Rules-Based Risk Management
AssigneeAmeriprise Financial, Inc.
InventorsCharles W. Kadlec, John Kurt Schonberg, Gary Alan Terpening
Life of this patent
Estimating the term…
Abstract
An active overlay strategy based on rule-based risk management is implemented by a computer implemented method. The method includes receiving a data value representing implied volatility of a market. The method also includes automatically generating an order to sell call options. The order includes a quantity of call options to sell, where the quantity is determined at least in part based on an evaluation of the data value.
Claims23
A computer-implemented method comprising:
- comparing an implied volatility index value to a plurality of implied volatility ranges;
- determining a percentage of a notional value of an equity portion of a portfolio of securities based on the comparison;
- generating at least one proposed financial market transaction based on the percentage and the notional value of the equity portion of the portfolio;
- and
- automatically acquiring income by performing the at least one proposed financial market transaction, wherein the income is derived from option premiums.
A system, comprising:
- an interface configured to receive an implied volatility index value;
- a memory device configured to store a plurality of implied volatility ranges, wherein each implied volatility range is associated with a range of values and each implied volatility range is associated with a percentage of a notional value of an equity portion of a portfolio of securities;
- and
- a processor coupled to the memory device, the processor configured to:
- identify a particular implied volatility range of the plurality of implied volatility ranges that includes the implied volatility index value;
- identify a particular percentage of the notional value associated with the particular implied volatility range, wherein the particular percentage is less than 100 percent;
- automatically generate at least one proposed financial market transaction based on the particular percentage.
A computer-readable storage medium comprising instructions, that when executed by a computer, cause the computer to:
- receive a data value representing implied volatility of a market;
- and
- automatically generate an order to sell call options, wherein the order includes a quantity of call options to sell, wherein the quantity is determined at least in part based on an evaluation of the data value.
A computer-implemented method to generate an index, the method comprising:
- receiving data representing implied volatility of a market index;
- and
- automatically generating an active buy-write index based on market performance of a portfolio of equities associated with the market index and based on a particular allotment of call options, wherein the particular allotment of call options is determined based on the volatility data.
Dependencies are inferred from the claim text.