Systems and methods for trades priced relative to a reference benchmark value associated with an underlying index future
AssigneeNyse Mkt LLC
InventorsClifford J. Weber, Lynn Christine Martin
Life of this patent
Estimating the term…
Abstract
According to some embodiments, an indication of a trade priced relative to a reference benchmark value (e.g., a trade at index close transaction) associated with an underlying index future may be received when a basis of the trade is agreed to by parties of the trade. Moreover, the indication may be received at least one day prior to a determination of a final price and quantity of the trade. The trade might create, according to some embodiments, any derivative, such as a future, an option, or a combination of put and call options. The trade may be reported and cleared, and it may then be arranged for the trade to physically settle into the underlying index future.
Claims24
A system associated with trades that are priced relative to a reference benchmark value, comprising:
- a communication device to receive an indication of a trade that is priced relative to the reference benchmark value associated with an underlying index future when a basis of the trade is agreed to by parties of the trade at least one day prior to a determination of a final price and quantity of the trade;
- a computer processor for executing program instructions;
- and
- a memory, coupled to the computer processor, for storing program instructions for execution by the computer processor to:
- report the trade,
- clear the trade, and
- arrange for the trade to physically settle into the underlying index future.
A computer-implemented method associated with trades priced relative to a reference benchmark value, comprising:
- receiving an indication of a trade priced relative to a reference benchmark value associated with an underlying index future when a basis of the transaction is agreed to by parties of the trade at least one day prior to a determination of a final price and quantity of the trade;
- reporting the trade;
- clearing the trade;
- and
- arranging for the trade to physically settle into the underlying index future.
A non-transitory computer-readable medium storing instructions adapted to be executed by a computer processor to perform a method associated with trades priced relative to a reference benchmark value, said method comprising:
- receiving an indication of a trade priced relative to a at reference benchmark value associated with an underlying index future when a basis of the transaction is agreed to by parties of the trade at least one day prior to a determination of a final price and quantity of the trade;
- reporting the trade;
- clearing the trade;
- and
- arranging for the trade to physically settle into the underlying index future.
The medium of claim 18, wherein the reference benchmark value is associated with at least one of:
- (i) an index close, (ii) an index open, (iii) an exchange daily settlement price, and (iv) a volume weighted average price over time.
Dependencies are inferred from the claim text.