Apparatuses, methods and systems for a volatility expiration index platform
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United States of America Patent
Stats
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Jul 17, 2018
Grant Date -
Feb 16, 2012
app pub date -
Aug 10, 2011
filing date -
Aug 10, 2010
priority date (Note) -
In Force
status (Latency Note)
Importance
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US Family Size
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Abstract
The APPARATUSES, METHODS AND SYSTEMS FOR A VOLATILITY EXPIRATION INDEX PLATFORM (“VEIP”) transforms user and market data inputs via VEIP components into Vol Ex Index publication and Vol Ex Index instrument communications outputs. A current reference security price may be determined for a reference security. A plurality of option strike prices may be derived from the current reference security price. Implied volatility and delta may be determined for options associated with each derived option strike price and used to calculate a delta-weighted implied volatility for each derived option strike price. A weighting for each derived option strike price may be determined and used along with the delta-weighted implied volatilities to calculate a volatility expiration index value for the reference security. Using the volatility expiration index value, a volatility expiration index financial instrument may be generated and introduced into a financial instrument exchange market.
First Claim
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Family
| Country | kind | publication No. | Filing Date |
|---|---|---|---|
| WO | A1 | WO2012021635 | Aug 10, 2011 |
| TW | A | TW201224980 | Aug 10, 2011 |
International Classification(s)
Cited Art Landscape
Patent Citation Ranking
- 2 Citation Count
- G06Q Class
- 30.77 % this patent is cited more than
- 7 Age
Maintenance Fees
| Fee | Large entity fee | small entity fee | micro entity fee | due date |
|---|---|---|---|---|
| 7.5 Year Payment | $3600.00 | $1800.00 | $900.00 | Jan 17, 2026 |
| 11.5 Year Payment | $7400.00 | $3700.00 | $1850.00 | Jan 17, 2030 |
