Chicago Mercantile Exchange Inc.

Richard Co

John Labuszewski

John Nyhoff

David Andrew Boberski

Roberta Paffaro

Steve Youngren

John Balaam Alexander Kerpel

Edward M Gogol

John Wiley

Thomas Patrick Rafferty

Lori Aldinger

Timothy Francis McCourt

John Kerpel

Xing Su

Dhiraj Subhash Bawadhankar

Robert William Taylor

Florian Huchedé

Romil Pradip Parekh

Steve Peters

Alan Shontz

Mike Kamradt

Andrey Lopatin

Tuen Tuen Wang

James Joseph Boudreault

Sayee Srinivasan

Derek Sammann

TuenTuen Wang

Paul Peterson

Greg Skony

Steven Youngren

Peter Barker

Larry Grannan

Murphy James Brennan

Fred Sturm

Giovanni Vicioso

David Paul Plandowski

Benjamin Carl Rutledge

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 creating and matching implied inter-commodity spread orders where a spread ratio between legs of the inter-commodity spread is endogenous. The implied spread price is determined with a multi-step calculation including determining the price ratio between the underlying products and balancing the quantity of contracts required of each leg product.

Spread price scaling for implied trade matching

Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders. The actions in the electronic trading system may have times specified within the electronic message for the action to be executed.

Electronic market message management of temporally specific messages

Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders and matching orders to counter orders. Matching orders may be based on a priority determined using a market quality index of the order and an associated market participant.

Electronic market message management using priority determination

One or more methods may be used to disseminate floor quotes from an open outcry financial market, such as via messages posted on a social network. These messages may include additional information for providing 'color' to the price quotation. In some cases, a method of disseminating the floor quotes may include receiving, at a computer device, a request from a trader to receive an authenticated user name associated with a financial exchange. The financial exchange may then permit the trader to post one or more messages to a social network using the authenticated user name, where the message includes information about a trade on the financial exchange.

Disseminating floor quotes from open outcry markets

A system for moving money between accounts of traders by a central counterparty to facilitate a plurality of payments, i.e. the movement of funds, there between is disclosed which provides a flexible mechanism which supports simpler accounting, new types of derivatives contracts as well new types fees. The disclosed futures contract, referred to as a 'payor' contract, comprises a 'no-uncertainty' futures contract, i.e. the initial value and settlement value parameters are defined, that leverages the mechanisms of the clearing system to, for example, accommodate related payments. Accordingly, a 1-to-many relationship between contracts and prices is provided whereby each price component may be assigned its own payor contract. The function of the payor contract may be to guarantee the movement of money from related positions. In one embodiment, payor contracts are dynamically created whenever a payment is needed.

Facilitation of accrual based payments between counterparties by a central counterparty

A method of determining a hybrid index may include obtaining, by a computer device, financial transaction information about two or more financial products over a duration. The computer device may be configured to filter the financial transaction information to produce enhanced financial transaction information. The computer device may then determine a financial index value using the financial transaction information and the enhanced financial transaction information.

Hybrid index derived using a kalman filter

Electronic market message management with priority determination

A method for matching compound orders from a group of market participants includes receiving, via a communication network, compound order data, the compound order data specifying a maximum amount of a financial instrument of a plurality of financial instruments to be bought or sold by each market participant, accessing a memory in which price data is stored, the price data indicating a current price of each financial instrument, implementing, with a processor, a linear solver to maximize fulfillment of the compound orders via order matching for execution at the current prices in accordance with the maximum amounts specified in the compound order data and in accordance with a maximum net risk exposure level for each market participant arising from the fulfillment of the compound orders, and transmitting trade data indicative of the order matching for execution of trades among the market participants at the current prices.

Matched order fulfillment with linear optimization

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Chicago, IL, United States of America

Richard Co