Method and system for creating a spot price tracker index
View Patent ↗A method and system for creating a spot price tracker index is disclosed. The method includes obtaining values of first and second derivatives at a time t and calculating an index value by linear extrapolation from the first and second futures contracts. The index value may be displayed at a trading facility and quotes based on the index value may be transmitted by the trading facility to a market participant.
1. A non-transitory computer-readable medium containing processor executable program instructions for creating a price tracker index, the instructions configured for causing the processor to execute the steps of:
obtaining, from a trading system, a value F 1 of a first derivative at a time t;
obtaining, from the trading system, a value F 2 of a second derivative at time t;
calculating an index value according to a formula:
T
2
T
2
-
T
1
F
1
-
T
1
T
2
-
T
1
F
2
where T 1 is a time to maturity of the first derivative, and T 2 is a time to maturity of the second derivative; and
disseminating the calculated index value over a communications network to market participants.
2. The non-transitory computer-readable medium of claim 1 ,
wherein an underlying asset for the first derivative is a volatility index.
3. The non-transitory computer-readable medium of claim 1 ,
wherein an underlying asset for the first derivative is a commodity.
4. The non-transitory computer-readable medium of claim 1 ,
wherein an underlying asset for the first derivative is a weighted index of prices of a plurality of stocks.
5. The non-transitory computer-readable medium of claim 1 ,
wherein an underlying asset for the second derivative is a volatility index.
6. The non-transitory computer-readable medium of claim 1 ,
wherein an underlying asset for the second derivative is a commodity.
7. The non-transitory computer-readable medium of claim 1 ,
wherein an underlying asset for the second derivative is a weighted index of prices of a plurality of stocks.
8. A computer system for creating a price tracker index, comprising:
a processor configured to:
obtain a value F 1 of a first derivative at a time t;
obtain a value F 2 of a second derivative at time t;
calculate an index value according to a formula:
T
2
T
2
-
T
1
F
1
-
T
1
T
2
-
T
1
F
2
where T 1 is a time to maturity of the first derivative, and T 2 is a time to maturity of the second derivative; and
disseminate the calculated index value over a communications network to market participants.
9. The computer system of claim 8 ,
wherein an underlying asset for the first derivative is a volatility index.
10. The computer system of claim 8 ,
wherein an underlying asset for the first derivative is a commodity.
11. The computer system of claim 8 ,
wherein an underlying asset for the first derivative is a weighted index of prices of a plurality of stocks.
12. The computer system of claim 8 ,
wherein an underlying asset for the second derivative is a volatility index.
13. The computer system of claim 8 ,
wherein an underlying asset for the second derivative is a commodity.
14. The computer system of claim 8 ,
wherein an underlying asset for the second derivative is a weighted index of prices of a plurality of stocks.
15. A computer-implemented method for creating a price tracker index in a computer having a processor, the method comprising:
obtaining, by the processor, a value F 1 of a first derivative at a time t;
obtaining, by the processor, a value F 2 of a second derivative at time t;
calculating, by the processor, an index value according to a formula:
T
2
T
2
-
T
1
F
1
-
T
1
T
2
-
T
1
F
2
where T 1 is a time to maturity of the first derivative, and T 2 is a the time to maturity of the second derivative; and
disseminating the calculated index value over a communications network to market participants.
16. The computer-implemented method of claim 15 ,
wherein an underlying asset for the first derivative is a volatility index.
17. The computer-implemented method of claim 15 ,
wherein an underlying asset for the first derivative is a commodity.
18. The computer-implemented method of claim 15 ,
wherein an underlying asset for the first derivative is a weighted index of prices of a plurality of stocks.
19. The computer-implemented method of claim 15 ,
wherein an underlying asset for the second derivative comprises a volatility index or a commodity.
20. The computer-implemented method of claim 15 ,
wherein an underlying asset for the second derivative is a weighted index of prices of a plurality of stocks.