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:
Dec. 04, 2012
Filed:
Oct. 10, 2006
John C. Hiatt, Jr., Woodbridge, IL (US);
Catherine T. Shalen, Chicago, IL (US);
Daniel Feuser, Chicago, IL (US);
Eric Chern, Northbrook, IL (US);
Paul Kepes, Chicago, IL (US);
Andrew Hall, Chicago, IL (US);
Lewis Biscamp, Santa Fe, NM (US);
John C. Hiatt, Jr., Woodbridge, IL (US);
Catherine T. Shalen, Chicago, IL (US);
Daniel Feuser, Chicago, IL (US);
Eric Chern, Northbrook, IL (US);
Paul Kepes, Chicago, IL (US);
Andrew Hall, Chicago, IL (US);
Lewis Biscamp, Santa Fe, NM (US);
Chicago Board Options Exchange, Incorporated, Chicago, IL (US);
CTC Trading Group, L.L.C., Chicago, IL (US);
Abstract
Systems and methods for creating a limited risk derivative based on a realized variance of an underlying equity is disclosed. In one implementation, a limited risk derivative product includes a capped value for a statistical property reflecting a variance of the underlying equity is calculated based on a pari-mutuel action. The capped value includes a dynamic value and a cap. The dynamic value reflects an average volatility of prices returns of the underlying equity over a predefined period of time and the cap reflects a maximum value of the dynamic value. The limited risk derivative product additionally includes an average of a summation of each squared daily return of the underlying equity included in the value for the statistical property reflecting the variance of the underlying equity.