Financial System And Method Based On Absolute Returns

A financial instrument exchange, system and method based upon the intensity of an underlying index. The instrument having a predetermined formula for a settlement price based at least in part on the formula:    AR  =        [              1      N                          ∑              j        =        1             N                       r       j                 ]     ×   C    where: N=a number of total observation periods; C=a constant multiplier; and rj=an optional capped absolute period return calculated using the formula:  rj=min(d,|xj|) if the Observation Cap is specified; or  rj=|xj| if there is no Observation Cap or it is not specified; where: d=a contract period observation cap; and xj=a period return based on a formula of the group consisting of:              x     j       =        ln               (                    I        j                     I                j         -         1                         )             ;                x     j       =              (                    I        j                     I                j         -         1                         )         -     1         ;     and              x     j       =              I      i         -          I            j       -       1                   ;    where: Ij=a reference index reported price/level j observation periods after an initial observation date/time. The periods can variable and measured in days, weeks, months, quarters and years. The instrument is traded at a market-determined price from creation through the date of expiration.

DETAILED DESCRIPTION OF THE INVENTION

Other objects of the invention and its particular features and advantages will become more apparent from consideration of the following detailed description with reference to the drawings. It should be understood that the detailed description and specific examples, are intended for purposes of illustration only and are not intended to limit the scope of the invention.

The invention is a number of calculations required for the trading of proposed instruments and indices (HAR, AR, RR, FR, FRR, FRRC and FRRCret) and derivatives on these instruments and indices that are related to observations of absolute returns. These calculations can be computer implemented in a trading system for the creation and trading of financial instruments.

The first instrument is a futures contract that settles into an average of absolute periodic returns, for a specified frequency (for example, hourly, daily, weekly, monthly, quarterly, etc.) of an Underlying Reference Index over a fixed Observation Window, from an Initial Observation Date/Time (Date and Time) to a Settlement Date/Time.

The future, named as AR future, settles into

where C is a constant multiplier (e.g. 10000), rjis absolute periodic return,

and xjis the periodic return defined either as a log return

or simple return,

or simple difference,

Ijis the Underlying Reference Index reported price/level j Observation Periods after the Initial Observation Date/Time, ln(x) is the natural logarithm function value of x, and |x| is the absolute value of x. The contract specification will specify the observation frequency and subdivide the Observation Window between the Initial Observation Date/Time and the Settlement Date/Time into N number of Observation Periods within the Observation Window.

The AR futures may settle into either cash or any other asset of equivalent value.

The Underlying Reference Index may be any financial instrument or calculated measure, and it may include, and not limited to, stocks, exchange traded products (ETNs and ETFs), foreign exchange rates, bonds and fixed income instruments, commodities, energy contracts and respective indices, futures, forward contract values and weighted baskets or functions of instruments and measures.

The periodic return may be adjusted for splits, dividend, fee or any reason and amount defined by the contract specification of the AR future.

The Observation Periods do not need to be regularly uniform and can be variable. The Observation Period at the end of the Observation Window may be longer or shorter depending on Observation Time during the last period of the Observation Window. Observation Windows may also not be regularly uniform and the number of Observation Periods may depend on contract specifications. For example, if the exchange wishes to align the end of the Observation Window to be the same time as the expiration of other financial instruments, the Observation Time for the last period could be set to be during a normal trading day rather than the end of the trading day, and the next Observation period (possibly the first Observation period in the next serial month) would start before the end of the trading day; thus, the last Observation period would be shorter than other Observation periods, and the first Observation period would be longer than other Observation periods.

A rolling historical index can be calculated in a fashion that the AR futures would settle into the value of the historical index at the expiration of the future. This calculation would have to take into consideration that the number of Observation Periods for each future may be different from one contract to the next. For example, if the observation frequency is daily, then different calendar months would have different number of trading days. Further, it is important to adjust this historical rolling if there were unexpected official disruption to trading at exchanges. The HAR index is calculated as the final settlement price of a AR future with the current date/time as the Final Observation date/time and calculated with the number of historical Observation Periods equal to the current Observation Window accounting for the different number of Observation Periods, specifications of each Observation Periods, and disruptions. A HAR index may also be calculated with a fixed number of Observation Periods.

