Method and apparatus for improved electronic trading
AssigneeITG Software Solutions, Inc.
InventorsDavid Walter MORTIMER, Scott Charles Larison
Life of this patent
Estimating the term…
Abstract
A method and apparatus for outputting data that represents the change in value of an options premium that would have resulted if the options traded in a direct linear volume relationship with its underlying security is provided. Input values utilized include a delta value, a gamma value, a value-weighted average price of an underlying stock, a reference price of the underlying stock, and an original order premium value.
Claims15
A computer-readable storage medium having instructions which, when executed on a processor, perform a method for generating a benchmark price for an exchange-traded equity derivatives order, the method comprising:
- receiving a first delta value, a gamma value, a value-weighted average price value of an underlying stock, a reference price value of the underlying stock, and an original order premium value;
- where the first delta value is a measure of the rate of change in a theoretical value of an option for a one-unit change in the price of the underlying stock;
- the gamma value is a measure of the rate of change in a delta of an option for a one-unit change in the price of the underlying stock;
- and
- the original order premium value is an agreed value;
- calculating a master rate of change value based on the value-weighted average price and reference price values;
- calculating an adjusted delta value based on the first delta value, the master rate of change value, and the gamma value;
- calculating a gamma-weighted average price value based on the original order premium value, the master rate of change value, and the adjusted delta value;
- and
- outputting the gamma-weighted average price value as a benchmark price for the order.
An apparatus for generating a benchmark trading price for an exchange-traded equity derivatives order, comprising:
- an input module for receiving input values, the input values comprising a first delta value, a gamma value, a value-weighted average price value of an underlying stock, a reference price value of the underlying stock, and an original order premium value;
- where:
- the first delta value is a measure of the rate of change in an option's theoretical value for a one-unit change in the price of the underlying stock;
- the gamma value is a measure of the rate of change in an option's first delta value for a one-unit change in the price of the underlying stock;
- and
- the original order premium value is a value set for the order with corresponding values based on the first delta value, gamma value, and reference price value;
- a processor for performing calculations, including:
- calculating a master rate of change value based on the value-weighted average price and the reference price values;
- calculating an adjusted delta value based on the first delta value, the master rate of change value, and the gamma value;
- and
- calculating a gamma-weighted average price value based on the original order premium value, the master rate of change value, and the adjusted delta value;
- and
- an output module for outputting the gamma-weighted average price value as a benchmark trading price for the order.
A computer-readable storage medium having instructions which, when executed by a processor, perform a method for matching pre-open orders using a gamma-weighted average price, the method comprising:
- receiving pre-open orders from a trader during a first time period, the pre-open orders including a seller amount and price or a buyer amount and price;
- storing the pre-open orders in an order module;
- matching the pre-open orders during a second time period that begins after the first time period ends, the orders being matched when the seller amount and price of a pre-open order matches the buyer amount and price of a pre-open order;
- receiving market data during a third time period that begins after the second time period ends;
- calculating a gamma-weighted average price value based on the received market data, the gamma-weighted average price being based on an original order premium value, a master rate of change value, and an adjusted delta value;
- and outputting the gamma-weighted average price value as an estimate of a trading price for the order.
15-18. (canceled)
Dependencies are inferred from the claim text.