Patent ID: 8712891

Claim:
A computer-implemented method of calculating a tail risk hedge index associated with a portfolio having an underlying asset and a volatility index option based on the underlying asset, the method comprising: with a processor in a trading platform: retrieving instructions from a memory in the trading platform; receiving data relating to the underlying asset, and the volatility index option based on the underlying asset, for the portfolio; based on the received data and using the retrieved instructions, calculating a tail risk hedge index (VXTH) associated with the portfolio having the underlying asset and the volatility index option based on the underlying asset; and transmitting the VXTH; wherein the VXTH is calculated by the processor compounding its value based on an equation: VXTH t =VXTH t-1 *(1 +R VXTH ) where t is a close date and R VXTH is a daily net rate of return of the tail risk hedge index.