Methods and systems for creating a tail risk hedge index and trading derivative products based thereon
US8712891B1 · kind B1 · utility
Assignee
Inventor
Key dates
| Filing date | Jul 27, 2012 |
| Grant date | Apr 29, 2014 |
| Priority date | — |
| Expiry date | Jul 27, 2032 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/04
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
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: VXTHt=VXTHt-1*(1+RVXTH), where t is the close date and RVXTH is 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.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.