Patent ID: 8533091

Claim:
A non-transitory computer-readable medium containing processor executable program instructions for creating a volatility arbitrage benchmark index, the instructions configured to cause a processor to: receive current values for an underlying asset of a volatility arbitrage benchmark derivative through a first communications interface; calculate a value reflecting a volatility arbitrage benchmark for the underlying asset, wherein the value reflecting a volatility arbitrage benchmark is calculated according to a formula: Index t = Index t - 1 × [ 1 + ( p t - p t - 1 p t - 1 ) ] where Index t is a closing index value of a first time period; Index t-1 is a closing index value of a second time period; p t is a first time period closing price for a front-month derivative investment instrument; and p t-1 is a second time period closing price for the front-month derivative investment instrument; pass the calculated volatility arbitrage benchmark value to a dissemination module; receive the calculated volatility arbitrage benchmark value for the underlying asset from the volatility arbitrage benchmark index module; and disseminate the calculated volatility arbitrage benchmark value through a second communications interface to at least one market participant.