Buy-write financial instruments
AssigneeChicago Board Options Exchange, Incorporated
InventorsRobert E. Whaley, Adam W. Gurwitz, John C. Hiatt JR.
Life of this patent
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Abstract
A financial instrument in accordance with the principles of the present invention provides creating an underlying asset portfolio and implementing a passive total return strategy into the financial instrument based on writing the nearby call option against that same underlying asset portfolio for a set period on or near the day the previous nearby call option contract expires. The call written will have that set period remaining to expiration, with an exercise price just above the prevailing underlying asset price level (i.e., slightly out of the money). The call option is held until expiration and cash settled, at which time a new call option is written for the set period.
Claims98
A method of creating a financial instrument comprising:
- creating an underlying asset portfolio;
- writing a nearby call option against the underlying asset portfolio;
- holding the call option;
- and
- writing a new nearby call option against the underlying asset portfolio.
A method of making a financial instrument comprising:
- creating an underlying asset portfolio;
- and
- writing a call option against the underlying asset portfolio for a set period near the date a previous call option contract expires;
- the call option having an exercise price just above the prevailing underlying asset portfolio level and having the same set period remaining to expiration as the previous call option contract.
A financial instrument comprising:
- an underlying asset portfolio;
- and
- a passive total return strategy based on writing the nearby call option against that same underlying asset portfolio for a set period near the day the previous nearby call option contract expires.
A method of making a financial instrument comprising:
- creating an underlying asset portfolio;
- buying a put option against the underlying asset portfolio;
- holding the put option;
- investing any dividends paid on the underlying asset portfolio in more of the underlying asset portfolio;
- and
- buying a new put option against the underlying asset portfolio.
A financial instrument comprising:
- creating an underlying asset portfolio;
- buying a put option and writing a call option against the underlying asset portfolio;
- holding the put option and call option;
- investing any dividends paid on the underlying asset portfolio in more of the underlying asset portfolio;
- and
- buying a new put option and selling a call option against the underlying asset portfolio.
Dependencies are inferred from the claim text.