysis - G06Q: INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR ## 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. ## Claims ### Claim 1 A computer system comprising: a processor; and a non-transitory memory coupled with the processor, the non-transitory memory storing computer-executable instructions that when executed by the processor, cause the processor to implement a compression engine that: receives open option position data indicative of a plurality of open option positions for a plurality of market participants and a desired risk profile associated with each of the plurality of market participants; analyzes the open option position data; identifies one or more multilateral option spread trades that result in one or more of the plurality of open option positions being closed based on the desired risk profile; and compress one or more of the plurality of open option positions based on the desired risk profile and the identified one more multilateral option spread trades, wherein subsequent to the compression, a bandwidth required by the computer system to process remaining open option positions is reduced. ### Claim 2 (depends on 1) The computer system of claim 1, wherein the compression engine minimizes a number of the plurality of open option positions. ### Claim 3 (depends on 1) The computer system of claim 1, wherein the compression engine maintains the desired risk profile for each of the plurality of market participants. ### Claim 4 (depends on 1) The computer system of claim 1, wherein the compression engine retrieves deviation tolerances for net, delta, gamma and/or other risk parameters from the non-transitory memory. ### Claim 5 (depends on 1) The computer system of claim 1, wherein the desired risk profile includes maintenance of a net delta within a specific tolerance. ### Claim 6 (depends on 1) The computer system of claim 1, wherein the desired risk profile includes maintenance of a net gamma within a specific tolerance. ### Claim 7 (depends on 1) The computer system of claim 1, wherein the desired risk profile includes a purchase and a sale of a same number of contracts. ### Claim 8 (depends on 1) The computer system of claim 1, wherein the compression engine validates the desired risk profile. ### Claim 9 (depends on 1) The computer system of claim 1, wherein the compression engine uses a linear, integer, and/or linear-quadratic processing technique to analyze the plurality of open option positions and to identify the multilateral option spread trades. ### Claim 10 (depends on 1) The computer system of claim 1, wherein the compression engine uses a linear processing technique that utilizes an objective function to analyze the plurality of open option positions and to identify the multilateral option spread trades. ### Claim 11 (depends on 1) The computer system of claim 1, wherein the compression engine displays the multilateral option spread trades to the plurality of market participants in a computer device coupled with the computer system. ### Claim 12 A computer implemented method comprising: receiving, by a compression engine, open option position data indicative of a plurality of open option positions for a plurality of market participants and a desired risk profile associated with each of the plurality of market participants; analyzing, by the compression engine, the open option position data; identifying, by the compression engine, one or more multilateral option spread trades that result in one or more of the plurality of open option positions being closed based on the desired risk profile; and compressing one or more of the plurality of open option positions based on the desired risk profile and the identified one more multilateral option spread trades, wherein subsequent to the compression, a bandwidth required to process remaining open option positions is reduced. ### Claim 13 (depends on 12) The computer implemented method of claim 12, further comprising: minimizing, by the compression engine, a number of the plurality of open option positions. ### Claim 14 (depends on 12) The computer implemented method of claim 12, further comprising: maintaining, by the compression engine, the desired risk profile for each of the plurality of market participants. ### Claim 15 (depends on 12) The computer implemented method of claim 12, further comprising: retrieving, by the compression engine, deviation tolerances for net, delta, gamma and/or other risk parameters from a non-transitory memory coupled with the compression engine. ### Claim 16 (depends on 12) The computer implemented method of claim 12, wherein the desired risk profile includes maintenance of a net delta within a specific tolerance. ### Claim 17 (depends on 12) The computer implemented method of claim 12, wherein the desired risk profile includes maintenance of a net gamma within a specific tolerance. ### Claim 18 (depends on 12) The computer implemented method of claim 12, wherein the desired risk profile includes a purchase and a sale of a same number of contracts. ### Claim 19 (depends on 12) The computer implemented method of claim 12, further comprising: validating, by the compression engine, the desired risk profile. ### Claim 20 (depends on 12) The computer implemented method of claim 12, further comprising: using, by the compression engine, a linear, integer, and/or linear-quadratic processing technique to analyze the plurality of open option positions and to identify the multilateral option spread trades. ### Claim 21 (depends on 12) The computer implemented method of claim 12, further comprising: using, by the compression engine, a linear processing technique that utilizes an objective function to analyze the plurality of open option positions and to identify the multilateral option spread trades. ### Claim 22 (depends on 12) The computer implemented method of claim 12, further comprising: displaying, by the compression engine, the identified multilateral option spread trades to the plurality of market participants in a computer device. ### Claim 23 A non-transitory computer-readable medium comprising computer executable code that, when executed by a processor, cause the processor to implement a compression engine that performs a plurality of operations including: receiving open option position data indicative of a plurality of open option positions for a plurality of market participants and a desired risk profile associated with each of the plurality of market participants; analyzing the open option position data; identifying one or more multilateral option spread trades that result in one or more of the plurality of open option positions being closed based on the desired risk profile; and compressing one or more of the plurality of open option positions based on the desired risk profile and the identified one more multilateral option spread trades, wherein subsequent to the compression, a bandwidth required to process remaining open option positions is reduced.