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US 8,751,352 B2Granted
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:
- receiving, at a computing device, an implied volatility index value indicating a value associated with a volatility index at a particular time;
- comparing, at the computing device, the implied volatility index value to a plurality of implied volatility ranges, wherein the plurality of implied volatility ranges includes a first range of implied volatility index values that are less than a first threshold, a second range of implied volatility index values that are greater than or equal to the first threshold and less than a second threshold, and a third range of implied volatility index values that are greater than or equal to the second threshold;
- determining, at the computing device, a particular implied volatility range that includes the implied volatility index value based on the comparison;
- determining, at the computing device, a percentage of a notional value of an equity portion of a portfolio of securities, the percentage of the notional value corresponding to the particular implied volatility range;
- generating, at the computing device, at least one proposed financial market transaction based on the percentage of the notional value of the equity portion of the portfolio;
- and
- automatically acquiring income by performing, at the computing device, the at least one proposed financial market transaction, wherein the income is derived from option premiums.
4 more elements
A system, comprising:
- an interface configured to receive an implied volatility index value indicating a value associated with a volatility index at a particular time;
- a memory device configured to store a plurality of implied volatility ranges, wherein the plurality of implied volatility ranges includes a first range of implied volatility index values that are less than a first threshold, a second range of implied volatility index values that are greater than or equal to the first threshold and less than a second threshold, a third range of implied volatility index values that are greater than or equal to the second range, and wherein 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.
4 more elements
A non-transitory computer-readable storage medium comprising instructions, that when executed by a computer, cause the computer to:
- receive an implied volatility index value indicating a value associated with a volatility index at a particular time;
- compare the implied volatility index value to a plurality of implied volatility ranges, wherein the plurality of implied volatility ranges includes a first range of implied volatility index values that are less than a first threshold, a second range of implied volatility index values that are greater than or equal to the first threshold and less than a second threshold, and a third range of implied volatility index values that are greater than or equal to the second threshold;
- determine a particular implied volatility range that includes the implied volatility index value based on the comparisons;
- determine a percentage of a notional value of an equity portion of a portfolio of securities, the percentage of the notional value corresponding to the particular implied volatility range;
- generate at least one proposed financial market transaction based on the percentage of 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.
4 more elements
Dependencies are inferred from the claim text.