Patents by Inventor Daniel Grombacher
Daniel Grombacher has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).
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Publication number: 20160247225Abstract: An implied volatility index, according to at least some embodiments, may be calculated based on implied volatility values associated with a selected number of options whose strike prices surround the current price level in the underlying market. In some cases, the implied volatility index may be used as the value to which various derivative items may be cash-settled, including Exchange-traded securities, futures, and options on all asset classes for open outcry and electronic trading and submission for ex-pit clearing at a central counterparty (CCP) clearing house.Type: ApplicationFiled: February 24, 2015Publication date: August 25, 2016Inventors: John Kerpel, Lori Aldinger, Daniel Grombacher, John Labuszewski, Roberta Paffaro
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Publication number: 20160086264Abstract: Data indicative of an instruction to calculate an upper price limit and a lower price limit corresponding to a financial product type may be received. In response to that instruction, data representing price information for each of N prior times may be accessed. A statistical analysis of the price information may be performed to obtain a price limit range. The upper lower price limits may be calculated based on the price limit range and based on a price value for instances of the financial product.Type: ApplicationFiled: September 18, 2014Publication date: March 24, 2016Inventors: John Labuszewski, Daniel Grombacher, John Kerpel, Sandra Ro, Lori Aldinger, David Boberski, James Boudreault, Jonathan Kronstein
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Publication number: 20160019644Abstract: The disclosed embodiments relate to systems and methods that match or allocate an incoming order to trade with a plurality of resting orders. Order book data indicative of the resting orders is obtained. An allocation priority listing of the plurality of resting orders is determined based on the order book data. The allocation priority listing prioritizes the plurality of resting orders by order price, and further prioritizes by order size those of the plurality of resting orders having an identical order price. A volume of the incoming order is allocated in accordance with the allocation priority listing by proceeding sequentially through the plurality of resting orders starting with the respective resting order listed first in the allocation priority listing. A successive resting order in the allocation priority listing is not filled until the respective resting order currently being filled is either filled completely or a fill limit is met.Type: ApplicationFiled: July 18, 2014Publication date: January 21, 2016Inventors: James Boudreault, Jonathan Kronstein, Daniel Grombacher, Frederick Sturm, John Labuszewski
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Publication number: 20160019643Abstract: Stored invoice swap spread (IVSP) parameters may indicate that an IVSP conforming to the IVSP parameters includes a futures contract leg conforming to futures contract parameters and an interest rate swap (IRS) leg conforming to IRS parameters. A yield may be calculated based on an invoice price for a delivered debt instrument corresponding to a futures contract leg of an executed IVSP conforming to the IVSP parameters and based on the terms of the delivered debt instrument. A fixed rate for an IRS leg of the executed IVSP may be calculated based on the IRS parameters, the yield, and a price of the executed IVSP. Fixed rate payment dates for the IRS leg of the executed IVSP may be determined based on the IRS parameters and the terms of the delivered debt instrument.Type: ApplicationFiled: July 18, 2014Publication date: January 21, 2016Inventors: John Labuszewski, Frederick Sturm, James Boudreault, Jonathan Kronstein, Daniel Grombacher, Agha Irtaza Mirza
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Publication number: 20140372273Abstract: Systems and methods are provided for liquidating existing deliverable swap futures contracts, such as deliverable interest rate swap futures contracts. An exchange determines non-par prices for existing deliverable swap futures contracts using estimates for future floating interest rate as selected by the exchange. The prices are listed and traders may submit notices of intention to liquidate existing deliverable swap futures contracts. The exchange matches notices and clears matched notices.Type: ApplicationFiled: June 14, 2013Publication date: December 18, 2014Inventors: John Labuszewski, Richard Co, John Nyhoff, Lori Aldinger, Daniel Grombacher
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Publication number: 20140316961Abstract: Systems and methods are provided for dynamically adjusting a bid ask spread while maintaining a fixed trading increment. Various criteria may be analyzed to determine if a bid ask spread meets the desired criteria. When the criteria is not met, the bid ask spread may be adjusted by aggregating orders. Aggregation may include raising a price of the lowest ask prices and/or lowering a price of the highest bid orders.Type: ApplicationFiled: April 23, 2013Publication date: October 23, 2014Inventors: James Boudreault, Frederick Sturm, John Labuszewski, Daniel Grombacher, Richard Co
