Chicago Mercantile Exchange Inc.

Cboe Exchange, Inc.

Florian Huchedé

Dhiraj Subhash Bawadhankar

Richard Co

Robert William Taylor

John Balaam Alexander Kerpel

Romil Pradip Parekh

Andrey Lopatin

Xinrui Wang

Alok Khuntia

Robert Hayes

Abdoulaye Gory

David Henri Nicolay

Adboulaye Gory

The disclosed embodiments relate to automated enablement of deferred physical delivery of an asset, for which physical delivery is called for in a bilateral contract, by automatically settling the bilateral contract among the parties thereto with positions in specifically tailored futures contracts with a defined later delivery date and, based thereon, extinguishing the bilateral contract requirement for physical delivery. This electronic substitution of equivalent futures positions for both parties in place of the physical delivery requirement, the delivery and payment obligations are bifurcated enabling either party to continue, unpenalized, with their respective obligation irrespective of the other party's actions, enabling the resultant positions available for offsetting/netting, so as to readily exit a position or utilize it to reduce monetary requirements, e.g., for margin or other requirements, as well as reduce the data storage requirements and/or computational resource requirements associated with storing and/or processing the data indicative of those positions.

Minimization of the consumption of data processing resources in an electronic transaction processing system via deferral of physical delivery

An exchange computer system and methods for using a moneyness index to provide a simplified and user-friendly way for users to trade daily positive or negative returns of an asset. A trade contract is built around a standardized index that tracks the return of an asset over a given period of time.

Moneyness index engine

An exchange computer system configured to continuously, securely, dynamically, and efficiently generate cliquet combos includes a trading engine that receives related data from one or more remote user computing devices, determines various parameters for the cliquet combos from the received data, and generates the cliquet combos from those parameters. The trading engine then securely transmits data related to the generated cliquet combos to the one or more remote user computing devices via a computer network, each of those devices being configured to display that data within a graphical user interface. The same system is further configured to handle transactions involving generated cliquet combos, based on orders received from the devices.

Dynamic, efficient, and continuous generation and handling of cliquet combinations

Systems are provided for compressing portfolios of open option positions. Market participants may provide constraints, such as net delta and gamma values within a specific tolerance. A compression engine uses a linear, integer and/or linear-quadratic programming solver to analyze portfolios of multiple market participants and identify multilateral option spread trades that result in portfolios that are compressed subject to the constraints.

Listed options position compression system

A computer implemented method for cross asset correlation includes receiving, by a processor, portfolio data for a plurality of portfolios, determining, by the processor, a single portfolio performance vector for each of the plurality of portfolios based on a portfolio specific model, determining, by the processor, a joint portfolio performance vector for the plurality of portfolios based on portfolio specific models, determining, by the processor, for each portfolio, a portfolio specific scalar based on the single portfolio performance vector and the joint portfolio performance vector; and modifying, by the processor, a portfolio risk based on the portfolio specific model and the portfolio specific scalar.

Message elimination in multi-model risk correlation system

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Chicago, IL, United States of America

Florian Huchedé