In some embodiments, AR futures have an optional Observation Cap that limits the potential loss per Observation Period for the seller of the future. The Observation Cap should help to reduce the insurance premium required to insure against outsized returns. These events may occur rarely but the uncertainty premium would have been a load on prices for buyers on average. If an Observation Cap is employed rjis the capped absolute periodic return, rj=min(d,|xj|) where d is the contract Observation Cap.

In most developed markets, there are circuit breakers enforced by exchanges designed to prevent a market panic by halting trading after major indices have declined more than a predetermined amount. Technically, a very large Observation Cap level (e.g. 100% or ln(0.001), or at a level higher than the maximum range to trigger a complete trading halt for the trading period) is equivalent to having no Observation Cap. Thus, if the Observation Cap is not specified, the absolute periodic return, rj, is equivalent to

As discussed earlier, the potentially damaging risk of variance swaps has driven market participants to adopt overall cap on variance swaps payoff. The overall cap on variance swap is based on the total accrued realized variance and it has a different nature to the Observation Cap. A variance swap or variance futures with an overall cap could still suffer a dramatic 1-day or 1-period loss in a dramatic market sell-off if the position is unhedged; this potential loss would be a concern for exchanges and the amount of margin required for these products to maintain stability of the system against a catastrophic collapse of a major market participant due to losses. The benefit of an Observation Cap limits the potential loss due to the accumulation of realized intensity for each period, and allows the exchanges and regulatory authorities to have time to manage issues adequately. The presence of the Observation Cap coupled with the linear payoff structure could allow more market participants to benefit from selling the futures if they believe that the market is unlikely to be very active in the near future without taking on the same level of risk as selling variance swaps.

A sample performance of the Average Intensity Rate future, AR, with a daily Observation Frequency over the period 1980 to 2012 with an Observation Cap of 5% is illustrated inFIG. 1.FIG. 1shows a plot of SPX levels against the AR calculated on each third Friday of the month; it shows how the value of the AR increases, as expected, over notable periods of significant market corrections, a. ‘Black Monday’ crash in October 1987, b. ‘Russian Ruble crisis’ in August 1998, c. ‘Dot-Com bubble burst’ from March 2000, and d. Global Financial Crisis from October 2008.

The data inFIG. 1is interpreted inFIG. 2Aas a scatter plot of levels of AR against the performance of the SPX during the corresponding months; the chart shows that in months that the SPX drops, AR levels increase; however, if the SPX has a strong rally during the month, the AR will increase too. This means that AR levels are not strongly correlated to the performance of SPX returns.

FIG. 2Bshows the AR levels against the range of the SPX measured using the highest and lowest SPX levels during the corresponding months; this suggests that if the reference index, SPX, gyrates violently over a large range, the corresponding month will generate a higher AR level. The months with high ranges would include periods in which the SPX had undergone a large correction and a subsequent rally, a big rally and a significant retracement, dramatic crash or rally.

The major feature of the AR future is the use of the mean absolute deviation (return) rather than the definition of the standard deviation commonly used in finance and options pricing literature. In general, apart from the professional options trading community, volatility (used interchangeably with standard deviation) is not a common variable in trading decisions for the wider investing community. The AR future is designed to mimic some of the stylized dynamics of options trading. Before the settlement of the future, the AR is composed of two parts: a realized component, RR, and an expected future component, FR.

n is the number of Observation Periods from the Initial Observation Date/Time, and N is the total Observation Periods within the current term futures Observation Window, and rjis the periodic absolute return or capped periodic absolute return as defined earlier and C is the constant multiplier.

The future component, FR, is then the market expectation of the average periodic absolute return for the rest of the Observation Periods to the settlement of the AR future. The FR is analogous to the implied volatility of an option and the RR is the representation of the realized volatility. The change in the price of the future would then represent the accrual of realized absolute return observed over the period and the changes in the market perception of the future moves in the market.

FIG. 3is a hypothetical example of RR, FR and AR over a period of 19 days for a daily observation frequency AR future.