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Publication number: 20140258074Abstract: The disclosed embodiments relate to a system which calculates a conversion factor (CF) based upon a zero percent (0%) futures contract standard. The zero percent futures contract standard may be used in the context of futures or forwards based upon coupon bearing debt securities including Treasuries, Treasury Inflation Protected Securities (TIPS), agencies, corporates, municipals, or any fixed income security. The system also facilitates listing, trading, and settlement of an interest rate futures contract that sets forth such a zero percent futures contract standard. The system may be configured for both interest rate futures contracts utilizing a nonzero percent futures contract standard and interest rate futures contract utilizing a zero percent futures contract standard. The system may be configured to calculate an invoice amount for the interest rate futures contract to be paid in exchange for the delivery of the one of the set of eligible interest rate or debt securities and instruments.Type: ApplicationFiled: May 2, 2014Publication date: September 11, 2014Applicant: Chicago Mercantile Exchange Inc.Inventors: Frederick Sturm, Daniel Grombacher, James Boudreault, Michael Kamradt, John Labuszewski
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Publication number: 20140222645Abstract: The disclosed system makes available multiple interest rate futures contracts (“IRFC”) for a given set of interest rate securities, such as US Treasury Notes, which may be used to satisfy the delivery obligation. The terms on which the delivery obligation of each such IRFC are met are governed by an associated conversion factor yield (“CFY”) value which is associated, in turn, with a corresponding set of conversion factors (“CF”), each of which corresponds to one member of the set of securities eligible for delivery, and which may be used at the time of delivery of such eligible interest rate security, to determine the delivery invoice price. Offering different CFY's and corresponding CF's may enable a market participant who seeks to use such futures to acquire or shed financial risk exposure to select from such array of futures contracts the member contract that most closely mirror the participant's intended risk profile.Type: ApplicationFiled: April 4, 2014Publication date: August 7, 2014Applicant: CHICAGO MERCANTILE EXCHANGE INC.Inventors: Daniel Grombacher, James Boudreault, Frederick Sturm, John Labuszewski
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Patent number: 8751367Abstract: The disclosed embodiments relate to a system which calculates a conversion factor (CF) based upon a zero percent (0%) futures contract standard. The zero percent futures contract standard may be used in the context of futures or forwards based upon coupon bearing debt securities including Treasuries, Treasury Inflation Protected Securities (TIPS), agencies, corporates, municipals, or any fixed income security. The system also facilitates listing, trading, and settlement of an interest rate futures contract that sets forth such a zero percent futures contract standard. The system may be configured for both interest rate futures contracts utilizing a nonzero percent futures contract standard and interest rate futures contract utilizing a zero percent futures contract standard. The system may be configured to calculate an invoice amount for the interest rate futures contract to be paid in exchange for the delivery of the one of the set of eligible interest rate or debt securities and instruments.Type: GrantFiled: October 2, 2012Date of Patent: June 10, 2014Assignee: Chicago Mercantile Exchange Inc.Inventors: Frederick Sturm, Daniel Grombacher, James Boudreault, Michael P. Kamradt, John Labuszewski
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Patent number: 8738503Abstract: The disclosed system makes available multiple interest rate futures contracts (“IRFC”) for a given set of interest rate securities, such as US Treasury Notes, which may be used to satisfy the delivery obligation. The terms on which the delivery obligation of each such IRFC are met are governed by an associated conversion factor yield (“CFY”) value which is associated, in turn, with a corresponding set of conversion factors (“CF”), each of which corresponds to one member of the set of securities eligible for delivery, and which may be used at the time of delivery of such eligible interest rate security, to determine the delivery invoice price. Offering different CFY's and corresponding CF's may enable a market participant who seeks to use such futures to acquire or shed financial risk exposure to select from such array of futures contracts the member contract that most closely mirror the participant's intended risk profile.Type: GrantFiled: November 8, 2011Date of Patent: May 27, 2014Assignee: Chicago Mercantile Exchange Inc.Inventors: Daniel Grombacher, James Boudreault, Frederick Sturm, John Labuszewski
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Publication number: 20140136389Abstract: A calendar spread futures contract is a forward contract on the intermonth spread of futures contracts. The calendar spread futures contract can be independently traded and accounted for independent of the traditional roll periods of the complementary futures contracts. An open interest holder can hedge against price volatility in the related futures contracts that may occur prior to or during the roll period. In other words, the calendar spread futures contract locks in the current spread between the front-month contract and the first-deferred contract. Buying a calendar spread futures control is equivalent to buying the spread difference between the expiring contract and the second expiry. Selling a calendar spread futures contract is equivalent to selling the spread difference between the expiring contract and the second expiry.Type: ApplicationFiled: January 16, 2014Publication date: May 15, 2014Applicant: Chicago Mercantile Exchange Inc.Inventors: Eugene Mueller, Daniel Grombacher, Frederick Sturm
