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1. 发明申请

US20170287066A1 AUTOMATED TRADING SYSTEM FOR ROUTING AND MATCHING ORDERS 审中-公开
公开(公告)号：US20170287066A1
公开(公告)日：2017-10-05
申请号：US15355952
申请日：2016-11-18
申请人： Chicago Board Options Exchange, Incorporated
发明人： Edward T. Tilly , Anthony Montesano , Eileen C. Smith
IPC分类号： G06Q40/04 , G06Q40/06
CPC分类号： G06Q40/04 , G06Q40/06
摘要： An automated system for matching orders from a virtual trading crowd in an exchange configured for trading securities or derivatives is disclosed including an electronic trade engine operative to receive an order or a quote for a security or derivative at the exchange, the trade engine further operative to disseminate a request for a price message to a plurality of market makers quoting a class in response to receiving the order or the quote, an electronic book in communication with the electronic trade engine, the electronic book operative to store at least one order or quote received by the electronic trade engine, a database including an allocation algorithm, the database in communication with the electronic trade engine, and a trade processor in communication with the database, the trade processor operative to analyze and execute orders or quotes according to the allocation algorithm selected from the database.

2. 发明授权

US09727916B1 Automated trading exchange system having integrated quote risk monitoring and integrated quote modification services 有权
公开(公告)号：US09727916B1
公开(公告)日：2017-08-08
申请号：US14066184
申请日：2013-10-29
申请人： Chicago Board Options Exchange, Incorporated
发明人： Anthony Montesano , Ross G. Kaminsky , Richard A. Angell , Gordon D. Evora
IPC分类号： G06Q40/00 , G06Q40/04
CPC分类号： G06Q40/04 , G06Q40/025 , G06Q40/06 , G06Q40/08
摘要： An automated trading exchange having integrated quote risk monitoring and quote modification services is disclosed. The automated trading exchange is configured to receive orders and quotes, and have associated trading parameters such as a risk threshold. The automated trading exchange typically generates a trade by matching the received orders and quotes, where quotes belong to an overall quote group, to previously received orders and quotes. The automated trading exchange otherwise stores each of the received orders and quotes if a trade is not generated. The automated trading exchange then determines whether a quote has been filled as a result of the generated trade, and if so, determines a risk level and an aggregate risk level associated with said trade. The computer compares the aggregate risk level with the market-maker's risk threshold, and if the threshold is exceeded, automatically modifies at least one of the remaining quotes in the quote group.

3. 发明申请

US20160225084A1 Method and System for Creating and Trading Derivative Investment Products Based on a Statistical Property Reflecting the Variance of an Underlying Asset 审中-公开
标题翻译：基于反映相关资产差异的统计资产创造和交易衍生投资产品的方法和系统
公开(公告)号：US20160225084A1
公开(公告)日：2016-08-04
申请号：US14849340
申请日：2015-09-09
申请人： Chicago Board Options Exchange, Incorporated
发明人： Daniel Feuser , Eric Chern , Paul Kepes , Andrew Hall , Lewis Biscamp , John C. Hiatt, Jr. , Catherine Shalen
IPC分类号： G06Q40/04
CPC分类号： G06Q40/04 , G06Q40/00
摘要： 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.
摘要翻译：披露了一种基于实现的相关股权差异创建有限风险衍生工具的制度和方法。在一个实施中，有限风险衍生产品包括反映基础股权变动的统计属性的上限值是基于同步行为计算的。上限值包括动态值和上限。动态价值反映了在预定时间段内基础股权价格回报的平均波动幅度，上限反映了动态价值的最大值。有限风险衍生产品还包括平均每个平均每日平均回报的相关权益的总和，包括在反映相关权益变动的统计财产的价值中。

4. 发明申请

US20160225083A1 Method of Creating and Trading Derivative Investment Products Based on a Statistical Property Reflecting the Variance of an Underlying Asset 审中-公开
公开(公告)号：US20160225083A1
公开(公告)日：2016-08-04
申请号：US14849283
申请日：2015-09-09
申请人： CHICAGO BOARD OPTIONS EXCHANGE, INCORPORATED
发明人： Daniel Feuser , Eric Chern , Paul Kepes , Andrew Hall , Lewis Biscamp , John C. Hiatt, JR.
IPC分类号： G06Q40/04
CPC分类号： G06Q40/04
摘要： 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.

