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:
Apr. 29, 2014
Filed:
Jul. 27, 2012
Catherine T. Shalen, Chicago, IL (US);
Catherine T. Shalen, Chicago, IL (US);
Chicago Board Options Exchange, Incorporated, Chicago, IL (US);
Abstract
A method and system for calculating a tail risk hedge index is disclosed where the tail risk hedge index is associated with a portfolio having an underlying asset and a volatility index option based on the underlying asset. The method includes, with a processor in a trading platform, calculating a tail risk hedge index (VXTH) associated with the portfolio having an underlying asset and a volatility index (VIX) option based on the underlying asset, and displaying the VXTH. The VXTH is calculated by compounding its value based on the equation: VXTH=VXTH*(1+R), where t is the close date and Ris the daily net rate of return of the index. A trading platform for creating and disseminating the index, and for creating and trading a derivative based on the index, is also disclosed.