Patent ID: 8694407

Claim:
A non-transitory computer-readable medium containing processor executable program instructions for creating a volatility benchmark index, the instructions configured for causing a processor to execute the steps of: storing a value of a Treasury bill account less a mark-to-market value of at least one of a volatility-based future or option in a memory; calculating a value reflecting a volatility benchmark on the processor based on the stored value; and wherein the value reflecting a volatility benchmark is calculated according to the formula: VPD t =M t =(1 +r t-1 ) VPD t-1 −M ult N last ( F t −F t-1 ) where VPD t is a VIX premium index value at date t, M t is a Treasury bill balance on date t, r t-1 is an effective Treasury bill rate from date t−1 to date t, N last is a number of futures sold at a last roll date, F t is a daily settlement price of futures at date t, and M ult is a multiplier of the futures.