WO2004081737A3 - Derivatives trading methods that use a variable order price - Google Patents

Derivatives trading methods that use a variable order price Download PDF

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Publication number
WO2004081737A3
WO2004081737A3 PCT/US2004/007064 US2004007064W WO2004081737A3 WO 2004081737 A3 WO2004081737 A3 WO 2004081737A3 US 2004007064 W US2004007064 W US 2004007064W WO 2004081737 A3 WO2004081737 A3 WO 2004081737A3
Authority
WO
WIPO (PCT)
Prior art keywords
price
exchange
order price
variable order
trading methods
Prior art date
Application number
PCT/US2004/007064
Other languages
French (fr)
Other versions
WO2004081737A2 (en
Inventor
Scott Johnston
John Falck
Charlie Troxel Jr
James W Farrell
Agnes S Thiruthuvadoss
Arjuna Ariathurai
David Salvadori
Original Assignee
Chicago Mercantile Exchange
Scott Johnston
John Falck
Charlie Troxel Jr
James W Farrell
Agnes S Thiruthuvadoss
Arjuna Ariathurai
David Salvadori
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Priority claimed from US10/385,152 external-priority patent/US7152041B2/en
Priority claimed from US10/611,458 external-priority patent/US7571133B2/en
Application filed by Chicago Mercantile Exchange, Scott Johnston, John Falck, Charlie Troxel Jr, James W Farrell, Agnes S Thiruthuvadoss, Arjuna Ariathurai, David Salvadori filed Critical Chicago Mercantile Exchange
Priority to JP2006506956A priority Critical patent/JP2006520049A/en
Priority to CA002518623A priority patent/CA2518623A1/en
Priority to EP04718565A priority patent/EP1609087A4/en
Publication of WO2004081737A2 publication Critical patent/WO2004081737A2/en
Publication of WO2004081737A3 publication Critical patent/WO2004081737A3/en

Links

Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q30/00—Commerce
    • G06Q30/02—Marketing; Price estimation or determination; Fundraising
    • G06Q30/0283—Price estimation or determination
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q30/00—Commerce
    • G06Q30/06—Buying, selling or leasing transactions
    • G06Q30/0601—Electronic shopping [e-shopping]
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis

Abstract

Methods and systems for an exchange to handle variable derivative product order prices are disclosed. The price of a derivative product order (bid or offer) is updated based on changes in the price of a related underlying product. Price determination variable(s), such as delta and gamma, are used to determine the price of the order. The exchange may periodically recalculate the price without requiring the trader to transmit additional information to the exchange.
PCT/US2004/007064 2003-03-10 2004-03-08 Derivatives trading methods that use a variable order price WO2004081737A2 (en)

Priority Applications (3)

Application Number Priority Date Filing Date Title
JP2006506956A JP2006520049A (en) 2003-03-10 2004-03-08 Derivatives trading method using variable order price
CA002518623A CA2518623A1 (en) 2003-03-10 2004-03-08 Derivatives trading methods that use a variable order price
EP04718565A EP1609087A4 (en) 2003-03-10 2004-03-08 Derivatives trading methods that use a variable order price

Applications Claiming Priority (6)

Application Number Priority Date Filing Date Title
US10/385,152 US7152041B2 (en) 2003-03-10 2003-03-10 Derivatives trading methods that use a variable order price
US10/385,152 2003-03-10
US10/611,458 US7571133B2 (en) 2003-03-10 2003-07-01 Derivatives trading methods that use a variable order price and a hedge transaction
US10/611,458 2003-07-01
US10/676,318 US7440917B2 (en) 2003-03-10 2003-10-01 Order risk management system
US10/676,318 2003-10-01

Publications (2)

Publication Number Publication Date
WO2004081737A2 WO2004081737A2 (en) 2004-09-23
WO2004081737A3 true WO2004081737A3 (en) 2005-08-11

Family

ID=32995881

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2004/007064 WO2004081737A2 (en) 2003-03-10 2004-03-08 Derivatives trading methods that use a variable order price

Country Status (5)

Country Link
US (11) US7440917B2 (en)
EP (1) EP1609087A4 (en)
JP (1) JP2006520049A (en)
CA (1) CA2518623A1 (en)
WO (1) WO2004081737A2 (en)

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US10366454B2 (en) 2019-07-30
US20110270737A1 (en) 2011-11-03
US20140129414A1 (en) 2014-05-08
US8374942B2 (en) 2013-02-12
CA2518623A1 (en) 2004-09-23
US7778911B2 (en) 2010-08-17
US20100306133A1 (en) 2010-12-02
US7991684B2 (en) 2011-08-02
US8738508B2 (en) 2014-05-27
US8326738B2 (en) 2012-12-04
US20190057446A1 (en) 2019-02-21
US20040199452A1 (en) 2004-10-07
EP1609087A2 (en) 2005-12-28
US20130185183A1 (en) 2013-07-18
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US20170200231A1 (en) 2017-07-13
US20130124390A1 (en) 2013-05-16
US8160949B2 (en) 2012-04-17
EP1609087A4 (en) 2006-11-08
WO2004081737A2 (en) 2004-09-23

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