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:
May. 24, 2011
Filed:
Jan. 28, 2008
Catherine T. Shalen, Chicago, IL (US);
Catherine T. Shalen, Chicago, IL (US);
Chicago Board Options Exchange, Incorporated, Chicago, IL (US);
Abstract
Collateralized option index derivative investment instruments and methods for creating a collateralized option index are disclosed herein based on changes in a performance of collateralized option strategies. According to an aspect of the disclosure, a method for calculating a collateralized option index is disclosed. In one embodiment, the method for calculating a collateralized option index includes calculating a value of a portfolio invested in a collateralized short strategy according to the relation:where Mis a value of a LIBOR component of the portfolio at the close of date t, Nis a number of put options sold at a last roll date, and Pis a price of the underlying option portfolio based on arithmetic averages of the last bid and ask prices of all options in the underlying option portfolio reported before a time on date t.
Data source: USPTO (United States Patent and Trademark Office) public patent records. Weekly synchronization. How IDiyas builds this profile