Abstract: Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders. The actions in the electronic trading system may have times specified within the electronic message for the action to be executed.

Abstract: A system for moving money between accounts of traders by a central counterparty to facilitate a plurality of payments, i.e. the movement of funds, there between is disclosed which provides a flexible mechanism which supports simpler accounting, new types of derivatives contracts as well new types fees. The disclosed futures contract, referred to as a “payor” contract, comprises a “no-uncertainty” futures contract, i.e. the initial value and settlement value parameters are defined, that leverages the mechanisms of the clearing system to, for example, accommodate related payments. Accordingly, a 1-to-many relationship between contracts and prices is provided whereby each price component may be assigned its own payor contract. The function of the payor contract may be to guarantee the movement of money from related positions. In one embodiment, payor contracts are dynamically created whenever a payment is needed.

Abstract: A method of determining a hybrid index may include obtaining, by a computer device, financial transaction information about two or more financial products over a duration. The computer device may be configured to filter the financial transaction information to produce enhanced financial transaction information. The computer device may then determine a financial index value using the financial transaction information and the enhanced financial transaction information.

Abstract: Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders. The actions in the electronic trading system may have times specified within the electronic message for the action to be executed.

Abstract: Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders. The actions in the electronic trading system may have times specified within the electronic message for the action to be executed.

Abstract: A method of providing a financial product may include obtaining, by a computer device, pricing information about a financial market over a specified duration, the pricing information including at least a high price and a low price occurring within the duration. The computer device may be configured for determining a volatility associated with the market, the volatility based, at least in part, on the pricing information and determining a settlement price for a cash settled futures product using the volatility of the market over the specified duration.

Abstract: Systems and methods are described for processing financial instruments are disclosed. An option on a calendar spread index futures contract allows market participants to manage risks associated with the volatility associated with the calendar spread market for index futures.

Abstract: A system for moving money between accounts of traders by a central counterparty to facilitate a plurality of payments, i.e. the movement of funds, there between is disclosed which provides a flexible mechanism which supports simpler accounting, new types of derivatives contracts as well new types fees. The disclosed futures contract, referred to as a “payor” contract, comprises a “no-uncertainty” futures contract, i.e. the initial value and settlement value parameters are defined, that leverages the mechanisms of the clearing system to, for example, accommodate related payments. Accordingly, a 1-to-many relationship between contracts and prices is provided whereby each price component may be assigned its own payor contract. The function of the payor contract may be to guarantee the movement of money from related positions. In one embodiment, payor contracts are dynamically created whenever a payment is needed.

Abstract: 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.

Abstract: Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing primary actions associated with respect to the orders. Secondary actions in the electronic trading system may also be executed with respect to the orders.

Abstract: Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders. The actions in the electronic trading system may have times specified within the electronic message for the action to be executed.

Abstract: Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders. The actions in the electronic trading system may have times specified within the electronic message for the action to be executed.

Abstract: 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.

Abstract: Systems and methods are provided for processing financial instruments. An original financial instrument may be a futures contract that is a combination of financial instruments or is based on a combination of financial instruments. The original financial instrument includes a provision identifying one or more decomposition events. When a decomposition event occurs, a futures contract composition computer or other device decomposes the original financial instrument into two or more financial instruments.

Abstract: Systems and methods are described for providing a derivatives product corresponding to an implied volatility of a financial product traded on an exchange. The method may include calculating, by one or more computing devices, a risk neutral density based on options information associated with an option trading on a financial market. The one or more computing devices may calculate an implied volatility associated with the option based on the risk neutral density and provide an implied volatility derivatives product corresponding to implied volatility of a financial product underlying the option, wherein the derivatives product is cash-settled based on the implied volatility.

Abstract: Systems and methods are described for providing a derivatives product corresponding to an implied volatility skew of a financial product traded on an exchange. The method may include calculating, by one or more computing devices, a risk neutral density based on options information associated with an option trading on a financial market. The one or more computing devices may calculate an implied volatility skew associated with the option based on the risk neutral density and provide an implied volatility skew derivatives product corresponding to the implied volatility skew associated with the financial product underlying the option, wherein the implied volatility skew derivatives product is cash-settled based on the implied volatility skew.

Abstract: A computer system may calculate an option strike price listing range using a volatility value. The volatility value may be determined based on market value data that corresponds to an optioned transaction type and that include multiple market values. Option class definition data may be generated and stored based on the calculated option strike price listing range.

Abstract: Systems and methods are described for providing a futures product corresponding to a position in a delta-hedged strategy on an underlying financial product may include creating a portfolio including put options and call options, wherein the put options and the call options correspond to a same underlying product. One or more computing devices may determine a position in the underlying product to include in the portfolio. The position in the underlying product may correspond to a volatility of the put options and the call options. In some cases, the one or more computing devices may generate a futures contract based on the portfolio including the put options, the call options and the position in the underlying product.

Abstract: Systems and methods are provided for processing derivative financial instrument positions. Contracts are structured to include minimum position limits or thresholds as final settlement dates approach. The minimum position limits or thresholds exceed the trading units. Traders who initially hold relatively small positions are required to increase their positions as the settlement date approaches so that the position at settlement corresponds to quantities used in commercial institutional markets. Limits or thresholds are enforced by imposing a fee for non-compliance, forcing cash settlement or requiring a mandatory roll forward of at least some of the positions. The roll forward may include a spread product that includes a first derivative financial instrument having a first settlement date and a second derivative financial instrument having a second settlement date that is different from the first settlement date.

Abstract: A method of determining a hybrid index may include obtaining, by a computer device, financial transaction information about two or more financial products over a duration. The computer device may be configured to filter the financial transaction information to produce enhanced financial transaction information. The computer device may then determine a financial index value using the financial transaction information and the enhanced financial transaction information.