Patent ID: 8386358

Claim:
An equity hedging processor-implemented method, comprising: formulating, by a processor, a portfolio of a plurality of contract positions; determining, by said processor, hedge roll dates for each contract position in the portfolio; determining, by said processor, a first expiring financial instrument on a first hedge roll date; determining, by said processor, a first plurality of parameters for a first new financial instrument wherein the first plurality of parameters comprises an upper strike put, a lower strike put, and a call strike; rolling, by said processor, the first expiring financial instrument to the first new financial instrument associated with the determined first plurality of parameters on the first hedge roll date; determining, by said processor, a second expiring financial instrument on a second hedge roll date; determining, by said processor, a second plurality of parameters for a second new financial instrument, wherein the second plurality of parameters comprises an upper strike put, a lower strike put, and a call strike; and rolling, by said processor, the second expiring financial instrument to the second new financial instrument associated with the determined second plurality of parameters on the second hedge roll date.