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Patent number: 8639601Abstract: A calendar spread futures contract is a forward contract on the intermonth spread of futures contracts. The calendar spread futures contract can be independently traded and accounted for independent of the traditional roll periods of the complementary futures contracts. An open interest holder can hedge against price volatility in the related futures contracts that may occur prior to or during the roll period. In other words, the calendar spread futures contract locks in the current spread between the front-month contract and the first-deferred contract. Buying a calendar spread futures control is equivalent to buying the spread difference between the expiring contract and the second expiry. Selling a calendar spread futures contract is equivalent to selling the spread difference between the expiring contract and the second expiry.Type: GrantFiled: June 1, 2010Date of Patent: January 28, 2014Assignee: Chicago Mercantile Exchange Inc.Inventors: Eugene Mueller, Daniel Grombacher, Frederick Sturm
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Publication number: 20140006243Abstract: The disclosed embodiments relate to systems and methods which match/allocate an incoming order to trade with “resting,” i.e. previously received but not yet matched, orders, recognizing that the algorithm or rules by which the incoming order is matched may affect the operation of the market for the financial product being traded. In particular, the disclosed embodiments relate to an adaptive match engine which draws upon different matching algorithms, e.g. the rules which dictate how a given order should be allocated among qualifying resting orders, depending upon market conditions, to improve the operation of the market. Thereby, by conditionally switching among matching algorithms within the same financial product, as will be described, the disclosed match engine automatically adapts to the changing market conditions of a financial product, e.g. a limited life product, in a non-preferential manner, maintaining fair order allocation while improving market liquidity, e.g., over the life of the product.Type: ApplicationFiled: June 27, 2012Publication date: January 2, 2014Inventors: James Boudreault, Frederick Storm, John Labuszewski, Daniel Grombacher, Jonathan Kronstein, Peter Barker, Suzanne Spain
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Publication number: 20130179319Abstract: The disclosed embodiments relate to an exchange-traded futures contract, guaranteed by a clearing house, and characterized by an embedded price dynamic comprising a compound accrual of a periodic interest rate up to a date on which trading therein is terminated, as specified in the futures contract terms and conditions. A trader may be allowed and/or enabled to take a position in a futures contract with respect to an interest bearing underlier with a variable interest rate and, thereby, minimize the number of transactions and attendant costs with respect to monitoring and correcting for divergences between the futures position and the notional interest rate swap exposure for which the futures position is intended to serve as a proxy. Variation margin for the position is computed based on an underlying reference interest rate as opposed to being computed solely on the basis of the end-of-business day price of the futures contract.Type: ApplicationFiled: January 11, 2012Publication date: July 11, 2013Inventors: Peter Barker, James Boudreault, Daniel Grombacher, Michael P. Kamradt, Frederick Sturm, John Labuszewski
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Publication number: 20130117172Abstract: The disclosed system makes available multiple interest rate futures contracts (“IRFC”) for a given set of interest rate securities, such as US Treasury Notes, which may be used to satisfy the delivery obligation. The terms on which the delivery obligation of each such IRFC are met are governed by an associated conversion factor yield (“CFY”) value which is associated, in turn, with a corresponding set of conversion factors (“CF”), each of which corresponds to one member of the set of securities eligible for delivery, and which may be used at the time of delivery of such eligible interest rate security, to determine the delivery invoice price. Offering different CFY's and corresponding CF's may enable a market participant who seeks to use such futures to acquire or shed financial risk exposure to select from such array of futures contracts the member contract that most closely mirror the participant's intended risk profile.Type: ApplicationFiled: November 8, 2011Publication date: May 9, 2013Inventors: Daniel Grombacher, James Boudreault, Frederick Sturm, John Labuszewski
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Patent number: 8407129Abstract: The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures.Type: GrantFiled: July 12, 2011Date of Patent: March 26, 2013Assignee: Chicago Mercantile Exchange Inc.Inventors: Frederick Sturm, James Boudreault, Daniel Grombacher, Julie Winkler
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Publication number: 20130018768Abstract: The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures.Type: ApplicationFiled: July 12, 2011Publication date: January 17, 2013Inventors: Frederick Sturm, James Boudreault, Daniel Grombacher, Julie Winkler
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Publication number: 20110295726Abstract: A calendar spread futures contract is a forward contract on the intermonth spread of futures contracts. The calendar spread futures contract can be independently traded and accounted for independent of the traditional roll periods of the complementary futures contracts. An open interest holder can hedge against price volatility in the related futures contracts that may occur prior to or during the roll period. In other words, the calendar spread futures contract locks in the current spread between the front-month contract and the first-deferred contract. Buying a calendar spread futures control is equivalent to buying the spread difference between the expiring contract and the second expiry. Selling a calendar spread futures contract is equivalent to selling the spread difference between the expiring contract and the second expiry.Type: ApplicationFiled: June 1, 2010Publication date: December 1, 2011Applicant: Chicago Mercantile Exchange Inc.Inventors: Eugene Mueller, Daniel Grombacher, Frederick Sturm