Listed options position compression system
US11080785B1 · kind B1 · utility
2Cited by
2References
17Claims
0Family size
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Key dates
| Filing date | Nov 14, 2017 |
| Grant date | Aug 3, 2021 |
| Priority date | — |
| Expiry date | Sep 11, 2039 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
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.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.