Patents by Inventor Lori Aldinger
Lori Aldinger 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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Patent number: 9710854Abstract: 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.Type: GrantFiled: December 19, 2013Date of Patent: July 18, 2017Assignee: Chicago Mercantile Exchange Inc.Inventors: John Kerpel, John Labuszewski, John Nyhoff, Lori Aldinger, Richard Co
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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: 20160063629Abstract: 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.Type: ApplicationFiled: August 28, 2014Publication date: March 3, 2016Inventors: John Nyhoff, John Labuszewski, John Kerpel, Richard Co, Lori Aldinger
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Publication number: 20150379641Abstract: 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.Type: ApplicationFiled: June 27, 2014Publication date: December 31, 2015Inventors: John Kerpel, Lori Aldinger, John Nyhoff, John Labuszewski, Richard Co
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Publication number: 20150379633Abstract: 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.Type: ApplicationFiled: June 27, 2014Publication date: December 31, 2015Inventors: John Kerpel, John Labuszewski, John Nyhoff, Richard Co, Lori Aldinger
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Publication number: 20150332393Abstract: 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.Type: ApplicationFiled: May 16, 2014Publication date: November 19, 2015Applicant: Chicago Mercantile Exchange Inc.Inventors: John Kerpel, John Labuszewski, Frederick Sturm, Lori Aldinger, John Nyhoff
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Publication number: 20150324911Abstract: 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.Type: ApplicationFiled: May 8, 2014Publication date: November 12, 2015Applicant: Chicago Mercantile Exchange, Inc.Inventors: John Kerpel, John Labuszewski, John Nyhoff, Richard Co, Lori Aldinger
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Publication number: 20150262303Abstract: Stored data may define a multilaterally-traded contract type and specify final settlement of contracts conforming to the contract type by delivery of a defined quantity of a commodity. Additional data may be received, which additional data may indicate potential invocation of an alternate cash settlement mode for a plurality of contracts. Each contract of the plurality may be a contract conforming to the contract type. Further data may be received, with the further data indicating the alternate cash settlement mode is invoked for a group of contracts. The group may be all of the contracts of the plurality or a sub-portion of the plurality. Data may be transmitted to indicate cash final settlement of each contract of the group by payment of a cash settlement value instead of by delivery of the defined quantity of the commodity.Type: ApplicationFiled: May 29, 2015Publication date: September 17, 2015Inventors: John Nyhoff, Lori Aldinger, John Labuszewski, Steven Youngren
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Patent number: 9076183Abstract: Stored data may define a multilaterally-traded contract type and specify final settlement of contracts conforming to the contract type by delivery of a defined quantity of a commodity. Additional data may be received, which additional data may indicate potential invocation of an alternate cash settlement mode for a plurality of contracts. Each contract of the plurality may be a contract conforming to the contract type. Further data may be received, with the further data indicating the alternate cash settlement mode is invoked for a group of contracts. The group may be all of the contracts of the plurality or a sub-portion of the plurality. Data may be transmitted to indicate cash final settlement of each contract of the group by payment of a cash settlement value instead of by delivery of the defined quantity of the commodity.Type: GrantFiled: October 31, 2011Date of Patent: July 7, 2015Assignee: Chicago Mercantile Exchange Inc.Inventors: John Nyhoff, Lori Aldinger, John Labuszewski, Steven Youngren
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Publication number: 20150178833Abstract: 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.Type: ApplicationFiled: December 19, 2013Publication date: June 25, 2015Applicant: CHICAGO MERCANTILE EXCHANGE, INC.Inventors: John Kerpel, John Labuszewski, John Nyhoff, Lori Aldinger, Richard Co
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Publication number: 20150154699Abstract: Option class definition data may indicate a negotiable parameter and a plurality of non-negotiable parameters. The negotiable parameter may be an optioned transaction parameter, a strike price parameter, a put-or-call type parameter, an expiration parameter or an exercise style parameter. Buy order data and sell order data may indicate values for the negotiable parameter. Matching buy orders and sell orders may be identified based on values for the negotiable parameter indicated by the buy order data and the sell order data.Type: ApplicationFiled: December 4, 2013Publication date: June 4, 2015Applicant: Chicago Mercantile Exchange Inc.Inventors: John Labuszewski, John Kerpel, John Nyhoff, Lori Aldinger
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Publication number: 20150112844Abstract: 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.Type: ApplicationFiled: October 17, 2013Publication date: April 23, 2015Applicant: CHICAGO MERCANTILE EXCHANGE, INC.Inventors: John Labuszewski, John Nyhoff, John Kerpel, Lori Aldinger, Richard Co
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Publication number: 20150081503Abstract: A method for computing a settlement price of a financial instrument includes: (a) sampling a plurality of high-low range in a market over a period of time; (b) calculating an average of the plurality of high-low range obtained by the sampling; and (c) computing the settlement price of the financial instrument based on the average of the plurality of high-low ranges obtained by the calculating.Type: ApplicationFiled: September 19, 2013Publication date: March 19, 2015Applicant: Chicago Mercantile Exchange Inc.Inventors: John Labuszewski, John Nyhoff, John Kerpel, Lori Aldinger, Richard Co
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Publication number: 20140372272Abstract: Systems and methods are provided for matching orders. Orders are initially received at a central limit order book system. If an order remains unmatched or a portion of the order remains unmatched after a predetermined time period, order information is sent to a request for quote system. The request for quote system distributes a request for quote and provides any quotes to the original trading entity. An order may be matched at the central limit order book system or the request for quote system.Type: ApplicationFiled: June 14, 2013Publication date: December 18, 2014Inventors: John Labuszewski, Richard Co, John Nyhoff, Lori Aldinger, James Boudreault
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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: 20140324653Abstract: Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union.Type: ApplicationFiled: July 7, 2014Publication date: October 30, 2014Inventors: Richard Co, Steve Youngren, Lori Aldinger, John Labuszewski
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Publication number: 20140258065Abstract: For each of in source locations, a number of commodity contract short positions may be determined. Each of the short positions may correspond to an obligation of a short position holder to make delivery of a commodity within a predefined time period, and may further correspond to one of the in source locations. For each of n destination locations, a number of commodity contract long positions may be determined. Each of the long positions may correspond to an obligation of the long position holder to receive delivery of the commodity within the predefined time period, and may further correspond to one of the n destination locations. Short and long positions may be allocated among each of one or more of the source-destination pairs.Type: ApplicationFiled: March 5, 2013Publication date: September 11, 2014Applicant: CHICAGO MERCANTILE EXCHANGE, INC.Inventors: Lori Aldinger, Richard Co, John Labuszewski, John Nyhoff
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Publication number: 20140188764Abstract: Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union.Type: ApplicationFiled: March 4, 2014Publication date: July 3, 2014Applicant: CHICAGO MERCANTILE EXCHANGE INC.Inventors: Richard Co, Steve Youngren, Lori Aldinger, John Labuszewski
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Publication number: 20140188694Abstract: Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union.Type: ApplicationFiled: March 4, 2014Publication date: July 3, 2014Applicant: Chicago Mercantile Exchange Inc.Inventors: Steve Youngren, Lori Aldinger, Richard Co, Derek Sammann, John Labuszewski