5. 发明申请

US20130246305A1 VOLATILITY INDEX AND DERIVATIVE CONTRACTS BASED THEREON 审中-公开
公开(公告)号：US20130246305A1
公开(公告)日：2013-09-19
申请号：US13618704
申请日：2012-09-14
申请人： William Speth , Joseph Levin , Sandy Rattray , Devesh Shah
发明人： William Speth , Joseph Levin , Sandy Rattray , Devesh Shah
IPC分类号： G06Q40/06
CPC分类号： G06Q40/06 , G06Q40/00 , G06Q40/04
摘要： 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.

6. 发明授权

US08533091B2 Method and system for generating and trading derivative investment instruments based on a volatility arbitrage benchmark index 有权
标题翻译：基于波动套利基准指数生成和交易衍生投资工具的方法和系统
公开(公告)号：US08533091B2
公开(公告)日：2013-09-10
申请号：US13399198
申请日：2012-02-17
申请人： John C. Hiatt, Jr.
发明人： John C. Hiatt, Jr.
IPC分类号： G06Q40/00 , G06Q40/04 , G06Q40/06
CPC分类号： G06Q40/00 , G06Q40/04 , G06Q40/06
摘要： A system and method for creating a volatility arbitrage bench mark index is disclosed. The method includes obtaining closing prices of an underlying instrument, such as a derivative investment instrument, and calculating a value representing a volatility arbitrage benchmark. The value may be displayed at a trading facility and volatility arbitrage benchmark quotes may be transmitted by the trading facility to a market participant.
摘要翻译：公开了一种用于创建波动套利基准指标的系统和方法。该方法包括获得诸如衍生投资工具等基础工具的收盘价，并计算代表波动套利基准的价值。该价值可能会在交易设施上显示，波动性套利基准报价可能由交易机构转交给市场参与者。

7. 发明授权

US08473403B2 Methods and systems for creating and trading strips of financial products 有权
标题翻译：创建和交易金融产品的方法和系统
公开(公告)号：US08473403B2
公开(公告)日：2013-06-25
申请号：US13226315
申请日：2011-09-06
申请人： Eileen C. Smith , William M. Speth , David Wegener
发明人： Eileen C. Smith , William M. Speth , David Wegener
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04
摘要： 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.
摘要翻译：本发明包括一种方法，包括接收第一电子购买STRIP订单; 接收第二个电子卖出订单; 将所述第一STRIP顺序与所述第二STRIP顺序匹配，其中所述第一STRIP顺序是与所述第二STRIP顺序相反的顺序; 执行匹配的第一和第二STRIP订单; 基于所执行的第一STRIP订单产生第一多个可交易的金融产品交易; 基于所执行的第二STRIP订单产生第二多个可交易成分金融产品交易; 将第一批多种可交易成分金融产品交易与第二种多种可交易成分金融产品交易进行匹配，其中第一批多种可交易成分金融产品交易与第二种多种可交易成分金融产品交易相互交易; 并且执行匹配的第一和第二多个可交易组件金融产品交易。

