Abstract: Systems and methods for creating and disseminating a SKEW index based on a statistical property reflecting the skewness of an underlying asset and creating and trading derivative investment products based on the SKEW index are disclosed. In one aspect, a SKEW index associated with an underlying asset is calculated. The SKEW index is accessed and a SKEW derivative is created based on the SKEW index. Information associated width the SKEW derivative is then transmitted for display.

Abstract: An investment instrument is disclosed that allows investors to take risk positions relative to the occurrence or non-occurrence of a contingent binary event. The contingent binary event will have one of two possible outcomes. In a digital derivatives contract, a long investor agrees to pay a short investor a contract amount in return for the short investor agreeing to pay the long investor one of two different settlement amounts depending on the outcome as the contingent binary event. Typically, one settlement amount will be zero and the other will be an amount greater than the derivatives contract price.

Abstract: Systems and methods for determining an index based on a covariance between two underlying assets is disclosed. In one implementation, a processor of a trading platform calculates a covariance index associated with two underlying assets, creates a covariance derivative associated with the two underlying assets based on the covariance index, and displays the covariance index and the covariance derivative on a trading display device coupled with the trading platform.

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.

Abstract: A method and system for creating a volatility benchmark index is disclosed. The method includes obtaining a value of a Treasury bill account less a mark-to-market value of at least one of a volatility-based future or option and calculating a value reflecting a volatility benchmark. The value may be displayed at a trading facility and volatility benchmark quotes may be transmitted by the trading facility to a market participant.

Abstract: A system and method for creating a limited risk derivative based on a realized variance of an underlying equity is disclosed. In one implementation, a limited risk derivative product includes a capped value for a statistical property reflecting a variance of the underlying equity is calculated based on a pari-mutuel action. The capped value comprises a dynamic value and a cap. The dynamic value reflects an average volatility of prices returns of the underlying equity over a predefined period of time and the cap reflects a maximum value of the dynamic value. The limited risk derivative product additionally includes an average of a summation of each squared daily return of the underlying equity included in the value for the statistical property reflecting the variance of the underlying equity.

Abstract: Systems and methods for creating and disseminating a SKEW index based on a statistical property reflecting the skewness of an underlying asset and creating and trading derivative investment products based on the SKEW index are disclosed. In one aspect, a SKEW index associated with an underlying asset is calculated. The SKEW index is accessed and a SKEW derivative is created based on the SKEW index. Information associated width the SKEW derivative is then transmitted for display.

Abstract: A method and system for creating a volatility benchmark index is disclosed. The method includes obtaining a value of a Treasury bill account less a mark-to-market value of at least one of a volatility-based future or option and calculating a value reflecting a volatility benchmark. The value may be displayed at a trading facility and volatility benchmark quotes may be transmitted by the trading facility to a market participant.

Abstract: Collateralized option index derivative investment instruments and methods for creating a collateralized option index are disclosed herein based on changes in a performance of collateralized option strategies. According to an aspect of the disclosure, a method for calculating a collateralized option index is disclosed. In one embodiment, the method for calculating a collateralized option index includes calculating a value of a portfolio invested in a collateralized short strategy according to the relation: Vt=Mt?NlastPt where Mt is a value of a LIBOR component of the portfolio at the close of date t, Nlast is a number of put options sold at a last roll date, and Pt is a price of the underlying option portfolio based on arithmetic averages of the last bid and ask prices of all options in the underlying option portfolio reported before a time on date t.

Abstract: Systems and methods for creating a limited risk derivative based on a realized variance of an underlying equity is disclosed. In one implementation, a limited risk derivative product includes a capped value for a statistical property reflecting a variance of the underlying equity is calculated based on a pari-mutuel action. The capped value includes a dynamic value and a cap. The dynamic value reflects an average volatility of prices returns of the underlying equity over a predefined period of time and the cap reflects a maximum value of the dynamic value. The limited risk derivative product additionally includes an average of a summation of each squared daily return of the underlying equity included in the value for the statistical property reflecting the variance of the underlying equity.

Abstract: A method and system for creating a spot price tracker index is disclosed. The method includes obtaining values of first and second derivatives at a time t and calculating an index value by linear extrapolation from the first and second futures contracts. The index value may be displayed at a trading facility and quotes based on the index value may be transmitted by the trading facility to a market participant.