As an example using the hypothetical numbers presented inFIG. 3, a market participant on 29 Jan. 8 thought that there was a risk of elevated market activity in the near future and he/she purchased a AR future at the end of the day at 121.18. Based on the realized intensity from the Initial Observation Date, RR, and the market quote of 121.18 for the AR future, the market implies an expected average absolute return of 1.14% (FR=114.10) from 30 Jan. 8 to the Settlement Date of the AR future. There was a big market move on 5 Feb. 8, and the AR futures increased in price due partly to the actual realized intensity and increase in expectation of future intensity. If the long AR futures position is sold at the end of the day on 5 Feb. 8 at the market price of 133.09, there would be a profit of (133.09−121.18) multiplied by a contract multiplier typically specified by the contract specification of the future (there could be different versions of futures based on the same measure with different contract multipliers); if the contract multiplier is $100, then the profit would be (11.91×$100)=$1,191. If the futures position had been held to expiration on 15 Feb. 8, the position would have been a loss as the futures settle to 115.38. Note that after the event on 5 Feb. 8, the actual realized intensity from the market move is included in the value of the AR futures even if the implied future intensity, FR, has not moved as much as the AR futures did from 29 Jan. 8.

The AR futures can be used to generate a constant maturity index of implied accrual rate. The current term future may include a realized accrued component over time, but the second term future, if its Initial Observation Date/Time is equal to the Settlement Date/Time of the first term future, called a serial term future, will be a representation of the market's expectation of the level of market activity over the next term.

In the event that there are no listed serial terms in the market, a synthetic serial term future, AR2, can be constructed by a weighted basket of two overlapping AR futures, AR1and AR22where the current term future, AR1, has an Observation Window starting at Date/Time T0and Settlement Date/Time at T1with N1Observation Periods, and the second term future, AR22, has an Observation Window starting at Date/Time Toand Settlement Date/Time at T2with N22Observation Periods.

The Forward Intensity Rolling Rate Index, FRR, is defined as

where FR1is the FR calculated from front term AR future and AR2is the second serial term AR future that has the Initial Observation Date/Time equal to the Settlement Date/Time of the front term future, and n is the number of Observation Periods in the current term future, with a specified Observation frequency, from the Initial Observation Date/Time for the front term future, and N is the number of Observation Periods for the front term future. This index is a close analogy to the VIX. The FRR may be alternatively defined, and calculated, with N being a constant in the formula.

The Forward Intensity Rolling Rate Periodic Compound Index, FRRC, is defined as a periodic compounding index based on the performance of the two front term AR futures. The FRRC index at date/time, t, FRRC(t) is defined as:

where n is the number of Observation Periods from the Initial Observation Date/Time for the current front term AR future, AR1, at the previous Observation Period t−1, N is the total number of Observation Periods for the front term future, and RR1(t) is the realized component for the front term future, and AR1(t), AR2(t) are the first and second serial term AR future at end of Observation Period t, and RR1(t−1) is the realized component for the front term future, and AR1(t−1), AR2(t−1) are the first and second serial term AR futures at end of Observation Period t−1. The second serial term future has the Initial Observation Date/Time equal to the Settlement Date/Time of the front term future. The FRRC index may be computed with a specified scaling function or constant, m.

The indices, HAR, RR, FR, FRR and FRRC and measure FRRCret may be used as part of benchmark indices on which financial derivative products (options, futures, exchange traded products) that settle on functions derived from the value of the respective indices can be defined and traded. In addition, ETNs and ETFs may be created that have net asset value per share that tracks the performance of these indices.

For example, an Exchange Traded Fund that is designed to generate returns that track FRRC would give market participants a unique product that offers an exposure to a rolling estimate of forward expectation of market intensity, and contain a component that is dependent on the performance of realized intensity. FRRC may be further adjusted for cash carry cost.

The FRR is analogous to the VIX, and it is possible to create futures and derivatives on the index as is done for similar indices.

FIG. 4illustrates an exemplary system according to the present invention. The system includes at least one processor70executing software to calculate the measures necessary to trade AR futures and provide data to facilitate trading. The processor70may reside on a server and/or computer managed by an Exchange, a designated calculation agent, one or more market participants, a system host, or a third party.

The processor70receives data from any number of local or remote source databases or storage devices50. For example, a source database50(e.g., associated with an Exchange) may provide underlying reference index data51as described in more detail below.

The system further includes any number of market participants or participant servers (60,80) which may include, for example, trading exchanges, brokers, individual traders, and/or clearing authorities. In the exemplary embodiment, the processor70receives data, e.g., contract specifications data61, from a market participant60.

