Patents by Inventor John Balaam Alexander Kerpel
John Balaam Alexander Kerpel 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: 20240127338Abstract: A computer implemented method for a tracking platform comprises receiving a plurality of data records for the financial instrument; determining a number of units of the futures contract associated with a starting capital amount based on the near settlement price of the data record with the earliest timestamp; processing the data records in sequence based on the timestamp by setting a value for a roll indicator; updating the number of units of the financial instrument if necessary; and determining a profit and loss (“PNL”) for the data record based on the number of units of the financial instrument and a change in settlement price; calculating a tracking value for the financial instrument based on the PNLs of the processed data records; and generating at least one financial instrument having a value that is determined from the calculated tracking value.Type: ApplicationFiled: December 22, 2023Publication date: April 18, 2024Applicant: Chicago Mercantile Exchange Inc.Inventor: John Balaam Alexander Kerpel
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Patent number: 11887189Abstract: A computer implemented method for a tracking platform comprises receiving a plurality of data records for the financial instrument; determining a number of units of the futures contract associated with a starting capital amount based on the near settlement price of the data record with the earliest timestamp; processing the data records in sequence based on the timestamp by setting a value for a roll indicator; updating the number of units of the financial instrument if necessary; and determining a profit and loss (“PNL”) for the data record based on the number of units of the financial instrument and a change in settlement price; calculating a tracking value for the financial instrument based on the PNLs of the processed data records; and generating at least one financial instrument having a value that is determined from the calculated tracking value.Type: GrantFiled: March 12, 2021Date of Patent: January 30, 2024Assignee: Chicago Mercantile Exchange Inc.Inventor: John Balaam Alexander Kerpel
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Publication number: 20230351505Abstract: 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.Type: ApplicationFiled: June 29, 2023Publication date: November 2, 2023Applicant: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Dhiraj Subhash Bawadhankar, Florian Huchedé, John Balaam Alexander Kerpel, Andrey Lopatin, Romil Pradip Parekh, Robert William Taylor
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Publication number: 20230306512Abstract: Systems and methods are provided for efficiently processing withholding payments for constructive dividends. A party that receives constructive dividend payments also has a corresponding short position in a withholding financial instrument. A clearing house computer system adjusts the value of a withholding financial instrument in response to receipt of constructive dividend payments. The clearing house computer system determines a variation margin amount for the short party and processes a variation margin payment from the short party to a withholding account through the variation margin settlement system.Type: ApplicationFiled: May 31, 2023Publication date: September 28, 2023Applicant: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Timothy Francis McCourt, Thomas Patrick Rafferty, John Balaam Alexander Kerpel
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Patent number: 11727491Abstract: 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.Type: GrantFiled: October 10, 2022Date of Patent: August 15, 2023Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Dhiraj Subhash Bawadhankar, Florian Huchedé, John Balaam Alexander Kerpel, Andrey Lopatin, Romil Pradip Parekh, Robert William Taylor
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Patent number: 11704734Abstract: Systems and methods are provided for efficiently processing withholding payments for constructive dividends. A party that receives constructive dividend payments also has a corresponding short position in a withholding financial instrument. A clearing house computer system adjusts the value of a withholding financial instrument in response to receipt of constructive dividend payments. The clearing house computer system determines a variation margin amount for the short party and processes a variation margin payment from the short party to a withholding account through the variation margin settlement system.Type: GrantFiled: May 18, 2021Date of Patent: July 18, 2023Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Timothy Francis McCourt, Thomas Patrick Rafferty, John Balaam Alexander Kerpel
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Publication number: 20230030726Abstract: 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.Type: ApplicationFiled: October 10, 2022Publication date: February 2, 2023Applicant: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Dhiraj Subhash Bawadhankar, Florian Huchedé, John Balaam Alexander Kerpel, Andrey Lopatin, Romil Pradip Parekh, Robert William Taylor
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Patent number: 11488246Abstract: 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.Type: GrantFiled: June 24, 2021Date of Patent: November 1, 2022Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Dhiraj Subhash Bawadhankar, Florian Huchedé, John Balaam Alexander Kerpel, Andrey Lopatin, Romil Pradip Parekh, Robert William Taylor
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Publication number: 20220148086Abstract: The disclosed embodiments facilitate efficient calculation, determination, generation, management, analysis and/or communications relating to volatility indexes used to measure volatility of a market parameter, such as interest rates. More particularly, the disclosed embodiments relate to a type of futures contract whose underlier is a strip of options contracts whose underlier is another futures contract. Referred to as a “Premium over Parity” (“POP”) futures contract, the underlying strip of options contracts are characterized by strike prices defined in terms of a relationship with the market price of the options contracts valued at the settlement/expiration of the POP futures contract, e.g. +/?1, 2, 3, and 4 bp from the options contract value at expiration. This POP futures contract is then used as a single input to a volatility computation which enables rapid computation thereof.Type: ApplicationFiled: January 10, 2022Publication date: May 12, 2022Applicant: Chicago Mercantile Exchange Inc.Inventors: John Joseph Wiesner, John Balaam Alexander Kerpel
