Patent ID: 8249972
Filing Date: 2012-08-21
Classification: G06Q

Abstract:
1. A system having a processor for creating and trading derivative investment instruments based on a volatility benchmark index, comprising: a volatility benchmark index module in communication with the processor configured to calculate a volatility benchmark index value for a desired group of underlying assets; a dissemination module in communication with the volatility benchmark index module, the dissemination module configured to disseminate the calculated volatility benchmark index value over a communications network to at least one market participant; and a trading module in communication with the dissemination module, the trading module configured to receive order information via the communications network, wherein the processor is configured to calculate the volatility benchmark index value 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.