Chicago Mercantile Exchange Inc.

Chicago Board Options Exchange, Incorporated

John Joseph Wiesner

Carrick John Pierce

John Balaam Alexander Kerpel

Matthew McFarland

The disclosed embodiments relate to a user interface which enables a trader to acquire a synthetic variance swap position, comprising a plurality of options contracts on an underlier, such as an underlying futures contract, in single action thereby avoiding slippage risk. Furthermore, the disclosed user interface allows a trader to acquire a synthetic log variance position, a synthetic simple variance position and/or a 'convexity lock' position. A convexity lock position comprises a set of options contracts which, in combination with a synthetic log variance position results in a portfolio having an equivalent synthetic simple variance position, and in combination with a synthetic simple variance position, results in a portfolio having an equivalent synthetic log variance position.

Single action replication of complex financial instrument using options strip and user interface therefore

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.

Apparatuses, methods and systems for a computationally efficient volatility index platform

An automated system for creating parity on close orders in an exchange configured for trading securities or derivatives is disclosed including an electronic trade engine operative to receive an order for a security or derivative at the exchange, the trade engine further operative to disseminate a request for a price message to a plurality of market makers quoting a class in response to receiving the order, wherein the request for a price message includes a parity amount for the order; an electronic book in communication with the electronic trade engine, the electronic book operative to store at least one order received by the electronic trade engine; and wherein, in response to the request for a price message, the electronic trade engine receives at least one price message that includes a fee in addition to the parity amount.

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Aurora, IL, United States of America

John Joseph Wiesner