Listed options position compression system
US11727491B2 · kind B2 · utility
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22Claims
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Key dates
| Filing date | Oct 10, 2022 |
| Grant date | Aug 15, 2023 |
| Priority date | — |
| Expiry date | Oct 10, 2042 |
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.