Patent ID: 8694407
Filing Date: 2014-04-08
Classification: G06Q

Abstract:
1. A non-transitory computer-readable medium containing processor executable program instructions for creating a volatility benchmark index, the instructions configured for causing a processor to execute the steps of: storing a value of a Treasury bill account less a mark-to-market value of at least one of a volatility-based future or option in a memory; calculating a value reflecting a volatility benchmark on the processor based on the stored value; and wherein the value reflecting a volatility benchmark is calculated according to the formula: where VPD t is a VIX premium index value at date t, M t is a Treasury bill balance on date t, r t-1 is an effective Treasury bill rate from date t−1 to date t, N last is a number of futures sold at a last roll date, F t is a daily settlement price of futures at date t, and M ult is a multiplier of the futures.