Chicago Mercantile Exchange Inc.

Lori Aldinger

John Labuszewski

Richard Co

John Nyhoff

Steve Youngren

Steven Youngren

Derek Sammann

John Kerpel

A method of providing a financial product may include obtaining, by a computer device, pricing information about a financial market over a specified duration, the pricing information including at least a high price and a low price occurring within the duration. The computer device may be configured for determining a volatility associated with the market, the volatility based, at least in part, on the pricing information and determining a settlement price for a cash settled futures product using the volatility of the market over the specified duration.

Volatility based futures products

Stored data may define a multilaterally-traded contract type and specify final settlement of contracts conforming to the contract type by delivery of a defined quantity of a commodity. Additional data may be received, which additional data may indicate potential invocation of an alternate cash settlement mode for a plurality of contracts. Each contract of the plurality may be a contract conforming to the contract type. Further data may be received, with the further data indicating the alternate cash settlement mode is invoked for a group of contracts. The group may be all of the contracts of the plurality or a sub-portion of the plurality. Data may be transmitted to indicate cash final settlement of each contract of the group by payment of a cash settlement value instead of by delivery of the defined quantity of the commodity.

Multi-laterally traded contract settlement mode modification

Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union.

Prospective currency units

Breakout indexes

A type of multi-laterally traded contract may designate a primary currency and a secondary currency. The primary currency may be used for settlement and/or other payment obligations in connection with instances of the contract type. Under certain conditions, however, authorization may be given for settlement and/or payment of at least some obligations using an equivalent amount of the secondary currency.

Modification of multi-laterally traded contracts based on currency unavailability condition

Systems and methods that provide for a perpetual futures/derivatives contract with periodic reckoning are disclosed. An embodiment may include a method of receiving a new perpetual contract and managing that contract through to its termination. The perpetual futures contract may comprise an option to terminate the contract at recurring predetermined intervals. The exchange may allow or prohibit exercise of the option based on particular parameters.

Growing community of inventors

Naperville, IL, United States of America

Lori Aldinger