8. 发明申请

US20120265665A1 SYSTEM AND METHOD FOR CREATING AND TRADING PACKAGED COLLAR OPTIONS ON AN EXCHANGE 有权
标题翻译：在交换中创建和交易包装COLLAR选项的系统和方法
公开(公告)号：US20120265665A1
公开(公告)日：2012-10-18
申请号：US13399217
申请日：2012-02-17
申请人： Dennis M. O'Callahan
发明人： Dennis M. O'Callahan
IPC分类号： G06Q40/04
CPC分类号： G06Q40/06 , G06Q40/00 , G06Q40/04
摘要： A method of creating and trading packaged standard option collars on an exchange is provided, as well as a trading facility for trading such packaged standard option collars. Collars are created by identifying an underlying asset, a first leg of a collar is determined by determining the desired strike price for the first leg and selecting a standard option contract traded on the exchange having a strike price closest to the desired strike price. The second leg is determined by selecting another standard option, the opposite of the first leg, having an option price substantially offsetting the option price of the first leg. Once the legs of the collar have been selected the collar package may be listed on the exchange, and orders for the collars may be processed by matching orders for opposite positions in the collar.
摘要翻译：提供了一种在交易所上创建和交易包装的标准期权项圈的方法，以及交易这种包装的标准期权项圈的交易设施。通过识别相关资产创建领，通过确定第一支的期望执行价格并选择在交易所上交易的具有最接近期望行使价的行使价的标准期权合约确定领领的第一段。第二条腿是通过选择另一个标准期权，与第一条腿相对的方式来确定的，期权价格基本上抵消了第一条支付的期权价格。一旦衣领的腿已经被选择，衣领包可以列在交换机上，并且套环的订单可以通过在衣领中的相对位置的匹配订单进行处理。

9. 发明授权

US08209255B2 Market participant issue selection system and method 有权
标题翻译：市场参与者选题制度和方法
公开(公告)号：US08209255B2
公开(公告)日：2012-06-26
申请号：US12836349
申请日：2010-07-14
申请人： Daniel R. Hustad , Larry Pfaffenbach , John E. Smollen
发明人： Daniel R. Hustad , Larry Pfaffenbach , John E. Smollen
IPC分类号： G06Q40/00
CPC分类号： G06Q40/00 , G06Q40/04
摘要： A system and method of allocating rights for quoting issues on a trading facility such as an exchange is described. The method may include providing market participants such as remote market makers with a listing of issues available for remote quote streaming where the available issues are ranked according to predetermined trading parameters. A market participant requests allocations of rights to certain issues and the request is filtered according to a value associated with the ranking of the selected issues. The system includes an issue selection database having a listing of issues available for trading where each issue is ranked based on a trading parameter. An issue selection communication module communicates with the issue selection database and is configured to list available issues and rankings. An issue allocation filter receives a market participant request and compares the selected issues in that request to one or more exchange-based rules.
摘要翻译：描述了在诸如交易所之类的交易设施上分配引用问题的权利的系统和方法。该方法可以包括向市场参与者（例如远程制造商）提供可用于远程报价流的问题的列表，其中可用的问题根据预定的交易参数进行排名。市场参与者请求分配某些问题的权限，并根据与所选问题的排名相关联的值过滤请求。该系统包括问题选择数据库，其具有可用于交易的问题的列表，其中每个问题基于交易参数进行排名。问题选择通信模块与问题选择数据库进行通信，并且被配置为列出可用的问题和排名。问题分配过滤器接收市场参与者请求，并将该请求中的选定问题与一个或多个基于交换的规则进行比较。

10. 发明授权

US08027904B2 Method and system for creating and trading corporate debt security derivative investment instruments 有权
标题翻译：公司债务安全衍生投资工具创造和交易的方法和制度
公开(公告)号：US08027904B2
公开(公告)日：2011-09-27
申请号：US11409381
申请日：2006-04-21
申请人： Dennis M. O'Callahan
发明人： Dennis M. O'Callahan
IPC分类号： G06Q40/00
CPC分类号： G06Q40/00 , G06Q40/025 , G06Q40/04 , G06Q40/06
摘要： A method of creating and trading corporate debt security derivative investment instruments on an exchange, as well as a trading facility for trading such derivatives, is disclosed. Corporate debt security derivative investment instruments are created by identifying a credit rating service that includes a plurality of risk categories. Unique monetary values are mapped to risk categories and an entity rated by the credit rating service is identified. A corporate debt security derivative investment instrument is then created whose value is determined at least in part by the monetary value to which the risk category associated with the rated entity is mapped.
摘要翻译：披露了在交易所创建和交易公司债务证券衍生投资工具的方法，以及交易这类衍生工具的交易设施。公司债务证券衍生投资工具是通过识别包括多个风险类别的信用评级服务来创建的。将独特的货币价值映射到风险类别，并确定由信用评级服务评级的实体。然后创建公司债务证券衍生投资工具，其价值至少部分由与评级实体相关联的风险类别映射到的货币价值确定。

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