Method and system for creating and trading derivative investment instruments based on an index of collateralized options

1. A method for calculating a collateralized option index, the method comprising:

calculating, by a computer system having a processor, a value (V t ) of a portfolio invested in a collateralized short strategy according to a relation:

V t =Mt−N last Pt

wherein M t is a value of a money market component of the portfolio at a close of date t, N last is a number of put options sold at a last roll date, and P t is a price of an underlying option portfolio based on arithmetic averages of last bid and ask prices of all options in the underlying option portfolio reported before a time on date t; and transmitting, by the computer system, the value of the portfolio in the collateralized short strategy to market participants over a communication network.

2. The method according to claim 1 , wherein on dates other than roll dates the value of the money market component is equal to:

M t= (1+ρ t−1,t ) M t−1

wherein ρ t−1,t is an effective money market rate from date t−1 to date t.

3. The method according to claim 2 , wherein on roll dates, cash outflow from a final settlement of expiring options is debited from an account and proceeds from sales of new put options is credited to the account according to a relation:

M t =(1+ρ t−1,t ) M t−1 −N last Max[0 ,K old −SOQ t ]+N new P vwap

wherein K old is a strike price of put options sold at a previous roll date, SOQ t is a final settlement price of these options on date t, N new is a number of new puts sold and P vwap is a volume-weighted average price at which the new options are sold.

4. The method according to claim 3 , wherein the number N new is determined according to a relation:

N new =( M t−1 (1+ρ t−1,t )− N t−1 max[0 ,K old −SOQ t ])/( K new /(1 +r )− P vwap )

wherein K new is a strike price at which new puts are sold, and r is an effective money market rate of return from a present roll date to a next roll date; and

wherein r results from compounding the rate ρ t−1,t daily from roll date t to the next roll date.

5. A method for calculating a collateralized option index, the method comprising:

calculating, by a computer system having a processor, a value (V t ) of a portfolio invested in a collateralized short strategy according to a relation:

V t =M t −N last P t

wherein M t is a value of a money market component of the portfolio at a close of date t, N last is a number of put options sold at a previous roll dale, and P t is a difference between arithmetic averages of a last bid and ask prices of the put option reported before a time on date t; and

transmitting, by the computer system, the value of the portfolio to market participants over a communication network.

6. The method according to claim 5 , wherein on dates other than roll dates the value of a money market component is equal to:

M t =(1+ρ t−1,t ) M t−1

wherein ρ t−1,t is an effective money market rate from date t−1 to date t.

7. The method according to claim 6 , wherein on roll dates a value of a money market account includes a cash settlement from expiring put options and proceeds from sales of new put options according to a relation:

M t =(1+ρ t−1,t ) M t−1 −N last Max[0 ,K last −SOQ t ]+N new P vwap

wherein K last is a strike price of the put options sold at the previous roll date, SOQ t is a final settlement price of these options on roll date t, N new is a number of new puts sold and P vwap is a volume, weighted average price at which these options are sold.

8. The method according to claim 7 , wherein the number N new is determined according to a relation:

N new =( M t−1 (1+ρ t−1,t )− N t−1 max[0 ,K old −SOQ t ])/( K new /(1 +r )− P vwap )

wherein K new is a strike price at which new puts are sold, and r is an effective money market rate of return from a present roll date to a next roll date; and

wherein r results from compounding the rate ρ t−1,t daily from roll date t to the next roll date.

9. A method for calculating a Put-Write index, comprising:

calculating, by a computer system having a processor, a value of a portfolio invested in a collateralized short strategy based on a linear relation between a value of a money market component of the portfolio and a total value of a plurality of put options sold, wherein the total value of the plurality of put options sold comprises a product of a number of the plurality of put options sold at a previous roll date and their corresponding prices; and

transmitting, by the computer system, the value of the portfolio to market participants over a communication network.

10. A computer system comprising:

a computer-readable memory; and

a processor coupled with the computer-readable memory, wherein the processor is configured to:

calculate a value of a portfolio invested in a collateralized short strategy based on a linear relation between a value of a money market component of the portfolio and a total value of a plurality of put options sold, wherein the total value of the plurality of put options sold comprises a product of a number of the plurality of put options sold at a previous roll date and their corresponding prices; and

transmit the value of the portfolio to market participants over a communication network.