The processor70executes software to perform the calculations discussed herein. A database109in communication with the processor70stores data received or generated by the processor70including, for example, the underlying reference index data51, AR data, RR data, and FR data. The processor70may also store the contract specifications data61, FRR data, FRRC data, and FRRCret data.

The processor70exports settlement data74to one more market participants80. The settlement data74may include, for example, a daily settlement price and/or any other data received or generated by the processor70to enable trading of AR futures.

FIG. 5further illustrates the exemplary system and software according to the present invention to calculate the measures necessary to trade the AR futures.

Average Intensity Rate Futures (AR)

The AR future settles into

where C is a constant multiplier (e.g. 10000),
rjis defined as the absolute periodic return

or as a capped absolute periodic return,

and xjis the periodic return defined as

or simple difference,

Ijis the Underlying Reference Index reported price/level j Observation Periods after the Initial Observation Date/Time, d is the contract Observation Cap, and ln(x) is the natural logarithm function value of x, and |x| is the absolute value of X.

The contract specification for specific instances of AR futures will specify the Underlying Reference Index and denominated currency. The Underlying Reference Index could be any index, calculated measure or listed financial instrument that has official reported prices/levels.

Each AR future will have an Initial Observation Date/Time and a Settlement Date/Time which is a later date and time than the Initial Observation Date/Time. The contract specification will specify the observation frequency and subdivide the Observation Window between the Initial Observation Date/Time and the Settlement Date/Time into N number of Observation Periods within the Observation Window. Note that the contract specification may specify a modification of the number of Observation Periods and the actual exclusion of capped absolute returns from specific Observation Periods due to any reason. For example, exchanges may declare that market disruption events may exclude certain Observation Periods and the number of Observation Periods may be adjusted accordingly.

AR futures may be specified using either the log returns

or simple returns

or simple difference xj=Ij−Ij-1.

If an Observation Cap is used, the choice of the level of the Observation Cap is dependent on the Underlying Reference Index for the AR futures. Generally, more volatile Underlying Reference indices would have a higher level of Observation Cap. Some more developed markets with established rules for trading circuit breakers to halt trading, or markets with sufficient liquidity may not require an Observation Cap. In addition, if an Observation Cap is used, the level of the Observation Cap may be different for negative returns, xj<0, and positive returns, xj≧0. This variation may be due to exchange rules governing different margining rules or circuit breaker rules for positive and negative returns, or for any other reason. A minor difference between the levels of the Observation Cap for negative and positive returns, not likely to affect the settlement of the AR futures for a significant proportion of scenarios in practice, would not represent a divergence from the invention.

The AR future as described has a multiplier, C, to aid human readability. Any other constant multiplier to the value of the AR, or lack thereof, does not present a divergence from the invention.

Before the expiration of the AR futures, the presence of market quotes for the AR futures allow the generation of two related indices, RR and FR that are important inputs to derivatives on the AR:

and n is the number of Observation Periods from the Initial Observation Date/Time and N is the total Observation Periods in the future contract, and rjis the absolute return or capped absolute return as defined earlier. The practical convention is that n is taken to be the number of full Observation Periods.

FIG. 5illustrates an exemplary system and software according to the present invention to calculate the measures RR, FR values and AR settlement prices. The program is executed at the end of every Observation Period after the Underlying Reference Index official reported price/level is available.

Input Block (101): This Input block reads official reported price/level for the Underlying Reference Index as input. The reported prices/levels of the Underlying Reference Index, and associated dates and times are written (1a) and stored into a database (109) in a fashion that would enable computer programs to retrieve the reported prices/levels by the associated dates and times.

Processing Block (102): processing block to calculate the absolute return or capped absolute return. Depending on the choice of contract specifications, this program block reads the reported price/level (1b) for the end of the previous Observation Period, Ij-1, and the reported price/level (1b) for the end of the current Observation Period, Ij, from the database (109), calculate

log returns, or

simple returns, or xj=Ij−Ij-1, simple difference, and compute the capped absolute return rj=min(d,|xj|) or absolute return rj=|xj| if the Observation cap is not specified. This value, rj, and the current date and time is written (1c) and stored in the database (109) in a fashion that would enable computer programs to retrieve the value by the associated dates and times.