Abstract: Systems and methods for creating and disseminating a SKEW index based on a statistical property reflecting the skewness of an underlying asset and creating and trading derivative investment products based on the SKEW index are disclosed. In one aspect, a SKEW index associated with an underlying asset is calculated. The SKEW index is accessed and a SKEW derivative is created based on the SKEW index. Information associated width the SKEW derivative is then transmitted for display.

Abstract: A method and system for creating a volatility benchmark index is disclosed. The method includes obtaining a value of a Treasury bill account less a mark-to-market value of at least one of a volatility-based future or option and calculating a value reflecting a volatility benchmark. The value may be displayed at a trading facility and volatility benchmark quotes may be transmitted by the trading facility to a market participant.

Abstract: Collateralized option index derivative investment instruments and methods for creating a collateralized option index are disclosed herein based on changes in a performance of collateralized option strategies. According to an aspect of the disclosure, a method for calculating a collateralized option index is disclosed. In one embodiment, the method for calculating a collateralized option index includes calculating a value of a portfolio invested in a collateralized short strategy according to the relation: Vt=Mt?NlastPt where Mt is a value of a LIBOR component of the portfolio at the close of date t, Nlast is a number of put options sold at a last roll date, and Pt is a price of the underlying option portfolio based on arithmetic averages of the last bid and ask prices of all options in the underlying option portfolio reported before a time on date t.

Abstract: A method and system for creating and trading an investment instrument based on an initial public offering of an entity is disclosed that allows investors to take risk positions relative to the occurrence or non-occurrence of a contingent binary event. The contingent binary event will have one of two possible outcomes. In a digital derivative contract, a long investor agrees to pay a short investor a contract amount in return for the short investor agreeing to pay the long investor one of two different settlement amounts depending on the outcome as the contingent binary event. Typically, one settlement amount will be zero and the other will be an amount greater than the digital derivative contract price.

Abstract: Collateralized option index derivative investment instruments and methods for creating a collateralized option index are disclosed herein based on changes in a performance of collateralized option strategies. According to an aspect of the disclosure, a method for calculating a collateralized option index is disclosed. In one embodiment, the method for calculating a collateralized option index includes calculating a value of a portfolio invested in a collateralized short strategy according to the relation: Vt=Mt?NlastPt where Mt is a value of a LIBOR component of the portfolio at the close of date t, Nlast is a number of put options sold at a last roll date, and Pt is a price of the underlying option portfolio based on arithmetic averages of the last bid and ask prices of all options in the underlying option portfolio reported before a time on date t.

Abstract: A method and system for creating a spot price tracker index is disclosed. The method includes obtaining values of first and second derivatives at a time t and calculating an index value by linear extrapolation from the first and second futures contracts. The index value may be displayed at a trading facility and quotes based on the index value may be transmitted by the trading facility to a market participant.

Abstract: An investment instrument is disclosed that allows investors to take risk positions relative to the occurrence or non-occurrence of a contingent binary event. The contingent binary event will have one of two possible outcomes. In a digital derivatives contract, a long investor agrees to pay a short investor a contract amount in return for the short investor agreeing to pay the long investor one of two different settlement amounts depending on the outcome as the contingent binary event. Typically, one settlement amount will be zero and the other will be an amount greater than the derivatives contract price.

Abstract: A financial instrument in accordance with the principles of the present invention provides a passive total return index based on writing the nearby call option against that same underlying asset portfolio for a set period on the day the previous nearby call option contract expires. The call written will have that set period remaining to expiration, with an exercise price just above the prevailing underlying asset price level (i.e., slightly out of the money). The call option is held until expiration and cash settled, at which time a new call option is written for the set period.

Abstract: A method and system for auctioning an investment instrument that allows investors to take risk positions relative to the occurrence or non-occurrence of a contingent binary event is disclosed. The contingent binary event will have one of two possible outcomes. Tn a digital derivative contract, a long investor agrees to pay a short investor a contract amount in return for the short investor agreeing to pay the long investor one of two different settlement amounts depending on the outcome as the contingent binary event. Typically, one settlement amount will be zero and the other will be an amount greater than the digital derivative contract price. All of the digital derivative contracts that settle in-the-money may be funded by those that settle out-of-the-money.