Order risk management for derivative products

Details Order risk management for derivative products Order risk management for derivative products

2011-08-02

2011-08-02

Kyle, Charles R (Department: 3695)

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

Automated electrical financial or business practice or...

Finance

C705S026640, C705S035000, C705S03600T, C705S400000

Reexamination Certificate

active

07991684

ABSTRACT:
Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade.

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