Buy-write indexes
AssigneeChicago Board Options Exchange, Incorporated
InventorRobert E. Whaley
Life of this patent
Estimating the term…
Abstract
A financial instrument in accordance with the principles of the present invention provides a passive total return index based on writing the nearby call option against that same underlying asset portfolio for a set period on 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.
Claims135
A method of creating a financial instrument comprising:
- writing a nearby call option against an 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:
- identifying nearby calls with adjacent exercise prices and deltas that straddle an underlying asset portfolio price level;
- identifying second nearby calls with adjacent exercise prices and deltas that straddle the underlying asset portfolio price level;
- writing the calls;
- weighing the nearby and second nearby call option portfolios such that the weighted average time to maturity is a selected number of days;
- and
- rebalancing the position.
A method of making a financial instrument comprising writing a call option against a same underlying asset portfolio for a set period near the date the 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 a passive total return 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:
- buying a put option against an 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:
- buying a put option and writing a call option against an 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.