Processing Block (103): processing block retrieves a list of absolute return or capped absolute returns (1d) from the database (109) for the dates and times from the Initial Observation Date/Time to current date and time. This program block then calculates

where n is the number of Observation Periods from the Initial Observation Date/Time, and rjis the absolute return or capped absolute return for Observation Period j from the Initial Observation Date/Time, and C is the constant multiplier. The value, RR is then stored, with the associated current Observation Period date and time (1e) into the database (109).

Conditional (104): This conditional block checks if the current date is the Settlement Date/Time for the current AR future as specified.

Output Block (105): This output block outputs the RR as calculated in program block (103) and sets the AR settlement price the same value as RR and the FR value is set to equal to RR.

Input Block (106): This input block reads the current market quote for the appropriate AR futures, and stores (1f) the AR futures quote with the current Observation Period date and time as the associated date and time for the observation.

Processing Block (107): This processing block calculates the FR from the formula,

using the value of RR calculated in (103) and AR value input in (106).

Output Block (108): This output block outputs RR and FR as calculated in (103) and (107), and sets the settlement price of AR to a pre-agreed formula based on the last trade, bid and ask quotes as normally practiced by the exchange.

FIG. 6illustrates an example of the interaction of market participants, the exchange and use of the software described above; the market quotes and official reported prices/levels of the Underlying Reference Index are provided by the exchange to the software, and the software calculates the AR periodic settlement price (margining periodicity according to exchange practices and regulations), RR and FR as indices that would be disseminated to the market and relevant authorities. The software is primarily used by the Exchange, or a designated calculation agent, to calculate daily settlement prices of the AR futures, and disseminate official measures of historical realized intensity, RR. The Central Clearing Authority uses the daily settlement prices of AR futures to calculate daily margin requirements that would apply to the relevant market participants' account. Market participants would use the software to calculate the AR, RR and FR measures within their own risk system, pricing applications or trading systems based on historical data, market data and potential user defined scenarios as inputs.

Forward Intensity Rolling Rate Index (FRR)

The FRR is defined as

where FR1is the FR calculated from front term AR future and AR2is the second serial term AR future, and n is the number of Observation Periods from the Initial Observation Date/Time for the front term future and N is the number of Observation Periods for the front term future. The second serial term future has the Initial Observation Date/Time equal to the Settlement Date/Time of the front term future. The FRR may be alternatively defined, and calculated, with N being a constant in the formula.

Forward Intensity Rolling Rate Periodic Compound Index (FRRC)

The FRRC is defined as a periodic compounding index based on the performance of the two front term AR futures. The FRRC index at the end of an Observation Period date/time, t, FRRC(t) is defined as:

where n is the number of Observation Periods from the Initial Observation Date/Time for the current front term AR future, AR1, at the previous Observation Period date/time t−1, N is the total number of Observation Periods for the front term future, and RR1(t) is the realized component for the front term future, and AR1(t),AR2(t) are the first and second serial term AR future at end of Observation Period t, and RR1(t−1) is the realized component for the front term future, and AR1(t−1,AR2t−1 are the first and second serial term AR futures at end of Observation Period t−1. The second serial term future has the Initial Observation Date/Time equal to the Settlement Date/Time of the front term future. FRRC(t−1) is the FRRC index level for the previous Observation Period (t−1); an initial index level for the FRRC on the first day of the index could be arbitrarily defined.

FIG. 7illustrates an exemplary system and software according to the present invention to calculate the measures necessary to trade derivatives and instruments on FR, FRR, FRRC and FRRCret indices. As one of ordinary skill in the art will understand, the system and software may be employed together with the system hardware illustrated inFIG. 4.

The computer implementation described inFIG. 7is intended to generate FR, FRR, FRRC, FRRCret values during and at the close of each Observation Period. The program reuses database (109).

Processing block (110): This processing block retrieves (1g) RR, AR values for the previous Observation Period for the front term AR future, RR(t−1, AR1(t−1) respectively, and the level of FRRC for the previous Observation Period, FRRC(t−1). Note that it is possible for the software to be modified to calculate RR(t−1) using inputs of Underlying Reference Index reported prices/levels from the Initial Observation Date/Time of the relevant AR future. For the first Observation Period of the FRRC index, the previous Observation Period's FRRC level in the formula can be taken to be an agreed initial index level.

Input block (111): This input block reads the current market quotes for the AR front term and second serial term futures, AR1(t),AR2(t), where the Initial Observation Date/Time of the second serial term future is equal to the Settlement Date/Time of the front term future.

