Method and system for creating a volatility benchmark index

A non-transitory computer-readable medium containing processor executable program instructions for creating a volatility benchmark index, the instructions configured for causing a processor to execute the steps of:

• storing a closing value of a Treasury bill account plus a mark-to-market value of at least one of a volatility-based future or option in a memory;
• calculating a value reflecting a volatility benchmark on the processor based on the stored closing value;
• and
• wherein the value reflecting a volatility benchmark is calculated according to the formula:
• VPDt=Mt+100*10 NlastCt
• where Mt is a Treasury bill balance at a close of date t, Nlast is a number of futures sold and 10 Nlast is a number of volatility index (VIX) options bought at a last roll date, and Ct is an average of bid and ask quotes of VIX calls at the close on date t.

A method for creating a volatility benchmark index, the method comprising:

• in a trading system having a memory and a processor in communication with the memory, the processor:
• storing in the memory a value of a Treasury bill account less a mark-to-market value of at least one of a volatility-based future or option in a memory;
• calculating a value reflecting a volatility benchmark on the processor based on the stored value;
• and
• wherein the value reflecting a volatility benchmark is calculated according to the formula:
• VPDt=Mt=(1+rt−1)VPDt−1−MultNlast(Ft−Ft−1)
• where VPDt is a VIX premium index value at date t, Mt is a Treasury bill balance on date t, rt−1 is an effective Treasury bill rate from date t−1 to date t, Nlast is a number of futures sold at a last roll date, Ft is a daily settlement price of futures at date t, and Mult is a multiplier of the futures.