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Patent number: 11257155Abstract: The disclosed embodiments facilitate efficient calculation, determination, generation, management, analysis and/or communications relating to volatility indexes used to measure volatility of a market parameter, such as interest rates. More particularly, the disclosed embodiments relate to a type of futures contract whose underlier is a strip of options contracts whose underlier is another futures contract. Referred to as a “Premium over Parity” (“POP”) futures contract, the underlying strip of options contracts are characterized by strike prices defined in terms of a relationship with the market price of the options contracts valued at the settlement/expiration of the POP futures contract, e.g. +/?1, 2, 3, and 4 bp from the options contract value at expiration. This POP futures contract is then used as a single input to a volatility computation which enables rapid computation thereof.Type: GrantFiled: May 6, 2019Date of Patent: February 22, 2022Assignee: Chicago Mercantile Exchange Inc.Inventors: John Joseph Wiesner, John Balaam Alexander Kerpel
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Publication number: 20210319511Abstract: 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.Type: ApplicationFiled: June 24, 2021Publication date: October 14, 2021Applicant: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Dhiraj Subhash Bawadhankar, Florian Huchedé, John Balaam Alexander Kerpel, Andrey Lopatin, Romil Pradip Parekh, Robert William Taylor
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Publication number: 20210272203Abstract: Systems and methods are provided for efficiently processing withholding payments for constructive dividends. A party that receives constructive dividend payments also has a corresponding short position in a withholding financial instrument. A clearing house computer system adjusts the value of a withholding financial instrument in response to receipt of constructive dividend payments. The clearing house computer system determines a variation margin amount for the short party and processes a variation margin payment from the short party to a withholding account through the variation margin settlement system.Type: ApplicationFiled: May 18, 2021Publication date: September 2, 2021Applicant: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Timothy Francis McCourt, Thomas Patrick Rafferty, John Balaam Alexander Kerpel
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Patent number: 11080785Abstract: 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.Type: GrantFiled: November 14, 2017Date of Patent: August 3, 2021Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Dhiraj Subhash Bawadhankar, Florian Huchedé, John Balaam Alexander Kerpel, Andrey Lopatin, Romil Pradip Parekh, Robert William Taylor
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Publication number: 20210201411Abstract: A computer implemented method for a tracking platform comprises receiving a plurality of data records for the financial instrument; determining a number of units of the futures contract associated with a starting capital amount based on the near settlement price of the data record with the earliest timestamp; processing the data records in sequence based on the timestamp by setting a value for a roll indicator; updating the number of units of the financial instrument if necessary; and determining a profit and loss (“PNL”) for the data record based on the number of units of the financial instrument and a change in settlement price; calculating a tracking value for the financial instrument based on the PNLs of the processed data records; and generating at least one financial instrument having a value that is determined from the calculated tracking value.Type: ApplicationFiled: March 12, 2021Publication date: July 1, 2021Applicant: Chicago Mercantile Exchange Inc.Inventor: John Balaam Alexander Kerpel
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Patent number: 11042933Abstract: Systems and methods are provided for efficiently processing withholding payments for constructive dividends. A party that receives constructive dividend payments also has a corresponding short position in a withholding financial instrument. A clearing house computer system adjusts the value of a withholding financial instrument in response to receipt of constructive dividend payments. The clearing house computer system determines a variation margin amount for the short party and processes a variation margin payment from the short party to a withholding account through the variation margin settlement system.Type: GrantFiled: October 17, 2017Date of Patent: June 22, 2021Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Timothy Francis McCourt, Thomas Patrick Rafferty, John Balaam Alexander Kerpel
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Patent number: 10984471Abstract: A computer implemented method for a tracking platform comprises receiving a plurality of data records for the financial instrument; determining a number of units of the futures contract associated with a starting capital amount based on the near settlement price of the data record with the earliest timestamp; processing the data records in sequence based on the timestamp by setting a value for a roll indicator; updating the number of units of the financial instrument if necessary; and determining a profit and loss (“PNL”) for the data record based on the number of units of the financial instrument and a change in settlement price; calculating a tracking value for the financial instrument based on the PNLs of the processed data records; and generating at least one financial instrument having a value that is determined from the calculated tracking value.Type: GrantFiled: July 31, 2018Date of Patent: April 20, 2021Assignee: Chicago Mercantile Exchange Inc.Inventor: John Balaam Alexander Kerpel
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Publication number: 20200065900Abstract: The disclosed embodiments facilitate efficient calculation, determination, generation, management, analysis and/or communications relating to volatility indexes used to measure volatility of a market parameter, such as interest rates. More particularly, the disclosed embodiments relate to a type of futures contract whose underlier is a strip of options contracts whose underlier is another futures contract. Referred to as a “Premium over Parity” (“POP”) futures contract, the underlying strip of options contracts are characterized by strike prices defined in terms of a relationship with the market price of the options contracts valued at the settlement/expiration of the POP futures contract, e.g. +/?1, 2, 3, and 4 bp from the options contract value at expiration. This POP futures contract is then used as a single input to a volatility computation which enables rapid computation thereof.Type: ApplicationFiled: May 6, 2019Publication date: February 27, 2020Applicant: Chicago Mercantile Exchange Inc.Inventors: John Joseph Wiesner, John Balaam Alexander Kerpel