Patent ID: 8321322

Claim:
A non-transitory computer-readable medium containing processor executable program instructions for creating a price tracker index, the instructions configured for causing the processor to execute the steps of: obtaining, from a trading system, a value F 1 of a first derivative at a time t; obtaining, from the trading system, a value F 2 of a second derivative at time t; calculating an index value according to a formula: T ⁢ ⁢ 2 T ⁢ ⁢ 2 - T ⁢ ⁢ 1 ⁢ F ⁢ ⁢ 1 - T ⁢ ⁢ 1 T ⁢ ⁢ 2 - T ⁢ ⁢ 1 ⁢ F ⁢ ⁢ 2 where T 1 is a time to maturity of the first derivative, and T 2 is a time to maturity of the second derivative; and disseminating the calculated index value over a communications network to market participants.