Patent ID: 8438094

Claim:
A computer-implemented method of calculating a SKEW index associated with an underlying asset, the method comprising: with a processor in a trading platform: calculating a SKEW index associated with an underlying asset; creating a skew derivative associated with the underlying asset based on the SKEW index associated with the underlying asset; and displaying the SKEW index associated with the underlying asset and the SKEW derivative associated with the underlying asset on a trading platform display device coupled with the trading platform; wherein the SKEW index is calculated based on the equation: S = E ⁢ R ⁢ ⁢ ÷ 3 , where S represents a market price of a skewness payoff determined by an asymmetry of the plurality of returns associated with the underlying asset; R is a log return of the underlying asset at an end of a calculation period, μ is a mean of the log return of the underlying asset at the end of the calculation period, and σ is a standard deviation of the log return of the underlying asset at the end of the calculation period; x = R ⁢ ⁢ ÷ 3 represents the skewness payoff; and S=E[x] is a market price representing a risk adjusted expectation of the skewness payoff (x).