Patent ID: 8738524

Claim:
An automated system for creating parity on close orders in an exchange configured for trading securities or derivatives comprising: an electronic trade engine having a processor operative to receive a parity on close order from a customer for a physically settled call option expiring on a day of receipt of the order at the exchange, the parity on close order corresponding to an order of a quantity of the call option for a fee above a parity amount calculated at a close of the day of receipt of the order, wherein the parity amount comprises an amount of a closing price of an underlying of the call option that is greater than a strike price for the call option; wherein the processor is further operative to disseminate a request for price message to a plurality of market makers quoting a class of securities or derivatives corresponding to the order in response to receiving the order, wherein the request for price message includes the parity amount for the order; a storage device having a database in communication with the processor, the database operative to store at least one order received by the processor; and wherein, in response to the request for price message, the processor receives at least one response message that includes a fee in addition to the parity amount.