Chicago Mercantile Exchange Inc.

David Salvadori

James W Farrell

Charlie Troxel, Jr

Arjuna Ariathurai

John Falck

Agnes Shanthi Thiruthuvadoss

Scott Johnston

Scott Johnson

Agnes Shanti Thiruthuvadoss

Neal Brady

Peter Barker

John Curran

Shanthi Thiruthuvadoss

Robin S Ross

Jeffrey P Kilinski

Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade.

Order risk management for derivative products

Methods and systems for an exchange to handle variable derivative product order prices are disclosed. The price of a derivative product order (bid or offer) is updated based on changes in the price of a related underlying product. Price determination variable(s), such as delta and gamma, are used to determine the price of the order. The exchange may periodically recalculate the price without requiring the trader to transmit additional information to the exchange.

Derivatives trading methods that use a variable order price

Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction.

Hedging risks associated with variable priced orders for derivative financial products

Derivatives trading methods that use a variable order price and a hedge transaction

Order risk management for financial product processing

Systems and methods are provided to fulfill customer trading orders in an illiquid two sided market. Request for cross functionality may be implemented in a trading environment using a trading engine for the matching of trades involving financial instruments. Request for cross functionally integrates the benefits of a dual bid-ask continuous trading market model with the price and quantity trade matching systems and methods.

System and method for a request for cross in a trade matching engine

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Bartlett, IL, United States of America

David Salvadori