Method for profiling options

Details Method for profiling options Method for profiling options

2008-07-15

2008-07-15

Trammell, James P. (Department: 3694)

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

Automated electrical financial or business practice or...

Finance

C705S03600T, C705S035000

Reexamination Certificate

active

07401042

ABSTRACT:
A method for measuring a price level of an option contract or a series of options contracts based upon a volatility of an underlying security. The method includes the process of calculating a rate of return index for an option series. The rate of return index includes factors such as the implied rate of return, the price of the underlying security, and a weighting factor. The rate of return index may be used for a series of call option contracts and a series of put option contracts. Both the series of call option contracts and series of put option contracts may be numerically set to provide an implied interest rate at a specific volatility.

REFERENCES:
patent: 5557517 (1996-09-01), Daughterty, III
patent: 5940810 (1999-08-01), Traub et al.
patent: 6173276 (2001-01-01), Kant et al.
patent: 6546375 (2003-04-01), Pang et al.
patent: 2003/0101123 (2003-05-01), Alvarado et al.
Exhibit “A” (2 pages) and Exhibit “D” (1 page): from Way Back Machine printed on “Oct. 5, 2007”.
Exhibit “B” (3 pages) and Exhibit “C” (2 pages) and Exhibit “E” (2 pages) and Exhibit “E1” (2 pages) and Exhibit “E5” (3 pages) and Exhibit “E51” (2 pages): from Investopedia.com printed on “Oct. 5, 2007”.
Whaley, “Derivatives on Market Volatility: Hedging Tools Long Overdue”, Journal of Derivatives, Fall 1993, No. 9944, pp. 71-84.

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