Abstract: An exchange computer system configured to continuously, securely, dynamically, and efficiently generate and disseminate implied correlation index values is described. The exchange computer system may include at least one communication interface that is configured to receive, via a computer network, data related to a stock market index option, data related to a plurality of stocks, and data related to a plurality of stock options. The exchange computer system may further include at least one non-transitory computer-readable medium configured to store data received over particular periods of time, and an index engine including at least one hardware processor that is configured to continuously generate and disseminate implied correlation index values for display on a plurality of user computing devices that are connected via the computer network, and that are configured to facilitate trading of financial instruments related to the implied correlation index via a graphical user interface.

Abstract: A method of creating and trading derivative contracts based on a statistical property reflecting a volatility of an underlying asset is disclosed. Typically, an underlying asset is chosen to be a base of a volatility derivative and a processor calculates a value of the statistical property reflecting an average volatility of price returns of the underlying asset over a predefined period. A trading facility display device coupled to a trading platform then displays the volatility derivative based on the value of the statistical property reflecting the volatility of the underlying asset and the trading facility transmits volatility derivative quotes from liquidity providers over at least one dissemination network.

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: A method of creating and trading derivative contracts based on a statistical property reflecting a variance of an underlying asset is disclosed. Typically, an underlying asset is chosen to be a base of a variance derivative and a processor calculates a value of the statistical property reflecting an average volatility of price returns of the underlying asset over a predefined period. A trading facility display device coupled to a trading platform then displays the variance derivative based on the value of the statistical property reflecting the volatility of the underlying asset and the trading facility transmits variance derivative quotes from liquidity providers over at least one dissemination network.