Chicago Mercantile Exchange Inc.

John Balaam Alexander Kerpel

Richard Co

Dhiraj Subhash Bawadhankar

Robert William Taylor

Florian Huchedé

Romil Pradip Parekh

Andrey Lopatin

Thomas Patrick Rafferty

Timothy Francis McCourt

John Joseph Wiesner

Systems and methods are provided for efficiently processing withholding payments for constructive dividends. A party that receives constructive dividend payments also has a corresponding short position in a withholding financial instrument. A clearing house computer system adjusts the value of a withholding financial instrument in response to receipt of constructive dividend payments. The clearing house computer system determines a variation margin amount for the short party and processes a variation margin payment from the short party to a withholding account through the variation margin settlement system.

System for processing withholding payments

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 a tracking platform comprises receiving a plurality of data records for the financial instrument; determining a number of units of the futures contract associated with a starting capital amount based on the near settlement price of the data record with the earliest timestamp; processing the data records in sequence based on the timestamp by setting a value for a roll indicator; updating the number of units of the financial instrument if necessary; and determining a profit and loss ('PNL') for the data record based on the number of units of the financial instrument and a change in settlement price; calculating a tracking value for the financial instrument based on the PNLs of the processed data records; and generating at least one financial instrument having a value that is determined from the calculated tracking value.

Apparatuses, methods and systems for a tracking platform for standardized instruments

The disclosed embodiments facilitate efficient calculation, determination, generation, management, analysis and/or communications relating to volatility indexes used to measure volatility of a market parameter, such as interest rates. More particularly, the disclosed embodiments relate to a type of futures contract whose underlier is a strip of options contracts whose underlier is another futures contract. Referred to as a 'Premium over Parity' ('POP') futures contract, the underlying strip of options contracts are characterized by strike prices defined in terms of a relationship with the market price of the options contracts valued at the settlement/expiration of the POP futures contract, e.g. +/&#x2212;1, 2, 3, and 4 bp from the options contract value at expiration. This POP futures contract is then used as a single input to a volatility computation which enables rapid computation thereof.

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Chicago, IL, United States of America

John Balaam Alexander Kerpel