Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2011-05-24
2011-05-24
Colbert, Ella (Department: 3694)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S028000
Reexamination Certificate
active
07949586
ABSTRACT:
Collateralized option index derivative investment instruments and methods for creating a collateralized option index are disclosed herein based on changes in a performance of collateralized option strategies. According to an aspect of the disclosure, a method for calculating a collateralized option index is disclosed. In one embodiment, the method for calculating a collateralized option index includes calculating a value of a portfolio invested in a collateralized short strategy according to the relation:in-line-formulae description="In-line Formulae" end="lead"?Vt=Mt−NlastPtin-line-formulae description="In-line Formulae" end="tail"?where Mtis a value of a LIBOR component of the portfolio at the close of date t, Nlastis a number of put options sold at a last roll date, and Ptis a price of the underlying option portfolio based on arithmetic averages of the last bid and ask prices of all options in the underlying option portfolio reported before a time on date t.
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Anderson John A
Brinks Hofer Gilson & Lione
Chicago Board Options Exchange Incorporated
Colbert Ella
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