Scanning based spreads using a hedge ratio non-linear optimization model

US7991671B2 · kind B2 · utility

Assignee

• Chicago Mercantile Exchange Inc. · US

Inventors

• Muhammed Hadi · Chicago, US
• Amy Stephen · Chicago, US
• Ketan Patel · Bartlett, US
• Dmitriy Glinberg · Northbrook, US

Key dates

• Filing date: Mar 27, 2008
• Grant date: Aug 2, 2011
• Expiry date: Aug 31, 2029

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/04
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

The disclosed embodiments utilize hedge ratios to determine the optimal hedge ratio and associated scanning spread. This tells traders what ratios of the quantities of products they should have in their portfolio in order to maintain the status of the portfolios as delta neutral, i.e. be delta hedged, and receive optimal margin credits therefore.