Abstract: An improved volatility index and related futures contracts are provided. An index in accordance with the principals of the present invention estimates expected volatility from the prices of stock index options in a wide range of strike prices, not just at-the-money strikes. Also, an index in accordance with the principals of the present invention is not calculated from the Black/Scholes or any other option pricing model: the index of the present invention uses a newly developed formula to derive expected volatility by averaging the weighted prices of out-of-the money put and call options. In accordance with another aspect of the present invention, derivative contracts such as futures and options based on the volatility index of the present invention are provided.

Abstract: Systems and methods for creating, disseminating and managing margin for a seller-advanced margin derivative investment instrument are disclosed. In one aspect, a seller-advanced margin derivative investment instrument is defined where a seller pre-pays a margin requirement that a buyer typically pays initially as required by an exchange. In another aspect, a collateral management service associated with a clearing entity for an exchange identifies, tracks and notifies seller and buyer clearing firms of margin charges and credits relating to seller-advanced margin derivative investment instruments.

Abstract: The present invention includes a method comprising receiving a first electronic BUY STRIP order; receiving a second electronic SELL STRIP order; matching the first STRIP order with the second STRIP order, wherein the first STRIP order is a contra order to the second STRIP order; executing the matched first and second STRIP orders; generating a first plurality of tradable component financial product trades based on the executed first STRIP order; generating a second plurality of tradable component financial product trades based on the executed second STRIP order; matching the first plurality of tradable component financial product trades with the second plurality of tradable component financial product trades, wherein the first plurality of tradable component financial product trades are contra trades to the second plurality of tradable component financial product trades; and executing the matched first and second plurality of tradable component financial product trades.

Abstract: The present invention includes a method comprising receiving a first electronic BUY STRIP order; receiving a second electronic SELL STRIP order; matching the first STRIP order with the second STRIP order, wherein the first STRIP order is a contra order to the second STRIP order; executing the matched first and second STRIP orders; generating a first plurality of tradable component financial product trades based on the executed first STRIP order; generating a second plurality of tradable component financial product trades based on the executed second STRIP order; matching the first plurality of tradable component financial product trades with the second plurality of tradable component financial product trades, wherein the first plurality of tradable component financial product trades are contra trades to the second plurality of tradable component financial product trades; and executing the matched first and second plurality of tradable component financial product trades.

Abstract: The present invention includes a method comprising receiving a first electronic BUY STRIP order; receiving a second electronic SELL STRIP order; matching the first STRIP order with the second STRIP order, wherein the first STRIP order is a contra order to the second STRIP order; executing the matched first and second STRIP orders; generating a first plurality of tradable component financial product trades based on the executed first STRIP order; generating a second plurality of tradable component financial product trades based on the executed second STRIP order; matching the first plurality of tradable component financial product trades with the second plurality of tradable component financial product trades, wherein the first plurality of tradable component financial product trades are contra trades to the second plurality of tradable component financial product trades; and executing the matched first and second plurality of tradable component financial product trades.

Abstract: A financial instrument in accordance with the principles of the present invention provides a passive total return index based on writing the nearby call option against that same underlying asset portfolio for a set period on the day the previous nearby call option contract expires. The call written will have that set period remaining to expiration, with an exercise price just above the prevailing underlying asset price level (i.e., slightly out of the money). The call option is held until expiration and cash settled, at which time a new call option is written for the set period.

Abstract: The present invention relates to a method for creating a share-weighted index which is intended to replicate the investment return of a “buy-and-hold” portfolio of assets, as well as a method of trading derivative investment products based on such an index. The components of a share-weighted index according to the present invention are selected to reflect the index designer's desired investment exposure. The weight of each component is determined by the component's price multiplied by an adjustment factor. The adjustment factor is chosen to yield an initial index weight deemed appropriate by the designer of the index. The weighted prices of all component are then added together and divided by a common divisor.

Abstract: The present invention relates to a financial instrument adapted to be traded on an exchange. The invention further encompasses a method of creating such a financial instrument and converting it, on a predetermined date, into a standard option of a type listed and traded on the exchange. The financial instrument is a delayed start option having a variable strike price equal to the value of an underlying asset during a time period prior to a strike price setting date defined by the instrument. On the strike price setting date the delayed start option is converted to one of the standard options listed on the exchange having a fixed strike price.