Processing block (112): This processing calculates FR, FRR, FRRC and FRRCret as defined

where n is the number of Observation Periods from the Initial Observation Date/Time for the current front term AR future, AR1, at Observation Period t−1, N is the total number of Observation Periods for the front term future from the Initial Observation Date/Time to the Settlement Date/Time for the current front term future. The FRRC value for date and time t, is stored (1h) with the date and time, t, as the associated date and time in the database (109). m is the predetermined scaling constant or a function. The FRR may be alternatively defined, and calculated, with a constant N.

Output block (113): This output block reports FR1, FRR, FRRC(t) and FRRCret(t).

The computer software described inFIG. 7to calculate FR, FRR, FRRC and FRRCret would be used by a calculation agent as part of a process to generate target Net Asset Value per share for an Exchange Traded Fund or Exchange Traded Note financial product.

Historical Rolling Average Intensity Rate

A historical rolling average intensity rate, HAR, can be calculated as an index. This index may be useful to market participants as a reference index as part of a function to define a derivative that settles into cash or equivalent value in an asset. For example, it is possible to define an option that settles in a function of a particular calculation of HAR at expiration. A HAR is defined by the specification of a number of historical Observation Periods, K:

where rjis the historical absolute return or capped absolute return for j Observation Period prior to the current Observation Period, and C is a constant multiplier.

The number of historical Observation Periods can either be defined as a fixed constant, or it can be set to equal to the number of Observation Periods in the current Observation Window for a front term AR future. Note that the contract specification may reduce the number of valid Observation Periods as described previously.

FIG. 8illustrates an exemplary system and software according to the present invention to calculate a HAR index. As one of ordinary skill in the art will understand, the system and software may be employed together with the system hardware illustrated inFIG. 4.

Processing block (114): This processing block retrieves (1i) a series of absolute returns or capped absolute returns, rj, for K most recent Observation Periods from the database (109).

Processing block (115): This processing block calculates the HAR index:

Output block (116): This output block reports HAR.

As discussed above, some markets may wish to not specify an Observation Cap, which is equivalent to setting a very high level of Observation Cap. Furthermore, one of ordinary skill in the art would understand that a very large Observation Cap level (e.g. close to 100% or |ln(0.001)|, or at a level higher than the maximum range to trigger a complete trading halt for the trading period) is equivalent to having no Observation Cap. Thus, one of ordinary skill in the art would understand that if the Observation Cap is not specified, the absolute periodic return, rj, is equivalent to

A sample performance of the Average Intensity Rate future, AR, with a daily Observation Frequency over the period 1980 to 2012 without an Observation Cap is illustrated inFIG. 9.FIG. 9shows a plot of SPX levels against the AR calculated on each third Friday of the month; it shows how the value of the AR increases, as expected, over notable periods of significant market corrections, a. ‘Black Monday’ crash in October 1987, b. ‘Russian Ruble crisis’ in August 1998, c. ‘Dot-Com bubble burst’ from March 2000, and d. Global Financial Crisis from October 2008.

The data inFIG. 9is interpreted inFIG. 10Aas a scatter plot of levels of AR against the performance of the SPX during the corresponding months; the chart shows that in months that the SPX drops, AR levels increase; however, if the SPX has a strong rally during the month, the AR will increase too. This means that AR levels are not strongly correlated to the performance of SPX returns.

FIG. 10Bshows the AR levels against the range of the SPX measured using the highest and lowest SPX levels during the corresponding months; this suggests that if the reference index, SPX, gyrates violently over a large range, the corresponding month will generate a higher AR level. The months with high ranges would include periods in which the SPX had undergone a large correction and a subsequent rally, a big rally and a significant retracement, dramatic crash or rally.

Although the invention has been described with reference to particular arrangement of parts, features, and the like, these are not intended to exhaust all possible arrangements or features, and indeed many modifications and variations will be ascertainable to those of skill in the art. For instance, while the examples above reference the use of a period, window, frequency, etc. it should be understood that these are measures or portions of time, which can be calculated using any measurement. For example, the measurement may be made in seconds, minutes, hours, days, weeks, months, quarters, years, or any combination thereof. Furthermore, the value of the Underlying Reference Index, if part of a market, can be specified to be made at opening or close of the market, or anytime in between.