The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
Nov. 01, 2022
Filed:
Jun. 24, 2021
Chicago Mercantile Exchange Inc., Chicago, IL (US);
Richard Co, Chicago, IL (US);
Dhiraj Subhash Bawadhankar, Naperville, IL (US);
Florian Huchedé, Chicago, IL (US);
John Balaam Alexander Kerpel, Chicago, IL (US);
Andrey Lopatin, Lisle, IL (US);
Romil Pradip Parekh, Northbrook, IL (US);
Robert William Taylor, Mount Prospect, IL (US);
Chicago Mercantile Exchange Inc., Chicago, IL (US);
Abstract
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.