Gamma trading tool

Details Gamma trading tool Gamma trading tool

2001-06-20

2008-08-26

Cheung, Mary (Department: 3694)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

C705S037000, C705S035000

Reexamination Certificate

active

07418416

ABSTRACT:
Automated hedging of financial instruments can include the automated generation of orders to hedge a financial exposure associated with a first financial instrument (e.g., to hedge a risk associated with the value of an option). The hedging orders include buy and sell orders to acquire long or short positions in a hedging instrument having a price movement that is correlated with price movements of the first financial instrument. The long and short positions are acquired so as to offset modeled changes in value of the first financial instrument. After an initial hedging order to buy or sell stock is filled by an exchange, subsequent hedging orders may be generated. Pricing and quantity for the subsequent hedging orders may be based on a user-specified movement in the price of the second financial instrument and may be automatically modified in response to price trending of the market with respect to the second financial instrument.

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