Abstract: A system for moving money between accounts of traders by a central counterparty to facilitate 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 “payer” 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 payer contract. The function of the payer contract may be to guarantee the movement of money from related positions. In one embodiment, payer contracts are dynamically created whenever a payment is needed.

Abstract: A system for moving money between accounts of traders by a central counterparty to facilitate 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 “payer” 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 payer contract. The function of the payer contract may be to guarantee the movement of money from related positions. In one embodiment, payer contracts are dynamically created whenever a payment is needed.

Abstract: A system for moving money between accounts of traders by a central counterparty to facilitate 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 “payer” 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 payer contract. The function of the payer contract may be to guarantee the movement of money from related positions. In one embodiment, payer contracts are dynamically created whenever a payment is needed.

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 and matching orders to counter orders. Matching orders may be based on a priority determined using a market quality index of the order and an associated market participant.

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 and matching orders to counter orders. Matching orders may be based on a priority determined using a market quality index of the order and an associated market participant.

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: 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: Systems and methods are provided for processing futures contracts that have physical delivery settlement provisions. At the time of settlement, the quality of potential underlying items that would be delivered are ranked. The rankings may be based on characteristics of the sources of the potential underlying items. Subsets of the potential underlying items that comply with percentile ranges included in the futures contracts may then be identified as deliverable underlying items.

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 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: 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 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 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: 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: A periodic reset total return index may be based on a standard index, such as an equity index. The value of the periodic reset total return index may be the sum of the standard index plus the income flow generated by the index, such as dividends generated by stocks. The periodic reset total return index valuation may be deployed as the basis for a futures contract. On a periodic basis, the income flow accrued for the preceding period are passed from the short to the long position holder, with a corresponding adjustment of the settlement price of the contract. The expiration of the contract may be settled at the sum of the underlying index quotation plus the income flow accrual for the previous period. A buyer of a futures contract based on a periodic reset total return index receives the performance of the index plus the intervening income flow accrual.

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: 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 minimum margin requirement associated with an account may be determined by calculating, by a computer system, a first margin requirement for each of a plurality of derivatives positions associated with an account, calculating, by the computer system, a second spread margin requirement for each of one or more spread positions corresponding to the plurality of derivatives positions associated with the account, and determining, by the computer system, a minimum account margin requirement for the account using a linear programming technique and based on the first margin requirement for each of the plurality of derivatives positions and the second spread margin requirement for each of the one or more spread positions.