Methods and systems for creating a tail risk hedge index and trading derivative products based thereon

A trading platform comprising:

• a transmission device;
• a memory storing a set of instructions for calculating a tail risk hedge index (VXTH) associated with a portfolio of a volatility index derivative and an underlying asset;
• and
• a processor in communication with the transmission device and the memory, the processor configured to retrieve and execute the set of instructions stored in the memory and to:
• receive data relating to the underlying asset, and the volatility index option based on the underlying asset, for the portfolio;
• based on the received data and using the retrieved instructions calculate the VXTH associated with the portfolio;
• and
• transmit the VXTH associated with the portfolio from the transmission device;
• wherein the VXTH is calculated by the processor compounding its value based on an equation:
• VXTHt=VXTHt-1*(1+RVXTH)
• where t is a close date and RVXTH is a daily net rate of return of VXTH.

A computer-implemented method of creating a tail risk hedge index derivative, the method comprising:

• a processor of an exchange computer executing a set of instructions retrieved from memory for accessing a tail risk hedge index associated with a portfolio of an underlying asset and a volatility index derivative;
• creating, with the processor, a tail risk hedge index derivative based on the tail risk hedge index;
• and
• transmitting, with the processor, information associated with the tail risk hedge index derivative for display.